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Publication Metadata only A bootstrap method for identifying and evaluating a structural vector autoregression(Wiley-Blackwell, 2008) Hoover, Kevin D.; Perez, Stephen J.; Department of Economics; Demiralp, Selva; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 42533Graph-theoretic methods of causal search based on the ideas of Pearl (2000), Spirtes et al. (2000), and others have been applied by a number of researchers to economic data, particularly by Swanson and Granger (1997) to the problem of finding a data-based contemporaneous causal order for the structural vector autoregression, rather than, as is typically done, assuming a weakly justified Choleski order. Demiralp and Hoover (2003) provided Monte Carlo evidence that such methods were effective, provided that signal strengths were sufficiently high. Unfortunately, in applications to actual data, such Monte Carlo simulations are of limited value, as the causal structure of the true data-generating process is necessarily unknown. In this paper, we present a bootstrap procedure that can be applied to actual data (i.e. without knowledge of the true causal structure). We show with an applied example and a simulation study that the procedure is an effective tool for assessing our confidence in causal orders identified by graph-theoretic search algorithms.Publication Metadata only A dynamic asset pricing model with time-varying factor and idiosyncratic risk(Oxford University Press (OUP), 2009) Department of Economics; Glabadanidis, Paskalis; Faculty Member; Department of Economics; 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 A model-independent measure of aggregate idiosyncratic risk(Elsevier, 2008) Cakici, Nusret; Levy, Haim; Department of Economics; Bali, Turan; Other; Department of Economics; College of Administrative Sciences and Economics; N/AThis paper introduces a model-independent measure of aggregate idiosyncratic risk, which does not require estimation of market betas or correlations and is based on the concept of gain from portfolio diversification. The statistical results and graphical analyses provide strong evidence that there are significant level and trend differences between the average idiosyncratic volatility measures of Campbell et al. [Campbell, J.Y., Lettau, M., Malkiel, B.G., and Xu, Y., 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, journal of Finance 56, 1-43.] and the new methodology. Although both approaches indicate a noticeable increase in the firm-level idiosyncratic risk, the volatility measure of CLMX is greater and has a stronger upward trend than the new idiosyncratic volatility measure. For both measures of idiosyncratic risk, the upward trend is found to be stronger for smaller. lower-priced, and younger firms. The analytical and empirical results show that the significant upward trend in the differences of the two idiosyncratic volatility measures is related to the increase in the cross-sectional dispersion of the volatility of individual stocks.Publication Metadata only Aggregate investor preferences and beliefs: a comment(Elsevier Science Bv, 2013) Kopa, Milos; N/A; Post, Gerrit Tjeerd; Other; Graduate School of Business; N/AA recent study in this journal presents encouraging results of a daunting simulation analysis of the statistical properties of a centered bootstrap approach to stochastic dominance efficiency analysis. However, by relying on the first-order optimality condition in a situation where multiple optima may occur, the empirical analysis draws the questionable conclusion that some of the toughest data sets in empirical asset pricing can be rationalized by the representative investor maximizing an S-shaped utility function, consistent with the so-called Prospect Stochastic Dominance criterion. Further research could be directed to developing global optimization algorithms and consistent re-sampling methods for statistical inference for general risky choice problems.Publication Metadata only Approaches to the measurement and management of customer value(Taylor & Francis, 2006) Keiningham, T.L.; Bejou, D.; Department of Business Administration; Aksoy, Lerzan; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; N/ADetermining and managing customer lifetime value is one of the most important strategic objectives of companies today. This paper critically examines some of the most popular approaches traditionally used to measure the value of customers in a company's portfolio. The methods reviewed include RFM and total revenue approaches to differentiating the value of customers. Although these methods have relative advantages, they have serious drawbacks that limit the ability of managers to accurately assess customer value. An alternative model for the measurement and management of customer value is proposed.Publication Metadata only Central Asia in transition: dilemmas of political and economic development - rumer,b(Routledge Journals, Taylor and 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/AN/APublication Metadata only Competitiveness of Turkish SMSEs in the customs union(Elsevier Science Bv, 1997) Erzan, Refik; N/A; Filiztekin, Alpay; Faculty Member; N/A; N/AAs a basis for adjustment policies in Turkey, it