Browsing by Author "Taskin, Dilvin"

Now showing 1 - 20 of 25

Citation - WoS: 28
Citation - Scopus: 34
A dynamic connectedness analysis between rare earth prices and renewable energy
(ELSEVIER SCI LTD, 2023-08) Mara Madaleno; Dilvin Taskin; Eyup Dogan; Panayiotis Tzeremes; Taskin, Dilvin; Tzeremes, Panayiotis; Dogan, Eyup; Madaleno, Mara
Current world environmental challenges put pressure on clean energy produced mostly through renewables. There is an undeniably important role of rare earth minerals in renewable energy technologies. This study aims to infer the relationship between rare earth clean energy renewable energy technologies and carbon emissions focusing on daily stock price index data and applying the novel quantile time-frequency connectedness model and the cross-quantilogram dependence approach during 2012-2022. Results show that spillovers among rare earth minerals and renewable energy are dependent on market conditions time horizons and analyzed quan-tiles. They also highlight the net receiver role of rare earth especially in the short term. Findings might help investors understand diversification benefits and support policymakers in developing strategies for lessening import dependence on rare earth metals as important as they are for renewable technology adoption to ensure green growth.
Citation - WoS: 114
Citation - Scopus: 118
Analysis of CO2 emissions and energy consumption by sources in MENA countries: evidence from quantile regressions
(Springer Science and Business Media Deutschland GmbH, 2021-03-20) Majed D. Alharthi; Eyup Dogan; Dilvin Taşkın; Taskin, Dilvin; Dogan, Eyup; Alharthi, Majed
The development of economies and energy usage can significantly impact the carbon dioxide (CO2) emissions in the Middle East and North Africa (MENA) countries. Therefore this study aims to analyze the factors that determine CO2 emissions in MENA under the environmental Kuznets curve (EKC) framework by applying novel quantile techniques on data for CO2 emissions real income renewable and non-renewable energy consumption and urbanization over the period from 1990 to 2015. The results from the estimations suggest that renewable energy consumption significantly reduces the level of emissions, furthermore its impact increases with higher quantiles. In addition non-renewable energy consumption increases CO2 emissions while its magnitude decreases with higher quantiles. The empirical results also confirm the validity of EKC hypothesis for the panel of MENA economies. Policymakers in the region should implement policies and regulations to promote the adoption and use of renewable energy to mitigate carbon emissions. © 2021 Elsevier B.V. All rights reserved.
Citation - WoS: 1
Citation - Scopus: 1
Analysis of disaggregated level energy use income geopolitical risk energy transition and energy price impact on decarbonization of main sectors in BRICS countries by marginal analysis
(SAGE Publications Inc., 2025-07-03) Mustafa Tevfik Kartal; Dilvin Taşkın; Serpil Kılıç Depren; Piotr F. Borowski; Mert Sarioglu; Taskin, Dilvin; Sarioglu, Mert; Kılıç Depren, Serpil; Depren, Serpil Kilic; Kartal, Mustafa Tevfik; Borowski, Piotr F.
This study analyzes the impact of critical factors (i.e. energy consumption (EC) income (GDP) geopolitical risk (GPR) energy transition and energy prices). In doing this the study focuses on Brazil Russia India China and South Africa (BRICS) countries which are the leading emerging countries considers carbon dioxide (CO2) emissions industry power and transport sectors uses yearly data from 2000 to 2022 and performs a kernel-based regularized least squares (KRLS) approach to uncover the marginal impact of the factors. The outcomes demonstrate that (a) the impacts of the factors on sectoral CO2emissions vary marginally across economic sectors factors used and levels of the variables, (b) the statistical significance of the factors considered differentiate which implies that some factors are much more critical than others across countries and sectors, (c) for industry sector CO2emissions Brazil can benefit from the marginal decreasing impact of gas and renewable EC GDP and GPR whereas it is valid in Russia (South Africa) for gas (GPR and energy prices) impact, (d) for power sector CO2emissions Brazil can use nuclear EC energy transition and energy prices whereas nuclear and renewable EC as well as GDP and GPR (renewable EC and GPR) is beneficial for Russia (South Africa), (e) for transport sector CO2emissions GPR (renewable EC) can be relied on in Brazil (Russia), and (f) the KRLS approach has a superior prediction capacity reaching 99.8%. Overall the study empirically shows the varying marginal impacts of the factors on the decarbonization of the sectors. © 2025 Elsevier B.V. All rights reserved.
