I am currently a Quantitative Economist within the Global Quantitative Macroeconomics team at Continuum Economics (formerly, Roubini Global Economics). Prior to joining Continuum Economics, I was an Economist at the Central Bank of the Republic of Turkey, within the Macro Financial Analysis Division of the Banking and Financial Institutions Department. My research interests lie at the intersection of Macroeconomics and Econometrics in general, and Bayesian Macroeconometrics in particular.


    I received my PhD degree from the Econometric Institute of the Erasmus School of Economics, Erasmus University Rotterdam following the MPhil in Economics from Tinbergen Institute, both in the Netherlands. I had graduated with a B.A. in Business Administration and an M.A. in Economics from Bosphorus University in Turkey.


    My PhD dissertation deals with the application of Bayesian econometrics for macroeconomic modelling. Starting with the exploration of the history of Bayesian Econometrics since the early 1960s, it quantifies the increasing popularity of Bayesian econometrics by analyzing the publication and citation records of papers in major journals. Moreover, it examines the connections among the topics and authors of the papers in the data set using the bibliometric mapping technique. Given the importance of time varying patterns suggested by these analyses, the following two chapters of this thesis aim to improve models for forecasting the US GPD growth and inflation taking into account the time varying behaviour of the series using simulation based Bayesian inference.


    The first of these chapters starts with a basic exposition of the technical issues that a Bayesian econometrician faces in terms of modelling and inference when she is interested in forecasting US real GDP growth by using a time varying parameter model using simulation based Bayesian inference. It then proposes models for the US real GDP growth series in level and volatility dimensions.


    New Keynesian Phillips Curve models used for inflation forecasting typically rely on traditional ways of cleaning data before analysis. However, this may lead to poor performance. Therefore, motivated to fill in this gap in the literature and improve model performance, the next chapter proposes models for the NKPC model for the US in a Bayesian way. The proposed models give better results in terms of MSFE and predictive likelihood criteria by incorporating both high and low frequency economic components.


    You can find the full version of my curriculum vitae here.



    "Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data.", Journal of Applied Econometrics, Vol.29, No:7, pp. 1164-1182, 2014 (joint with N. Basturk, C. Cakmakli and H.K. Van Dijk).

    Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips Curve (NKPC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results which depend on the model specification used. Basic NKPC models are extended to include structural time series models that describe typical time varying patterns in levels and volatilities. Forward and backward looking expectation components for inflation are incorporated and their relative importance is evaluated. Survey data on expected inflation are introduced to strengthen the information in the likelihood. Use is made of simulation based Bayesian techniques for the empirical analysis. No credible evidence is found on endogeneity and long run stability between inflation and marginal costs. Backward-looking inflation appears stronger than forward-looking one. Levels and volatilities of inflation are estimated more precisely using rich NKPC models. The extended NKPC structures compare favorably with existing basic Bayesian vector autoregressive and stochastic volatility models in terms of fit and prediction. Tails of the complete predictive distributions indicate an increase in the probability of deflation in recent years.

    "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14 ", Oeconomia, Vol.4, No:3, pp. 381-447, 2014 (joint with N. Basturk, C. Cakmakli and H.K. Van Dijk).
    Publication records indicate two clusters of journals: one cluster consists of journals with theoretical and applied papers containing the large majority of high quality Bayesian econometric papers while the other cluster consists of theoretical journals containing few Bayesian econometric papers. There is an upward movement in publication patterns since early 1990s due to computational revolution. Number of citations increases due to an ever increasing popularity of Bayesian econometrics. Connectivity analysis shows the popular topics and authors that contribute substantially to the area. It is predicted that Bayesian Econometrics will gain more importance in the future.
    What Determines the Banking Sector Performance in Globalized Financial Markets: The Case of Turkey?”, Physica A: Statistical Mechanics and its Applications, Vol.387, No:7, pp.1593-1602, 2008 (joint with Ahmet Faruk Aysan).
    Panel data fixed effects regression results reveal that efficiency change in the Turkish banking sector is negatively related to the number of branches. A positive relationship is found between loan ratio and efficiency and efficiency change, and between bank capitalization and efficiency change. Restructuring attempts in post-crises epoch robustly account for the improvement in efficiency scores in recent years.

