Dissertations / Theses on the topic '140210 International Economics and International Finance'
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Jones, Geraint Paul. "Essays in international finance." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/32406.
Full text"June 2005."
Includes bibliographical references.
This thesis is a collection of three essays on exchange rate policies and international capital flows in emerging markets. The first chapter examines the theoretical foundations of the "fear of floating" that has been observed to characterize many emerging market exchange rate regimes. Building on a model that derives "fear of floating" from a desire to prevent non-fundamental shocks in foreign exchange markets affecting the real economy, the chapter shows that floating exchange rates can still be optimal in such an environment. It further argues that floating exchange rates should become more prevalent as emerging markets integrate more fully into the world economy. The second chapter investigates the empirical evidence on "fear of floating" with a view to determining whether the phenomenon is the optimal response of emerging markets to a volatile external environment, as supposed in the first chapter, or whether more emerging markets would optimally employ floating exchange rates. The chapter finds evidence that "fear of floating" has a dual aspect; that it might indeed be optimal during less severe external volatility, but during severe external shocks, fear of floating can lead to underinsurance against sudden stops in capital inflows. Such "fear of floating" is associated with a lack of credibility in monetary policymaking and the chapter argues that the evidence suggests that a credible commitment to floating exchange rates during severe external shocks would help insure emerging markets against sudden stops. The third chapter evaluates the link between foreign investment and corruption in emerging markets.
(cont.) A model is developed of the link between FDI and corruption and the model is evaluated with data from the World Bank's Business Environment and Enterprise Performance Survey. It is found that corruption reduces aggregate FDI flows, but also distorts the composition of FDI towards firms more willing to engage in certain forms of corruption. FDI does not necessarily import better standards of governance. The chapter concludes with policy recommendation -for addressing the corruption in emerging markets.
by Geraint Paul Jones.
Ph.D.
Mora, Nada 1976. "Essays in international finance." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/17623.
Full textIncludes bibliographical references.
This thesis is a collection of three empirical essays in international finance. The first chapter studies the transmission of monetary policy through the lending channel in a partially dollarized banking system. Taking advantage of the cross-sectional and time-series variation in the individual Mexican bank balance sheets, I find that the deposits and loans of banks with a larger share of foreign deposits are less sensitive to domestic monetary shocks, particularly for small banks. This result is reinforced when foreign monetary shocks and country risk shocks are controlled for. The results also suggest that banks with a larger foreign deposit share are more sensitive to foreign (U.S.) monetary shocks. Finally, these banks are more sensitive to country risk. That is, they are more prone to lose deposits when Brady bond spreads increase, although the size of their loan portfolio is not reduced. The second chapter examines whether bank credit fuels asset prices, using evidence from the Japanese real estate boom during the 1980's. The decline in banks' loans to keiretsu firms is used as the shock to bank real estate credit. The evidence supports using keiretsu loans as an instrument. Financial deregulation allowed large firms to replace bank finance with financing from public markets. The main part determines that those prefectures that experienced a larger loss in their banks' proportion of keiretsu loans experienced a positive increase in real estate lending which fuelled land inflation. An increase of 0.01 in a prefecture's instrumented share of real estate loans for 3 years implies a 28 % higher land inflation rate. The third chapter evaluates the behavior of sovereign credit ratings. This chapter questions the view that credit rating agencies aggravated the Asian crisis by excessively downgrading those countries. I find that ratings are, if anything, sticky rather than excessively procyclical. Assigned ratings exceeded predicted ratings prior to the crisis, mostly matched predicted ratings during the crisis period, and did not increase as much as predictions in the recent period following the crisis. Ratings are also found to react to nonmacroeconomic factors, lagged spreads and default history.
by Nada Mora.
Ph.D.
Conesa-Labastida, Andres. "Essays on international finance." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10334.
Full textTa, Thanh Hai. "Two essays in international finance." Thesis, McGill University, 2012. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=106348.
