Economics and Finance

Operational risk is one of the less known yet one of the most important risks in the banking industry. Growing attention on operational risk management has been showed both by regulators and banks. This thesis will investigate Alternative Risk transfer mechanisms for operational risk. Insurance is nowadays the main way of transfering operational risk. Nevertheless, risk may as well be transfered using derivative contracts. Operational risk derivatives such as swaps and options have not yet been very succesfull in the industry but their adoption would open up the operational risk market to the whole set of capital markets' players such as hedge funds, other banks, etc thus allowing a more ample risk dispersion, a lower cost of hedging and a more liquid market for such contracts.

One of the most successful applications of Bayesian inference is the Kalman filter. Even if very simple, Kalman filtering may constitute a very powerful tool on a trading desk. Here we briefly discuss some of the issues concerning volatility filtering and then we apply a Kalman filter to estimate recursively a multi asset GARCH(1,1) model on realized credit volatility. We test the model both from a static “descriptive” point of view and from a dynamic “predictive” point of view. The fitted Kalman filter works very well for both applications. The procedure can be easily extended to more asset classes or to allow for more complex GARCH specifications.

This thesis will investigate the concept of scale in time series analysis and asset pricing. Broadly speaking, changing scale means changing the frequency at which a variable is observed or sampled. The concept of scale is not new. Anyone who has dealt in stocks knows that most brokers o¤er graphs with various scales: monthly, weekly, daily, hourly down to minute data, second data or even tick-by-tick data. With the advent of electronic trading, exchanges like the New York Stock Exchange now can monitor stock trades at frequencies as low as milliseconds or microseconds. The scale dimension is therefore becoming a very interesting paramenter to look at.

We build upon the work of Whiteman (1994), De Jong et al. (1993) and Del to propose a methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector Autoregressive (BVAR) models. Further, motivated by the studies of Del Negro and Schorfheide , Christiano et al. (2010) and the theoretical results developed by Chernozhukov and Hong (2003) we illustrate how the posterior moments of the BVAR parameter vector can be used to obtain the posterior inference with respect to the DSGE model. The moments of the assumed Normal-Inverse Wishart prior distribution of the VAR parameter vector are derived using the results developed by Fernandez-Villaverde et al. (2007), Christiano et al. (2006) and Ravenna regarding structural VAR (SVAR) models and the prior density of the DSGE parameter vector. Two data driven hyper-parameters unwind the "intensity" of these theoretical priors avoiding bimodality problems that could possibly arise from the strong disagreement between "tight" priors and the data (see, . The combination of the VAR marginal likelihood function -approximated using the "Laplace" transformwith the prior distribution of the DSGE parameter vector delivers the posterior distribution of the latter. In line with the results from previous studies, BVAR models with theoretical priors seem to achieve forecasting performance that is comparable -if not better -with the one obtained using theory free "Minnesota" priors . Finally, a small monte carlo experiment and an empirical exercise reveals very supportive results for the quasi bayesian estimator proposed in this study relatively to the standard full information bayesian maximum likelihood estimator.

study proposes a methodology of constructing dynamic stochastic general equilibrium (DSGE) consistent prior distributions for Bayesian vector autoregressive (BVAR) models. The moments of the assumed Normal-Inverse-Wishart (no conjugate) prior distribution of the VAR parameter vector are derived using the results developed by Fernandez-Villaverde et al. (Am Econ Rev 97(1):21-26, 2007) , Christiano et al. (Assessing structural vars, 2006 and Ravenna (J Monet Econ 54(2):48-64, 2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with the results from previous studies, BVAR models with theoretical priors seem to achieve forecasting performance that is comparable-if not better-to the one obtained using theory free 'Minnesota' priors (Doan, Econ Rev 3(1):1-100, 1984). Additionally, the marginal-likelihood of the time-series model with theory found priors-derived from the output of the Gibbs sampler-can be used to rank competing DSGE theories that aim to explain the same observed data (Geweke, Con- Bayesian econometrics and statistics, 2005). Finally, motivated by the work of Christiano et al. (Handbook of monetary economics, 2010a; Involuntary unemployment and the business cycle, 2010b) and Del Negro and Schorfheide (Int Econ Rev 45:643-673, 2004), we use the theoretical results developed by Chernozhukov and Hong (J Econom 115(2):293-346, distance estimator for DSGE models, 2011) to derive the quasi-Bayesian posterior distribution of the DSGE parameter vector.

