Three Essays In Macro Finance
DOWNLOAD
Download Three Essays In Macro Finance PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Three Essays In Macro 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 Macro Finance
DOWNLOAD
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.
Three Essays In Macro Finance
DOWNLOAD
Author : Alexandre Corhay
language : en
Publisher:
Release Date : 2016
Three Essays In Macro Finance written by Alexandre Corhay 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 In Macro Finance And International Finance
DOWNLOAD
Author : Siwen Zhou
language : en
Publisher:
Release Date : 2019
Three Essays In Macro Finance And International Finance written by Siwen Zhou 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.
Three Essays On Macro Finance
DOWNLOAD
Author : SungJun Huh
language : en
Publisher:
Release Date : 2018
Three Essays On Macro Finance written by SungJun Huh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Intermediation (Finance) categories.
Also, recent financial crises indicate that a significant decline in house prices can reduce confidence of economic agents and cause bank runs and a fire sale. Accordingly, this dissertation investigates the role of housing on the household's attitudes toward risk and derives the closed-form expressions for risk aversion with generalized recursive preferences. This chapter finds that including housing in the utility function lowers risk aversion because housing partially absorbs aggregate shocks to consumption and labor.
Three Essays In Macro Finance
DOWNLOAD
Author : Annukka Ristiniemi
language : en
Publisher:
Release Date : 2016
Three Essays In Macro Finance written by Annukka Ristiniemi 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.
This dissertation consists of three essays that examine the role of sovereign debt in the economy. The first of the essays explores the question of optimal debt through liquidity and finds that as long as debt is below a sustainability threshold, increasing debt is beneficial. Increasing debt levels encourages buyers to enter the market improving liquidity and lowering yields. The result is built by combining two strands of literature, market thinness and default probabilities in a unified search-theoretic model of over the counter traded debt. The model also predicts that liquidity and yields in smaller countries that are not able to issue much debt, suffer more from shocks to income. A panel VAR with data on Eurozone countries confirms this prediction. In the second chapter I present a search theoretic model of over-the-counter debt with quantitative easing that explains why interest rates fall more in some countries than others. The study is motivated by our finding that the higher rated a Eurozone country was, the more yields fell. Since the central banks purchase similar amounts in each Eurozone country, it cannot explain the difference in impact on yields. We explain the differential through two channels. Firstly, in markets for highly rated bonds, there are more preferred habitat investors and subsequently fewer sellers. Sellers therefore have a higher bargaining power and can negotiate a higher price. Those preferred habitat investors' have a less elastic demand for bonds, and wil continue to buy them even though it becomes harder to find sellers and their bargaining power diminishes. This excess demand due to market tightness has an additional positive impact on the price. Finally, central bank purchases initially improve liquidity, especially in high risk countries where the measure of buyers is small, but as it tapers the purchases, liquidity is reduced well below pre-purchase levels especially in those countries, that is the cost of quantitative easing. We estimate the share of preferred habitat investors in each Eurozone country from the ECB's Securities and Holdings Statistics and confirm the differential impact on yields with a panel VAR and an event study. The third chapter examines credit ratings and their impact on sovereign debt crises and yields. The results show that credit ratings are poor predictors of sovereign debt crises. A parsimonious model of fundamentals is better at predicting Emerging Market debt crises than credit ratings. Furthermore, rating changes tend to lag events significantly. Investors should therefore ignore rating changes given that they do not contain new information. Estimating the impact of rating changes on yields, we find evidence of contrary, yields react especially strongly to downgrades of non-investment grade debt. This can be due to regulatory constraints where a downgrade reduces the value of debt as a collateral.
Three Essays In Macro Finance
DOWNLOAD
Author : David Ciaran Lindsay
language : en
Publisher:
Release Date : 2022
Three Essays In Macro Finance written by David Ciaran Lindsay 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.
In Chapter 1, I use a structural approach, to quantify the effect of land-use regulations on different age and education groups. I estimate a dynamic spatial structural equilibrium model of household location choice, local housing supply, and amenity supply. I show that in the long-run, removing land-use restrictions benefits all household groups and increases aggregate consumption by 7.1%. These consumption gains vary across households, less educated and younger households see increases in consumption about twice as large as more educated or older households. In contrast, in the short-run, removing land-use regulations reduces the consumption of older-richer homeowners while increasing the consumption of younger renters. In a counterfactual 1990-2019 transition, abolishing land-use regulations reduces the consumption of households born before the mid-1960s, while increasing consumption of more recent generations. In Chapter 2, co-authored with Mahyar Kargar, Benjamin Lester, Shuo Liu, Pierre-Olivier Weill, Diego Zuniga, we study liquidity conditions in the corporate bond market during the COVID-19 pandemic. We document that the cost of trading immediately via risky-principal trades dramatically increased at the height of the sell-off, forcing customers to shift toward slower agency trades. Exploiting eligibility requirements, we show that the Federal Reserve's corporate credit facilities have had a positive effect on market liquidity. A structural estimation reveals that customers' willingness to pay for immediacy increased by about 200 bps per dollar of transaction, but quickly subsided after the Fed announced its interventions. Dealers' marginal cost also increased substantially but did not fully subside. In Chapter 3, co-authored with Diego Zuniga, we study inter-dealer trading patterns in the US corporate bond market. We document that dealers trade with only a small group of other dealers and that this group of dealers is highly persistent over time. We show that the longer a dealer pair have been trading the more likely that they will continue to trade and the larger the bilateral volume traded between them. We measure trading costs between dealers and show that stronger relationship leads to lower trading costs. Motivated by our empirical work we develop a structural model of trading relationships. The existence of double marginalization leads to inefficiency. We show that the repeated nature of the interactions between dealers allows them to form relationships and hence restore optimality.
