Papers by Sevgi Eda Tuzcu
Enerji tuketimi ve kuresel isinma arasindaki iliskiyle ilgili literatur yenilenebilir enerji tuke... more Enerji tuketimi ve kuresel isinma arasindaki iliskiyle ilgili literatur yenilenebilir enerji tuketiminin eklenmesiyle genislemistir. Bircok calisma, bu iliskinin gelismis ve gelismekte olan ulkelerde teknik etkinlik, kisi basina gelir veya karbondioksit salinim duzeyleri uzerindeki etkilerini gostermektedir. Ancak hicbiri fosil yakit ve petrol ihrac eden ulkeler icin yenilenebilir enerjinin onemine vurgu yapmamistir. Bu calisma, yenilenebilir enerji ile reel Gayri Safi Yurt Ici Hasila (GSYIH), karbondioksit salinim duzeyi, reel petrol fiyatlari ve kanitlanmis petrol rezervleri arasindaki iliskiyi Petrol Ihrac Eden Ulkeler Orgutunun alti uyesi Cezayir, Angola, Ekvator, Iran, Nijerya ve Venezuella ile orgute uye olmayan Endonezya icin aciklamaya amaclamaktadir. Analizler, sabit etki - rastsal etki testleri olarak bilinen panel veri teknigi kullanilarak yurutulmektedir. Bulgularimiz kisi basina yenilenebilir enerji tuketimi ile kisi basina reel GSYIH ve kisi basina karbondioksit tuketi...
Present study attempts to model the determinants of profitability for the Turkish banking industr... more Present study attempts to model the determinants of profitability for the Turkish banking industry. This paper employs a dynamic panel framework for 30 Turkish commercial banks while using a comprehensive set of bank level, industry level and macroeconomic explanatory variables. The novelty of this study is to consider the consequences of the derivatives usage on the banks’ profits. The findings point out that derivatives are mainly used for hedging purposes, and the bank managers put the safety of the system in the first place. Accordingly, the internal factors such as capital and the credit risk are the most influential ones.
The well documented literature on the relation between energy consumption and climate change has ... more The well documented literature on the relation between energy consumption and climate change has been extended by the addition of renewable energy consumption. Several studies show its impact on technical efficiency, per capita income or carbon dioxide (CO2) emission levels for developed and developing countries. However, to the extent of our knowledge, very few of them state the importance of renewable energy for the countries where the main type of fossil fuels, oil, is exported. This study aims to explore the association between renewable energy, real gross domestic product (GDP), CO2 emission level, real oil prices as well as the proven oil reserves for seven members of Organization of the Petroleum Exporting Countries (OPEC). The analyses are conducted using panel data techniques, namely fixed effect – random effect tests. Our results show a positive and significant relation between renewable energy consumption, and real GDP and CO2 emission level. A statistically not significa...
Cevresel Kuznets Egrsi (CKE)’nin gecerli olup olmadigi Turkiye’de ve yabanci literaturde uzun sur... more Cevresel Kuznets Egrsi (CKE)’nin gecerli olup olmadigi Turkiye’de ve yabanci literaturde uzun suredir tartisilmaktadir. Bu hipotezin gecerli olmasi durumunda, gelir arttikca cevre uzerindeki negatif etkiler kendiliginden yok olacagindan hukumetlerin ek bir onlem almasina gerek kalmayacaktir. Ancak arastirmalar ornekleme ulkelere, kullanilan zaman dilimine ve yonteme gore farkli sonuclar gostermektedir. Bu calisma, literaturden farkli olarak Turkiye’de hava kirliligi acisindan CKE’nin varligini test etmek icin 81 ili kapsayan yeni bir veri seti kullanmakta ve boylelikle guncel durumu yansitabilmeyi hedeflemektedir. Calismanin bir diger katkisi ise iller arasi mekânsal etkilesimi dikkate alan mekânsal modellemeyi kullanmasidir. Bulgular, Turkiye’de iller arasi yogun bir etkilesim oldugunu, bir ildeki hava kirliligi seviyesinin diger komsu illerdeki kirliligi de arttirdigini gostermektedir. Ne var ki, CKE hipotezi Turkiye icin desteklenmemistir.
