Furkan Emirmahmutoglu

• Professor
• Professor (Full) at Ankara Hacı Bayram Veli University

In this paper, we propose a simple Granger causality procedure based on Meta analysis in heterogeneous mixed panels. Firstly, we examine the finite sample properties of the causality test through Monte Carlo experiments for panels characterized by both cross-section independency and cross-section dependency. Then, we apply the procedure for investi...

In this study, we re-examine the PPP hypothesis in the light of the new developments in the unit root testing literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear behavior. A unit root test applied to analyze the PPP hypothesis therefore, should also take into account this asym...

Real interest rate is a crucial variable that determines the consumption, investment and saving behavior of individuals and thereby acts as a key policy tool that the central banks use to control the economy. Although many important theoretical models require the real interest rates to be stationary, the empirical evidence accumulated so far has no...

The aim of this study is to search for a better optimization algorithm in applying unit root tests that inherit nonlinear models in the testing process. The algorithms analyzed include Broyden, Fletcher, Goldfarb and Shanno (BFGS), Gauss–Jordan, Simplex, Genetic, sequential quadratic programming and extensive grid-search. The simulation results ind...

This paper investigates the validity of the real interest rate parity hypothesis (RIPH) using a panel unit root approach. For this purpose, first we estimate the possible nonlinear data-generating processes of the real interest rate differential series and using these estimates determine which panel unit root test is better for analyzing the RIPH....

The Common Correlated Effect (CCE) estimator is widely used in panel data models to address cross-sectional dependence, particularly in nonstationary panels. However, existing estimators have limitations, especially in small-sample settings. This study refines the CCE estimator by introducing new proxy variables and testing them through a comprehen...

Requirements to understand and forecast the behavior of complex macroeconomic interactions mandate the use of high-dimensional macroeconometric models. The Global Vector Autoregressive (GVAR) modeling technique is very popular among them and it allows researchers and policymakers to take into account both the complex interdependencies that exist be...

The research on the effects of economic growth on renewable energy faces two significant limitations that may impede the formulation of accurate and effective renewable energy policy. The first limitation pertains to the use of an aggregate methodology, which relies solely on aggregated data for analyzing the relationship between renewable energy a...

Bu çalışmanın temelini, Schumpeteryan görüş oluşturmaktadır. Bu çalışmada işleme kapanma kavramı Schumpeteryan görüş kapsamında ‘gelişmişliğin bir göstergesi’ olarak ele alınmıştır. Yenilikçi ekonomilerin temelinde şirketlerin yaratıcı yıkımının bulunduğunu savunan çalışmada, ülkeler arasındaki hukuki farklılığın ve finansal gelişmişliğin borsalard...

Bu çalışmada, telekomünikasyon sektörüne ilişkin yatırımlar, dış ticaret hacmi ve tüketim verileri dikkate alınarak telekomünikasyon sektörünün ekonomik büyüme üzerindeki önemi incelenmiştir. “Telekomünikasyon yatırımları” olarak telekomünikasyon ağı ve servislerini sağlayan kuruluşların maddi ve maddi olmayan varlıkların edinimi veya mevcutların y...

A large body of the literature use aggregate data to investigate the validity of the J-curve hypothesis. Recent studies, however, address to the importance of disaggregated data in order to prevent from aggregation bias. In the case of Turkey where foreign trade volume is largely dominated by the Eurozone countries, one set of studies examines the...

This paper aims to analyze the implications of geopolitical risks on the return and volatility of carry trade transactions in the context of BRICS countries for the period 2006–2020. Fixed effects regressions considering the sample countries as a single portfolio document that geopolitical risks are correlated with volatility, while the results are...

This research investigates the time-varying causality between energy consumption (renewable and non-renewable) by the U.S. energy sectors and real GDP covering the period 1973:Q1-2018:Q4. Unlike previous literature, this study does not only use a conventional causality technique, but also incorporates a time-varying causality approach to see whethe...

This study explores the response of the US stock market volatility to the COVID-19 pandemic over the period January 03-October 15, 2020. Unlike the results from a conventional approach which reveals the absence of Granger causality, the time-varying causality results indicate two episodes detected following the Federal Reserve's policy announcement...

This code analyses Granger causality relationship between n variables in panel data.

This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of power comparisons among alternative unit root tests th...

This study empirically investigates the energy consumption-GDP growth nexus for the period from 1971 to 2016 for 26 OECD countries. The prevailing studies in the literature use limited econometric methodologies, which may wrongly model the underlying relationship and lead to misleading policy conclusions. Our study utilizes the newest econometric m...