Full textCette thèse se compose de deux essais sur les effets des obstacles à l'investissement international sur la prime de risque et les avoirs en portefeuille des investisseurs. Dans le premier essai, nous développons un modèle d'évaluation des actifs internationaux à deux pays où il n'existe aucune restriction sur le marché intérieur (par exemple les États-Unis). D'un autre côté, la négociation des actifs sur le marché étranger (par exemple un Marché Émergent) rencontre des obstacles aux investissements de portefeuille et des restrictions sur les ventes à découvert. Le modèle suggère que les actifs négociés librement (par exemple ceux négociés aux États-Unis) sont évalués uniquement par une prime de risque globale tandis que les actifs qui sont négociés avec l'existence des restrictions aux flux de capitaux et aux ventes à découvert (par exemple ceux négociés sur les Marchés Émergents) sont évalués par une prime de risque mondial, une prime de risque conditionnelle et un escompte conditionnel. De plus, le prix du risque du facteur d'escompte est une fonction linéaire croissante de restrictions légales sur les investissements étrangers en titres qui se négocient sur le marché étranger. Ceci est le premier modèle d'évaluation des actifs internationaux sans arbitrage qui étudie des restrictions sur les ventes à découvert et sur la propriété étrangère ensemble. Le modèle découvre un nouveau facteur d'évaluation qui fournit une mesure des avantages économiques du relâchement des restrictions sur la propriété étrangère des actions. Nous estimons une version conditionnelle du modèle pour 18 principaux marchés émergents sur la période 1989-2007. Nous trouvons la preuve que le facteur de risque mondial et deux facteurs de risque locaux sont évalués et variables dans le temps. La relation entre les restrictions légales sur la propriété étrangère des actions et le prix du risque du facteur d'escompte est statistiquement significative, suggérant que l'assouplissement des restrictions aux flux de capitaux produise des avantages économiques. Le deuxième essai évalue l'impact de l'investability sur la prime de risque dans les marchés émergents. En utilisant les résultats théoriques du premier essai, nous décomposons la prime de risque des portefeuilles non-investable et partiellement-investable dans les marchés émergents en trois composantes: une prime mondiale, une prime locale conditionnelle et un escompte local conditionnel où l'escompte reflète l'avantage de l'investability sur la prime de risque. En utilisant la technique de MGARCH-en-moyen, nous quantifions l'impact de l'investability sur la prime de risque pour 18 principaux marchés émergents et trouvons que l'investability représente une part économiquement significative de la prime de risque des portefeuilles non-investable et partiellement-investable. Nous trouvons également que l'augmentation de l'investability est associée à l'augmentation des avantages économiques et la plus grande exposition au facteur mondial.
Rappoport, Veronica E. (Veronica Eva). "Essays on international finance and economics." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/33829.
Full textIncludes bibliographical references (p. 119-123).
The first essay explains why credit contracts in developing countries are often denominated in foreign currencies, even after many of these economies succeeded in controlling inflation. I propose a new interpretation based on the demand for insurance against real aggregate shocks. The fact that devaluations occur more frequently in adverse states of the world provides a motive for holding dollar assets when the risk of recession is the main source of volatility in consumption. The model predicts persistence in the degree of "dollarization" in economies with low inflationary risk. The second essay looks at how the government's lack of commitment technology affects the capacity of resident agents to optimally diversify risk. I find that government's moral hazard introduces a trade-off between pooling idiosyncratic risk and diversifying aggregate country uncertainty. As a result, local agents face excessive consumption risk. This paper also explores how institutions can be designed as to overcome this moral hazard problem. The third essay proposes an explanation for the variation across countries in the quality of the institutions governing the financial. The explanation based on the proportion of local investors participating in the domestic financial sector.
(cont.) I find that the participation of local investors in the financial market and, correspondingly, the resulting institutions vary according to wealth distribution and the size of capital inflows.
by Veronica E. Rappoport.
Ph.D.
D'Aguanno, Lucio. "Essays in international monetary economics." Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/80022/.
Full textChang, Pang-hua Kevin. "Commodity price shocks and international finance." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/31012.
Full textDu, Wenxin. "Essays in International Finance." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10902.
