Copyright (c) 2009 All rights reserved. http://works.bepress.com/yilmazkuday Recent documents in HAKAN YILMAZKUDAY en-us Thu, 20 Aug 2009 19:35:51 PDT 3600 http://works.bepress.com/yilmazkuday/22 http://works.bepress.com/yilmazkuday/22 Sat, 20 Sep 2008 15:20:37 PDT This paper investigates the relation between the important announced turning points in the monetary policies and the estimated structural break dates in the Taylor rules of three transition countries, namely the Czech Republic, Hungary and Poland. Although the important announced turning points starting from late 1990s, especially the introduction of inflation targeting regime, can be observed in the estimated Taylor rules of the Czech Republic and Poland with some implied lags due to the monetary tranmission mechanism, the same conclusion cannot be reached for Hungary. Several robustness analyses are in support of these results. HAKAN YILMAZKUDAY E31 http://works.bepress.com/yilmazkuday/21 http://works.bepress.com/yilmazkuday/21 Tue, 08 Jul 2008 17:11:01 PDT This paper shows that the Armington elasticity, which refers to both the elasticity of substitution across goods and the price elasticity of demand, systematically changes from one importer country to another one in an international trade context. Then a natural question to ask is "What determines the Armington elasticity?" The answer comes from the distinction between the elasticity of demand with respect to the destination price (i.e., the Armington elasticity) and the elasticity of demand with respect to the source price. Under additive trade costs, it is shown that the elasticity of demand with respect to the destination price is equal to the sum of the elasticity of demand with respect to the source price and the elasticity of demand with respect to the trade costs. The empirical results using the US exports data support this relation by showing that the Armington elasticity increases in trade costs and decreases in source prices; hence, it is more likely to have a constant elasticity of demand with respect to the source price rather than a constant Armington elasticity under additive trade costs. HAKAN YILMAZKUDAY E41 F12 http://works.bepress.com/yilmazkuday/20 http://works.bepress.com/yilmazkuday/20 Thu, 03 Jul 2008 22:15:04 PDT This paper estimates the IS curve of the Turkish economy for the monthly period over 1996M1-2007M11 by using GMM. It is found that, when a structural small open economy model is used and data are constructed carefully, forward-looking IS curve works perfectly in Turkey, which is against the IS puzzle. Moreover, as opposed to the literature which usually assumes an ad hoc unit coefficient of relative risk aversion or estimates it below unity for developed countries, this paper estimates the same coefficient as 1.89 implying that one percent of a cyclical movement of the real interest rate above its natural rate leads to a 1.89% decrease in output gap. This shows that the Turkish economy is more sensitive to changes in real interest rate compared to developed countries. The empirical results are supported by recently developed statistics that are immune to the issue of weak identification. HAKAN YILMAZKUDAY E31 http://works.bepress.com/yilmazkuday/19 http://works.bepress.com/yilmazkuday/19 Sat, 12 Apr 2008 14:16:31 PDT This paper analyzes the twin crises in Turkey experienced in 2000 and 2001. After a detailed survey of currency crisis models, together with a brief descriptive overview of the crises in Turkey, the similarities among the twin crises in Turkey and the models that have been developed to explain preceding crises in the world are investigated. It is found that the Turkish twin crises cannot be explained by using any individual generation of models, namely first generation models, second generation models or third generation models. Instead, a combination of these models is more appropriate to explain the details of the twin crises. HAKAN YILMAZKUDAY E44 http://works.bepress.com/yilmazkuday/18 http://works.bepress.com/yilmazkuday/18 Wed, 26 Dec 2007 13:10:14 PST Why are trade agreements mostly regional? By making a welfare analysis, we show that the existence of transportation costs may be a possible reason. In particular, we set up a model of two countries by considering the effects of transportation costs on the welfare of each country. We also consider the relative size of the countries in our analysis together with naming them as small and large countries. We first show that the optimal (Nash) tariff rates are decreasing in transportation costs; i.e., closer countries tend to have lower tariff rates between each other, which lead to higher trade volume across them. Moreover, while the small country definitely sets a lower optimal tariff rate when it makes an agreement with a larger country, the large country does not necessarily set a higher optimal tariff rate when it makes an agreement with a smaller country. After that, we make a welfare analysis by using a stationary dynamic tariff game approach and show that it is harder to make an agreement for both countries if the transportation