M. Hakan Berument

Bilkent University · Department of Economics

Developments in shale oil production technologies made the US, already the most important oil consumer, an important oil producer and exporter. This paper examines the response of shale oil production across eight production basins in the US to both US domestic and foreign oil demand shocks. The empirical evidence reveals that shale oil production...

The conflict and violence in the Syrian Arab Republic have led to an increase in Syrians seeking asylum in European countries. In this study, asylum applications of Syrian refugees to European countries are examined, taking into account the geographical neighborhood effects, with annual data for the time period from 2009 to 2018. This paper also ai...

This study analyzes the asymmetric effects of the price shocks of two global crude oil benchmarks (Dated Brent and Dubai) on three Russian crude oil prices: Urals, ESPO, and Sokol. The empirical evidence suggests that an increase in benchmark oil prices causes a rise in the selling prices of these Russian crude oil grades, and a drop in benchmarks...

Türkiye’de Enflasyon Politikalarındaki Başarısızlığının Sebepleri: Bir Saptama ˗ Gıda ve Alkolsüz İçecekler

This paper studies the effects of various economic and psychological factors on the switching behavior of large-scale electricity consumers in Turkey. Switching frequency and switching direction are two variables used to analyze switching behavior. The former is concerned with how often retailers change their suppliers. On the other hand, switching...

This paper studies the effects of the exchange rate regime of the Mexican economy on how the oil price shocks affect the domestic economic performance by considering the period from January 1992 to December 2019. The empirical evidence reported here reveals that a positive oil price shock appreciates the local currency, increases interest rates, ou...

This study aims to assess and quantify the effects of potential economic drivers on the Brent-Dubai price spread using the time-dependent Kalman filtering technique. To understand the pricing mechanism of crude oils, it is necessary to distinguish the driving forces of the world oil market. The Brent-Dubai price spread is selected as a global indic...

Starting from the liberalization of the electricity market in Turkey, the annual switching rates have remained at low levels for both residential and industrial consumers. This study aims to investigate the supplier switching behavior of large scale industrial consumers in the Turkish Electricity market with an emphasis on behavioral factors. The d...

Purpose The purpose of this paper is to use the novel data from the primary vision to determine the main financial and economic drivers of this revolutionary shale oil production and how these drivers changed after 2016 when the US removed its oil-exporting ban. Design/methodology/approach In this paper, the authors use the vector autoregressive m...

Measuring the size of the informal diesel market is important for determining tax revenue losses and identifying inefficiencies in tax policies. The conventional ways of assessing the informal sector entail either not allowing the measurement of the size of the informal sector across time or assuming a stable relationship between diesel consumption...

In this study, we provide empirical evidence to emphasize the crucial role of cross-border electricity trade for decreasing the use of fossil fuels in power industries and attaining higher electricity supply from solar and wind energy sources. We collected data for 48 countries across three continents (Americas, Europe and Asia) from 1991 to 2018 t...

Many studies have examined the asymmetric effect of US dollar-denominated crude oil prices on petroleum product prices. The ‘rockets and feathers’ argument suggests that a crude price increase raises petroleum product prices more than a corresponding decrease in crude prices lowers product prices. However, for the countries that do not use the US d...

The Fisher Effect is one of the most widely studied relationships in monetary economics. Previous studies have found little evidence of a Fisher effect in pre-World War I data for the United Kingdom. An explanation for this is the near white noise property of the inflation rate under the Classical Gold Standard. There is more evidence of a Fisher e...

Construction of an index that captures the importance of Turkey on Southern European Energy Security

The effects of increasing versus decreasing interest rates on economic performance are different. The members of the central bank's monetary policy committee are criticized heavily by the government when the interest rates are increased and praised when they are decreased in Turkey. Empirical evidence from Turkey suggests that the central bank is m...

It is a well-established regularity that permanent oil price shocks do not have a permanent effect on the current account deficit. This requires that sub-components of the current account or trade balance will make the necessary adjustments to accommodate the higher energy bill of a country triggered by permanent crude oil price increases. Empirica...

The duration of Global Financial Cycles (GFCs) have a role in the global financial environment which is shaped by the fluctuations in short-term capital flows, changes in monetary conditions in the center economies and co-movement in asset prices. The duration of GFCs for a set of global financial data – the VIX index, the TED spread and the 3-Mont...

Since the 2008 global financial crisis, central banks have been using a new set of policy tools in addition to conventional tools (such as short‐term interest rates) to conduct monetary policy. This paper employs a methodology that captures 25 of these tools with a limited number of factors for Turkey. Due to a set of factors such as the high volat...

The day of the week effect is one of the regularities observed in financial markets which suggests that Friday returns are higher than Monday returns. One of the possible reasons for this regularity is that the date of trade in equity markets is not always the same as the date that payment is made, or the settlement date. The number of days that in...

This article employs a Factor-Augmented Vector Autoregressive model to assess the effects of electricity price innovations on prices of other goods and services. Using monthly series from Turkish Domestic Producer Price Index (D-PPI) and Harmonized Index of Consumer Prices (HICP) components, the results from the analyses on D-PPI components suggest...