study proposes a methodology of constructing dynamic stochastic general equilibrium (DSGE) consistent prior distributions for Bayesian vector autoregressive (BVAR) models. The moments of the assumed Normal-Inverse-Wishart (no conjugate) prior distribution of the VAR parameter vector are derived using the results developed by Fernandez-Villaverde et al. (Am Econ Rev 97(1):21-26, 2007) , Christiano et al. (Assessing structural vars, 2006 and Ravenna (J Monet Econ 54(2):48-64, 2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with the results from previous studies, BVAR models with theoretical priors seem to achieve forecasting performance that is comparable-if not better-to the one obtained using theory free 'Minnesota' priors (Doan, Econ Rev 3(1):1-100, 1984). Additionally, the marginal-likelihood of the time-series model with theory found priors-derived from the output of the Gibbs sampler-can be used to rank competing DSGE theories that aim to explain the same observed data (Geweke, Con- Bayesian econometrics and statistics, 2005). Finally, motivated by the work of Christiano et al. (Handbook of monetary economics, 2010a; Involuntary unemployment and the business cycle, 2010b) and Del Negro and Schorfheide (Int Econ Rev 45:643-673, 2004), we use the theoretical results developed by Chernozhukov and Hong (J Econom 115(2):293-346, distance estimator for DSGE models, 2011) to derive the quasi-Bayesian posterior distribution of the DSGE parameter vector.

Long-term interest rates of small open economies correlate strongly with the US long-term rate. Can central banks in those countries decouple from the US? An estimated DSGE model for the UK (vis-à-vis the US) establishes three structural empirical results. (1) Comovement arises due to nominal fluctuations, not through real rates or term premia. (2) The cause of comovement is the central bank of the small open economy accommodating foreign inflation trends, rather than systematically curbing them. (3) Small open economies may find themselves much more a↵ected by changes in US inflation trends than the US itself. JEL Classification: E43, E44, F30, F44, F65, G15

Similar to Ingram and Whiteman (1994), De Jong et al. (1993) and Del Negro and Schorfheide (2004) this study proposes a methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector Autoregressive (BVAR) models. The moments of the assumed Normal-Inverse Wishart (no conjugate) prior distribution of the VAR parameter vector are derived using the results developed by Fernandez-Villaverde et al. (2007), Christiano et al. (2006) and Ravenna (2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with the results from previous studies, BVAR models with theoretical priors seem to achieve forecasting performance that is comparable – if not better – to the one obtained using theory free “Minnesota” priors (Doan et al., 1984). Additionally, the marginal-likelihood of the time-series model with theory founded priors – derived from the output of the Gibbs sampler – can be used...

Η παρούσα διδακτορική διατριβή μελετάει και συμβάλλει στη βιβλιογραφία που αναφέρεται στα αίτια και τις συνέπειες των διαφορικών πληθωρισμών στην Ευρωπαϊκή Νομισματική Ένωση (ΟΝΕ). Στο πρώτο κεφάλαιο της διατριβής μελετούμε τα διαρθρωτικά χαρακτηριστικά του φαινομένου στην ευρωζώνη από το 1999 κι έπειτα. Επίσης γίνεται μία λεπτομερής επισκόπηση της δομής της νομισματικής ένωσης, των στρατηγικών της νομισματικής αρχής καθώς και των στόχων. Στο δεύτερο κεφάλαιο εκτιμώνται εμπειρικά τα αίτια των διαφορικών πληθωρισμών. Στο τρίτο κεφάλαιο, μελετάται το ερώτημα αν η πληθωριστική διαδικασία της Ελλάδας, της Πορτογαλίας, της Ιρλανδίας και της Ισπανίας – χώρες οι οποίες μετά την υιοθέτηση του ευρώ είχανε ρυθμούς πληθωρισμού πάνω από το σταθμισμένο μέσο όρο της ένωσης – έχει διαφορετικές χρονολογικές ιδιότητες από το μέσο όρο της ΟΝΕ και διερευνάται ποιες μπορεί να είναι οι επιπτώσεις στην ίδια την ένωση καθώς και στις πολιτικές που ακολουθούνται από τις εθνικές κυβερνήσεις των κρατών-μελών....

