Browsing by Author "Buberkoku, Onder"

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Examining the Inflation and Inflation Uncertainty Relationship for Turkic Republics: Further Evidence From Stochastic Volatility in Mean Model with Time-Varying Parameters
(Ahmet Yesevi Univ, 2025) Buberkoku, Onder
The aim of this study is to investigate the dynamic nexus between inflation and inflation uncertainty for Turkic Republics-namely Azerbaijan, Kazakhstan, Uzbekistan, Kyrgyzstan and Tajikistan-using the stochastic volatility in mean model with time-varying parameters, which is a new, more flexible and alternative model. To obtain reliable robust results to different approaches, the study also considers the conventional stochastic volatility in mean model with constant coefficient. Both models are estimated by means of Bayesian efficient Markov chain Monte Carlo (MCMC) sampling method. The findings indicate that the impacts of inflation uncertainty on inflation rates is positive and statistically significant for all Turkic Republics examined, with the more pronounced impact particularly for the economies ofTajikistan, Kazakhstan and Uzbekistan, whereas the one-period lagged inflation rates has a statistically insignificant impact on current inflation uncertainty for all the Turkic Republics considered. The findings provide important information to policy makers in the relevant Turkic Republics in terms of achieving price stability, thus ensuring macroeconomic stability and reaching the sustainable long-term economic growth rates.
Examining the Validity of Uncovered Interest Rate Parity in Same Emerging Markets
(Maliye Bakanligi, 2019) Buberkoku, Onder
This study examines the validity of uncovered interest rate parity in emerging markets including Turkey, South Africa, Mexico, Colombia and Indonesia. To this end, a conventional model and a stationarity analysis of these countries' risk premiums are performed. The results of the conventional model show that uncovered interest rate parity does not hold for any country under the study. However, the findings based on the stationarity analysis of the countries' risk premiums indicate that uncovered interest rate parity may hold for all the countries under the study. This finding means that alternative models may be important for examining the validity of uncovered interest rate parity.
The Impact of the Us Dollar's Movements on Commodity Prices
(Ege Univ, Fac Economics & Admin Sciences, 2017) Buberkoku, Onder
In this study both the long- and short-term impacts of the US dollar's exchange rate movements on commodity prices are examined. Commodities such as food (including cereal, vegetable oils, meat, seafood, sugar, and fruit), beverages (including coffee, tea, and cocoa), metals (including aluminium, iron ore, tin, nickel, zinc, lead, and uranium), fuel energy (including crude oil, natural gas, and coal), crude oil (including simple avareges of Brent, WTI and Dubai fateh) and agriculture (including timber, cotton, wool rubber, and hides) are considered. The long-term impact of the US dollar on commodity prices is investigated using Maki's (2012) cointegration test, which allows multiple regime shifts, and the short-term effect is examined using Hatemi-J's (2012) asymmetric causality test. Furthermore, in order to determine the integration order of the series, Carrion-i Silvestre et al.'s (2009) unit root test with multiple structural breaks is used, and Bai and Perron's (1998, 2003) test is applied to determine whether or not models have regime shifts. Results show that there is an inverse long-term relationship between the US dollar and food, fuel, and energy commodity prices. In other words, an increase in the US dollar causes a decrease in the price of food, fuel, and crude oil commodities in the long run. And it is observed that this effect is more dominant especially in fuel and crude oil commodity prices. Additionally, asymmetric causality test results show that US dollar appreciation causes a decrease in all commodity prices under investigation, however US dollar depreciation causes an increase only in the price of fuel, crude oil, and agricultural commodities. This means that in the short run the impact the appreciating dollar has on commodity prices is stronger than that of the depreciating dollar.
The Inflation-Uncertainty Nexus: New Evidence From Stochastic Volatility Models
(Routledge Journals, Taylor & Francis Ltd, 2025) Buberkoku, Onder
The purpose of this study is to examine the inflation and inflation uncertainty nexus for nine emerging and three developed market economies using more realistic and flexible inflation uncertainty measures based on seven different stochastic volatility (SV) models. In that regard, we first utilize a log predictive score to determine the most appropriate SV model for each economy examined, and then analyse the causality relationship between inflation and inflation uncertainty. Contrary to general findings in the related literature, the results provide strong and robust evidence that inflation uncertainty has a positive and statistically significant impact on the inflation rates for both the emerging and developed countries examined.