Yazar "Stengos, T." seçeneğine göre listele

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    Detecting capital market convergence clubs
    (Walter de Gruyter GmbH, 2017) Beylunioglu, F.C.; Stengos, T.; Yazgan, M.E.
    In this study, we propose a new method to find convergence clubs that combine pairwise method of testing convergence with maximal clique algorithm. Unlike many o those already developed in the literature, this new method aims to find convergence clubs endogenously without depending on priori classifications. We use our method to study convergence among different capital markets as captured by their respective indices. Stock market convergence would indicate the absence of arbitrage opportunities in moving between the different markets as they would all present investors with similar risks. Furthermore, stock market convergence would be a precursor to GDP convergence as these economies would be bound by similar (possibly unobservable) common factors that affect long run macroeconomic performance. © 2017 Walter de Gruyter GmbH, Berlin/Boston.
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    Threshold regression model for taylor rule: The case of Turkey [2-s2.0-85078968058]
    (Rimini Centre for Economic Analysis, 2019) Deniz, P.; Stengos, T.; Yazgan, E.
    This paper employs the structural threshold approach of Kourtellos et al. (2016) to examine various specifications of the Taylor rule model. Contrary to the previous work on the Taylor rule, this methodology allows for endogeneity of the threshold variable in addition to the right-hand-side variables suggesting a fully comprehensive flexible framework that does not rely on restrictive linearity and/or exogeneity assumptions. In order to examine the model, Turkey is selected as an inflation targeting developing economy, since its central bank (the Central Bank of Turkey) as argued by Dincer and Eichengreen (2014) has been one of the fastest improving central banks in terms of its transparency score. We will use monthly data for the period of 2004-2018 that includes a number of historical episodes such as the global financial crisis as well as various internal political developments that may have had an impact on the fluctuations of the relevant macroeconomic variables as well as on the functional form of the inflation targeting Taylor rule specification. Empirical findings highlight the different reactions of the central bank in determining policy rate under different regimes. © 2019, Rimini Centre for Economic Analysis. All rights reserved.
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    Threshold regression model for Taylor rule: The case of Turkey [2-s2.0-85086479254]
    (Rimini Centre for Economic Analysis, 2020) Deniz, P.; Stengos, T.; Yazgan, E.
    This paper employs the structural threshold approach of Kourtel-los et al. (2016) to examine various specifications of the Taylor rule model. Contrary to the previous work on the Taylor rule, this methodology allows for endogeneity of the threshold variable in addition to the right-hand-side variables suggesting a fully comprehensive flexible framework that does not rely on restrictive linearity and/or exogeneity assumptions. In order to examine the model, Turkey is selected as an inflation targeting developing economy, since its central bank (the Central Bank of Turkey) as argued by Dincer and Eichen-green (2014) has been one of the fastest improving central banks in terms of its transparency score. We will use monthly data for the period of 2004-2018 that includes a number of historical episodes such as the global financial crisis as well as various internal political developments that may have had an impact on the fluctuations of the relevant macroeconomic variables as well as on the functional form of the inflation targeting Taylor rule specification. Empirical findings high-light the different reactions of the central bank in determining policy rate under different regimes. © 2020, Rimini Centre for Economic Analysis. All rights reserved.