Browsing by Subject "Money supply."

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Open Access
Shoe-leather and 'bricks-and-mortar' as inputs into transaction technology
(2007) Başdaş, Ülkem
This thesis explains the difference between the long run and short run income and interest elasticities of money demand by the presence of a fixed input into the creation of transactions in a cash-in advance model of money demand. This structure implies a time element for the response of money demand to changes in income and interest. The implication of the fixed input into the consumer’s transactions technology causes the income elasticity of money demand to be more elastic in short run whereas the interest rate elasticity to be more elastic in the long run. Besides, the presence of a fixed input provides a micro foundation for price stickiness and a time dynamic welfare cost of inflation. Empirical evidence from the US over 1959:1 – 2006:4 period verifies the predictions of our theoretical model on elasticities. To demonstrate that the theoretical model explains observed price stickiness, we use the empirical model to derive a version of the P-Star model of sticky prices. The estimated parameters point out the higher relative productivity of fixed input than of variable input, and a considerably high welfare cost of inflation.
Open Access
Three essays on the behavior of French stocks cross-listed on the German stock markets
(2002) Bayar, Aslı
The behavior of French stocks that are cross-listed on the German stock markets is analyzed in this study. Using a sample of stocks that are listed both on the Paris Bourse and the Xetra, it is found that there is no change in the systematic risk for the domestic market (the Paris Bourse) and the foreign market (the Xetra) suggesting the integration of these markets for the overall sample. However, the findings with respect to the world market make the integration of the French stock markets with the world market questionable. Furthermore, the analysis of abnormal returns suggests that for some portfolios, such as the small- and medium-sized portfolios, the high book-to-market value ratio portfolio and the manufacturing, retailing and finance sectors, the markets may not be integrated. The second chapter analyzes the changes in the liquidity and price volatility of the French stocks that are cross-listed on the Xetra. It is found that liquidity declines and the volatility of the stock prices increases after cross-listing for many stocks in the sample. These findings are against the expectations, since an increase in liquidity and a decline in volatility are expected, if the markets are integrated. Finally, in the third chapter, price adjustment process between the two stock markets is examined by cointegration analysis. It is observed that between the French and the German stock markets there is a relationship and most of the time the stock prices on the German stock markets follow the stock prices on the French stock markets.