Three Essays In Macro Finance And International Finance
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Three Essays In Macro Finance And International Finance
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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 In Macro Finance
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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.
Globalization Asset Returns And Consumption Risk Sharing
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Author : Cyrill M. Bühler
language : en
Publisher:
Release Date : 2022
Globalization Asset Returns And Consumption Risk Sharing written by Cyrill M. Bühler 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.
Three Essays On Macro Finance Banking And Monetary Policy
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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.
Three Essays In Macro Finance International Economics And Macro Econometrics
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Author : Laurent Kemoe
language : en
Publisher:
Release Date : 2017
Three Essays In Macro Finance International Economics And Macro Econometrics written by Laurent Kemoe 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.
This thesis brings new evidence on different strands of the literature in macro-finance, international economics and macroeconometrics. The first two chapters combine both theoretical models and empirical techniques to deepen the analysis of important economic phenomena such as the effects of economic policy uncertainty on financial markets, and convergence between emerging market economies and advanced economies on these markets. The third chapter of the thesis, which is co-authored with Hafedh Bouakez, contributes to the literature on the identification of news shocks about future productivity. In the first chapter, I study the effect of monetary and fiscal policy uncertainty on nominal U.S. government bond yields and premiums. I use a New-Keynesian Dynamic Stochastic General Equilibrium model featuring recursive preferences, and both real and nominal rigidities. Policy uncertainty in the DSGE model is defined as a mean-preserving spread of the policy shock distributions. My results show that: (i) When the economy is subject to unpredictable shocks to the volatility of policy instruments, the level of the median yield curve is lower, its slope increases and risk premiums decrease relative to an economy with no stochastic volatility. This negative effect on the level of yields and premiums is due to the asymmetric impact of positive versus negative shocks; (ii) A typical policy risk shock increases yields at all maturities. This is because the fall in yields triggered by higher demand for bonds by households, in order to hedge against higher predicted consumption volatility, is outweighed by the increase in yields due to higher inflation risk premiums. Finally, I use several empirical measures economic policy uncertainty in a structural VAR model to show that the above effects of policy risk shocks on yields are consistent empirical evidence. Chapter 2 looks at the market for government bonds in 12 advanced economies and 8 emerging market economies, during the period 1999-2012, and consider the question of whether or not there has been any convergence of risk between emerging market and advanced economies. I distinguish between default risk and other types of risk, such as inflation, liquidity and exchange rate risk. I make the theoretical case that forward risk premium differentials can be used to distinguish default risk and other risks. I then construct forward risk premium differentials and use these to make the empirical case that there has been little convergence associated with the other types of risk. I also show that differences in countries' macroeconomic fundamentals and political risk play an important role in explaining the large "non-default" risk differentials observed between emerging and advanced economies. Chapter 3 proposes a novel strategy to identify anticipated and unanticipated technology shocks, which leads to results that are consistent with the predictions of conventional new-Keynesian models. It shows that the failure of many empirical studies to generate consistent responses to these shocks is due to impurities in the available TFP series, which lead to an incorrect identification of unanticipated technology shocks---whose estimated effects are inconsistent with the interpretation of these disturbances as supply shocks. This, in turn, contaminates the identification of news shocks. My co-author, Hafedh Bouakez, and I propose an agnostic identification strategy that allows TFP to be affected by both technological and non-technological shocks, and identifies unanticipated technology shocks via sign restrictions on the response of inflation. The results show that the effects of both surprise TFP shocks and news shocks are generally consistent with the predictions of standard new-Keynesian models. In particular, the inflation puzzle documented in previous studies vanishes under the novel empirical strategy.
Three Essays On International Finance
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Author : Bhavik Rajesh Parikh
language : en
Publisher:
Release Date : 2014
Three Essays On International Finance written by Bhavik Rajesh Parikh 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.
There are three essays in this dissertation. The first essay provides information regarding tax havens and its role in portfolio equity flows. For a sample of 70 countries average portfolio flows received from tax haven countries is higher than average flows received from non tax haven countries. When countries increase personal tax rates, portfolio equity flows from tax haven countries increases as compared to non tax haven countries. These effects are consistent for countries belonging to emerging, frontier and developed markets and whether a given country has high or low corporate governance. The second essay looks at the impact of tax treaties on valuations, equity flows and cost of equity capital. We construct a dyadic time series for 64 countries finding that the existence of over 2500 bilateral double taxation treaties (DTTs) facilitates effeciencies of foreign portfolio investment (FPI) by reducing investors' tax budens. Our analysis incoporates fixed effects, corporate and personal taxes and other control variables. Subsequent to countries' signing DTTS, annual flows increase significnatly, investors' benefits from tax savings, corporate equity valuation increases, and equity capital costs decline. Third essay looks at the impact of macro-economic uncertainty and stock index returns. Our resuls sugges that global GDP uncertainty is corrlated with country returns. More global macro uncertainty (GUN) is associated with higher country index returns. During non-crisis years, local macro uncertainty (CSUN) is uncorrelated with country returns. However CSUN is important for explaining market returns during extreme down markets. Thus macro uncertainty is a priced factor and differentation between country specific and global macro uncertainty is important. Lastly, we dcompose uncertainty into private and common components and study their effects. .
