Econometrics Commons^™

Usability Of Bitcoin As Currency In Türkiye: Fourier Shin Approach, İsmail Cem Özkurt, Deniz Özyakışır, Yunus Kutval

The Indonesian Capital Market Review

This paper seeks to assess the feasibility of utilizing Bitcoin as a currency within Türkiye. To achieve this, the research analyzes long-term cointegration relationships between Bitcoin and both the US Dollar and Euro, employing monthly data from November 2017 to February 2025 and utilizing the Fourier Shin cointegration test. The results of the cointegration tests, bolstered by Fourier series analysis, reveal significant long-term cointegration relationships between Bitcoin and both the USD and Euro. The DOLS analysis indicates that a 1% rise in Bitcoin leads to a 14% decrease in the USD price and a 17% increase in the Euro. These …

The Relationship Between Government Bailouts And Risk-Taking Behavior In Banks: A Case Study From The Great Financial Crisis Of 2008-09, Derek J. Cameron

Economics Working Papers

This study seeks to determine whether the expectation of a government bailout in the event of a crisis incentivizes ex ante risk-taking in banks. Although this subject has been the subject of extensive research in both economics and finance, this specific paper differs from existing literature in that it uses a strictly empirical methodology with minimal theoretical modeling and few assumptions about the banking sector, while also considering the entire banking sector and limiting itself exclusively to ex ante bank investment decisions. This study employs data compiled from various sources about 11 American banks of various sizes between January 2002 …

Fiscal And Monetary Policies For Inclusive Growth In Developing And Emerging Markets, Collins Anosike

Journal of Global Awareness

The study examined the effects of monetary and fiscal policies in attaining inclusive growth for some developing countries and emerging markets. The study selected 20 countries and grouped them into group one and group two. The study is unique because it captures a broader range of countries compared to previous studies and shows their effect on economic growth. We use panel data and employ OLS regression and Johansen cointegration. We examine how each variable, general government expenditure, gross national expenditure, total revenue, official exchange rate, broad money, and deposit interest rate, affects the dependent variable (real GDP) from 1980 to …

Manipulation Or Monetization?: The Rise Of Stock Buybacks And Their Effects On Firm Valuation And Investment, Thomas H. Serrano

Economics Undergraduate Honors Theses

Abstract:

This thesis uses basic econometrics to examine the relationship between stock buybacks, firm valuation, and investment among publicly traded firms from 2000-2024. Using firm-level data pulled from Compustat North America and a fixed-effect multivariate regression, it evaluates whether buybacks are associated with higher valuation and stronger productive investment as defined in the paper. The results show that buybacks are positively associated with firm valuation the first year that they occur, but the relationship disappears when they are lagged for a year. Furthermore, the analysis does not find strong statistical evidence that repurchases are associated with changes in investment, or …

Evaluating The Role Of Bank Specific, Macroeconomic, And Institutional Factors In Determining Banking Sector Performance: Evidence From South Asian Economies, Samia Nasreen, Mehwish Gulzar, Xuan-Hoa Nghiem, Saira Arsh

Bulletin of Monetary Economics and Banking

This study investigates the bank-specific, macroeconomic, and institutional factors affecting the performance of the banking sector specifically profitability and stability in South Asian countries from 2011 to 2020. Using a two-step system GMM estimation method on a balanced panel dataset, the study identifies key determinants, including bank size, operating expenses, economic growth, exchange rates, and economic freedom. Institutional factors, particularly corruption, significantly influence banking sector profitability and stability. The findings offer several policy recommendations to enhance banking sector performance in the region.

The Economics Of Accountability: Learning From German Holocaust Reparations, Grace I. Gates

Scripps Senior Theses

Drawing on microdata from the Survey of Health, Aging, and Retirement in Europe, this study compares European Holocaust survivors who received reparations with similar Europeans who did not. It finds that, decades on, recipients are not systematically better or worse off on core outcomes like life satisfaction, savings, and debt. This is consistent with the argument that reparations restore parity rather than create new advantages. Where differences emerge, they point to stabilization in more vulnerable settings (e.g., lower likelihood of high debt in parts of Eastern Europe). The main takeaway from effective reparations is applicable to the United States debate: …

Forecasting The Unpredictable: The Bullwhip Effect In The Toy Industry, Mannat Sethi

CMC Senior Theses

This thesis investigates the bullwhip effect, the amplification of demand variability as it moves upstream in a supply chain, with a focus on the toy industry, and comparative analysis with the technology and consumer goods sectors. Using annual data from 1993 to 2024, the study analyzes production and retail growth for Mattel, Hasbro, Intel, and Procter & Gamble to assess how variance between consumer demand and firm output has changed over time. Bullwhip ratios are calculated as the variance of production growth divided by the variance of retail growth across two periods: 1993–2008 and 2009–2024.

