The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US

In this study, we investigate the presence of asymmetric interactions between oil prices, oil price uncertainty, interest rates, and unemployment in a cointegration framework. Utilizing the nonlinear auto-regressive distributed lag (NARDL) approach, we show the asymmetric responses of unemployment to changes in oil prices, oil price uncertainty and interest rates in the long-run. More specifically, the results of our analyses suggest that an increase in oil price results in increased unemployment while there is no significant impact of reduced oil prices. On the one hand, reduced oil price uncertainty leads to a decrease in unemployment whereas an increase in oil price uncertainty does not have an impact. We also observe increased unemployment in response to a decrease in interest rates as the impact of increased interest rates is not significant. Last but not least, we find that option-implied oil price volatility, as a measure of oil price uncertainty, outperforms the conditional volatility of crude oil prices in predicting unemployment. This study provides valuable implications for policymakers to design sound economic policies

Intergenerational mobility and the effects of parental education, time investment, and income on children’s educational attainment

This article analyzes the mechanisms through which parents’ and children’s education are linked. It estimates the causal effect of parental education, parental time with children, and parental income during early childhood on the educational outcomes of children. Estimating the causal effects of time with children, income, and parental education is challenging because parental time with children is usually unavailable in many datasets and because of the problem of endogeneity of parental income, time with children, and education. The authors, therefore, use an instrumental variables approach to estimate the causal effects. They find that once they account for the parental time input with children, parental income during the first five years is no longer statistically significant. The parental time investments of both parents in early childhood are each statistically and quantitatively significant determinants of the educational outcomes of children.Publisher versio

Estimation of dynastic lifecycle discrete choice models

This paper explores the estimation of a class of life‐cycle discrete choice dynastic models. It provides a new representation of the value function for these class of models. It compare a multistage conditional choice probability (CCP) estimator based on the new value function representation with a modified version of the full solution maximum likelihood estimator (MLE) in a Monte Carlo study. The modified CCP estimator performs comparably to the MLE in a finite sample but greatly reduces the computational cost. Using the proposed estimator, we estimate a dynastic model and use the estimated model to conduct counterfactual simulations to investigate the role Nature versus Nurture in intergenerational mobility. We find that Nature accounts for 20 percent of the observed intergenerational immobility at the bottom of income distribution. That means that 80 percent of mobility at the bottom of the income distribution is explained by economic decision and economic/institutional constraints.Publisher versio

Estimation of dynastic lifecycle discrete choice models

This paper explores the estimation of a class of life‐cycle discrete choice dynastic models. It provides a new representation of the value function for these class of models. It compare a multistage conditional choice probability (CCP) estimator based on the new value function representation with a modified version of the full solution maximum likelihood estimator (MLE) in a Monte Carlo study. The modified CCP estimator performs comparably to the MLE in a finite sample but greatly reduces the computational cost. Using the proposed estimator, we estimate a dynastic model and use the estimated model to conduct counterfactual simulations to investigate the role Nature versus Nurture in intergenerational mobility. We find that Nature accounts for 20 percent of the observed intergenerational immobility at the bottom of income distribution. That means that 80 percent of mobility at the bottom of the income distribution is explained by economic decision and economic/institutional constraints.Publisher versio

