Dept. of Economics - Ph.D. / Sc.D.
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Item Open Access Markets as institutions(Bilkent University, 1995) Başçı, ErdemThis dissertation investigates resource allocation via institutions. A unifying framework for studying various kinds of institutional structures is provided. After the introductory Part 1, Part 2 presents the general model (Chapter 1) and studies existence of equilibria (Chapter 2). Part 3 provides applications to general equilibrium models under complete markets (Chapter 3), public goods and Lindahl prices (Chapter 4), generalized price systems and sales taxes (Chapter 5), lemons type quality problems (Chapter 6). adverse selection and money (Chapter 7), and a model with Markov technologies and freedom effects on utilities (Chapter 8). welfare implications of most applications are investigated. Chapter 9 discusses further applications and possible future research topics.Item Open Access Financial liberalization and the real economy: the Turkish experience(Bilkent University, 1996) Yülek, Murat AliIn this dissertation, the effects o f financial liberalization in Turkey are investigated on three aspects. Firstly, the effects o f liberalization on the macroeconomic variables o f aggregate saving, investment, growth, bank deposits, bank credits and securities issues and portfolios are discussed. It was found that after the liberalization the difference between private saving and investment increased. On the other hand the same difference for the public sector became highly negative. In other words the public sector increasingly resorted to the private sector to cover its deficit. The share o f non-service sector investments (manufacturing, agriculture and mining) in total private investments decreased considerably after liberalization. The growth performance o f the economy after liberalization compares negatively with that before the liberalization. Financial deepening increased after liberalization. Bank deposits increased rapidly but the increase in credits were limited. The main reason was a rapid increase in bank and non-bank holdings o f government securities. We focus next on the probable efficiency effects o f liberalization. Employing a fixedeffect model we compared the efficiency o f manufacturing firms in eight industries before and after the liberalization. We use these findings to see whether efficiency became a more important factor in the access to bank credit after the liberalization. The results indicate that there has been an increase in the mean efficiency and the importance o f efficiency as a determinant o f access to bank credit after liberalization. However, factors like size and location continued to play a major role in access to bank credit well after the liberalization. Finally, we present evidence through a second fixed effect model and a sample selection model that after the liberalization efficiency led to increased access to bank credit but the opposite link was much less strong. Finally, we investigate the financial behavior o f manufacturing firms quoted at the Istanbul Stock Exchange during “normal” times and during crisis. We present evidence that firms are financially constrained. Using interactive variables in ordinary least square estimations we argue that financial constraints on firms that are informationally closer to banks are less stringent. On the other hand, we found that during 1994 financial crisis the constraints became more stringent. However, again, this phenomenon was not homogenous across different firm categories. Finally, the findings point out to a substantial restructuring during the crisis. The terms o f restructuring varied across firm categories. We present evidence that firms with closer informational ties to banks had better conditions o f restructuring.Item Open Access A genetic game of trade, growth and externalities(Bilkent University, 1997) Özyıldırım, SüheylaThis dissertation introduces a new adaptive search algorithm, Genetic Algorithm (GA), for dynamic game applications. Since GAs require little knowledge of the problem itself, computations based on these algorithms are very attractive for optimizing complex dynamic structures. Part one discusses GA in general, and dynamic game applications in particular. Part two is comprised of three essays on computational economics. In Chapter one, a genetic algorithm is developed to approximate open-loop Nash equilibria in non-linear difference games of fixed duration. Two sample problems are provided to verify the success of the algorithm. Chapter two covers discrete-time dynamic games with more than two conflicting parties. In games with more than two players, there arises the possibility of coalitions among groups of players. A three-country, two-bloc trade model analyzes the impact of coalition formation on optimal policies. Chapter three extends GA further to solve open-loop differential games of infinite duration. In a dynamic North/South trade game with transboundary knowledge spillover and local pollution optimal policies are searched. Cooperative and noncooperative modes of behavior are considered to address the welfare effects of pollution and knowledge externalities.Item Open Access Regulatory mechanisms for