Yazar "Toğuç, Nurhan" seçeneğine göre listele

Listeleniyor 1 - 2 / 2
  • [ X ]
    Öğe
    Impact of the COVID-19 on MSCI world equity market index
    (Inderscience Publishers, 2022) Toğuç, Nurhan
    This article aims to analyse and measure the impact of the COVID-19 daily fatality cases, along with the BRENT prices and the financial volatility index (VIX) on the global economy, proxied by MSCI global market index (MXWO) both in the long run and the short-run, and discuss policy responses using the ARDL methodology. The study contributes to the literature as it is one of the first studies aimed at measuring the impact and direction of COVID-19 daily fatality cases on the global markets investigated through financial contagion. The ARDL model estimates indicated a significant and negative effect of the coronavirus crisis on MXWO. BRENT prices seem to have no direct effect on the global economy proxied by MXMO index, both in the long and the short term. But, it is likely to have an indirect effect through financial volatility as BRENT prices reacted sharply to the rise in financial volatility. Copyright © 2023 Inderscience Enterprises Ltd.
  • [ X ]
    Öğe
    Wavelet coherence analysis and exchange rate movements
    (Springer Science and Business Media B.V., 2022) Kuşkaya, Sevda; Toğuç, Nurhan; Bilgili, Faik
    In this study, we examine the volatility of exchange rates to exogenous monetary shocks by dividing the volatility into subsections of “interdependence” and “contagion” during FED’s easing for the period from 2010:11 to 2018:7. Conventional methods are neither suitable to differentiate those components nor to identify the co-movements concerning time and frequency analysis, which are critical for timing in asset management and policymaking. Therefore, wavelet analysis is introduced to differentiate such components. The contribution of the study is threefold: First, this study compensates for the lack of research capturing the volatility structure of exchange rates during exogenous shocks. Second, we show both the long-term and short-term impact with associated frequency ranges. Third, we show that identifying the impact of a shock in different components and frequency ranges can provide valuable insights for the timing of market preventions and asset allocation. © 2022, The Author(s), under exclusive licence to Springer Nature B.V.