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Permanent URI for this collectionhttps://hdl.handle.net/20.500.14288/3
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Publication Metadata only Macro-financial spillovers(Elsevier Sci Ltd, 2023) Cotter, John; Hallam, Mark; Department of Economics; Department of Economics; Yılmaz, Kamil; College of Administrative Sciences and EconomicsWe analyse spillovers between the real and financial sides of the US economy, and between those in the US and other advanced economies. The approach developed allows for differ-ences in sampling frequency between financial and macroeconomic data. We find that financial markets are typically net transmitters of shocks to the real side of the economy, particularly during turbulent market conditions. This result holds both for domestic US macro-financial spillovers, and also those between the US and other advanced economies. Our macro-financial spillover measures are found to have significant predictive ability for future macroeconomic conditions in both in-sample and out-of-sample forecasting envi-ronments. Furthermore, the predictive ability frequently of our macro-financial measures frequently exceeds that of purely financial systemic risk measures previously employed in the literature for the same task.Publication Metadata only The impact of Covid-19 on the willingness to work in teams(Elsevier B.V., 2024) Divle, Sunduz; Gumren, Mert; Department of Economics; Department of Economics; Ertaç, Seda; College of Administrative Sciences and EconomicsThis paper studies the impact of the COVID-19 pandemic on individuals’ willingness to work in teams, using an online experiment. We implement a setup where individuals can choose to work on a real effort task either individually or together with a partner through online interaction. We find that although working in a team is more profitable and participants also expect this, a large fraction makes a financially costly decision by shying away from teamwork. Moreover, participants primed with COVID-19 are less likely to self-select into teamwork in a dynamic setting with two team selection periods, with the effect coming mainly from the second selection period, after a random fraction of participants are exogenously assigned to teamwork. We find that in addition to COVID-19 salience, social confidence, the willingness to socialize, and prior exposure to teamwork are significant predictors of the decision to join or avoid socially interactive work environments. Our findings provide insights into the potential impact of the pandemic on social interactions in a work setting. © 2024 Elsevier B.V.Publication Metadata only Guest Editor's introduction(Taylor & Francis, 2014) Department of Economics; Department of Economics; Altuğ, Sumru; Faculty Member; College of Administrative Sciences and Economics; N/APublication Metadata only Business cycles in developed and emerging economies: evidence from a univariate markov switching approach(Routledge Journals, Taylor & Francis Ltd, 2012) Bildirici, Melike; Department of Economics; Department of Economics; Altuğ, Sumru; Faculty Member; College of Administrative Sciences and Economics; N/AThis paper characterizes business cycle phenomena in a sample of twenty-seven developed and emerging economies using a univariate Markov regime-switching approach. It examines the efficacy of this approach for detecting business cycle turning points and for identifying distinct economic regimes for each country in question. The paper also presents results on business cycle synchronization for the sample of countries under consideration. The findings of the paper have implications for understanding the commonalities and differences in cyclical phenomena for a diverse set of developed and emerging economies.Publication Metadata only Testing for linear and nonlinear predictability of stock returns(Oxford University Press (OUP), 2013) Lanne, Markku; Saikkonen, Pentti; Department of Economics; Department of Economics; Meitz, Mika; Faculty Member; College of Administrative Sciences and Economics; N/AWe develop tests for predictability in a first-order ARMA model oftensuggested for stock returns. Instead of the conventional ARMA model,we consider its non-Gaussian and noninvertible counterpart that has identical autocorrelation properties but allows for conditionalheteroskedasticity prevalent in stock returns. In addition to autocorrelation,the tests can also be used to test for nonlinear predictability, incontrast to previously proposed predictability tests based on invertible ARMA models. Simulation results attest to improved power. We apply our tests to postwar U.S. stock returns. All return series considered are found serially uncorrelated but dependent and, hence, nonlinearly predictable.Publication Metadata only Investment intensity of currencies and the random walk hypothesis: cross-currency evidence(2011) Chuluun, Tuugi; Eun, Cheol S.; Department of Economics; Department of Economics; Kılıç, Rehim; Faculty Member; College of Administrative Sciences and Economics; N/AThis paper studies the cross-currency and temporal variations in the random walk behavior in exchange rates. We characterize currencies with relatively large investment flows as investment intensive and conjecture that the more investment intensive a currency is, the closer its exchange rate adheres to random walk. Using 29 floating bilateral USD exchange rates, we find that the higher the investment intensity, the less likely it is to reject random walk and the smaller the deviation from random walk is. However, the effect of investment intensity is non-monotonic. Application of threshold models shows that after investment intensity reaches the estimated thresholds, the level of investment intensity has no further effect on the deviation from random walk. These findings help reconcile the previous conflicting results on the random walk in exchange rates by focusing on the effect of cross-currency and temporal variations in investment intensity.Publication Metadata only A dynamic asset pricing model with time-varying factor and idiosyncratic risk(Oxford University Press (OUP), 2009) Department of Economics; Department of Economics; Glabadanidis, Paskalis; Faculty Member; College of Administrative Sciences and Economics; N/AThis paper uses a multivariate GaRCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CaPM and the three-factor Fama-French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CaPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CaPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions.Publication Metadata only Discount window borrowing after 2003: the explicit reduction in implicit costs(Elsevier Science Bv, 2010) Department of Economics; Department of Economics; Department of Economics; Artuç, Erhan; Demiralp, Selva; Faculty Member; Faculty Member; College of Administrative Sciences and Economics; College of Administrative Sciences and Economics; N/A; 42533In 2003, the Federal Reserve introduced primary credit as its main discount window lending program. This program replaced the adjustment credit program, which, subject to a number of restrictions, had generated a stigma associated with borrowing from the Federal Reserve. Lessening the stigma of borrowing was viewed as essential for reducing the reluctance to borrow from the Federal Reserve. We develop a structural model of daily borrowing. Using this model, we estimate the implicit cost associated with borrowing. Our results suggest that the stigma of borrowing is significantly reduced. (C) 2009 Elsevier B.V. All rights reserved.Publication Metadata only More on properness: the case of mean-variance preferences(Springer, 2002) N/A; Department of Economics; Department of Economics; Lajeri-Chaherli, Fatma; Faculty Member; College of Administrative Sciences and Economics; N/AThis paper focuses on the situations where individuals with mean-variance preferences add independent risks to an already risky situation. Pratt and Zeckhauser (Econometrica, 55, 143-154, 1987) define a concept called proper risk aversion in the expected utility framework to describe the situation where an undesirable risk can never be made desirable by the presence of an independent undesirable risk. The assumption of mean-variance preferences allows us to study proper risk aversion in an intuitive manner. The paper presents an economic interpretation for the quasi-concavity of a utility function derived over mean and variance. The main result of the paper says that quasi-concavity plus decreasing risk aversion is equivalent to proper risk aversion.Publication Metadata only Intergenerational influence: roles of conformity to peers and communication effectiveness(Wiley, 2005) Fern, EF; Bao, YQ; Department of Economics; Department of Economics; Mandrik, Carter; Faculty Member; College of Administrative Sciences and Economics; N/AThis research adds to the growing body of literature in consumer socialization by examining intergenerational influence on brand preferences and consumption orientations in parents and young-adult offspring. Two factors suggested in past research to affect intergenerational influence are investigated: conformity to peers and communication effectiveness. A new rigorous method is introduced to demonstrate intergenerational similarity in mother/daughter dyads, distinct from an incipient level of similarity that may occur by chance. Results indicate that communication effectiveness is positively related to intergenerational agreement in all six consumption domains studied, whereas daughter's conformity motivation is related only to prestige sensitivity. Implications and directions for future research are discussed.