Three Essays In Business Cycles And Finance
DOWNLOAD
Download Three Essays In Business Cycles And Finance PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Three Essays In Business Cycles And Finance book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Three Essays In Business Cycles And Finance
DOWNLOAD
Author : Gabriel Perez-Quiros
language : en
Publisher:
Release Date : 1996
Three Essays In Business Cycles And Finance written by Gabriel Perez-Quiros and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Capital movements categories.
Three Essays On Expectation Driven Business Cycles
DOWNLOAD
Author : Shen Guo
language : en
Publisher:
Release Date : 2009
Three Essays On Expectation Driven Business Cycles written by Shen Guo 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.
This thesis studies business cycles driven by agents' expectation of future technology changes. The first chapter explores the effects which nominal rigidities and monetary policies have on the generation of Pigou cycles. The optimal response of the central bank is analyzed under circumstances when agents receive a signal indicating the technology change in the future. To achieve these objectives, I introduce nominal rigidities and monetary policy into a standard two-sector model with non-durable and durable goods. The optimal reaction of the central bank is found by solving the Ramsey optimization problem. I find that nominal rigidities tend to amplify the responses to the expectation and monetary policies affect the expectation driven business cycles by affecting the real interest rate and user cost of durable goods. Another interesting result is that a simple policy rule reacting to the inflation rates in both non-durable and durable sector with appropriate weights can closely mimic the performance of the Ramsey policy. The second chapter estimates a sticky price two-sector model with home production and capital adjustment costs to assess the significance of the news shocks in generating aggregate fluctuations. The analysis suggests that news shocks account for about 34% of the fluctuations in the aggregate output, 25% of the fluctuations in consumption-sector output and 38% of the fluctuations in investment-sector output. The third chapter explores the booms and busts induced by news shocks in a model economy with financial market frictions. With the presence of financial market frictions, firms have to pay an external finance premium which depends inversely on their net values. This provides firms with an incentive to build up capital stocks now to lower the external finance premium in the future. When firms receive news indicating a future technology improvement, they anticipate the need for more capital and so more external finance in the future; they could lower their future external finance costs by building up their capital and net values now. By adding financial market frictions into an otherwise standard RBC model, the model in chapter 3 succeeds in generating a boom when a news shock hits the economy.
Three Essays On Business Cycles
DOWNLOAD
Author : John Bailey Jones
language : en
Publisher:
Release Date : 1998
Three Essays On Business Cycles written by John Bailey Jones and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Booms Bubbles And Busts
DOWNLOAD
Author : Geoffrey Scott Lea
language : en
Publisher:
Release Date : 2010
Booms Bubbles And Busts written by Geoffrey Scott Lea and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Austrian school of economics categories.
Over seventy years after The Keynesian Revolution and the ascendancy of macroeconomics, a survey of the theoretical landscape shows answers in some areas and questions looming still in others. Within the span of the last decade, the fields of economic growth and development have undergone what might be called an institutional counter-revolution, where questions once shakily answered by aggregate production functions, optimal or "golden rule" savings rates, and convergence estimations are now being fruitfully addressed by institutional explanations. On the other hand, the modern business cycle landscape is mired in competing approaches, each grounded in a specific set of behavioral and institutional assumptions, which, taken together, produce equilibrium conditions at either full employment or some level of involuntary unemployment. These gains made in the fields of growth and development may in fact serve as a guide for the remaking of business cycle theory. Drawing on a Kohn's (2004) distinction between a :value paradigm" and an "exchange paradigm," this dissertation puts forward a rudimentary vision of an "emergent" macroeconomics in line with many of the insights developed by the older "coordinationist" approach of O'Driscoll (1977) and Leijonhufvud (1981), primarily with respect to discoordination business cycle theory and their explanation of macroeconomic fluctuation. This emergent macroeconomics rests firmly in the exchange paradigm, where macroeconomic theorizing is both methodologically and theoretically better grounded. The first essay traces the history of growth theory and development up to the recent institutional counter-revolution, making the case that the institutional approach fits better with an exchange paradigm than a value paradigm. After a brief, critical analysis of modern business cycle theory, it develops an emergent business cycle theory by resurrecting Say's law of markets as an institutionally-rich theory and one that comports better to the exchange paradigm. The second essay considers Austrian Business Cycle Theory in light the general theory outlined in the first chapter, particularly the application of the law of markets and an emphasis on the exchange paradigm over the value paradigm. By recasting the Austrian theory in this new theoretical landscape, certain aspects of theory are further emphasized, while others are left aside, resulting in a theory of institutional causes and consequences of the business cycle. The third chapter turns to the housing and financial crisis of 2008 as a testing ground for the ability of this emergent approach to business cycles to explain real-world macroeconomic phenomena.