The findings show that toy …

From Static Λ To Moving Penalties: Dynamic Regularization In Mean-Variance Portfolio Choice, Ariel Santiago

CMC Senior Theses

This thesis evaluates whether dynamically tuned weight penalties can improve high-dimensional mean-variance portfolio choice. Classical Markowitz portfolios perform poorly when the number of assets is large relative to the data, because small estimation errors in means and covariances can generate extreme, fragile allocations. A common remedy is to regularize the weights using L1 (lasso), L2 (ridge), or elastic-net penalties, but these are typically chosen once and held fixed. Using monthly excess returns on the 48 Fama-French industry portfolios from January 2010 to June 2025, this thesis compares penalized mean-variance and minimum-variance strategies under long-only and long-short constraints, with and without …

Algorithmic Trading In Idiosyncratic-Payoff Markets: A Multi-Agent System For On-Chain Prediction Contracts, Saif Aldeen A.K. Agha

CMC Senior Theses

This thesis documents the design, deployment, and forward-test evaluation of an evolutionary multi-agent algorithmic trading system on Polymarket, the largest decentralized prediction market. The system pairs a locally-hosted 72-billion-parameter language model with a gradient-boosted statistical filter and an evolutionary selection mechanism that maintains a population of approximately 500 autonomous trading agents. Each agent generates a probability estimate for an event, compares it to the prevailing market price, and trades the resulting disagreement.

The central empirical exercise estimates a panel regression of trade-level profit on the absolute disagreement between the agent's probability estimate and the market price, controlling for agent identity, …

Volatility Modeling With An Application To Risk Parity Portfolios, Kenneth Hou

CMC Senior Theses

This thesis studies volatility modeling in the context of risk parity portfolio construction. I compare three risk parity portfolios that differ only in their underlying volatility model: a historical covariance baseline, a Bayesian stochastic volatility model, and a GRU–GARCH hybrid neural network. Using daily returns on Kenneth French’s five industry portfolios from January 2016 through December 2025, I construct monthly rebalanced portfolios under each model, with the SV and GRU forecasts embedded in hybrid covariance matrices that combine forecasted volatilities with rolling historical correlations. The results document a divergence between forecast accuracy and portfolio performance: the SV model is the …

Trading Volume And Forecast Accuracy In Kalshi Prediction Markets, Nicholas Smole

CMC Senior Theses

This thesis examines the accuracy of Kalshi prediction markets and how different measures of trading volume shape their calibration and predictive power. Expanding upon previous models, use nonparametric calibration curves, pseudo-likelihood regressions, and Brier-score regressions on a large panel of Kalshi contracts to compare the effects of ex-post total volume and cumulative trading volume on market accuracy. Markets are typically well-calibrated near expiration; however, at longer horizons, low-volume markets exhibit substantially more miscalibration. Holding time to expiration fixed, greater cumulative volume is associated with higher accuracy. In comparison, higher ex-post total volume is associated with lower accuracy, highlighting the importance …

Entropic Foundation Of Finance And Physics: Securities Price Dynamics And Quantum Theory, Mohammad Abedi

Electronic Theses & Dissertations (2024 - present)

In many scientific and financial contexts, we must reason and make predictions under conditions of incomplete information. This dissertation develops Entropic Dynamics (ED) as a unified framework for deriving dynamical laws directly from principles of inference. Within this approach, probability distributions represent states of knowledge, and their evolution is determined through entropy maximization subject to relevant constraints. This leads to a novel concept of entropic time and a formulation of dynamics as an inferential process. In this talk, I will present how ED provides a common foundation across multiple domains. In physics, quantum dynamics for particles and scalar fields in …

The Problem With The Mode Of External Debt Servicing: The Case Of Nigeria, Shehu Tijjani Muhammed

Bullion

This study empirically tested the hypothesis that external debt servicing leads to debt accumulation using Nigeria as case study. The method employed combines logic and debt stock variation analysis. Results indicate that Nigeria has served interest on its external debt only to see its external debt stock increasing confirming the hypothesis. A reform is needed to enable the country retain the domestic income lost to international speculative capital to boost government revenue. A sovereign agency to intermediate between the indebted residents, exporters, and the banking system can be created to solve the problem.

