SALIH FENDOGLU Webpage
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ABOUT

Ankara, Turkey
Welcome to my webpage. For Resume, click [here]

MACRO-FINANCIAL LINKAGES

How disturbances that have a direct effect on credit supply or demand conditions affect business cycle fluctuations?

Determinants of firms' external financing costs.

Strength of financial amplification along the business cycles?

MACROPRUDENTIAL POLICY

Effectiveness of macroprudential and capital flow management tools in cushioning the economy from fluctuations in capital flows.

OPEN ECONOMY MACROECONOMICS

The effect of sudden stop on credit market conditions.

The intrinsic role global financial factors play in the (endogenous) determination of EME's country spreads and business cycle fluctuations.

Disclaimer: The views or opinions expressed in this page should not be interpreted as reflecting those of the Central Bank of the Republic of Turkey. Re-tweets do not imply endorsement.
Copyright © 2011 - 2017 by Salih Fendoglu. All rights reserved.
Last Update: May 2017.

CURRENT POSITION

Economist

RESEARCH DEPARTMENT, CENTRAL BANK OF TURKEY

Visiting Lecturer

ISTANBUL SCHOOL OF CENTRAL BANKING, CBRT

Research Associate

CEE, BOGAZICI UNIVERSITY

PAST POSITIONS

Visiting Central Bank Research Fellow

BANK FOR INTERNATIONAL SETTLEMENTS (BIS)

EDUCATION

DEGREES

Ph.D. in Economics, 2012

UNIVERSITY OF MARYLAND COLLEGE PARK

B.A & M.A in Economics, 2004 / 2007

BOGAZICI UNIVERSITY

CONFERENCES

SELECTED

European Econometric Society Meetings, 2016 / Swiss Society Financial Market Research, 2016 / Midwest Finance Spring Meetings, 2016 / BIS-CBRT-IMF Conference on Macroprudential Policies and Implementation Challenges, 2015 / 21th Computing in Economics and Finance, Society for Computational Economics, 2015 / Midwest Macro Spring Meetings, 2015 / XXIII International Rome Conference on Money, Banking and Finance, 2014 / TEA - IVth International Conference, 2014 / ECB-IMF Conference on ``International dimensions of conventional and unconventional monetary policy, 2014 / Bank of Indonesia - Forecasting in Central Banks, 2014 / Economic Modeling Workshop (Central Bank of the Republic of Turkey), 2013 / 17th Computing in Economics and Finance, Society for Computational Economics, 2011.

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PUBLICATIONS

Credit Cycles and Capital Flows: Effectiveness of the Macroprudential Policy Framework in Emerging Market Economies

JOURNAL OF BANKING AND FINANCE, 79, 110-128. (2017)

I assess the effectiveness of macroprudential policy tools in containing credit cycles per se or the impact of portfolio inflows on the cycles in major emerging market economies. The results show that borrower-based tools, measures with a domestic focus, and domestic reserve requirements are particularly effective. The findings are, in most cases, stronger for the recent period during which most of the macroprudential actions are undertaken, and generally hold for alternative definitions of credit cycle, the monetary policy stance, and portfolio inflows. Weaker results emerge for financial-institutions-based or foreign-currency related macroprudential tools.

Journal (link) Working Paper (pdf) S. Fendoglu

Reserve Option Mechanism as a Stabilizing Policy Tool: Evidence from Exchange Rate Expectations

INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE, 35, 166-179. (2015)

... focuses on a specific unconventional policy tool introduced by the Central Bank of Turkey, the Reserve Option Mechanism (ROM), and studies how the introduction of ROM affects the sensitivity of higher moments (volatility, skewness and kurtosis) of USD/TL exchange rate expectations to estimated common external factors.

Download Ahmet Degerli S. Fendoglu

Optimal Monetary Policy Rules, Financial Amplification and Uncertain Business Cycles

JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, 46, 271-305. (2014)

... studies optimal monetary policy in the presence of ‘uncertainty’, time-variation in cross-sectional dispersion of firms' productive performance. The results suggest that (i) optimal policy is to dampen the strength of financial amplification by responding to uncertainty (at the expense of creating mild degree of fluctuations in inflation). (ii) Higher uncertainty makes the constrained planner more willing to relax financial constraints. (iii) A non-negligible response to credit spreads – together with a strong anti-inflationary policy stance – achieves the highest aggregate welfare possible.

Download Salih Fendoglu

MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging Stock Markets

ECONOMICS LETTERS, 117, 528-532. (2012)

... evaluates weekly out-of-sample volatility forecast performance of univariate Mixed Data Sampling (MIDAS) model compared to the benchmark model of GARCH(1,1) for ten emerging stock markets. The results show that the MIDAS model offers a statistically better forecasting precision during the recent financially turbulent era, based on the test suggested by West (2006). For the tranquil period, however, the MIDAS model cannot produce a statistically better weekly volatility forecast.

Download C.E. Alper S. Fendoglu B. Saltoglu

The Economics of The Uncovered Interest Parity Condition For Emerging Markets

JOURNAL OF ECONOMIC SURVEYS, 23, 115-138. (2009)

Financial account liberalizations since the second half of the 1980s paved the way for the burgeoning literature that investigates foreign exchange market efficiency in emerging markets (EMs) via testing for the uncovered interest parity (UIP) condition. This paper is the first to provide a broad and critical survey on this recent literature. Specifically, we attempt to answer the following questions. First, are the EMs different from the developed economies in the context of the UIP condition? Second, to what extent can these differences contribute to the debate on the UIP literature? Third, what are the empirical challenges specific to the EMs in testing for the UIP condition?

