Browsing by Author "Kayalidere, K"

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    Asset pricing in a multifactor setting
    Cayirli, O; Kayalidere, K; Aktas, H
    We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time varying. In addition to allowing time-varying market risk premiums, our methodology can be extended to allow for time-varying systematic risk. Our approach offers a fairly simple way to estimate expected excess returns in a multifactor setting without the use of sorting methodologies. Our critique of multifactor models is mainly due to the fact that if at least one asset in the market portfolio is sensitive to a priced factor, then the market portfolio should also be sensitive to this factor. Copyright (c) 2022 Borsa Istanbul Anonim S, irketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
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    A closer look into the behavior of emerging market sovereign spreads: State-dependent and asymmetric behaviors
    Cayirli, O; Aktas, H; Kayalidere, K
    We analyze state-dependent and asymmetric behavior of emerging market (EM) sovereign bond spreads in response to changes in global risk appetite and liquidity. We use dynamic Markovswitching, fixed-effect panel threshold, and time-varying causality analyses along with our research setting. Empirical results provide evidence for both state-dependent and asymmetric behavior of EM sovereign spreads. We also find that these behaviors became even more pronounced after the global financial crisis (GFC). EM external debt markets display more sensitivity to good news in the post-GFC era. Global liquidity's impact on EM sovereign spreads displays a more complicated dynamic than the global risk appetite.
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    Conditional impact of credit growth on macroeconomic and financial aggregates: evidence from Turkey
    Cayirli, O; Kayalidere, K; Aktas, H
    Purpose The purpose of this paper is to investigat the impact of changes in credit stock on real and financial indicators in Turkey with a focus on conditional and time-varying dynamics. Design/methodology/approach In addition to lag-augmented vector autoregression (LA-VAR) based time-varying Granger causality tests, threshold models and a research setting that identifies high/low states of credit growth based on 24-month moving averages are used to explore regime-dependent behavior. For investigating the asymmetric dynamics, the authors use a methodology that identifies good/bad news in credit growth based on 24-month moving averages and standard deviations. Findings Results strongly suggest that the impact of changes in credit stock induces conditional responses. Moreover, we find evidence for asymmetric responses. In the case of Turkey, efforts to spur growth through credit produce a strong negative byproduct, a depreciation in the exchange rate. The authors also find that changes in credit stock have become more relevant for uncertainties in inflation and exchange rate expectations, particularly in the era after mid-2018 in which credit growth volatility has increased noticeably. Originality/value This study provides a comprehensive analysis of time-varying and conditional responses to a change in credit stock in a major emerging economy. Using a moving threshold based only on the available information in the analysis of state-dependency represents a new approach.