Essays On Macro Finance And Innovation
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Essays On Macro Finance And Innovation
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Author : Mehmet Furkan Karaca
language : en
Publisher:
Release Date : 2023
Essays On Macro Finance And Innovation written by Mehmet Furkan Karaca and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with Electronic dissertations categories.
This dissertation consists of two chapters of my work on macro-finance and innovation. In particular, it studies the impact of the dynamic process of credit reallocation on aggregate innovative activities. The first chapter introduces the main focus of my dissertation. In addition, it reviews the literature and discusses the contribution of this dissertation.The next chapter builds a model to draw out theoretical predictions. In the model economy, borrowing firms choose whether to innovate or retain a mature technology, while lenders decide their allocation of credit. The credit market is characterized with financial and matching frictions and investigates the consequences of lenders' credit reallocation decisions on borrowers' innovation choices. We posit that the innovation process is time consuming (e.g. due to the length of R&D projects). The different amount of time needed for production with the new and old technology exposes lenders to a liquidity risk. The analysis shows that lenders tend to reallocate credit when they face liquidity risks. We show that an intensification of the credit reallocation process improves the matching between lenders and innovative firms but, overall, it disrupts innovation activities.The final chapter empirically investigates the impact of credit reallocation on innovation and tests the predictions from the model. We use a novel data set on bank balance sheets and the number of patents in Italian (a bank-centered country) local markets (provinces) during a period of great economic growth and tighter banking regulation. We construct measures of credit reallocation following the established literature on job reallocation and examine their effect on innovation. To address the concerns about the endogeneity of credit reallocation in the provinces, we exploit indicators of the geographical diversity of the 1936 Italian Banking regulation. We then estimate a two-stage model that in the first stage projects the rate of credit reallocation in a province onto an indicator of tightness of the banking regulation in the province and in the second stage projects the measure of innovation (the number of patents) onto the value of credit reallocation in the province defined by the tightness of local banking regulation. Consistent with the predictions of the model, we find that an increase in credit reallocation depresses innovative activity while aggregate credit growth helps to expand it. Furthermore, we show that our results are robust across empirical specifications, and carry through when controlling for a broad battery of province characteristics or altering the estimation period.
Essays In Macro Finance
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Author : Jiwei Zhang
language : en
Publisher:
Release Date : 2023
Essays In Macro Finance written by Jiwei Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
This dissertation consists of four essays in macro-finance, focusing on the cause and effect of asset prices, inequality, and welfare. In particular, these essays highlight the role of institutions and structural changes in shaping outcomes of asset markets and of the macro-economy. The two overarching objectives of these essays are to analyze mechanisms of asset price movements and to understand how these asset price movements affect the daily lives of people. The four chapters of this dissertation examine the implications of inertia and stock market non-participation for equity prices, risk sharing, and wealth inequality; causal effects of Chinese Communist Party's cadre promotion system on land prices in China; interconnection between homeownership and marriage; fiscal responses to income inequality shocks. The first chapter quantifies the general equilibrium effects of financial innovation that increases access to equity markets. I study an overlapping generations model with both idiosyncratic and aggregate risk, solved with machine learning techniques. A benchmark economy with limited stock market participation and rebalancing frictions matches the current dynamics of macro aggregates, equity and bond returns, as well as wealth and portfolio concentration. A counterfactual experiment shows how widespread adoption of target date funds would improve risk sharing, reduce inequality, and generate substantial welfare gains for households in the bottom 90% of wealth distribution. The equity premium drops from 6.4% to 1.7%, while the standard deviation of equity returns stabilizes from 21.9% to 14.6%. Welfare implications vary with risk aversion and age. In general, the bottom 90% benefit from improved access to equity markets and better risk sharing, while the top 10% su↵er losses in wealth accumulation. Outcomes are very close between an economy with target date funds and one without any participation costs or rebalancing frictions. The second chapter identifies the causal effect of the Chinese Communist Party's performance- based promotion system to the country's real estate boom from 2003 to 2015. City-level leaders prioritizing economic growth allocate land at discounted prices to industrial firms rather than