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Document Type:Latin Dissertation
Language of Document:English
Record Number:54372
Doc. No:TL24326
Call number:‭3142391‬
Main Entry:Ferhan Salman
Title & Author:Three essays in public financeFerhan Salman
College:Boston University
Date:2005
Degree:Ph.D.
student score:2005
Page No:103
Abstract:This dissertation addresses three significant questions in public finance. The first chapter proposes a measure of the size of the intertemporal budget deficit which is called the intertemporal budget gap (GAP). The GAP can be used to correct for the deficiencies of annual budget, to make projections for revenue and expenditures, and to determine the sustainability of current policies. We use this measure to analyze the impact of the financial crisis Turkey experienced in the year 2001, and the effect of the stabilization policy that was implemented immediately thereafter. The analysis reveals that although the stabilization policy was a step in the right direction, more substantial expenditure cuts and/or tax hikes are needed to eliminate the intertemporal budget gap. Furthermore, over the long term, a delay in contractionary fiscal policy will result in a larger burden on future generations as compared to current generations. The second chapter analyzes the risk premium associated with sovereign bonds. We use the generalized method of moments to estimate the level of risk aversion that is implied by the demand for such bonds. We show that although sovereign bonds offer comparable returns to those of US Equities they command higher risk premiums. We name this observation “The Sovereign Bond Premium Puzzle.” Second, we observe that in contrast to what is suggested by theory, risk aversion parameters differ for each country. Our regressions suggest that different fundamentals and risk across countries account for these two observations. In chapter three, we present evidence regarding the response of stock prices in the New York Stock Exchange to news about capital gains taxes. If information about an upcoming event becomes available, then it should be reflected in prices as soon as the news about it arrives. In the 1980–2003 period there are 2383 newspapers articles that address upcoming changes in capital gains taxes. From these articles, we construct three sets of indicator functions to represent information. Our results indicate that information regarding the event is significant in explaining excess returns. Moreover, excess returns are significantly and highly correlated on dates for which similar information arrives to the market.
Subject:Social sciences; Capital gains; Intertemporal budget gap; Public finance; Sovereign bond; Tax; Turkey; Economics; Essays; Budget deficits; Sovereign debt; Risk premiums; Stock prices; 0501:Economics
Added Entry:L. J. Kotlikoff
Added Entry:Boston University