Essays On Macroeconomics And Financial Markets
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Essays In Macroeconomics And Financial Markets
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Author : Francisco Queirós
language : en
Publisher:
Release Date : 2018
Essays In Macroeconomics And Financial Markets written by Francisco Queirós 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 thesis is composed of three independent articles. The first two chapters are on the topic of asset bubbles. In the first chapter, I study the interactions between rational asset bubbles and product market competition. I build a theoretical model where I show that asset bubbles, by providing a production or entry subsidy, may have a pro-competitive effect and force firms to expand and cut profit margins. I use the model to interpret the evidence of two famous bubble episodes: the British railway mania of the 1840s and the dotcom bubble of the 1990s. In the second chapter, I provide a comprehensive characterization of non-fundamental stock price fluctuations at the industry level. Among other things, I show that overvaluation shocks tend to be more important in industries with higher profit margins or higher R&D intensity. I also document that, in periods of high over-valuation, stock market entrants tend to be less productive. In the third and last chapter I characterize the evolution of business dynamism in Spain between 1995 and 2007. Consistent with the evidence for other developed countries, I document a significant decline in the Spanish firm entry and exit rates over this period. I also show that, when compared to incumbents of the same industry, young firms have become relatively more productive. I build a model featuring firm dynamics and financial frictions to show how a decline in interest rates can explain these trends.
Essays In Macroeconomics And Financial Markets
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Author : Ariel Zetlin-Jones
language : en
Publisher:
Release Date : 2012
Essays In Macroeconomics And Financial Markets written by Ariel Zetlin-Jones 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.
Essays On Macroeconomics And Financial Markets
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Author :
language : en
Publisher:
Release Date : 2013
Essays On Macroeconomics And Financial Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The first chapter explores liquidity risks and analyzes the relationship between funding liquidity and market liquidity theoretically and numerically. Funding liquidity is measured by borrowing constraints of secured loans. Market liquidity is measured by the trading frequency and the ease of traders' negotiations. Borrowing constraints affect the fundamental value of assets traded on the market as well as traders' negotiations. On the other hand, trading efficiency changes borrowing constraints. The above dynamic interactions cause the economy respond persistently to liquidity shocks. Pushing further, the simulated liquidity moments move together and present business cycle property. Moreover, money has an essential role as the medium of exchange in the exchange process that impose a non-trivial monetary policy implication. The second chapter studies the efficiency and default risk of long-term non-recourse loans in bank lending, where limited commitments present. With predetermined terms of the loan, the borrower has incentive to terminate the loan earlier either by prepayment or default. The incentive-compatible loan contract in favor of a lower default risk encourages earlier prepayments, and vice versa. If the loan market is frictional that it takes time for the bank to find another borrower, the interest loss on prepayment becomes severe. Under this condition, allowing default increases the efficiency of lending. Moreover, the bank would allow a higher default rate if the initial market interest rate is lower or the size of the loan is larger. The third chapter studies the effect of recourse law on homeowners' behavior during the residential mortgage foreclosure process, and shows evidence from 7 counties of the Illinois state. We construct the dataset from a loan-level foreclosure and land lien database to capture the individual-level heterogeneity. Although the percentage of deficiency judgment granted is low, we find that the fear of banks' recourse right affects homeowner's bankruptcy and private sale decision during foreclosure. The estimation results show that, if there is no deficiency threat, the bankruptcy chapter 7 claims would be lower by 3%, the bankruptcy chapter 13 claims would go up by 10% and the probability of public sale would be increased by 4%.
Essays In Macroeconomics Financial Markets And Epidemics
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Author : Cesar Saturnino Salinas Depaz
language : en
Publisher:
Release Date : 2024
Essays In Macroeconomics Financial Markets And Epidemics written by Cesar Saturnino Salinas Depaz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024 with Economic development categories.