Full textEconomics
Shinozaki, Toshiaki. "Three essays on international economics." Thesis, Boston University, 2012. https://hdl.handle.net/2144/32063.
Full textMy dissertation consists of three papers on international finance, international economics, and labor economics. The first paper develops a stochastic general equilibrium model to understand the effects of default risk on output, consumption, investment, and current account deficits in emerging markets. The second paper studies how market structure affects exchange-rate pass-through. This analysis is empirical as well as theoretical, using a partial equilibrium model. The third paper develops a model to study relative wages across different educational levels in developed countries. The model in my first paper features endogenous default risk. Its calibration results explain a number of important stylized facts about emerging economies, including the negative correlation between investment and net exports, the procyclicality of investment, and the potential for current account reversals. The second paper compares exchange-rate pass-through under perfect competition and oligopoly, showing that the two different market structures have opposite effects on this currency pricing behavior. The paper's empirical test, whether implemented on the basis of a partial equilibrium framework or on the model's general equilibrium framework, finds support for perfect competition. The third paper uses differences within and across industries m education wage premiums to study factors affecting those premiums. The paper begins by showing that within-industry as opposed to cross-industry educational wage premiums explain most of developed country differences in wages by education. It then develops a theoretical model and an empirical testing strategy, using U.S. and Japanese data, to examine whether the use of IT capital and the decision to outsource affect the education-wage premium. The answer is mixed depending on the country in question.
Col, Burcin. "Three essays on international corporate finance." Thesis, McGill University, 2012. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=110527.
Full textCette thèse se comporte de trois essais portant sur les décisions relatives à l'allocation des capitaux dans les firmes multinationales ainsi que sur les problématiques se rapportant à leur évaluation. Le premier essai explore les conséquences de l'évasion fiscale en termes d'évaluations, et ceci en se basant sur un échantillon de données portant sur des opérations de fusions et acquisitions internationales impliquant des entreprises se trouvant dans des paradis fiscaux. En utilisant des données sur les fusions et acquisitions portant sur la période de 1989 à 2010, nous trouvons que les rendements autour de la date d'annonce pour les entreprises acquises ou acquéreuses se trouvant dans des paradis fiscaux sont relativement moins élevés en comparaison à ceux des entreprises fusionnant pour motifs autres que fiscaux. Ce résultat est en accord avec la notion des coûts d'agence, puisque le changement fiscal sera accompagné d'un changement du système judiciaire et des pratiques de gouvernance. Les résultats obtenus constituent une preuve de l'impact en termes d'évaluation des coûts d'agence dans les fusions et les acquisitions motivées par des avantages fiscaux. Dans le second essai nous étudions deux problématiques connexes. Tout d'abord, quel est l'impact d'expropriation par l'état, en termes d'évaluation, sur les fusions impliquant des entreprises se trouvant dans des pays prédateurs. Deuxièmement, quel est l'effet d'une amélioration de la protection des actionnaires et de la transparence lorsque l'entreprise acquise présente un risque élevé d'expropriation. En utilisant un échantillon de 902 acquisitions portant sur 36 pays durant la période de 1989 à 2009, nous trouvons que les entreprises acquises qui présentent un certain risque d'expropriation reçoivent une prime moins élevée. Les actionnaires de l'entreprise acquise ne sont pas non plus entièrement compensés pour l'amélioration de la gouvernance puisque les bénéfices de cette amélioration sont mitigés en présence de risque de prédation. Dans le troisième essai, nous étudions l'impact du risque international sur les décisions relatives à l'allocation des capitaux dans les entreprises américaines. Nous affirmons que le commerce international est conduit important d'incertitude des pays étrangers politique pour les marchés américains. Nous trouvons que les industries qui exportent une part importante de leurs produits dans des pays présentant un risque politique élevé ou des pays qui tiennent des élections nationales durant une année donnée, ont un investissement sous-optimal et une performance moins élevée.
Schreger, Jesse. "Essays in International Finance and Macroeconomics." Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:17463984.
