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Spillover dynamics across price inflation and selected agricultural commodity prices
Balcilar, Mehmet; Bekun, Festus Victor - In: Journal of Economic Structures 9 (2020) 2, pp. 1-17
agricultural commodity prices for the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (Int J Forecast … the total spillover effect was about 75%. This suggests a high interconnectedness of the selected agricultural commodity … positive spillover from commodity prices to price inflation. Based on these outcomes, several inherent policy implications for …
Persistent link: https://www.econbiz.de/10013288279
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The COVID-19 Effects on Agricultural Commodity Markets
Balcilar, Mehmet; Sertoglu, Kamil - 2021
This study examines the effect of the COVID-19 pandemic on major agricultural commodity prices (cattle, cocoa, coffee …-in-quantiles test was used to test the effect of the COVID-19 sentiment on agricultural commodity prices and price volatility. We found … significant causality from the news-based COVID-19 sentiment to mean of the agricultural commodity prices in the lower and upper …
Persistent link: https://www.econbiz.de/10013217577
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Spillover dynamics across price inflation and selected agricultural commodity prices
Balcilar, Mehmet; Bekun, Festus Victor - In: Journal of economic structures : JES; the official … 9 (2020) 2, pp. 1-17
agricultural commodity prices for the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (Int J Forecast … the total spillover effect was about 75%. This suggests a high interconnectedness of the selected agricultural commodity … positive spillover from commodity prices to price inflation. Based on these outcomes, several inherent policy implications for …
Persistent link: https://www.econbiz.de/10012256021
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The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach
Balcilar, Mehmet; Chang, Shinhye; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2014
findings show that the effect of oil prices on agricultural commodity prices varies across the different quantiles of the … is not necessarily at the mean. We show that due to nonlinear dependence between oil prices and agricultural commodity …
Persistent link: https://www.econbiz.de/10011095434
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The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - In: Economics: The Open-Access, Open-Assessment E-Journal 10 (2016) 2016-27, pp. 1-20
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011555275
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The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011443622
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Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2020
This study empirically examines the fragility of five major Asian economies (China, Hong Kong, India, Japan, and South Korea) to economic policy uncertainty (EPU) of US and EU, and oil prices in different state of the economies. To investigate these dynamics, we use the relative tail dependence...
Persistent link: https://www.econbiz.de/10012269952
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How Does the Economic Uncertainty Affect Asset Prices under Normal and Financial Distress Times?
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022
By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....
Persistent link: https://www.econbiz.de/10013351835
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On the risk spillover from Bitcoin to Altcoins: The fear of missing out and pump-and-dump scheme effects
Balcilar, Mehmet; Ozdemir, Huseyin - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-15
This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the disaggregate level. We apply a frequency connectedness approach to the daily data of 11 major cryptocurrencies for the period from 1 September 2017 to 2 March 2022. We try to...
Persistent link: https://www.econbiz.de/10014332816
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Effectives of Monetary Policy under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2021
This study examines the monetary policy effectiveness of five major Asian countries (China, Hong Kong, India, Japan, and South Korea) using a quantile vector autoregression (QVAR) model-based spillover estimation approach of Balcilar et al. (2020b) at different quantile paths. To do this, we...
Persistent link: https://www.econbiz.de/10012597566