Three Essays In International Finance And Econometrics
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Three Essays In International Finance And Econometrics
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Author : Chien Nan Wang
language : en
Publisher:
Release Date : 1987
Three Essays In International Finance And Econometrics written by Chien Nan Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Econometrics categories.
Three Essays In International Finance And Financial Economics
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Author : Xiaoqiang Hu
language : en
Publisher:
Release Date : 1994
Three Essays In International Finance And Financial Economics written by Xiaoqiang Hu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
Essays In International Finance And Macroeconomics
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Author : Eiji Fujii
language : en
Publisher:
Release Date : 1999
Essays In International Finance And Macroeconomics written by Eiji Fujii and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with International finance categories.
Each of the three essays composing this dissertation investigates important economic and econometric issues in international finance and macroeconomics. The first essay, “Market Structure and the Persistence of Sectoral Deviations from Purchasing Power Parity,” examines the relationship between market structure and the persistence of the dollar-based sectoral real exchange rates for fourteen OECD countries. The empirical results based on disaggregated data suggest that differences in market structure significantly determine the rates at which deviations from sectoral purchasing power parity decay. Based on the findings, I argue that an imperfectly competitive market structure is an important source of the well-documented persistence in real exchange rates.
Essays In International Finance And Applied Econometrics
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Author : Marek Raczko
language : en
Publisher:
Release Date : 2016
Essays In International Finance And Applied Econometrics written by Marek Raczko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Econometrics categories.
The thesis consists of three essays in the fields of international finance and applied econometrics. The first chapter analyzes the co-movement of market premia for rare adverse events, addressing the important issue of contagion. The second chapter studies the impact of rare adverse events on the estimates of the risk-aversion coefficient and on household's portfolio composition. This chapter shows that the threat of a rare disaster justifies household's positive bond holdings. Finally, the last chapter studies if the information not contained in the domestic yield curve, but contained in the foreign yield curve helps to predict future dynamics of domestic yields. The first chapter proposes a novel approach to assessing volatility contagion across equity markets. More specifically I decompose the variance risk premia of three major stock indices into: crash and non-crash risk components and analyse their cross-market correlations. I find that crash-risk premia exhibit higher correlations than non-crash risk premia, implying the existence of volatility contagion. This suggests that investors believe that equity returns will be more highly correlated across countries during market crashes than during more normal times. The main result of the analysis holds when I apply other measures of co-movement as well as when I allow correlation to be time varying. Moreover I document that crash-premia constitute a large portion of the overall variance risk premia, highlighting the importance of crash-risks. Unlike the existing literature, my approach to testing the existence of volatility contagion does not rely on short periods of financial distress, but allows for crash-risk premia to be computed in tranquil times. The second chapter assesses the impact of the Peso problem on the econometric estimates of the risk aversion coefficient. Rietz (1988) and subsequently Barro (2006) showed that the introduction of the crash risk allows the canonical general equilibrium framework to generate data consistent equity premia even under low risk aversion of the representative agents. They argue that the original data used to calibrate these models suffer from a Peso problem (i.e. does not encounter a crash state). To the best of my knowledge the impact of their Peso problem on the estimation of the risk aversion coefficient has not to date been evaluated. This chapter seeks to remedy this. I find that crash states that are internalized by economic agents, but are not realized in the sample, generate only a small bias in the estimates of the risk aversion coe cient. I also show that the introduction of the crash state has a strong bearing on the household's portfolio composition. In fact, under the internalized crash state scenario, households exhibit positive bond holdings even in a frictionless environment. In the third chapter, co-authored with Andrew Meldrum and Peter Spencer, we show, using data on government bonds in Germany and the US, that overseas unspanned factors - constructed from the components of overseas yields that are uncorrelated with domestic yields - have significant explanatory power for subsequent domestic bond returns. This result is remarkably robust, holding for different sample periods, as well as out of sample. By adding our overseas unspanned factors to simple dynamic term structure models, we show that shocks to those factors have large and persistent effects on domestic yield curves. Dynamic term structure models that omit information about foreign bond yields are therefore likely to be mis-specified.
Three Essays In Applied Econometrics With Applications To International Trade And Finance
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Author : Patrice Whitely
language : en
Publisher:
Release Date : 2007
Three Essays In Applied Econometrics With Applications To International Trade And Finance written by Patrice Whitely and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Econometrics categories.
Three Essays In International Financial Economics
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Author : Kolja Johannsen
language : en
Publisher:
Release Date : 2018
Three Essays In International Financial Economics written by Kolja Johannsen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Foreign exchange futures categories.
Three Essays In International Finance
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Author : Menzie David Chinn
language : en
Publisher:
Release Date : 1991
Three Essays In International Finance written by Menzie David Chinn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Three Essays In International Finance
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Author : Gregory Peter Hopper
language : en
Publisher:
Release Date : 1993
Three Essays In International Finance written by Gregory Peter Hopper and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Three Essays In International Finance
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Author : Raman S. Uppal
language : en
Publisher:
Release Date : 1989
Three Essays In International Finance written by Raman S. Uppal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.
Three Essays In International Finance
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Author : Andrew Chen
language : en
Publisher:
Release Date : 2002
Three Essays In International Finance written by Andrew Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.