The inflation and inflation uncertainty relationship for Turkey: a dynamic framework

This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using monthly data for the time period 1984–2009. The bulk of previous studies investigating the link between inflation and inflation uncertainty employ Autoregressive Conditional Heteroskedasticity (ARCH)-type models, which consider inflation uncertainty as a predetermined function of innovations to inflation specification. The stochastic volatility in mean (SVM) models that we use allow for gathering innovations to inflation uncertainty and assess the effect of inflation volatility shocks on inflation over time. When we assess the interaction between inflation and its volatility, the empirical findings indicate that response of inflation to inflation volatility is positive and statistically significant. However, the response of inflation volatility to inflation is negative but not statistically significant.     

The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework

This paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the monthly United States data for the time period 1976–2006. In order to investigate the effect of inflation uncertainty innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture the innovation to inflation uncertainty, which cannot be achieved in the framework of popular deterministic ARCH type of models. Empirical evidence provided here suggests that innovations in inflation volatility increases inflation persistently. This evidence is robust across various definitions of inflation and different sub-periods.     

Using customer lifetime value to plan optimal promotions

The purpose of this study is to develop a methodology to guide managers in determining the optimal promotion campaigns to be directed towards different market segments in order to maximize the value of customers. For the purposes of this study, a two-step methodology is used, based on stochastic dynamic programming and the classification and regression tree. This methodology groups the customers according to their value. Within this framework, an experiment is conducted in which each of the different promotion campaigns is assigned to different randomly selected groups. The impact of each type of promotion on each type of market segment is analysed in order to find the optimal promotion campaigns appropriate for each. In contrast to previous research, this study takes into account a firm that provides more than one specific type of product or service. In addition, it analyses the impact of widely used types of promotion campaigns compared with the narrow scope of those investigated in previous studies. Therefore, this research presents important insights into managing relations with the customers in a more interactive and profitable way.     

Performance of inflation targeting in retrospect

Both inflation and inflation expectations declined considerably in the inflation targeting countries during the past two decades. The questions of whether this decline has actually been an outcome of inflation targeting solely and whether inflation targeting has been successful in stabilizing other macroeconomic variables though remain. This study considers these questions on the basis of 16 inflation targeting countries and 21 non-targeting ones using a difference-in-difference approach. With regard to the baseline period of 1996–1999 during which neither of the groups was implementing inflation targeting, a difference-in-difference approach was employed to assess the effects of inflation targeting on inflation, output growth, real exchange rates, inflation volatility and real exchange rate volatility during moving 4-year periods between 2007 and 2015. Our estimates suggest that inflation targeting was superior in terms of harnessing inflation as well as inflation volatility. In terms of economic growth, however, inflation targeting seems to be neutral and in terms of real exchange rates it seems not to be stabilizing, if not de-stabilizing. A hybrid version of inflation targeting, namely the conventional inflation targeting augmented by an improved capacity to deliver macro-prudence as in the post-Lehman economic climate, can therefore be viewed as the best available policy alternative for the upcoming decades.     

Factors Affecting Attendance of Major League Baseball: Revisited

Many studies have been conducted analyzing factors affecting the demand for Major League Baseball (MLB) games. This paper revisits the factors affecting the long-run demand for attendance, employing an unbalanced panel technique for all home games played over the period from 1979 to 2004 seasons for the 12 non-expansion, non-adjustment teams from MLB. Combining both teams and every home game played during 1979–2004 seasons, dimensions provide better understanding of long-run demand for attendance. The study finds that time factors, fan interest, city characteristics, team’s performance, and fan’s attendance behavior have strong influences on the game attendance.     

Evaluating R&D performance of EU countries using categorical DEA

Over the coming decade, Research and Development (R&D) performance will be the key component of bringing innovation and the determinant of global competitiveness of nations. Therefore, this paper presents categorical Data Envelopment Analysis (DEA) for evaluating R&D performance of European Union (EU) countries. We utilise the output-oriented constant returns to scale (CRS) and variable returns to scale (VRS) DEA models with categorical data, namely, CAT-O-C and CAT-O-V models. In addition to DEA based framework, to examine the relationship between R&D performance and political-regulatory-economic situation of the countries; three research hypotheses are stated and their results are analysed. Policy implications about R&D activities can be derived for EU countries from the findings of this study.     

Pricing pension buy-outs under stochastic interest and mortality rates

Pension buy-out is a special financial asset issued to offload the pension liabilities holistically in exchange for an upfront premium. In this paper, we concentrate on the pricing of pension buy-outs under dependence between interest and mortality rates risks with an explicit correlation structure in a continuous time framework. Change of measure technique is invoked to simplify the valuation. We also present how to obtain the buy-out price for a hypothetical benefit pension scheme using stochastic models to govern the dynamics of interest and mortality rates. Besides employing a non-mean reverting specification of the Ornstein–Uhlenbeck process and a continuous version of Lee–Carter setting for modeling mortality rates, we prefer Vasicek and Cox–Ingersoll–Ross models for short rates. We provide numerical results under various scenarios along with the confidence intervals using Monte Carlo simulations.     

Turkish monetary policy and components of aggregate demand: a VAR analysis with sign restrictions model

This article estimates the effects of monetary policy on components of aggregate demand using quarterly data on Turkish economy from 1987–2008 by means of structural Vector Autoregression (VAR) methodology. This study adopts Uhlig's (2005) sign restrictions on the impulse responses of main macroeconomic variables to identify monetary shock. This study finds that expansionary monetary policy stimulates output through consumption and investment in the short-run. However, expansionary monetary policy is ineffective in the long-run.