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Öğe A general model for financial crises: An application to eurozone crisis(Elsevier, 2020) Yener, Haluk; Soybilgen, Baris; Stengos, ThanasisWe provide a mathematical framework to spot the non-resilient periods of an economy and understand the reason why an economy becomes non-resilient. Our non-resilience indicator spots the distressful periods of sixteen European economies successfully over the course of almost thirty years. To understand why these economies became non-resilient, we solve a problem related to survival analysis and establish an analytic relationship between the leverage level of an economy and its macro fundamentals. We apply our approach to the same group of countries and show with a vector autoregressive model why certain indebted European economies still struggle years after the crisis.Öğe A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries(Wiley, 2017) Ozturk, Serda S.; Stengos, ThanasisWe estimate a multivariate stochastic volatility model for a panel of stock returns for a number of S&P 500 firms from different industries. To directly compare our results with those from the univariate estimation literature on the same data, we use an efficient importance sampling (EIS) method to estimate the likelihood function of the given multivariate system that we analyze. As opposed to univariate methods where each return is estimated separately for each firm, our results are based on joint estimation that can account for potential common error term interactions based on industry characteristics that cannot be detected by univariate methods. Our results reveal that there are important differences in the industry effects, something that suggests that differential gains to portfolio allocations in the different industries that we examine. There are differences because of idiosyncratic factors and the common industry factors that suggest that each industry requires a separate treatment in arriving at portfolio allocations.Öğe Analysis of the seeds of the debt crisis in Europe(Routledge Journals, Taylor & Francis Ltd, 2017) Yener, Haluk; Stengos, Thanasis; Yazgan, M. EgeThis paper presents an analysis of the seeds of the recent debt crisis that occurred in the Eurozone area using a variant of Fleming and Stein [2004. Stochastic Optimal Control, International Finance and Debt. Journal of Banking and Finance, 28: 979-996] model. This model has two risk drivers arising from uncertainties in the return on capital and the effective rate of return on net foreign assets. Given the risk drivers, we model the net worth value process of an economy under a stochastic setting and show that opening to the rest of the world by pursuing the growth maximizing leverage strategy is better than remaining closed, as that strategy enhances the growth of the net worth process. Second, we provide an extra condition to show when the excessive leverage poses a threat to the sustainable growth of an economy. In this way, we improve the model introduced by Fleming and Stein as a signal of possible debt crises. Finally, we conduct an econometric analysis for the group of countries considered under this study, and show that there is a long-run relationship between the capital stock and the total external debt justifying the use of the structural model we employ.Öğe Identification of common factors in panel data growth model(Elsevier Science Sa, 2018) Deniz, Pinar; Stengos, Thanasis; Yazgan, M. EgeCross sectional dependence may lead to inconsistent and inefficient estimators and as such misleading inferences when standard panel data techniques such as fixed/random effects are employed. Pesaran (2006) suggests incorporating cross sectional averages in panel data models as approximates of unobserved common factor(s) to deal with cross sectional dependence. In the context of a standard panel growth model we investigate whether these unobserved common factors can be identified and we find that institutional variables and life expectancy are able to adequately identify them. (C) 2018 Elsevier B.V. All rights reserved.Öğe Markov regime switching in mean and in fractional integration parameter(Taylor & Francis Inc, 2017) Ozkan, Harun; Stengos, Thanasis; Yazgan, EgeWe propose a specific general Markov-regime switching estimation both in the long memory parameter d and the mean of a time series. We employ Viterbi algorithm that combines the Viterbi procedures in two state Markov-switching parameter estimation. It is well-known that existence of mean break and long memory in time series can be easily confused with each other in most cases. Thus, we aim at observing the deviation and interaction of mean and d estimates for different cases. A Monte Carlo experiment reveals that the finite sample performance of the proposed algorithm for a simple mixture model of Markov-switching mean and d changes with respect to the fractional integrating parameters and the mean values for the two regimes.Öğe PERSISTENCE IN CONVERGENCE AND CLUB FORMATION(Wiley, 2018) Stengos, Thanasis; Yazgan, M. Ege; Ozkan, HarunIn this paper, we examine the convergence hypothesis using a long memory framework that allows for structural breaks and does not rely on a benchmark country using both univariate and multivariate estimates of the long memory parameter d. Using per capita GDP gaps, we confirm the findings of non-stationarity and long memory behavior that have been found previously in the literature using univariate tests. However, the support for these findings is much weaker when using a multivariate framework, in which case we find more evidence of stationary behavior. Based on these results, we also investigate club formation, something that would suggest the presence of conditional convergence. We describe a club formation methodology using the sequential testing criteria that we have employed in our analysis as the basis for forming clusters or clubs of countries with similar convergence characteristics.Öğe Regime switching with structural breaks in output convergence(Walter De Gruyter Gmbh, 2018) Beylunioglu, Fuat C.; Stengos, Thanasis; Yazgan, M. EgeIn this paper, we examine empirically GDP per capita convergence using an approach that explicitly allows for regime switching in the long memory parameter d within the context of a Markov Switching (MS)-ARFIMA framework. As existing methods used in the estimation of standard MS models, such as the EM algorithm are no longer appropriate, we will make use of the Viterbi algorithm to estimate the long memory MS model used by Tsay and Hardle (Tsay, W.-J., and W. K. Hardle. 2009. A Generalized Arfima Process with Markov-Switching Fractional Differencing Parameter. Journal of Statistical Computation and Simulation 79: 731-745.). We will classify the output gap series into two regimes, a high d and a low d regime, where a high d close to unity would imply persistence and lack of convergence. By examining the path of d parameter over time which enables us to observe non-convergent behavior in more detail, we find that converging behavior is diminishing over time and divergence is the dominant force.Öğe Revisiting the link between output growth and volatility: panel GARCH analysis(Physica-Verlag Gmbh & Co, 2021) Deniz, Pinar; Stengos, Thanasis; Yazgan, M. EgeThis paper explores the link between output growth and volatility using several macroeconomic variables for a panel of countries for the period of 1971-2014. Using an augmented panel GARCH-M model, we allow for the first time in the literature for independent variables to be part of the conditional equations. The paper is also novel in terms of encompassing an extensive number of countries and country groups. The relationship between output growth and volatility is observed to vary between different country groups. Empirical findings regarding the effect of exogeneous variables suggest that trade openness contributes to economic growth and institutional quality lowers economic volatility.Öğe Testing for structural breaks with local smoothers: A simulation study(Elsevier Science Sa, 2014) Ozturk, Serda Selin; Stengos, ThanasisBy means of an extensive Monte Carlo simulation study based on the design of Chen and Hong (2012) we compare the performance of the tests they proposed for parameter stability with the linearity test of Li et al. (2002) and the functional form test of Li and Wang (1998). We find that the test of Li et al. (2002) test adapted to testing for parameter stability performs favorably well in terms of size and equally well in terms of power compared with the others, whereas the test by Li and Wang has no power. (C) 2014 Elsevier B.V. All rights reserved.