Three Essays In International Finance
DOWNLOAD
Author : Byong-Ju Lee
language : en
Publisher: Stanford University
Release Date : 2011
Three Essays In International Finance written by Byong-Ju Lee and has been published by Stanford University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Essays On International Business Cycles
DOWNLOAD
Author : Keita Oikawa
language : en
Publisher:
Release Date : 2015
Essays On International Business Cycles written by Keita Oikawa 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.
In this dissertation, I present three essays on international business cycles. In the first essay, I document the empirical regularities of international business cycles using the OECD Quarterly Data, and review the existing literatures in this field. By checking the data, I point out 1) net exports-output ratios both in nominal and real terms are countercyclical before 1990 for most of the OECD countries, 2) but the ratios changes their signs from negative to positive after 1990 for some of the countries, and 3) the main reason for the sign changes is that there are changes in the relationship between exports and output: exports were weakly correlated with output or were lagged with output before 1990, but exports become strongly correlated with output and also coincident. In the literature review part, I suggest that many of the properties of international real business cycles can be accounted for by benchmark international real business cycle models, such as Backus, Kehoe and Kydland (1992) and subsequent literatures, but those models cannot account for the coexistence of procyclical and countercyclical net exports. Further, incorporating Bansal and Yaron (2004)-style multi-factor productivity with short-run (trend-stationary transitory) shocks and long-run (difference-stationary growth) shocks are promising in order to account for the new observation about the trade variables. In the second essay, I document that the correlation between net exports and output has not always been negative after 1960. For the G6 countries, most of the countries experienced countercyclical net exports before 1990. However, some of these countries, including Germany and Japan, experienced procyclical net exports after 1990 even though they experienced countercyclical net exports before that. I also show that a simple one-good two-country business cycle model with a multi-factor productivity process can explain the phenomena. A positive transitory shocks to productivity leads to a positive response in net exports because its consumption risk-sharing effect, which causes a international resource flow from Home to Foreign country, is larger than its efficiency effect, which causes an increase in investments in Home country by importing goods form Foreign country. On the other hand, a positive growth shocks to productivity lead to a negative response in net exports because its consumption risk-sharing effect is smaller than its efficiency effect. I estimate the stochastic productivity processes for the G6 countries by using the simulated method of moments, and the simulation results of the model based on the estimated parameters are able to account for the changes in net export dynamics from pre-1990 to post-1990 for Germany and Japan. In the third essay, I document that there are changes in the correlations about trade variables and capital flows for the G7 countries: 1) the magnitude of the contemporaneous correlation of exports with output is a half of that of imports with output for pre-1990, but the former is almost the same value as the latter for post-1990, 2) the magnitude of the contemporaneous correlation of real net exports-output ratio with output is significantly negative for pre-1990, but it becomes almost zero or weakly positive for post-1990. I present two types of two-country two-good real business cycle models, one of which is with complete financial markets and the other one is with incomplete financial markets model in a sense that only risk-free one-period bonds are traded. I also add two types of shocks, transitory and growth shocks, to these two models in the spirit of Aguiar and Gopinath (2007). Firstly, the standard complete financial markets model has a strong correlation of exports with output and a weak correlation of imports with output. Secondly, the standard incomplete financial markets model has a weak correlation of exports with output and a strong correlation of imports with output. Finally, with reasonable changes in model parameter values, both the complete and incomplete market models can account for the two empirical regularities above, but only the incomplete market model can account for the empirical regularities for pre-1990. I evaluate these models in light of cross-country correlation properties based on actual data, especially the cross-country consumption correlation anomaly. I show that the incomplete financial markets model is still better than the complete market model because the cross-country consumption correlation in the incomplete financial markets model is still larger than but closer to the cross-country output correlation compared with the case of the complete financial markets model.