Eurasian Economic Review
It has been a common practice to evaluate the performance of mutual funds with data envelopment a... more It has been a common practice to evaluate the performance of mutual funds with data envelopment analysis (DEA). However, DEA itself is a “black box”, since there are no pre-determined inputs or outputs. This paper aims to add clarification to the “black box” nature of DEA by investigating whether fund size has to be included among DEA inputs in the Turkish mutual fund performance evaluation. Fund managers receive a proportion of fund size as compensation. Therefore, besides the traditional risk and expense inputs, economies or diseconomies of scale may also be effective in the fund’s performance. For these reasons, the evaluation of fund performance by using DEA may require fund size as an input. Yet, few international study adds size as an input to the DEA. The evidence is even scarcer for developing country fund markets. To the extent of our knowledge, size has not been utilized in the Turkish mutual fund performance evaluations. This paper aims to contribute to the literature by examining the linear and nonlinear relations between DEA scores and fund size for the Turkish mutual fund industry. For this aim, linear correlation, and Kendall and Spearman rank correlation coefficients are employed as well as a regression specification. The correlations and the regression results reveal a linear relationship between the efficiency scores and fund size. In general, this study presents stronger evidence for the fund size and fund efficiency relation than Basso and Funari (Eur J Finance 23:457–473, 2017) for the Turkish mutual fund market.
This paper empirically analyzes the effects of product (loan), sector and income diversification
... more This paper empirically analyzes the effects of product (loan), sector and income diversification
strategies on the performances and risks of Turkish commercial banks over the period 2005–2016, in which
2008-2009 treated as a crisis period. Profitability is measured by Return on Assets ratio and natural logarithm
of Non-performing Loans is used as a proxy of risk. We evaluate the different dimensions of diversification
and using the Entropy methodology to distinguish the total diversification into related and unrelated
components. Diversification is captured in three broadly defined dimensions: incomes, products and sectors.
Then, we associate all dimensions of diversification with bank profitability and risk measures, across banks
and in years, via panel data analyses. In this way, the paper aims to provide recent evidence for Turkish
banking sector’s diversification strategies and their outcomes. Our findings indicate that, to be especially
dominant on the within groups, income and product (loan) diversification increase return on assets while
decreasing loan losses; sectoral diversification decreases profits, but increases risk.
Çankırı Karatekin Üniversitesi İİBF Dergisi, 2018
Çevresel Kuznets Eğrsi (ÇKE)'nin geçerli olup olmadığı Türkiye'de ve yabancı literatürde uzun sür... more Çevresel Kuznets Eğrsi (ÇKE)'nin geçerli olup olmadığı Türkiye'de ve yabancı literatürde uzun süredir tartışılmaktadır. Bu hipotezin geçerli olması durumunda, gelir arttıkça çevre üzerindeki negatif etkiler kendiliğinden yok olacağından hükümetlerin ek bir önlem almasına gerek kalmayacaktır. Ancak araştırmalar örnekleme ülkelere, kullanılan zaman dilimine ve yönteme göre farklı sonuçlar göstermektedir. Bu çalışma, literatürden farklı olarak Türkiye'de hava kirliliği açısından ÇKE'nin varlığını test etmek için 81 ili kapsayan yeni bir veri seti kullanmakta ve böylelikle güncel durumu yansıtabilmeyi hedeflemektedir. Çalışmanın bir diğer katkısı ise iller arası mekânsal etkileşimi dikkate alan mekânsal modellemeyi kullanmasıdır. Bulgular, Türkiye'de iller arası yoğun bir etkileşim olduğunu, bir ildeki hava kirliliği seviyesinin diğer komşu illerdeki kirliliği de arttırdığını göstermektedir. Ne var ki, ÇKE hipotezi Türkiye için desteklenmemiştir. Abstract There has been a long time debate both in Turkey and foreign literature that tests the validity of the Environmental Kuznet's Curve (EKC) hypothesis. If EKC is valid, then there will be no need for governments to take extra precautions, since the environmental degradation will fade away as the income increases. However, the literature presents various findings depending on the sample, country, time period and research method. This study uses a recent dataset which covers 81 provinces to assess the existence of EKC for air pollution in Turkey; hence, it aims to reflect the current situation. Another contribution of this study is that it employs spatial modelling which accounts for the spatial interactions between provinces. The findings indicate that there is an intense spatial interaction among Turkish provinces so that an increase in the air pollution level in a city also escalates the pollution level in the neighboring cities. On the other hand, the EKC hypothesis cannot be supported for Turkey.
