1,720,984 research outputs found
Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets
No full textCifter, Atilla/0000-0002-4365-742XThis paper introduces wavelet-based extreme value theory (EVT) for univariate value-at-risk estimation. Wavelets and EVT are combined for volatility forecasting to estimate a hybrid model. In the first stage, wavelets are used as a threshold in generalized Pareto distribution, and in the second stage, EVT is applied with a wavelet-based threshold. This new model is applied to two major emerging stock markets: the Istanbul Stock Exchange (ISE) and the Budapest Stock Exchange (BUX). The relative performance of wavelet-based EVT is benchmarked against the Riskmetrics-EWMA, ARMA-GARCH, generalized Pareto distribution, and conditional generalized Pareto distribution models. The empirical results show that the wavelet-based extreme value theory increases predictive performance of financial forecasting according to number of violations and tail-loss tests. The superior forecasting performance of the wavelet-based EVT model is also consistent with Basel II requirements, and this new model can be used by financial institutions as well. (C) 2011 Elsevier B.V. All rights reserved
The Monetary Transmission Mechanism in the New Economy
No full textThe Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006) This study aimed to test the money base, money supply, credit capacity, industrial production index, interest rates, inflation and real exchange rate data of Turkey during the years 1997 - 2006. These were tested through the monetary transmission mechanism and passive money hypothesis, using the vector error correction model-based causality test. Empirical findings showed that the passive money supply hypothesis of the new Keynesian economy is supported in part by accommodationalist views and differs from those of structuralist and liquidity preference theories. However, the monetary transmission mechanism has established that long-term money supply only affects general price levels, while production is influenced by interest rates in the new period of the Turkish economy. Empirical findings show that in this new period, interest transmission mechanisms are at the forefront
Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey
No full textIn this paper, we investigate the relationship between industrial production and sectoral credit defaults (non-performing loans ratio) cycle by wavelet network analysis in Turkey over the period January 2001-November 2007. We use feedforward neural network based wavelet decomposition to analyze the contemporaneous connection between industrial production cycles and sectoral credit default cycles at different time scales between 2 and 64 months. The main findings for Turkey indicates that industrial production cycles effect the sectoral credit default cycles at different time scales and thus indicate that the creditors should consider the multiscale sectoral cycles in order to minimize credit default rates. (C) 2009 Elsevier B.V. All rights reserved
Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets
No full textLong-term memory effect in stock prices might be captured, if any, with alternative models. Though Geweke and Porter-Hudak (1983) test model the long memory with the OLS estimator, a new approach based on wavelets analysis provide WOLS estimator for the memory effect. This article examines the long-term memory of the Istanbul Stock Index with the Daubechies-20, Daubechies-12, the Daubechies-4 and the Haar wavelets and compares the results of the WOLS estimators with that of OLS estimator based on the Geweke and Porter-Hudak test. While the results of the GPH test imply that the stock returns are memoryless, fractional integration parameters based on the Daubechies wavelets display that there is an explicit long-memory effect in the stock returns. The research results have both methodological and practical crucial conclusions. On the theoretical side, the wavelet based OLS estimator is superior in modeling the behaviours of the stock returns in emerging markets where nonlinearities and high volatility exist due to their chaotic natures. For practical aims, on the other hand, the results show that the Istanbul Stock Exchange is not in the weak-form efficient because the prices have memories that are not reflected in the prices, yet.Long-term memory; Wavelets; Stock prices; GPH test
Working capital management and firm performance in the hospitality and tourism industry
Get PDFThe aim of this study is to provide empirical evidence concerning the effects of working capital on firm performance in the hospitality and tourism industry. We identify an inverted U-shaped relationship between working capital and firm performance. More specifically, the U-shaped relationship exists for accommodation, food and travel firms. In contrast, a positive linear relationship is valid for sport firms while changes in working capital have no effect on performance for gambling firms. To the best of our knowledge, this study is the first empirical research study to extend cross-country analysis in respect of sub-hospitality and tourism industries to a worldwide context. The findings suggest that hospitality and tourism managers should consider the diversity of relationships between working capital and firm performance in sub-hospitality and tourism industries when deciding on an appropriate strategy for working capital management
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006)
Get PDFThis study aims to test the money base, money supply, credit capacity, industrial production index, interest rates, inflation and real exchange rate data of Turkey during the years 1997 – 2006 through the monetary transmission mechanism and passive money hypothesis using the vector error correction model based causality test. Empirical findings show that the passive money supply hypothesis of the new Keynesian economy is supported in part by accommodationalist views and they do not confirm to the view points of structuralist and liquidity preference theorist. However, according to the monetary transmission mechanism it has been established that long-term money supply only affects general price levels and production is influenced by interest rates in the new economy period for Turkish economy. Empirical findings show that in the new economy period interest transmission mechanism are brought to the fore.Monetary transmission mechanism; money supply endogeneity; Credit; New Keynesian Economy
The Effect of Scale on Productivity of Turkish Banks in the Post-Crises Period: An Application of Data Envelopment Analysis
Get PDFThe purpose of this paper is to investigate the productivity of Turkish Banks according to the
effect of scale in the Post-Crises Period. The data used in this study covers the period from
2002:1 to 2004:3. We applied Data Envelopment Analysis (DEA), which is a non-parametric
linear programming-based technique for measuring relative performance of decision-making
units (DMUs). We calculated DEA as constant & variable return-to-scale based on output
oriented Malmquist Index. Although the scale effect can be measured with DEA scale efficiency
measurement, we used scale indicators as input variables in order to find out not only scale
efficiency but also scale affect directly. We applied DEA by using financial ratios
(Athanassopoulos and Ballantine, 1995; Yeh, 1996) and branch & personel number indicators.
This study uses five input variables as i) branch numbers, ii) personnel number per branch, iii)
share in total assets, iv) share in total loans, v) share in total deposits; and five output variables
as i) net profit-losses/total assets (ROA), ii) net profit-losses/total shareholders equity (ROE),
iii) net interest income/total assets, iv) net interest income/ total operating income, and v) noninterest
income/total assets. We find that difference in efficiency is mainly from technical
efficiency rather than scale efficiency in the post-crises period. The other finding reveals that
efficiency approximate between selected banks and supporting that advantage of scale
economies can be lost in Turkish banking. Overall, the results confirm that Turkish banking has
U shaped Scale Efficiency on selected profitability ratios. The application of this paper based
on other financial ratios with decreasing and increasing return-to-scale DEA is left to future
research
Estimating the Effects of Interest Rates on Share Prices Using Multi-scale Causality Test in Emerging Markets: Evidence from Turkey
Get PDFThis paper examines the impacts of changes in interest rates on stock returns by using wavelet analysis with Granger causality test. Financial time series in non-coherent markets should be analyzed by advanced methods capturing complexity of the markets and non-linearities in stock returns. As a semi-parametric method, wavelets analysis might be superior to detect the chaotic patterns in the non-coherent markets. By using daily closing values of the ISE 100 Index and compounded interest rates, it is proven that and starting with 9 days time-scale effect interest rate is granger cause of ISE 100 index and the effects of interest rates on stock return increases with higher time-scales. This evidence shows that bond market has significant long-term effect on stock market for Turkey and traders should consider long-term money markets changes as well as short-term changes
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