Three Essays On The Macroeconomic Effects Of Financial Structure
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Three Essays On The Macroeconomic Effects Of Financial Structure
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Author : William Osterberg
language : en
Publisher:
Release Date : 1986
Three Essays On The Macroeconomic Effects Of Financial Structure written by William Osterberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with categories.
Three Essays In Asset Bubbles Banking And Macroeconomics
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Author :
language : en
Publisher:
Release Date : 2015
Three Essays In Asset Bubbles Banking And Macroeconomics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Essays On Macroeconomics And Firm Dynamics
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Author : Lei Zhang
language : en
Publisher:
Release Date : 2016
Essays On Macroeconomics And Firm Dynamics written by Lei Zhang 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 contains three essays at the interaction between macroeconomics and the financial market, with an emphasis on macroeconomic implications of heterogeneous firms under financial frictions. My dissertation explores the relationships among financial market friction, firms' entry and exit behaviors, and job reallocation over the business cycle. Chapter 1 examines the macroeconomic effects of financial leverage and firms' endogenous entry and exit on job reallocation over the business cycle. Financial leverage and the extensive margin are the keys to explain job reallocation at both the firm-level and the aggregate level. I build a general equilibrium industry dynamics model with endogenous entry and exit, a frictional labor market, and borrowing constraints. The model provides a novel theory that financially constrained firms adjust employment more often. I characterize an analytical solution to the wage bargaining problem between a leveraged firm and workers. Higher financial leverage allows constrained firms to bargain for lower wages, but also induces higher default risks. In the model, firms adopt (S,s) employment decision rules. Because the entry and exit firms are more likely to be borrowing constrained, a negative shock affects the inaction regions of the entry and exit firms more than that of the incumbents. In the simulated model, the extensive margin explains 36% of the job reallocation volatility, which is very close to the data and is quantitatively significant. Chapter 2 investigates firms' financial behaviors and size distributions over the business cycle. We propose a general equilibrium industry dynamics model of firms' capital structure and entry and exit behaviors. The financial market frictions capture both the age dependence and size dependence of firms' size distributions. When we add the aggregate shocks to the model, it can account for the business cycle patterns of firm dynamics: 1) entry is more procyclical than exit; 2) debt is procyclical, and equity issuance is countercyclical; and 3) the cyclicalities of debt and equity issuance are negatively correlated with firm size and age. Chapter 3 studies the equilibrium pricing of complex securities in segmented markets by risk-averse expert investors who are subject to asset-specific risk. Investor expertise varies, and the investment technology of investors with more expertise is subject to less asset-specific risk. Expert demand lowers equilibrium required returns, reducing participation, and leading to endogenously segmented markets. Amongst participants, portfolio decisions and realized returns determine the joint distribution of financial expertise and financial wealth. This distribution, along with participation, then determines market-level risk bearing capacity. We show that more complex assets deliver higher equilibrium returns to expert participants. Moreover, we explain why complex assets can have lower overall participation despite higher market-level alphas and Sharpe ratios. Finally, we show how complexity affects the size distribution of complex asset investors in a way that is consistent with the size distribution of hedge funds.
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.
Essays On Information Frictions And The Macroeconomy
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Author : Andras Komaromi
language : en
Publisher:
Release Date : 2015
Essays On Information Frictions And The Macroeconomy written by Andras Komaromi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This dissertation is a compilation of three essays on the role of information frictions in macroeconomics. The first essay contributes to the literature on the impact of uncertainty on the business cycle. The cross-sectional dispersion of firm-level outcomes, such as sales growth or stock returns, is markedly countercyclical. Recent papers have framed this fact as evidence that exogenous "uncertainty shocks" are important drivers of business cycles. This paper provides empirical evidence that the co-movement of various dispersion measures with the business cycle is better understood as the economy's endogenous response to traditional first moment shocks - dispersion is the effect, not the cause. It then develops a theoretical model that links the cross-sectional dispersion of micro-level outcomes to the aggregate state of the economy. The mechanism is based on time-varying rational inattention. In bad times, firms pay more attention to idiosyncratic shocks hitting their business environment. More precise micro- level information about the underlying heterogeneity leads to higher dispersion in realized outcomes. In line with the empirical findings, the model generates countercyclical dispersion without relying on exogenous second moment (uncertainty) shocks. The second essay uses survey expectations to assess the microfoundations of an important class of macroeconomic models. Many theoretical macro models try to explain the pervasive nominal and real stickiness in the data by assuming rational decision-making under imperfect information. The behavior of consensus (average) forecasts is consistent with the predictions of these models, which can be seen as supportive empirical evidence for the models' microfoundations (Coibion and Gorodnichenko, 2012). This paper demonstrates, however, that the individual-level data underlying the consensus forecasts are at odds with this interpretation. In particular, I document that individual expectations in the Survey of Professional Forecasters do not pass a very