A high frequency investigation during a financial crash

Bu tez Piyasa Mikroyapısını teorik ve ampirik perspektiflerden incelemektedir. Teorik kısımda, Piyasa Mikroyapısı konusunda yapılan teorik katkılar gözden geçirilmiş ve piyasa mikroyapısının temel özellikleri ve onu oluşturan büyüklükler açıklanmıştır. Ampirik bölümde, İstanbul Menkul Kıymetler Borsası'ndan elde edilen DEMİRBANK hisse senedine ait data kullanılarak gün içi hisse senedi özellikleri incelenmiştir. Demirbank hissesinin 06 Aralık 2000 tarihinde bankanın repo piyasasında yaşanan kriz sonucu batmasıyla artık işlem görmemesi, bu hissenin gün içi hareketlerini hem kriz hem de kriz dışında inceleme fırsatı vermiştir. Elde edilen sonuçlar Demirbank hisse senedinin literatürde başka piyasalar için yapılan çalışmalarla çoğunlukla benzerlik gösteren yönleri olduğunu, fakat aynı zamanda farklı gün içi hareketleri de olduğunu göstermiştir. Bu faklılıklar İstanbul Menkul Kıymetler Borsası'nın yapısından kaynaklanan farklılıklar ve Demirbank hisse senedinin özelliklerinden kaynaklanmaktadır. Demirbank hisse senedinin durasyon datası ekonometrik tahmin için kullanılmıştır. Tahmin edilen modeller, Engle and Russell (1998) ACD Modeli ve Bauwens ve Giot (1998) modelidir. Sonuç olarak bulunan, ACD(2,2) modelinin performanısı diğer modellerden üstündür. In this thesis microstructure models both in theoretical and empirical aspects are tried to be examined. On the theoretical side, it is aimed to provide a general survey of the main theoretical models in the microstructure literature, and the hallmarks of microstructure area. On the empirical size, we used the Demirbank's stock data provided by Istanbul Stock Exchange to investigate the intra-daily properties. Considering the fact that after 05 December 2000, the stock was no longer traded after the default of Demirbank on 6th December in the Turkish overnight market crises; the data is investigated in two periods, tranquil and crises. First of all the intra-daily data is used to highlight the high frequency properties of Demirbank's stock during the tranquil period, and then to catch the differences in the intra-day properties during the crises period. Empirical work can be viewed as a verification of the well known patterns in intra-day stock data; such as U-shaped volume etc., however there are significant distinctions that can be attributed to Demirbank's stock or the structure of Istanbul Stock Exchange. The duration series obtained from Demirbank's stock is used for the econometric estimation where (ACD) model of Engle and Russell (1998) and LACD model of Bauwens and Giot (1998) are estimated. ACD(2,2) model is found to be superior to other specifications

SELF-REPORTED HEALTH STATUS: A MICROECONOMETRIC ANALYSIS FOR TURKEY

In this paper, we examine the effects of the demographic, health and socio-economic indicators on self-reported health status (SRH) in Turkey for the year of 2012. Independent variables taken into account in the study are formed under these three titles. The Health Survey data have been collected by Turkish Statistical Office (TURKSTAT). We first used ordered logit model as a microeconometric approach but, however, generalized ordered logit model is applied after the rejection of the parallel regression assumption. Results show that people who have a chronic disease and an accident in their life are less likely to report good health. An increase in body mass index, getting older, being a female cause a negative effect on reporting good health. Increasing income level, living in urban area, being employed have a positive effect on reporting good health. In the education category, people are more likely to report fair health but the effect decreases when the education level increases

Does being international make companies more sustainable? Evidence based on corporate sustainability indices

The existing literature on the relationship between corporate sustainability performance and being a domestic or international company doubt on which type of operating has more potential to be corporate sustainable. It might be expected that two types of firms can have different advantages. We take this as an empirical question and bring it to data to find an answer. We created a methodology to compare the corporate sustainability level of different companies. In this methodology, we developed different internationality indices and evaluate the effects of those on corporate sustainability. We used firm level financial variables, time and firm effects for controlling some aspects of firm heterogeneity. We estimate the indices of the internationality using the performance ratings from MSCI KLD 400 Social Index and financial information from Wharton Research Data Services' COMPUSTAT dataset. Our results present empirical evidence to support the hypothesis that being an international firm is increasing the sustainability of the company on average. Furthermore, to better understand the mechanism of this result, we examined the effect of being international separately for the factors (these are named as strengths and concerns in KLD) that increase and decrease the sustainability score of the companies respectively. We found surprisingly that being an international firm increases both strengths and concerns more compared to a domestic firm. This suggests that international companies perform higher standards on the strengths but also face hard time to reduce the concerns due to possibly multiple regulations that they face, or coordination issues in different counties etc. Keywords: Corporate sustainability, Internationality, MSCI KLD 400 social index ratings, Compusta

A new estimation technique of sovereign default risk

Using the fixed-point theorem, sovereign default models are solved by numerical value function iteration and calibration methods, which due to their computational constraints, greatly limits the models' quantitative performance and foregoes its country-specific quantitative projection ability. By applying the Hotz-Miller estimation technique (Hotz and Miller, 1993)- often used in applied microeconometrics literature- to dynamic general equilibrium models of sovereign default, one can estimate the ex-ante default probability of economies, given the structural parameter values obtained from country-specific business-cycle statistics and relevant literature. Thus, with this technique we offer an alternative solution method to dynamic general equilibrium models of sovereign default to improve upon their quantitative inference ability