We compare the performance of unit root tests which include flexible Fourier trends in their testing processes. The algorithms considered are those of Broyden, Fletcher, Goldfarb and Shanno (BFGS), Berndt, Hall, Hall and Hausman (BHHH), Simplex, Genetic and grid search (GS). The simulation results indicate that derivative-free methods, such as Gene...

Piyasadaki yeni bilgilerin hisse senedi fiyatlarına yansıma hızı, piyasa etkinliğinin belirlenmesinde önemli konulardan biridir. Çalışmada 2007 - 2019 döneminde BİST’te işlem gören bankalar ve banka dışı finansal kuruluşların piyasadaki yeni bilgiyi hisse senedi fiyatlarına ne ölçüde yansıttığı, fiyat gecikmesi ölçüsü ile karşılaştırmalı olarak inc...

This paper explores the effect of geopolitical risks (GPRs) on the return and volatility of carry trade transactions for BRICS countries by implementing the time-varying robust Granger causality test of Rossi and Wang (2019). Although, the standard constant parameter Granger causality test finds no evidence of causal-ity between geopolitical risks...

This paper re‐examines the stochastic properties of U.S. state real per capita personal income, using new panel unit‐root procedures. The new developments incorporate non‐linearity, asymmetry, and cross‐sectional correlation within panel‐data estimation. Including nonlinearity and asymmetry finds that 43 states exhibit stationary real per capita pe...

In this study, we examine the validity of the PPP proposition for 28 European countries. For this purpose, we propose a new unit root test procedure that allows for both gradual structural breaks and asymmetric nonlinear adjustment towards the equilibrium level. Small-sample properties of the new tests are examined through Monte-Carlo simulations....

We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties.

In this study our aim is to explore a better testing strategy for the PPP hypothesis under a temporary structural break. For this purpose we use the exponential smooth transition (EST) function in the unit root testing framework and compare this methodology with the one that uses a Fourier function. Although the Fourier function is extensively used...

This paper investigates the causal relationship between asset prices and output across US states using a bootstrap panel Granger causality approach which allows not only for heterogeneity and cross-sectional dependence to be accounted for but also interdependency between asset markets. Empirical results from a trivariate vector autoregression (VAR)...

This paper aims to investigate the effects of unanticipated oil price changes on the Turkish economy using quarterly gross domestic product (GDP) and monthly consumer price index (CPI) and real exchange rate (RER) for the period 2002–2013. While the bulk of previous studies have employed the standard methodology without true data generating process...

Capital inflows are important factor affecting macroeconomic perfor-mance, such as the real exchange rate, interest rates, output, and price level. However, the components of capital inflows are also important. Capital inflows in the forms of portfolio investment liabilities, foreign direct investment, and other investment liabilities may affect th...

The aim of this study is to test the relationship between budget deficit and current account deficit for EU-27 countries over the period 2002Q1-2013Q4 using different panel bootstrap causality test. For this analysis, we employed a method developed by Emirmahmutoglu and Kose (2011), which is based on the estimation of the panel model with bootstrap...

The aim of this study is to test the relationship between budget deficit and current account deficit for EU-27 countries over the period 2002Q1-2013Q4 using different panel bootstrap causality test. For this analysis, we employed a method developed by Emirmahmutoglu and Kose (2011), which is based on the estimation of the panel model with bootstrap...

This paper examines the relationship between nominal interest rate and the expected inflation rate for the Turkish economy between 2002 and 2009, a period when the inflation-targeting regime was implemented as monetary policy. We use the test of cointegrating rank with a trend-break; a method introduced by Inoue (1999), and we also apply exogeneity...

Bu çalışmada, 1991-2006 dönemini içeren üçer aylık veriler kullanılarak Türkiye turizm talep analizleri yapısal zaman serisi modeli çerçevesinde incelenmiştir. Turizm talebini açıklamak için yapısal zaman serisi modeline fiyat ve gelir değişkenlerine ilaveten trend, mevsimsel ve devresel hareket bileşenleri stokastik yapıda dahil edilmiştir. Elde e...

In this study, in addition to Zivot–Andrews (199213. Zivot , E and Andrews , DWK . 1992. Further evidence on the great crash, the oil price shock and the unit-root hypothesis. Journal of Business and Economic Statistics, 10: 251–70. [Taylor & Francis Online], [Web of Science ®]View all references), Perron (199710. Perron , P . 1997. Further evid...