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.

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.

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.

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.

Financial crises which usually arises due to the lack of  regulatory oversight  cause the  decline in the economic activites which is going on a global scale in a so complex way.In this study we investigate the shadow banking system which is the primary cause of the 2008 global financial crisis which is a also called the worst financial crisis after the 1929 great depression.In the study the term “Subprime Mortgage” which is the underlying cause of the 2008 crisis will also be explained in details.