The Conditional Nature Of The Value Premium: Interaction And Cross-Sectional Evidence Across Market Regimes, Samuel L. Klein

Honors Thesis

This thesis examines why value-based investment strategies generate strong returns in some environments yet weaken or collapse in others. Regressions test whether the performance of the book-to-market ratio depends on the investor’s perception of financial health as defined by F-Score and accruals. Across additive regressions, interaction models, cross-sectionals, and heatmap visualizations, a consistent mechanism emerges. The book-to-market effect is strongest when financial information is neither highly reliable nor severely distressed. In these “moderate-quality” environments, investors struggle to fully distinguish the transitory components of earnings from their persistent counterparts. This makes valuation ratios particularly influential. Accrual intensity and financial strength jointly …

Effects Of External Debt On Inflation In The West African Monetary Zone (Wamz), Collins Anosike

Journal of Global Awareness

This research examined the effect of external public debt on inflation in the West African Monetary Zone (WAMZ) using annual data from 1960 to 2022. The study selected the six member countries of WAMZ, namely: Gambia, Guinea, Nigeria, Sierra Leone, Liberia, and Ghana, to examine their economic well-being, growth performance, external debt, and inflation over a 63-year period. This study is unique because it examines three periods, namely: pre-WAMZ (1960 to 2000); during WAMZ (2001 to 2022); and the entire period (1960 to 2022), extends previous studies by using updated data, and then shows the long-run positive effect of external …

Investigating The Relationship Between Noun Classes And Plant Folk Taxonomy In Chasu Language Of Kilimanjaro Region In Tanzania, Peter Rabson Mziray

Journal of Humanities and Social Sciences

The current study investigates the relationship between noun classes and plant folk taxonomy in Chasu (G 22). The study focuses on two objectives: the first objective is to describe the plant folk taxonomy in Chasu and the second objective is to determine the relationship between noun classes and plant folk taxonomy in Chasu. Data were collected from rural villages in Same and Mwanga districts by using free listing, field interviews (jungle-walk-and-identify), and written texts containing Chasu plant names. The findings reveal that Chasu folk taxonomy reflects different ethnobotanical categories; including a unique beginner which is mmea/mimea ‘plant(s)’, and three life …

Analisis Dampak Kebijakan Insentif Fiskal Terhadap Tingkat Komponen Dalam Negeri (Tkdn) Industri Manufaktur Di Indonesia, Muhammad Muhammad, Riyanto Riyanto

Jurnal Kebijakan Ekonomi

Over the last decade, the manufacturing sector's contribution to Indonesia's economy has declined. In 2010, it was 29.10% of GDP, but by 2022, it had dropped to 19.14%. Employment in the sector also fell, from 14.91% of the workforce in 2010 to 13.80% in 2022. To reverse this trend, the government introduced a policy to boost the Domestic Component Level (DCL) in manufacturing. By offering fiscal incentives to industries meeting certain DCL targets, the government aims to drive economic growth and job creation. A study using BPS data from 2008-2019 shows that this policy raised DCL by 23.5%.

Volatility Of The Usd/Chf Exchange Rate At The Beginning Of The Covid-19 Pandemic, Anna Gaweł, Janusz Kudła

Journal of Banking and Financial Economics

Purpose

We address the problem of forecasting USD/CHF volatility at the beginning of the COVID-19 crisis. We chose popular currencies (Swiss franc and American dollar) in the period 1.07.2020 to 31.12.2020.

Design/methodology/approach

We employed several volatility models, including APARCH, EGARCH, GJR-GARCH, TGARCH, and GARCH-MIDAS, on high-frequency USD/CHF data. Particular emphasis was placed on asymmetric models to capture volatility asymmetry.

