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Now showing 1 - 10 of 26
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    A note on the geometric ergodicity of a nonlinear AR-ARCH model
    (Elsevier Science Bv, 2010) Saikkonen, Pentti; Department of Economics; Meitz, Mika; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    This note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p (AR(p)) with the conditional variance specified as the conventional linear autoregressive conditional heteroskedasticity model of order q (ARCH(q)) is considered. Conditions under which the Markov chain representation of this nonlinear AR-ARCH model is geometrically ergodic and has moments of known order are provided. The obtained results complement those of Liebscher [Liebscher, E., 2005. Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes, journal of Time Series Analysis, 26,669-689] by showing how his approach based on the concept of the joint spectral radius of a set of matrices can be extended to establish geometric ergodicity in nonlinear autoregressions with conventional ARCH(q) errors.
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    A practitioner’s guide to handling irregularities resulting from the 2014 revisions of the Turkish Household Labor Force Survey
    (Boğaziçi Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 2021) Poyraz, Meltem; Department of Economics; Demirci, Murat; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 272082
    We document the implications of the 2014 revisions to the Turkish Household Labor Force Survey and offer guidance on how to handle the irregularities in population and unemployment statistics that resulted from two particular revisions. First, new population projections were adopted to assign survey weights. Second, a narrower definition of unemployment was adopted. We propose methods to adjust the survey weights for the pre-2014 period in order to discern changes in population statistics by age groups and regions without interruption over time and to calculate the unemployment rates according to both broader and narrower definitions since 2004. / Bu çalışmada TÜİK Hanehalkı İşgücü Anketi’ninde 2014 yılında yapılan düzenlemelerden kaynaklanan bazı sonuçları bulguluyor, nüfus ve işsizlik istatistiklerinde yapılan revizyonların özellikle ikisinden kaynaklanan sorunların nasıl ele alınması gerektiği hakkında yol gösteriyoruz. İlk revizyon, anket ağırlıklarının dayandırıldığı yeni nüfus projeksiyonlarının kabul edilmesidir. İkincisi ise, dar tanımlı bir işsizlik tanımına geçilmesidir. Bu çalışmada 2014 öncesindeki anket ağırlıklarını nüfus istatistiklerinde yaş bazında ve bölgesel olarak kopma olmayacak şekilde yeniden ayarlamak ve işsizlik oranlarını geniş ve dar tanımlı olarak 2004 yılından itibaren hesaplamak için yöntemler öneriyoruz.
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    Adaptive stochastic search
    (Elsevier, 2019) Aguiar, Victor H.; Department of Economics; Kimya, Mert; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    We characterize Simon's (1955) search and satisficing model with an adaptive threshold and random search (SM-AT). The decision maker (DM) consistent with the SM-AT is endowed with a utility function, a random search distribution, and a deterministic but menu-dependent threshold. On any given trial, the DM searches the menu and stops whenever she finds an item with a utility level that is above the threshold. This simple choice procedure accommodates the well-known compromise and attraction effects. The SM-AT is more general than the random utility model and allows for systematic departures from regularity. Its characterization lets us differentiate adaptive satisficing behavior from random preference maximization in a (limited) standard stochastic choice data set.
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    Are technology shocks nonlinear?
    (Cambridge University Press (CUP), 1999) Ashley, Richard A.; Patterson, Douglas M.; Department of Economics; Altuğ, Sumru; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    The behavior of postwar real U.S. GNP, the inputs to an aggregate production function, and several formulations of the associated Solow residuals for the presence of nonlinearities in their generating mechanisms are examined. Three different statistical tests for nonlinearity are implemented: the McLeod-Li test, the BDS test, and the Hinich bicovariance test. We find substantial evidence for nonlinearity in the generating mechanism of real CNP growth but no evidence for nonlinearity in the Solow residuals. We further find that the generating mechanism of the labor input series is nonlinear, whereas that of the capital services input appears to be linear. We therefore conclude that the observed nonlinearity in real output arises from nonlinearities in the labor markets, not from nonlinearities in the technical shocks driving the system. Finally, we investigate the source of the nonlinearities in the labor markets by examining simulated data from a model of the Dutch economy with asymmetric adjustment costs.
