Yazar "Kara, Erkan" seçeneğine göre listele

Listeleniyor 1 - 4 / 4
  • Küçük Resim
    Öğe
    Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?
    (Elsevier B.V., 2024) Bouri, Elie; Gök, Remzi; Gemi̇ci̇, Eray; Kara, Erkan
    This paper examines the impact of three global risk factors (geopolitical risk (GPR), economic policy uncertainty (EPU), and crude oil volatility (OVX)) on the returns and variance of commodity, Islamic stock, and green bond markets across quantile distributions and various time horizons. To this end, Granger causality tests in quantiles and distributions along with wavelet-based correlation and causality approaches are applied to daily data from February 1, 2013 to June 30, 2023. The results of the Granger causality in quantiles tests show strong evidence that all three global risk factors Granger-cause returns across all quantiles, except the lowest and middle quantiles. The Granger causality is significant for both returns and variances, where GPR is the least predictor and OVX is the most predictor. Evidence of causation in risk spillovers is in the right tail and center of the distribution rather than the left tail, indicating no evidence of down-to-down risk spillover. The upside risk of OVX causes both the upside and downside risk of asset returns. The positive volatility of EPU and GPR drives the positive and negative volatility of the green bond and Islamic stock markets, respectively. Green bond markets are completely immune to risk spillover from geopolitical risks. The effects of risk factors are negligible at the lower and somewhat middle quantiles but strengthen with varying magnitude and significance for the remaining quantiles. The results of the wavelet analysis indicate that asset returns co-move with the global risk factors in the short term but decouple in the longer term. Risk factors exert short-lived causal impacts in the short term, but the duration of significant causal periods rises with time and the effect intensifies during crisis periods.
  • Küçük Resim
    Öğe
    Impacts of the Covid-19 pandemic on the agricultural prices: New insights from CWT granger causality test
    (Ekonomi ve Finansal Araştırmalar Derneği, 2020) Gök, Remzi; Kara, Erkan
    In this paper, the impacts of the Covid-19 mortality rates on the agricultural spot prices were investigated by using both standard techniques and wavelet-based cohesion and Granger causality tests. Our dataset consisted of daily observations of the mortality rates as well as corn, oats, rapeseed, rice, soybeans, and wheat prices during the period January 22 to September 18, 2020. The findings of the paper revealed that the mortality rate was cointegrated with the prices of corn, oats, rapeseed, and soybeans. Further, the VECM results showed that the mortality rate unidirectionally Granger-caused the corn and rapeseed prices in the longrun, and the oat prices in the short- and long-run. On the other hand, the wavelet cohesion results revealed that the dynamics of the interdependence of the underlying variables were time-varying and heterogeneous over time horizons. The wavelet-based Granger-causality test, however, indicated that the mortality rates negatively caused most of the agricultural prices. These findings yield some important implications for policymakers.
  • Küçük Resim
    Öğe
    Testing for causality among CDS, interest, and exchange rates: New evidence from the Granger Coherence analysis
    (Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 2021) Gök, Remzi; Kara, Erkan
    We study the relationship between weekly and monthlyobservations of CDS, interest, and exchange rates(USDTRY) during 2005-2020 in Turkey. The findingssuggest a positive relationship between the variables.The bivariate Granger Coherence approach indicatesthat the dynamic causal and reverse causal interactionsmainly intensify in the short- and intermediate-term.Using a bootstrap time-varying causality approach with afixed size of 37 weeks, the casual linkages are strong butnot homogenous in both non-crisis and crisis periods.There is also a unidirectional causality running frominterest rates to foreign exchange rates during theperiod of COVID-19, yielding important implications forinvestors and policymakers.
  • Küçük Resim
    Öğe
    Time-varying and quantile-based relationship among geopolitical risks, oil, and gold prices
    (Vilnius University Press, 2022) Kara, Erkan; Gök, Remzi
    This paper probes the relationship between geopolitical risks (GPR), WTI oil, and gold prices utilizing the time-varying causality and quantile regression approaches. The sample period spans from January 1986 to January 2022, comprising 433 monthly observations and representing the longest common period of data availability. The results show that there is no causality between the pairs of GPR–WTI, and GPR–gold prices for the full sample period, while the causality between gold and WTI is unidirectional, running from gold to WTI. Using the rolling causality test, however, the findings show that the dynamic causal relations strengthen over time. The Granger causality from the gold prices to GPR and WTI is stronger than the other way around, suggesting that the gold market dominates the other two variables in terms of strength of the lead-lag structure of causality. Besides, the findings reveal the strongest causation effects between GPR and WTI spot prices. Before 2009, the causal relationship between WTI and GPR is mostly unidirectional while also a bidirectional linkage emerges, coinciding with the crisis periods including the Dot-Com and 2007 US Subprime crises. During the causal periods, these variables respond negatively to changes in others. For the COVID19 period, the direction of causality considerably changes in favor of WTI for the GPR–WTI pair whereas it is unchanged for the WTI–gold pair. The results indicate that WTI has positive and negative predictive powers for GPR and gold while it receives negative and positive causation effects from GPR and gold during the pandemic, respectively. The results, in overall, may offer important insights for investors and regulatory authorities in building portfolio and risk management strategies as well as pricing and trading activities and constructing monetary policies over various market conditions.