Cumhur Erdem

Effects of macroeconomic variables on Istanbul stock exchange indexes

Price volatility spillovers in ISE indexes were analysed based on monthly data from January 1991 to January 2004 for exchange rate, interest rate, inflation, industrial production and M1 money supply. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model was used to test univariate volatility spillovers for macroeconomic variables. It was found that there exists unidirectional strong volatility spillover from inflation, interest rate to all stock price indexes. There are spillovers from M1 money supply to financial index, and from exchange rate to both IMKB 100 and industrial indexes. There is no volatility spillover from industrial production to any index.

Turkish banking efficiency and its relation to stock performance

In this study, technical, allocative and economic efficiency scores of the banks whose stocks traded in Istanbul Stock Exchange are measured using data envelopment analysis (DEA) for the time period 1998 to 2004. Economic efficiency scores of banks obtained from DEA model was related to their stock prices to determine whether there is an explanatory power of efficiency scores on stock price returns. The average banks’ efficiency decreased from 0.781 in 1999 to 0.504 in 2001 and started to increase after this year except the year of 2003 indicating that financial crises affected the efficiency scores of the banks. During the time period 1998 to 2004, six banks appeared to be technically efficient at least once.

Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firmsC evidence

In this study, the causality test, proposed by Peguin-Feissolle and Terasvirta (1999), based on a Taylor expansion of the nonlinear model, is used to examine the dynamic relationship between daily Turkish banking sector stock price and trading volume. Evidence is found of significant linear and nonlinear causality between these two series.

Determinants of new vehicle registrations in EU countries: a panel cointegration analysis

This paper investigates the determinants of new vehicle registrations in European Union (EU) countries by focusing on four particular segments – passenger cars, light commercial vehicles, commercial vehicles, and heavy commercial vehicles. A panel cointegration analysis for a panel of 13 EU countries during the period from January 1999 to August 2010 shows that new vehicle sales have long-run cointegration relations with vehicle prices, consumer confidence, income, interest rates, fuel prices, industrial production, and trade. More effective factors in determining new vehicle sales appear to be trade, interest rates, and industrial production.

Determinants of vehicle fuel-type preference in developing countries: a case of Turkey

Motor vehicles play a major role in global warming. The main contribution of motor vehicles comes from the emission of carbon dioxide (CO2). This study aims to identify the factors affecting the preferences for vehicle fuel types in Turkey. To meet this objective, a survey was conducted with 1983 participants in different regions of Turkey by the DataProfil survey firm. Results obtained from a multinomial logit model show that variables such as gender, attitudes towards alternative energy sources, social responsibility and sensitivity to environmental problems have an impact on preference of vehicle fuel type.

The socioeconomic determinants of the university entrance exam scores in Turkey

This study uses multivariate regression and one-way ANOVA analyses to identify the socioeconomic and demographic factors which affect verbal, quantitative and equally weighted scores for the nationwide University Student Selection Examination (OSS) in Turkey. The results show that factors such as high school Grade Point Average (GPA), average family income, length of private tutoring, gender, geographical region of the family residence and educational level of the parents have an impact on OSS scores.

The crowding out effect from the European debt crisis perspective: Eurozone experience

The present study aims to measure the crowding out effect for the countries in the Eurozone that have tried to finance budget deficits through borrowing. We have examined the effects of government debt, government expenditure, interest rate and growth rate on private investments for the 2000-2015 period. The results show that government debt, government expenditure, interest rates and budget deficits all affect private investment negatively and the impact of economic growth is positive. The findings of the study support the existence of the crowding out effect in the Eurozone for the period of 2000-2015.

Exchange rate (volatility) and bilateral agricultural trade: Turkey vs. her major trading partners

The purpose of this study is to analyse the sensitivity of Turkish bilateral agricultural trade flows to exchange rate and its volatility. To this end, we estimate the bilateral export, import and trade balance equations between Turkey and her 16 major trading partners for the period of 1987:q1-;2007:q4 by utilising the Vector Error Correction Modelling (VECM) framework. The short-run analysis based on the Impulse–Response Functions (IRFs) provides evidence that the pattern of Turkish agricultural trade balance with respect to exchange rate changes does not follow the J-curve hypothesis. The long-run analysis based on the Johansen cointegration approach, on the other hand, shows that the exchange rate and its volatility are important factors determining the dynamic of Turkish agricultural trade flows.