Saban Nazlioglu

Electricity Consumption and Economic Growth in Turkey: Cointegration, Linear and Nonlinear Granger Causality

The purpose of this study is to examine causal relationships between the electricity consumption and economic growth in Turkey for the period 1967–2007. To accomplish this purpose, we utilize three analytical tools in time series econometrics: The bounds testing cointegration approach, the linear Granger causality test and the nonlinear Granger causality test. We depart from the existing literature on the energy consumption and economic growth nexus in Turkey by testing nonlinearity in the series and carrying out the nonlinear Granger causality test. The cointegration analysis shows that the electricity consumption and economic growth are cointegrated in the long-run. The linear Granger causality test based on the error correction model shows the bi-directional Granger causality in both the short- and the long-run between the electricity consumption and economic growth in Turkey. After filtering out the linear properties of the series with cointegration analysis, we carry out the Brock, Dechert, and Scheinkman nonlinearity test and find evidence of nonlinearity in the series. Therefore, the inferences from the nonlinear Granger causality test are more appropriate than the linear Granger causality analysis for Turkey. The nonlinear causality analysis supports the neutrality hypothesis, implying that electricity conservation policy will not damage the growth in the Turkish economy.

Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test

This study examines whether a volatility/risk transmission exists between the Dow Jones Islamic stock and three conventional stock markets for the United States, Europe and Asia during the pre- and the in- and post-2008 crisis periods. It also explores the volatility spillover dynamics between those markets and US Monetary policy, oil prices, global financial risk and uncertainty factors. The recently developed Hafner and Herwartz (2006)’s causality-in-variance test provides evidence of risk transfers between these seemingly different equity markets, indicating a contagion between them during the full sample and the subperiods. The volatility structure of these markets is dominated by short-run volatility in the first period and by high long-run volatility in the second period. The volatility impulse response analysis indicates a similar volatility transmission pattern although it is characterized by a more volatile and short-lived structure in the second period. It also appears that the Islamic equity market responds to shocks from the risk factors and not from the oil price and the US economic policy uncertainty index during both periods.

Exchange rate volatility and Turkish industry-level export: Panel cointegration analysis

The purpose of this article is to investigate the impact of the exchange rate volatility on Turkeys export. To this end, the panel cointegration analysis is applied to the data from Turkeys top 20 export industries to major 20 trading partners for the period 1980–2009. Special attention is paid to test for whether employment of country-level trade data instead of industry-level data is subject to the aggregation bias problem in the estimation of long-run cointegration parameters. The results indicate that employing country-level trade data suffers from the aggregation bias in estimating the cointegration parameters for the level of exchange rate and for the exchange rate volatility. The findings imply that (i) the impact of the exchange rate volatility on Turkish exports differs across industries, (ii) Turkey benefits from the depreciation of Turkish lira, and(iii) the foreign income plays a key role in determining the Turkish industry-level exports. The findings increase our insights to explain therecent dynamics of Turkish exports and provide some policy implications.

The behavior of Turkish exchange rates: A panel data perspective

This paper investigates the behavior of Turkish exchange rates within the context of purchasing power parity (PPP) hypothesis by means of recent developments in the panel unit root testing procedures for ten Turkish real exchange rates during January 2002–May 2012. The unit root test which accounts for nonlinearity, smooth structural shifts, and cross-section dependency supports that PPP hypothesis holds for Eurozone and European countries (Denmark, Norway, Sweden, Switzerland, and United Kingdom), while it does not hold for non-European trading partners (Canada, Japan, Saudi Arabia, and USA). From the empirical results, we can conclude that PPP hypothesis holds in the countries which have the free trade agreement, while it is violated in the countries in which there are trade barriers and greater distance. The findings therefore provide policy implications for Turkey in determining equilibrium exchange rates with her major trading partners.

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.

Exchange Rates and Turkish Fresh Fruits and Vegetables Trade with the EU Countries: Bilateral Trade Data Analysis

This study examines the role of exchange rate on Turkeys fresh fruits and vegetables bilateral trade balance with 14 trading partners in the European Union. Because dynamic effects of exchange rate changes on trade balances have been hypothesized as the J-curve effect, special attention is paid to investigate whether or not the J-curve hypothesis is observable. To this end, we apply the bounds testing cointegration approach to the trade balance model for the period of 1995:q1–2007:q2. Results support evidence of the J-curve effect in 2 cases in the short run. In the long run, the exchange rate has a positive impact on the trade balance in 7 out of 14 cases.