Yazar "Ersin, Ozgur" seçeneğine göre listele

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    ASYMMETRY IN THE ENVIRONMENTAL POLLUTION, ECONOMIC DEVELOPMENT AND PETROL PRICE RELATIONSHIP: MRS-VAR AND NONLINEAR CAUSALITY ANALYSES
    (Inst Economic Forecasting, 2019) Ersin, Ozgur; Bildirici, Melike
    The paper aims at assessing the nonlinear relations among the carbon dioxide (CO2) emissions, petrol prices and the level of economic prosperity in USA and UK for the 1861-2012 and 1871-2012 periods. By covering one of the largest samples, the paper achieves its novelty through the utilization of the Markov-switching based VAR and Granger causality methodologies to provide important insights regarding the shape of the Environmental Kuznets Curve. The selection of UK and USA is not only based on the availability of the largest data, but also on selecting countries that have gone through the stages of economic development in the sense of Rostow. In addition, the impact of the petrol prices is introduced to the environment-income relation. With this respect, the paper achieves a link between the literature of the regime-switching based business cycles and the environmental economics. The empirical findings of the paper show that: (i) the asymmetric impacts of the economic growth rates on emissions cannot be rejected both for the expansionary and for the recessionary periods in both countries in addition to the nonlinear effects of petrol prices, (ii) the nonlinear Granger causality results reveal bidirectional effects in both regimes which hold especially for the USA compared to the UK, (iii) the efficiency of the MRS-VAR models in capturing historical recession dates is confirmed since they coincide with major success to those reported by NBER and ECRI, (iv) the difference in persistence and durations of regimes should be taken into consideration. Within a policy perspective, the practical implications of the paper suggest further improvement in policies directed towards the environmental impact of economic growth in addition to petrol prices in different phases of the business cycles. The MRS-VAR findings also reveal practical implications regarding the shape of EKC: considering the size and the significance of the parameters in different regimes, the inverted U shape does not hold for the USA since the positive effects on emissions dominate in both regimes. In the UK, the negative effect is dominant only in regime 2. The paper also discusses the need of caution due to the shift of production from the developed to the far east - creating a derived demand of world's environmental degradation.
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    EXAMINATION OF THE PREDICTABILITY OF BDI AND VIX : A THRESHOLD APPROACH
    (Fabrizio Serra Editore, 2019) Bildirici, Melike; Ersin, Ozgur; Onat, Isil Sahin
    The market volatility index (VIX) and the Baltic dry index (BDI) are evaluated as two important economic indicators, the former as being a gauge of investor's fear and risk and the latter as being a reflection of costs associated to shipment of dry cargo. However, the empirical analyses aiming at achieving future forecasts suffer drastically due to inherent threshold effects the leptokurtic distribution The purpose of the paper is to propose the application of threshold models that allow regime dependent dynamics in the conditional mean and variance processes simultaneously to overcome this difficulty. Accordingly, four different threshold GARCH specifications are evaluated: TAR-GARCH, TAR-TGARCH, TAR-TR-GARCH and TAR-TR-TGARCH which allow more complex threshold behavior as one moves from the former to the letter. The empirical findings show the following, i. all of the four models provide significant improvements in terms of out-of-sample forecasting, ii. the threshold effects are dominant in both series and the proposed threshold models are capable to overcome the ARCH effects, iii. without the simultaneous modelling of threshold effects in the mean and variance processes, additional within regime specifications are needed to account for the negative and positive innovations, iv. BDI and VIX are two indexes that should be modeled with caution and once controlled for the threshold effects, they possess significant potential to be taken as future leading economic indicators.
