This paper examines the impact of illiquidity and liquidity risk on expected stock returns in the Turkish stock markets. Using daily data of the ISE-100 stock index from 2005 to 2012 and Amihud (2002) illiquidity measure, we test the liquidity-adjusted capital asset pricing model (L-CAPM) of...

The goal of this paper is to examine the sustainability of the trade deficit of Turkey with cointegration techniques allowing for structural breaks. We follow Husted (1992) model, which shows that if a country’s exports and imports are cointegrated, and if the cointegrating vector is (1,-1),...

We present Turkey’s manufacturing-sector innovation data and, for the first time, analyze likely relationships among GDP growth, sectoral innovation intensities, energy consumptions, and energy-saving potentials. We detect a power-law-like relationship between the projected energy-saving...

Energy Service Companies (ESCOs) are private sector instruments that offer energy-/emission-improvement (energy saving, energy efficiency, energy conservation, emission reduction) projects in the developed and in some developing countries. Literature reveals that energy-/emission-improvements of...

This paper considers estimating the conditional mean and variance from a single-equation dynamic model with the mean following an ARMA (1,7) process, and the conditional variance with time-dependent conditional heteroskedasticity as represented by ARCH models. The volatility is measured by a...

Exploiting an exogenous increase to capital charges from cross-border banking laws as a source of variation in loan retention, this paper shows that banks relax contractual restrictions and originate riskier loans. The probability of default increases by 7 percentage points (45% in relative...

In this paper, we document a link between interest-on-excess-reserves (IOER) and global banks' internal capital markets. We find that foreign bank affiliates in the U.S. receive less funding from their parent banks when their home Central Bank increases the rate paid on excess reserves. We find...

We study the impact of ring-fencing on bank risk using short-term repo rates. Exploiting confidential data on the near-universe of sterling-denominated repo transactions, we find compelling evidence that banking groups subject to ring-fencing are perceived to be safer; repo investors lend to...

We study the impact of ring-fencing on bank risk using short-term repo rates. Exploiting confidential data on the near-universe of sterling-denominated repo transactions, we find compelling evidence that banking groups subject to ring-fencing are perceived to be safer; repo investors lend to...