Economic theories and models

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• TANJU YORULMAZER

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This paper provides an overview of the analysis of the term structure of interest rates with a special emphasis on recent developments at the intersection of macroeconomics and finance. The topic is important to investors and also to policymakers, who wish to extract macroeconomic expectations from longer-term interes…

• REFET SOYKAN GÜRKAYNAK

We construct nationally representative firm-level longitudinal data for European countries using financial statements from the Orbis database.We validate our data by comparing its coverage and firm size distribution to official statistics.We showcase two applications to show the importance of firm representativeness i…

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• TOLGA OMAY

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• TANJU YORULMAZER

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Costly bankruptcy and incomplete markets cause inefficient liquidity hoarding. Banks are unable to trade contingent claims to liquidity, so they raise cash by selling illiquid assets on spot markets. Such trading increases asset-price volatility and creates the incentive to hoard liquidity. Hoarding creates a second i…

• TANJU YORULMAZER

As the number of bank failures increases, the set of assets available for acquisition by surviving banks enlarges but the total liquidity available with surviving banks falls. This results in “cash-in-the-market” pricing for liquidation of banking assets. At a sufficiently large number of bank failures, and in turn, a…

• TANJU YORULMAZER

In February 4, 1994 the Federal Reserve began the practice of announcing changes in the targeted level for the federal funds rate immediately after such decisions were made. This paper investigates to what extent the policy of "the announcement" affected a key ingredient in the monetary transmission mechanism: the ter…

• SELVA DEMİRALP CUDA

In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a Polish space. At each time, the agents are coupled through the empirical distribution of their states,…

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