This paper aims to explore the factors of economic growth for transition economies located in Cen... more This paper aims to explore the factors of economic growth for transition economies located in Central and Eastern Europe, and Central Asia and Caucasus in the 2000s, while paying attention to their EU memberships, and proximity to economically powerful countries such as Russia or China. Since one country's growth can also be a function of its neighbors' characteristics, the analyses consider the role of location in economic growth. Hence, finding spatial dependence, spatial regression models are used. The results show that capital investments, corruption, sharing a common border with Russia and the 2008 crisis are significant factors in determination of the countries' economic growth levels in recent years.
Sosyal bilimler literatüründe, " sosyal normların " , " komşuluk etkilerinin " veya " referans gr... more Sosyal bilimler literatüründe, " sosyal normların " , " komşuluk etkilerinin " veya " referans gruplarının " bireylerin karar verme süreci üzerindeki etkisi uzun zamandır tartışılmaktadır. Ne var ki, geleneksel yöntemlerdeki gözlemlerin birbirinden bağımsız olduğu varsayımı, söz konusu etkiyi yansıtamamakta ve çalışmalarda hataların olmasına yol açmaktadır. Mekânsal ekonometriyi, gözlemler arasındaki komşuluk ilişkilerini ve bu ilişkilerin neden olduğu sorunları dikkate alan yöntemler bütünü olarak tanımlamak mümkündür. Burada, dikkat edilmesi gereken noktalardan biri, mekânın, bir başka deyişle gözlemler arasındaki uzaklığın nasıl belirlendiğidir. Mekân, bölgesel çalışmalarda ele alındığı şekliyle coğrafik olarak tanımlanabilirken, ekonomik uzaklık ya da kişisel uzaklık gibi soyut kavramlarla da ifade edilebilir. Bu nedenle, çalışmanın gerekliliklerine uygun bir " mekân " tanımının yapılması büyük önem taşımaktadır. Bu çalışma, öncelikle her biri farklı anlamlara gelen mekânsal regresyon çeşitlerini sınıflandırmakta ve bu yönüyle, söz konusu yöntemler arasında seçim yapmak isteyen araştırmacılara yol göstermeyi amaçlamaktadır. Çalışmanın bir diğer katkısı ise farklı uzaklık tanımlarına göre çalışmaları incelemesi ve literatürden örnekler sunmasıdır. Bu örnekler, uzaklığın coğrafi olarak tanımlanıp tanımlanmamasına göre iki grupta ele alınmıştır. Abstract Social science literature has long discussed the importance of so-called " social norms " , " neighborhood effects " or " peer influences " on the decision making process of individuals. However, traditional econometric techniques usually rely on the assumption that observetations are independent from each other, and therefore cannot reflect these effects, and often leads to incorrect inferences. Spatial econometrics can be considered as the modeling techniques that account for the peculiarities caused by the space component. Here, one of the most critical points of spatial models is the definition of the neighborhood, in other words, the location of observations. The proximity among locations can be defined based on the geography as in the regional studies or economic distances. Even abstract concepts of proximity, such as the inter-personal distance, can be used in such techniques. Hence, the distance definition that is appropriate to the notion of the study plays an important role. This study attempts to classify the spatial regressions, in which each one of which has a different interpretation, and tries to guide the researches while selecting the correct modeling technique. Another major point of this study is that it presents examples of studies in the field according to their distance definitions. These papers are grouped on the base of the geographical or non-geographical distance concepts employed.
Present study attempts to model the determinants of profitability for the Turkish banking industr... more Present study attempts to model the determinants of profitability for the Turkish banking industry. This paper employs a dynamic panel framework for 30 Turkish commercial banks while using a comprehensive set of bank level, industry level and macroeconomic explanatory variables. The novelty of this study is to consider the consequences of the derivatives usage on the banks' profits. The findings point out that derivatives are mainly used for hedging purposes, and the bank managers put the safety of the system in the first place. Accordingly, the internal factors such as capital and the credit risk are the most influential ones. Özet Bu çalışma, Türk Bankacılık Sektörü'nde karlılığı belirleyen faktörleri incelemektedir. Bu amaçla, 30 ticari bankanın verileri dinamik panel veri teknikleri ile incelenmiştir. Bu bankalara ilişkin, yönetimsel, sektörel ve makroekonomik pek çok değişken analize dahil edilmiştir. Çalışmanın literatüre katkısı, türev araç kullanımının karlılık üzerindeki etkisini özellikle dikkate almasıdır. Sonuçlar, türev araçların genellikle riskten korunma amaçlı kullanıldığını; banka yöneticilerinin sistemin güvenliğini ilk sırada tuttuklarını göstermektedir. Bununla bağlantılı olarak, sermaye ve kredi riski gibi içsel değişkenlerin karlılık üzerinde en etkili faktörler olduğu ortaya konmuştur.