oligopolies(Bilkent University, 1997) Sağlam, İsmailItem Open Access Computer intensive techniques for model selection(Bilkent University, 1998) Başçı, SıdıkaThere are three essays in this dissertation. In the first one, which appears in Chapter 2, a comparison of finite sample performances of six model selection criteria for Autoregressive (AR) processes exists. Simulation results report the effects of being parsimonious while selecting the model on forecasting. Moreover, in the chapter the assumption of normality, which can be seen in all of the previous theoretical and emprical studies, is relaxed and performances of the criteria under non-normal distributions are investigated. The second essay is presented in Chapter 3. In this essay three new model selection criteria are suggested where cross-validated estimates of variances are used. In the chapter, a comparison of the finite sample performances of these new criteria with the already existing ones is presented. The main concern of the third essay, that appears in Chapter 4, is detecting structural change when the change point is unknown. In the chapter, we derive some Bayesian tests to detect structural change with unknown change point under the assumptions of different prior distributions.Item Open Access Robust regression, HCCM estimators, and an Empirical Bayes application(Bilkent University, 1999) Orhan, MehmetThis Ph.D. thesis includes three topics of econometrics where the chapters of the whole study are devoted to robust regression analysis, research on the estimators for the covariance matrix of a heteroskedastic regression and finally an application of the Empirical Bayes method to some real data from Istanbul Stock Exchange. Some robust regression techniques are applied to some data sets to show how outliers of a data set may lead to wrong inferences. The results reveal that the former studies have gone through some wrong results with the effect of the outliers that were not detected. Second chapter makes a thorough evaluation of the existing heteroskedasticity consistent covariance matrix estimators where the Maximum Likelyhood estimator recently promoted to the literature by Zaman is also taken into consideration. Finally, some empirical study is carried out in the last part of the thesis. The firms of ISE are categorized into sectors and some estimation is done over an equation which is very common and simple in the finance literature.Item Open Access The estimators of random coefficient models(Bilkent University, 1999) Gündüz, Yasemin BalThis thesis concentrates on the estimators of Random Coefficient models. A Bayesian estimator with non-standard posterior density implementing Griddy Gibbs Sampler technique for Hildreth-Houck type Random Coefficient Model is introduced and it is compared with a range of existing estimators for Random Coefficient models. Monte Carlo experiments are used for comparing this estimator with Swamy and Tinsley (1980), Method of Moments and Zaman (1998) Modified Maximum Likelihood estimators on the basis of biases, Mean Square Errors and efficiencies of parameter estimates. The results show that performances of estimators are affected by sample size, balance of design matrix and variance structure of stochastic regression coefficients. In most of the cases estimates for variance parameter of regression coefficients are seriously biased for all estimators expect the Bayesian Griddy Gibbs estimator. The Bayesian Griddy Gibbs and Method of Moments estimators show better performance compared with others, the best one changes in line with some observable and unobservable criteria. In empirical work, using both methods in estimation and selecting the estimates with minimum out of sample forecast Mean Square Error might be recommended. Asymptotically Maximum likelihood estimator is unbiased and achieves Cramer Rao Lower Bound; therefore it can not be improved upon. The finite sample properties of Modified Maximum Likelihood estimator are studied with a separate Monte Carlo study and it is shown that except very high sample sizes relative to the dimension of the problem there is substantial room for improvement of the Modified Maximum Likelihood estimator in finite samples.Item Open Access Asymptotic expansions for test statistics and tests for normality based on robust regression(Bilkent University, 1999) Önder, A. ÖzlemThis dissertation focuses on two different topics in econometrics. The first one is presented in Chapter 2 and is related to higher order asymptotic theory. The power of the Lagrange multiplier, Wald and likelihood ratio tests for the first order autoregressive model is compared through the approximations to the distributions of these three tests. The adequacy of the approximation is examined. The Wald and likelihood ratio tests are found to have superior performance than the Lagrange multiplier test. The comparisons are done according to stringency of the test statistics. As a second topic in Chapter 3, the dissertation examines the use of residuals from robust regression instead of OLS residuals in test statistics for the normality of the errors. According to simulation results their improvement over standard normality tests is found only in specialized circumstances. The applications on real