Full textPolitical Economy and Government
Zabel, Michael. "Essays in monetary economics and international finance." Diss., Ludwig-Maximilians-Universität München, 2014. http://nbn-resolving.de/urn:nbn:de:bvb:19-169977.
Full textHoddenbagh, Jonathan. "Essays in International Macroeconomics and Finance." Thesis, Boston College, 2014. http://hdl.handle.net/2345/bc-ir:103620.
Full textMy dissertation develops a set of tools for introducing heterogeneity into economic models in an analytically tractable way. Many models use the representative agent framework, which greatly simplifies macroeconomic aggregation but abstracts from the heterogeneity we see in the real world. In my research, I move away from the representative agent framework in two key ways. First, my work in international macroeconomics incorporates heterogeneity via idiosyncratic shocks across countries. Second, my work on financial frictions employs asymmetric information between lenders and borrowers. In both of these areas, my goal is to examine the implications of heterogeneity in the most tractable way possible. Crucially, these insights can be incorporated into the models currently used by academics and central banks for policy analysis. The first chapter of my dissertation, "Price Stability in Small Open Economies," joint work with Mikhail Dmitriev, studies the conduct of optimal monetary policy in a continuum of small open economies. We obtain a novel closed-form solution that does not restrict the elasticity of substitution between home and foreign goods to one. Using this global closed-form solution, we give an exact characterization of optimal monetary policy and welfare with and without international policy cooperation. We consider the cases of internationally complete asset markets and financial autarky, producer currency pricing and local currency pricing. Under producer currency pricing, it is always optimal to mimic the flexible-price equilibrium through a policy of price stability. Under local currency pricing, policy should fix the exchange rate. Even though countries have monopoly power, the continuum of small open economies implies that policymakers cannot affect world income. This inability to influence world income removes the incentive to deviate from price stability under producer currency pricing or a fixed exchange rate under local currency pricing, and prevents gains from international monetary cooperation in all cases examined. Our results contrast with those for large open economies, where interactions between home policy and world income drive optimal policy away from price stability or fixed exchange rates, and gains from cooperation are present. The second chapter of my dissertation, "The Optimal Design of a Fiscal Union'', joint work with Mikhail Dmitriev, examines the role of fiscal policy cooperation and financial market integration in an open economy setting, motivated by the recent crisis in the euro area. I show that the optimal design of a fiscal union is governed by the degree of substitutability between the export goods of different countries. When countries produce goods that are imperfect substitutes they should harmonize their income taxes to prevent large terms of trade externalities. On the other hand, when countries produce goods that are close substitutes, they should organize a contingent fiscal transfer scheme to insure against idiosyncratic shocks. The welfare gains from the optimal fiscal union are as high as 5\% of permanent consumption when countries are able to trade safe government bonds, and approach 20\% of permanent consumption when countries lose access to international financial markets. These gains are especially large for countries like Greece that produce highly substitutable export goods and who cannot raise funds on international financial markets to insure against downside risk. The results illustrate why federal currency unions such as the U.S., Canada and Australia, with income tax harmonization and built-in fiscal transfer arrangements, withstand asymmetric shocks across regions much better than the euro area, which lacks these ingredients at the moment. The third chapter of my dissertation, joint work with Mikhail Dmitriev, studies macro-financial linkages and the impact of financial frictions on real economic activity in some of my other work. Beginning with the Bernanke-Gertler-Gilchrist (1999) financial accelerator model, a large literature has shown that financial frictions amplify business cycles. Using this framework, Christiano, Motto and Rostagno (AER, 2013) show that shocks to financial frictions can explain business cycle fluctuations quite well. However, this literature relies on two ad hoc assumptions. When these assumptions are relaxed and agents have access to a broader set of lending contracts, the financial accelerator disappears, and shocks to financial frictions have little to no impact on the economy. In addition, under the ad hoc lending contract inflation targeting eliminates the financial accelerator. These results provide guidance for monetary policymakers and present a puzzle for macroeconomic theory
Thesis (PhD) — Boston College, 2014
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
Martell, Rodolfo. "Three essays in international finance." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1111754376.
