Yazar "Ozkan, Harun" seçeneğine göre listele

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    Is forecasting inflation easier under inflation targeting?
    (Physica-Verlag Gmbh & Co, 2015) Ozkan, Harun; Yazgan, M. Ege
    This paper investigates whether monetary-policy regime changes affect the success of forecasting inflation. The forecasting performances of some linear and nonlinear univariate models are analyzed for 14 different countries that have adopted inflation-targeting (IT) monetary regimes at some point in their economic history. The results show that forecasting performance is generally superior under an IT monetary regime compared to nonIT (NIT) periods. In more than half of the countries covered in this study, superior forecasting accuracy can be achieved in IT periods regardless of the model used. In contrast, among most of the remaining countries, the results remain ambiguous, and the evidence on the superiority of NIT is limited to very few countries.
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    Markov regime switching in mean and in fractional integration parameter
    (Taylor & Francis Inc, 2017) Ozkan, Harun; Stengos, Thanasis; Yazgan, Ege
    We propose a specific general Markov-regime switching estimation both in the long memory parameter d and the mean of a time series. We employ Viterbi algorithm that combines the Viterbi procedures in two state Markov-switching parameter estimation. It is well-known that existence of mean break and long memory in time series can be easily confused with each other in most cases. Thus, we aim at observing the deviation and interaction of mean and d estimates for different cases. A Monte Carlo experiment reveals that the finite sample performance of the proposed algorithm for a simple mixture model of Markov-switching mean and d changes with respect to the fractional integrating parameters and the mean values for the two regimes.
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    PERSISTENCE IN CONVERGENCE AND CLUB FORMATION
    (Wiley, 2018) Stengos, Thanasis; Yazgan, M. Ege; Ozkan, Harun
    In this paper, we examine the convergence hypothesis using a long memory framework that allows for structural breaks and does not rely on a benchmark country using both univariate and multivariate estimates of the long memory parameter d. Using per capita GDP gaps, we confirm the findings of non-stationarity and long memory behavior that have been found previously in the literature using univariate tests. However, the support for these findings is much weaker when using a multivariate framework, in which case we find more evidence of stationary behavior. Based on these results, we also investigate club formation, something that would suggest the presence of conditional convergence. We describe a club formation methodology using the sequential testing criteria that we have employed in our analysis as the basis for forming clusters or clubs of countries with similar convergence characteristics.