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Category: Makale

A Comparative Analysis of Country Ratings and Credit Default Swap Premiums in Determining Risk Premium in BRICS-T Countries

Posted on Wednesday April 1st, 2020Saturday April 4th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	A Comparative Analysis of Country Ratings and Credit Default Swap Premiums in Determining Risk Premium in BRICS-T Countries
Author(s):	Tansu Kutuk, Mustafa Okur
Volume:	11
Number:	2
Year:	2020
Page:	413-429
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.258

Abstract

Sovereign credit ratings have a significant impact on the costs of funds obtained from international markets. In this respect, the reliability and impartiality of credit ratings are very important, especially for developing countries. The aim of this study is to reveal how real the credit ratings of countries and institutions reflect the existing situation, how transparent and reliable the evaluation processes are. In order to investigate the effect of credit ratings; macroeconomic data, CDS premiums and banking-finance indices of BRICS-T countries were evaluated before and after the rating changes and analyzed with the help of tables and graphs. At this point, in order to analyze the impact of credit ratings to the banking sector; the selected public bank’s and country’s ratings were evaluated by analyzing the change in share prices and financial ratios of these banks. It was evidenced that movements in CDS premiums reflect the credit reliability of countries and the banks more realistically than the credit ratings. By extending the scope of the study with BRICS countries we differentiated if from the previous literature. In this regard, also an international dimension was added to the study.

Keywords:

Credit Ratings, BRICS Countries, Credit Default Swaps (CDS)

JEL Classification:

G15, G20, G21

Full Text ( ↓ 2569)

Impact of Changes in Foreign Investors Ownership on Return, Volatility and Liquidity: A Panel Data Analysis for BIST REIT Market

Posted on Wednesday April 1st, 2020Saturday April 4th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Impact of Changes in Foreign Investors Ownership on Return, Volatility and Liquidity: A Panel Data Analysis for BIST REIT Market
Author(s):	Saim Kilic, Ihsan Ugur Delikanli, Ali Alp
Volume:	11
Number:	2
Year:	2020
Page:	397-411
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.257

Abstract

This study aims to test the validity of base broadening hypothesis for the impact of changes in foreign investors’ ownership on the return, volatility and liquidity of the shares of the real estate investment trusts (REITs) traded in Borsa Istanbul between 2010 and 2018 by panel regression analysis. Results show that a statistically significant relation exists between the sudden changes in the ownership of the foreign investors and the return, liquidity and volatility of the shares for a short term (up to 3 months). So, it has been seen that base broadening hypothesis is not valid for a long period of time. Even if it can be claimed that price pressure hypothesis could prevail looking at the statistically significant relationship for a short time, it has been considered that this case emerged thanks to the domestic investors paying more court to the market with trading more shares when they were informed about the changes in foreign investors’ ownership depending on its nature as information content, not as a result of the traded shares actually by the foreign investors.

Keywords:

Foreign Investors, Base Broadening, Price Pressure, REIT, BIST

JEL Classification:

F32, G14, G16

Full Text ( ↓ 2561)

Estimation of the XU100 Index Return Volatility with the Integration of GARCH Family Models and ANN

Posted on Wednesday April 1st, 2020Saturday April 4th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Estimation of the XU100 Index Return Volatility with the Integration of GARCH Family Models and ANN
Author(s):	Fela Ozbey, Semin Paksoy
Volume:	11
Number:	2
Year:	2020
Page:	385-396
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.256

Abstract

To avoid market risk, besides portfolio diversification, investors are trying to model the volatility in the best way to reduce uncertainty. The most commonly used methods to model volatility are Autoregressive Conditional Heteroscedasticity family models. However, some studies published in recent years show that semi-parametric hybrid models which consist of the integration of Autoregressive Conditional Heteroscedasticity family models with the Artificial Neural Networks algorithm perform better than these simple models. In this study, the volatility of the Borsa İstanbul 100 price index return is estimated by the aforementioned simple and hybrid models, and the success of the hybrid models is compared with the success of their components. Two different distributions – Normal Distribution and Generalized Error Distribution – are assumed through the estimation process. Comparisons are performed using Mean Squared Error and Mean Absolute Deviation criteria. According to both criteria, the hybrid model composed of Exponential Generalized Autoregressive Conditional Heteroscedasticity – Artificial Neural Networks performed the best. In line with these findings, it is recommended to evaluate the advantages of hybrid models in dynamic risk analysis of financial instruments.