Kayıt dışı ekonomik faaliyetler özellikle gelişmekte olan ülkelerde önemli bir sorundur. Bir ekonomide kayıt dışının boyutunun doğru olarak tahmin edilmesi, kayıt dışı faaliyetler ile mücadelede doğru ve güvenilir politikalar oluşturulmasına ve bu politikaların uygulamadaki etkinliğine katkı sağlayacaktır. Doğası gereği, kayıt dışı ekonomik faaliye...

In this paper, we assess the effects of Central Bank Funding (C.B.F.) on commercial bank lending behaviour by using weekly Turkish data from 7 January 2011 to 5 June 2015. To be specific, using the Nonlinear Autoregressive Distributed Lag Error Correction Model, we assess the effects of C.B.F. provided daily by the Central Bank of the Republic of T...

Ahmet Tevfik Gedikkaya'nın master tezinden çıkan modeln yorumlarından çıkan sonuca ait bir çalışma.

In this paper, the sub-cycles in two economic activity measures are analyzed by using periodogram analyses. Our results from Turkish data suggest that industrial production and capacity utilization rate consist of various cycles including seasonal cycles. These series also have common cycles which correspond about four and seven years. Last, indust...

This article assesses the effect of output growth volatility on output growth within a stochastic-volatility-in-mean model with a time-varying framework for an open small economy: Turkey. Until now, the empirical evidence on industrial production mainly reveals that this relationship is negative. However, in further examining different sectors and...

This paper assesses the individual effects on economic performance of different monetary policy interest rates for a central bank. To measure these effects, we employ an extension of existing Factor-Augmented Vector Autoregressive (FAVAR) models, such that the number of monetary policy variables can be captured with a few unobservable factors, as w...

Over the years from 1844 to 2013, the United Kingdom had several distinct monetary policy regimes. This paper examines the relationship between the Bank of England policy rate and UK long-term rates in each regime. Our starting point is R. G. Hawtrey's A century of Bank Rate, which focused mainly on the classical Gold Standard. We also examine the...

This paper assesses the effect of output volatility on output within a stochastic volatility in mean model with time-varying framework for an open small economy: Turkey. The empirical evidence on the industrial production reveals that this relationship is negative. On the other hand, when we look at different subcomponents of industrial production,...

22.Aralık.2015 Hedeflenen enflasyonun fiyat istikrarının bir göstergesi olarak kabul edilmesi yanıltıcı olabilir. Merkez bankasının hedeflenen enflasyona ulaşmasını zamansal fiyat istikrarı olarak adlandırırsak, belli bir mal sepeti içinde yer alan çeşitli mallar arasındaki göreceli fiyat artışlarındaki farklılığı artırarak göreceli fiyat istikrarı...

We investigate the effect of inflation uncertainty on inflation from January 1982 through March 2016 for Turkey by using the Stochastic Volatility in Mean model with time-varying parameters. Our empirical evidence from consumer price index (CPI) inflation suggests that the observed positive relationship between inflation and inflation uncertainty i...

Rapid credit growth induced by sudden capital inflows may negatively affect a country’s economic performance, with the resulting outflows turning into a financial crisis. The purpose of this study is to determine whether controlling the credit channel of monetary policy could be used as a macroprudential tool to suppress the effects of sudden capit...

Unpublished manuscript work was accepted for publication in Journal of Money Investment and Banking

This article contributes to the asset pricing literature by offering an alternative missing factor: the excess holdings of foreign investors. To incorporate this factor, we mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to portfolio preferences (foreign ownership) using the Fama and French’s three-factor model. Our f...

This article assesses the effect of tight monetary policy on economic performance under different levels of capital flows. Empirical evidence from Turkey between 1990 and 2013 suggests that tight monetary policy measured with a positive innovation on interest rate appreciates the Turkish Lira and decreases output and prices. However, the effectiven...

Published in The B.E. Journal of Macroeconomics, 16(1), 145-170

This paper investigates the nature of the output-employment relationship by using the Turkish quarterly data for the period from 1988 to 2008. Even if we fail to find a long-run relationship between aggregate output and total employment, there are long-run relationships for the aggregate output with non-agricultural employment and sectoral employme...

This study investigates asymmetric effects of monetary policy shocks on the macroeconomic variables: exchange rate, output and inflation for an emerging economy, Turkey, by using monthly data between 1990 and 2014. The innovative nonlinear vector autoregressive model of Kilian and Vigfusson (2011), which allows us to observe the effect of different...

This paper assesses the effectiveness of a novel macroprudential tool – the reserve option mechanism – which Turkey’s central bank developed and has employed during the post-2008 period to control the risk associated with excessive capital flows. To be particular we assess how the capital flows affect economic variables changes with the introductio...

This paper assesses the effectiveness of a novel macroprudential tool – the reserve option mechanism – which Turkey’s central bank developed and has employed during the post-2008 period to control the risk associated with excessive capital flows. To be particular we assess how the capital flows affect economic variables changes with the introductio...

This study analyzes the persistency of total and disaggregated Turkish exports for different shock magnitudes using the quantile autoregression (QAR) method in line with Koenker and Xiao (J Am Stat Assoc 99:775-787, 2004). The results suggest that the persistence of shocks are not similar across different quantiles of Total Exports and disaggregate...

