Mehmet Balcilar

University of New Haven | UNH · Department of Economics

This study investigates the salient roles of knowledge spillover and environmental policies on clean technology innovation. Employing a panel vector autoregressive model (PVAR) and connect-edness network analysis with a comprehensive longitudinal dataset comprising 100 million patent documents across 26 countries, the study identifies clean technol...

This study investigates the influence of global financial market conditions on financial risk connectedness and transmission among the Middle East and North Africa (MENA) economies. Utilizing weekly realized stock market volatilities as a measure of risk and employing a smooth transition threshold vector autoregressive (STVAR) model to analyze risk...

The policy uncertainty surrounding climate change can intensify the urgency of implementing climate policies and influence investment decisions, thereby serving as a catalyst for policy transformation. In this context, given its withdrawal from and subsequent re-commitment to the Paris Agreement, the United States (US) may experience policy uncerta...

Using a panel quantile vector autoregression model, we investigate the global liquidity effect of quantitative easing (QE) in the US on emerging markets (EMs) over the period 2010:Q1 to 2019:Q3. Our empirical result suggests that tapering of QE in the US triggers a large capital outflow from the EMs. In addition, we find a significant asymmetric ef...

Energy transition to greener systems has been a focal point in climate policy agendas across countries as the negative environmental impacts of fossil fuel technologies have become more evident Displacing fossil fuels with clean energy alternatives in this regard is essential for meeting global climate objectives. In this context, the study analyze...

This study investigates the role of environmental policies and regulations in mitigating climate change by promoting clean innovations and discouraging dirty ones. Utilizing nonparametric copula and quantile estimation techniques, along with carefully constructed innovation variables based on patents from 2000 to 2021 across 34 countries, the resea...

This study investigates the influence of global financial market conditions on financial risk connectedness and transmission among the Middle East and North Africa (MENA) economies. Utilizing weekly realized stock market volatilities as a measure of risk and employing a smooth transition threshold vector autoregressive (STVAR) model to analyze risk...

According to the International Organization of Motor Vehicle Manufacturers (OICA), Automobile manufacturers use 40% of steel to make the body structure, 23% to make engines and gears, and 12% for suspensions. We untangled the perceived inextricable connections between crude oil, steel, the US dollar, and stocks of Toyota, Daimler, and Volkswagen as...

Nonparametric regression has become a popular method because it offers great flexibility in data modeling without requiring a precise description of the functional forms of estimated models. With the onset of the coronavirus pandemic, Bitcoin, a historically volatile cryptocurrency, has emerged as one of the most contentious issues due to the poten...

This study presents evidence on how tourism development affects U.S. energy security risks from 1997 to 2020 using a Kernel-based regularized least squares (KRLS) machine learning approach. Our empirical results demonstrate that tourism development amplifies the U.S. energy security-related risks. Also, while technological innovation and urbanizati...

This study examines the impact of natural resource extraction, population, affluence, and trade openness on carbon dioxide (CO2) emissions and energy consumption in 17 sub-Saharan African (SSA) countries from 1971 to 2019, using the stochastic impacts on population, affluence, and technology (STIRPAT) model. The Westerlund and Kao cointegration tes...

Governments often impose new energy strategies to support new CO 2 emission‐reducing technologies without affecting economic growth. Hence, this study aims to re‐investigate the relationship between economic growth, renewable energy use, and CO 2 emissions in Algeria from 1990 to 2018. Motivated by the mixed findings of the existing literature, whi...

The primary objective of this paper is to investigate the extent to which climate change adaptation and green technology diffusion serve as key drivers for green growth. Additionally, the study examines the influence of various economic, environmental, and social factors on green growth. Utilizing an annual panel dataset comprising 38 OECD member c...

Achieving the Paris Climate Agreement’s goal of limiting global warming to 1.5 °C to 2 °C by the end of the century will require massive investments in environmental technologies and a drastic shift away from high-carbon technologies. This paper investigates the impact of climate change mitigation policies on clean energy innovation. A statistical...

Digitalization has emerged as a crucial factor in reducing pollution and holds significant potential for facilitating the transition to a low-carbon economy. Nevertheless, the environmental impact of digitalization hinges on the strategies for collaboration with various economic actors and, as a result, their engagement with digitalization. In ligh...

This study aims to investigate the influence of various economic, environmental, and social factors on sustainable development, with a specific focus on the impact of green technology and climate change adaptation. A panel dataset comprising 38 OECD member countries from 1990 to 2020 is employed, and a series of dynamic panel data models are estima...

