Mehmet Balcilar

Eastern Mediterranean University

Professor of Econometrics

Gazimagusa

Turkey

http://www.mbalcilar.net

SCHOLARLY PAPERS

37

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SSRN CITATIONS
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Top 16,245

in Total Papers Citations

28

CROSSREF CITATIONS

30

Scholarly Papers (37)

1.

LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index

Swiss Finance Institute Research Paper No. 16-05
Number of pages: 32 Posted: 05 Feb 2016
ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Eastern Mediterranean University, University of Pretoria - Department of Economics, Gazi University and Izmir University of Economics
Downloads 537 (54,788)
Citation 4

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S&P 500, LPPL method, stock market bubble, forecast, bubble indicators

2.

Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-Based Approach

Economic Modelling, Forthcoming
Number of pages: 27 Posted: 25 Mar 2017
Mehmet Balcilar, Elie Bouri, Rangan Gupta and David Roubaud
Eastern Mediterranean University, Université Saint Esprit de Kaslik (USEK), University of Pretoria - Department of Economics and Montpellier Business School
Downloads 449 (68,259)
Citation 15

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Bitcoin, Volume, Returns, Volatility, Nonparametric Quantile Causality

3.

Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013

Energy Economics, May 2015
Number of pages: 35 Posted: 28 Sep 2014 Last Revised: 31 Aug 2016
Mehmet Balcilar, Rangan Gupta and Stephen M. Miller
Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 317 (102,190)

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Markov switching, vector error correction, oil and stock prices

4.

Market Regimes and Herding Behavior in Chinese A and B Shares

Number of pages: 41 Posted: 22 Sep 2012
Mehmet Balcilar, Riza Demirer and Shawkat M. Hammoudeh
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Montpellier Business School
Downloads 168 (190,166)
Citation 1

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Herding Behavior, Chinese A- and B-Shares, Dispersion Shocks, Markov-Switching

5.

Temporal Causality between House Prices and Output in the U.S.: A Bootstrap Rolling-Window Approach

North American Review of Economics and Finance, July 2015
Number of pages: 30 Posted: 02 Jul 2013 Last Revised: 31 Aug 2016
University of Pretoria, University of Nevada, Las Vegas - Department of Economics, Eastern Mediterranean University, CSIR and University of Pretoria - Department of Economics
Downloads 144 (216,397)

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real house price, real GDP per capita, Bootstrap, time-varying causality

6.

Multifractality of the Istanbul and Moscow Stock Market Returns

Number of pages: 46 Posted: 12 Jun 2008
Mehmet Balcilar
Eastern Mediterranean University
Downloads 144 (216,397)

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fractal Brownian motion, Hýlder exponent, multifractal market hypothesis, multifractal spectrum, scaling phenomena, statistical self-similarity, Wavelet transform

7.

A Comparative Analysis of Productivity Growth, Catch-Up, and Convergence in Transition Economies

Number of pages: 31 Posted: 13 Jun 2008
Mehmet Balcilar and Ertugrul Deliktas
Eastern Mediterranean University and Ege University - Department of Economics
Downloads 143 (217,626)

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Technical efficiency, total factor productivity, transition economies, convergence, stochastic production frontiers, data envelopment analysis

8.

The Relationship between the Inflation Rate and Inequality Across U.S. States: A Semiparametric Approach

Quantity and Quality, Forthcoming
Number of pages: 18 Posted: 03 Mar 2017 Last Revised: 26 May 2018
Eastern Mediterranean University, Univeristy of Pretoria, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 125 (241,700)

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Income inequality, Inflation rate, Semiparametric instrumental variable estimator

9.

Impact of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul

Emerging Markets Finance and Trade, Vol. 51, 2015
Number of pages: 34 Posted: 07 Nov 2013 Last Revised: 28 Apr 2015
Mehmet Balcilar and Riza Demirer
Eastern Mediterranean University and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 125 (241,700)
Citation 1

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Herd behavior, Emerging markets, Markov-switching, Time-varying probabilities, Multivariate synchronization

10.