data set show these conditions occur often enough in practice.Item Open Access Economics of the patent system(Bilkent University, 2000) Dilek, Ali NihatSince knowledge has “public good” characteristics, it is shown that the price system cannot determine the efficient allocation and production of knowledge. As a result, alternative allocative mechanisms are proposed as solutions to the public goods problem. But knowledge differs from classical public goods. Because of these differences, various arrangements have been proposed to deal with allocational problems in the production of knowledge. One of these arrangements refers to the patent system, where the society is granting private producers of new knowledge exclusive rights to the use of their creations, thereby forming conditions for the existence of markets in intellectual property and enabling the originators to collect fees for the use of their work by others. The thesis is about the economics of patent protection. After considering the economics of knowledge and discussing the history of the patent system and characteristics of the U.S. Patent Law, the thesis studies the international trade dimensions of intellectual property. Thereafter, partial and general equilibrium models of the patent system are developed for the study of the characteristics of the patent system and for the analysis of the Trade Related Aspects of Intellectual Property Rights (TRIPs) Agreement. It is shown that welfare cost of the patent system increases with increases in patent duration, degree of love of variety of the society, and the country size. The North - South patent protection model developed in the thesis, deals with possible effects of patent duration on technological differences between these poles. The findings imply that, technological lag between developed and developing countries is non-decreasing in global patent duration.Item Open Access A computational investigation of optimal parameters in pension reform(Bilkent University, 2000) Kiraci, ArzdarThe purpose of this dissertation is to develop a computational framework to identify a set of parametric reform options to rehabilitate publicly run, pay-as-you-go-based pension systems under alternative strategies for reform involving once-and-for-all as well as gradual changes in pension parameters. The techniques developed are applied to the Turkish pension system, which is particularly interesting as it already faces a severe financial crisis despite a relatively young population. The results confirm the need for urgent reform.Item Open Access Three essays on technical efficiency in Turkish manufacturing industries(Bilkent University, 2001) Kale, PelinThis study includes three essays on technical efficiency in Turkish manufacturing industries during 1983-1994. The first one, presented in Chapter III, investigates the sources of inefficiency in the food, textiles, machinery, chemicals and the aggregate manufacturing industries within a stochastic frontier (SF) framework. Panel data sets with four-digit industries are used. Among possible sources of inefficiency, industry-specific structural and organizational factors are considered. Results suggest that public ownership is detrimental to technical efficiency while higher real wages or engagement in international trade enhances it. Regarding the effects of domestic competition, no common pattern emerges. The second essay, presented in Chapter IV, investigates the time pattern of technical efficiency and technological change. Parametric SF and nonparametric data envelopment analysis (DEA) techniques are applied to five panel data sets used in the first essay. Results suggest that mean efficiency increased in the chemicals industry, declined in the machinery industry and remained time-invariant in the food, textiles and the aggregate manufacturing industries. Malmquist productivity indices show that sources of productivity growth differed across industries. In the food and machinery industries, technological progress accounted for productivity improvements while the chemicals and textiles industries witnessed significant efficiency improvements. The third essay, presented in Chapter V, uses semiparametric methods to construct an efficient frontier for the aggregate manufacturing industry. The benchmark technology is estimated by kernel regressions and efficiency scores calculated by fixed effects models. Comparison of results to those from DEA and SF models suggest that semiparametric and SF models not only yield close mean efficiency estimates but also are highly consistent in ranking industries.Item Open Access Three essays on inflation and monetary policy in Turkey(Bilkent University, 2003) Us, VuslatThis dissertation analyzes three studies on inflation dynamics and monetary policy alternatives in Turkey. In the first article, inflation inertia is analyzed. To this aim, expectations are assumed to be formed optimal univariate in a staggared contracts model setting,. An alternative assumption, which then would be subject to Lucas critique, is that expectations are naive. Consequently, the analysis favors the first alternative to the latter one in explaining high and persistent inflation. In the second study, the degree of currency substitution is analyzed