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Three Essays In Macroeconomics And Finance

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Three Essays In Macroeconomics And Finance

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Author : Stefan Pitschner
language : en
Publisher:
Release Date : 2016

Three Essays In Macroeconomics And Finance written by Stefan Pitschner 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 Macroeconomics And Finance

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Author : David Henry Bowman
language : en
Publisher:
Release Date : 1993

Three Essays In Macroeconomics And Finance written by David Henry Bowman 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 Macroeconomics And Finance

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Author :
language : en
Publisher:
Release Date : 2014

Three Essays In Macroeconomics And Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with International finance categories.

This thesis addresses three issues in the fields of macroeconomics and international finance. The first chapter examines how institutional investors, such as mutual funds and hedge funds, tend to transmit economic and financial shocks across borders. Using a novel micro-level dataset on portfolio investments from a vast number of funds located in advanced markets, I find strong evidence of contagion propagating through the fund industry. Changes in economic and financial conditions in advanced markets generate global waves of portfolio inflows (outflows) with a massive impact on emerging markets' funding. I illustrate this finding by deriving contagion maps showing where contagion spreads and with what intensity. I also find that countries that are politically unstable and that are remote from the main financial centers are the main victims of such contagion. Overall, the results clearly suggest that push effects from advanced market investors affect developing countries and expose them to sudden stops and surges. The second chapter, co-authored with Shekhar Aiyar, Romain Duval, Longmei Zhang and Yiqun Wu, investigates the existence, and potential determinants, of the so-called "middle income trap", defined as the phenomenon of rapidly growing economies stagnating at middle-income levels and failing to graduate into the ranks of high income countries. We examine the middle-income trap as a special case of growth slowdowns and identify slowdowns as large sudden and sustained deviations from the growth path predicted by a basic conditional convergence framework. We then examine their determinants by means of probit regressions, looking into the role of institutions, demography, infrastructure, the macroeconomic environment, output structure and trade structure. Two variants of Bayesian Model Averaging are used as robustness checks. The results-including some that speak to the special status of middle-income countries-are then used to derive policy implications. The third chapter, co-authored with David Pothier, proposes a theory explaining the cyclical properties of the income distribution. We develop a two sector general equilibrium model in which agents have non-homothetic preferences and differ in terms of their initial ownership of capital. We show that when sectors differ in terms of their relative labour- and capital-intensity, changes in the composition of aggregate demand is an important channel through which productivity shocks are propagated through the economy. We then use this framework to study the distributional consequences of business-cycle shocks. Consistent with empirical evidence, we find income inequality (as measured by the Gini coefficient) to be counter-cyclical and this effect to be driven mostly by changes in the level of employment and, to a lesser degree, by changes in relative factor prices. Interestingly, we also find that changes in the concentration of capital ownership have negligible effects on both the level and the cyclical properties of income inequality.

Three Essays On Macroeconomics And Finance

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Author : Xuetao Song
language : en
Publisher:
Release Date : 2016

Three Essays On Macroeconomics And Finance written by Xuetao Song 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 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.

Finance Culture And Real Economy

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Author : Martin Strieborny
language : en
Publisher:
Release Date : 2010

Finance Culture And Real Economy written by Martin Strieborny 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 Macroeconomics And Finance

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Author : Yang Li
language : en
Publisher:
Release Date : 2022

Three Essays In Macroeconomics And Finance written by Yang Li 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.

Chapter 1 develops a continuous-time, heterogeneous agents version of the Barro-Rietz rare disasters model. Following Gabaix (2012), the disaster probability is assumed to be time-varying. The economy consists of two types of agents: (1) a "rational" agent, who updates his beliefs using Bayes Rule, and (2) a "robust" agent, who updates his beliefs using a pessimistically distorted prior. Following Hansen and Sargent (2008), pessimism is disciplined using detection error probabilities. Disaster risk is assumed to be nontradeable. The model is calibrated to US data, and focuses on three disaster episodes: (1) The Great Depression of 1929-33, (2) The Financial Crisis of 2008-09, and (3) The Covid Pandemic of 2020. The key contribution of the paper is to show that the model can replicate the observed spike in trading volume that occurs during disasters. Trading produces endogenous low frequency dynamics in the distribution of wealth. The relative wealth of robust agents gradually declines during normal times, but rises sharply during disasters. These results sound a note of caution when interpreting short-run movements in the distribution of wealth. Chapter 2 examines the market selection hypothesis in a continuous time asset pricing model with jumps. It is shown that the hypothesis is valid when agents have log preferences. The result is robust as it does not depend on whether markets are incomplete. Jumps affect long-run wealth dynamics through a redistribution channel: Disasters lead to large wealth redistribution as agents with heterogeneous beliefs about disasters have different exposures to risky assets. Using tools from ergodic theory, I prove a novel result that generalizes the rationality concept in the existing literature: an agent endowed with the optimal filter will outperform other agents in complete financial markets asymptotically. Chapter 3, a joint paper with Xiaowen Lei, develops a continuous-time overlapping generations model with rare disasters and agents who learn from their own experiences. Using microdata about household finance in China, we establish that economic disasters such as the Great Leap Forward make investors distrustful of the market. Generations that experience disasters invest a lower fraction of their wealth in risky assets, even if similar disasters are not likely to occur again during their lifetimes. "Fearing to attempt" therefore inhibits wealth accumulation by these "depression babies" relative to other generations.