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Vol.4 No.2
June 2016

 Page Number

 Article Information

1-11

Trading Activity and Prices in Energy Futures Market

Aysegul Ates

DOI: 10.15604/ejef.2016.04.02.001

Abstract

This paper aims to examine trading activity and the relationship between futures trading activity by trader type and energy price movements in three energy futures markets –natural gas, crude oil and heating oil. We find that the level of net positions of speculators are positively related to future returns and in contrast net positions of hedgers are negatively related to futures price changes in all three markets. The changes in net positions are relatively more informative compare to the level of net positions in predicting price changes in related markets.

Keywords: Energy Futures, Speculation, Hedging Pressure, Trading Activity

12-17

Negative Currency-Risk-Exposure for Turkish Equities

Salvatore J. Terregrossa and Veysel Eraslan

DOI: 10.15604/ejef.2016.04.02.002

Abstract

Currency-risk-exposure is an issue for Turkish equities, from two different angles: internationaltrade and foreign-portfolio-investment. The likely effect is positive for the former, and negative for the latter aspect. Consequently, the overall or net effect on equity value depends on which of these aspects of currency-risk-exposure has the greater impact. The present empirical analysis estimates currency risk of Turkish equities within a multi-factor regression setting, utilizing the framework of the Security Market Plane (SMP) model. The SMP model embodies a conditional relation among three variables: beta, realized excess market-return, and expected excess portfolio-return. The SMP empirical framework is extended to include a currency-risk-factor in the present analysis. The currency-risk-factor is specified as the excess return to holding foreign currency (€; $), relative to holding domestic currency (Turkish Lira). The SMP-related factor is the cross-product term of beta and realized excess market-return (β it rMt ). A regression of realized excess portfolio-returns against the corresponding currency-risk-factor and cross product-term (β it rMt ) finds that the Turkish stocks represented in the analysis generally have overall negative currency-risk-exposure; suggesting that unexpected currency depreciation generally leads to lower values for Turkish stocks (and portfolios of Turkish stocks). Thus, after accounting for the SMP-related interaction-effect between beta and realized excess marketreturn, currency risk is found to command a premium for the Turkish stocks represented in the analysis.

Keywords: Currency-Risk-Exposure, Foreign-Portfolio-Investment, International-Trade, Security Market Plane, Portfolio Return, Beta, Market Return

18-41

Monetary Conformation of the Corporate Governmentality III Description of the Monetary System

Eduardo Rivera Vicencio

DOI: 10.15604/ejef.2016.04.02.003

Abstract

This paper describes the current monetary system, identifying different components and the relationship between them. It is part of the Foucaultian approach of power relations and forms part of a body of work on the monetary conformation of corporate governmentality. It also forms part of the theoretical framework: the general monetary theory and, in particular, the quantity theory of money and the theory of business cycles. It describes four major components such as international organizations with effects on the money supply, states from dominant or dominated economies, the economy of large financial and non-financial companies and the real economy, made up of families and small and medium size companies. Within these four main components, there are different levels of action and influence in the money supply. The relationships, that are addressed, are the relationships which occur within each one of the components and the relationships between the different components. In these relationships between components of the monetary system, the creation of excess money supply is explained which produced the economic crisis as a result of the structure of the monetary system and its historical conformation. This document also describes the conformation of rent appropriation and yields, together with the process of the concentration of wealth, where the monetary system acts as an essential tool for achieving these purposes by large companies.

Keywords: Monetary System, Rent Appropriation, Concentration of Wealth, Corporate Governmentality, Monetary Theory, Quantity Theory of Money, Money Supply and Crisis

42-57

Understanding the NEET in Turkey

Z. Bilgen Susanli

DOI: 10.15604/ejef.2016.04.02.004

Abstract

The purpose of this paper is twofold. First, drawing on data from the Household Labor Force Surveys over the period 2004-2013, it examines the determinants of the NEET (Not in Employment, Education or Training) status for the Turkish youth. This is particularly important for Turkey as it has the highest NEET rate among the OECD countries. Second, it describes the movement of the youth across four states: education, employment, unemployment and inactivity. Probit results indicate that gender and educational attainment are key factors for explaining the NEET status. Findings also show that a greater number of household members that are in employment is associated with a lower likelihood of NEET. Transition analyses reveal that the state of inactivity remains highly persistent despite the substantial fall over the sample period. In addition, the rise in the persistence of education between 2007 and 2009 underlines the choice of the youth to stay in education in response to the fall in labor market prospects.

