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CEYLAN, Özcan

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Özcan

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CEYLAN
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Now showing 1 - 3 of 3
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    Time-varying risk aversion and its macroeconomic and financial determinants - A comparative analysis in the U.S. and French financial markets
    (Elsevier, 2021-07) Ceylan, Özcan; Hotel Management; CEYLAN, Özcan
    This empirical study evaluates risk aversion dynamics in the U.S. and French financial markets in a comparative setting for the period 2000–2016. Key macroeconomic and financial variables that determine the variations in the level of risk aversion in each of the financial markets are estimated to identify the most important variables on which investors focus. The analysis is made for two sub-periods (2000–2008 and 2008–2016) to assess if there has been any significant change in risk aversion dynamics around Lehman Brothers bankruptcy. Results show that there are meaningful similarities and differences among financial markets and through time periods.
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    Dynamics of global stock market correlations: the VIX and attention allocation
    (Taylor & Francis, 2021-01-01) Ceylan, Özcan; Hotel Management; CEYLAN, Özcan
    This paper investigates the dynamics of international stock return correlations between the U.S., the U.K., Germany and France. Estimated correlations are modeled in an ARDL framework to evaluate how the market-wide uncertainty in the U.S. affects international stock market comovements. Results show that a shock to the VIX leads to increases in cross-county correlations in the following week and that the correlations tend to decline in the second week that follows the shock. The revealed time pattern of the effect of the VIX may be explained in a behavioral framework through investors’ attention reallocation mechanism.
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    Dynamics of the relation between producer and consumer price indices: A comparative analysis in the U.S. market
    (IGI Global, 2020-06-01) Ceylan, Özcan; Hotel Management; CEYLAN, Özcan
    The relation between the Producer Prices Index (PPI) and the Consumer Price Index (CPI) in the U.S. is analyzed for two sub-periods: one spanning from 1947 to 1982, the post-war period marked by demand-side economic policies, and the other one starting by 1983 when supply-side policies pioneered by the Reagan government came into effect. As the series in question are found to be cointegrated, a Vector Error Correction Model is employed for the analysis. Regarding the longrun equilibrium relationships, it is found that the loading for the PPI series are statistically significant for both periods, while the loading for the CPI is barely significant for the first period, and it is insignificant at any acceptable level for the second. Thus, the CPI represents the common trend in the system in both periods, but it does more clearly so in the second period.