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Permanent URI for this collectionhttps://hdl.handle.net/20.500.14288/3
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Publication Metadata only On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness(Elsevier Science Sa, 2023) Diebold, Francis X.; Department of Economics; Department of Economics; Yılmaz, Kamil; College of Administrative Sciences and EconomicsWe offer retrospective and prospective assessments of the Diebold-Yilmaz connected-ness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.Publication Metadata only On the network topology of variance decompositions: measuring the connectedness of financial firms (Reprinted from Journal of Econometrics, Vol 182, Issue 1, September 2014, Pages 119-134)(Elsevier Science Sa, 2023) Diebold, Francis X.; Department of Economics; Department of Economics; Yılmaz, Kamil; College of Administrative Sciences and EconomicsWe propose several connectedness measures built from pieces of variance decomposi-tions, and we argue that they provide natural and insightful measures of connectedness. We also show that variance decompositions define weighted, directed networks, so that our connectedness measures are intimately related to key measures of connectedness used in the network literature. Building on these insights, we track daily time-varying connectedness of major U.S. financial institutions' stock return volatilities in recent years, with emphasis on the financial crisis of 2007-2008.Publication Metadata only Bridging the Covid-19 data and the epidemiological model using the time-varying parameter SIRD model(Elsevier Sci Ltd, 2024) Şimşek, Yasin; Department of Economics; Department of Economics; Çakmaklı, Cem; College of Administrative Sciences and EconomicsThis paper extends the canonical model of epidemiology, the SIRD model, to allow for timevarying parameters for real-time measurement and prediction of the trajectory of the Covid-19 pandemic. Time variation in model parameters is captured using the score -driven modeling structure designed for the typical daily count data related to the pandemic. The resulting specification permits a flexible yet parsimonious model with a low computational cost. The model is extended to allow for unreported cases using a mixed -frequency setting. Results suggest that these cases' effects on the parameter estimates might be sizeable. Full sample results show that the flexible framework accurately captures the successive waves of the pandemic. A realtime exercise indicates that the proposed structure delivers timely and precise information on the pandemic's current stance. This superior performance, in turn, transforms into accurate predictions of the death cases and cases treated in Intensive Care Units (ICUs).Publication Metadata only Bargaining over a finite set of alternatives(Springer, 2007) Kıbrıs, Özgür; Department of Economics; Department of Economics; Sertel, Murat Rauf; Other; College of Administrative Sciences and Economics; N/AWe analyze bilateral bargaining over a finite set of alternatives. We look for "good" ordinal solutions to such problems and show that Unanimity Compromise and Rational Compromise are the only bargaining rules that satisfy a basic set of properties. We then extend our analysis to admit problems with countably infinite alternatives. We show that, on this class, no bargaining rule choosing finite subsets of alternatives can be neutral. When rephrased in the utility framework of Nash (1950), this implies that there is no ordinal bargaining rule that is finite-valued.Publication Metadata only A comparative study of returns to education of urban men in Egypt, Iran, and Turkey(Routledge Journals, Taylor & Francis Ltd, 2009) Salehi-Isfahani, Djavad; Assaad, Ragui; Department of Economics; Department of Economics; Tunalı, Fehmi İnsan; Faculty Member; College of Administrative Sciences and Economics; 105635This paper presents a comparative study of private returns to schooling of urban men in Egypt, Iran, and Turkey using similar survey data and a uniform methodology. We employ three surveys for each country that span nearly two decades, from the 1980s to 2006, and, to increase the comparability of the estimates across surveys, we focus on urban men 20-54 years old and in full time wage and salary employment. Our aim is to learn how the monetary signals of rewards that guide individual decisions to invest in education are shaped by the institutions of education and labor markets in these countries. Our estimates generally support the stylized facts of the institutions of education and labor markets in Middle Eastern countries. Their labor markets have been described as dominated by the public sector and therefore relatively inflexible, and their education systems as more focused on secondary and tertiary degrees than teaching practical and productive skills. Returns in all countries are increasing in years of schooling, which is contrary to the Mincer assumption of linear returns but consistent with overemphasis on secondary and tertiary degrees. Low returns to vocational training relative to general upper secondary, which have been observed in many developing countries, are observed in Egypt and Iran, but not Turkey. This pattern of returns across countries seems to correspond to how students are selected into vocational and general upper secondary tracks, which is an important part of the education institutions of these countries, and the fact that Turkey's economy is more open than the other two. Greater competitiveness in all three countries over time seems to have increased returns to