Three Essays On Real Business Cycles
DOWNLOAD
Author : 陳冠任
language : en
Publisher:
Release Date : 2014
Three Essays On Real Business Cycles written by 陳冠任 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Three Essays In Financial Economics
DOWNLOAD
Author : Eung Jun Brandon Lee
language : en
Publisher:
Release Date : 2013
Three Essays In Financial Economics written by Eung Jun Brandon Lee 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.
Chapter 1 studies endogenous medium term cycles in a Schumpterian growth model. New firms are created by imitating existing firms and they drive the least productive firms out of business. In this manner, firm entry speeds up the process of creative destruction, reallocating economic resources from less to more productive firms. Furthermore, the rate of firm entry and intensity of reallocation are procyclical in this model, and therefore transient business cycle shocks are propagated into persistent medium term swings in productivity. While the model generates substantial amount of medium term cycles, their magnitudes are not as large as those found in the data. This is due to an endogenous tension arising from business stealing effect of Schumpeterian models that weakens the basic transmission mechanisms in this model. Chapter 2 develops a model of explicit marketplace competition between firms. Firms compete through technological innovation; a firm with superior technology captures larger market share and earns higher profits than its rival. Arrow's replacement effect in this model implies that industry followers have more to gain from innovations than leaders, and consequently followers invest more heavily than leaders. Therefore, followers derive higher proportions of their firm values from present value of growth opportunities, and this implies that technological leaders and laggards are value and growth firms, respectively. A novel, central empirical prediction of the model is that when realized return on the value-minus-growth portfolio is positive, value firms decrease their investments relative to growth firms, and vice versa. This prediction holds for capital expenditures, but not for R&D expenses in the data. Chapter 3 (joint with Yichuan Liu) presents three sets of empirical results pertaining to cross-sectional patterns in stock returns associated with various accounting ratios such as return on assets, return on equity, gross and net profit margins, and turnover ratios of accounts receivable and payable. First, we show that recent changes in these accounting ratios, rather than their levels, are responsible for large returns spreads. Second, we document fundamental momentum; long-short portfolios formed by sorting on recent changes in these accounting ratios have significant alphas after controlling for Fama-French three-factor and Carhart four-factor models. Third, we examine the findings of Chordia and Shivakumar (2006) who conclude that the well-known price momentum effect is a manifestation of earnings momentum. We find, on the contrary, that price momentum is not fully explained nor subsumed by earnings momentum.
Essays On Business Cycles Studies With Multiple Frictions
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2016
Essays On Business Cycles Studies With Multiple Frictions written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Three Essays On Business Cycles
DOWNLOAD
Author : Ryo Jinnai
language : en
Publisher:
Release Date : 2009
Three Essays On Business Cycles written by Ryo Jinnai 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.
In the third chapter, I conduct an empirical study of the so-called Japanese "lost decade," over a decade-long economic slump in the Japanese economy since early 1990s. I investigate the effect of Japanese monetary policy when short-term nominal interest rates were virtually zero. A structural break in the mid-90s was an issue in previous empirical work, but the sample period of this paper, from March 1999 to October 2006, is free from it. The main finding is that monetary policy acting through the reserve balance control during the period had real effects on the economy.
