Browsing by Author "Turkvatan, Aysun"

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Citation - WoS: 14
Citation - Scopus: 13
A Regime Switching Model for Temperature Modeling and Applications To Weather Derivatives Pricing
(Springer Heidelberg, 2020) Turkvatan, Aysun; Omay, Tolga; Hayfavi, Azize; Omay, Tolga; Omay, Tolga; Economics; Economics
In this study, we propose a regime-switching model for temperature dynamics, where the parameters depend on a Markov chain. We improve upon the traditional models by modeling jumps in temperature dynamics via the chain itself. Moreover, we compare the performance of the proposed model with the existing models. The results indicate that the proposed model outperforms in the short time forecast horizon while the forecast performance of the proposed model is in line with the existing models for the long time horizon. It is shown that the proposed model is a relatively better representation of temperature dynamics compared to the existing models. Furthermore, we derive prices of weather derivatives written on several temperature indices.
Tradable and Non-Tradable Inflation in Turkey: Asymmetric Responses To Global Factors
(Physica-verlag Gmbh & Co, 2023) Saygili, Huelya; Turkvatan, Aysun; International Trade and Logistics
We contribute to the debate on the linkage between inflation regimes and globalization in several respects. First, we analyze consumer goods and services classified with respect to their tradability and content of intermediate imports. Second, we use 4-digit commodity-based price index data and the official weights of items in the consumer basket in computations. Third, we explore which states of the reference indicators are more related to low, normal or high regimes of inflation. Regimes are determined using Markov regime-switching models. Probability score analysis compares the best matching of different regimes of inflation and reference indicators. Fourth, since we use commodity-based data we perform the analysis for an emerging country, Turkey, which has not only high trade openness and high global integration rate but also implements inflation targeting regime. Findings suggest that relevance of the reference indicators for predicting inflation depends on: the share of tradable items in the consumer basket, imported intermediate content of items in the consumer basket, the regime of inflation and invoicing currency.