Mehmet Balcilar

Mehmet Balcilar
Eastern Mediterranean University · Department of Economics

About

288
Publications
80,844
Reads
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5,861
Citations
Additional affiliations
August 2014 - present
University of Pretoria
Position
  • Extraordinary Professor
July 2014 - present
IPAG Business School
Position
  • Affiliated Professor
Description
  • Affiliated Professor
July 2014 - present
IPAG Business School
Position
  • Affiliated Professor

Publications

Publications (288)
Article
Full-text available
The degree of persistence of the real gross domestic product per capita, total factor productivity and labour productivity has been examined in a group of 23 developed and developing nations, as well as the overall Euro Area, by evaluating the order of integration of the macroeconomic series over the annual period from 1890 to 2019. As against the...
Article
Full-text available
Background: Syria’s civil conflict, which began in 2011, led millions of Syrians to migrate to countries all over the world, including Turkey. Considering the fact that war-caused migrations may affect the citizens of the host countries and immigrants from diverse perspectives, It is important to make scientific research on the outcomes of migratio...
Article
We use time and frequency connectedness approaches based on network analysis to investigate the volatility connectedness among 27 emerging equity markets and seven high-capitalized cryptocurrencies. We estimate the network connectedness using the standard, quantile, frequency, and lasso VAR models for the pre- and post-COVID-19 pandemic periods and...
Chapter
Credit markets play a crucial role in the propagation of shocks through an economy. Both economic uncertainty and oil market shocks transmit through credit markets to various sectors of an economy. However, the transmission of the shocks depends on the state of an economy as crises periods behave quite differently from normal times. We use a nonlin...
Article
Full-text available
The high energy consumption of cryptocurrency transactions has raised concerns about the environment and sustainability among green investors and regulatory authorities. The current study examines the connectedness among clean energy, Bitcoin, the stock market, and crude oil empirically. The time-varying parameter vector autoregression (TVP-VAR) is...
Article
This paper proposes output gap dispersion as a measure of economic synchronization patterns across the world economies. Utilizing a novel, multivariate quantile causality testing methodology and data from a set of 45 advanced and emerging nations, we present evidence of significant causal effects of U.S. monetary policy measures over synchronizatio...
Article
Full-text available
Using monthly data from September 2004 to February 2020, this paper investigates the connectedness of the renewable energy, common stock, oil, and technology markets. The time-domain Diebold and Yilmaz spillover index approach is used to analyze the volatility spillover between these four markets. The study’s findings reveal that the oil and clean...
Article
Sustained investment is required for economic growth. Investment however often experiences severe volatility in poor countries, making spending plans difficult to formulate, and diminishing growth potentials. Foreign aid serves as an important source of complementary financing for sustained investment. This paper thus studies the effect of aid infl...
Article
Full-text available
The purpose of this study is to investigate the importance of economic, social, political, and environmental factors in determining green technology diffusion. We use a unique annual panel dataset covering 58 nations from 1990 to 2019. Based on dynamic panel data models estimated using system generalized method of moments (GMM), we test whether the...
Article
Despite the econometric advances of the last 30 years, the effects of monetary policy stance during the boom and busts of the stock market are not clearly defined. In this paper, we use a structural heterogeneous vector autoregressive (SHVAR) model with identified structural breaks to analyse the impact of both conventional and unconventional monet...
Article
Full-text available
This study examines the monetary policy effectiveness of five major Asian countries (China, Hong Kong, India, Japan, and South Korea) using a quantile vector autoregression (QVAR) model-based spillover estimation approach of Balcilar et al. (2020b) at different quantile paths. To do this, we first obtain the spillover index from interest rate to in...
Article
Full-text available
Utilizing a machine-learning technique known as random forests, we study whether regional output growth uncertainty helps to improve the accuracy of forecasts of regional output growth for twelve regions of the United Kingdom using monthly data for the period from 1970 to 2020. We use a stochastic-volatility model to measure regional output growth...
Preprint
Full-text available
This paper analyses the return and realized volatility spillovers among Bitcoin, wilder hill clean energy index (ECO), S&P 500 as conventional stocks and West Texas Intermediate (WTI) from 11/11/2013 to 30/09/2021. We investigate the transmission mechanism with Time-Varying Parameter Vector Auto regression (TVP-VAR). Our findings indicate that stoc...
Article
Full-text available
This paper analyzes the time-varying relationship between risk aversion and both conventional and unconventional monetary policy in an international context and at different frequencies using a wavelet coherency analysis. Our main results suggest the existence of a dynamic relationship between the two variables depending on timescales and on the pe...
