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Öğe ARCH models and an application on exchange rate volatility: ARCH and GARCH models(Springer, 2021) Kantar, LokmanThe financial liberalization that began in the last quarter of the twentieth century caused sudden movements in the currencies and financial assets of the countries. These sudden movements are called volatility. Sudden price changes in financial assets made it difficult to predict the future and increased the risks of financial assets. Investors wishing to invest in financial assets wanted to estimate the price of assets correctly to minimize their risks; this has revealed the need for accurate determination of volatility. Since the changes in asset prices are not linear, volatilities in prices are determined by nonlinear methods. This chapter discusses the GARCH models (GARCH, GJR, EGARCH), which are nonlinear models, and tests the validity of these models through a Turkey application on exchange rate volatility. The findings of the study have indicated that the GARCH (1,1) model successfully explained the volatility in the exchange rate. © The Authors 2021. All rights reserved.Öğe Finance and Cost Management in the Process of Logistics 4.0(Springer Nature, 2022) Kantar, LokmanIndustry 4.0 is a revolution of creating added value, based on the use of machinery and robot power instead of arm strength of works that do not require any qualification and specialization on jobs that require qualification. Replacing the manpower of the machines, making them coordinable; thanks to new developments in computers and internet technology, and making the production processes self-manageable, led to the emergence of the Industry 4.0 concept. Logistics 4.0 explains the implications of Industry 4.0 on transport and cross-functional coordination tasks and how digitalization and automation in logistics should be shaped and supported. In the case of applying Logistics 4.0 in the supply chain, it provides significant and potential cost savings. The financing of the supply chain in the Logistics 4.0 process, which is the subject of this study, is extremely important for logistics companies to gain profits with low resource cost and working capital, and maximize cash flows and increase firm values. The supplier companies and the focal company in the supply chain utilize the credibility of the focal company to finance their investments at a low cost. Firms in the supply chain also need to reduce their working capital and increase asset turnover (sales/assets) by lowering their stock levels in order to increase their return on equity (ROE). In order to reduce the working capital of logistics companies, they need to decrease their stock levels, storage costs, transportation costs, and increase their service levels to customers. According to the case study findings related to SCF, if the suppliers in the supply chain use the SCF instrument, a serious decrease in credit costs is observed. In order for Focal Company to take advantage of these transactions, the supplier companies in the supply chain must make an additional “pro rato” payment or sale discount. © 2022, The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.Öğe Finansal Krizlerin Tahmininde Öncü Göstergelerin Logit-Probit Model ile Analizi: Türkiye Uygulaması(Bülent Ecevit Üniversitesi, 19-02-2018) Akkaya, Murat; Kantar, LokmanFinansal krizlerin önceden tahmin edilebilirliği ile finansal krizleri gösteren öncü göstergelerin belirlenmesi konusunda birçok endeks geliştirilmiş, tartışılmış ve modeller türetilmiştir. Krizlerin önceden tahmin edilmesinde ekonomik ve finansal öncü değişkenler gösterge olarak kullanılmaktadır. Bu çalışmanın amacı 2005 Ocak-2017 Ocak döneminde finansal baskı endeksi oluşturulması ve Logit/Probit modeller kullanılarak finansal krizlerin öncü göstergelerinin tespit edilmesidir. Brüt rezervler (BUR), İç Borç stoku (ICB) ve Aylık TL mevduat faizi (AMF) değişkenlerinden oluşan model krizi en iyi açıklayan ve güvenilir model olarak seçilmiştir. Anahtar Kelimeler: Finansal Kriz, Finansal Baskı Endeksi, Öncü Göstergeler, Türkiye.Öğe Kredi Temerrüt Takasları Primi (Credit Default Swaps Premium-Cds) ile Avrupa Borç Krizi İlişkisi: Piigs Ülkeleri Üzerine Uygulama(Beykoz Üniversitesi, 2020) Kantar, Lokman2008 Küresel krizin etkisinin azaltılması için uygulanan genişletici para politikaları, Avrupa’da PIIGS ülkeleri diye bilinen Portekiz, İrlanda, İtalya, Yunanistan ve İspanya’nın kamu borçlarının ve bütçe açıklarının daha da artmasına neden olmuştur. Bu durum ülkelerin risklerini gösteren CDS primlerinin de yükselmesine neden olmuştur. Küresel krizin etkisini Avrupa’da tamamen hissettirmeye başladığı 2009-2014 yılları arasında PIIGS ülkelerinin CDS primleri ile kamu borcu, bütçe açığı ve cari açık gibi makroekonomik göstergeler ile ilişkisi panel veri analizi yöntemi ile incelenmiştir. Çalışma sonucunda kamu borcu ve işsizlik oranı gibi makroekonomik göstergelerdeki artışın ülke CDS primlerini yükselttiği sonucuna ulaşılmıştır.