Keywords:

Volatility, Autoregressive Conditional Heteroskedasticity Models, Artificial Neural Networks, Hybrid Models, Semi-Parametric Methods, XU100 Index

JEL Classification:

C22, C45, C52, C58, G10

Full Text ( ↓ 2199)

The Relationship between Different Types of Risk and Stock Market Index: Causality Tests for Turkey

Posted on Wednesday April 1st, 2020Saturday April 4th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Relationship between Different Types of Risk and Stock Market Index: Causality Tests for Turkey
Author(s):	Yuksel Iltas
Volume:	11
Number:	2
Year:	2020
Page:	371-384
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.255

Abstract

This paper examines the relationship between economic, political, financial and geopolitical country risks and stock prices for the case of Turkey during the period 1999: 01-2014: 12. The causal relationship between risk premiums and BIST 100 index is analyzed through Toda-Yamamoto and Hacker and Hatemi-J (2012) causality tests. According to Toda-Yamamoto causality test’s results, while there is bidirectional causality between economic risk premium and BIST 100 index and between political risk premium and BIST 100 Index, there is no causality from financial risk premium and geopolitical risk premium to BIST 100 Index. According to the result of Hacker and Hatemi-J (2012) bootstrap causality test, while there is bi-directional causality between economic risk premium and BIST 100 index and between political risk premium and BIST 100 Index, there is no causality between financial risk premium and BIST 100 index and between geopolitical risk premium and BIST 100 Index. The results of Hacker and Hatemi-J (2012) bootstrap causality test confirm the results of the Toda-Yamamoto causality test. Causality tests performed in the study indicate the existence of bidirectional causality relationship among economic risk premium based on macroeconomic variables and political risk premium as an indicator of the country’s political environment, and stock prices.

Keywords:

Economic Risk, Political Risk, Financial Risk, Stock Prices, BIST100, Causality Tests

JEL Classification:

G00, G30, G32

Full Text ( ↓ 2192)

Analysis of Factors Affecting Internal Migration in Turkey: Spatial Panel Data Analysis

Posted on Wednesday April 1st, 2020Saturday April 4th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Analysis of Factors Affecting Internal Migration in Turkey: Spatial Panel Data Analysis
Author(s):	Hakan Ondes, Ozlem Ayvaz Kizilgol
Volume:	11
Number:	2
Year:	2020
Page:	353-369
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.254

Abstract

Immigration, which includes many different phenomena, results mainly in economic, environmental, social and cultural aspects. This study examines the effect of push and pull factors of internal migration in Turkey. In the 12 sub-regions of NUTS Level 1, the effects of various variables on internal migration for the period 2008-2017 were handled with spatial panel data models considering the spatial relationship between regions. Regions were divided into two groups as migration and emitter and the effects of the variables in the models were examined separately. Findings of the study, there are spatial relations in the field of emigration and immigration in Turkey. In other words, it shows that the migration structure of the neighboring region has a significant effect on the migration movement of the related region. Migration in regions, is more than Turkey’s average per capita income, increased employment and diversity of processed agricultural fields was obtained a positive relationship between migration. In migration regions, unemployment, imports and per capita income are the leading drivers. In particular, backwardness in the field of health and education has been the most important problem of the migrant regions. In addition, the insufficiency of suitable agricultural areas and the inability to generate income in this area have been an important factor in the migration of the population living in these regions.

Keywords:

Internal Migration, Socio-Economic Factors, Spatial Dependence, Fixed Effect Spatial Error Model, Turkey

JEL Classification:

C23, O15, R23

Full Text ( ↓ 2524)

The Relationship between Defense Spending and Economic Growth: The Case of Turkey

Posted on Wednesday April 1st, 2020Saturday April 4th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Relationship between Defense Spending and Economic Growth: The Case of Turkey
Author(s):	Ceylan Karakaya, Tuba Sahinoglu
Volume:	11
Number:	2
Year:	2020
Page:	335-351
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.253

Abstract

Defense spending is an important factor in ensuring the internal and external security of the country. The threats created by different countries or regions for each other cause them to turn to defense spending. Defense expenditures which are carried out to protect national security, have significant effects on the national economy as well. Therefore, the aim of working is to examine the relationship between defense spending and economic growth for Turkish economy. For this purpose, the presence and direction of the impact of defense spending on economic growth in Turkey, was investigated using the 1984-2016 annual data by ARDL (Autoregressive Distributed Lag Model) Bounds Test and Johansen Cointegration Test. Technological development variable is also included in the analysis. Johansen cointegration test results suggests the existence of a negative relationship in the long term for Turkey’s economy. The results of ARDL bounds test show that both defense expenditures and technological change have a positive effect on economic growth in the long and short term. On the other hand, according to Granger causality test results, there is a bidirectional causality relationship between defense expenditures and economic growth.

Keywords:

Public Expenditures, Defense Expenditures, Economic Growth, ARDL Bounds Test, Johansen Cointegration Test

JEL Classification:

C32, H56, O38

Full Text ( ↓ 4090)

The Effects of Exchange Rates on CPI and PPI

Posted on Wednesday April 1st, 2020Sunday April 12th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Effects of Exchange Rates on CPI and PPI
Author(s):	Akin Usupbeyli, Sefer Ucak
Volume:	11
Number:	1
Year:	2020
Page:	323-334
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.252

Abstract

Strong correlation between exchange rate fluctuations and inflation rates in developing countries makes important to measure the impact of the exchange rate on domestic prices, especially for the countries applying an inflation targeting, like Turkey. Besides, in the countries having high import dependency in energy and intermediate goods, the transition of an increase in the exchange rates to domestic prices is complete. This study examines the effects of exchange rates (US Dollar) fluctuations (ER) on consumer price index (CPI) and producer price index (PPI) between 2003:01-2019:10 in Turkey. As ER series is [I(1)] and CPI and PPI series are [I(0)], ARDL model is applied. Results show that there exists a cointegration between the series and there is a bidirectional causality between CPI and ER; unidirectional relation from ER to PPI. No causality is detected from PPI to ER. When the short-run relationship between ER and CPI is examined, it was found that a depreciation in ER in Turkey causes increase in CPI. Similar results are found for the relation between ER and PPI.