cost is higher; i.e., countries tend to make regional agreements to maximize their welfare. Finally, we show that it is easier to make an agreement for each country if the share of the transportation income received by the country is higher. HAKAN YILMAZKUDAY C72 http://works.bepress.com/yilmazkuday/17 http://works.bepress.com/yilmazkuday/17 Tue, 20 Nov 2007 08:15:23 PST This paper develops an open-economy DSGE model to analyze the effects of international trade costs on monetary policy of open economies. The implications of this micro-founded New-Keynesian model are tested on a prototype small economy that is open to international trade costs shocks, Canada. When a utility-based expected loss function is considered, the central bank is found to be far from being optimal in its actions, independent of international trade costs. When an ad hoc expected loss function considering the volatilities in inflation, output and interest rate is considered, it is found that the actions of the central bank are explained best when international trade costs in fact exist but the central bank ignores them. Given the ad hoc loss function, the actions of the central bank are best explained when 70% of weight is assigned to inflation, 15% of weight to interest rate and 15% of weight to output. HAKAN YILMAZKUDAY E52, E58 http://works.bepress.com/yilmazkuday/16 http://works.bepress.com/yilmazkuday/16 Fri, 12 Oct 2007 08:25:58 PDT Using a disaggregated level CPI data set, this paper compares the bilateral convergence properties of Turkish regional inflation rates between the pre-inflation-targeting and inflation-targeting periods. Rather than using an ad hoc date for the introduction of the inflation-targeting regime, the structural break dates are estimated for Turkish national inflation rate as well as the standard deviation of the Turkish regional inflation rates. It is found that the first moment of Turkish national inflation had a break right after the beginning of the explicit inflation-targeting regime in January 2002, and the second moment of Turkish regional inflations had a break right before the financial crisis in February 2001 after which Turkey adopted a flexible exchange rate. It is found that during the inflation-targeting period, the Turkish regional inflation rates have converged to each other in terms of CPI groups with relatively non-tradable components, and they have diverged from each other in terms of CPI groups with relatively tradable components. HAKAN YILMAZKUDAY E31 http://works.bepress.com/yilmazkuday/15 http://works.bepress.com/yilmazkuday/15 Mon, 08 Oct 2007 08:29:54 PDT This paper compares the productivity cycles of public and private manufacturing sectors in Turkey by using a regime shifting model applied through the multimove Gibbs-sampling approach over the quarterly period 1988Q1:2006:Q4. By considering timing of the business cycles for the sample period, it is shown that: 1) the public sector has higher productivity growth rates compared to the growth rates of private sector and total productivities, in both low and high productivity growth regimes; 2) the productivity in public sector is procyclical in periods of real shocks, such as stagnation or earthquakes (i.e., 1989 and 1999 crises); 3) the productivity in private sector is procyclical in periods of financial shocks (i.e., 1994 currency crisis, 1998 Russian crisis and 2001 financial crisis); 4) the productivity in the public sector has a smoothing effect in terms of reducing the effects of private sector productivity cycles. HAKAN YILMAZKUDAY E32 E44 http://works.bepress.com/yilmazkuday/14 http://works.bepress.com/yilmazkuday/14 Mon, 24 Sep 2007 06:06:17 PDT We analyze the short-run effects of money shocks on output in the contemporary world. As our benchmark case, we visit Bernanke (1983) for the Turkish economy over the monthly period 2002M1-2006M10. We show that money shocks affect output with a lag of one month. After that, we introduce our contemporary model in which we include the effects of the usage of bank cards (i.e., credit and debit cards) into our analysis. Our contemporary model suggests that money shocks affect output for longer periods compared to the results obtained by the method of Bernanke (1983). HAKAN YILMAZKUDAY E41 http://works.bepress.com/yilmazkuday/13 http://works.bepress.com/yilmazkuday/13 Tue, 04 Sep 2007 08:28:17 PDT Although the relationship between financial development and growth is almost obvious, the effect of inflation on the finance-growth nexus is still a subject of debate. In particular, what is the optimal rate of inflation for long-run growth? To answer this question, I analyze the relation between finance, inflation and growth by using a semiparametric graphical approach. I find that the optimal level of inflation that leads to higher long-run growth rates is around 10 percent. I also show that the positive effects of low inflation on growth are more apparent when there are high levels of financial depth. Finally, when both the levels of inflation and financial depth are low, the growth rate of the economy is volatile. HAKAN YILMAZKUDAY E31