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Publication Metadata only A theory of collateral for the lender of last resort(Oxford Univ Press, 2021) Choi, Dong Beom; Santos, Joao A. C.; N/A; Yorulmazer, Tanju; Faculty Member; Graduate School of Social Sciences and Humanities; 328768We consider a macroprudential approach to analyze the optimal lending policy for the central bank, focusing on spillover effects that policy exerts on money markets. Lending against high-quality collateral protects central banks against losses, but can adversely affect liquidity creation in markets since high-quality collateral gets locked up with the central bank rather than circulating in markets. Lending against low-quality collateral creates counterparty risk but can improve liquidity in markets. We illustrate the optimal policy incorporating these trade-offs. Contrary to what is generally accepted, lending against high-quality collateral can have negative effects, whereas it may be optimal to lend against low-quality collateral.Publication Restricted Anonim şirketlerde özel denetim isteme hakkı açısından mahkemenin rolü(Koç University, 2018) Karaboğa, Ebru; Altay, Sıtkı Anlam; Koç University Graduate School of Social Sciences and Humanities; LawPublication Restricted Halka açık anonim ortaklıkların kamuyu aydınlatma yükümlülüğü(Koç University, 2018) Keskin, Mustafa; Çolgar, Emek Toraman; 0000-0002-7210-0647; Koç University Graduate School of Social Sciences and Humanities; Law; 179058Publication Metadata only Hedging under gamma constraints by optimal stopping and face-lifting(Blackwell Publishing, 2007) Touzi, Nizar; Department of Mathematics; Soner, Halil Mete; Faculty Member; Department of Mathematics; College of Sciences; N/AA super-replication problem with a gamma constraint, introduced in Soner and Touzi, is studied in the context of the one-dimensional Black and Scholes model. Several representations of the minimal super-hedging cost are obtained using the characterization derived in Cheridito, Soner, and Touzi. It is shown that the upper bound constraint on the gamma implies that the optimal strategy consists in hedging a conveniently face-lifted payoff function. Further an unusual connection between an optimal stopping problem and the lower bound is proved. A formal description of the optimal hedging strategy as a succession of periods of classical Black-Scholes hedging strategy and simple buy-and-hold strategy is also provided.Publication Metadata only Human capital and sorting models reconsidered(Bilgesel Yayincilik San and Tic Ltd, 2010) Department of Economics; Yüret, Tolga; Teaching Faculty; Department of Economics; College of Administrative Sciences and Economics; N/ATurkey changed its compulsory attendance law in the 1997-1998 academic year the requirement increased from five to eight years of primary education. after the law change, there is an abrupt increase in the high school enrollment rate. This is despite the fact that the law does not cover high school education. By using the 2003 household budget survey and differences in differences methodology we find that a typical student is 3.2 percent more likely to have high school education if he is subject to the new law Moreover the largest increase in the likelihood of having high school education is attained by the students who have the weakest socioeconomic background. these findings are consistent with the standard sorting model but contrast the standard human capital model. / Türkiye 1997-1998 akademik yılında ilkokul/ilköğretime devam zorunluluğunu değiştirmiştir. Daha önce beş sene olan bu zorunluluk kanunla sekiz seneye çıkartılmıştır. Kanun değişikliğinden sonra liseye devam etme oranında da ciddi bir artış meydana gelmiştir. Kanun değişikliği lise eğitimini kapsamadığından bu değişim şaşırtıcıdır. Biz 2003 hanehalkı bütçe anketini ve değişim içinde değişimi bulan ekonometri yöntemini kullanarak bu artışın ne kadarının kanun yüzünden olduğunu bulmaya çalıştık. Bulgularımıza göre, yeni kanuna tabi olanların liseye gitme oranı eski kanuna tabi olanlardan yüzde 3,2 oranında fazladır. Ayrıca, liseye gitme oranını en fazla geliştirenlerin en zayıf sosyo-ekonomiye sahip anne-babaların çocukları olduğunu bulduk. Bu bulgularımız sıralama teorisine uymakla beraber standart beşeri kapital modeliyle bir tezat oluşturmaktadır.Publication Metadata only Imported machinery for export competitiveness(Oxford University Press (OUP), 2002) Mody, Ashoka; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111This article analyzes the relationship between export competitiveness and investment in machinery, allowing for imperfect substitution between domestically produced and imported machinery. A translog export price function is estimated for developed, exportoriented developing, and import-substituting developing economies in a panel data setting. Between 1967 and 1990 imported machinery helped lower export prices for export-oriented developing economies. Moreover, throughout the period imported machinery was not a substitute for domestic machinery. Import-substituting developing economies were unable to harness imported machinery to reduce costs early in the period, but from about the early 1980s, with the opening of their trade regimes, they were able to benefit from the cost-reducing effect. The results imply that innovative effort based on imported technologies can be a precursor to the development of domestic innovation capabilities.Publication Metadata only Kidney exchange: mechanism design approach and the case of Turkey(Bilgesel Yayincilik San and Tic Ltd, 2012) Department of Economics; Yılmaz, Özgür; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 108638Kidney exchange: Mechanism design