Citation - WoS: 55
Citation - Scopus: 64
Analyzing the nexus of green economy- clean and financial technology
(ELSEVIER, 2022-12) Noura Metawa; Eyup Dogan; Dilvin Taskin; Taskin, Dilvin; Metawa, Noura; Dogan, Eyup
The connection between the green economy technology and finance has recently become a popular topic for analyzing economic and policy matters. Financial technology can provide not only an opportunity to tap into new pools of private capital to finance green and sustainable projects through innovative financial instruments but also provide support to clean technologies through the adoption of voluntary sustainability codes of conduct. However there is still a lack of clear scientific evidence in the literature about how the green economy interacts with these relevant indicators of sustainable finance. Thus this paper examines the time-varying causal relationship between indexes of financial technology (FinTech) clean technology (CleanTech) and the green economy (GECON) by applying the novel method proposed by Shi et al. (2018 2020) on daily data from June 15 2012 to December 15 2021. This study finds a higher volatility and causality running from GECON to CleanTech and FinTech for the entire period. Furthermore the green economy Granger causes FinTech and CleanTech with very significant episodes especially at the start of the COVID-19 pandemic. The robustness of the results was checked with a rolling window and recursive evolving techniques that overall confirm bidirectional causal relationships between green economy and technology variables. The findings imply that global initiatives to achieve low-carbon economies need to be complemented with the use of clean technologies in the production process and the continuous digitalization of financial sectors. The promotion of clean technology production by governments and the increased interest of investors in FinTech industries will stimulate green economic growth.(c) 2022 Published by Elsevier B.V. on behalf of Economic Society of Australia Queensland.
Citation - WoS: 17
Citation - Scopus: 22
Clustering of firms based on environmental social and governance ratings: Evidence from BIST sustainability index
(Borsa Istanbul Anonim Sirketi, 2022-12) Gorkem Sariyer; Dilvin Taşkın; Taskin, Dilvin; Sariyer, Gorkem
In this paper companies listed on the Borsa Istanbul (BIST) Sustainability Index are analyzed by performing a cluster analysis based on their environmental social and governance (ESG) scores. The results prove that firms with higher ESG ratings do not necessarily perform well in all ESG aspects. The outcomes of the cluster analysis reveal that firms with higher environmental and social scores are the cluster with the most prominent firms in terms of size but with low profitability. However the group that scored poorly in environmental and social practices but the highest governance pillar was the highest performing in terms of the return on assets. This paper highlights the significance of forming clusters and linking sustainability practices with performance characteristics. © 2023 Elsevier B.V. All rights reserved.
Corrigendum to “Race and energy poverty: Evidence from African-American households” [Energy Economics Volume 108 April 2022 105908](S0140988322000883)(10.1016/j.eneco.2022.105908)
(Elsevier B.V., 2025-08) Eyup Dogan; M. Teresa Madaleno; Roula Inglesi-Lotz; Dilvin Taşkın; Taskin, Dilvin; Inglesi-Lotz, Roula; Dogan, Eyup; Madaleno, Mara
The aim of this corrigendum is to correct the rounding errors in Table 5 and to correct Tables 7 and 8 as they are mistakenly produced based on the reduced sample of Table 6. Authors would like to note that the results are slightly different. The authors would like to apologize for any inconvenience caused. © 2025 Elsevier B.V. All rights reserved.
Cost–benefit analysis
(Edward Elgar Publishing Ltd., 2025-05-22) Dilvin Taşkın; Taskin, Dilvin
Cost and benefit analysis (CBA) is a widely used approach for assessing the costs and benefits of projects and investments. In the energy sector CBA helps evaluate the economic feasibility of energy-related initiatives such as renewable energy investments and energy efficiency measures. By comparing costs and benefits decision-makers can make informed choices. However CBA has limitations including the need for longer time horizons and careful selection of reference scenarios. Despite these limitations CBA remains attractive for addressing budget constraints and maximizing societal welfare and economic efficiency. © 2025 Elsevier B.V. All rights reserved.
Citation - WoS: 40
Citation - Scopus: 40
Do asymmetric information and leverage affect investment decisions?
