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Browsing by UP Author "Balcilar, Mehmet"
Now showing items 1-20 of 88
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Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl (Tennessee State University College of Business, 2016)The successful conduct of monetary policy relies on accurately characterising inflation's data generating properties. Monetary policy errors that allow inflation to transition to a high inflation regime that is very ...
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Balcilar, Mehmet; Jooste, Charl; Hammoudeh, Shawkat; Gupta, Rangan; Babalos, Vassilios (Routledge, 2015)We compare a nonlinear (time-varying) cointegration test with the standard cointegration test in studying the long-run relationship of the Dow Jones Islamic finance index with three other conventional global equity ...
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Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Yetkiner, Hakan (Elsevier, 2014-12)The aim of this paper is to identify bubbles in oil prices by using the ‘‘exponential fitting’’ methodology proposed by Watanabe et al. (2007) [28,29].Weuse the daily US dollar closing crude oil prices of West Texas ...
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Aye, Goodness Chioma; Balcilar, Mehmet; Montasser, Ghassen; Gupta, Rangan; Manjezi, N.C. (Chamber of Commerce of Genova, 2016-02)This paper investigates the in-sample predictability of debt ceiling and government shutdown for real stock returns in the U.S, using rolling window Granger non-causality estimation. Causal links often evolve over time ...
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Balcilar, Mehmet; Bouri, Elie; Gupta, Rangan; Roubaud, David (Elsevier, 2017-08)Prior studies on the price formation in the Bitcoin market consider the role of Bitcoin transactions at the conditional mean of the returns distribution. This study employs in contrast a non-parametric causality-inquantiles test ...
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Balcilar, Mehmet; Gupta, Rangan; Nguyen, Duc Khuong; Wohar, Mark E. (Routledge, 2018)This article adopts a nonparametric quantile causality approach to examine the causal effects of the U.S. and Japan stock markets on the stock markets of the Pacific-Rim region. This approach allows us to detect not only ...
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Li, Xiao-lin; Balcilar, Mehmet; Gupta, Rangan; Chang, Tsangyao (Routledge, 2016-03)This article applies a bootstrap rolling-window causality test to assess the causal relationship between economic policy uncertainty (EPU) and stock returns in China and India. Empirical literature examining causality ...
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Ajmi, Ahdi Noomen; Aye, Goodness Chioma; Balcilar, Mehmet; Gupta, Rangan (Tennessee State University College of Business, 2015-03)This paper investigates the dynamic causal link between exports and economic growth using both linear and nonlinear Granger causality tests. We use annual South African data on real exports and real gross domestic product ...
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Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi Noomen; Aye, Goodness Chioma; Gupta, Rangan; Van Eyden, Renee (Elsevier, 2015-09)This study investigates the asymmetric and time-varying causalities between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. ...
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Ajmi, Ahdi Noomen; Aye, Goodness Chioma; Balcilar, Mehmet; El Montasser, Ghassen; Gupta, Rangan (Elsevier, 2015-11)This paper examines the causal relationship between economic policy uncertainty (EPU) and equity market uncertainty (EMU) in the US using linear and nonlinear Granger causality tests. We use daily data on the newly developed ...
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Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl; Ranjbar, Omid (Chamber of Commerce of Genova, 2016-02)We test for a unit root in de-trended GDP in a two-state Markov switching specification using a modified Augmented Dickey-Fuller test. Our results show that a first difference GDP specification is preferred over the ...
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Chang, Tsangyao; Li, Xiao-lin; Miller, Stephen M.; Balcilar, Mehmet; Gupta, Rangan (Elsevier, 2015-07)This study applies wavelet analysis to examine the relationship between the U.S. housing and stockmarkets over the period 1890–2012.Wavelet analysis allows the simultaneous examination of co-movement and causality between ...
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Balcilar, Mehmet; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2017-01)This paper investigates the role of permanent and transitory shocks, within the framework of common cycles and common trends, in explaining stock and oil prices. We perform a multivariate variance decomposition analysis ...
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Balcilar, Mehmet; Gupta, Rangan; Van Eyden, Renee; Thompson, Kirsten L.; Majumdar, Anandamayee (Elsevier, 2018-08)In this paper we test the forecasting ability of three estimated financial conditions indices (FCIs) with respect to key macroeconomic variables of output growth, inflation and interest rates. We do this by forecasting the ...
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Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan (Leibniz Information Centre for Economics, 2018-03)In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when ...
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Balcilar, Mehmet; Demirer, Riza; Gupta, Rangan; Wohar, Mark E. (Springer, 2018-04)This paper examines whether the differences of opinion across active money managers relates to stock market volatility via the recently proposed nonparametric causality-in-quantiles test. Using the dispersion in equity ...
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Balcilar, Mehmet; Gupta, Rangan; Sousac, Ricardo M.; Wohar, Mark E. (Elsevier, 2017-03)We use a nonparametric causality-in-quantiles test to compare the predictive ability of the consumption-wealth ratio (cay) and the Markov Switching version (cayMS) for excess and real stock and housing returns and their ...
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Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan (Elsevier, 2017-04)In this paper we test whether the key metals prices of gold and platinum significantly improve inflation forecasts for the South African economy. We also test whether controlling for conditional correlations in a dynamic ...
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Balcilar, Mehmet; Demirer, Riza; Gupta, Rangan (MDPI Publishing, 2017-10-04)This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and ...
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Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian; Wohar, Mark E. (Elsevier, 2017-07)While much significant research has been done to study the effects of terror attacks on stock markets, less is known about the response of exchange rates to terror attacks. We suggest a non-parametric causality-in-quantiles ...
Now showing items 1-20 of 88