Findings

The highest volatility occurred during the first wave of the COVID-19 pandemic. Volatility forecasts are most accurate with EGARCH and GARCH-MIDAS models that incorporate long-term asymmetry, particularly when predicting volatility over a longer planning horizon. GARCH-MIDAS models with short-term asymmetry …

Nba Player Types And Salaries: Assessing The Disparities In Pay, Nick Riccardi, Rodney J. Paul

Sport Management - All Scholarship

The purpose of this study was to identify player types that exist in the modern National Basketball Association (NBA), test whether player types are paid differently controlling for performance and other factors and construct successful rosters with cheaper payrolls.
We collected performance statistics and salary data for players and teams across five seasons (2018-19 to 2022-23). Cluster analysis is leveraged to group together player-seasons to identify the player types that exist in the NBA. Linear regression models are run to test for differences in pay by cluster membership while controlling for performance, age, and contractual details. Linear programming simulation models …

Welfare Implication Of Alternative Tax Rates Adjustment Policy In Nigeria: A Dsge Analysis, Umar B. Ibrahim, Isah F. Abubakar

CBN Journal of Applied Statistics (JAS)

This study sets out to determine the desirable policy adjustment in the tax rate for Nigeria that ensures the least welfare cost. A calibrated small open-economy New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model of the Nigerian economy is applied to achieve this objective. Within this framework, we examined the impact of an increase in value-added tax (VAT) rate from 7.5 to 15 percent on key macroeconomic variables relative to the impact of an increase in company income tax (CIT) rate from 30 to 35 percent on macroeconomic variables. Furthermore, we examined the welfare costs of the increases in the …

Essays On Financial Econometrics, Yuexuan Ren

Dissertations and Theses Collection (Open Access)

This dissertation consists of two papers that contribute to the theory of estimation, inference, and prediction using high-frequency financial data. In the first chapter, time-varying betas from return regressions, commonly used to measure systematic financial market risk, are studied using high-frequency data. A novel econometric framework is introduced for the nonparametric estimation of these betas. The optimal finite-sample inference, in a well-defined sense, is enabled by the local Gaussian property of a generic continuous-time benchmark model under the fixed-k framework. Furthermore, a uniform functional inference theory for spot regressions is developed. The proposed methodology is broadly applicable in empirical settings, …

Valuation Of Crypto Assets On Blockchain With Deep Learning Approach, Xi Zhou, Yin Pang, Esther Ying Yang, Jing Rong Goh, Shaun Shuxun Wang

Research Collection School Of Economics

With the rapid expansion of the blockchain ecosystem, crypto asset valuation has become an essential area of study for investors and institutions. Here, we introduce a deep learning framework that was designed to predict the value index of crypto assets by integrating intrinsic value variables and decomposing market prices into value and sentiment components. The Crypto Asset Value-indexing Model (CAVM) was applied to Ethereum’s cryptocurrency ETH to demonstrate its effectiveness. Four econometric tests were conducted to verify the informativeness, predictiveness, and reasonability of the generated value indices, as well as the efficiency of price decomposition. Our findings suggested that the …

Mortgage Default Classification Modeling For Variable Analysis, Brendan R. Goggins

Honors College Theses

The financial crisis of the early 2000’s is a prime example of the severe consequences that mortgage default and borrower insolvency can have on economies at large. Mortgage default specifically is a prime case with the popularization of mortgage backed securities and the commonality of this loan structure. Multiple hypotheses and models have been formed to understand the reasons, causes, and consequences of mortgage default. This paper uses both machine learning and statistical classification models to inform an understanding of the variables most significant and impactful to the default outcome of mortgages. Consideration is given to both loan-level microeconomic variables …

The Secret Life Of Nim: How Regulation Affects Bank Balance Sheets And Consumer Consequences, Alexandra Nenish

Business and Economics Honors Papers

After the Great Recession of 2008, the Dodd-Frank Wall Street Reform and Consumer Protection Act was passed by the Obama Administration in 2010 with hopes to protect citizens against economic downturn spurred by poor banking behaviors. This act of federal financial oversight was unprecedented, and its magnitude and level of strictness caused banks to see an increase in costs, such as increases in personnel numbers and non-interest earning reserve requirements. This research analyzes how banks, specifically community banks, paid for these increased costs by focusing on the net interest margin (NIM). The NIM is a prominent profitability ratio for banking …