Along with most other central banks, Turkey’s central bank has implemented unconventional policies since the 2007/2008 financial crisis. Financial stability has been one of the targets of these macroprudential policies. However, since Turkey is working toward this goal without increasing its inflation rate, tracking only short-term interest rates t...

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...

One advantage cited for formal inflation targeting is that by anchoring inflationary expectations this policy framework would aid in the pricing of long-term securities. Long-term interest rates would become less sensitive to temporary shocks to the economy including policy-induced changes in short-term interest rates. This paper examines the exper...

A coherent method to measure the effectiveness of a monetary policy improves the monetary authority’s management capacity and renders the possibility of applying sound policies prior to and during a crisis. The trend in employing complicated and ambiguity-bearing unconventional monetary tools in the aftermath of the 2008 crisis has increased the va...

This study assesses how the growth rates of Turkish trading partners affected Turkish exports in various sectors for the period 1996:01 to 2009:12. To determine this, we modeled the destination countries and the export demand for each sector separately. Each model is estimated as a system of equations, where each equation represents a country using...

This paper investigates output–employment relationships across different employment statuses and formal versus informal employment divisions for Turkey. Even if we fail to find a long-run relationship between aggregate output and total employment, there are long-run relationships between the aggregate output with all of the formal employment status...

There is an emerging but important literature on the effects of sport events such as soccer on stock market returns. After a soccer team's win, agents discount future events more favorably and increase risk tolerance. Similarly, after a loss, risk tolerance decreases. This paper directly assesses risk tolerance after a sports event by using daily d...

We hypothesize that results of football (soccer) teams affect the risk perception of people. People choose riskier investments after a win and less risky investments after a loss; this leads to higher (lower) returns in the stock market. These hypotheses are tested for the international matches of Turkey's three most popular teams (Beşiktaş, Fenerb...

This paper provides a set of empirical evidence from five Northern Mediterranean countries that are subject to similar refinery reference prices regarding the relative sensitivity of crude oil prices and exchange rate on (pre-tax) petroleum product prices. The empirical evidence reveals that a one percent increase in crude oil prices increases petr...

This article estimates the effects of monetary policy on components of aggregate demand using quarterly data on Turkish economy from 1987–2008 by means of structural Vector Autoregression (VAR) methodology. This study adopts Uhlig's (2005) sign restrictions on the impulse responses of main macroeconomic variables to identify monetary shock. This st...

This paper aims to investigate the direct relationship between inflation and inflation uncertainty by employing a dynamic method for the monthly country–region–place United States data for the time period 1976–2007. While the bulk of previous studies has employed GARCH models in investigating the link between inflation and inflation uncertainty, in...

This paper assesses the effects of domestic soccer teams’ performances against foreign rivals on stock market returns as well as on the return–volatility relationship. Data from Chile, Spain, Turkey and the United Kingdom support propositions that soccer teams results in international cups affect stock market returns and the return–volatility relat...

The foreign investors stock preference is often monitored by the domestic investors in emerging markets and the stocks that the foreign investors hold are closely monitored by the domestic investors. Sometimes, the portfolios that foreigners hold, may affect the portfolios formed by the domestic investors. In this study, the effect of the portfolio...

This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.

This paper assesses the effects of domestic football teams’ performances against foreign rivals on stock market returns as well as on the return-volatility relationship. The data from Chile, Spain, Turkey and the United Kingdom support the propositions that the results of football teams in international cups affect (i) stock market returns and (ii)...

This paper examines the relationship between growth and growth volatility for a small open economy with high growth volatility: Turkey. Quarterly data for the period from 1987Q1 to 2007Q3 suggests that growth volatility reduces growth and that this result is robust under different specifications. This paper contributes to the literature by focusing...

In this paper, we assess the effect of exchange rate movement on macroeconomic performance by differentiating the source of exchange rate movement as either an expansionary monetary policy or a portfolio preference shock using quarterly data from Turkish economy for the period 1987:Q1 to 2008:Q3. Empirical evidence suggest that if the depreciation...

There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents e...

This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using monthly data for the time period 1984–2009. The bulk of previous studies investigating the link between inflation and inflation uncertainty employ Autoregressive Conditional Heteroskedasticity (ARCH)-type models, which consid...

Total factor productivity (TFP) is an important component of growth for most countries. This article assesses the role of macroeconomic instability on TFP growth. We consider volatility in inflation, openness of an economy and financial market deepness as measures of macroeconomic instability. Empirical evidence provided from Turkey suggests that v...

This paper proposes a new liquidity measure for a small open economy. The new measure includes the net liquidity provided to the system by a central bank after accounting for the central bank’s involvement in the foreign exchange market. Empirical evidence gathered from Turkey suggests that a positive innovation in liquidity increases output tempor...

This paper proposes a measure to assess the monetary policy for a highly inflationary small open economy: Turkey. The empirical evidence suggests that positive innovations in the spread between the Central Bank’s interbank interest rate and the depreciation rate of the local currency mimic the properties of the tight monetary policy. These innovati...