housing developers. Our analysis reveals that personal connections with provincial superiors are crucial for promotion and hence affect local land and housing supply. When city leaders share the same hometown as newly appointed provincial leaders, their chances of promotion increase by 15%, and GDP performances no longer matters. This connection reduces the need for industrial land allocation, resulting in a higher residential land supply in the city. In addition, cities with leaders who have hometown connections experience significantly higher supplies of residential land, and housing price growth rates are also 5% lower in these cities. The third chapter studies the phenomenon of marriage house in China and its effects on demo- graphics and homeownership. We first show empirical evidence for the complementarity between marriage and homeownership: single males with a marriage house (a house where the newlywed can move into) have 70% higher odds of getting married compared to their counterparts who do not have a marriage house. In addition, the timing of home purchase exhibits a clear cut-o↵ around the time of marriage, with the probability of purchasing a house peaking 0-2 years before marriage and slumping immediately after the time of marriage. Moreover, in the cross section, county house prices and average age at marriage are highly correlated in both level and in growth rate. We then quantify the marriage related incentives for homeownership using a lifecycle consumption-savings model with housing demand and ownership-dependent marriage shocks. In a counterfactual world where the marriage-house complementarity is absent, 45% of households under age 45 would delay their home purchases. Removing the marriage house friction from the marriage market would have slowed down the rise in age at first marriage by 40% between 1995 and 2010. Our results suggest that policies directed at either housing affordability or demographics can have significant consequences for both marriage and housing markets in China. Using data on U.S. state and federal taxes and transfers over the last quarter century, the fourth chapter estimates a regression model that yields the marginal effect of any shift of market income share from one quintile to another on the entire post tax, post-transfer income distribution. We identify exogenous income distribution changes and account for reverse causality using instruments based on exposure to international trade shocks, international commodity price shocks and national industry demand shocks, as well as lagged endogenous variables, with controls for the level of income, the business cycle and demographics. We find attenuation initially increases in quintile rank, peaks at the middle quintile and then falls for higher income quintiles, consistent with median voter political economy theory and the Stiglitz Director's law. We also provide evidence of considerable and systematic spillover effects on quintiles neither gaining nor losing in the "experiments, " also favoring the middle quintile. "Voting" and "income insurance" coalition analyses are presented. We find a strong negative relationship between average real income and the degree to which taxes and transfers are heavily redistributive.
Essays On Macro Financial Linkages
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Author : Thore Kockerols
language : en
Publisher:
Release Date : 2018
Essays On Macro Financial Linkages written by Thore Kockerols 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.
The main theme of this thesis are macro-financial linkages. I covered three different questions related to this topic. In the first chapter Gaël Giraud and I develop a model for the Euro Area answering to many of the critiques of policy models before the Global Financial Crisis and with a focus on the interaction between the financial sector and the macroeconomy. The second and third chapter focus on behaviour of the financial sector in the aftermath of the Global Financial Crisis and its implications for the macroeconomy. Chapter 2 investigates the practice of forbearance towards stressed borrowers. The ultimately relevant question in this chapter is to what extend there is a feedback to the real economy due to this behaviour. Finally, the third chapter sheds light on an episode of manipulation in commodity markets. This alleged manipulation was apparently only possible due to the dominant market position banks took in the run up to the crisis and thereafter. Ultimately I quantify the effects of such behaviour and provide evidence of a structural change of the manipulated market during the period of alleged manipulation. The first chapter exploits a bank level dataset, whereas in chapter 2 and 3 I develop structural macroeconomic models. Especially the dynamical system model in the second chapter is an innovation. This class of models and more specifically a model of the size we develop has never been estimated and subsequently used for policy analysis.
Essays In Macro Finance
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Author : Thilo Kind
language : en
Publisher:
Release Date : 2021
Essays In Macro Finance written by Thilo Kind and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Essays On Macro And Financial Economics
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Author : Linyi Cao
language : en
Publisher:
Release Date : 2020
Essays On Macro And Financial Economics written by Linyi Cao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with Electronic dissertations categories.