Article
Full-text available
The study aims to examine the effects of spillovers from stock prices on consumption and interest rates in Turkey. From the circular economy viewpoint, there should be sustainable consumption to achieve sustainable development with the help of consumers and other stakeholders. A time-varying vector autoregressive (TVP-VAR) model with stochastic vol...
Article
This study introduces a novel time-varying parameter vector autoregression (TVP-VAR) based extended joint connectedness approach in order to characterize connectedness of 11 agricultural commodity and Crude Oil futures prices spanning from July 1, 2005 to May 1, 2020. Our results reveal that the system-wide dynamic connectedness is heterogeneous ov...
Preprint
Full-text available
The low correlation between commodities and traditional assets is seemingly a major factor influencing global investors' appetite to embrace these commodities as a profitable alternative financial asset after the crash of the equity market in 2000. In this paper, we critically and selectively provide the knowledge map of the connectedness of commod...
Article
The health status of refugees is a subject of great interest and importance, both to the agencies providing health services to the refugees and to the citizens and their governments in the countries hosting refugees so as to prevent their diseases and other health problems from spreading to local populations. This accounts for the rapidly growing n...
Article
Full-text available
We use the heterogenous autoregressive (HAR) model to compute out-of-sample forecasts of the monthly realized variance (RV) of movements of the spot and futures price of heating oil. We extend the HAR–RV model to include the role of El Niño and La Niña episodes, as captured by the Equatorial Southern Oscillation Index (EQSOI). Using data from June...
Article
This study is aimed at examining the dynamic relationship between real housing prices (RHP) return and economic policy uncertainty (EPU) using a panel vector autoregressive (PVAR) approach and annual data for a panel of panel of 16 countries over the period 2004–2018. The study includes economic growth, short-term interest rate, and population as a...
Article
This paper investigates the predictive content of news-based advanced market, regional, and global economic policy uncertainty (EPU) measures for bond spreads and their volatility in emerging markets (EMs) by extending the higher (k-th) order nonparametric causality-in-quantiles test to a multivariate case. Results show that global and advanced mar...
Article
This study investigates and estimates long-run time-varying income and price elasticities of oil demand in Brazil, Russia, India, China, and South Africa (BRICS). A time-varying cointegration (TVC) approach allowing for the smooth changes in the parameters is employed, using quarterly data covering the period from 1990:Q1 to 2018:Q4. TVC tests conf...
Article
This paper offers new evidence on the exchange rate and oil price pass-through in the BRICS countries through the analysis of the Diebold-Yilmaz spillover index and rolling-windows. Using the monthly frequency data from 1999:M01-2019:M11, our study provides the following findings: (i) there is strong evidence of directional spillovers across the co...
Article
Full-text available
This paper introduces a new methodology to estimate time-varying alphas and betas in conditional factor models, which allows substantial flexibility in a time-varying framework. To circumvent problems associated with the previous approaches, we introduce a Bayesian time-varying parameter model where innovations of the state equation have a spike-an...
Article
In this paper, we test for the period-specific and regime-dependent exchange rate and oil price pass-through (EROPPT) for the BRICS countries using monthly frequency data. To this end, we extend the Diebold-Yilmaz (DY) spillover index to nonlinear settings based on the vector smooth transition autoregressive (STVAR) model. The results suggest that...
Article
By using quarterly data over the period 1970Q1-2017Q4, this paper examines the dynamic causal relationship between globalization and energy consumption by using rolling and recursive rolling Granger causality methods. This study is pioneering effort to examine the dynamic causal relationship between globalization and energy consumption using time-v...
Article
In this paper, we analyze time-varying predictability of financial stress due to growth in income inequality of the United States (US) over the annual period of 1913 to 2016. In order to ensure that we remove the asset price effects on income inequality, and provide incorrect inferences regarding the impact on financial stress, we work with capital...
Article
We re‐examine the theoretical and empirical relationship between income inequality and long‐run economic growth in an endogenous growth model with a flat tax on income, distributive conflicts among agents, and median voter dynamics. We show that when government spends tax revenue on the provision of public goods in the form of both production and c...
Article
Recent evidence, based on a linear framework, tends to suggest that while mortgage default risks can predict weekly and monthly housing returns of the United States, the same does not hold at the daily frequency. We, however, indicate that the relationship between daily housing returns with mortgage default risks is in fact nonlinear, and hence a l...
Preprint
Full-text available
In this paper, we analyze the predictive content of news-based economic policy uncertainty (EPU) measures for the government bond risk spreads and its volatility in emerging markets (EMs) by extending the recently developed higher ("-th) order nonparametric causality-in-quantiles test approach of Balcilar et al. (2018) to a multivariate case. The e...
Article
Full-text available
We use a novel U.S. state-level database to evaluate the role of housing wealth as a provider of collateral services. First, we estimate the cointegrating relationship between housing wealth and labour income for all 50 states, as well as the District of Columbia (D.C.), and overall U.S. Then, we assess the predictive ability of the housing wealth-...