Full textTitle from first page of PDF file. Document formatted into pages; contains xiv, 147 p.; also includes graphics (some col.) Includes bibliographical references (p. 91-98). Available online via OhioLINK's ETD Center
Powers, Thomas Yang. "Essays on International Finance and Asset Pricing." Thesis, Harvard University, 2016. http://nrs.harvard.edu/urn-3:HUL.InstRepos:33493252.
Full textBusiness Economics
Lazarou, Nicholas-Joseph. "Three essays in international economics." Thesis, University of Southampton, 2014. https://eprints.soton.ac.uk/365329/.
Full textUddin, Syed A. "Three Essays on International Trade and Finance." FIU Digital Commons, 2017. http://digitalcommons.fiu.edu/etd/3480.
Full textKolar, Marek. "Three empirical essays in financial economics and international finance." Diss., Connect to online resource - MSU authorized users, 2008.
Find full textAgudelo, Diego A. "Three essays on information and liquidity in international markets." [Bloomington, Ind.] Indiana University, 2007. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3274266.
Full textSource: Dissertation Abstracts International, Volume: 68-07, Section: A, page: 3063. Adviser: Craig W. Holden. Title from dissertation home page (viewed April 8, 2008).
Gregirchak, Yaroslav. "International securitization : Implications for law reform in Ukraine." Thesis, McGill University, 2001. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=32802.
Full textSecuritization in the United States is examined as an example of how a developed jurisdiction can deploy this institution. The study of the cross-border structured finance experience gained by Latin American countries serves to show that this financing technique can be used in Ukraine. Ukraine is viewed as a target developing jurisdiction, and relevant proposals for Ukrainian law reform with emphasis on secured financing and bankruptcy regimes are elaborated.
Stavrakeva, Vania Atanassova. "Three Essays in Macroeconomics and International Finance." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10881.
Full textEconomics
Gebregiorgis, Bekele Sinkie. "Essays in the international economics of credit and banking." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=115643.
Full textThe second essay develops open-economy variants of the old Friedman-Schwartz and the new Lucas-Sargent-Wallace monetarist models to investigate the puzzle of monetary neutrality. The essay further introduces financial aggregation theories into the models. It studies the theoretical and business-cycle relationships between real output and financial aggregates, interest rates, exchange rate, and prices using Canadian quarterly data for the period 1959: 1 to 2002: 1. It reports that the open-economy variants of the monetarist models with aggregation-theoretic financial aggregates perform the best in producing significant sign patterns that are predicted by theory. Furthermore, Monte Carlo experiments show that large percentage of real output variance is explained by shocks to aggregation-theoretic financial aggregates relative to other variables. Thus, there is no difference between the effects of anticipated and unanticipated monetary shocks.
The third essay examines the appropriate formulation of the monetary aggregate for the Nigerian economy for the period 1970:1-2000:4 for the determination of real output. This examination covers simple sum, variable elasticity of substitution (ves), and divisia (dv) aggregation over currency, demand deposits, and savings deposits. The user cost of liquid assets is employed in the construction of both the dv and the yes aggregates. Using maximum likelihood estimation technique, the essay reports that, for the Nigerian economy, currency does as well as or better than any narrow- or broad-money measure in explaining industrial production. Further, the simple sum m1 and m2 outperformed both the yes and dv aggregates. Therefore, monetary policy in Nigeria should focus on the supply of currency and/or of narrow money, rather than on broad money or the divisia aggregates.
LAW, Yui. "U.S. cross-listing, institutional investors, and equity returns." Digital Commons @ Lingnan University, 2012. https://commons.ln.edu.hk/econ_etd/23.
Full textAlalade, Cornelius Babatunde. "The economic performance of international oil companies in Nigeria." Thesis, Bournemouth University, 2004. http://eprints.bournemouth.ac.uk/457/.
Full textOmran, Mohammed Moustafa A. "The impact of Egypt's economic reform programme on the stock market performance." Thesis, University of Plymouth, 1999. http://hdl.handle.net/10026.1/384.