Objective: Following a pre-registered study design, estimate the effect of police force-wide domestic abuse training on arrests for the new crime of ‘controlling or coercive behaviour’.Methods: Using data on monthly count of arrest for controlling or coercive behaviour in 33 police forces, we used a negative binomial difference-in-difference analysis and capitalised on differences in intervention timing to undertake an event study.Results: Training was associated with a 41% increase in arrest for controlling or coercive behaviour for trained forces compared to untrained forces (IRR 1.413, 95% CI 1.235–1.617). The event study illustrated that the increase in arrests in trained forces was consistent with the timing of the training.Conclusions: Training entire police forces to understand the dynamics of domestic abuse, including the new offence of coercive control, is effective in increasing the rate of arrest for coercive control.

A number of previous studies have used ARCH and GARCH models in order to conclude on the most appropriate model for estimating and forecasting volatility. In attempt to contribute to literature, this study is devoted to find the most accurate heteroskedastic model for estimating and forecasting volatility in the five main emerging economies: Brazil, South Africa (BRICS) using daily equity indices. The empirical investigation is conducted using various models from the GARCH-family. The models employed in this dissertation are the GARCH (1,1), TGARCH (1,1,1), EGARCH (1,1) and the GARCH-M (1,1) with both standard deviation and conditional variance in the mean equation.

In recent years, remittance flows as a part of economic and political competition has become an important issue in politics. Countries intend to increase money inflows by encouraging their citizens who live abroad to transfer their earnings back to their home countries. Today, since the influence of remittances on global economy is perceived to be very critical the remittance flows between countries are closely monitored by important political and economic actors. Sweden and Turkey are the two countries which have developed close relations on migration and remittances over the last fifty years and now Sweden passes through a transition period in terms of evolvement of the public opinion on immigration. This dissertation focuses on the analysis of remittance structure between Sweden and Turkey with a theoretical perspective in order to contribute to evaluation of immigration policies of the political parties in Sweden in light of remittances. The recent general election in Sweden resulted in favor of political parties which support more restricted immigration policies. Eventually, the dissertation aims to contribute with another economic aspect to the comparison on the perspectives of the political parties in Sweden towards immigration. Therefore, the results from the case study is used to verify whether the tendency of the public opinion in Sweden is meaningful. Briefly, in this study, the bilateral remittances between the two countries are examined per se considering views of mainstream theories on remittances and the results are evaluated with the recent political thoughts on immigration in Sweden. The results refers that the negative tendency of public opinion echoed by some political parties in Sweden towards immigration is not economically rational in the sense of remittances.

In recent years, remittance flows as a part of economic and political competition has become an important issue in politics. Countries intend to increase money inflows by encouraging their citizens who live abroad to transfer their earnings back to their home countries. Today, since the influence of remittances on global economy is perceived to be very critical the remittance flows between countries are closely monitored by important political and economic actors. Sweden and Turkey are the two countries which have developed close relations on migration and remittances over the last fifty years and now Sweden passes through a transition period in terms of evolvement of the public opinion on immigration. This dissertation focuses on the analysis of remittance structure between Sweden and Turkey with a theoretical perspective in order to contribute to evaluation of immigration policies of the political parties in Sweden in light of remittances. The recent general election in Sweden resulted in favor of political parties which support more restricted immigration policies. Eventually, the dissertation aims to contribute with another economic aspect to the comparison on the perspectives of the political parties in Sweden towards immigration. Therefore, the results from the case study is used to verify whether the tendency of the public opinion in Sweden is meaningful. Briefly, in this study, the bilateral remittances between the two countries are examined per se considering views of mainstream theories on remittances and the results are evaluated with the recent political thoughts on immigration in Sweden. The results refers that the negative tendency of public opinion echoed by some political parties in Sweden towards immigration is not economically rational in the sense of remittances.

