Erhan Uluceviz's research while affiliated with Gebze Technical University and other places
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Publications (16)
We analyze the connectedness between the real and the financial sectors of the U.S. economy. Using the weekly ADS index of the Philadelphia Fed (the widely used business conditions indicator) to represent the real side, we find that during times of financial distress and business cycle turning points, the direction of connectedness runs from the re...
Abstract We study macro-financial linkages and their importance within the Swiss economy from a network perspective. First, we investigate the real-financial connectedness in the Swiss economy, using the KOF economic barometer, obtained from real and financial variables, and, the real activity index (RAI), we distilled from a small set of real vari...
Analyzing networks of asset markets on the basis of daily return-to-volatility and volatility-to-volatility spillovers between markets and in terms of propagation values is a well-established methodology. The present study uses notions from information theory, in particular the Kolmogorov-Sinai entropy, to analyze the flow of information in a netwo...
This paper investigates the relative importance of stock markets in a network consisting of the four BRIC (Brazil, Russia, India, China) markets, plus the USA. Each of these markets is represented by a stock index: Bovespa (Brazil), RTS (Russia), BSE Sentex (India), Shanghai Stock Index Composite (China), and Dow-Jones Industrial Average (USA), con...
BRICS, the acronym for an association of the states Brazil, Russia, India, China and South Africa, is an invented concept. Nevertheless, the member states have institutionalized, to some extent, their economic and political cooperation and thus gained more influence worldwide as an entity. The main purpose of the present paper is to investigate how...
This paper investigates the relative importance of stock markets in a network consisting of the four BRIC (Brazil, Russia, India, China) markets, plus the USA. Each of these markets is represented by a stock index: Bovespa (Brazil), RTS (Russia), BSE Sentex (India), Shanghai Stock Index Composite (China), and Dow-Jones Industrial Average (USA), con...
Cycles in the behavior of stock markets have been widely documented. There is an increasing body of literature on whether stock markets anticipate business cycles or its turning points. Several recent studies assert that financial integration impacts positively on business cycle comovements of economies.
We consider three western equity markets, re...
The goal of the this paper is to investigate the shock spillover characteristics of the Russian stock market during different rounds of sanctions imposed as a reaction to Russia’s alleged role in the Ukrainian crisis. We consider six stock markets, represented by their respective stock indices, namely the US (DJIA), the UK (FTSE), the euro area (Eu...
We consider three equity markets, represented by stock indices DJIA (USA), FTSE 100 (UK), and EURO STOXX 50 (euro area). Connecting these three markets together via vector autoregressive processes in index returns (or volatilities), we construct “propagation values” to measure, on a daily basis, the relative importance of a market as a volatility c...
The dating of cyclical phenomena in economies, such as business cycles, is at the core
of economic policy research. Moreover, policy decisions which are due to affect interacting
economies should take into account the economies’ connectedness and synchronicity. The
cross-country analysis of business cycles is conceptually close to the study of “con...
The degree of connectedness of equity markets on a given day can be assessed by decomposing the forecast error variance resulting from a vector autoregressive model, applied to daily returns on stock indices. This well-known procedure leads, for each day, to a spillover matrix which can be readily interpreted as a network structure and summarized i...
Measures of spillovers between international equity markets can be derived building on the well-established forecast error variance decomposition in a vector autoregression VAR) framework. Typically, a day-by-day monitoring of these measures leads to non-stationary time series, the patterns giving rise to speculations about the existence of cyclica...
Publicly traded corporations can be seen as a directed graph or network with nodes as corporations and edges with weights quantifying return spillovers in terms of forecast error variance decompositions (fevds) of daily returns on their stock prices. Information-theoretic measures can then be used to analyze the flow of information (for example, th...
The overall degree of international equity market connectedness has gradually increased
over the past two decades. Reflecting the shift in global economic power, it has been recently suggested to pay more attention to the BRICT (Brazil, Russia, India, China, and Turkey) countries. Building on, and methodologically adding to, an established approach...
The connectedness of international equity markets can be measured building on the well-established forecast error variance decomposition framework. This approach permits the assessment of the propagation of shocks (spillovers) across equity markets on a day-to-day basis. The focus of our contribution is on detecting cycles in the intensity of spill...
The degree of connectedness of equity markets on a given day can be assessed by decomposing the forecast error variance resulting from a vector autoregressive model, applied to daily returns on stock indices. This well-known procedure leads, for each day, to a spillover matrix quantifying the contribution of a shock, to which one return series
is e...
Citations
... Therefore, while the EPU index is relevance may be more pronounced when studying the effects of policy-related uncertainties on specific economic sectors or policy-driven events, the ADS index is more relevant when the impact of real economic shocks. Furthermore, the ADS index has been widely used and validated in empirical research, demonstrating its robustness and accuracy in capturing changes in business conditions (e.g., Diebold 2020; Uluceviz and Yilmaz 2021;Cenesizoglu 2022). It has been shown to have a strong correlation with key macroeconomic variables, such as GDP growth and industrial production. ...
... It is pertinent to state that interest in inter-sectoral and intra-sectoral connectedness within and across countries among scholars and practitioners intensified in the aftermath of the 2007-2009 GFC, which purportedly shed more light on the significance of connectedness in shock propagation (Uluceviz and Yilmaz, 2020) and macroeconomic instability (Minoiu et al., 2015). Claessens and Kose (2017) conclude that the near-crash of the global financial system and the deep contraction in the real sector in the heat of the crisis were mainly amplified by macro-financial linkages. ...
... In 2013, Russia's GDP was around 2.8% of global GDP; the total value of Russia's stock market in 2012 was around 1.5% of the world stock market value. 1 Russia's trading volume with the EU was approximately EUR 340 billion at that time 2 and the EU's GDP was approximately EUR 13,500 billion. 3 However, empirical studies have found evidence of strong dependence between Russia as one of the major raw-materials exporter along with its fellow BRIC (Brazil, Russia, India, China) country Brazil and the US markets, as well as a significant increase of connectedness among BRIC equity markets and with equity markets in the developed world beginning in 2005 (see Alou et al., 2011;Schmidbauer et al., 2013a). Bekiros (2014), investi- gating the spillover effects of the US financial crisis to the BRIC markets, also finds that " [...] almost all markets have become more internationally integrated after the US financial crisis and the consequent Eurozone sovereign debt crisis". ...
... Besides, political and security considerations regarding crude oil have also affected the trade in this commodity. Later, after the crude oil crisis in the 1970s, some countries tried to use trade agreements to reduce crude oil export restrictions [4]. Dependence on oil revenues in these countries will create dangerous conditions for oil exporters for four reasons: 1. ...
... Following the univariate wavelet decomposition of two time series x t and y t , crosswavelet analysis evaluates the similarity of W ave x (τ, s) and W ave y (τ, s) with respect to its periodic components and the development over time (Schmidbauer et al., 2017). The cross-wavelet transform is depicted by W ave xy (τ, s) = W ave x (τ, s)W ave ⋆ y (τ, s), where the complex wavelet coherency is defined as Γ xy (τ, s) = S(W avexy(τ,s)) √ S(W avexx(τ,s))S(W aveyy(τ,s)) provided that S denotes a smoothing operator in time and scale. ...
... The US stock market was a net volatility receiver in 2015 when oil prices historically plunged due to shale booming. Our findings are partially in line with Schmidbauer et al. (2016), who argue that Chinese and Russian stock markets contributed to the US stock market significantly. ...