The thesis consists of three self-contained essays on public policy in the macroeconomy. “Government Policy in the Formal and Informal Sectors” quantitatively investigates the interaction between the firms' choice to operate in the formal or the informal sector and government policy on taxation and enforcement. Taxes, enforcement, and regulation are incorporated in a general equilibrium model of firms differing in their productivities. The model quantitatively accounts for the keys aspects in the data and allows me to back out country-specific enforcement levels. Some policy reforms are analyzed and the welfare gains can be fairly large. “Determinants of Capital Intensive and R&D Intensive Foreign Direct Investment” studies the determinants of capital intensity and technology content of FDI. Using industry data on U.S. FDI abroad and data on many different host countries' institutional characteristics, we show that there is a differential response of FDI flows to investment climate according to the capital intensity of the industries receiving the investments. We find that better protection of property rights has a significant positive effect on R&D intensive capital flows. We find evidence that an increase in workers' bargaining power results in a reduction of both kinds of FDI. “Ambiguity Aversion, the Equity Premium, and the Welfare Costs of Business Cycles” examines the relevance of consumers’ ambiguity aversion for asset prices and how consumption fluctuations influence consumer welfare. First, in a Mehra-Prescott-style endowment economy, we calibrate ambiguity aversion so that asset prices are consistent with data: a high return on equity and a low return on risk-free bonds. We then use this calibration to investigate how much consumers would be willing to pay to reduce endowment fluctuations to zero, thus delivering a Lucas-style welfare cost of fluctuations. These costs turn out to be very large: consumers are willing to pay over 10% of consumption in permanent terms.

This study investigates the degree of exchange rate pass-through to prices in different sectors for Turkish economy using Johansen Cointegration procedure. The study is based on quarterly data from 1994:1 to 2003:4. In this study it is concluded that the long-run exchange rate pass-through to overall wholesale prices for Turkey is very high and nearly complete. High pass-through degrees are also valid for different sub-sectors wholesale prices like private, public, manufacturing industry and energy. Moreover, it is detected that the prices set by public sector have higher exchange rate pass-through but longer adjustment period as compared to private sector prices.

This thesis analyzes the efficiency structure of Turkish agriculture in farm household level by using various models of stochastic frontier analysis. A household level survey conducted in 2002 and 2004 is used in the analysis. Firstly, an efficient production frontier is estimated by a panel data models. By using these estimates, relative importance of production factors and their interaction with various farm specific factors are inspected. The parameters of production frontier show that agricultural production is crucially dependant on land and there is an excessive employment of labor in Turkish agriculture. Secondly, the efficiency scores are estimated at farm household level. The results are reported according to NUTS-II regional classification and many other farm specific characteristics. The western parts of the country are found to be relatively more efficient and there is a high deviation in mean efficiencies of different regions. There is an increase in mean efficiencies of all regions from 2002 to 2004. Besides, crop patterns, farm size, education level of household chief and irrigation are found to be effective on efficiency.

In this thesis I examine, within a behavioural finance framework, the impact on stock prices of order and trade imbalance in three separate but related studies. The first study, chapter two, begins with a question that plagues behavioural finance theories???do the investors most likely to be influenced by the behavioural biases described in the literature, i.e., individual investors, affect stock prices? My data enable me to consider the impact of net individual investor trading for the entire market over several years. I find that net individual investor purchasing Grangercauses stock price changes. The correlation is negative, however, contradicting common sense by demonstrating that individuals investor buying pressure makes prices go down and selling pressure forces them up. More investigation is required. Chapter three references order imbalance results from experimental finance. I use field data to test a robust laboratory model and my modified versions. My findings suggest that, with appropriate modifications, laboratory results can be applied to real financial markets. Chapter four combines the data from the chapters two and three to revisit the question of individual investor impact on stock prices. Other studies have argued that individual investor influence is strongest in smaller capitalization stocks. Moreover, various theories propose that individual investors are the driving force behind the irrational stock prices of a bubble. I focus on the stocks from chapter three, bubble stocks, and ask whether, in the context of the trading of the entire market, individual investor trades are influential. Once again I find Grangercausality, but in the wrong direction. Moreover, the activity and volume of the individual investor category of the holdings data is completely overshadowed by that of the two large investor categories, domestic and foreign institutions. I conclude that individual investor trades are not influential in determining stock prices. This conclusion has important implications for some behavioural finance models of asset pricing. I suggest that emphasis might be better placed on educating individual investors about the errors to which they are prone, rather than on trying to explain market anomalies with those errors.

In this thesis I examine, within a behavioural finance framework, the impact on stock prices of order and trade imbalance in three separate but related studies. The first study, chapter two, begins with a question that plagues behavioural finance theories???do the investors most likely to be influenced by the behavioural biases described in the literature, i.e., individual investors, affect stock prices? My data enable me to consider the impact of net individual investor trading for the entire market over several years. I find that net individual investor purchasing Grangercauses stock price changes. The correlation is negative, however, contradicting common sense by demonstrating that individuals investor buying pressure makes prices go down and selling pressure forces them up. More investigation is required. Chapter three references order imbalance results from experimental finance. I use field data to test a robust laboratory model and my modified versions. My findings suggest that, with appropriate modifications, laboratory results can be applied to real financial markets. Chapter four combines the data from the chapters two and three to revisit the question of individual investor impact on stock prices. Other studies have argued that individual investor influence is strongest in smaller capitalization stocks. Moreover, various theories propose that individual investors are the driving force behind the irrational stock prices of a bubble. I focus on the stocks from chapter three, bubble stocks, and ask whether, in the context of the trading of the entire market, individual investor trades are influential. Once again I find Grangercausality, but in the wrong direction. Moreover, the activity and volume of the individual investor category of the holdings data is completely overshadowed by that of the two large investor categories, domestic and foreign institutions. I conclude that individual investor trades are not influential in determining stock prices. This conclusion has important implications for some behavioural finance models of asset pricing. I suggest that emphasis might be better placed on educating individual investors about the errors to which they are prone, rather than on trying to explain market anomalies with those errors.

Diss. Stockholm : Handelshögskolan, 2006.

Thesis (Ph. D.)--University of California, San Diego, 1998. / Vita. Includes bibliographical references (leaves 298-321).

Thesis (Ph. D.)--University of Missouri-Columbia, 1997. / Typescript. Vita. Includes bibliographical references (leaves 250-275). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 1997. / Typescript. Vita. Includes bibliographical references (leaves 250-275). Also available on the Internet.

Thesis (M. Sc.(Urb. Plan.))--University of Hong Kong, 1992. / Workshop report. Includes bibliographical references (leaf 70-75).