Download C.E. Alper S. Fendoglu P. Ardic
POLICY NOTES

Credit cycles and macroprudential policy framework in emerging countries

BIS PAPERS, No.86d (2016)

... assess how macroprudential policy tools perform in major emerging countries in containing "excessive" credit cycles.

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Macroprudential policies as buffer against volatile cross-border capital flows

SINGAPORE ECONOMIC REVIEW & CBRT WORKING PAPER 14/04 (2014)

This paper investigates the effectiveness of macroprudential policies introduced by Turkey in late 2010. Using a large panel of 46 countries and following Bruno and Shin (2013a,b), we investigate whether the new policy framework in Turkey has been successful in cushioning the economy from volatile cross-border capital flows from a comparative perspective. The results show that, after controlling for a set of domestic and external variables, cross-border capital flows to Turkey have become less sensitive to global factors (relative to a group of advanced and emerging countries) after the implementation of macroprudential policies.

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Cross-border portfolio flows and the role of macroprudential policies: experiences from Turkey

BIS PAPERS, No.78x (2014)

Prevailing policy uncertainties and the unprecedentedly volatile global portfolio flows has given rise to macro-financial challenges for emerging market countries. To contain the potentially undesirable effects of such flows on their domestic real and financial cycles, emerging market countries have implemented a battery of macroprudential policies. Turkey has been proactive in devising an augmented policy framework to limit such undesirable effects. This note uses a cross-country data set covering 2005–12, and shows that the policy framework in Turkey has been by and large effective in decreasing the sensitivity of portfolio inflows to global risk factors.

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Managing Short-Term Capital Flows in New Central Banking: Unconventional Monetary Policy Framework in Turkey

EURASIAN ECONOMIC REVIEW & CBRT WORKING PAPER 14/03 (2014)

... provides an overview on the augmented monetary policy framework in Turkey, and a detailed survey on the related literature.

Download
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WORKING PAPERS

Risk Shocks and the Strength of Financial Amplification: Evidence From Loan-Level Data

UNDER REVIEW

Christiano, Motto, and Rostagno (2014) emphasize time-variation in cross-sectional uncertainty, namely risk, for explaining aggregate business cycles. We first show that a key implication of risk shock, at an aggregate level, is that it governs the strength of financial amplification. Using loan-level credit register database, matched firm and bank balance sheet and income statements, controlling for a large set of firm and bank characteristics, common macroeconomic variables and changes in the cross-sectional mean of firms' productive performances, we show detailed evidence that the key aggregate implication of risk holds at a micro level.

Available Soon S. Fendoglu

Country Spreads and Business Cycles in Emerging Economies: The Role of Cross-Border Banking and Global Liquidity

WORKING PAPER

Amid shifting global financial environment, emerging market economies face transition challenges. Global financial factors, however, --which play an important role for fluctuations in emerging economies' country spreads and business cycles--, are largely overlooked by the existing theoretical literature. In this paper, I derive from first principles the intrinsic role global financial factors play for cross-border flows and its repercussions on emerging countries. Developing a small open economy model of cross-border capital flows, the results show that (i) characteristics of global banks, e.g. funding risk on their activities or their leverage, are key determinants of cross-border flows; (ii) country risk premium emerges endogenously and is determined by marginal values of cross-border borrowing. Last, a sudden rise in funding stress in international financial markets results in a lower volume of cross-border flows, and for emerging economies, it leads to higher country spreads, and in turn triggers an endogenous cycle of deterioration in domestic financial conditions and a fall in real economic activity.

Available Soon S. Fendoglu
WORK-IN-PROGRESS

Risk-taking channel of capital flow management

WORK-IN-PROGRESS


Available Soon S. Baziki S. Fendoglu
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TEACHING

  • TEACHING HISTORY
  • NOW
    2013

    VISITING LECTURER

    Istanbul School of Central Banking, CBRT

    Financial Stability, Financial Crises and Monetary Policy Financial Market Imperfections (Theoretical Insights and Empirical Assessment) IT after the Crisis: Foundations, Results and Policy Challenges
  • 2010
    2010

    VISITING LECTURER

    Bogazici University

    Special Topics in Macroeconomics
  • 2012
    2008

    INSTRUCTOR (& GRAD. ASSISTANT)

    University of Maryland College Park

    Computer Methods in Economics
  • 2007
    2004

    GRAD. ASSISTANT

    Bogazici University

    Graduate Econometrics I-II, Mathematical Statistics I-II, Open Economy Macroeconomics, Mathematical Economics
  • SHORT LECTURES AND MATERIALS
  • 2015

    INFLATION TARGETING PRACTICES: AN OVERVIEW

    pdf available.
  • 2015

    MONETARY POLICY MODELING: BENCHMARK AND RECENT ADVANCES

    pdf available.
  • 2014

    CAPITAL FLOW MANAGEMENT AND MACROPRUDENTIAL POLICY FRAMEWORK IN TURKEY

    pdf available.
  • 2006

    ADVANCED TOPICS IN EVIEWS

    State Space Modeling Stock-Watson (2010) interpolation Historical simulation and bootstrap IRFs for SVARs
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RESUME

(if you cannot view the Resume, click here)

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LIVE BLOG ON MONETARY POLICY

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FUN TO READ