Essays In Macroeconomics And Financial Market Imperfections
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Essays In Macroeconomics And Financial Market Imperfections
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Author : Alexander Wulff
language : en
Publisher:
Release Date : 2018
Essays In Macroeconomics And Financial Market Imperfections written by Alexander Wulff and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This dissertation consists of four self-contained papers that deal with the implications of financial market imperfections and heterogeneity. The analysis mainly relates to the class of incomplete-markets models but covers different research topics. The first paper deals with the distributional effects of financial integration for developing countries. Based on a simple heterogeneous-agent approach, it is shown that capital owners experience large welfare losses while only workers moderately gain due to higher wages. The large welfare losses for capital owners contrast with the small average welfare gains from representative-agent economies and indicate that a strong opposition against capital market opening has to be expected. The second paper considers the puzzling observation of capital flows from poor to rich countries and the accompanying changes in domestic economic development. Motivated by the mixed results from the literature, we employ an incomplete-markets model with different types of idiosyncratic risk and borrowing...
Theory And Reality In Financial Economics
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Author : George M. Frankfurter
language : en
Publisher: World Scientific
Release Date : 2007
Theory And Reality In Financial Economics written by George M. Frankfurter and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
A collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. This book argues that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face.
Essays On Financial Market Imperfections
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Author : Ding Wu (Ph. D.)
language : en
Publisher:
Release Date : 2007
Essays On Financial Market Imperfections written by Ding Wu (Ph. D.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
This dissertation consists of three chapters on financial market imperfections, in particular, information imperfections. Chapter 1 studies how the existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and exacerbates adverse selection. The exacerbated adverse selection explains one long-standing puzzle in finance - the momentum anomaly. Properly adjusting stock returns for adverse selection by using data on trading volume substantially mitigates momentum-based arbitrage profits for the sample period from 1983 to 2004. Chapter 2 studies how information asymmetry prevents perfect risk-sharing and offers insights on stock return behavior. Chapter 3 explores the idea of Tobin's tax in the context of an emerging market and in particular examines the cost effects on speculation in the Chinese stock market.
Essais Sur La Macro Conomie Des Imperfections Sur Le March Du Capital
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Author : Nicolas Petrovsky-Nadeau
language : en
Publisher:
Release Date : 2009
Essais Sur La Macro Conomie Des Imperfections Sur Le March Du Capital written by Nicolas Petrovsky-Nadeau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The first chapter shows that the propagation properties of the standard search and matching model of equilibrium unemployment are significantly altered when vacancy costs require some external financing on frictional credit markets. Agency problems on credit markets lead to higher costs of vacancies. When the former are counter-cyclical, this greatly increases the elasticity of vacancies to productivity through two distinct channels: (i) a cost channel - lowered unit costs during an upturn as credit constraints are relaxed increase the incentive to post vacancies; (ii) a wage channel - the improved bargaining position of firms afforded by the lowered cost of vacancies limits of the upward pressure of market tightness on wages. As a result, the model can match the observed volatility of unemployment, vacancies and labor market tightness. Moreover, the progressive easing of financing constraints to innovations generates persistence in the response of market tightness and vacancies, a robust feature of the data and shortcoming of the standard model. Extending the model to allow for endogenous job separation improves its ability to match gross labor flows statistics while preserving its propagation properties. The second chapter documents the existence of time-varying congestion in the (re)allocation of physical capital akin to what is observed on labor markets. It then builds a model with search frictions for the allocation of physical capital in order to investigate its implications for the business cycle. While the model is in principle capable of generating substantial internal propagation to small exogenous shocks, the quantitative effects are modest once it is calibrated to fit firm-level capital flows. The model is then extended to credit market frictions that lead to countercyclical default as in the data. Although countercyclical default directly affects capital reallocation, even in this extended model, search frictions in physical capital markets play only a small role for business cycle fluctuations. The final chapter models flows of foreign direct investment (FDI) in a two country, two sector DSGE framework. The allocation of capital to production capacity abroad is subject to a search-and-matching friction with endogenous capital reallocation, capturing the additional cost and time involved in adjusting production capacity abroad. The model is calibrated on observed gross inflows and outflows of FDI and leads to dynamics of net foreign direct investment consistent with the empirical evidence documented in this chapter: inward and outward net flows of FDI are positively correlated whereas a standard International Real Business Cycle model has the prediction of a negative correlation. Moreover, the model solves the aggregate investment quantity puzzle as it generates cross-country correlations in-line with the data.