by using various definitions. More specifically, ratchet effect in currency substitution is studied by Autoregressive distributed lag (ADL) procedure. The statistical evidence suggests that even though currency substitution has been persistent at an increasing degree, the economy at large has not been irreversibly dollarized yet. The final study of this dissertation discusses monetary transmission mechanism in a small structural model setting. In this framework, using various simulations the implementation of a standard Taylor Rule is analyzed. The alternative proposal is the use a monetary conditions index as a policy rule. The results show that the second alternative is preferable since the economy is then exposed to lessened volatility.Item Open Access Representing information flow in building design process using the parameter-based design structure matrix(Bilkent University, 2003) Pektaş, Şule TaşlıThe Architecture/Engineering/Construction (AEC) industry is one of the multidisciplinary domains in which collaboration among related parties is of utmost importance. Despite the intense flow of information between design professionals, there is a lack of research to better understand and manipulate these flows. Most of the current process modeling tools in the AEC industry do not enable analyses of iterative information cycles. Moreover, these tools represent the process at high levels, thus, they are inappropriate for multi-parameter problems like building design. With a view to alleviate these problems, this thesis introduces the use of parameter-based design structure matrix as a process modeling and system analysis tool for building design. The method reveals insights into the process structure, optimum sequence of parameter decisions, iterative cycles and concurrency in the process. A framework for parameter-based DSM applications in building design is proposed and the application of the framework is demonstrated through two case studies on real life building design problems. Keywords: Collaborative Building Design, Design Integration, Design Management, Design Process Modeling, Information Flow, and Parameter-based Design Structure Matrix.Item Open Access Alternatives in debt management : investigation of Turkish debt in an overlapping generations general equilibrium framework(Bilkent University, 2003) Voyvoda, EbruThe purpose of this dissertation is to investigate the fiscal policy alternatives on debt management, cohort welfare and growth for the Turkish economy. The dissertation is decomposed into two major parts. The first part outlays the issue of debt management and examines the macroeconomic effects of the current austerity program in Turkey, and illustrates the sensitivity of the program targets to growth shocks. The second part takes one step further to develop fiscal policy alternatives on debt management with emphasis on “productive expenditures” of the public sector and endogenous sources of growth. To this end, a large-scale, overlapping generations general equilibrium model with intertemporally optimizing agents and open capital markets, calibrated to the Turkish economy in 1990s, is developed. The results indicate that the current fiscal program based on the primary surplus objective succeeds in constraining the explosive dynamics of debt accumulation, yet suffers from serious trade-offs on growth and fiscal targets. The main suggestion of this study is that alternatives of fiscal programming do exist and it is important to carefully weigh the dilemmas and merits of each of these alternatives.Item Open Access Five essays on monetary policy applications in an open economy under economic uncertainty and shocks(Bilkent University, 2004) Dinçer, Nazire NergizIn this dissertation, we analyzed the monetary policy applications under uncertainty and shocks and their effects on the economy. The uncertainties we concern are inflation uncertainty and exchange rate risk, whereas the shocks are the unexpected exchange rate shocks, change in parity and capital flights. The case study is Turkey, except the analysis on inflation uncertainty, which is on G-7 countries. The analyses on inflation uncertainty suggest that inflation increases inflation uncertainty for G-7 countries, whereas inflation uncertainty decreases inflation for four countries. Therefore, when uncertainty is high, the central bank reduces those real costs at the margin by reducing inflation. On the other hand, the effects of exchange rate risk are an increase in prices, a depreciation of the real exchange rate, and a decrease in the output. In the face of unexpected currency depreciation or appreciation, the economic activity decreases. The effects of an improvement in the USD-Euro parity on an open economy, where the denomination composition of trade is asymmetric is an appreciation of the real exchange rate, an increase in the relative income and an improvement in the trade balance. The empirical analyses on capital outflows suggest that growth decreases, inflation increases and exchange rate depreciates, which are critical negative signals for an economy. Overall this dissertation suggests that when designing a policy program, it is important to consider the possible deviations from the policies. Otherwise, it would