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Permanent URI for this collectionhttps://hdl.handle.net/20.500.14288/3

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1996 - 199925

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End date: 1999Subject: search.filters.subject.Economics

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Now showing 1 - 10 of 25
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    Time series evidence on the saving-investment relationship
    (Routledge, 1996) Barkoulas, J; Murphy, R; Department of Economics; Filiztekin, Alpay; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 4010
    The long-run saving-investment correlation for the 24 OECD countries is re-examined using the Johansen procedure. It is found that saving and investment rates are not correlated in the long run for the majority of OECD countries. In the countries where cointegration is found, the Gonzalo-Granger common factor analysis suggests that saving is the driving force of the cointegrated system.
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    Syndicated lending under asymmetric creditor information - Correction
    (Elsevier, 1996) Cadot, O; Department of Business Administration; Banerjee, Saugata; Researcher; Department of Business Administration; College of Administrative Sciences and Economics; N/A
    This paper explores how asymmetric information about borrower quality among syndicated lenders alters the incentive to refinance illiquid borrowers. We use a model in which lenders enter the market sequentially in two rounds of lending. Between the two rounds, a shock separates borrowers into good ones and bad ones, and early entrants acquire information about individual borrower type, while late entrants know only the distribution of borrower types. The asymmetric information structure gives rise to both signalling and screening issues. We show that self-selecting contracts do not exist, and that there is always a pooling Perfect Bayesian Equilibrium in which late entrants lend to both good and bad types, without borrower type being exposed before final clearing at the terminal time. Based on this framework, we argue that prior to the 1982 international debt crisis, it was possible for banks with heavy exposure to troubled debtors to attract rational newcomers in syndicated loans which were, with positive probability, bailout loans.
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    Cost uncertainty, taxation, and irreversible investment
    (Springer-Verlag Berlin, 1999) Demers, FS; Demers, M; Department of Economics; Altuğ, Sumru; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    We examine the impact of learning about the unknown costs of investment on irreversible investment decisions, and show that the presence of:learning increases the endogenous cost of adjustment and depresses investment. We demonstrate convergence of the state of information and capital stock to the ergodic set. Once learning is complete, in-contrast to the exogenous cost-of-adjustment model, a mean-preserving increase in risk raises the endogenous marginal adjustment cost, reducing investment and the steady-state capital stock. We use data on the U.S. economy to study the impact of uncertainty and risk in the determinants of the costs of investing. Among our Salient findings is that increases in uncertainty have a much larger impact quantitatively on investment than increases in risk. Thus, if firms are unsure about various aspects of the stochastic environment that they face, the reduction in investment is much larger compared to the case in which there are increases in the riskiness in the price of capital or Other determinants of the costs of investing.
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    Syndicated lending under asymmetric creditor information
    (Elsevier, 1996) Cadot, O; Department of Business Administration; Banerjee, Saugata; Researcher; Department of Business Administration; College of Administrative Sciences and Economics; N/A
    This paper explores how asymmetric information about borrower quality among syndicated lenders alters the incentive to refinance illiquid borrowers. We use a model in which lenders enter the market sequentially in two rounds of lending. Between the two rounds, a shock separates borrowers into good ones and bad ones, and early entrants acquire information about individual borrower type, while late entrants know only the distribution of borrower types. The asymmetric information structure gives rise to both signalling and screening issues. We show that self-selecting contracts do not exist, and that there is always a pooling Perfect Bayesian Equilibrium in which late entrants lend to both good and bad types, without borrower type being exposed before final clearing at the terminal time. Based on this framework, we argue that prior to the 1982 international debt crisis, it was possible for banks with heavy exposure to troubled debtors to attract rational newcomers in syndicated loans which were, with positive probability, bailout loans.
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    Regionalism, nationalism and realpolitik in Central Asia
    (Carfax Publ Co, 1997) N/A; Department of International Relations; Kubicek, Paul J.; Faculty Member; Department of International Relations; College of Administrative Sciences and Economics; N/A
    N/A
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    Stratified partial likelihood estimation
    (Elsevier, 1999) Ridder, Gert; Department of Economics; Tunalı, Fehmi İnsan; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 105635
    When multiple durations are generated by a single unit, they may be related in a way that is not fully captured by the regressors. The omitted unit-specific variables might vary over the durations, They might also be correlated with the variables in the regression component. We propose an estimator that responds to these concerns and develop a specification test for detecting unobserved unit-specific effects, Data from Malaysia reveal that concentration of child mortality in some families is imperfectly explained by observed explanatory variables, and that failure to control for unobserved heterogeneity seriously biases the parameter estimates.
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    Is there persistence in the growth of manufactured exports? evidence from newly industrializing countries
    (Elsevier, 1997) Mody, Ashoka; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    Applying cointegration techniques in a panel data setting, we document persistent growth of manufactured exports from certain developing countries. To complement the investigation of persistence (measured by the country 'fixed-effects'), we analyze asymmetries in income elasticities: for all developing countries, the decline in exports with world income contraction is sharper than is the rise on the upswing; the decline is, however, especially pronounced for countries with low or negative persistence. The results are consistent with long-term buyer-supplier relationships that create 'insiders' and 'outsiders' in manufactured goods trading. Exports are also influenced by the transactional infrastructure (proxied by telecommunications penetration).
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    The politics of oil in the Caucasus and Central Asia
    (Routledge Journals, Taylor & Francis Ltd, 1997) N/A; Department of International Relations; Kubicek, Paul J.; Faculty Member; Department of International Relations; College of Administrative Sciences and Economics; N/A
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    Privatisation and stock market efficiency: the British experience
    (Wiley, 1997) Hayri, A; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    We present evidence that with its emphasis on wide-share-ownership the British privatisation program created heavy involvement of small investors in privatised stocks. Using standard market efficiency tests and maximum likelihood estimates of stationary fractional ARIMA models, we show that the pricing of privatised stocks in the London Stock Exchange was indeed inefficient, unlike the rest of the market. Together, these two pieces of evidence suggest that small investors, behaving like noise-traders, may be generating this inefficiency. Yet, we cannot rule out alternative explanations.
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    House allocation with existing tenants
    (Academic Press Inc, 1999) Abdülkadiroğlu, Atila; Department of Economics; Sönmez, Tayfun; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    In many real-life applications of house allocation problems, whenever an existing tenant wants to move, he needs to give up his current house before getting another one. This practice discourages existing tenants from such attempts and results in loss of potentially large gains from trade. Motivated by this observation, we propose a simple mechanism that is Pareto efficient, individually rational, and strategy-proof. Our approach is constructive and we provide two algorithms, each of which can be used to find the outcome of this mechanism. One additional merit of this mechanism is that it can accommodate any hierarchy of seniorities.