Full textWhitaker, Richard. "The Effects of Commodity Disturbances on Open Economics." FIU Digital Commons, 2017. http://digitalcommons.fiu.edu/etd/3229.
Full textBerger, David G. "Essays in financial economics." Pullman, Wash. : Washington State University, 2008. http://www.dissertations.wsu.edu/Dissertations/Fall2008/d_berger_082508.pdf.
Full textZabel, Michael [Verfasser], and Gerhard [Akademischer Betreuer] Illing. "Essays in monetary economics and international finance / Michael Zabel. Betreuer: Gerhard Illing." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2014. http://d-nb.info/1051777216/34.
Full textShoja, Amin. "Three Essays in Health, Welfare, and International Economics." FIU Digital Commons, 2018. https://digitalcommons.fiu.edu/etd/3757.
Full textLao, Chi Chi. "International issues in taxation : Macau perspective." Thesis, University of Macau, 1997. http://umaclib3.umac.mo/record=b1636236.
Full textThieme, Meredith. "The 'Push' Factors of International Venture Capital." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2048.
Full textCao, Mengyi. "Labor, Trade and Finance : Essays in Applied Economics." Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-148536.
Full textDe, Leo Pierre. "Essays in Macroeconomics:." Thesis, Boston College, 2019. http://hdl.handle.net/2345/bc-ir:108480.
Full textThesis advisor: Ryan Chahrour
This dissertation consists of three independent chapters analyzing the sources of business cycles and the role of monetary policy. Taking both closed- and open-economy perspectives, I study the importance of expectations for the empirical identification of economic and policy shocks, the nature of business cycle fluctuations, and the optimal conduct of monetary policy. The first chapter is titled ``International Spillovers and the Exchange Rate Channel of Monetary Policy,'' and is joint work with Vito Cormun. Motivated by the observation that exchange rate fluctuations largely influence small open economies, we propose a novel approach to separately identify the effects of domestic and external shocks on exchange rates and other macroeconomic variables, thereby uncovering a set of new empirical findings. A first finding is that external shocks account for most of exchange rate fluctuations. Relatedly, the bulk of external shocks is strongly correlated with measures of global risk aversion and uncertainty (e.g. the VIX), and a country’s net foreign asset position largely explains the exposure of its exchange rate to external disturbances. A second finding is that domestic and external disturbances generate very different comovement patterns between interest rates and exchange rates. In particular, unlike domestic shocks, external shocks are associated with large and significant deviations from uncovered interest parity. As a result, an econometrician that fails to properly distinguish between sources of exchange rate fluctuations is bound to obtain puzzling estimates of the exchange rate effects of domestic monetary policy shocks. These empirical findings have profound implications for models of small open economy and exchange rate determination. In particular, they favor theories in which exchange rates are jointly determined by the risk-bearing capacity in financial markets as well as the extent of a country’s financial imbalances. For this reason, we develop a model of the international financial sector that satisfies these features, and embed it in an otherwise standard general equilibrium two-country small open economy model. The key mechanism of the model consists of risk averse traders in the foreign exchange markets that require a premium to hold the currency risk of the small open economy. We show that the proposed model is able to reproduce all the empirical findings documented in the empirical analysis, including the cross-country differences in exposure to external shocks, the role of a country’s net foreign asset position, the different responses of interest rates, exchange rates, and currency excess returns across different shocks, as well as the emergence and resolution of the so-called exchange rate response puzzle across different identification approaches. The second chapter is titled ``Should Central Banks Target Investment Prices?'' and is joint work with Susanto Basu. The question posed in the title is motivated by the observation that central banks nearly always state explicit or implicit inflation targets in terms of consumer price inflation. To address the question, we develop an otherwise standard dynamic general equilibrium model with two production sectors. One sector produces consumption goods, while the other produces investment goods. In this context, we show that if there are nominal rigidities in the pricing of both consumption and investment goods and if the shocks to the two sectors are not identical, then monetary policy faces a tradeoff between targeting consumption price inflation and investment price inflation. In a model calibrated to replicate the estimated