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Öğe Forecasting with second-order approximations and markov-switching DSGE models(Springer, 2020) Ivashchenko, Sergey; Çekin, Semih Emre; Kotze, Kevin; Gupta, Rangan; Çekin, Semih EmreThis paper considers the out-of-sample forecasting performance of first- and second-order perturbation approximations for DSGE models that incorporate Markov-switching behaviour in the policy reaction function and the volatility of shocks. The results suggest that second-order approximations provide an improved forecasting performance in models that do not allow for regime-switching, while for the MS-DSGE models, a first-order approximation would appear to provide better out-of-sample properties. In addition, we find that over short-horizons, the MS-DSGE models provide superior forecasting results when compared to those models that do not allow for regime-switching (at both perturbation orders).Öğe Inflation persistence in Turkey: a TVP-estimation approach(Elsevier B.V., 2020) Bilici, Berk; Çekin, Semih EmreWe analyze inflation dynamics in Turkey by estimating inflation persistence for the period 1990–2018. Inflation persistence is defined as the speed with which inflation returns to its equilibrium level (long-term mean) after a shock and we apply a time-varying parameter estimation method based on the Kalman filter. We find that inflation persistence increases and exhibits high volatility in periods of high inflation in which inflation expectations and pricing behaviors are negatively affected. We further find that with institutional changes in the conduct of monetary policy, inflation started to decline after 2003 and inflation became less persistent. Monetary policy appears to be effective at maintaining price stability until 2016. Empirical results show that there is a significant rise in inflation persistence starting in 2016 accompanied by an upward trend in inflation. © 2020 Board of Trustees of the University of IllinoisÖğe Inflation targeting, fiscal policy, and the exchange rate regime(Routledge Journals, Taylor & Francis Ltd, 2018) Çekin, Semih EmreUntil recently, Turkey's economy was characterized by high inflation, undisciplined public finance management, and a fragile banking system and experienced multiple economic crises. After the economy was hit by another crisis in 2001, the central bank became independent, adopted inflation targeting as the monetary policy framework, and implemented reforms to adopt a more stringent fiscal policy. Inflation rates decreased to single-digit levels within 3 years after the independence of the central bank. This article analyzes the end of the high inflation period in the context of monetary and fiscal policy interactions within a Markov-Switching Dynamic Stochastic General Equilibrium model in which monetary and fiscal policies are allowed to switch between different regimes.Öğe Inflation volatility and inflation in the wake of the great recession(Physica-Verlag Gmbh & Co, 2020) Çekin, Semih Emre; Valcarcel, Victor J.A reduced-form investigation reveals that the relationship between the level of inflation and its volatility in the USA may not have been monotonic. This paper quantifies a reversal of the relationship by considering linear and nonlinear estimation methodologies on the trend and volatility of inflation. Our findings suggest that the spikes in inflation volatility in the period after 2008 are related to transitory, rather than permanent movements in inflation, suggesting that the US Great Moderation period may be merely on hold, rather than over with.Öğe Influence of german monetary policymaking on the ECB: obstacle or opportunity?(Peter Lang Publishing Group, 2020) Çekin, Semih EmreSemih Emre Çekin Influence of German Monetary Policymaking on the ECB: Obstacle or Opportunity? “I certainly would not say that we are ‘just’ one of 17 central banks. We are the largest and most important central bank in the Eurosystem and we have a greater say than many other central banks in the Eurosystem. This means that we have a different role. We are the central bank that is most active in the public debate on the future of monetary union.”1 Jens Weidmann, President of the Bundesbank, 27 June 2012 “Within our mandate, the ECB is ready to do whatever it takes to preserve the euro. And believe me, it will be enough.”2 Mario Draghi, President of the ECB, 26 July 2012 Introduction With a nominal Gross Domestic Product (GDP) of about 19 trillion Dollars in 2018, the European Union is one of the most important economic blocs in the world. The bloc, which consists of 27 countries (without the UK) in 2019, was established in 1951 with the Paris Treaty and later resulted in the Treaty of Rome with the aim of establishing a common market. The resulting new “European Economic Community” (EEC) consisted of only six countries initially but grew with the fall of the iron curtain and eventually included most eastern European economies as well. While economic integration was not very deep following the Treaty of Rome, the 1990…. © Peter Lang GmbH.Öğe Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas(Elsevier Science Inc, 2020) Çekin, Semih Emre; Pradhan, Ashis Kumar; Tiwari, Aviral Kumar; Gupta, RanganWe analyze the dependence structure of economic policy uncertainty in four Latin American economies (Brazil, Chile, Colombia, Mexico) using vine copula modeling with various forms of tail dependence. Our results suggest that there are significant dependencies in economic uncertainty among the economies considered and that tail dependence is more prevalent in the period preceding the Global Financial Crisis and becomes less relevant in the post-crisis period. Previous works suggest that uncertainty in economic activity can have substantial effects on economic issues ranging from business cycles to contagion effects of financial crises. Correspondingly, our results have significant implications on the analysis of macroeconomic activity and contagion of financial crises, especially for emerging economies. (C) 2019 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.