(Elsevier B.V., 2023-02) Muhammad Munir Ahmad; Ahmed Imran Hunjra; Dilvin Taşkın; Taskin, Dilvin; Hunjra, Ahmed Imran; Ahmad, Muhammad Munir
We investigate the impact of asymmetric information on the investment decisions of firms and analyze the effect of asymmetric information on the over-investment and under-investment of firms. Further we examine the effect of leverage on the investment behavior of firms and check this association in the presence of asymmetric information. We extract data from DataStream of 280 non-financial firms listed at Pakistan Stock Exchange over the period of 2000 to 2018. We apply the Fixed Effect Model to analyze the data and System Generalized Method of Moments to check the robustness of the results. We find that asymmetric information negatively affects the investment decisions of firms. Due to asymmetric information investment decreases rapidly as compared to increase in investment. Further leverage is an important determinant of investment decisions and the presence of asymmetric information increases the adverse effect of leverage on the investment of firms. © 2023 Elsevier B.V. All rights reserved.
Citation - WoS: 8
Citation - Scopus: 12
Do past ESG scores efficiently predict future ESG performance?
(ELSEVIER, 2025-02) Dilvin Taskin; Gorkem Sariyer; Ece Acar; Efe Caglar Cagli; Taskin, Dilvin; Sariyer, Gorkem; Acar, Ece; Cagli, Efe Caglar
Given the effects of Environmental Social and Governance (ESG) scores on financial performance and stock returns the prediction of future ESG scores is highly crucial. ESG scores are calculated using an enormous number of variables related to the sustainability practices of firms, thus it is impractical for investors to come up with predictions of ESG performance. This paper aims to fill this gap by using only the past score-based and rating-based ESG performance as the determinant of future ESG performance using four machine learning-based algorithms, decision tree (DT) random-forest (RF) k-nearest neighbor (KNN) and logistic regression (LR). The proposed model is validated in BIST sustainability index companies. The results suggest that past ESG grade-based and numerical scores can be used as a determinant of future ESG performance. The results prove that a simple indicator could serve to predict future ESG scores rather than complex data alternatives. Using data from BIST sustainability index companies in Turkey the findings demonstrate that past ESG grades and scores are reliable predictors of future ESG performance offering a simple yet effective alternative to complex data-driven methods. This study not only contributes to advancing sustainable finance practices but also provides practical tools for emerging markets like Turkey to align corporate strategies with global sustainability standards. The methodological contributions also have broader relevance for international financial markets.
Citation - WoS: 46
Citation - Scopus: 55
Environmental social and governance (ESG) investing and commodities: dynamic connectedness and risk management strategies
(EMERALD GROUP PUBLISHING LTD, 2022-10-28) Efe C. Caglar Cagli; Pinar Evrim Mandaci; Dilvin Taskin; Taskin, Dilvin; Mandaci, Pinar Evrim; Cagli, Efe C. Caglar
Purpose The purpose of this study is to examine the dynamic connectedness and volatility spillovers between commodities and corporations exhibiting the best environmental social and governance (ESG) practices. In addition the authors determine the optimal hedge ratios and portfolio weights for ESG and commodity investors and portfolio managers. Design/methodology/approach This study uses the novel frequency connectedness framework to point out volatility spillover between ESG indices covering the USA developed and emerging markets and commodity indices including energy (crude oil natural gas and heating oil) industrial metals (aluminum copper zinc nickel and lead) and precious metals (gold and silver) by using daily data between January 3 2011 and May 26 2021 covering significant socio-economic developments and the COVID-19 outbreak. Findings The results of this study suggest a total connectedness index at a mediocre level mainly driven by the shocks creating uncertainty in the short term. And the results indicate that all ESG indices are net volatility transmitters and all commodity indices other than crude oil and copper are net volatility receivers. Practical implications The results imply statistically significant hedging and portfolio diversification opportunities to investors and portfolio managers across the asset classes proven by the hedging effectiveness analyses. Social implications This study provides implications for policymakers focusing on the risk of contagion among the commodity and ESG markets during turbulent periods to ensure international financial stability. Originality/value This study contributes to the existing literature by differentiating ESG portfolios as the USA developed and developing markets and examining dynamic connectedness and volatility spillovers between ESG portfolios and commodities with a different technique. This study also contributes by considering COVID-19 outbreak.