Three Essays In Computational Methods And Macro Financial Modeling
DOWNLOAD
Author : Maximilian Ulrich Werner
language : en
Publisher:
Release Date : 2017
Three Essays In Computational Methods And Macro Financial Modeling written by Maximilian Ulrich Werner 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.
Three Essays In Macroeconomic Finance
DOWNLOAD
Author : Eduardo Levy Yeyati
language : en
Publisher:
Release Date : 1996
Three Essays In Macroeconomic Finance written by Eduardo Levy Yeyati and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Three Essays On Macro Finance Banking And Monetary Policy
DOWNLOAD
Author : Russell H. Rollow
language : en
Publisher:
Release Date : 2022
Three Essays On Macro Finance Banking And Monetary Policy written by Russell H. Rollow and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Banks and banking categories.
In my first chapter, I study how the dollar funding fragility of non-US banks amplifies cyclical patterns in their appetite for credit risk. Global banks outside of the United States finance a significant portion of their dollar-denominated lending with uninsured wholesale dollar funding, the price of which rises with the perceived riskiness of the bank. Using data from the syndicated lending market, I examine the risk appetite of non-US global banks when a broad appreciation of the US dollar expands portfolio tail risk and activates value-at-risk constraints. By orthogonalizing errors in professional forecasts of the broad dollar index to other macroeconomic indicators, I show that following such a dollar appreciation, global banks with a heavy dependence on wholesale dollar funding contract cross-border dollar lending to firms with high credit risk, as measured with loan-specific spreads and borrower-specific characteristics. Based on this evidence, I argue that instability in non-US bank funding structures amplifies cyclical patterns in their appetite for credit risk.In my second chapter, I explore how traditional modeling techniques can be applied to produce density forecasts of interest rates. As spikes in economic uncertainty have grown in prevalence, the projection of financial data has become a more arduous task, which has sharpened the focus of investors and policymakers on forecast risk. By integrating a dynamic factor model into a Bayesian framework, I develop a density forecasting model that projects the predictive density of interest rates. Unlike point forecasts, density forecasts produce probability estimates for the full distribution of potential future outcomes of interest rates, as opposed to solely their central tendency. To assess the viability of my forecasting model, I conduct a robust out-of-sample evaluation of the model's performance, finding the model significantly outperforms a competing benchmark autoregressive model, especially when economic uncertainty is high. By examining density forecasts of Treasury yields during the COVID-19 pandemic and the term spread prior to the financial crisis of 2008, I demonstrate the value of the dynamic factor model in expanding the information set available to forward-looking investors and policymakers.In my third chapter, I analyze the impact of the Federal Reserve's adoption of a floor system of monetary policy implementation on the transmission mechanism of changes in the policy rate to US bank balance sheets. Since 2008, in part due to easy monetary policy, United States interest rates have remained at historically low levels. Using US commercial bank call report data, I examine the response of bank profitability and investment to a rise in the rate of interest on reserve balances (IORB). Specifically analyzing the 2015-18 Federal Reserve monetary tightening cycle, I show that, following a rise in the IORB, holding more reserves buffers bank NII growth and asset growth against the adverse effects of a rise in the IORB. Taken together, these results imply that a rise in the policy rate raise profitability for banks with substantial reserve holdings and, when capital constraints bind, expand investment capacity.
Essays On Macro Finance Relationships
DOWNLOAD
Author : Azamat Abdymomunov
language : en
Publisher:
Release Date : 2010
Essays On Macro Finance Relationships written by Azamat Abdymomunov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Electronic dissertations categories.
In my dissertation, I study relationships between macroeconomics and financial markets. In particular, I empirically investigate the links between key macroeconomic indicators, such as output, inflation, and the business cycle, and the pricing of financial assets. The dissertation comprises three essays. The first essay investigates how the entire term structure of interest rates is influenced by regime-shifts in monetary policy. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy, volatility, and the price of risk. Our results for U.S. data from 1985-2008 indicate that (i) the Fed's reaction to inflation has changed over time, switching between "more active" and "less active" monetary policy regimes, (ii) the yield curve in the "more active" regime was considerably more volatile than in the "less active" regime, and (iii) on average, the slope of the yield curve in the "more active" regime was steeper than in the "less active" regime. The steeper yield curve in the "more active" regime reflects higher term premia that result from the risk associated with a more volatile future short-term rate given a more sensitive response to inflation. The second essay examines the predictive power of the entire yield curve for aggregate output. Many studies find that yields for government bonds predict real economic activity. Most of these studies use the yield spread, defined as the difference between two yields of specific maturities, to predict output. In this paper, I propose a different approach that makes use of information contained in the entire term structure of U.S. Treasury yields to predict U.S. real GDP growth. My proposed dynamic yield curve model produces better out-of-sample forecasts of real GDP than those produced by the traditional yield spread model. The main source of this improvement is in the dynamic approach to constructing forecasts versus the direct forecasting approach used in the traditional yield spread model. Although the predictive power of yield curve for output is concentrated in the yield spread, there is also a gain from using information in the curvature factor for the real GDP growth prediction. The third essay investigates time variation in CAPM betas for book-to-market and momentum portfolios across stock market volatility regimes. For our analysis, we jointly model market and portfolio returns using a two-state Markov-switching process, with beta and the market risk premium allowed to vary between "low" and "high" volatility regimes. Our empirical findings suggest strong time variation in betas across volatility regimes in most of the cases for which the unconditional CAPM can be rejected. Although the regime-switching conditional CAPM can still be rejected in many cases, the time-varying betas help explain portfolio returns much better than the unconditional CAPM, especially when market volatility is high.