processes of sectoral total factor productivities as well as a set of unconditional business cycle moments, ignoring investment prices typically leads to substantial welfare losses because the intertemporal elasticity of substitution in investment is much higher than in consumption. Based on the model's predictions, we argue that a shift in monetary policy to targeting a weighted average of consumer and investment price inflation may produce significant welfare gains, although this would constitute a major change in current central banking practice. The third chapter is titled ``Information Acquisition and Self-Fulfilling Business Cycles,'' and is sole-authored work. To study the implications of imperfect information on economic fluctuations, I develop an otherwise standard Real Business Cycle model with endogenous information acquisition, which generates countecyclical firm-level uncertainty and endogenously procyclical productivity, as empirically documented in the literature. The main contribution of this chapter is the observation that this model displays aggregate increasing returns to scale and, potentially, an indeterminate dynamic equilibrium. In fact, an aggregate representation of the model is observationally equivalent to earlier theories of endogenous fluctuations based on increasing returns to scale, but its microeconomic foundations are consistent with empirically observed firm-level returns to scale. In a model calibrated to replicate a set of moments of the empirical distribution of firm-level productivity, self-fulfilling fluctuations are possible. In addition, a Bayesian estimation of the model suggests that non-fundamental shocks explain a significant fraction of aggregate fluctuations
Thesis (PhD) — Boston College, 2019
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
Alhaj-Yaseen, Yaseen Salah. "Three essays on financial economics." Diss., Kansas State University, 2010. http://hdl.handle.net/2097/4484.
Full textDepartment of Economics
Lance J. Bachmeier
Dong Li
For a unique sample of Israeli stocks that went public in the U.S. and then cross-listed in the home market, Tel Aviv Stock Exchange (TASE), this dissertation consists of three essays examining the dynamics of return spillovers and volume-return interactions across markets and the valuation effect around the event of cross-listing and delisting from the home market. In Chapter II, I investigate the role of trading volume in the information flow and return spillovers between the U.S. and Israeli markets. Findings suggest that the dynamics of volume-return interactions across markets can provide us with valuable information regarding future price movements, which can be a useful tool to predict future returns. I also find the home market to dominate the host market in pricing these stocks, which is consistent with the Home Bias hypothesis. In Chapter III, I analyze the impact of the event of cross-listing on stock returns and risk exposure. The behavior of abnormal returns around the cross-listing date implies that cross-listing in TASE is an effective mechanism in reducing market segmentation between the U.S. and the Israeli capital markets. Risk assessment following the cross-listing suggests a decline firms’ overall risk exposure, indicating a higher degree of integration between the two markets due to cross-listing. In Chapter IV, I evaluate changes in the cost-of-capital for Israeli firms after delisting voluntary from TASE, the home market, while maintaining their listing in the U.S., the host market. The results show a significant positive shift in U.S. and negative shift in Israeli market risk exposure after the delisting. These results indicate that firms delisting form their home market (TASE), face greater risk exposure, higher required returns on their stocks and, hence, higher cost-of-capital after delisting.
Trudeau, Paul R. "La lettre de crédit stand-by en droit commercial international privé /." Thesis, McGill University, 1989. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=59589.
Full textThis master's thesis specifically concerns letters of credit used as a guarantee which are called in the trade "stand-by letters of credit". The first title presents the instrument in a practical context illustrating its principles with examples. The second title examines the legal aspects as such of the stand-by letter of credit while trying to circumscribe the nature of the instrument in law. Finally, in the third title, the cases where the functions and integrity of the instrument are tested are studied thereby identifying the legal strength of stand-by letters of credit recognized by the courts of different jurisdictions.
This study has enabled me to discover that this instrument is not as well suited to be a guarantee than it is to be a payment mechanism. In fact, its principles of function which are assets when used as a payment can become sources of flagrant injustice in the eyes of courts of certain jurisdictions when used as a guarantee.
