Mehmet Balcilar

Eastern Mediterranean University

Professor of Econometrics

Gazimagusa

Turkey

http://www.mbalcilar.net

SCHOLARLY PAPERS

40

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4,036

SSRN CITATIONS
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SSRN RANKINGS

Top 13,194

in Total Papers Citations

61

CROSSREF CITATIONS

30

Scholarly Papers (40)

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, IZA Institute of Labor Economics and Izmir University of Economics
Downloads 637 (52,140)
Citation 6

Abstract:

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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 509 (69,177)
Citation 22

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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 337 (111,976)
Citation 2

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Markov switching, vector error correction, oil and stock prices

4.

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

Quantity and Quality, September 2018
Number of pages: 18 Posted: 03 Mar 2017 Last Revised: 27 Jul 2020
Eastern Mediterranean University, Univeristy of Pretoria, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 221 (172,297)
Citation 1

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Income inequality, Inflation rate, Semiparametric instrumental variable estimator

5.

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 Drexel University - Lebow College of Business
Downloads 174 (213,889)
Citation 1

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

6.

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 157 (233,453)
Citation 3

Abstract:

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

7.

Multifractality of the Istanbul and Moscow Stock Market Returns

Number of pages: 46 Posted: 12 Jun 2008
Mehmet Balcilar
Eastern Mediterranean University
Downloads 147 (246,432)

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

8.

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 145 (249,164)

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

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 132 (268,191)
Citation 3

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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 Drexel University - Lebow College of Business
Downloads 125 (279,269)
Citation 9

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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 115 (296,515)
Citation 3

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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 108 (309,904)
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, Drexel University - Lebow College of Business and King Fahd University of Petroleum & Minerals (KFUPM)
Downloads 107 (311,906)
Citation 8

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 100 (326,334)

Abstract:

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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 87 (356,324)

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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, IZA Institute of Labor Economics and University of New Haven - Economics
Downloads 83 (370,125)
Citation 1

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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, IZA Institute of Labor Economics 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 80 (374,727)
Citation 5

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

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

Number of pages: 43 Posted: 11 Jun 2020
Eastern Mediterranean University, IZA Institute of Labor Economics, Gazi University and University of Nebraska at Omaha
Downloads 56 (458,881)
Citation 3

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Economic Policy Uncertainty, Oil Price Change, Quantile VAR, Relative-Tail-Dependence

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, IZA Institute of Labor Economics, Gazi University and University of Nebraska at Omaha
Downloads 14 (705,732)

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

19.

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 68 (410,188)
Citation 1

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

20.

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 (433,683)
Citation 1

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

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
IZA Institute of Labor Economics, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 43 (515,211)

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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
IZA Institute of Labor Economics, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 17 (681,278)

Abstract:

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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, IZA Institute of Labor Economics, affiliation not provided to SSRN and University of Nebraska at Omaha
Downloads 58 (444,429)
Citation 2

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

23.

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 58 (444,429)
Citation 3

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

24.

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 IZA Institute of Labor Economics
Downloads 57 (448,174)
Citation 2

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

25.

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

Social Indicators Research, February 2019
Number of pages: 25 Posted: 19 Jun 2017 Last Revised: 27 Jul 2020
Eastern Mediterranean University, Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 55 (455,500)

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Partisan Conflict; Income Distribution; Quantile Causality

26.

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 49 (479,005)
Citation 1

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Forecasting, Linear and non-linear models, Great Recession

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
IZA Institute of Labor Economics, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 28 (599,348)

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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
IZA Institute of Labor Economics, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 21 (650,006)

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

28.

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 Drexel University - Lebow College of Business
Downloads 45 (496,158)
Citation 1

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

29.

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 34 (549,238)

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

Effectives of monetary policy under the high and low economic uncertainty states: Evidence from the major Asian economies

Number of pages: 30 Posted: 01 Jun 2021
Eastern Mediterranean University, IZA Institute of Labor Economics, Gazi University, Gazi University and University of Nebraska at Omaha
Downloads 17 (681,278)

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Economic policy uncertainty, monetary policy efficiency, quantile spillover, QVAR

Effectives of Monetary Policy Under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies

IZA Discussion Paper No. 14420
Number of pages: 32 Posted: 12 Jun 2021
Eastern Mediterranean University, IZA Institute of Labor Economics, Gazi University, Gazi University and University of Nebraska at Omaha
Downloads 9 (748,168)

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31.

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 19 (643,873)
Citation 1

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unit root test, point optimal, structural change

32.

The COVID-19 Effects on Agricultural Commodity Markets

Number of pages: 20 Posted: 02 Aug 2021
Mehmet Balcilar and Kamil Sertoglu
Eastern Mediterranean University and Eastern Mediterranean University - Departments of Economics
Downloads 18 (650,997)

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COVID-19, agricultural commodity markets, quantile causality, news-based sentiment index, Granger causality

33.

Housing and Economic Policy Uncertainty in the OECD Countries

Number of pages: 25 Posted: 26 Oct 2020
Mehmet Balcilar, David Roubaud, Gizem Uzuner and Mark E. Wohar
Eastern Mediterranean University, Montpellier Business School, Eastern Mediterranean University and University of Nebraska at Omaha
Downloads 18 (650,997)
Citation 1

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housing price, economic policy uncertainty, panel vector auto-regression

34.

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 12 (695,962)

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Output gap, Business cycles, Quantile causality, Predictability

35.

Flexible Time‐Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold

Balcilar M, Demirer R, Bekun FV. Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold. Mathematics. 2021; 9(8):915. https://doi.org/10.3390/math9080915
Number of pages: 21 Posted: 21 Apr 2021
Mehmet Balcilar, Riza Demirer and Festus Bekun
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Istanbul Gelisim University - Faculty of Economics Administrative and Social Sciences
Downloads 10 (711,483)

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ime‐varying beta, risk premium, asset pricing, bayesian estimation, thresholds

36.

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 IZA Institute of Labor Economics
Downloads 2 (776,084)
Citation 1
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37.

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 (787,597)
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38.

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 (787,597)
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causality‐in‐quantiles, investor sentiment, linear causality, nonlinear dependence, nonparametric causality, stock markets

39.

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
IZA Institute of Labor Economics, Eastern Mediterranean University and Middle East Technical University (METU) - Department of Economics
Downloads 1 (787,597)
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fractional integration, gender, labour force participation rates, structural breaks

40.

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