Theses supervised by Yrd. Doç. Dr. Taner Yiğit
13 theses · İhsan Doğramacı Bilkent University
Enflasyon hedeflemesinin maliyeti: Enflasyon hedeflemesi uygulayan dokuz ülkenin analizi
ABSTRACT VOLATILITY COSTS OF INFLATION TARGETING: ANALYSIS OF NINE INFLATION TARGETING COUNTRIES Doğan, Gönül M. A., Department of Economics Supervisor: Assistant Professor Taner Yiğit August 2004 This thesis tries to investigate the impact of inflation targeting as a monetary policy on the volatility of output and inflation, interest rate, exchange rate, and money growth in the nine countries that adopted inflation targeting prior to 1994: Australia, Canada, Chile, Finland, Israel, New Zealand, Spain, Sweden and United Kingdom. The thesis also compares four inflation targeting countries to non- inflation-targeters to figure out the relative effectiveness of inflation targeting as a monetary policy. Structural break tests are made on the monetary aggregates. The main finding of the thesis is, inflation targeting countries well managed to improve their performance in terms of the volatilities of monetary aggregates. Despite the fact that there are upward movements in the volatilities of monetary aggregates at the time of the regime shift, after the adoption of inflation targeting, in general, the volatilities declined. However, there isn't any clear pattern of how inflation targeting countries perform relative to the benchmark countries. Ill
Tekli yapısal kırılma testinin verimli piyasa hipotezi üzerindeki ampirik çalışma ile performans analizi
In this thesis, performance of the single structural break tests is examined. Since ithas proved superiority of Sequential F test on other single break tests, it is chosen assingle break test. Monte Carlo simulation is run for different scenarios and performancesof the test with respect to estimating break points, and parameters, and rejecting oraccepting the joint null hypothesis is observed. For all cases small sample bias isobserved. The test estimates parameters correctly for large samples but for small samplesit underestimates or overestimates parameters. Another common problem is about jointnull hypothesis. When test rejects the joint null, it doesn?t identify which of the jointhypothesis is rejected. Therefore in this study, we utilize the t-statistic of the parametersto determine the individual hypothesis rejected. In addition to these common problemswe illustrate other scenario specific problems in this study. We examine the implicationsof our Monte Carlo findings by applying the break test to real life data and investigate theefficient market hypothesis using stock market data on SP&500. Application of thesequential F test shows evidence against the efficient market hypothesis.Keywords: Structural Break, Sequential F Test, Efficient Market Hypothesis
Periyodik olarak çöken rasyonel balonların belirlenmesi
Evans?ın, periyodik olarak çöken rasyonel balonlar söz konusu olduğundageleneksel birim kök ve eşgüdümlü birim kök testlerine getirdiği eleştiriden sonrayeni bir çok yaklaşım öne sürülmüştür. Bu çalışmada, periyodik olarak çökenrasyonel balonların belirlenebilmesi sorununun üstesinden gelmek için yeni birmetod önerilmektedir. Metodumuz Eşik Ardışık Bağımlı Rastlantısal Birim KökModelleri?ne dayanmaktadır. Monte Carlo simülasyonları önerilen testin Evans(1991) çalışmasında sunulan tipten balonların belirlenebilmesi konusunda başarılıolduğunu göstermektedir. Balonların belirlenebilmesi konusunda etkili olmamızınyanında, eşik düzeyini ve balonların çökme olasılıklarını tahmin edebilmekteyiz.1871-2004 yılları arasında ABD hisse senedi fiyatları için elde edilen ampirikbulgular balonların varlığını destekleyici yöndedir.Anahtar Kelimeler: Rasyonel Balonlar, Rastlantısal Birim Kök Modeller
Çok değişkenli GARCH modellerinin bir incelemesi
This paper reviews the recent developments in the multivariate GARCH literature. Most common multivariate GARCH models and their properties are briefly presented.
Dağınık enerji üretiminin değerlendirilmesi için model
The purpose of this thesis is to assess decentralized production technologies in an economical framework. Throughout the thesis, technological aspects such as smart metering or connectivity issues are ignored. All assumptions are based on specification sheets by the producers of the technologies to provide an impartial assessment.Pricing schemes for buying from the grid and selling to the grid are based on dynamic markets, like Amsterdam Power Exchange and Title Transfer Facility. Although these markets are for large scale trading, they provide a good basis for constructing future scenarios where electricity and gas are bought on variable prices rather than fixed prices.Model constructed to evaluate different technologies finds the optimal production given the technologies and prices for the period. Optimal production clearly defines an upper bound on the value of the technology as any other production increases the cost of heat and electricity of the household.In retrospect, model establishes a best case scenario for the value of such systems from an economical perspective. Technological, regulatory, and marketing aspects are not explored in this study. Only economical viability of the technologies is explored. In summary, it is common for individuals to make misinformed or wrong decisions. Effects of marketing etc. can be studied, but my belief based on this study is that these devices are not economically viable and their environmental benefits are questionable.
Gayrimenkul ve mortgage krizi: Amerika Birleşik Devletleri üzerine bir çalişma
Like every asset price boom, the US Real Estate Boom expanded theeconomy until the burst occurred. Although the existence of an ?irrational? boomwas apparent, it has been questioned whether the increase suggested a bubble. Thisthesis analyzes the evolution of the US Real Estate Crisis and suggests that the realestate price increase was a bubble. A time series analysis is performed for the years1990-2006, using monthly data on the US house prices, consumer prices, income percapita, population, unemployment rate, mortgage rate and housing starts. The resultsindicate that consumer prices and income per capita explain the trend in the housingprices, prior to the bubble. During the bubble, except population the fundamentalsfall short in explaining the housing prices.