Exploring Role of Energy-Related Research and Development Investments, Income, and Energy Sub-Types on Environmental Change in the USA by Marginal Effect Analysis
(SAGE Publications Ltd, 2026-04-21) Taskin, Dilvin; Depren, Ozer; Ayhan, Fatih; Kartal, Mustafa Tevfik
In response to the climate change problem, ensuring a transformation to green economies is highly critical. Therefore, countries have been trying to make their economies decarbonized by taking various measures. Accordingly, this study examines the USA case by using carbon dioxide emissions (load capacity factor) as the main (robustness) environmental proxy, considers energy-related research and development (R&D) investment types as main explanatory variables, controls income and energy utilization sub-types, and performs a novel kernel-based least squares (KRLS) model on data from 1974 to 2022 to apply a marginal effect analysis. The results show that (i) R&D investment sub-types have an insignificant effect on carbon dioxide (CO2) emissions; (ii) income structure does not contribute in greening economy; (iii) among energy utilization sub-types, only renewable energy has a decreasing effect on CO2 emissions, whereas nuclear and fossil energy sub-types have a reverse ones; (iv) the effects of the factors on CO2 emissions differentiate across percentiles and estimation models; (v) the robustness of the empirical results are verified based on alternative indicator; (vi) the KRLS model has a high estimation capability around 99.7%. Hence, the empirical results reveal the critical role of renewable energy use, while the current R&D investment structure, energy utilization, and income are not supportive of a green economy in the USA because these do not provide a decrease in CO2 emissions.
Citation - WoS: 37
Citation - Scopus: 48
Financial inclusion and poverty: evidence from Turkish household survey data
(Routledge, 2021-09-30) Eyup Dogan; M. Teresa Madaleno; Dilvin Taşkın; Taskin, Dilvin; Dogan, Eyup; Madaleno, Mara
Even though poverty is highly felt in developing economies the lack of relevant and complete micro-level data limits understanding which households are more exposed to poverty and the role of financial inclusion in poverty in these countries. This research analyzes the effects of financial inclusion proxied by a multidimensional index on three poverty measures (the lowest-income poverty line a lower-middle-income line and an upper-middle-income line) by employing the recent Turkish Household Budget and Consumption Expenditure Survey data with 11595 complete answers. In addition to the application of logistic regressions this study addresses possible endogeneity issues by using access to the nearest bank as an instrument in a two-stage least-squares regression and employing the novel method as a robustness check. Empirical results point out that an increase in financial inclusion decreases poverty in Turkey. The adverse effect of financial inclusion on poverty is validated through a few robustness and sensitivity analyses. The outcome also indicates that health expenditure and income are essential through which poverty is influenced by financial inclusion. Thus policies are required to enhance the financial inclusion of households to alleviate poverty. Further discussions are presented in this study. © 2022 Elsevier B.V. All rights reserved.
Citation - Scopus: 1
Financing strategies for new product development and innovation
(Springer International Publishing, 2021) Dilvin Taşkın; Taskin, Dilvin
This chapter focuses on the sources and strategies for financing for new product development and small businesses. It is clear that every venture has different life cycles and it is evident that a different financing strategy is needed in different stages of the life cycle. Despite the general belief that entrepreneurs can find financial resources from angel investors or venture capital firms we present that these rarely finance new products at the inception. This chapter presents alternative financing sources for new product development and entrepreneurs. © 2023 Elsevier B.V. All rights reserved.
Citation - WoS: 36
Citation - Scopus: 42
How are energy transition and energy-related R&D investments effective in enabling decarbonization? Evidence from Nordic Countries by novel WLMC model
(Academic Press, 2024-08) Mustafa Tevfik Kartal; Muhammad Shahbaz; Dilvin Taşkın; Serpil Kılıç Depren; Fatih Ayhan; Taskin, Dilvin; Kılıç Depren, Serpil; Shahbaz, Muhammad; Depren, Serpil Kilic; Ayhan, Fatih; Kartal, Mustafa Tevfik
Public interest in climate change-related problems has been developing with the contribution of the recent energy crisis. Accordingly countries have been increasing their efforts to decarbonize economies. In this context energy transition and energy-related research and development (R&D) investments can be important strategic tools to be helpful to countries in the decarbonization of economies. Among all Nordic countries have come to the force because of their well-known position as green economies. Hence this study examines Nordic countries to investigate the impact of energy transition renewable energy R&D investments (RRD) energy efficiency R&D investments (EEF) on carbon dioxide (CO2) emissions by performing wavelet local multiple correlation (WLMC) model and using data from 2000/1 to 2021/12. The outcomes reveal that (i) based on bi-variate cases energy transition and RRD have a mixed impact on CO2 emissions in all countries across all frequencies, EEF has a declining impact on CO2 emissions in Norway (Sweden) at low and medium (very high) frequencies, (ii) according to four-variate cases all variables have a combined increasing impact on CO2 emissions, (iii) RRD is the most influential dominant factor in all countries excluding Norway where EEF is the pioneering one. Thus the reach proves the varying impacts of energy transition RRD and EEF investments on CO2 emissions. In line with the outcomes of the novel WLMC model various policy endeavors such as focusing on displacement between sub-types of R&D investments are argued to ensure the decarbonization of the economies. © 2024 Elsevier B.V. All rights reserved.
