Yazar "Balcılar, Mehmet" için listeleme
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Do oil prices and exchange rates account for agricultural commodity market spillovers? Evidence from the Diebold and Yilmaz Index
Balcılar, Mehmet; Bekun, Festus Victor (AGRICULTURAL ECON ASSOC SOUTH AFRICA, DEPT AGRICULTURAL ECON, PRIVATE BAG X1, MATIELAND, 7602, SOUTH AFRICA, 2020)This paper examines the nature of interconnectedness between the returns of the price of oil and foreign exchange on selected agricultural commodity prices. To do this, the authors leverage the novel methodology of a ... -
Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold
Balcılar, Mehmet; Demirer, Rıza; Bekun, Festus Victor (MDPI, ST ALBAN-ANLAGE 66, CH-4052 BASEL, SWITZERLAND, 2021)This paper introduces a new methodology to estimate time-varying alphas and betas in conditional factor models, which allows substantial flexibility in a time-varying framework. To circumvent problems associated with the ... -
Housing sector and economic policy uncertainty: A GMM panel VAR approach
Balcılar, Mehmet; Roubaud, David; Uzuner, Gizem; Wohar, Mark E. (ELSEVIER, RADARWEG 29, 1043 NX AMSTERDAM, NETHERLANDS, 2021)This study is aimed at examining the dynamic relationship between real housing prices (RHP) return and economic policy uncertainty (EPU) using a panel vector autoregressive (PVAR) approach and annual data for a panel of ...
