Browsing by Author "Shahbaz, Muhammed"
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Article Citation Count: 4Oil and stock prices: New evidence from a time varying homogenous panel smooth transitionVECMfor seven developing countries(Wiley, 2022) Omay, Tolga; Ivrendi, Mehmet; Shahbaz, Muhammed; Omay, Tolga; EconomicsThis paper investigates the relationship between international oil price and stock prices applying the time varying causality testing over the period of 2000(M1)-2017(M3). The panel unit root and panel cointegration tests considering cross-section dependence are also employed. A time varying panel smooth transition vector error correction (TV-PSTRVEC) model is a developed and estimated for testing the presence of non-linear short-run and long-run causality, and cointegrating relationship between stock and oil prices. The empirical findings indicate that short and long-run causalities between oil price and stock prices are time-dependent. Moreover, oil price cause stock prices in the long-run. In the short-run, neutral effect exists between oil price and stock prices. These two findings are evidence of a strong exogeneity of oil price in time-dependent regimes which is also supporting the recent arguments and empirical findings.Article Citation Count: 15Testing PPP hypothesis under temporary structural breaks and asymmetric dynamic adjustments(Routledge Journals, Taylor & Francis Ltd, 2020) Omay, Tolga; Shahbaz, Muhammed; Hasanov, Mubariz; EconomicsWe test the empirical validity of the PPP proposition under temporary structural breaks and dynamic nonlinear adjustments. Although several testing procedures have recently been proposed in the existing literature to investigate stochastic properties of the series under gradual breaks and nonlinear adjustments, none of these tests are compatible with the PPP proposition. Therefore, we propose new testing procedures that restrict the break to be temporary while simultaneously allowing for asymmetric dynamic nonlinear adjustment towards equilibrium. Using these newly proposed tests, we test stationarity of real exchange rate of 24 OECD countries vis-a-vis USA, and find support in favour of PPP proposition in majority of the countries.Article Citation Count: 10Testing the hysteresis effect in the US state-level unemployment series(Routledge Journals, Taylor & Francis Ltd, 2020) Omay, Tolga; Ozcan, Burcu; Shahbaz, Muhammed; EconomicsThis paper re-examines the stochastic time series behaviour of the monthly unemployment rate in 50 states of the United States (US) for the period 1976-2017 using a number of state-of-the-art unit root tests. The new developments incorporate structural break, nonlinearity, asymmetry, and cross-sectional correlation within panel-data estimation including the use of a sequential panel selection method. While not previously considered, sequential panel selection enabled us to determine and separate the stationary and nonstationary series in the sample. The empirical findings are in support of the stationarity of unemployment rate in 47 states. The findings confirm a natural rate hypothesis for the labour markets in the most US states, indicating that labour market shocks have solely temporary effects on state-level unemployment. This empirical study provides significant state-specific policy implications.