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Essays On Financial Frictions And Financial Integration

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Essays On Financial Frictions And Financial Integration

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Author : Ahrang Lee
language : en
Publisher:
Release Date : 2012

Essays On Financial Frictions And Financial Integration written by Ahrang Lee 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.

Abstract: This dissertation addresses two questions regarding international financial market integration and financial frictions. Does stock market volatility in a country raise that in other countries? To answer this question, I conduct two types of empirical exercises. I fit a simple bivariate vector augoregressions (VAR), which show a persistent positive response of domestic volatility to a shock in external volatility. In addition, I run two stage least squares on domestic volatility to resolve the problem of an endogenous explanatory variable. Disaster shocks are used as the instrument for external volatility. I find that international spillovers do occur in stock markets. In particular, one standard deviation increase in external volatility raises domestic volatility by at least 0.3 standard deviations. Moreover, I show that disaster shocks are a valid and robust instrument for volatility. To the best of my awareness, this is the first work addressing the issue of endogeneity in international stock markets with instrument variables. The second question asks if fixed costs to using financial intermediation are quantitatively important in explaining income differences across-countries. I introduce fixed costs into an entrepreneurship model with financial frictions where agents are heterogeneous in their financial assets, entrepreneurial ability and labor productivity. I find that the fraction of agents using financial intermediation substantially decreases as fixed costs increase. Fixed costs as low as 11 per cent of typical year's income lower the intermediated population from almost one to one fifth. Fixed costs also reduce accumulation of capital by 20 per cent as they restrict the intermediated population. Lastly, barriers to financial intermediation play an important role in increasing wealth inequality within an economy and across economies. The aforementioned fixed costs raise the wealth Gini index from 0.78 to 0.92 and reduce aggregate income by 10 per cent. That is, the fixed costs alone can explain 10 per cent of income difference between, for example, Belgium and Guyana.

Financial Integration And Financial Frictions

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Author : Pascal Towbin
language : en
Publisher:
Release Date : 2011

Financial Integration And Financial Frictions written by Pascal Towbin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Essays In Open Economy Macroeconomics With Borrowing Frictions

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Author : Nelnan F. Koumtingue
language : en
Publisher:
Release Date : 2010

Essays In Open Economy Macroeconomics With Borrowing Frictions written by Nelnan F. Koumtingue and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

Essays On Money And Financial Frictions In Finance And Macroeconomics

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Author : Xuan Wang
language : en
Publisher:
Release Date : 2020

Essays On Money And Financial Frictions In Finance And Macroeconomics written by Xuan Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

Essays On Financial Frictions

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Author : Karl Walentin
language : en
Publisher:
Release Date : 2005

Essays On Financial Frictions written by Karl Walentin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Financial Integration Financial Frictions And Business Cycles Of Emerging Market Economies

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Author : Tianxiao Zheng
language : en
Publisher:
Release Date : 2015

Financial Integration Financial Frictions And Business Cycles Of Emerging Market Economies written by Tianxiao Zheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.