Investor Herds and Regime-Switching: Evidence from Gulf Arab Stock Markets

Number of pages: 40 Posted: 18 Sep 2012
Mehmet Balcilar, Riza Demirer and Shawkat M. Hammoudeh
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Montpellier Business School
Downloads 120 (249,257)
Citation 6

Abstract:

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herding, GCC stock markets, dispersion shocks, Markov-Switching

11.

The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains

International Review of Economics & Finance, July 2015
Number of pages: 34 Posted: 30 Nov 2013 Last Revised: 31 Aug 2016
Feng Chia University - Finance, Wuhan University - School of Economics and Management, University of Nevada, Las Vegas - Department of Economics, Eastern Mediterranean University and University of Pretoria - Department of Economics
Downloads 110 (265,231)

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stock market, real estate market, wavelet analysis, frequency domain, time domain

12.

Is There a Role for Islamic Bonds in Global Diversification Strategies? An Empirical Analysis of Risk Transmissions and Dynamic Correlations

Number of pages: 36 Posted: 28 Apr 2015
Mehmet Balcilar, Gözde Çerçi and Riza Demirer
Eastern Mediterranean University, Çukurova University and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 103 (277,718)
Citation 1

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Volatility spillover, Islamic bonds, Dynamic correlations, International Diversification

13.

Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?

Number of pages: 40 Posted: 10 Jan 2013
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance, Montpellier Business School and King Fahd University of Petroleum & Minerals (KFUPM)
Downloads 102 (279,589)
Citation 5

Abstract:

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Herding, Gulf Arab Stock Markets, Dispersion Shocks, Markov-Switching

14.

Persistence in Inflation: Does Aggregation Cause Long Memory?

Number of pages: 32 Posted: 11 Jun 2008
Mehmet Balcilar
Eastern Mediterranean University
Downloads 96 (291,004)

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aggregation, fractional differencing, inflation, inertia, long memory models, persistence

15.

Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors

Empirical Economics, December 2016
Number of pages: 25 Posted: 11 May 2014 Last Revised: 18 Jun 2017
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and Eastern Mediterranean University
Downloads 83 (318,725)

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Private residential investment, predictive regressions, factor-augmented models, Bayesian shrinkage, forecasting

On the Nonlinear Causality between Inflation and Inflation Uncertainty in the G3 Countries

Journal of Applied Economics, Vol. 14, No. 2, pp. 269-296, November 2011
Number of pages: 30 Posted: 18 Nov 2011
Mehmet Balcilar, Zeynel Abidin Ozdemir and Esin Cakan
Eastern Mediterranean University, Gazi University and University of New Haven - Economics
Downloads 81 (326,526)

Abstract:

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inflation, inflation uncertainty, Granger-causality, nonlinear Granger-causality

On the Nonlinear Causality between Inflation and Inflation Uncertainty in the G3 Countries

Journal of Applied Economics. Vol XIV, No. 2 (November 2011), 269-296
Posted: 22 May 2012
Mehmet Balcilar, Zeynel Abidin Ozdemir and Esin Cakan
Eastern Mediterranean University, Gazi University and University of New Haven - Economics

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inflation, inflation uncertainty, Granger-causality, nonlinear Granger-causality

17.

The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US

Applied Economics, Published online 3 February 2015
Number of pages: 55 Posted: 31 Aug 2012 Last Revised: 18 Mar 2015
Mehmet Balcilar, Rangan Gupta and Stephen M. Miller
Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 78 (330,646)
Citation 4

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Forecasting, Linear and non-linear models, US and Census housing price indexes

18.

Does Speculation in the Oil Market Drive Investor Herding in Net Exporting Nations?