Effects Of Bureaucratic Corruption On Firms' Financial Constraints, Obinna Franklin Ezeibekwe

The Journal of Entrepreneurial Finance

This study provides the first empirical assessment of the causal impact of bureaucratic corruption on firms' financial constraints in Nigeria by calculating treatment effects using linear and non-linear estimators to account for potential heterogeneous treatment effects across firm groups. Formally, the theoretical framework models how corruption may facilitate or restrain firms' financial access by shaping their cost functions, which consequently influences their success or failure and ability to raise the collateral for borrowing. My analysis, using the bivariate probit method and two binary instruments, reveals that corruption significantly increases the probability of a representative MSME and firm being financially constrained …

Twitter Based Uncertainty And Stock Returns Connectedness In Case Of Selected Apec Countries, Badri Narayan Rath, Chinmaya Behera

Bulletin of Monetary Economics and Banking

The aim of the paper is to unravel evidence of non-linear causality and connectedness between Twitter-based uncertainty and stock market returns for selected APEC countries. By using a non-linear Granger causality test, the study finds that Twitterbased uncertainty causes stock returns of Japan and Singapore. Further, the results also confirm the presence of volatility spillover between Twitter uncertainty and stock returns. Thus, volatility spillover from Twitter-based uncertainty and financial market returns provides insights to investors on adjusting their investments between the countries.

The Impact Of Financial Inclusion On Inflation In The Mena Region: Oil Vs Non-Oil Countries, Jailan Elsaid

Theses and Dissertations

The study examines the impact of financial inclusion on inflation as a tool for monetary policy effectiveness in the MENA region, separating the analysis into oil and non-oil countries from 2004 to 2022. The Principal Component Analysis (PCA) technique is used to create a multidimensional index of financial inclusion through usage and access dimensions. Additionally, PVAR GMM estimation and Granger causality tests are implemented to analyze the dynamics and causality between financial inclusion and inflation, while controlling for other variables such as broad money, real effective exchange rate, and real GDP growth, which may influence the relationship according to the …

How Do Insurance Companies Manage Reserves? Evidence From Reserve Errors Across Lines Of Business And Accident Years, Jing Rong Goh, Shinichi Kamiya, Pingyi Lou

Research Collection School Of Economics

We study the question of how insurance companies manage reserves. Specifically, we investigate how managerial incentives affect insurers’ reserving practice across lines of business (LOBs) and accident years (AYs). Because the tax discount factor the tax authority assigns varies across LOBs and AYs, insurers with stronger tax-saving incentives will be inclined to manage reserves across both LOBs and AYs. In contrast, since the Risk Based Capital (RBC) regime specifies different industry worst-case factors across LOBs, insurers with stronger incentives to increase their RBC ratio will be inclined to manage reserves across LOBs. Regarding income-smoothing incentives, only the overall level (and …

Banking And The Wider Economy: Essays On Capital And Cross-Border Risks, Morgan Hunt

Dissertations, Theses, and Capstone Projects

Chapter 1: This paper examines the impact of growth in the banking industry’s capital and assets on real output growth at both aggregate and industry levels using a short-run factor-augmented vector autoregression (FAVAR) model across 19 NAICS two-digit industries from 2007Q1 to 2019Q4. Results reveal that changes in capital growth significantly affect output growth in the Manufacturing and Finance industries, while changes in risk-weighted assets impact the Construction, Manufacturing, Real Estate, and Transportation industries. Conversely, output growth in the Manufacturing and Retail Trade industries influences capital growth, while Wholesale Trade output growth affects risk-weighted assets. These relationships are robust …

Effects Of Regulations On Digital Asset Prices: Evidence From The Counter-Strike Game Series, John Logan Stewart

Mahurin Honors College Capstone Experience/Thesis Projects

Counter-Strike: Global Offensive and Counter-Strike 2 are first-person-shooter video games in which players can own cosmetics for their weapons, known as “skins”. These skins can be traded, bought, or sold through various means. This study seeks to examine the effects of a regulation implemented by developers of the game which banned the sale and trade of a common tax-free medium of exchange (case keys) for these skins and seeks to classify them as either a utility-based collectible or purely a digital commodity like cryptocurrencies. Using a novel and expansive panel data set gathered from the Steam Market and econometric models …