This study examines the impact of global financial market conditions on risk connectedness and transmission among MENA economies. Using weekly stock market volatilities and a smooth transition threshold vector autoregressive model, the authors analyze risk transmission under varying financial stress levels. Results show stronger risk interdependenc...

In this study, we contribute to the rapidly growing climate-finance literature by shedding light on the question of whether climate risks have predictive value for stock market returns. We measure climate risks in terms of both the change in the northern hemisphere temperature anomaly and its volatility and the change in the global temperature anom...

The pollution haven hypothesis postulates a transfer of unsustainable production practices by multinational corporations (MNCs) to their operational bases in developing economies with lax environmental regulations. However, little is known about the role of natural resource rents in this relationship. To this end, the study empirically investigates...

This study offers a new perspective on the dynamic causal relationship between housing price uncertainty and housing prices in a time-varying environment for the UK for the first time in the literature. This study aims to investigate whether housing market uncertainty has any time-varying effect on housing prices between 1998:Q1 and 2019:Q2. A key...

This study draws motivation from the United Nations Sustainable Development Goals (7.8.11), which highlight pertinent issues across the globe, among which are access to energy, responsible consumption, and sustainable development. To this end, we explored the pivotal role of public–private partnerships (PPP) investment in energy in Turkey, which is...

This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the disaggregate level. We apply a frequency connectedness approach to the daily data of 11 major cryptocurrencies for the period from 1 September 2017 to 2 March 2022. We try to uncover the existence of the “fear of missing out” psycho...

This study analyzes changes in the connectedness of 26 regional house prices in Türkiye and determines how consumer sentiments affect connectedness in the era of destabilizing macroeconomic conditions over the period from January 2010 to April 2022. To this end, we estimate network connectedness using a Lasso VAR model and time-varying analyses usi...

Using annual data on real gold returns and measures of rare disaster risks over the period of 1280–2016, we show the existence of nonlinearity and regime changes in the relationship between the two variables of concern, over and above the existence of non-normality in the data. In light of these issues, we rely on a nonparametric quantile regressio...

We investigate whether oil-price uncertainty helps forecast the international stock returns of ten advanced and emerging countries. We consider an out-of-sample period of August 1925 to September 2021, with an in-sample period between August 1920 and July 1925, and employ a quantile-predictive-regression approach, which is more informative relative...

The low correlation between commodities and traditional assets, particularly after the crash of the equity market in the year 2000, is seemingly a major factor influencing global investors' appetite to embrace commodities as a profitable alternative financial asset. In this paper, we critically and selectively provide the knowledge map of the conne...

This study examines the financial connectedness and risk transmission among MENA economies by accounting for financial connectedness in the short and long run as well dependency under extreme market conditions and network graph analysis. To this end, Composite Financial Stress Indices are constructed for 11 MENA countries. In addition, a battery of...

Global warming and other significant climatic changes arising from the accumulation of carbon dioxide and other greenhouse gases have placed great policy puzzles on whether to slow or not to slow gross domestic product (GDP) growth. This paper presents and estimates empirical models of growth using standard tools of growth empirics for 23 OECD coun...

War-related migration may deprive people of access to a regular healthcare system and cause new diseases to be battled. Since refugee women are more vulnerable to diseases during this period, protective healthcare services awareness is critical for early disease diagnosis. Following the civil war that triggered the migration of millions of Syrians,...

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...

External financial frictions might increase the severity of economic uncertainty shocks. We analyze the impact of aggregate uncertainty and financial condition shocks using a threshold vector autoregressive (TVAR) model with stochastic volatility during distinct US financial stress regimes. We further examine the international spillover of the US f...

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 migrati...

This study examines the effect of the COVID-19 pandemic on major agricultural commodity prices (cattle, cocoa, coffee, corn, cotton, hog, rice, soya oil, soybeans, soybean meal, sugar and wheat) using daily data from 1 January 2016 to 25 February 2022. We measured COVID-19 effect using a news-based sentiment index. A robust nonparametric Granger ca...

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...

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...

This study examines the dynamic interaction between oil, natural gas, and prices with Indian economic policy uncertainty (EPU). The study finds that gold prices and industrial production are fundamental drivers of Indian economic policy uncertainty in both the short and long runs, using a dynamic autoregressive distributed lag (ARDL) model with mon...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

Dear Colleagues, Energy production and consumption have been blamed partly globally for climate change issues and global warming menace. This has brought policymakers, stakeholders, non-governmental bodies like the Intergovernmental Panel on Climate Change (IPCC) agencies to a crossroads of the dilemma between economic growth trajectory and its en...

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...

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...

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...

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...

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...

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-...

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...

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...

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...

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...

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...

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...

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...

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...