approach and the case of Turkey the preferred treatment for most of the kidney diseases is transplantation. a kidney patient can receive a transplant either from live donors or from deceased donors. a transplant is possible only if there is no medical incompatibility between the patient and the donor, otherwise the kidney of the donor is not utilized and the patient goes to the waiting list for cadaveric kidneys. Since there are not enough donors, the priority of the transplantation centers is to develop mechanisms in order to avoid such loss of kidney resources. We focus on a particular mechanism, priority mechanism, by analyzing it in the context of kidney exchange in Turkey. We theoretically compare this mechanism under the current system of independent transplantation centers and the system of centralized exchange. We argue that a centralized exchange mechanism increases the welfare of the patients and it is crucial to switch to the centralized system.Publication Metadata only Measuring real-financial connectedness in the us economy(Elsevier Science Inc, 2021) Uluceviz, Erhan; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111We analyze the connectedness between the real and the financial sectors of the U.S. economy. Using the weekly ADS index of the Philadelphia Fed (the widely used business conditions indicator) to represent the real side, we find that during times of financial distress and business cycle turning points, the direction of connectedness runs from the real sector to financial markets. The ADS index is derived from a model containing a measure of term structure along with real variables. Therefore, it might not be the best representative of the real activity used in the connectedness analysis. As an alternative, we derive a real activity index (RAI) from a dynamic factor model of the real sector variables only. The behavior of RAI over time is quite similar to that of the ADS index. When we include RAI to represent the real side, connectedness from the real side to financial markets weakens substantially, while the connectedness from financial markets to the real side becomes more pronounced.Publication Metadata only Observations on recent monetary policy measures(Bilgesel Yayincilik San & Tic Ltd, 2011) Department of Economics; Üçer, Murat; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/ALast December, the Central Bank embarked on a new monetary policy experiment, which signaled a paradigm shift of sorts in monetary policy practice in Turkey. On the one hand, what the Bank did was very courageous and timely: it saw the unsustainability of the current account deficit and made an attempt to “remove the punch bowl, as the party was still going”. But the preferred policy mix created a number of question marks in analysts’ minds. We also think a different and a somewhat more comprehensive and simpler route could have been taken in the management of capital inflows, or in the conduct of monetary policy, in particular. In this article, we tried to explain why we thought so, from three perspectives: the context from which the new policy mix has originated; the internal consistency of and the risks associated with the Bank’s approach, and whether it had been successful (as of late March/early April) in achieving the targeted objectives. / Geçen Aralık ayında uygulamaya sokulan para politikası karışımı, yeni bir dönemin başlangıcı oldu, Merkez Bankası para politikası uygulamasında bir nevi paradigma değişikliğine gitti. Merkez Bankası bir yandan bu çıkışıyla çok takdir edilecek bir şey yaptı: önemli bir irade göstererek, tüm hızıyla parti devam ederken, ortalığı biraz sakinleştirmeye karar verdi; cari açık tarafında sürdürülemezliği gördü. Ancak tercih edilen bileşim bir takım soruları da beraberinde getirdi. Kanımızca daha kapsamlı, daha farklı ve aynı zamanda daha anlaşılır bir yöntem izlenebilirdi. Bu makalede neden böyle düşündüğümüzü 3 farklı açıdan – politika bileşiminin çıkış noktası; kendi içsel tutarlılığı ile riskleri, ve şimdiye kadar (Mart sonu/Nisan başı itibariyle) alınan sonuçlar açısından -- değerlendirmeye çalıştık.Publication Metadata only Predicting systematic risk: implications from growth options(Elsevier Science Bv, 2010) Jacquier, Eric; Titman, Sheridan; Department of Business Administration; Yalçın, Atakan; Faculty Member; Department of Business Administration; Graduate School of Business; 179934In accordance with the well-known financial leverage effect decreases in stock prices cause an increase in the levered equity beta for a given unlevered beta However as growth options are more volatile and have higher risk than assets in place a price decrease may decrease the unlevered equity beta via an operating leverage effect This is because price decreases are associated with a proportionately higher loss in growth options than in assets in place Most of the existing literature focuses on the financial leverage effect This paper examines both effects We show with a simple option pricing model the opposing effects at work when the firm is a portfolio of assets in place and growth options Our empirical results show that, contrary to common belief the operating leverage effect largely dominates the financial leverage effect even for initially highly levered firms with presumably few growth options We then link variations in betas to measurable firm characteristics that proxy for the fraction of the firm invested in growth options We show that these proxies jointly predict a large fraction of future cross-sectional differences in betas These results have important implications on the predictability of equity betas hence on empirical asset pricing and on portfolio optimization that controls for systematic risk.