Essays In Macroeconomics
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Author : Luigi Iovino
language : en
Publisher:
Release Date : 2012
Essays In Macroeconomics written by Luigi Iovino and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
This thesis studies how information imperfections affect financial markets and the macroeconomy. Chapter 1 considers an economy where investors delegate their investment decisions to financial institutions that choose across multiple investment opportunities featuring different levels of idiosyncratic risk and different degrees of correlation with the aggregate of the economy. Investors solve an optimal contracting problem to induce financial institutions to allocate their investment optimally. We then study how investment decisions are affected when financial securities are introduced that allow agents to trade their risks. Investors do not have the necessary information to understand these securities, but give incentives to financial institutions to hedge certain risks. We show that hedging idiosyncratic risks ameliorates the agency problem between investors and financial institutions and reduces aggregate volatility. On the contrary, when aggregate risk can be hedged the agency problem worsens and aggregate volatility increases. Finally, we study the efficiency properties of the equilibrium and the potential role for financial regulation. Chapter 2 studies the welfare effects of the information contained in macroeconomic statistics, central-bank communications, or news in the media? We address this question in a business-cycle framework that nests the neoclassical core of modem DSGE models. Earlier lessons that were based on "beauty contests" (Morris and Shin, 2002) are found to be inapplicable. Instead, the social value of information is shown to hinge on essentially the same conditions as the optimality of output stabilization policies. More precise information is unambiguously welfare-improving as long as the business cycle is driven primarily by technology and preference shocks-but can be detrimental when shocks to markups and wedges cause sufficient volatility in "output gaps". Finally, chapter 3 studies how market signals-such as stock prices-can help alleviate the severity of the asymmetric information problem in credit and liquidity management. Asymmetric information hinders the ability of borrowers (firms, investment banks, etc) to undertake profitable investment opportunities and to insure themselves against liquidity shocks. On the equilibrium path, creditors need not learn anything from market signals because they can use a menu of contracts to screen the different types of borrowers. Nevertheless, by conditioning liquidity insurance on ex post price signals, creditors are able to provide the borrowers with better incentives for truth-telling. At the same time, prices depend on the liquidity that creditors offer to the borrowers. This two-way feedback impacts the design of the optimal contract and potentially generates multiple equilibria in financial markets.
Essays On Liquidity In Macroeconomics
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Author : Guido Lorenzoni
language : en
Publisher:
Release Date : 2001
Essays On Liquidity In Macroeconomics written by Guido Lorenzoni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
This thesis includes four essays on the macroeconomic effects of financial market imperfections. The first essay studies the incentives for banks that participate in an interbank market to keep a sufficient level of reserves. It presents a model where, in presence of imperfect insurance against bank-specific shocks, banks keep an inefficiently low ratio of reserves to deposits. A consequence of this is that the interest rate on the money market will fluctuate too much from a second-best perspective. It discusses the potential benefits and risks associated to central bank intervention, and highlights the complementarity between regulatory reserve requirements and stabilization of the interest rate. The second essay (joint with C. Hellwig) studies the ability of banks to issue liquid liabilities while holding only a fraction of their activities in liquid assets. We study the possibility of self-sustaining equilibria in which banks are prevented from abusing their issuing privilege by the threat of losing it in case of default. The third essay is a contribution to the empirics of precautionary savings and shows evidence of a decreasing relationship between household wealth and the variability of consumption expenditure. The evidence is consistent with the presence of a precautionary motive for wealth accumulation. The fourth essay (joint with F. Broner) shows that the time series of the spreads on emerging market bonds appears consistent with the view that international investors supplying funds to these countries are liquidity constrained at times of large price drops.
Essays On Macroeconomics
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Author : Duksang Cho
language : en
Publisher:
Release Date : 2016
Essays On Macroeconomics written by Duksang Cho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Electronic dissertations categories.
My dissertation is centered on economic heterogeneity endogenously derived from market imperfections or changes in technology. By introducing specific assumptions that capture a market imperfection or a change in technology, I study how the economic realities can affect resource distributions and aggregate outcomes in an equilibrium. Chapter 1 studies the economic impacts of business groups by focusing on their pyramidal ownership structure given capital market imperfections. An entrepreneur can alleviate financial frictions by creating a pyramidal business group in which a parent firm offers its subsidiary firm internal equity finance. This endogenous creation of pyramidal business groups can beget asymmetric financial frictions between business-group and stand-alone firms. I build a model to show that these asymmetric financial frictions can have sizable effects on resource allocation. On one hand, the financial advantage of pyramidal business groups can foster productive firms by incorporating subsidiaries. On the other hand, the asymmetrically large amount of external capital controlled by pyramidal business groups can push up the price of capital and hinder the growth of stand-alone firms. The model suggests that pyramidal business groups can improve the factor allocation of an economy with poor investor protection in which external capital markets are underdeveloped, but worsen the factor al- location of an economy with fine investor protection in which excessive capital is used up by unproductive business-group firms. Chapter 2 investigates consequence of declining labor shares in manufacture. I show that a Cobb-Douglas production function can be generated with a technology that substitutes capital for labor and decreases labor shares. A simple two-sector model is used to examine consequences of declining labor shares. The model suggests that a declining labor share in manufacture can be accompanied with an increase in the labor productivity dispersion, a decrease in the labor price, and an increase in the land price. Chapter 3 researches the possibility that changes in the number of households simultaneously purchasing durable goods can create a business cycle. Heterogeneous timings of durable goods purchases are examined as an extensive margin of aggregate consumption. I develop a model in which each household holds money to purchase durable goods and optimizes its purchase timing given adjustment costs. The model shows that a shock common to all households such as a change in the expected inflation rate or government transfers can synchronize durable goods purchases across households. I argue that altering the number of households simultaneously purchasing durable goods can generate a sizable, long- lasting business cycle without the help of sticky prices or shocks to TFP.
Essays On Implications Of Financial And Goods Market Imperfections In Open Economies
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Author : Martin Lindpere
language : en
Publisher:
Release Date : 2008
Essays On Implications Of Financial And Goods Market Imperfections In Open Economies written by Martin Lindpere and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Essays In Financial Market Imperfections
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Author : Rajdeep Sengupta
language : en
Publisher:
Release Date : 2006
Essays In Financial Market Imperfections written by Rajdeep Sengupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Essays In Financial Market Imperfections And Institutional Responses
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Author : Thomas Frederik Hellmann
language : en
Publisher:
Release Date : 1997
Essays In Financial Market Imperfections And Institutional Responses written by Thomas Frederik Hellmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.