Mustafa Caglayan
University of Liverpool
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Publication
Featured researches published by Mustafa Caglayan.
Journal of International Money and Finance | 2002
John T. Barkoulas; Christopher F. Baum; Mustafa Caglayan
This paper investigates the effects of exchange rate uncertainty on the volume and variability of trade flows. Employing a signal extraction framework, we show that the direction and magnitude of importers and exporters optimal trading activities depend upon the source of the uncertainty (general economic shocks, fundamental factors driving the exchange rate process, or noise in the signal of policy innovations), providing a rationale for the contradictory empirical evidence in the literature. We also show that exchange rate uncertainty emanating from general economic shocks and the fundamental factors reduces the variability of trade flows, while that related to noise in the signal of policy innovations increases variability.
Economics Letters | 2003
Mustafa Caglayan; Alpay Filiztekin
In this paper we investigate the link between inflation and relative price variability, and the impact of structural changes in the behavior of inflation using a half-a-century long disaggregated data. Employing panel data techniques to control for aggregate shocks, we show that: 1) the effect of inflation is non-neutral: relative price variability has increased in inflationary as well as deflationary periods, 2) the association between inflation and relative price variability is highly nonlinear 3) there is strong support for menu cost models, but none for signal extraction models.
Journal of Applied Econometrics | 2004
Christopher F. Baum; Mustafa Caglayan; Neslihan Ozkan
Computing in Economics and Finance | 2000
Christopher F. Baum; Mustafa Caglayan; Neslihan Ozkan
Money Macro and Finance (MMF) Research Group Conference 2004 | 2004
Christopher F. Baum; Mustafa Caglayan; Neslihan Ozkan
Archive | 2001
Mustafa Caglayan; Alpay Filiztekin
Archive | 2017
Christopher F. Baum; Mustafa Caglayan; Bing Xu
Archive | 2005
Christopher F. Baum; Mustafa Caglayan; Neslihan Ozkan; Oleksandr Talavera
Research Papers | 2004
Mustafa Caglayan; Alpay Filiztekin; Michael T. Rauh
Research Papers | 2003
Mustafa Caglayan; Murat Usman