    Globalization of Turkey's Banking Sector: Determinants of Foreign Bank Penetration in Turkey”, The International Research Journal of Finance and Economics, Vol.15, No:15, pp. 90-102, 2008 (joint with Ahmet Faruk Aysan).
    Attracted by the “pull” and “push” factors, foreign banks enter into the banking sector of the host country resulting in both benefits and costs to the domestic sector. Having given the reasons and the effects of foreign entry in a theoretical framework, this study attempts to find out any match of the theory with the evidence for Turkey.
    "Structural Change and Efficiency of Banking in Turkey: Does the Ownership Matter?”, Topics in Middle Eastern and North African Economies, MEEA Online Journal, Vol. 10, 2008 (joint with Ahmet Faruk Aysan).
    This paper aims to find the productivity change in the banking sector between 1990 and 2006, especially in the period beginning with 2001 after which the Turkish banking system has almost been flooded with foreign banks. Using a sample of 20 commercial banks, it attempts to find the DEA type Malmquist Total Factor Productivity Change Index over the specified period and also looks at the source of this change decomposing this index into its mutually exclusive and exhaustive components of efficiency change and technological change.
    Why Do Foreign Banks Invest in Turkey?”, Asian-African Journal of Economics and Econometrics, Vol. 7, No: 1, pp. 65-80, 2007 (joint with Ahmet Faruk Aysan).
    High growth potential backed by an increasing population, falling inflation rates and the birth of the mortgage sector made Turkey an ideal place to expand into. This article attempts exclusively to shed light on the motivations behind entry to Turkey utilizing recent entry cases.

    Working Papers

    Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data”, Tinbergen Institute Discussion Paper 14-119/3, The Netherlands, 2014 (joint with N. Basturk and H. K. Van Dijk).
    Empirical results indicate that incorporating time variation in mean growth rates as well as in volatility are important in order to improve the predictive performances of growth models. Furthermore, using data information on growth expectations is important for forecasting growth in specific periods, such as the recession periods around 2000s and around 2008.
    Market Disciplining Role of Crisis on the Restructuring of the Turkish Banking Sector”, Bogazici University Research Papers, ISS/EC 2007-18, Istanbul (joint with Ahmet Faruk Aysan).

    The productivity of the Turkish banking sector is found out to have increased, the main reason being technological improvement rather than efficiency increase. Foreign banks were the most efficient group until 2001 after which state banks captured the first place. Before 2000, the most efficient bank group was the medium-scale banks (the banks mainly purchased by foreign banks) followed by small banks while the efficiency scores converged after 2001.


    “Inflation regimes, technological change and weak identification in an NKPC model with forward looking price behavior.”, In Book of Abstracts of the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), pp. 91, 2012 (joint with N. Basturk, C. Cakmakli and H. K. van Dijk).

    “Internationalization of the Financial Sector: Issues and Impacts on Turkey”, Globalization and Global Knowledge Economy of the International Conference of Business, Management and Economics Proceedings, Vol.1, pp.111-124, 2006 (joint with Ahmet Faruk Aysan).

    Teaching Assistant

    Econometric Institute, Erasmus University Rotterdam
    -Methods and Techniques (March-April 2013 and March-April 2011)
    Teaching Assistant for Prof. Paul De Boer
    -Applied Statistics II (Oct.-Nov. 2012 and Oct.-Nov. 2011)
    Teaching Assistant for Prof. Christiaan Heij
    -Math II (Jan.-Feb. 2012)
    Teaching Assistant for Prof. Albert Wagelmans
    Tinbergen Institute
    -Macroeconomic Policy (Jan.-Feb. 2010)
    Teaching Assistant for Prof. Andreas Schabert
    Istanbul Bilgi University, Department of Economics
    -Econometric Analysis (Spring 2008)
    Teaching Assistant for Prof. Hasan Kirmanoglu
    -Introduction to Econometrics (Fall 2007)
    Teaching Assistant for Prof. Hasan Kirmanoglu
    -Statistical Analysis for Economists II (Spring 2007)
    Teaching Assistant for Prof. Cem Baslevent
    -Statistical Analysis for Economists I (Fall 2006)
    Teaching Assistant for Prof. Cem Baslevent
    -Macroeconomic Theory (Fall 2006, Fall 2007)
    Teaching Assistant for Prof. Asaf Savas Akat

    Student Assistant

    Bogazici University, Department of Business Administration
    -Special Topics in Accounting (Sept 2003 to June 2006)
    Assistant for Prof. Arman Manukyan

    Pilates, Iyengar yoga, Tennis, Reading, Photography, Classical Guitar, Listening to music

    Econometric Institute, Erasmus University Rotterdam
    Tinbergen Institute
    Econometrics Department, VU University Amsterdam
    E-mail: hkvandijk@ese.eur.nl
    Address: Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands
    Econometric Institute, Erasmus University Rotterdam
    Tinbergen Institute
    E-mail: heij@ese.eur.nl
    Address: Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands
    Istanbul Sehir University
    Dean, School of Management and Administrative Sciences
    E-mail: ahmetaysan@sehir.edu.tr
    Address: Orhantepe Mahallesi, Turgut Ozal Bulvarı, No: 21, 34865 Dragos/ Istanbul, Turkey

    S. Pinar (Ceyhan) Darendeli
    Continuum Economics,
    24 Raffles Place, #21-04 Clifford Centre
    Singapore 048621
    Email: pinarceyhans@hotmail[dot]com