Dissertations / Theses on the topic 'Essays'

Good writing skills are essential in the education system at all levels. However, the evaluation of essays is labor intensive and can entail a subjective bias. Automated Essay Scoring (AES) is a tool that may be able to save teacher time and provide more objective evaluations. There are several successful AES systems for essays in English that are used in large scale tests. Supervised machine learning algorithms are the core component in developing these systems. In this project four AES systems were developed and evaluated. The AES systems were based on standard supervised machine learning software, i.e., LDAC, SVM with RBF kernel, polynomial kernel and Extremely Randomized Trees. The training data consisted of 1500 high school essays that had been scored by the students' teachers and blind raters. To evaluate the AES systems, the agreement between blind raters' scores and AES scores was compared to agreement between blind raters' and teacher scores. On average, the agreement between blind raters and the AES systems was better than between blind raters and teachers. The AES based on LDAC software had the best agreement with a quadratic weighted kappa value of 0.475. In comparison, the teachers and blind raters had a value of 0.391. However the AES results do not meet the required minimum agreement of a quadratic weighted kappa of 0.7 as defined by the US based nonprofit organization Educational Testing Services.
Jag har utvecklat och utvärderat fyra system för automatisk betygsättning av uppsatser (AES). LDAC, SVM med RBF kernel, SVM med Polynomial kernel och "Extremely Randomized trees" som är standard klassificerarprogramvaror har använts som grunden för att bygga respektivt AES system.

We propose a neural network-based system for automatically grading essays written in Swedish. Previous system either relies on laboriously crafted features extracted by human experts or are limited to essays written in English. By using different variations of Long Short-Term Memory (LSTM) networks, our system automatically learns the relation between Swedish high-school essays and their assigned score. Using all of the intermediate states from the LSTM network proved to be crucial in order to understand the essays. Furthermore, we evaluate different ways of representing words as dense vectors which ultimately have a substantial effect on the overall performance. We compare our results to the ones achieved by the first and previously only automatic essay scoring system designed for the Swedish language. Although no state-of-the-art performance is reached, indication of the potential from a neural based grading system is found.

HUNGER: ESSAYS is a collection of lyric essays that present the coming-of-age story of a young woman growing up in a Panamanian family where identity is defined by patriarchal notions of femininity (e.g., physical appearances) and economically-oriented career aspirations. In an attempt to fit into this family rather than explore her difference, the narrator undergoes psychological trauma that results in anorexia during her young adulthood. As she works towards healing, the narrator grapples with Western dichotomies of body and mind in an effort to become a more integrated self.

This thesis describes and analyzes the context and the evolution of the Quebec literary essay between 1970 and 1990. It is supported by a body of texts which, in our opinion, reflect the structure of contemporary essayistic discourse in Quebec.
By studying three dimensions of the Quebec essay--the socio-political, the personal and the feminist--we will attempt to understand and interpret the various modes through which the essayistic "I" deals with its cultural and ideological contexts. Beyond this principal goal, we offer an account of recent studies on the definition of the literary essay.
This vast panorama of Quebec essay is accompanied, in the second part of this work, by the bibliography of texts published during the last two decades. In order to facilitate a clearer assessment of the development of the "genre" in question, we have appended a chronological listing of these texts.