not be possible to achieve the targets, moreover the costs would be too high for the economy.Item Open Access An investigation of the effects of population dynamics on growth and trade in an overlapping-generations general equilibrium model(Bilkent University, 2004) Jelassi, Mohamed MehdiIn this study, variants of a two-sector, two-factor overlapping-generations model are solved under autarky and free trade scenarios to investigate the effects of population dynamics on growth and trade. Simulation exercises are also performed to develop a deeper understanding of the analytical findings and to visualize the time paths of model variables. These numerical exercises complement analytical solutions, providing significant insights into the nature of initial conditions affecting growth and convergence performance of closed economies. Concerning open economies, possible implications of population growth differentials for the patterns of trade flows between economies that are identical except for population growth rates are explored as in the static Heckscher-Ohlin model. Our analysis shows that population growth rate differentials give way to differences in relative commodity and factor prices, creating the basis for comparative advantages in the same way as suggested by the static Heckscher-Ohlin model. We also show that these demographic differences prevent comparative advantages from getting eliminated in the long-run, thereby allowing trade to continue to occur even after the steady state is reached. Our solutions reveal, however, that trade does not necessarily improve welfare for both parties in the long-run. The explanation we offer for this nicely complements previous studies that obtained similar results using overlapping-generations general equilibrium models within two country set-ups with steady populations.Item Open Access Quality and production control with opportunities and exogenous random shocks(Bilkent University, 2005) Toy, Ayhan ÖzgürIn a production process, opportunities arise due to exogenous or indigenous factors, for cost reduction. In this dissertation, we consider such opportunities in quality control chart design and production planning for the lot sizing problem. In the first part of the dissertation, we study the economic design of X control charts for a single machine facing exogenous random shocks, which create opportunities for inspection and repair at reduced cost. We develop the expected cycle cost and expected operating time functions, and invoking the renewal reward theorem, we derive the objective function to obtain the optimum values for the control chart design parameters. In the second part, we consider the quality control chart design for the multiple machine environment operating under jidoka (autonomation) policy, in which the opportunities are due to individual machine stoppages. We provide the exact model derivation and an approximate model employing the single machine model developed in the first part. For both models, we conduct extensive numerical studies and observe that modeling the inspection and repair opportunities provide considerable cost savings. We also show that partitioning of the machines as opportunity takers and opportunity non-takers yields further cost savings. In the third part, we consider the dynamic lot sizing problem with finite capacity and where there are opportunities to keep the process warm at a unit variable cost for the next period if more than a threshold value has been produced. For this warm/cold process, we develop a dynamic programming formulation of the problem and establish theoretical results on the optimal policy structure. For a special case, we show that forward solution algorithms are available, and provide rules for identifying planning horizons. Our numerical study indicates that utilizing the undertime option results in significant cost savings, and it has managerial implications for capacity planning and selection.Item Open Access 3+1 Essays on the Turkish economy(Bilkent University, 2005) Yücel, Mustafa ErayThis dissertation comprise of four essays. The first essay studies the relationship between treasury auction maturity and auction interest rates. Using the Turkish auction data from 1988 to 2004, a reciprocal linkage between auction interest rates and maturities is observed, especially for the 1995-2000 period. This suggests that under an adverse shock, treasury decreases the auction maturity in order not to increase interest rates too much. A change in this reciprocal relationship is also reported for the post-2001 era. The second essay assesses the effect of USD-Euro parity on a small open economy for an economy where its exports are predominantly denominated in Euros and imports are denominated in USD. The empirical evidence suggests that a positive innovation in USD-Euro parity appreciates the local currency, decreases inflation and increases output. The third essay studies the relationship between on-budget and off-budget expenditures in Turkey and concludes that information content of the budget deficit statistics is not empty; however, it might be misleading in assessing fiscal stance for Turkey. The final essay investigates the connection between Turkish industrial production performance and the success