Impact of Supply Chain Logistics and Green Transportation on Green Economics under Green Finance, Oil Price Shocks, and Geopolitical Risk: Evidence from the Globe via Novel Quantile Methods
(Springer, 2026-01-20) Taskin, Dilvin; Kartal, Mustafa Tevfik
Countries' and societies' interest in becoming green has been developing in almost every area. Accordingly, the recent focus point has been becoming green economics. Therefore, dealing with green economics is important because it implicitly includes many issues. Therefore, to be compatible with the developing interest and importance of green economics, this study empirically examines green economics. In doing so, the study analyzes the global condition; uses the Nasdaq Green Economy Index (GREC) as the proxy of green economics; considers the Factset Supply Chain Logistics Index (SCLI) and Nasdaq Green Transportation Index (GTRI) as explanatory variables, which represent the critical factors in becoming green economics; controls the S&P Green Bond Index (SPGB), Brent Crude Oil Price (OIL), and geopolitical risk (GPR) index; uses data between 2nd January 2017 and 31st May 2024; and applies novel nonlinear quantile methods. The study shows that (i) SCLI and GTRI have a strong and increasing impact on GREC, where the power of increasing impact varies across quantiles; (ii) SCLI has a greater increasing impact than GTRI does on GREC; (iii) the impact of SCLI and GTRI on GREC continues to increase under the moderating impact of SPGB, OIL, and GPR, whereas these factors cause slight weakening; (iv) there is strong bidirectional causality; and (v) the robustness of the outcomes is verified by the alternative method. In this way, the empirical outcomes highlight the key role of supply chain logistics and green transportation in ensuring green economics even under the impact of green finance, oil prices, and geopolitical risk. Thus, in terms of outcomes, this study discusses policy endeavors (e.g., digitalization of supply chain logistics and electrification of transportation) to benefit from these factors to ensure further greening of the global economy.
Citation - WoS: 146
Citation - Scopus: 158
Investigating the spillovers and connectedness between green finance and renewable energy sources
(PERGAMON-ELSEVIER SCIENCE LTD, 2022-09) Eyup Dogan; Mara Madaleno; Dilvin Taskin; Panayiotis Tzeremes; Taskin, Dilvin; Tzeremes, Panayiotis; Dogan, Eyup; Madaleno, Mara
Although a few studies have analyzed the nexus of renewable energy and green finance the literature lacks the use of renewable energy by sources. The other major failure is that it uses only annual and small data. Therefore this study investigates the connectedness and spillovers relationship between green finance and five types of renewable energy (biofuels fuel cell geothermal solar and wind) by applying the novel TVP-VAR method of Balcilar et al. [1] to the daily indexes from July 31 2014 to Feb 4 2022. The results show that dynamic connectedness both total and pairwise is heterogeneous over time and influenced by economic events. Furthermore wind is found to be the largest transmitter of shocks to green finance followed by biofuels while both fuel cell and geothermal receive the least shocks. The findings suggest that green finance is mostly a net receiver of shocks from renewable energy sources and that wind has been a net receiver of shocks during the COVID-19 pandemic. A high interconnectedness between the indexes highlights the safe-haven property for diversification purposes of green finance. Our results are important for energy policymakers those responsible for the implementation of environmental policies individual investors and portfolio managers while also shedding light on the achievement of COP26 goals.
Citation - WoS: 8
Citation - Scopus: 13
Oil rents and non-oil economic growth in CIS oil exporters. The role of financial development
(Elsevier Ltd, 2023-05) Fakhri J. Hasanov; Ruslan Allahverdi Aliyev; Dilvin Taşkın; Elchin Suleymanov; Taskin, Dilvin; Hasanov, Fakhri J.; Aliyev, Ruslan; Suleymanov, Elchin
The role of financial development is vital in long-run economic growth. Due to the windfall revenues it might have extra relevance in natural resource-rich developing economies. This study explores whether financial development measured in the percentage share of the bank loans to the private sector in GDP can facilitate the impact of oil rents on the development of the non-oil sector in Commonwealth of Independent States oil exporters: Azerbaijan Kazakhstan and Russia in the long run. It develops a combined framework where financial development acts as both a threshold variable and an interaction term for the impact of oil rents on non-oil GDP. We find a threshold effect of oil rents for the non-oil sector in Azerbaijan and Kazakhstan. It shows that the same magnitude of oil rents can create more non-oil growth if financial development exceeds 9.6% and 15.5% in Azerbaijan and Kazakhstan respectively. For Russia neither threshold nor interaction effects were found – oil rents have a linearly positive impact on non-oil economic development. Moreover we find that institutional quality fosters non-oil development in Azerbaijan. It also positively affects non-oil development in Kazakhstan and Russia albeit statistically insignificant. In the design of policies authorities may wish to implement measures that would lead to the further development of the financial sector and institutional quality to make oil rents more beneficial for the development of the non-oil sector. © 2023 Elsevier B.V. All rights reserved.