Öğe Limited dependent variables (logit and probit models) and an application on BIST-100: Logit and probit models(Springer, 2021) Kantar, LokmanRegression models of a dependent variable that take on qualitative values 0 and 1 cannot be interpreted as conventional regression models. The fact that the dependent variable takes on two different values causes some problems in the model. These problems include the fact that the model's errors do not show normal distribution, that the model's errors take on values less than 0 or greater than 1, and that the relationship between dependent and independent variables is not linear. Nonlinear models should be utilized to solve these problems. Nonlinear models include logit and probit models. Therefore, logit and probit models are discussed in detail in this chapter of the book. Macroeconomic factors affecting the return on the BIST-100 Index (Gold price per ounce, TL Deposit Interest, Euro-Dollar Currency Basket Return) have been investigated using logit and probit models. The findings of the study indicate that the return on the BIST-100 Index is affected by Euro-Dollar Currency Basket Return. © The Authors 2021. All rights reserved.Öğe Reserve Options Mechanism and Exchange Rate Volatility: An Implementation for Turkey(İstanbul Gelişim Üniversitesi Yayınları / Istanbul Gelisim University Press, 2020) Kantar, LokmanDue to the flexible monetary policies implemented during the crisis, low-interest rates obtained funds has moved towards countries with emerging economies and that caused speculative attacks (the volatility in exchange rates, capital market etc. to make short-term trades.) on countries such as Turkey. Therefore, Turkey has developed a set of measures to ensure price stability along with financial stability. One of these measures is the Reserve Option Mechanism, which enables TL required reserves to be held in foreign currency. Foreign currencies entering the country through the Reserve Options Mechanism will not enter the economy directly, and some of this money will be kept by the CBRT as required reserves by banks. Thanks to this mechanism, it is aimed to reduce the volatility in exchange rates. In this study, the effect of Reserve Options Mechanism on exchange rate volatility has been examined.Öğe Testing of Macroeconomic Factors Affecting Capital Markets with Granger Causality Method: Turkey Practice(Melih Topaloğlu, 2022) Kantar, LokmanPurpose- In this study, the relationship between the capital market (BIST 100 index) and macroeconomic variables that are thought to affect the capital market (gold prices, oil prices, Euro-US Dollar exchange rate basket, budget balance, foreign trade balance) will be examined with the Granger causality method. Design/methodology/approach- The study covers the period of 2010-2019 on a monthly system. The data were obtained from the CBRT (EDDS) and TurkStat. Statistical package software (Stata and EViews 9) were used in the analysis of the data. BIST 100 index return is included in the model as a dependent variable and macroeconomic factors as an independent variable. The relationship between dependent and independent variables was examined with the VAR-based Granger causality method. Findings- As a result of the study, it has been understood that only the gold price among the macroeconomic factors is the Granger cause of the BIST 100 index. In other words, lagged changes in gold prices explain the variance of the BIST 100 index. When the direction of the relationship was examined, a one-way Granger causality was observed from the Ons variable to the BIST 100 variable. When the actionreaction shocks between the BIST 100 variable and the ONS variable are examined, a shock in gold prices affected the return of the BIST 100 index for about 2 months, and this effect decreased and disappeared from the 5th month. Again, approximately 6.82% of the variance of the BIST100 variable is explained by the Ons variable. Discussion- Developments in the capital markets are followed closely by both institutional investors and individual investors. For this reason, it is extremely important what factors affect the BIST 100 index, which is thought to represent the Turkish capital market. According to the findings of the study, changes in gold prices affect the BIST 100 index return, and the relationship between these two variables should be closely monitored. Addressing the long-term relationship between the BIST 100 index and gold prices in future studies will make an important contribution to the literature.Öğe Türev Ürün Kullanımının Piyasa Değerine Etkisi: Bankacılık Sektöründe Bir Uygulama(Bankacılık Düzenleme ve Denetleme Kurumu, 2022) Kantar, Lokman; Düzer, MuratBorsa İstanbul’da işlem gören sekiz mevduat bankasının (yerli ve yabancı) 2007Q1- 2021Q4 dönemleri arasındaki piyasa değeri ile türev ürün kullanımı arasındaki ilişki panel nedensellik yöntemi ile incelenmiştir. Ayrıca piyasa değerini etkileyen faktörler panel veri analizi yöntemleri ile tespit edilmeye çalışılmıştır. Araştırmanın bulgularına göre piyasa değeri ile alım satım amaçlı türev ürün kullanımı arasında iki yönlü nedensellik ilişkisi bulunurken, piyasa değeri ile risk yönetim amaçlı türev ürün kullanımı arasında herhangi bir nedensellik ilişkisi bulunmamıştır. Piyasa değerini etkileyen faktörlerden ise alım satım amaçlı türev ürün kullanımı ile takipteki krediler / toplam krediler oranı piyasa değerini negatif etkilerken, varlık büyüklüğü ile sermaye yeterlik oranı değişkenleri piyasa değerini pozitif yönde etkilemiştir.