weak test of rational expectations: current forecast revisions are strong predictors of subsequent forecast errors. Information frictions alone cannot explain this pattern. I go on to propose a simple modification of the noisy information framework that allows for a particular form of non-rational expectations: agents may incorrectly weight new information against their prior. I show that this parsimonious model can match the survey data along several dimensions. Using the structure of the model, I estimate the direction and size of inefficiencies in the expectations formation process. I find that in most cases agents put too much weight on their private information, which can be interpreted as overconfidence in the precision of private information. I also show that there is substantial heterogeneity across agents in the deviation from rational expectations, and I relate these differences to observable characteristics. Finally, I discuss potential interpretations of my empirical results and their implications for macroeconomic theory. The third essay explores the potential trade-off between competition and systemic stability in financial intermediation. Why do banks feel compelled to operate with such high leverage despite the risks this poses? Using a simple model, I argue that the degree of competition goes a long way in explaining capital structure decisions. On the one hand, information frictions (adverse selection) render debt a cheaper form of financing than equity. On the other hand, more reliance on debt increases the probability of bankruptcy, which results in the loss of the bank's charter value. The degree of competition affects charter values, and hence changes the way banks balance between these two forces. A panel analysis of European banks' capital structure around the introduction of the euro reveals statistically and economically significant effects consistent with this hypothesis. Banks, in particular smaller banks, decreased their equity ratios after entering the currency area. Complementary evidence suggests that this effect can be attributed to increased competitive pressures boosted by the euro.
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.
This thesis consists of three chapters on topics in macroeconomics and finance. In the first chapter, I use texts from corporate filings of US companies to investigate if liquidity shortages that occurred during the late-2000 financial crisis were different from cases that occur during more normal times. In the second chapter, I quantify narrative evidence from corporate filings to construct a novel dataset on the price-setting behavior of companies. I then use this dataset to investigate what factors cause firms to change the prices of their products or prevent them from doing so. In the third chapter, I use a number of high-frequency financial market estimates to identify the monetary policy shock in a non-recursive Factor Augmented Vector Autoregression of monthly frequency.
Essays In Macroeonomics And Corporate Finance
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Author : Nicolas Crouzet
language : en
Publisher:
Release Date : 2014
Essays In Macroeonomics And Corporate Finance written by Nicolas Crouzet 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.
This dissertation contains three essays in Macroeconomics and Corporate Finance. The first essay deals the implications of inventory investment for news-driven business cycles. The second essay looks at the connection between debt structure and investment at the firm level. The third essay proposes a macroeonomic model where firms choose simultaneously the composition and scale of their debt.
Three Essays On The Macroeconomic Effects Of Government Size
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Author : Anthony Annett
language : en
Publisher:
Release Date : 1998
Three Essays On The Macroeconomic Effects Of Government Size written by Anthony Annett and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 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.
Three Essays In Macroeconomics
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Author : Matthew Alan Talbert
language : en
Publisher:
Release Date : 2011
Three Essays In Macroeconomics written by Matthew Alan Talbert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Chapters one and two of the dissertation investigate the effects of political disagreement on macroeconomic outcomes. I introduce a model of governments with heterogeneous preferences over the composition of consumption between private and public goods alternating in power. Unable to commit to future policies, the party in power has incentive not only to shape consumption according to their preferences but also to manipulate the future state faced by successive governments to influence the decisions of future policy makers. Alternating governments give rise to political business cycles; fluctuations in economy-wide variables due to the political system. Political business cycles help explain the divergence in outcomes of economic variables across countries with different levels of political disagreement and political stability. The first chapter adapts a real business cycle model to include political shocks in addition to the productivity shocks. This is motivated by a key puzzle in the business cycle literature: for emerging economies the volatility of consumption is higher than the volatility of output, a feature of the data that is not explained by standard theory. The goal of this chapter is not only to replicate the data but to understand how consumption responds to political shocks differently than shocks to productivity. This model is also able to recreate endogenously the high level of volatility in government expenditure observed in the data. The model can explain up to 29% of the variation in the relative volatility of consumption across countries. Chapter two focuses on a similar model in the presence of debt instead of capital to develop a positive theory for fiscal policy (debt, expenditure, and deficits) over the business cycle to compare to historical observation. I find that political shocks are important to understand observed U.S. data moments. Chapter three investigates the welfare effects of tax-deferred retirement accounts (similar to Traditional IRAs in the US). I find that such accounts increase aggregate welfare as well as increasing economy-wide inequality. I find from an aggregate welfare perspective the optimal contribution limit for IRAs is to not have a contribution limit.