The term fair value reporting reflects a financial reporting standard whichaims to present financial statements to be measured by fair value as a valuationtechnique rather than with their historical cost. Those concepts of fair value andhistorical cost are some of the basic instruments which help to measure changes infinancial condition of the entities. Since the objective of financial reporting is to provide financial information about the entity that is useful in making financialdecisions accounting regulators mostly develop and adopt accounting standards based on this approach. The fair value reporting is a popular argument among notonly in accounting professionals but finance professionals as well.The results of valuating some elements of balance sheet by fair value accounting (FVA) or historical cost accounting (HCA)can affect the financial conditions of the entities inthe first place which is very usual but the problem and the basis of the debate relieson the latter which ll be examined at the further stages of this essay.

2501050402 Tez Danışmanı: Doç. Dr. Binhan Elif YILMAZ İSTANBUL-2012 iii TÜRK VERGİ SİSTEMİNDE GELİR VERGİSİ VE KDV'NİN GELİR DAĞILIMI ÜZERİNDEKİ ETKİLERİ İzzet Onur SERAKİBİ ÖZ Bu çalışmada Türk vergi sisteminde Gelir Vergisi ve KDV'nin gelir dağılımı üzerindeki etkileri incelenmektedir. Gelir dağılımı konusuna yalnız Türkiye özelinde değil Dünya genelinde bakıldığında, gelişmekte olan ülkelerle beraber gelişmiş ülkelerde de gelir eşitsizlikleri gözlenmektedir. Liberal ekonomilerin çoğunlukla hakim olduğu global piyasalarda devletler kendi anayasalarından kaynaklanan zorunluluklarla sosyal devlet anlayışının gereklerini yerine getirmeye çalışmaktadırlar. Günümüz şartlarında ise sosyal devlet olabilmenin en temel unsurlarından birisi toplumu oluşturan bireyler arasındaki gelir düzeyi uçurumlarının kapatılması ve yoksullukla etkin bir şekilde mücadele etmektir. Devletin kamu finansmanını sağlamak amacıyla vergi toplaması gerekmektedir. Bu çalışmada bir çok unsurdan olumsuz şekilde etkilenen gelir dağılımı üzerinde Gelir Vergisinin olumlu KDV'nin ise olumsuz etkiler yarattığı görüşü savunulacaktır. Çalışmanın birinci ve ikinci bölümlerinde Vergi ve Gelir Dağılımı kavramları iktisat ve maliye literatürlerinde önde gelen yazarların görüşleri çerçevesinde teorik seviyede açıklanmaya çalışılacaktır. Çalışmanın üçüncü bölümünde evrensel düzeyde teorik çerçevesi çizilen vergilemenin Türk vergi sistemindeki Gelir Vergisi ve KDV uygulamalarından bahsedilecek ve bu vergilerin gelir dağılımı üzerindeki etkileri açıklanacaktır.

In this dissertation, we investigate the hypothesis that monetary policy responds tomovements in asset prices.In the study the arguments in favor and against the above hypothesis will be studied, the empirical framework will be discussed and the hypothesis will be tested. In theinvestigation, we adopt the Taylor rule as the empirical framework and used its standard andaugmented versions in order to reach a conclusion.In this study, we will especially explore thatwhether the stock market movements play a crucial role in shaping monetary policy either directlyor indirectly in Turkey between the years 1997 and 2012.

In this study, an overall assessment of the article 5 of the OECD Model Tax Convention will be made and the conditions that constitute a permanent establishment for the non-resident companies, operating in Turkey, will be discussed in the light of the OECD commentaries on the articles of the model tax convention.

Game theory is one of the most significant theories developed in the field of behavioral economics. Especially after the release of the Hollywood movie “ A Beatiful Mind” which tells the story of the Nobel (economics) prize winner John Nash, Game theory, which has a wide range of application in social and natural science, has became much more familier among the society. In this study we will discuss the basic elements of the game theory briefly and then an example will be illustrated for the dominant strategy in simultaneous games.