Maher, Michel. "Les effets mutuels de la qualification juridique des swaps et des instruments financiers dérivés sur le plan national et international." Thesis, University of Ottawa (Canada), 2003. http://hdl.handle.net/10393/29030.
Full textMohd, Daud Siti Nurazira. "Issues in international economics : an empirical study on the sustainability, external debt and reserves management." Thesis, University of Southampton, 2009. https://eprints.soton.ac.uk/72293/.
Full textHenry, Peter Blair. "Essays on international finance and macroeconomics : the effects of liberalization and reform on LDC stock prices and investment." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10329.
Full textGhonaim, Mahmoud. "The legal aspects of aviation finance in developing countries /." Thesis, McGill University, 1991. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=59937.
Full textThe treatment of the subject matter begins in Chapter I with an overview of the aviation industry and its financing Historical Review. Chapter II deals with the problem of recognition of title and security rights in aircraft under international law. Chapter III contains a detailed consideration of the types of commonly used security instruments in aircraft financing. Chapter IV sets out an overview of financing in developing countries, Chapter V contains a study of the various problems facing the asset financing of aircraft in the Third World and possible solutions.
In the last three chapters, emphasis will be placed on regional aviation issues.
Hsiao-Chi, Chuang Doris. "Governance and trust : an institutional economics perspective on Taiwan's financial reform." Thesis, University of Brighton, 2012. https://research.brighton.ac.uk/en/studentTheses/a3c0a30f-bb7d-4f2b-9f1b-92567f810b60.
Full textYing, Zheng. "Measuring the Impossible Trinity: Lessons for Developing Countries." Scholarship @ Claremont, 2018. http://scholarship.claremont.edu/cmc_theses/1785.
Full textPohl, Nicole. "Mobility in space and time : challenges to the theory of international economics /." Heidelberg : Physica-Verlag, 2001. http://aleph.unisg.ch/hsgscan/hm00028306.pdf.
Full textLee, Kuan-Hui. "Liquidity risk and asset pricing." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1155146069.
Full textFirla-Cuchra, Maciej. "On securitisations of assets." Thesis, University of Oxford, 2007. http://ora.ox.ac.uk/objects/uuid:4cd23ecc-1d05-4b96-8e90-3ac5312ce715.
Full textLi, Yu Fei. "Legal system and market timing effect on capital structure : an international experience." Thesis, University of Macau, 2008. http://umaclib3.umac.mo/record=b1950300.
Full textZhu, Lin. "Law, politics and finance." Thesis, University of Macau, 2012. http://umaclib3.umac.mo/record=b2580077.
Full textJang, Yong Joon. "Three essays on the effects of trade liberalization on economic performance." [Bloomington, Ind.] : Indiana University, 2009. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3378356.
Full textTitle from PDF t.p. (viewed on Jul 6, 2010). Source: Dissertation Abstracts International, Volume: 70-10, Section: A, page: 3955. Adviser: Michael Alexeev.
Ros, Eduardo De Nardi. "Um teste empírico para mudanças em níveis para precificação de ativos." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-08022013-201057/.
Full textThe objective of this dissertation is to perform an empirical test of the asset pricing theory in a set of countries. The literature usually tests CAPM from a cross-section, finding evidence that both confirm and refute theory predictions. In the present dissertation change in levels are used to test CAPM, similar to Chari and Henry (2004). The natural experiment is the countries\' rate upgrade to investment grade or downgrade to speculative grade by major ratings agencies. The hypothesis is that return of assets subject to a change in levels of systematic risk should be amended in accordance with their respective magnitudes of individual differences in exposure to systematic risk. The results confirm theory predictions.
Jaw, Yi-Long. "Exchange rate dynamics : a synthesis of the asset approach and central bank operations." The Ohio State University, 1987. http://rave.ohiolink.edu/etdc/view?acc_num=osu1269525644.
Full textLi, Qiang. "A study of the effects of technology, international trade and consumption on individual income and income discrepancy in China." Thesis, University of Macau, 2008. http://umaclib3.umac.mo/record=b1951102.
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