Nurturing Young Public Firms over Real Business Cycles. In this paper, I develop a theory of financial intermediation in a general equilibrium environment, to study the interactions between households, financial intermediation, and entrepreneurs over real business cycles. In the model, the financial intermediary, who resembles real-life private equity (PE) groups and investment bankers, works as a nurturer of young public firms. It performs screening and sorting on entrepreneurs, then allocates resources to them, borrowed from the households. However, the effort intensity in screening decreases when the financial intermediary is flooded by resources, so do the average quality of financial services and the commission rate, which predict the countercyclicality of those variables. This countercyclicality of efficiency in the financial sector promises a dampening effect on economic volatility. I use the U. S. initial public offering (IPO) data, as well as selected PE data to document that the commission rate is indeed countercyclical. Its correlation with the cyclical component of total output is around -0. 21. I calibrate the model to the U. S. financial market and conduct several counterfactual exercises. I find that a 20% drop in the financial intermediary's cost of effort dampens the total output volatility by 0. 24% and the household consumption volatility by 0. 53%. While a binding commission rate cap amplifies the volatility by 0. 36% and 0. 54% respectively. Antitrust Policy in a Globalized Economy. Antitrust policies have been relaxed and the number of mergers and acquisitions (M&A) has risen rapidly since the 1980s in the United States. This paper provides a framework to evaluate the cost and benefits of antitrust policy in a global context. M&A reallocate resources from small to large and typically more productive firms, while also increasing their monopoly power. An optimal antitrust policy seeks a balance between the positive productivity effect and the negative markup effect. In a globalized economy, increasing productivity fully accrues to domestic firms/workers while a higher markup only partially hurts domestic consumers. The weakening antitrust policy since the 1980s is thus an optimal response to the increasing globalization in the same period. We present a dynamic general equilibrium model of M&A and show that welfare, measured as aggregate consumption/production in stationary equilibrium, is a hump-shaped function of the antitrust policy parameter in the model. We are extending the model to an open economy, and aim to formalize the intuition that openness to trade demands a more lenient antitrust policy and to explore its quantitative implications for aggregate markup and welfare. A Model of Technology Diffusion. Many new technologies, instead of being adopted simultaneously by all producers in the same area or industry, display a long and lagged diffusion process, with an S-shaped adoption curve. This even applies to technologies that were later proven to improve productivity significantly. We construct and test a model for explaining this observation. In the model, agents who are heterogeneous in beliefs choose their optimal stopping/adopting time, while they are learning from the output of others. As the population of agents who are experimenting with the new technology grows up, the learning process accelerates. Part of the incentives for them to wait is to free-ride on a larger experimenting group in the future. Our model can explain various technology diffusion data, such as the hybrid corn adoption in the U. S. , or the adoption of the 12 industrial innovations.
Three Essays In Macro Finance
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Author : Xing Guo
language : en
Publisher:
Release Date : 2019
Three Essays In Macro Finance written by Xing Guo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Essays In Macro Finance And Asset Pricing
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Author : Amr Elsaify
language : en
Publisher:
Release Date : 2017
Essays In Macro Finance And Asset Pricing written by Amr Elsaify and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This dissertation consists of three parts. The first documents that more innovative firms earn higher risk-adjusted equity returns and proposes a model to explain this. Chapter two answers the question of why firms would choose to issue callable bonds with options that are always "out of the money" by proposing a refinancing-risk explanation. Lastly, chapter three uses the firm-level evidence on investment cyclicality to help resolve the aggregate puzzle of whether R&D should be procyclical or countercylical.
Essays In Macro Finance
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Author : Lorenzo Bretscher
language : en
Publisher:
Release Date : 2018
Essays In Macro Finance written by Lorenzo Bretscher 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.
Essays In Financial Economics And Macro Finance
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Author : Jonathan-Julian Federle
language : en
Publisher:
Release Date : 2024
Essays In Financial Economics And Macro Finance written by Jonathan-Julian Federle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024 with categories.
Essays On Finance Of Innovation Firm Dynamics And Economic Growth
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Author : Sina T. Ateş
language : en
Publisher:
Release Date : 2015
Essays On Finance Of Innovation Firm Dynamics And Economic Growth written by Sina T. Ateş 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.
Aggregate productivity, fundamental cause of long-run economic growth, plays a crucial role in determining economic development and living standards of nations. The main source of aggregate productivity growth is technological advances that are the outcomes of firms' and entrepreneurs' innovative activity. Complementary to the growing literature that studies how firm dynamics shape technological change, my dissertation focuses on how financial decisions of these agents affect this process. The three chapters of my dissertation provide theoretical, empirical, and quantitative investigation of the interplay between financial and innovative actions of heterogeneous firms along with its implications on aggregate productivity growth. Chapter one studies the impact of financial system on net firm entry, an important source of aggregate productivity growth. Selective funding of most promising ideas by financial intermediaries creates a trade-off between the mass of entrant firms and their average contribution to aggregate productivity. This chapter highlights the relevance of firm heterogeneity for the relationship between finance and growth, and discusses the theoretical and empirical implications of the resulting trade-off in firm entry. Chapter two also builds on the above mass-composition link, and uses it to study the permanent productivity losses due to sudden stops (SS). The model embeds the main mechanism into a real business cycle small open economy framework to measure the forgone productivity contribution of entrants deprived of funding. The theoretical prediction is that, during SS, smaller yet on average more productive cohorts enter the market. Chilean plant-level data that cover the 1998 SS verify this prediction, while the calibrated model demonstrates the quantitative significance of heterogeneity and selection in measuring the long-run productivity loss. Chapter three focuses on a specific financial intermediary that is especially relevant to innovation and growth, namely venture capital (VC) finance. It studies VC's quantitative impact on firm dynamics and economic growth using a new dynamic equilibrium model of technological change with heterogeneous firms and an explicit VC market. Distinctively, the model incorporates a unique feature of VC firms: their operational knowledge (OK) bundled with their investment. Experiments based on the estimated model highlight the quantitative relevance of OK and analyze policy implications.