Birinci ve ikinci nesil döviz krizi modellerinin teorik açıdan genel görünümü
This study reckons a comprehensive and holistic overview of first and second generation models of currency crises. The main characteristics and assumptions of these models are portrayed and the motives behind these models are illustrated. By and large, the seminal papers which have been sources of inspiration for the evolution of the currency crisis theory are demonstrated in detail. Moreover, incorporations of various elements from economic theory into these models and extensions are discussed briefly. Finally, a very basic intuition about how successful these models are in giving explanations of currency crises that countries have experienced is given.
Para krizi teorisi: Üçüncü nesil modeller
This thesis investigates third generation currency crisis literature and concludes that the 2001 Turkish currency crisis can be labeled as a third generation type crisis, despite having unique characteristics. According to the model of Eijffinger and Goderis (2007) which derives risk premium of the economy from the balance sheet structure of the corporate sector, higher domestic debt increases the probability of currency crisis, whereas higher foreign debt can either increase or decrease the probability of a currency crisis depending on the parameter values. This model has little explanatory power for the 2001 crisis, since the crisis predominantly arise from the maturity mismatch problem in the balance sheet of the financial sector, coupled with moral hazard problem driven by implicit government guarantees. In addition to these two issues which are examined by different strands of third generation currency crisis literature, Turkish crisis display distinctive characteristics such as the role of fragile fiscal deficit financing mechanism.
Avrupa finansal piyasalarinda entegrasyon: Bono ve hisse senedi piyasalari ölçümleri
The emergence of European Economic and Monetary Union (EMU) has given a large momentum to financial integration in Europe. After the introduction of the Euro(?) on 1 January 1999, all of the remaining exchange rate risk among EMU participants were removed and this was a milestone for the beginning of a single monetary policy for the euro area. This paper tries to identify the degree of improvement in European financial integration by presenting the theoretical point of view that tries to monitor the level of integration in the Eurozone. It starts by defining what financial market integration is and its benefits. Then it introduces the measurement methods for financial integration in both bond market and stock market. Last of all, this paper tries to distinguish the remaining barriers for full financial integration. The paper concludes analyzing aforementioned theoretical literature and further steps that are necessary to consolidate financial integration.
Finansal entagrasyon ölçümü: Teorik değerlendirme ve euler testine yeni bir yaklaşım
An extension of the Euler test in which the real interest rate differential is explained by the growth rate of real consumption of the domestic and the foreign country, and new proxies developed to measure real interest rate differential instead of ex post real interest rate constitute the backbone of this paper. The proxies are obtained directly from the real economic variables that try to overcome the difficulty of measuring unobservable ex post real interest rates, which, by nature, may contain monetary shocks, and varies considerably according to the reference nominal interest rates and baskets that measures the price developments. In one of the above-mentioned proxies, a new factor trying to capture the effect of human capital growth developments on real interest rates has been included. After constructing these new proxies, the validity of the extended Euler test has been checked for 11 OECD countries and the level of these countries? integration to the world has been tested by taking United States as the foreign country.
Belirsizliğin yatırımlar üzerine etkisi: Genel bir bakış
ABSTRACTTHE IMPACT OF UNCERTAINTY ON INVESTMENT:OVERVIEWYılmaz, ErdalM.A., Department of EconomicsSupervisor: Asst. Prof. Dr. Taner YiğitSeptember 2009Common consensus in the real option literature is that there is a negative relationship between uncertainty and investment. One of the explanations can be stated that the increased in uncertainty leads to move up the value of waiting and consequently has an adverse effect on investment. Contrary to the existing theory, Sarkar (2000) and Gryglewicz et all (2006) find that this negative relationship is not always correct. The former paper demonstrates that an increase in uncertainty can actually hasten the probability of making an investment under certain condition (when project life is short and level of uncertainty is low) and hence uncertainty has a positive effect on investment. Result of the latter paper is exceptional in the sense that uncertainty may accelerate irreversible investment without building on the convexity of the marginal product of capital. In this thesis, we compare these two papers and investigate whether they support each other or not in the framework of real option theory. Moreover, we made some numerical simulations in order to understand clearly impact of other variables on investment along with uncertainty.Keywords: Investment, Uncertainty, Real Option
Zamanla değişen parametre modellerinin kalman filtresiyle tahmininde sahte ilişki problemi
This thesis provides a simulation based study on Kalman Filter estimation of time varying parameter models when nonstationary series are included in regression equation. In this study, we have performed several simulations in order to present the outcomes and ramifications of Kalman Filter estimation applied to time varying regression models in the presence of random walk series. As a consequence of these simulations, we demonstrate that Kalman Filter estimation cannot prevent the emergence of spurious regression in time varying parameter models. Furthermore, so as to detect the presence of spurious regression, we also propose a new method, which suggests penalizing Kalman Filter recursions with endogenously generated series. These series, which are created endogenously by utilizing Cochrane?s variance ratio statistic, are replaced by state evolution parameter in transition equation of time varying parameter model. Consequently, Penalized Kalman Filter performs well in distinguishing nonsense relation from a true cointegrating regression.
Endojenite
One of the core issues in the econometrics literature is the endogeneity problem. Endogeneity occurs when observed variables are correlated with unobserved factors. Endogeneity can arise as a result of measurement error, autoregression with autocorrelated errors, simultaneity and omitted variables. And, there are many methods such as instrumental variable, BLP, control function and maximum likelihood approaches improved in order to overcome this issue. In this study, the issue of endogeneity will be presented and the tests to identify and the methods to solve the problem will be analyzed.