Keywords: Youth, NEET, Turkey

58-71

Implications of FDI for Current Account Balance: A Panel Causality Analysis

Serap Bedir and Aylin Soydan

DOI: 10.15604/ejef.2016.04.02.005

Abstract

Two main forms of capital movements, namely portfolio and direct investments, towards developing countries have been studied from various angles. It is very often argued that direct investments have better implications for economic development and growth as they provide more stable and long-term resources. Foreign direct investment is also regarded to be a healthier means for financing current account deficits. However, widening current account deficits in most of the developing economies in the past few decades have brought about the question of implications of capital movements, including FDI, for those imbalances. This paper empirically investigates the relationship between current account balances and FDI in a group of developing economies by considering the channels for this relationship. To provide an empirical analysis, a panel Granger causality framework is employed with the data on FDI, exports and imports, by using the methodology developed by Konya (2006). The empirical results of the study do not provide conclusive results; the countries in the panel seem to have various links between FDI and international trade components.

Keywords: Foreign Direct Investment (FDI), Current Account Deficits, Developing Countries, Granger Causality, Panel Data Analysis

72-90

Monetary Conformation of the Corporate Governmentality I From the New Art of Governing to the Beginning of Neoliberal Governmentality

Eduardo Rivera Vicencio

DOI: 10.15604/ejef.2016.04.02.006

Abstract

From the perspective of the Foucaultian approach and using the archaeological and genealogical methodology, this paper describes the origins of the first monetary institutions which are those that have the greatest impact on the development of the monetary system that took shape over time. The origin of the first central Banks, the gold standard system, the origins of the FED (Federal Reserve) and the birth of neoliberal governmentality, institutions whose conformation gave rise to the origins to, from a monetary standpoint, corporate governmentality. This document, of a historical, philosophical and economic character, describes relationships of power which shaped and defined the lines of development of a monetary system in conformation and is based on the concentration of wealth and the appropriation of income and their yields. The crisis, monetary shocks or monetary imbalances began to be more frequent and linked to the monetary conformation of institutions that give rise to the rising monetary system.

Keywords: Governmentality, Monetary Conformation, Foucault, Archaeological and Genealogical Methodology, Relationship of Power, Gold Standard Crisis, Concentration of Wealth and Income Appropriation

91-100

Cointegration and Causality between Turkish, Imports and GDP: A Structural Analysis

Cagri Levent Uslu

DOI: 10.15604/ejef.2016.04.02.007

Abstract

The aim of this paper is to reveal the relation between imports and growth rate in Turkey for the period between the first quarter of 1998 and last quarter of 2014. The touchstone in Turkish economy is the January 24 regulations of 1980. The import led growth strategy of the Turkish economy switched to export led growth strategy after this date. It is an indisputable fact that trade openness triggered to the economic growth progress of Turkey. Yet, the issue should be further investigated. It is being argued by both scholars and politicians that the high growth rates in the mentioned period is achieved by importing raw materials and intermediate goods, thus, growth in Turkish economy has to be accompanied by the increase in imports and thus increase in trade deficit and current account deficit. In the literature, the relations between GDP growth and exports are intensively investigated, however, the relation between the second component of international trade, imports, and GDP growth did not attract that much attention. The main objective of this study is to reveal the presence and direction of Granger causality between Turkish Imports and GDP. The model to be employed in Granger causality (i.e. VAR vs. VECM) depends on whether the variables under question are stationary and/or co integrated. In testing the unit roots, we have followed the Augmented Dickey-Fuller (Dickey and Fuller, 1979) test which eventually became the standard practice in unit root testing. Next, to find the number of co integrating vectors Johansen Maximum Likelihood (Johansen and Juselius, 1990) test is employed.

Keywords: Granger Causality, Imports, GDP Growth

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