university education and in few cases to vocational education, but not to general high school.Publication Metadata only The state of property development in Turkey: facts and comparisons(Cambridge University Press (CUP), 2016) Demiralp, Seda; Gümüş, İnci; Department of Economics; Department of Economics; Demiralp, Selva; Faculty Member; College of Administrative Sciences and Economics; 42533In this article, we investigate economic and political developments in Turkey's construction sector over the last decade and consider their implications. We find that during the first term of the government of the Justice and Development Party (Adalet ve Kalkinma Partisi, AKP), thanks to administrative and economic incentives, both private and public construction rose considerably. Despite the construction sector's contribution to growth, there is also evidence of a transfer from the industrial sector toward the construction sector, which led to significant decline in the trend growth of the industrial sector in the era prior to 2006. Such evidence disappears in the post-crisis period, when the growth of private construction slows. However, overcentralization, clientelism, an absence of transparency, and limitations on citizen participation in urban planning remain as problems that need to be addressed through urban reform.Publication Metadata only Cox regression with alternative concepts of waiting time: the new orleans yellow fever epidemic of 1853(John Wiley & Sons Ltd, 1997) Pritchett, JB; Department of Economics; Department of Economics; Tunalı, Fehmi İnsan; Faculty Member; College of Administrative Sciences and Economics; 105635Event data can often be analysed using different concepts of waiting time. Our application offers three choices: calendar-time, age, and duration of residence in New Orleans. We exploit the semi-parametric features of Cox regression and estimate parallel specifications in which mortality risk is treated as an arbitrary function of one of the three alternative time measures, while the remaining two enter the hazard parametrically. Comparisons of the parameter estimates with the corresponding estimates of the baseline hazards form the crux of a simple specification checking procedure. In our formal treatment we rely on Aalen's Multiplicative Intensity formulation and tackle complications such as left-truncation, functional form specification, and choice-based sampling.Publication Metadata only Weak convergence to a matrix stochastic integral with stable processes(Cambridge Univ Press, 1997) Department of Economics; Department of Economics; Caner, Mehmet; Faculty Member; College of Administrative Sciences and Economics; N/AThis paper generalizes the univariate results of Chan and Tran (1989, Econometric Theory 5, 354-362) and Phillips (1990, Econometric Theory 6, 44-62) to multivariate time series. We develop the limit theory for the least-squares estimate of a VAR(1) for a random walk with independent and identically distributed errors and for I(1) processes with weakly dependent errors whose distributions are in the domain of attraction of a stable law. The limit laws are represented by functionals of a stable process. A semiparametric correction is used in order to asymptotically eliminate the ''bias'' term in the limit law. These results are also an extension of the multivariate limit theory for square-integrable disturbances derived by Phillips and Durlauf (1986, Review of Economic Studies 53, 473-495). Potential applications include tests for multivariate unit roots and cointegration.Publication Metadata only Martingale property of exchange rates and central bank interventionssd(Taylor & Francis Inc, 2003) Department of Economics; Department of Economics; Yılmaz, Kamil; Faculty Member; College of Administrative Sciences and Economics; 6111This article uses the variance ratio-based multiple comparison test and the Richardson-Smith Wald test procedures to test for the martingale property of daily exchange rates of seven major currencies vis-A-vis the U.S. dollar. To allow for the possibility that exchange rates are not governed by a single process throughout the float, the test statistics are calculated and plotted for fixed-length moving subsample windows rather than being applied to the full Sample. The results show that exchange rates do not always follow the martingale process. During the times of coordinated central bank interventions, exchange rates deviate from the martingale property.Publication Metadata only Using survey information for improving the density nowcasting of U.S. GDP(Taylor & Francis Inc) Demircan, Hamza; Department of Economics; Department of Economics; Çakmaklı, Cem; Faculty Member; College of Administrative Sciences and Economics; 107818We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of U.S. real GDP. Specifically, we use the conventional dynamic factor model together with stochastic volatility components as the baseline statistical model. We augment the model with information from the survey expectations by aligning the first and second moments of the predictive distribution implied by this baseline model with those extracted from the survey information at various horizons. Results indicate that survey information bears valuable information over the baseline model for nowcasting GDP. While the mean survey predictions deliver valuable information during extreme events such as the Covid-19 pandemic, the variation in the survey participants' predictions, often used as a measure of "ambiguity," conveys crucial information beyond the mean of those predictions for capturing the tail behavior of the GDP distribution.