of a popular Turkish football team, namely Fenerbahce. The success of Fenerbahce is interpreted as a proxy for the workers' mood or morale. Performing a transfer function analysis on my monthly data set, I reveal a positive feedback from Fenerbahce's success, which proxies workers' mood/morale, to economic performance. Evidence of the effects of games against domestic rivals on industrial performance is not statistically significant.Item Open Access Labor market implications of multinational enterprises(Bilkent University, 2007) Sağlam, BaharIn this dissertation, the labor market implications of increased foreign Firm activity in the local economy are studied by using a heterogeneous matching model framework. There are a number of unskilled and skilled job seekers, and a number of job vacancies posted by local and foreign firms. In this set up, where all workers can engage in on-the-job search, equilibrium conditions and Nash bargaining approach allows derivation of wages for different types of workers and Firms. Results suggest that wages are a weighted average of labor productivity and unemployment benefit, where the weight depends on the bargaining power of the workers, labor market tightness and the mass of local and foreign vacancies. Results suggest that levels of wages paid by the foreign Firm need not always be greater than that paid by the local Firm. In fact, the wage differential is found to depend on relative costs, skill endowment and the technological gap between local and foreign Firms. An increase in the foreign presence, measured as an increase in the extent of foreign Firm vacancy creation, can occur because of an exogenous change in cost of job creation- public policy, technological improvements and skill upgrading. In this context, depending on the cause of an increase in foreign presence we end up with differential relative wage effects. On the other hand, skill intensity of the foreign Firms and restrictions on labor mobility from foreign to local Firms play a crucial role in explaining wage differentials and unemployment.Item Open Access Three essays on monetary policy modeling : applications of inflation targeting(Bilkent University, 2008) Yüksel, EbruThis dissertation is made up of three essays on modeling monetary policy in a New Keynesian framework. The first essay presents an overview of the evolution of New Keynesian view. Since most of the studies in monetary policy literature employ New Keynesian models due to their power in accounting for price rigidities, microeconomic foundations and various monetary policy rules; such a survey improves our understanding of the type of theoretical and empirical research that has so far been conducted to analyze monetary policy within a New Keynesian framework. This first essay also gives a detailed derivation of structural relationships developed from microfoundations. The second essay examines the behavior of Taylor-type monetary policy rule by introducing interest rate pass-through in a New Keynesian setting with backward looking components. A simulation is performed to analyze the behavior of policy instrument and pass-through relationship under inflation targeting. The main contribution of this essay is the introduction of interest rate pass-through into a New Keynesian structural model for the first time. Besides, as differently from the previous literature, the structural model allows for time-varying parameters (TVP) not only for the parameters of the monetary policy rule but also for the coefficients of the interest rate passthrough and other dynamics of the system. This is a salient feature of the analysis here, since previous studies in this field typically allow for variation over time of parameters of the monetary policy rule alone. However, having TVP specification for all parameters of the model provides the flexibility of examining the impact of policy changes over the monetary policy rule, interest rate pass-through and other dynamics of the system. The last important aspect of the second essay is the use of Extended Kalman Filter (EKF) as the estimation technique. That EKF is not widely employed for estimating nonlinear systems in this field makes this study significant in demonstrating the strength of EKF in predicting TVP models. The results of the simulations carried out within this essay revealed that long-term interest rate and interest rate pass-through specification are essential ingredients to be included in monetary policy analysis. The last essay investigates whether inflation targeting programs have altered the pattern of inflation and its variability for five developed countries and four emerging economies implementing inflation targeting programs. A generalized autoregressive conditional heteroscedasticity (GARCH) specification is used to model inflation variability, which accounts for public perception of the future levels of inflation variability − conditional variance. We found that implementation of inflation targeting program has changed the public perception towards inflation only in Australia, Chile, Sweden and the UK, indicating limited empirical support for the lower inflation and its variability for the inflation targeting regimes.
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