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    Markov-switching vector autoregressive neural networks and sensitivity analysis of environment, economic growth and petrol prices
    (Springer Heidelberg, 2018) Bildirici, Melike; Ersin, Ozgur
    The paper aims at evaluating the nonlinear and complex relations between CO2 emissions, economic development, and petrol prices to obtain new insights regarding the shape of the environmental Kuznets curve (EKC) in the USA and in the UK in addition to introducing a newly proposed nonlinear approach. Within this respect, the paper has three purposes: the first one is to combine the multilayer perceptron neural networks (MLP) with Markov-switching vector autoregressive (MS-VAR) type nonlinear models to obtain the MS-VAR-MLP model. The second is to utilize one of the largest datasets in the literature covering the 1871-2016 period, a long span of data starting from the late eighteenth century. Since the emission, economic development, and petrol price relation is subject to nonlinearity and trajectory changes due to many historical events, the development of the MS-VAR-MLP model is a necessity to contribute to the ongoing debate regarding the shape of the EKC curve and the stability of the relation. The third purpose is to develop the MS-VAR-MLP-based regime-dependent sensitivity analysis, which eases the visual interpretation of the nonlinear causal relationships, which are allowed to have asymmetric interactions in different phases of the expansionary and recessionary periods of the business cycles. Our results provide clear deviations from the findings in the literature: (i) the shape of the EKC curve cannot be assumed to be stable and is subject to regime dependency, nonlinearity, and magnitude dependency; (ii) the forecast results suggest that incorporation of regime switching and neural networks provide significant improvement over the MS-VAR counterpart; and (iii) for both USA and UK and for the 1871-2016 period, the positive impacts of economic growth on emissions cannot be rejected for the majority of the phases of the business cycles; however, the magnitude of this effect is at various degrees. In addition, the incorporation of petrol price provides significant findings considering its effects on emission and economic growth rates. The analysis suggest clear deviations from the expected shape of the EKC curve and puts forth the necessity to utilize more complex empirical methodologies to evaluate the EKC since the emissions-economic development relation is more complex than it was assumed. Following these findings, several policy recommendations are provided. Lastly, the proposed MS-VAR-MLP methodology is compared with the MS-VAR model and various advantages and disadvantages are enumerated.
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    A NONLINEAR ANALYSIS OF MONETARY POLICY WITH DOMINANCE INDICES IN TURKEY: MS-VAR APPROACH
    (Inst Economic Forecasting, 2017) Ersin, Ozgur; Bildirici, Melike
    The study focuses on analyzing the policies followed in Turkey based on inflation targeting with an application of interest rate corridor policy in which the spread between the two policy rates, namely, the borrowing and lending rates. To overcome the difficulty of two different policy rates, two indices, the PDI and the MDI are utilized to capture the response of the monetary authority within a nonlinear Taylor rule context. The empirical findings for the Turkish economy with MS-VAR and MS-Granger causality analyses suggest that while the policy interest rates are determined in the spirit of the Taylor rule, the monetary policy involuntarily affirms inflation after the application of the policy, a finding that is consistent with the FTPL theory. As a result, as the central bank tries to establish price stability and financial stability with two policy interest rates, accepting higher inflation rates could be unavoidable. The results also are in favor of bi-directional nonlinear causality which led to important policy implications.
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    THE NONLINEAR EFFECTS OF HIGH TECHNOLOGY EXPORTS, R&D AND PATENTS ON ECONOMIC GROWTH: A PANEL THRESHOLD APPROACH TO 35 OECD COUNTRIES
    (Inst Economic Forecasting, 2022) Ersin, Ozgur; Ustabas, Ayfer; Acar, Tugce
    The paper aims at the investigation of the economic growth and R&D thresholds in addition to the evaluation of nonlinear effects of R&D, patents and high technology product exports on economic growth. Within this respective, a panel consisting of 35 OECD member and other countries is analysed with dynamic panel threshold regressions and bootstrap threshold testing methodologies for the 1992-2016 period. The results reveal significant threshold effects of the economic growth rates closely followed by the threshold effects dominated by the share of R&D in the GDP. The empirical findings have significant contributions: i. the impacts of high technology exports are asymmetric and regime-dependent, in addition, positive in both regimes, ii. R&D expenditures have positive effects not only in the high R&D/GDP but also in relatively low R&D/GDP and growth regimes, iii. the R&D in GDP threshold parameter is estimated as close to 0.7% and is compared to the literature. The overall findings coincide with the endogenous growth literature, but with an interesting distinction regarding the positive impacts even at low R&D regimes. The policy suggestions favor the encouragement of R&D and its positive effects on economic growth even for countries that cannot achieve a theoretical 3% R&D in GDP threshold.