Three Empirical Essays In Financial Economics And International Finance
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Author : Marek Kolar
language : en
Publisher:
Release Date : 2008
Three Empirical Essays In Financial Economics And International Finance written by Marek Kolar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Banks and banking, Central categories.
International Finance And Financial Crises
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Author : Peter Isard
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
International Finance And Financial Crises written by Peter Isard and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
International Finance and Financial Crises: Essays in Honor of Robert P. Flood, Jr. contains the proceedings of a conference held in honor of Robert P. Flood, Jr. Bob Flood has made important contributions to many areas of economic analysis, including regime switching, speculative attacks, bubbles, stock market volatility, macro models with nominal rigidities, dual exchange rates, target zones, and rules versus discretion in monetary policy. Contributors were invited to address any of the topics or others of their choosing. The results include five papers on topics in international finance; two of these papers, as well as the panel discussion, focus on speculative attacks and financial crises. The other three take new directions in exploring topics in which existing models leave much to be desired.
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.
Essays In Macro Finance
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Author : Jiwei Zhang
language : en
Publisher:
Release Date : 2023
Essays In Macro Finance written by Jiwei Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
This dissertation consists of four essays in macro-finance, focusing on the cause and effect of asset prices, inequality, and welfare. In particular, these essays highlight the role of institutions and structural changes in shaping outcomes of asset markets and of the macro-economy. The two overarching objectives of these essays are to analyze mechanisms of asset price movements and to understand how these asset price movements affect the daily lives of people. The four chapters of this dissertation examine the implications of inertia and stock market non-participation for equity prices, risk sharing, and wealth inequality; causal effects of Chinese Communist Party's cadre promotion system on land prices in China; interconnection between homeownership and marriage; fiscal responses to income inequality shocks. The first chapter quantifies the general equilibrium effects of financial innovation that increases access to equity markets. I study an overlapping generations model with both idiosyncratic and aggregate risk, solved with machine learning techniques. A benchmark economy with limited stock market participation and rebalancing frictions matches the current dynamics of macro aggregates, equity and bond returns, as well as wealth and portfolio concentration. A counterfactual experiment shows how widespread adoption of target date funds would improve risk sharing, reduce inequality, and generate substantial welfare gains for households in the bottom 90% of wealth distribution. The equity premium drops from 6.4% to 1.7%, while the standard deviation of equity returns stabilizes from 21.9% to 14.6%. Welfare implications vary with risk aversion and age. In general, the bottom 90% benefit from improved access to equity markets and better risk sharing, while the top 10% su↵er losses in wealth accumulation. Outcomes are very close between an economy with target date funds and one without any participation costs or rebalancing frictions. The second chapter identifies the causal effect of the Chinese Communist Party's performance- based promotion system to the country's real estate boom from 2003 to 2015. City-level leaders prioritizing economic growth allocate land at discounted prices to industrial firms rather than housing developers. Our analysis reveals that personal connections with provincial superiors are crucial for promotion and hence affect local land and housing supply. When city leaders share the same hometown as newly appointed provincial leaders, their chances of promotion increase by 15%, and GDP performances no longer matters. This connection reduces the need for industrial land allocation, resulting in a higher residential land supply in the city. In addition, cities with leaders who have hometown connections experience significantly higher supplies of residential land, and housing price growth rates are also 5% lower in these cities. The third chapter studies the phenomenon of marriage house in China and its effects on demo- graphics and homeownership. We first show empirical evidence for the complementarity between marriage and homeownership: single males with a marriage house (a house where the newlywed can move into) have 70% higher odds of getting married compared to their counterparts who do not have a marriage house. In addition, the timing of home purchase exhibits a clear cut-o↵ around the time of marriage, with the probability of purchasing a house peaking 0-2 years before marriage and slumping immediately after the time of marriage. Moreover, in the cross section, county house prices and average age at marriage are highly correlated in both level and in growth rate. We then quantify the marriage related incentives for homeownership using a lifecycle consumption-savings model with housing demand and ownership-dependent marriage shocks. In a counterfactual world where the marriage-house complementarity is absent, 45% of households under age 45 would delay their home purchases. Removing the marriage house friction from the marriage market would have slowed down the rise in age at first marriage by 40% between 1995 and 2010. Our results suggest that policies directed at either housing affordability or demographics can have significant consequences for both marriage and housing markets in China. Using data on U.S. state and federal taxes and transfers over the last quarter century, the fourth chapter estimates a regression model that yields the marginal effect of any shift of market income share from one quintile to another on the entire post tax, post-transfer income distribution. We identify exogenous income distribution changes and account for reverse causality using instruments based on exposure to international trade shocks, international commodity price shocks and national industry demand shocks, as well as lagged endogenous variables, with controls for the level of income, the business cycle and demographics. We find attenuation initially increases in quintile rank, peaks at the middle quintile and then falls for higher income quintiles, consistent with median voter political economy theory and the Stiglitz Director's law. We also provide evidence of considerable and systematic spillover effects on quintiles neither gaining nor losing in the "experiments, " also favoring the middle quintile. "Voting" and "income insurance" coalition analyses are presented. We find a strong negative relationship between average real income and the degree to which taxes and transfers are heavily redistributive.