is assumed that the impact of the Customs Union will be more severe on small- and medium-scale enterprises (SMSEs) in comparison with large establishments. The paper first studies growth in value added and productivity in Turkish manufacturing with respect to industry and size; then scrutinizes the hypothesis above by analyzing the vulnerability of firms depending on their sizes. The effects of the Customs Union on economic environment manifest themselves in terms of the level of protection, import penetration, the wage level, exchange rates and exchange rate volatility; and, changes in domestic and foreign demand, and credit availability. The paper analyzes the impact of these changes on firms' performances. Panel data techniques are used in the estimations. (C) 1997 Elsevier Science B.V.Publication Metadata only Delay and dynamics in labor market adjustment: simulation results(Elsevier, 2008) Chaudhuri, Shubham; McLaren, John; Department of Economics; Artuç, Erhan; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/AWe simulate numerically a trade model with labor mobility costs added, modeled in such a way as to generate gross flows in excess of net flows. Adjustment to a trade shock can be slow with plausible parameter values. In our base case, the economy moves 95% of the distance to the new steady state in approximately eight years. Gross flows have a large effect on this rate of adjustment and on the normative effects of trade. Announcing and delaying the liberalization can build – or destroy – a constituency for free trade. We study the conditions under which these contrasting outcomes occur.Publication Metadata only Demand for decision autonomy and the desire to avoid responsibility in risky environments: experimental evidence(Elsevier, 2020) Gürdal, Mehmet Y.; Department of Economics; N/A; Ertaç, Seda; Gümren, Mert; Faculty Member; Researcher; Department of Economics; College of Administrative Sciences and Economics; Graduate School of Sciences and Engineering; 107102; N/AThis paper experimentally studies individuals' willingness to pay for the authority to make risky decisions for themselves, and the willingness to take responsibility for others, as primary determinants of leadership willingness. We consider a setup involving a pair of individuals, where one individual is designated to make both parties' decisions by default. Depending on treatment, either party can express a willingness to pay to change this situation. If one's willingness to pay to make her own decision herself is positive (negative), we interpret it as a demand for autonomy (a desire to delegate). on the flip side, if one's willingness to pay to avoid making a decision on behalf of another person is positive (negative), we interpret it as a desire to avoid responsibility (a demand for authority). We find that on average, individuals are willing to pay positive amounts of money to make their decisions themselves, and incur positive but smaller opportunity costs for the right to make decisions for others. Certain individual and contextual characteristics emerge as important predictors. Notably, (1) men are more likely to demand both autonomy and authority at the same time, (2) individuals with other regarding preferences are more likely to pay to avoid taking responsibility for others' decisions when the probability of loss is high. Exploring differences between individuals' own decisions and the decisions they make on behalf of others, we find that subjects with other-regarding preferences tend to "cautious-shift" when making decisions on behalf of others. Also, we find that individuals who would like to avoid responsibility also tend to "shift" their decisions when put in a decision-making role. The results have implications for the allocation of decision-making authority in pairs and leadership.Publication Metadata only Development level of hosting areas and the impact of refugees on natives? labor market outcomes in Turkey*(Elsevier, 2022) Araci, Dogu Tan; Kirdar, Murat Gueray; Department of Economics; Demirci, Murat; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 272082We examine how the impact of refugees on natives' labor market outcomes varies by the development level of hosting areas, which has important implications for the optimal allocation of refugees across regions and countries. For this purpose, in the context of the largest refugee group in the world in a single country, Syrian refugees in Turkey, we exploit the significant variation in the development level across regions of Turkey, several of which host a substantial number of refugees. We find that the impact of refugees on natives' labor market outcomes becomes significantly less adverse as the regional development level rises. For instance, the adverse effects of the refugee shock on women's employment and labor force participation observed at the mean level of development vanish at high levels of development. Moreover, while the refugee impact on men's employment is negative for the least developed regions, it is positive for highly developed regions. Our findings imply that developed regions and countries are better positioned to protect their local population from the short-term adverse effects of refugees in the labor market.