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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 Open Access A characterization of the extended serial correspondence(Elsevier, 2015) Heo, Eun Jeong; Department of Economics; Yılmaz, Özgür; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 108638We study the problem of assigning objects to a group of agents. We focus on probabilistic methods that take agents' ordinal preferences over the objects. Importantly, we allow for indifferences among objects. Katta and Sethuraman (2006) propose the extended serial correspondence to solve this problem. Our main result is a characterization of the extended serial correspondence in welfare terms by means of stochastic dominance efficiency, stochastic dominance no-envy and "limited invariance," a requirement we adapt from Heo (2014a). We also prove that an assignment matrix is selected by the extended serial correspondence if and only if it satisfies "non-wastefulness" and "ordinal fairness," which we adapt from Kesten et al.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 general equilibrium analysis of state and private colleges and access to higher education in the US(Elsevier, 2017) Epple, Dennis; Romano, Richard; Sieg, Holger; Department of Economics; Sarpça, Sinan; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 52406We develop a general equilibrium model of the market for undergraduate higher education that captures the coexistence of public and private colleges, the large degree of quality differentiation among them, and the tuition and admission policies that emerge from their competition for students. A quantitative version of the model matches well estimates of enrollment elasticities, variation in need-based and merit-based institutional aid with, respectively, student income and ability, and aggregate characteristics of U.S. higher education including college attendance in public and private schools, tuition levels, and the provision of federal aid. Predictions about the provision of federal aid and the distribution of students across colleges by ability and income match the empirical counterparts well. We use the model to examine the consequences of federal and state aid policies. A one-third increase in the maximum federal aid increases college attendance by 6% of the initial college population, most of the increase being in state colleges and mainly of poor students. Elite private colleges reduce institutional aid and use the net funding gain to spend more on educational inputs and to substitute some highly able poor students for less able rich students. Reductions in federal or state aid result in substantially reduced attendance mainly by poor students. Reductions of support to state colleges induce private colleges to increase enrollments modestly and improve in quality as demand shifts toward them.Publication Open Access A kidney exchange clearinghouse in New England(American Economic Association (AEA), 2005) Roth, Alvin E.; Ünver, M. Utku; Department of Economics; Sönmez, Tayfun; Faculty Member; Department of Economics; College of Administrative Sciences and EconomicsPublication 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 Open Access A multivariate investigation of overall happiness, job satisfaction and income satisfaction of women and men in Turkey(Sosyoekonomi Society / Sosyoekonomi Derneği, 2020) Department of Sociology; Mert, Aslı Ermiş; Faculty Member; Department of Sociology; College of Social Sciences and Humanities; 292273This paper examines the factors affecting working women's and men's overall happiness, job satisfaction and income satisfaction levels and the association between these three measures of happiness. Women and men who are satisfied with their workplace relations relative to those who are not are more likely to report that they are satisfied or very satisfied with their life, job and income. Women's job and income satisfaction and men's all three means of happiness are more likely to be high for those who received a pay rise last year. The strongest correlation is observed between job satisfaction and income satisfaction for both genders, which is slightly stronger for women that challenges the arguments on women's financial motivation to be not as strong as men at work. Spillover hypothesis is confirmed in all pairwise combination of the three happiness measures according to findings. / Bu çalışma, çalışan kadınların ve erkeklerin yaşam, iş ve gelir tatmin düzeylerini etkileyen faktörleri Türkiye bağlamında irdelemekte ve bu öğeler arasındaki korelasyonu incelemektedir. Araştırmanın bulguları, işyeri ilişkilerinden memnun olan kadınların ve erkeklerin yaşam, iş ve gelir tatmin düzeylerinin yüksek olma eğiliminin daha fazla olduğunu göstermiştir. Kadınların iş ve gelir, erkeklerin ise her üç mutluluk öğesi önceki sene alınan gelir artışından pozitif olarak etkilenmektedir. En yüksek korelasyon seviyesi kadınlar için biraz daha güçlü olmak üzere iş ve gelir tatmini arasında görülmüş, bu bulgu kadınların iş hayatında ekonomik kazanımlara erkekler kadar önem vermedikleri argümanının aksini desteklemiştir. Yayılma hipotezi üç mutluluk öğesinin tüm ikili kombinasyonlarında gözlemlenmiştir.Publication Open Access 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; 272082We 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.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 Metadata only A two-sided reputation result with long-run players(Academic Press Inc Elsevier Science, 2013) Ekmekçi, Mehmet; Department of Economics; Atakan, Alp Enver; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 39383We establish reputation results, under two sided incomplete information, for a class of repeated games. We consider a repeated game that satisfies the assumptions of either Atakan and Ekmekci (2012) [3] or Cripps et al. (2005) [6] and we assume that both players are Stackelberg types with positive probability. If the stage game is not a common interest game, then equilibrium play converges to the unique equilibrium of a continuous time war of attrition as the stage game is repeated arbitrarily frequently. Alternatively, if the stage game is a common-interest game, then the players' equilibrium payoffs converge to their highest payoffs as the stage game is repeated arbitrarily frequently. (C) 2012 Elsevier Inc. All rights reserved.