The well documented literature on the relation between energy consumption and climate change has ... more The well documented literature on the relation between energy consumption and climate change has been extended by the addition of renewable energy consumption. Several studies show its impact on technical efficiency, per capita income or carbon dioxide (CO2) emission levels for developed and developing countries. However, to the extent of our knowledge, very few of them state the importance of renewable energy for the countries where the main type of fossil fuels, oil, is exported. This study aims to explore the association between renewable energy, real gross domestic product (GDP), CO2 emission level, real oil prices as well as the proven oil reserves for seven members of Organization of the Petroleum Exporting Countries (OPEC). The analyses are conducted using panel data techniques, namely fixed effect – random effect tests. Our results show a positive and significant relation between renewable energy consumption, and real GDP and CO2 emission level. A statistically not significant coefficient is found for the relation between renewable energy and the proven oil reserves. The relation between energy and real oil prices is also insignificant.
Conference Presentations by Sevgi Eda Tuzcu
Literature indicates that mutual fund investors react strongly to prior fund performance, though ... more Literature indicates that mutual fund investors react strongly to prior fund performance, though this reaction is not symmetric. Many papers suggest that this relation creates incentives for fund managers to change the portfolio risk towards the end of the year in order to be placed among the winners. Contrary findings, on the other hand, highlight the importance of cross correlation and auto correlation in the fund flow data, which may bias the results. Hence, this study investigates the existence of this incentive creating convex association for Turkish mutual fund industry with spatial modeling techniques. I account for the spatial dependence among mutual funds.
The psychology literature has well discussed the impact of lunar cycle on human behavior. Studies... more The psychology literature has well discussed the impact of lunar cycle on human behavior. Studies on this area find evidence of abnormal behavior around full moon. From the financial perspective, lunar phases are important because it shows investor irrationality as well as predictability in markets, which would be a refutation of efficient market hypothesis. Previous literature examines the association between lunar cycle and stock markets, and the null hypothesis of no effect of moon on returns and volatility is mostly rejected (Dichev & Janes, 2003; Keef & Khaled, 2011; Yuan, Zheng, & Zhu, 2006). However, to the extent of our knowledge, the linkage between lunar phases and short selling decisions is left uninvestigated. This is a motivating research area since short selling is considered as proxy for pessimism of investors in the behavioral finance. As a result, this paper aims to show the possible relation between new and full moon and short selling decisions in Turkey as a developing country. By doing so, the objective is to provide new evidence for the impact of investor mood on financial decisions as well as for the predictability in financial markets. The findings show no statistical significance for the cumulative abnormal trading volume around different lunar cycles, which would constitute a support for market efficiency in Istanbul Stock Exchange.
Book Reviews by Sevgi Eda Tuzcu
Book Chapters by Sevgi Eda Tuzcu
QUANTITATIVE APPROACHES TO CURRENT ISSUES IN ECONOMICS, 2020
Although the literature on the spread and the effects of COVID-19
disease is vast, the studies co... more Although the literature on the spread and the effects of COVID-19
disease is vast, the studies considering the spatial dimension are limited. The existence of spatial autocorrelation, however, can bias the results, so the policy implementations would change. To fill this gap, this paper presents a spatial exploratory analysis of the confirmed COVID-19 cases and deaths for the Turkish provinces. The main metholodogy depends on Moran’s I statistic, local indicator of spatial autocorrelation and Moran scatter plots. In the computation of these tests and plots, two geographical and four economic spatial weight matrix definitions are employed and compared. The findings indicate the existence of high spatial autocorrelation in the spread of cases and deaths. İstanbul and İzmir lead the confirmed cases in the time of analysis. Ankara shows high spatial autocorrelation, however, when the distance among the provinces is defined based on population. The results also show that geographical spatial weight matrix definitions may not always best describe the relationships among the spatial units. Instead, economic definitions may be necessary.
Keywords:
Halil Sarıaslan'a Armağan Kitabı
Bu çalışmada 2002-2009 yılları arasında Türk bankacılık sektöründe faaliyet gösteren 15 bankanın,... more Bu çalışmada 2002-2009 yılları arasında Türk bankacılık sektöründe faaliyet gösteren 15 bankanın, ilgili dönemdeki finansal sağlamlık göstergeleri olarak bilinen ve literatürde CAMELS kısaltması ile anılan finansal oranları esas alınarak oluşturulmuş Yapay Sinir Ağları, Lojistik Regresyon ve MHDIS modelleri ile yapılan sınıflamaların bankalara bu dönemlerde verilen derecelendirme notlarının tahminindeki başarısı araştırılmıştır. Ayrıca bu üç yöntemin ikili karşılaştırmaları yapılarak araştırma kapsamında üstün ve zayıf yönleri ortaya konulmuştur.