This dissertation consists of three chapters about how access to financial markets and composition of the labor market determine aggregate macroeconomic outcomes. The first chapter examines the macroeconomic consequences of credit uncertainty using a structural vector autoregression model with stochastic volatility (SVAR-SV). Credit supply conditions in the U.S. is captured by the banks' reports on how credit standards for approving loans have change over time (Bank Lending Standards). The empirical analysis shows that the volatility of macroeconomic and financial variables rises in response to an increase in the credit uncertainty shock. The economic activity falls and credit growth and related interest rates decrease persistently. Moreover, credit volatility shocks explain around 10% of the FEV of endogenous variables. A dissagregated analysis shows that the effect of these shocks are mainly explained by their effects on the corporate business sector. The second chapter studies the role of time-varying credit limits through the lens of a life cycle incomplete markets model calibrated for the U.S. Changes in credit card limits are explained by observable household characteristics and the estimated unobservable variation is quite large. The quantitative exercise shows that even though young households are more indebted in an economy with stochastic borrowing limits, aggregate consumption is not greatly affected by transitory or persistent shocks of this type. However, in the presence of these shocks, households lose the ability to self-insure against other uninsurable idiosyncratic shocks, e.g., labor income shocks. A disaggregated analysis shows that the loss of self-insurance capacity is mainly explained by the effects that stochastic borrowing limits have on the wealth distribution, the precautionary savings channel households have to face unexpected risks. The third chapter studies the role of informal markets to explain economic and demographic variables during a pandemic. The quantitative exercise shows that lockdown policies are less effective in economies with large informal markets, infection and death rates will not decrease as much as formal economies. Moreover, the size of the recession would be exacerbated because informal activities are not counted in the calculation of the GDP. To generate similar results to an economy with only formal markets, the economy with informal markets must implement more severe containment policies.
Managing Global Money
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Author : Graham Bird
language : en
Publisher: Springer
Release Date : 1988-05-24
Managing Global Money written by Graham Bird and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-05-24 with Business & Economics categories.
This collection of articles and papers has been organised under a limited number of specific themes in international financial economics, including balance of payment theory and policy, the activities of the IMF, Special Drawing Rights, the role of the private financial markets, and the international economic order. A unifying theme running through all the essays is that some degree of management of international financial affairs is desirable. The book has a strong policy orientation and should be of interest to students and practitioners of international financial economics alike.
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 Financial Markets And Macroeconomics
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Author : Alessandra Bonfiglioli
language : en
Publisher:
Release Date : 2005
Essays On Financial Markets And Macroeconomics written by Alessandra Bonfiglioli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with International finance categories.
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...
Essays In Macroeconomics And Financial Economics
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Author : Edison Guozhu Yu
language : en
Publisher:
Release Date : 2013
Essays In Macroeconomics And Financial Economics written by Edison Guozhu Yu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This dissertation consists of three essays. The first essay, entitled "Dynamic Market Participation and Endogenous Information Aggregation", studies information aggregation in financial markets with recurrent investor exit and entry. The paper considers a dynamic general equilibrium model of asset trading with private information and collateral constraints. Investors differ in their aversion to Knightian uncertainty: when uncertainty is high, some investors exit the market. Since exiting investors' information is not fully revealed by prices, conditional return volatility and risk premia both increase. I use data on institutional investors' holdings of individual stocks to show that investor exit rates indeed comove with return volatility and help forecast it. The model also implies that exit is more likely when wealth is more concentrated in the hands of less uncertainty averse investors. The model thus predicts more exit toward the end of a long boom, as seen in the data. Moreover, economies with looser collateral constraints should see more volatility due to exit and partial revelation. The second essay, entitled "The (Un)importance of Mobility in the Great Recession", is based on a paper co-authored with Siddharth Kothari and Itay Saporta-Eksten. Unemployment during and after the Great Recession has been persistently high. One concern is that the housing bust reduced mobility and prevented workers from moving for jobs. The paper characterizes flows out of unemployment that are related to mobility to construct an upper bound on the effect of mobility on unemployment between 2007 and 2012. The effect of mobility is always small: Using pre-recession mobility rates, decreased mobility can account for only an 11 basis points increase in the unemployment rate over the period. Using dynamics of renter mobility in this period to calculate homeowner counterfactual mobility, can account for an 8 basis points increase. Using the highest mobility rate observed in the data, reduced mobility accounts for only a 34 basis points increase in the unemployment rate. The third essay, entitled "Long-term Bonds in a Housing Model", looks into a housing model where mortgages are modeled as a long-term bond. Most house purchases in the US are financed through a mortgage with maturity between 15 and 30 years. This essay studies house price dynamics when modeling mortgages as long-term bonds instead of the more standard one-period bond. With this new feature in the model, results show that the equilibrium price-rent ratio and mortgages borrowing are much less sensitive to changes in the interest rates. In addition, the model can generate negative equity, which matches the presence of negative equity in the housing market downturn in data.
Essays In Macroeconomics Monetary Policy Interest Rate Spreads And Financial Markets
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Author : Fabian Herrmann
language : en
Publisher:
Release Date : 2017
Essays In Macroeconomics Monetary Policy Interest Rate Spreads And Financial Markets written by Fabian Herrmann 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.