Keywords:

Exchange Rate, Inflation, Consumer Price Index, Pass Through, ARDL Bounds Test

JEL Classification:

F10, F31, C10

Full Text ( ↓ 3339)

The Effects of Sudden Stops on the Turkish Economy: A Structural VAR Approach

Posted on Wednesday April 1st, 2020Sunday April 12th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Effects of Sudden Stops on the Turkish Economy: A Structural VAR Approach
Author(s):	Bilge Kagan Ozdemir, Mehmet Obekcan
Volume:	11
Number:	2
Year:	2020
Page:	307-321
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.251

Abstract

This study investigates the effects of the sudden stop problem on the economic performance of emerging market economies in Turkey sampling. In this context, this study is driven by small-open economy assumption and Fed effective funds rate used as an external triggering factor that causes sudden stop by taking into account the related literature. To evaluate the effects of sudden stop problem on domestic economy, interest rate, credits to private sector, current account balance, current financial account, real effective exchange rate, consumer price index and industrial production index are selected as domestic variables which supposed related to the resilience of sudden stops. Data, which used in the study, are monthly and they span from 2003:01 to 2019:09. In addition, the SVAR model with block exogeneity is applied as empirical method. The results of the study show that an unexpected increase in Fed effective interest rate trigger to decreases in capital inflow. As capital inflow decreases, real effective exchange rate, credits to private sector and industrial production decreases, also interest rate and consumer price index and current account balance increase. These results suggest that external factors are effective in triggering sudden stop problem.

Keywords:

Capital Inflows, Sudden Stop, External Shocks, SVAR, Block Exogeneity

JEL Classification:

E44 F32 F34

Full Text ( ↓ 2377)

The Effect of Trust in Functional Foods on Willingness to Buy: The Moderating Role of General Health Interest

Posted on Wednesday January 22nd, 2020Friday January 24th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Effect of Trust in Functional Foods on Willingness to Buy: The Moderating Role of General Health Interest
Author(s):	Yusuf Arslan
Volume:	11
Number:	1
Year:	2020
Page:	279-291
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.250

Abstract

The functional food market is growing day by day all over the world and especially in Europe. The market in Turkey has not yet been sufficiently developed, stands out as one of the fastest-growing markets in the world. However, when the literature is examined, it is seen that market mechanisms for functional foods are not adequately addressed and understood from the consumer perspective. In this context, this study focuses on the antecedents determining the consumers’ willingness to buy of functional foods in order to provide insight from the consumer perspective. In this context, in order to contribute to the consumer perspective, this study focuses on consumer trust and interest, which are important antecedents determining the functional food preferences of consumers. Within this focus, it is aimed to understand whether trust in functional foods affects the decisions of purchasing these products and whether consumer health interest plays a role in this relationship. The research hypotheses were tested with data collected from 373 consumers by means of a questionnaire created to achieve this aim. According to the findings, it is concluded that there is a positive relationship between consumer trust and willingness to buy functional foods, and consumer health interest has a moderator effect on this relationship. These results provide information that can be benefited especially by food sector players, while contributing to marketing literature in the context of understanding consumer-based antecedents of functional food consumption.

Keywords:

Functional Foods, Consumer Trust, Health Interest, Moderating Effect, Willingness To Buy

JEL Classification:

M10, M31

Full Text ( ↓ 2409)

Impact of Materialistic Values on Impulsive and Compulsive Consumption via Status Consumption: A Research on Young Consumers

Posted on Wednesday January 22nd, 2020Friday January 24th, 2020 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Impact of Materialistic Values on Impulsive and Compulsive Consumption via Status Consumption: A Research on Young Consumers
Author(s):	Emrah Tokgoz
Volume:	11
Number:	1
Year:	2020
Page:	261-278
ISSN:	2619-9491
DOI Number:	10.20409/berj.2020.249

Abstract

The impulsive and compulsive consumption that consumers cannot control has become a threat to individuals and countries due to their negative economic and social consequences. Materialism and status consumption are important negative personality traits underlying various consumers’ behaviors. In this research, it is aimed to explore the impact of materialistic values and status consumption on impulsive and compulsive consumption. Cluster sampling method was chosen as sampling method. Students aged 17 to 24 year-olds were selected and 589 usable completed questionnaires were received by using self-completion survey method. According to the results of the model, materialistic values has significant and positive direct impact on status, impulsive and compulsive consumption respectively. In research model, since impact of status consumption on compulsive consumption is not significant, materialistic values have impact on compulsive consumption via status and impulsive consumption.

Keywords:

Materialistic Values, Status Consumption, Impulsive Consumption, Compulsive Consumption

JEL Classification:

M30, M31

Full Text ( ↓ 2510)