Talks by Sevgi Eda Tuzcu
Christine Lagarde, Kapsayıcı Kapitalizm Konferansı Açılış Konuşması
New York, 10 Ekim 2016
Sevgi ... more Christine Lagarde, Kapsayıcı Kapitalizm Konferansı Açılış Konuşması
New York, 10 Ekim 2016
Sevgi Eda TUZCU (Çeviren)
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Papers by Sevgi Eda Tuzcu
strategies on the performances and risks of Turkish commercial banks over the period 2005–2016, in which
2008-2009 treated as a crisis period. Profitability is measured by Return on Assets ratio and natural logarithm
of Non-performing Loans is used as a proxy of risk. We evaluate the different dimensions of diversification
and using the Entropy methodology to distinguish the total diversification into related and unrelated
components. Diversification is captured in three broadly defined dimensions: incomes, products and sectors.
Then, we associate all dimensions of diversification with bank profitability and risk measures, across banks
and in years, via panel data analyses. In this way, the paper aims to provide recent evidence for Turkish
banking sector’s diversification strategies and their outcomes. Our findings indicate that, to be especially
dominant on the within groups, income and product (loan) diversification increase return on assets while
decreasing loan losses; sectoral diversification decreases profits, but increases risk.
Conference Presentations by Sevgi Eda Tuzcu
Book Reviews by Sevgi Eda Tuzcu
Book Chapters by Sevgi Eda Tuzcu
disease is vast, the studies considering the spatial dimension are limited. The existence of spatial autocorrelation, however, can bias the results, so the policy implementations would change. To fill this gap, this paper presents a spatial exploratory analysis of the confirmed COVID-19 cases and deaths for the Turkish provinces. The main metholodogy depends on Moran’s I statistic, local indicator of spatial autocorrelation and Moran scatter plots. In the computation of these tests and plots, two geographical and four economic spatial weight matrix definitions are employed and compared. The findings indicate the existence of high spatial autocorrelation in the spread of cases and deaths. İstanbul and İzmir lead the confirmed cases in the time of analysis. Ankara shows high spatial autocorrelation, however, when the distance among the provinces is defined based on population. The results also show that geographical spatial weight matrix definitions may not always best describe the relationships among the spatial units. Instead, economic definitions may be necessary.
Keywords:
Talks by Sevgi Eda Tuzcu
New York, 10 Ekim 2016
Sevgi Eda TUZCU (Çeviren)
strategies on the performances and risks of Turkish commercial banks over the period 2005–2016, in which
2008-2009 treated as a crisis period. Profitability is measured by Return on Assets ratio and natural logarithm
of Non-performing Loans is used as a proxy of risk. We evaluate the different dimensions of diversification
and using the Entropy methodology to distinguish the total diversification into related and unrelated
components. Diversification is captured in three broadly defined dimensions: incomes, products and sectors.
Then, we associate all dimensions of diversification with bank profitability and risk measures, across banks
and in years, via panel data analyses. In this way, the paper aims to provide recent evidence for Turkish
banking sector’s diversification strategies and their outcomes. Our findings indicate that, to be especially
dominant on the within groups, income and product (loan) diversification increase return on assets while
decreasing loan losses; sectoral diversification decreases profits, but increases risk.
disease is vast, the studies considering the spatial dimension are limited. The existence of spatial autocorrelation, however, can bias the results, so the policy implementations would change. To fill this gap, this paper presents a spatial exploratory analysis of the confirmed COVID-19 cases and deaths for the Turkish provinces. The main metholodogy depends on Moran’s I statistic, local indicator of spatial autocorrelation and Moran scatter plots. In the computation of these tests and plots, two geographical and four economic spatial weight matrix definitions are employed and compared. The findings indicate the existence of high spatial autocorrelation in the spread of cases and deaths. İstanbul and İzmir lead the confirmed cases in the time of analysis. Ankara shows high spatial autocorrelation, however, when the distance among the provinces is defined based on population. The results also show that geographical spatial weight matrix definitions may not always best describe the relationships among the spatial units. Instead, economic definitions may be necessary.
Keywords:
New York, 10 Ekim 2016
Sevgi Eda TUZCU (Çeviren)