Number of pages: 34 Posted: 06 Apr 2016
Mehmet Balcilar, Riza Demirer and Talat Ulussever
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and King Fahd University of Petroleum & Minerals (KFUPM) - Department of Finance & Economics (FINEC)
Downloads 64 (368,485)
Citation 1

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Herd behavior, Equity return dispersion, Crude Oil, Speculative ratio, Markov-switching

19.

Evolution of Monetary Mechanism in the U.S.: The Role of Asset Returns

Journal of Real Estate Finance and Economics, Vol. 52, No. 3, 2016
Number of pages: 28 Posted: 21 Aug 2013 Last Revised: 07 Mar 2016
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and Eastern Mediterranean University
Downloads 61 (377,561)
Citation 1

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monetary policy, house prices, stock prices, TVP-VAR

20.

Housing and the Great Depression

Applied Economics, Published online 13 May 2014
Number of pages: 38 Posted: 01 Feb 2013 Last Revised: 07 May 2015
Mehmet Balcilar, Rangan Gupta and Stephen M. Miller
Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 55 (396,962)
Citation 1

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Great Depression, Real House Price, Real GDP per Capita, Structural change

Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries

Number of pages: 20 Posted: 08 Aug 2012
Zeynel Abidin Ozdemir, Mehmet Balcilar and Aysit Tansel
Gazi University, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 42 (453,503)

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Labor Force Participation Rates, Structural Change, Stationarity

Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries

IZA Discussion Paper No. 6776
Number of pages: 21 Posted: 06 Oct 2012
Zeynel Abidin Ozdemir, Mehmet Balcilar and Aysit Tansel
Gazi University, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 13 (625,017)

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labor force participation rates, structural change, stationarity

22.

Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets

Number of pages: 26 Posted: 27 Feb 2019
Eastern Mediterranean University, Gazi University, affiliation not provided to SSRN and University of Nebraska at Omaha
Downloads 54 (400,268)

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Unconventional Monetary Policy, US Financial Markets, Volatility Spillover, STVAR Model

23.

Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

Public Finance Review, June 2014
Number of pages: 33 Posted: 16 Sep 2012 Last Revised: 18 Mar 2015
University of Pretoria - Department of Economics, Eastern Mediterranean University, University of Pretoria - Department of Economics, World Bank, University of Nevada, Las Vegas - Department of Economics and Gazi University
Downloads 51 (410,456)
Citation 2

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Bayesian Sign-Restricted VAR, fiscal policy, housing prices, stock prices

24.

Was the Recent Downturn in US GDP Predictable?

Applied Economics, Published online 16 February 2015
Number of pages: 38 Posted: 16 Nov 2012 Last Revised: 18 Mar 2015
Eastern Mediterranean University, University of Pretoria - Department of Economics, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Nevada, Las Vegas - Department of Economics
Downloads 46 (428,781)
Citation 1

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Forecasting, Linear and non-linear models, Great Recession

25.

Regional and Global Spillovers and Diversification Opportunities in the GCC-Wide Equity Sectors Across Market Regimes

Number of pages: 45 Posted: 28 May 2014
Mehmet Balcilar, Riza Demirer and Shawkat M. Hammoudeh
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Montpellier Business School
Downloads 43 (440,449)
Citation 1

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GCC-wide equity sectors, Multivariate regime-switching, Time-varying correlations, Financial integration, International portfolio diversification

International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?

Bulletin of Economic Research, December 2011
Number of pages: 33 Posted: 21 Dec 2011
Zeynel Abidin Ozdemir, Mehmet Balcilar and Aysit Tansel
Gazi University, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 25 (541,890)

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Labour Force Participation Rates, Gender, Fractional Integration, Structural Breaks

International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?

IZA Discussion Paper No. 6063
Number of pages: 34 Posted: 06 Nov 2011
Zeynel Abidin Ozdemir, Mehmet Balcilar and Aysit Tansel
Gazi University, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 18 (589,358)

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labour force participation rates, gender, fractional integration, structural breaks

27.

Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach

Social Indicators Research, Forthcoming
Number of pages: 25 Posted: 19 Jun 2017 Last Revised: 26 May 2018
Eastern Mediterranean University, Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 36 (469,839)

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Partisan Conflict; Income Distribution; Quantile Causality

28.

Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes

Empirical Economics, April 2013
Number of pages: 46 Posted: 27 Dec 2010 Last Revised: 29 May 2014
Eastern Mediterranean University, University of Pretoria - Department of Economics, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Nevada, Las Vegas - Department of Economics
Downloads 33 (483,577)

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Forecasting, Linear and Non-Linear Models, Nevada Gross Gaming Revenue, Nevada Taxable Sales

29.

Point Optimal Invariant Tests of a Unit Root in Models with Structural Change

Number of pages: 53 Posted: 28 Apr 2009
Mehmet Balcilar
Eastern Mediterranean University
Downloads 18 (569,053)
Citation 1

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unit root test, point optimal, structural change

30.

Transmission of Us and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times

IZA Discussion Paper No. 13274
Number of pages: 44 Posted: 23 May 2020
Eastern Mediterranean University, Gazi University, Gazi University and University of Nebraska at Omaha
Downloads 2 (692,387)

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quantile VAR, oil price change, economic policy uncertainty, relative-tail-dependence

31.

U.S. Monetary Policy and the Predictability of Global Economic Synchronization Patterns

Number of pages: 31 Posted: 13 May 2020 Last Revised: 18 May 2020
Mehmet Balcilar and Riza Demirer
Eastern Mediterranean University and Southern Illinois University Edwardsville - Department of Economics & Finance
Downloads 2 (680,412)

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Output gap, Business cycles, Quantile causality, Predictability

32.

Asymmetric and Time‐Varying Causality between Inflation and Inflation Uncertainty in G‐7 Countries

Scottish Journal of Political Economy, Vol. 60, Issue 1, pp. 1-42, 2013
Number of pages: 42 Posted: 04 Jan 2013
Mehmet Balcilar and Zeynel Abidin Ozdemir
Eastern Mediterranean University and Gazi University
Downloads 2 (680,412)
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33.

Wealth‐To‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test

International Review of Finance, Vol. 18, Issue 3, pp. 495-506, 2018
Number of pages: 12 Posted: 17 Sep 2018
Eastern Mediterranean University, University of Pretoria - Department of Economics, University of Minho and University of Nebraska at Omaha
Downloads 1 (692,387)
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34.

Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration Using a Nonparametric Causality‐In‐Quantiles Test

Bulletin of Economic Research, Vol. 70, Issue 1, pp. 74-87, 2018
Number of pages: 14 Posted: 11 Jan 2018
Mehmet Balcilar, Rangan Gupta and Clement Kyei
Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Pretoria
Downloads 1 (692,387)
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causality‐in‐quantiles, investor sentiment, linear causality, nonlinear dependence, nonparametric causality, stock markets

35.

International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?

Bulletin of Economic Research, Vol. 65, pp. s142-s164, 2013
Number of pages: 23 Posted: 08 May 2013
Zeynel Abidin Ozdemir, Mehmet Balcilar and Aysit Tansel
Gazi University, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 1 (692,387)
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fractional integration, gender, labour force participation rates, structural breaks

36.

Evolution of the Monetary Transmission Mechanism in the US: The Role of Asset Returns

Journal of Real Estate Finance and Economics, Vol. 52, No. 3, 2016
Posted: 03 Mar 2016
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and Eastern Mediterranean University

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Monetary policy transmission; Housing return; Stock return; TVP-VAR

37.

Transmission of US and EU economic policy uncertainty shock to Asian economies in bad and good times

Number of pages: 43
Eastern Mediterranean University, Gazi University, Gazi University and University of Nebraska at Omaha
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Economic policy uncertainty, oil price change, quantile VAR, relative-tail-dependence