This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and the EU member countries. The results show that in the early stages of the US financial crisis in 2007 and 2008, the direction of the volatility connectedness was from the US...

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Turkiye, 1980 askeri darbesiyle ara verilen demokrasiye yedi yil sonra yapilan serbest secimlerle geri dondu. Bu makalede, Turkiye imalat sanayiinde reel ucretler ve isyeri duzeyinde emek ve toplam faktor verimliliginin 1987’de demokrasiye gecis sonrasindaki hareketleri incelenmektedir....

We apply Diebold-Yilmaz spillover index methodology to monthly industrial production indices to study business cycle interdependence among G-6 industrialized countries since 1958. The business cycle spillover index fluctuates substantially over time, increasing especially after the 1973-75,...

This article focuses on the customs union (CU) already in effect for almost a decade and a half now and links the impact of the CU with the sources of support as well as resistance within Turkey to further integration with the EU. Overall the CU had a positive impact on Turkish economy through...

In a dynamic panel data framework, we investigate the factors influencing the export decision of the Turkish manufacturing plants over the 1990-2001 period. Our results support the presence of high sunk costs of entry to export markets, as well as the hypothesis that the full history of export...

This paper provides a dynamic analysis of the responsiveness of asset markets to monetary policy path revisions. In an era of increased transparency and gradualism in policy making, one might expect an increased response to path revisions in asset markets as the policy actions become more...

Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across U.S. stock, bond,...

Bu calismada TCMB para politikasi ile ilgili beklentilerin sermaye piyasalari uzerindeki etkisi incelenmektedir. Etkin piyasa hipotezinin (“efficient market hypothesis”) gecerli olmasi durumunda merkez bankasi tarafindan yapilan faiz karari aciklamasini takiben sermaye piyasalarinin sadece...

This article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes. Using the forecast error variance decomposition from a vector autoregression, we derive return and volatility spillover...