Determinants of Financial vs. Non Financial Stock Returns: Evidence from Istanbul Stock Exchange

We estimate a four-factor model for a sample of financial and nonfinancial firms traded on the Istanbul Stock Exchange (ISE). The factors relate to market return, interest, inflation and exchange rates. By investigating the effects of these factors simultaneously for different exchange rate regimes, we show that market return, interest, inflation, and exchange rates play a separate role in financial and nonfinancial firms´ stock returns. We also show that all factors are priced during the period of free float. These results are important for determining financial institutions' cost of capital and for identifying the risks that should be hedged

Trade Flows, Exchange Rate Uncertainty and Financial Depth: Evidence from 28 Emerging Countries

We investigate the effects of real exchange rate uncertainty and financial depth on manufactures exports from 28 emerging economies to the North and South over 1978-2005. We estimate a dynamic panel model using system GMM approach and show that for the majority of countries in our sample exchange rate uncertainty affects both South-South and South-North trade negatively. Furthermore, for several cases we discover that this effect is unidirectional, that is South-South or South-North. In addition, we find that while financial depth plays a trade-enhancing role, exchange rate shocks can negate this effect. We also show that trade among developing economies is likely to enhance export growth

Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports

We present an empirical investigation of a recently suggested but untested proposition that exchange rate volatility can have an impact on both the volume and variability of trade flows, considering a broad set of countries' bilateral real trade flows over the period 1980-1998. We generate proxies for the volatility of real trade flows and real exchange rates after carefully scrutinizing these variables' time series properties. Similar to the findings of earlier theoretical and empirical research, our first set of results show that the impact of exchange rate uncertainty on trade flows is indeterminate. Our second set of results provide new and novel findings that exchange rate volatility has a consistent positive and significant effect on the volatility of bilateral trade flows.exchange rates, volatility, fractional integration, trade flows

Digital flight control systems

The design of stable feedback control laws for sampled-data systems with variable rate sampling was investigated. These types of sampled-data systems arise naturally in digital flight control systems which use digital actuators where it is desirable to decrease the number of control computer output commands in order to save wear and tear of the associated equipment. The design of aircraft control systems which are optimally tolerant of sensor and actuator failures was also studied. Detection of the failed sensor or actuator must be resolved and if the estimate of the state is used in the control law, then it is also desirable to have an estimator which will give the optimal state estimate even under the failed conditions

The Impact of Macroeconomic Uncertainty on Bank Lending Behavior

bank lending, macroeconomic uncertainty, panel data, ARCH

The second moments matter: The response of bank lending behavior to macroeconomic uncertainty

In this paper we investigate whether macroeconomic uncertainty could distort banks’ allocation of loanable funds. To provide a road- map for our empirical investigation, we present a simple framework which demonstrates that lower uncertainty about the return from lending should lead to a more unequal distribution of lending across banks as managers take advantage of more precise knowledge of different lending opportunities. When bank-specific differences in lending opportunities are harder to predict, we should observe less cross-sectional variation in loan-to-asset ratios. Using a comprehensive U.S. commercial bank data set, we receive support for our hypothesis.Bank lending, financial intermediation, credit, macroeconomic, uncertainty, panel data, ARCH.

The Impact of Macroeconomic Uncertainty on Cash Holdings for Non–Financial Firms

This paper investigates the effects of macroeconomic volatility on non–financial firms’ cash holding behavior. Using an augmented cash buffer–stock model, we demonstrate that an increase in macroeconomic volatility will cause the cross–sectional distribution of firms’ cash–to–asset ratios to narrow. We test this prediction on a panel of non–financial firms drawn from the annual COMPUSTAT database covering the period 1970–2000, and find that as macroeconomic uncertainty increases, firms behave more homogeneously. Our results are shown to be robust to the inclusion of the levels of several macroeconomic factors.Cash holdings; macroeconomic uncertainty; panel data; time series; ARCH; non-financial firms