Three Essays In International Macroeconomics And Finance
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Three Essays In International Macroeconomics And Finance
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Author : Enrique Martinez-Garcia
language : en
Publisher:
Release Date : 2007
Three Essays In International Macroeconomics And Finance written by Enrique Martinez-Garcia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Three Essays In International Macroeconomics And Finance
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Author : Bada Han
language : en
Publisher:
Release Date : 2021
Three Essays In International Macroeconomics And Finance written by Bada Han 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.
In this dissertation, I study the changes in external liabilities and assets of emerging market economies since the early-2000s and the following implications of the changes for the financial stability and the optimal policies of the economies. In chapter 1, I construct a dataset, which measures the external liability composition of emerging market economies in different instruments and currencies. The new dataset shows emerging market economies have much lower currency exposures than in the past. Also, the observed pattern in the dataset suggests that the ever-increasing local currency external borrowings of the emerging market economies since the early 2000s, original sin dissipation, is related to the capital market development in emerging market economies. Chapter 2 is a study of channels through which risk-appetite shocks to global investors, i.e., global financial shocks, are transmitted to emerging market economies. First, I empirically show that much of the transmission of global financial shocks to emerging market economies is reflected in equity and local currency bond portfolio investment capital flows. I then develop a small open economy model which, augmented with leverage constrained banks and foreign investors who purchase equities and bonds, can replicate these empirical findings qualitatively. Quantitative analysis of the model suggests that global financial shocks can account for 50 % of the equity price volatility and 30 % of the investment volatility in Korea, in which most of the external liabilities of the country are Korean won-denominated equities and debts. In short, all the analysis in chapter 2 implies that to a substantial extent, risk-appetite shocks to global investors are transmitted to emerging market economies via fickle portfolio capital flows to equity and local currency bond markets in the economies. In chapter 3, Dongwook Kim and I provide a novel theory of international reserve accumulation of emerging market economies. We view reserve accumulation as capital outflows by the public sector which supplements insufficient capital outflows by the private sector. In our model, when an emerging market economy receives large capital inflows in the form of direct or equity portfolio investment, the emerging market economy must invest abroad to maintain macroeconomic balance and prepare for a possible future sudden stop. If the private sector in the emerging market economy cannot invest externally sufficiently or invests inefficiently due to low financial expertise or poor institutional quality, supplemental international investments must be accomplished by the public sector as international reserve outflows.
Three Essays In International Macroeconomics
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Author : Adam Hubert Gulan
language : en
Publisher:
Release Date : 2011
Three Essays In International Macroeconomics written by Adam Hubert Gulan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Macroeconomics categories.
This dissertation consists of three separate essays in the field of international macroeconomics. The objective of the first and third chapters is to add to the understanding of some of the aspects of international business cycle fluctuations, both of developed economies, as well as developing ones. The second chapter sheds some new light on the behavior of current account positions in advanced economies. In the first chapter, I revisit the consumption correlation as well as the Backus--Smith puzzles by inspecting the role of financial markets. Relative to the existing literature, I introduce explicit international trade in stocks and bonds in an otherwise standard model of international business cycles. The results show that markets with symmetric trade in stocks allow for a high degree of risk sharing and closely mimic the Arrow--Debreu economy despite being formally incomplete. Risk sharing decreases in asymmetric stock and nominal bond markets, but is still higher than in a single commodity bond economy. The results, therefore, cast doubt on the explanation of the two puzzles based on highly restricted asset trade and large degree of market incompleteness. I also provide empirical evidence that output net of investment and government spending tends to be less correlated across countries than consumption, much less than output itself. This constitutes a new form of the consumption correlation puzzle. The puzzle can be accounted for in the presence of high home bias and low elasticities of substitution between domestic and foreign baskets. In the second chapter, I apply the weak axiom of revealed preference theory (WARP) in the context of a 2-period model of the current account. According to this argument, certain changes in current account positions should be precluded. In particular, a country which initially ran a current account deficit, should remain in deficit after the exogenously given interest rate drops. Similarly, a country running a surplus should remain a lender if the interest rate goes up. The argument holds for both an endowment economy as well as for a model with production. To check whether the changes in CA positions are in line with WARP I employ econometric models of binary choice on a panel of 22 developed economies. The results suggest that the axiom is largely at work, i.e. I find no statistical evidence of violations of the revealed preference axiom in all but one regression. In the third chapter, I turn the attention to the peculiarities of business cycle fluctuations in developing countries. Countercyclical country interest rates have been shown to be both a distinctive characteristic and an important driving force of business cycles in emerging markets. In order to capture this, most business cycle models of emerging economies have nonetheless relied on ad hoc and exogenous countercyclical interest rate processes. I offer a solution to this shortcoming by embedding a financial contract a la citet{bgg1999} into a standard real business cycle model of a small open economy. Because of the existence of agency problems between foreign lenders and domestic borrowers, this financial structure allows me to fully endogenize the existence of an external finance premium that drives country interest rates. I then take the model to data from emerging economies and show that this modification allows to properly account for many of the stylized facts of business cycles in emerging economies, particularly the strong volatility and countercyclicality of interest rates. I also fit the model to data from developed small open economies and find that the estimated parameters that define the financial contract differ in nontrivial ways from those estimated to emerging economies.
Three Essays In International Macroeconomics
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Author : Susanne Ingrid Karbe
language : en
Publisher:
Release Date : 2022
Three Essays In International Macroeconomics written by Susanne Ingrid Karbe and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Intervention Interest Rates And Charts
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1991-11-01
Intervention Interest Rates And Charts written by Mr.Mark P. Taylor and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-11-01 with Business & Economics categories.
This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Three Essays On International Finance And Macroeconomics
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Author : Hiroyuki Ito
language : en
Publisher:
Release Date : 2004
Three Essays On International Finance And Macroeconomics written by Hiroyuki Ito and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 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.
Three Essays In International Macroeconomics
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Author : Katrin Rabitsch
language : en
Publisher:
Release Date : 2008
Three Essays In International Macroeconomics written by Katrin Rabitsch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Macroeconomics categories.
Three Essays In International Macroeconomics
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Author : Mahir Binici
language : en
Publisher:
Release Date : 2010
Three Essays In International Macroeconomics written by Mahir Binici 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.
Three Essays In International Macroeconomics
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Author : Ivan Pentchev Tchakarov
language : en
Publisher:
Release Date : 2003
Three Essays In International Macroeconomics written by Ivan Pentchev Tchakarov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.