Chapter
Full-text available
As in the case throughout the world, landslides in Turkey have accounted for significant amount of economic losses and caused damage to properties as well as the environment and inhabitants. For example, considering the last 70 years’ landslide records in Turkey, it was revealed that more than 60,000 people were affected due to landslides. Thus, in...
Article
We employ time series data to empirically determine the causal relationship between economic policy uncertainty and the GDP growth rates of seven emerging market economies while controlling for the effect of oil price, interest rates, and the CPI. Due to differences in sampling frequencies between the GDP series and other variables, a multi-horizon...
Article
Full-text available
This paper investigates the relationship between carbon dioxide emissions, energy consumption and economic growth in the G-7 countries from a historical perspective. To this end, taking time-varying interaction and business cycle into account, we use the historical decomposition method for the first time in the literature. Our results provide evide...
Article
This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures, and the commodity price index. The focus of the study is to analyze the effects of the Fed’s unconventional monetary policy on the US financial markets. We use realized volatility measures based on daily data coveri...
Article
Using state-level data for the U.S. housing market over the period of 1975:Q1-2012:Q2, we show that the consumption-wealth ratios derived from aggregate wealth (cay) and disaggregate (i.e. financial and housing) wealth (cday) are strong predictors of real housing returns (and their volatility). Additionally, we find that, barring the extreme ends o...
Preprint
Full-text available
This study uses time-varying parameter vector autoregression (TVP-VAR) based extended joint connectedness approach in order to characterize connectedness of 11 agricultural commodity and Crude Oil spot prices spanning from July 1, 2005 to May 1, 2020. Tools from network analysis is used to summarize and visualize results from average and system-wid...
Article
This paper analyses the dynamic impact of uncertainty due to global pandemics (SARS, H5N1, H1N1, MERS, Ebola, and COVID-19) on global output growth, using a TVP-SVAR model. We find that the negative effect of the coronavirus on the growth rate of output is unprecedented, with the emerging markets being the worst hit. We also find that since 2016, t...
Article
We analyze the ability of a newspaper-based economic sentiment index of the United States to predict housing market movements using daily data from 2 nd August, 2007 to 19 th June, 2020. For this purpose, we use a nonparametric causality-in-quantiles test, which allows us to test for predictability over the entire conditional distribution of not on...
Article
This article deals with the estimation of the risk-insurance nexus. We specifically examined the effect of geopolitical risk on insurance premium in a panel of 18 countries , while controlling for the effect of real income. Second-generation econometric methods were employed for this purpose, and the results provided strong evidence of a positive i...
Preprint
Full-text available
This study is aimed at examining the dynamic relationships between housing prices return and economic policy uncertainty (EPU) using a panel vector autoregression (PVAR) approach and annual data for a panel of 16 OECD countries over the period 2004-2018. The study includes economic growth, short-term interest rate, and population as additional cova...
Presentation
Full-text available
In January 2020, the International Monetary Fund (IMF) predicted that the world economy would grow by 3.3% in 2020. However, in its latest forecasts, in April, it predicts a contraction of 3.0%, without growth prospects and with numerous risks. The World bank even forecasts a 3.6% contraction in 2020. These forecasts are already seen as overestimat...
Article
A common tool in forecasting literature used in predicting future economic conditions is the term spread, which tends to contract near peaks and rise near troughs. Building on this known relationship, this paper explores the predictive power of the yield spread on the distribution of income in the United Kingdom (UK). The results reveal that income...
Conference Paper
Full-text available
In January 2020, the International Monetary Fund (IMF) predicted that the world economy would grow by 3.3% in 2020. However, in its latest forecasts, in April, it predicts a contraction of 3.0%, without growth prospects and with numerous risks. The World bank even forecasts a 3.6% contraction in 2020. These forecasts are already seen as overestimat...
Article
This article examines the connection between economic uncertainty and financial market conditions in South Africa, documenting that the macroeconomic implications of an uncertainty shock differ across financial regimes. A non‐linear VAR is estimated where uncertainty is captured by the average volatility of structural shocks in the economy, and the...
Article
This study analyses the interconnectivity of growth, aid and institutions in Sub-Saharan Africa based on annual data for a panel of 39 nations from 1996-2017. The hypothesis that the growth impact of aid and institutions could be interactive was examined. The results indicate that aid has a direct positive and an indirect negative growth impact thr...
Article
Full-text available
By means of stochastic volatility in the mean model to allow for time-varying parameters in the conditional mean and quarterly data for the G7 countries, this article examines the dynamic nexus between the volatility of output and economic growth for the G7 countries. This approach allows us to model parameter time-variation so as to reflect change...