Citation - WoS: 73
Citation - Scopus: 76
Production-based and consumption-based approaches for the energy-growth-environment nexus: Evidence from Asian countries
(ELSEVIER, 2020-07) Sweety Pandey; Eyup Dogan; Dilvin Taskin; Taskin, Dilvin; Dogan, Eyup; Pandey, Sweety
The number of studies that highlight demand-side and supply-side of environmental degradation are quite limited in the literature. The aim of this study is to analyze the energy-growth-environment nexus in cooperation with globalization urbanization life expectancy and biocapacity as control variables by using both consumption-based and production-based approaches in an Environmental Kuznets Curve (EKC) framework for Asian countries over the years of 1971-2014. The empirical results show that globalization improves environmental quality while urbanization life expectancy biocapacity and energy consumption increase environmental degradation. While the EKC hypothesis is validated for supply-side analysis it is not validated for demand-side analysis for the panel of Asian countries. The governments should take initiatives to invest in research and development for the usage promotion development and adoption of clean energies. The policymakers should emphasize on the development of urban planning strategies of Asian countries to overcome the negative effects of urbanization on the environment. Further implications are discussed in the study. (C) 2020 Institution of Chemical Engineers. Published by Elsevier B.V. All rights reserved.
Citation - WoS: 68
Citation - Scopus: 70
Race and energy poverty: Evidence from African-American households
(Elsevier B.V., 2022-04) Eyup Dogan; M. Teresa Madaleno; Roula Inglesi-Lotz; Dilvin Taşkın; Taskin, Dilvin; Inglesi-Lotz, Roula; Dogan, Eyup; Madaleno, Mara
Even though energy poverty has been widely discussed in many countries only a few studies attempt to understand the nexus of race and energy poverty. To fill the gap in the literature this study analyses the effect of race on energy poverty by employing the U.S. representative household panel data with 9043 complete surveys. This research addresses possible endogeneity issues by employing the novel method proposed by Oster (2019) as a robustness check in addition to the application of logistic regressions and ordinary least squares estimates. The empirical results show that the probability of exposure to poverty is higher for African-American households. The empirical outcome also presents that health and income are significant factors through which race influences energy poverty. This study suggests that subsidy programs would be beneficial in ensuring the breakage of the link between race and energy poverty by providing preferential discounted rates and easier access to energy to specific demographics of the population. At least ending with the housing segregation of African-Americans in the USA would be a way to surpass these difficulties and decrease energy poverty. Further discussions are presented in this study. © 2025 Elsevier B.V. All rights reserved.
Citation - WoS: 4
Citation - Scopus: 4
Relationship between monetary policy and financial asset returns in Türkiye: Time- frequency- and quantile-based effects
(ELSEVIER, 2024-05) Tevfik Kartal; Ugur Korkut Pata; Dilvin Taskin; Talat Ulussever; Taskin, Dilvin; Pata, Ugur Korkut; Ulussever, Talat; Kartal, Mustafa Tevfik
This study analyzes the effect of monetary policy which are proxied by weighted average cost of funding (WACF) and Borsa Istanbul repurchase interest rate (REPO) on the returns of the main financial assets of monetary policy in T & uuml,rkiye. Using daily data between January 4 2011 and August 31 2023 the study applies novel nonlinear time-series methods such as wavelet coherence (WC) and quantile-on-quantile regression (QQ) as baseline methods and quantile regression (QR) for robustness. The findings demonstrate that (i) monetary policy has a stronger effect on financial asset returns at middle and higher frequencies across different periods, (ii) monetary policy has mainly declines (increases) effect on financial asset returns at lower and middle (higher) quantiles, (iii) the robustness of the outcomes is confirmed. Thus the outcomes show that monetary policy has a significant effect on financial asset returns and the effects vary across times across frequencies quantiles and financial assets.