Barış Soybilgen

Barış Soybilgen
Istanbul Bilgi University | BILGI · The Center for Financial Studies

Doctor of Philosophy

About

18
Publications
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83
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Introduction
I am an assistant professor in the Department of Management Information Systems under the Faculty of Business and the assistant director of the Center for Financial Studies at Istanbul Bilgi University. I am also a freelance data scientist.

Publications

Publications (18)
Article
Real gross domestic product (GDP) data in Turkey are released with a very long delay relative those of to other economies, between 10 and 13 weeks after the end of the reference quarter. This means that policy makers, the media, and market practitioners have to infer the current state of the economy by examining data that are more timely and are re...
Article
Full-text available
The paper analyzes the point and density predictive performance of alternative nowcast combination schemes in the context of bridge equations for the Turkish unemployment rate. Furthermore, we also nowcast the unemployment rate by using dynamic factor models (DFMs). Our results indicate that most of the sophisticated forecast combination methods ha...
Article
Full-text available
We use dynamic factors and neural network models to identify current and past states (instead of future) of the US business cycle. In the first step, we reduce noise in data by using a moving average filter. Then, dynamic factors are extracted from a large-scale data set consisted of more than 100 variables. In the last step, these dynamic factors...
Article
Full-text available
In this paper, we apply the wavelet methods in the popular Augmented Dickey-Fuller and M types of unit root tests. Moreover, we provide an extensive comparison of the wavelet based unit root tests which also includes the recent contributions in the literature. Moreover, we derive the asymptotic properties of the wavelet based unit root tests under...
Preprint
Full-text available
We use the aggregate information from individual-to-firm and firm-to-firm in Garanti BBVA Bank transactions to mimic domestic private demand. Particularly, we replicate the quarterly national accounts aggregate consumption and investment (gross fixed capital formation) and its bigger components (Machinery and Equipment and Construction) in real tim...
Preprint
Full-text available
Food prices are notoriously known to be volatile because of their sensitivity to especially supply side shocks related to whether conditions, which has also become increasingly volatile recently. Therefore predicting food prices are often problematic and pose challenges who wish to produce their forecasts. For this study, we have been scraping dail...
Article
Full-text available
In this study, we nowcast quarter-over-quarter US GDP growth rates between 2000Q2 and 2018Q4 using tree-based ensemble machine learning models, namely, bagged decision trees, random forests, and stochastic gradient tree boosting. To solve the ragged edge problem and reduce the dimension of the data set, we adopt a dynamic factor model. Dynamic fact...
Preprint
Full-text available
We use machine learning models to nowcast US GDP and decompose the relative importance of financial and economic variables in predicting GDP. Our results show that financial variables have only become important since the great financial crisis of 2009 reflecting the effect of ultra loose monetary policy.
Article
Compared to other developing countries, Turkey has a very low female labour participation rate. Previous studies usually focus on the labour supply side of female employment. Unlike the previous literature, this paper investigates firm-level determinants of female employment in manufacturing firms using a unique micro data set constructed using dif...
Article
Full-text available
Bu makale Türkiye'de enflasyon ile paralel seyreden bir diğer olaya, göreli fiyat değişimlerindeki dalgalanmaya dikkat çekiyor. Göreli fiyatların ekonomik gelişmeye paralel olarak değişkenlik göstermesi beklenir. Ancak, göreli fiyatların yüksek dalga boyları ile sık sık dalgalanma göstermesi belirsizliği arttırıp, yatırım kararlarını zorlaştıracak,...
Article
In this research, we estimate the exchange rate pass-through for the main consumption groups of the consumer price index. The change in exchange rates in Turkey is among the dominant factors affecting short-term inflation. Existing literature investigates the exchange rate pass-through to consumer price inflation. However, the effects of change in...
Article
In this study, we analyse the real-time identification performance of the BBQ method and the Markov switching (MS) model in the case of Turkey by comparing their real-time and ex-post identification results between 1997M01-2017M12. We show that both the BBQ and the MS methodologies identify the nearly same turning point dates for the Turkish econom...
Article
Full-text available
In this study, we analyze the relationship between geopolitical risks and growth using annual panel data from 18 emerging countries for the period from 1986 to 2016. For a robustness check, we also conduct another analysis using panel data set with 5-year intervals. The news-based indices of Caldara and Iacoviello (2018) were used as a proxy for ge...
Article
Full-text available
In this study, we estimate a time-varying Taylor rule for evaluating the policy reaction function of the Central Bank of the Republic of Turkey (CBRT). Even though the Turkish economy has constantly been evolving in the last 15 years, previous studies that analyze the monetary policy rule of the CBRT mainly use time-invariant monetary policy functi...
Article
In this study, we predict year-on-year and quarter-on-quarter Turkish GDP growth rates between 2012:Q1 and 2016:Q4 with a medium-scale dataset. Our proposed model outperforms both the competing dynamic factor model (DFM) and univariate benchmark models. Our results suggest that in nowcasting current GDP, all relevant information is released within...
Article
Full-text available
Expectations of inflation play a critical role in the process of price setting in the market. Central banks closely follow developments in inflation expectations to implement a successful monetary policy. The Central Bank of the Republic of Turkey (CBRT) conducts a survey of experts and decision makers in the financial and real sectors to reveal ma...
Article
Full-text available
Real gross domestic product (GDP) data in Turkey are released with a very long delay compared with other economies, between 10 and 13 weeks after the end of the reference quarter. To infer the current state of the economy, policy makers, media, and market practitioners examine data that are more timely, that are released at higher frequencies than...

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