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    Bargaining and exclusivity in a borrower-lender relationship
    (Springer Nature, 2007) Ozerturk, Saltuk; Department of Economics; Koçkesen, Levent; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 37861
    This paper presents a stylized model of a borrower-lender relationship where funds are gradually invested in a project with uncertain return. We show that an exclusive financing relationship arises endogenously in equilibrium due to initial lender's superior information on the project's progress. The analysis also identifies a novel distortionary effect of exclusivity and the consequent loss of future rents on the ex-ante choices of the borrower. When she chooses the amount of funds to be initially invested in the project, the borrower chooses to overinvest making the future rent extraction by the initial lender as costly as possible.
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    Computerized matching algorithms to optimize matches and increase opportunities for live donor kidney exchange
    (2005) Saidman, SL; Roth, AE; Sönmez, T; Delmonico, FL; Department of Economics; Ünver, Utku; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
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    PublicationOpen Access
    Determinants of delegation: evidence from British establishment data
    (Boğaziçi Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 2021) Theodoropoulos, Nikolaos; Department of Economics; Ekinci, Emre; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 309364
    This paper provides an empirical analysis of firms’ delegation decisions by using a matched employer-employee dataset from Britain. In our analysis, we first investigate if firm-provided training is positively related to delegating authority, as predicted by the existing theories. We then consider variables that can potentially increase the value of delegation. In particular, we conjecture that firms become more likely to delegate authority as they face higher uncertainty or as the employees acquire more precise information. To test these hypotheses, we use market conditions to measure uncertainty and correlates of worker productivity to measure the precision of the employee’s information. / Bu çalışma, Britanya’da oluşturulan eşlenmiş işveren-çalışan veri setini kullanarak, firmaların yetkilendirme (delegasyon) kararlarının ampirik bir analizini sunmaktadır. Analizimizde ilk olarak, mevcut teorilerin öngördüğü üzere firma tarafından sağlanan eğitim ile yetkilendirme kararları arasında pozitif bir ilişkili olup olmadığını araştırıyoruz. Daha sonra, yetkilendirmenin değerini potansiyel olarak artırabilecek değişkenleri ele alıyoruz. Özellikle, daha yüksek belirsizlikle karşılaştıklarında veya çalışanların daha kesin bilgiler edinmelerinin mümkün olduğu ortamlarda firmaların yetkilendirme olasılıklarının arttığı hipotezini test ediyoruz. Bu analizde, belirsizliği ölçmek için piyasa koşullarını kullanırken, çalışanın edinebileceği bilgilerinin kesinliğini ölçmek için ise işçi üretkenliğini etkileyen değişkenleri kullanmaktayız.
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    Efectos derrame en los mercados de valores del continente Americano
    (El Banco Publishers, 2009) Diebold, Francis X.; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
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    Equity market spillovers in the Americas
    (Banco Central Chile, 2009) Diebold, Francis X.; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    Using a recently-developed measure of financial market spillovers, we provide an empirical analysis of return and volatility spillovers among five equity markets in the Americas: Argentina, Brazil, Chile, Mexico and the U. S. The results indicate that both return and volatility spillovers vary widely. Return spillovers, however, tend to evolve gradually, whereas volatility spillovers display clear bursts that often correspond closely to economic events.
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    House allocation with existing tenants: an equivalence
    (academic Press inc Elsevier Science, 2005) Department of Economics; Department of Economics; Sönmez, Tayfun; Ünver, Utku; Faculty Member; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; College of Administrative Sciences and Economics; N/A; N/A
    We analyze two mechanisms designed to eliminate inefficiencies in house allocation problems where there are both existing tenants and newcomers. the first mechanism chooses the unique core allocation of a "sister" exchange economy constructed by endowing each existing tenant with her current house and each newcomer with a random vacant house. the second mechanism chooses an ordering from a given distribution and determines the final outcome as follows: assign the agents the best available house one-at-a-time following their ordering in the queue and whenever an agent demands the house of an existing tenant who is still in the line, modify the queue by inserting the existing tenant at the top. Whenever a loop of existing tenants forms, Assign each of them the house she demands and proceed. We show that the first mechanism is equivalent to an extreme case of the second which favors the newcomers.