Article
This paper investigates the return and volatility spillover effects across oil-related credit default swaps (CDSs), the oil market, and financial market risks for the US during and after the subprime crises. The empirical analysis is based on monthly return and realized volatility data from February 2004 to April 2020. We estimate both static and d...
Article
This paper provides a novel perspective on the predictive ability of credit rating announcements over stock market returns and volatility using a novel methodology that formally distinguishes between different market states that can be characterized as bull, bear and normal market conditions. Using data on the credit rating announcements published...
Article
This paper investigates not only the question of whether there is exchange rate pass‐through (ERPT) but also the extent to which the pass‐through is asymmetric or state‐dependent in the BRICS countries. Using monthly data from 1999M1 to 2019M12 and the nonlinear smooth transition vector autoregressive (STVAR) model, our results provide evidence of...
Article
This paper examines the fundamental linkages between stock markets and safe haven assets by developing a two-factor, regime-based volatility spillover model with global and regional stock market shocks as risk factors. The risk exposures of safe havens with respect to global and regional stock market shocks are found to display significant time var...
Preprint
Full-text available
This study empirically examines the fragility of five major Asian economies (China, Hong Kong, India, Japan, and South Korea) to economic policy uncertainty (EPU) of US and EU, and oil prices in different state of the economies. To investigate these dynamics, we use the relative tail dependence by means of the spillover index of Diebold and Yilmaz...
Article
Just as the world has witnessed the increased importance of the insurance sector over the past few decades, it has also witnessed a sharp rise in risks and uncertainties. Surprisingly, studies analyzing the relationship between economic policy uncertainty and the insurance sector are almost non-existent. Another major limitation of insurance litera...
Article
This paper examines the nature of interconnectedness among the returns of oil prices and foreign exchange on selected agricultural commodity prices. To do this, we leverage on the novel methodology of (Diebold, F.X., and K. Yilmaz [2012]. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Jour...
Article
Full-text available
This paper proposes output gap dispersion as a measure of economic synchronization patterns across the world economies. Utilizing a novel, multivariate quantile causality testing methodology and data from a set of 45 advanced and emerging nations, we present evidence of significant causal effects of U.S. monetary policy measures over synchronizatio...
Article
This study examines how employment affects demand for tourism in the short and long run, controlling for the effects of income and relative prices within a panel of 32 Organisation for Economic Co-operation and Development (OECD) countries throughout the 1995–2016 period. To this end, we employ second-generation panel unit root tests, panel cointeg...
Article
In this paper, we analyze the predictability of the movements of bond premia of US Treasury due to oil price uncertainty over the monthly period 1953:06 to 2016:12. For our purpose, we use a higher order nonparametric causality-in-quantiles framework, which in turn, allows us to test for predictability over the entire conditional distribution of no...
Article
This study applies the cross-sectionally augmented distributed lag long-run estimation technique alongside bootstrap panel Granger causality testing to examine the impact of globalization on insurance market activities in large emerging market economies. Economic, social and political globalization indices are considered separately. Two alternative...
Article
Full-text available
This study investigates the long-run and short-run exchange rate pass-through (ERPT) to inflation in Nigeria during the period of economic reforms by incorporating structural breaks over the period 2000Q1-2017Q4. We applied the minimum Lagrange multiplier unit root test with a structural break, the Bayer-Hanck combined cointegration test and the es...
Article
Full-text available
This article contributes to the existing empirical literature by examining the spillovers across price inflation and agricultural commodity prices for the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (2012) spillover index. Subsequently, we examine the directional spillover, total spillover, and net spillover indexes...
Article
Underlying, or core, inflation is likely the most important variable for monetary policy. It is considered to be the optimal nominal anchor as it is stable, excludes relative price shocks, and reflects underlying trends in the behaviour of price-setters and demand conditions in the economy. Despite its importance, there is sparse literature on esti...
Article
This article examines the return and volatility spillover effects among the S&P 500, crude oil, and gold by employing the spillover index of Diebold and Yilmaz (2012). Monthly realized volatility and return series covering the period from January 1986 to August 2018 are used to examine the return and volatility spillovers. Our findings indicate a b...
Article
Full-text available
This study extends the literature on the asymmetric effect of oil price fluctuations on emerging and frontier stock markets via a quantile-on-quantile approach that allows to capture normal and extreme states in each respective market. We find that oil risk exposures are heterogeneous across the emerging and frontier stock markets and indeed displa...
Article
Full-text available
We study effects of energy market uncertainty shocks on energy transition on the 28 European Union countries from 1990 to 2015 using annual frequency data. We assess the effects of oil price as well as the energy market supply, demand, and residual price shocks using a time-varying parameter panel data stochastic volatility model. We show the impor...