Öğe Monetary policy co-movement and spillover of shocks among BRICS economies(Routledge Journals, Taylor & Francis Ltd, 2019) Çekin, Semih Emre; Geremew, Menelik S.; Marfatia, HardikThe 2008 global financial crisis has revealed the possibility of cross-border spillover effects of domestic Monetary Policy (MP) on financial stability and capital flows around the world. Recognizing these facts, Central Banks in Advanced Economies (AE) have undertaken simultaneous Monetary Policy actions to minimize collateral damage and contain financial risks. In this paper, we investigate whether a similar spillover and co-movement of Monetary Policy exist among BRICS countries. Specifically, we study the transmission of monetary policy shocks among the member countries using monthly data. We use the method of Principal Component Analysis (PCA) and Vector Autoregression Model to identify possible dynamic relationships. Our results indicate possible co-movement in interest rates and significant cross-border transmission of monetary policy shocks among the BRICS countries.Öğe The EU as an anchor for Turkey's macroeconomic and trade policy(Springer International Publishing, 2021) Akman, Mehmet Sait; Çekin, Semih EmreEU-Turkey relations have been subject to manifold ups and downs for decades. The EU's role in Turkey's domestic transformation has long been a matter of interest to the academic community. This chapter examines to what extent and under what conditions the EU has served as an anchor for the Turkish economy during the last two decades, focusing on the effects of the EU anchor on Turkey's macroeconomic and trade policy. It finds that maintaining a European anchor after the Helsinki European Council helped Turkey realize much-desired comprehensive macroeconomic reforms, especially during times when the EU anchor was combined with another multilateral anchor. Nevertheless, the EU's anchor-providing role has not been consistent and amidst changing political circumstances it is no longer considered an 'elixir' for the Turkish economy. The establishment of the Customs Union (CU) is revealed to have been a significant driver of the transformation of Turkey's trade policy. While the trade partnership remains one of the few well-functioning aspects of the volatile bilateral dialogue between the EU and Turkey, the EU's role in the trade policy arena is diminishing, and the upgrading of the CU remains vital to achieve further momentum and enhance mutual gains. © The Author(s) 2021.Öğe The relationship between monetary policy and uncertainty in advanced economies: evidence from time- and frequency-domains(Elsevier B.V., 2020) Çekin, Semih Emre; Hkiri, Besma; Tiwari, Aviral Kumar; Gupta, RanganIn this work we offer new insight into the relationship between interest rates and uncertainty for several advanced economies (Canada, Euro Area, Japan, UK, US) for the period 2003?2018. For this purpose, we utilize wavelets, which allow us to analyze how the relationship changes over time and across different frequencies, and to make inference about causality. We also use the daily shadow interest rate measure of Krippner (2012), (2013) to capture the stance of monetary policy making at the zero lower bound, and the uncertainty measure by Scotti (2016) to measure uncertainty related to the real economy. Our findings suggest that there is significant co-movement over time and across different frequencies in all the countries we analyze. Corresponding to the similar, yet different conduct of monetary policy, we also find that the relationship exhibits different characteristics and causality in all the economies we analyze, implying that one must be careful not to draw generalized conclusions. © 2020Öğe The Taylor curve: international evidence(Taylor & Francis Online, 2021) Çekin, Semih Emre; Gupta, Rangan; Olson, EricWe use the Taylor curve to gauge deviations of monetary policy from an efficiency locus for the United Kingdom (UK) and the four largest economies of the Eurozone (Germany, France, Italy, Spain) for the period 2000–2018. For this purpose, we use shadow interest rates, which is a common metric for both conventional and unconventional monetary policies, and the newly proposed Hamilton-filter to measure output gap, which improves upon the drawbacks of the traditionally used Hodrick–Prescott filter. Our findings suggest that deviations in the UK mostly occurred amid the global financial crisis and the post-Brexit period, whereas Eurozone members experienced more volatile deviations around 2001, during the global financial crisis and the Eurozone sovereign debt crisis.Öğe Ticaret savaşlarının uluslararası ticaret ve reel ekonomiye etkisi(2020) Çekin, Semih Emre; Nuroğlu, ElifUluslararası ticarette korumacılık akımları bazı dönemlerde azalmakta, bazı dönemlerde ise artmaktadır. Bu çalışma, 2008 yılından itibaren dünya ticaretinde düzeyi gittikçe artan korumacılık hakkında kapsamlı bir literatür taraması ortaya koyar. Makale, ticaret savaşlarından doğrudan ve dolaylı olarak etkilenmesi muhtemel olan ülkelerdeki dış ticaret göstergeleri ve makro iktisadi değişkenlerin, ticaret politikasındaki belirsizlikten ne ölçüde etkilendiğini panel vektör otoregresyon yöntemi ile tespit etmeyi amaçlar. Bu çalışmanın bulguları, gelişmiş ülkeleri temsil eden ABD ve Japonya’da ticaret politikası belirsizliğinin hisse senedi piyasalarını ve reel ekonomiyi etkilediğini, Japonya’da hisse senedi piyasalarının, ABD’de ise reel ekonominin daha çok etkilendiğini ortaya koymaktadır. Yükselmekte olan ekonomileri temsil eden BRICS ülkeleri (Brezilya, Rusya, Hindistan, Çin Halk Cumhuriyeti, Güney Afrika) ve Türkiye’de ise, ABD kaynaklı ticaret politikası belirsizlikleri Çin Halk Cumhuriyeti’ni daha çok ticaret dengesi açısından, Türkiye’yi ise enflasyon açısından olumsuz etkilemektedir.