Esta tesis es una colección de ensayos empíricos, con aplicación macroeconómica. En el primer capítulo, se investigan los efectos de política monetaria, previstos y no previstos. La idea básica es que los mercados forman expectativas sobre las futuras políticas que son relevantes para la inversión (y por lo tanto la producción) incluso antes de su implementación real. Exploramos teóricamente las dificultades en realizar la estimación, y discutimos alternativas de solución a tal problema. Resultados empíricos demuestran que las noticias explican una parte considerable del total de la transmisión de la política monetaria, entre el 25 y el 50% del efecto total de la política. Nuestros resultados se pueden comparar con la literatura siendo que identificamos tanto un shock anticipado y como uno inesperado. De hecho, en consonancia con trabajos anteriores, se observa que un ajuste monetario genera respuestas en forma de joroba tanto en el PIB, como en el consumo y la inversión y una caída de los precios. Lo que es interesante e innovador, es que las variables agregadas se ajustan incluso antes de la realización la política anunciada. Además, se observa que las noticias tienen efectos en la tasa de interés, a través de la ecuación de Taylor. En el segundo capítulo movemos la atención a los efectos de transmisión fiscal entre una serie de países europeos: Alemania, Francia e Italia, España. Este trabajo es especialmente relevante dado el debate casi constante en la coordinación fiscal dentro de la zona del euro, que está lejos de ser resuelto. Utilizamos un análisis con variación temporal, que es apropiada para el período 1995-2014 que contiene puntos de inflexión institucional y financiera (por ejemplo, introducción de la moneda común o la recesión mundial). Nos encontramos con que los ciclos de las cuatro economías están altamente correlacionados, lo que demuestra el destino común de estos estados miembros. Sin embargo, no encontramos evidencias de coordinación de políticas fiscales. A pesar de esto, el gasto público en un país transite sus efectos internacionalmente, afectando el PIB de otros países. En términos generales, las repercusiones internacionales son especialmente fuertes en el mediano plazo y durante la crisis financiera. Además, llevamos a cabo el análisis caso por caso, para separar los efectos de contagio fiscal en cada país por separado. Nuestros resultados sugieren que las respuestas de los distintos países pueden ser asimétrica y heterogénea en signo y magnitud. Por último, el tercer capítulo hace uso de la técnica de series temporales para explorar el tema del capital social en Italia y su impacto en el perfil de crecimiento del país. Más específicamente, se utiliza un modelo VAR estructural para desenredar las contribuciones relativas de la tecnología, del capital humano y de capital social. La definición de capital social se basa en la confianza y la facilidad de la cooperación económica, lo que nos permite diseñar un proxy de medición basado en las organizaciones de voluntarios. Entonces, se reconstruye una medida de capital humano basado en los años escolarización, calculada con el método de inventario permanente. El objetivo final es estimar un VAR que incluye tanto el capital social y el capital humano, y diferenciar sus efectos sobre el crecimiento de la producción. Los resultados empíricos muestran que un aumento en la productividad del capital social afecta positivamente el PIB. Por el contrario, no tiene ningún efecto relevante sobre la acumulación de capital humano. Además, en consonancia con la teoría del crecimiento endógeno, nos encontramos con que la educación es un factor fundamental del crecimiento del PIB. Por lo tanto, podemos establecer que el capital social tiene un papel en la promoción del crecimiento, aunque sus efectos son pequeños en comparación con el capital humano y la PTF.
This thesis is a collection of empirical essays, with macroeconomic application. In the first chapter, we investigate the effects of anticipated and unanticipated monetary policy shocks. The baseline idea is that markets form expectations on future policy developments that are relevant for investment (and hence production) decisions even before the actual policy change is implemented. We explore theoretically the challenge that this time misalignment implies at the moment of performing estimation, and we discuss alternative solutions to such problem. On an empirical ground, we find that news account for a sizable portion of the overall transmission of monetary policy, accounting in between 25 and 50\% of the total policy effect. Out results are comparable to the literature in that we identify both an anticipated and an unanticipated disturbance. Not surprisingly, and consistently with previous works, we observe that that a monetary tightening generates humped-shaped responses of GDP, consumption and investment and a fall in prices. What is interesting and innovative, is that aggregate variables adjust even before the realization of the announce policy shift. Also, we observe that news have (anticipated) feedback effects in the interest rate, via adjustments of the Taylor rule. In the second chapter we move the attention to fiscal spillovers in a set of European countries, namely Germany, France Spain and Italy. This work is especially relevant given the near-constant debate on fiscal coordination within the Euro area, that is far from being settled. We use a time varying framework, which is appropriate for the period 1995-2014 that contains both institutional and financial inflection points (e.g. introduction of the common currency or the global recession). We find that the cycles of the four economies are highly correlated, testifying the interwoven faith of these member states. However, we fail to observe evidence of fiscal policy coordination. Notwithstanding this, government spending in a country expand its effects cross-border, affecting other countries' GDP. Broadly speaking, international spillovers are especially strong in the medium run and during the financial crisis, paving the way to the discussion on fiscal coordination across member states. Also, we perform a case by case study, to disentangle the effects of fiscal spillover in each country separately. Our results suggest that responses across countries can be asymmetric and heterogeneous in sign and magnitude. Finally, the third chapter makes use of time series technique to explore the issue of social capital in Italy and its impact in the growth profile of the country. More specifically, we use a SVAR model to disentangle the relative contributions of technology, human capital and social capital shocks. The definition of social capital is based on trust and ease of economic cooperation, which allows us to design a measurement proxy based on voluntary organizations. Then, taking advantage of long spam times series, we reconstruct a measure of human capital based on year of schooling and computed with the permanent inventory method. The final aim is to estimate a VAR including both social capital and human capital, and differentiate their effects output growth. Empirical results show that an increase in social capital productivity affects output positively. Conversely, it does not have any relevant effect on human capital accumulation. Also, consistently with endogenous growth theory, we find that education is a fundamental factor of GDP growth. Therefore, we establish that social capital has a role in fostering growth, even if its effects are small compared to human capital and TFP.

El tema de esta tesis es Banca, concentrándose específicamente en el tema de Crisis Bancarias. El Capitulo 1 estudia las crisis bancarias que ocurren debido a problemas de asimetría de información entre los tomadores de préstamos. Dentro del marco propuesto, asimetría de información significa que los títulos sobre préstamos que el banco vende pueden tornarse ilíquidos y/o que pueden ocurrir caídas súbitas en el precio de los títulos. El Capitulo 2 analiza la política de resolución de crisis y muestra como las acciones de un Prestamista de Última Instancia durante una crisis pueden afectar la incidencia/probabilidad de sufrir futuras crisis bancarias. En particular, un Prestamista de Última Instancia más generoso puede contribuir a reducir la frecuencia de las crisis dado que los bancos eligiran proyectos más seguros. El ultimo capitulo de esta tesis vuelve a considerar el tema de la venta de préstamos, a través de títulos emitidos por el banco. En este capítulo se derivan aquellas condiciones para las cuales el mercado es sostenible, en el caso de que exista daño moral por parte de los bancos que realizan los préstamos. En una sección empírica mostramos que hay una relación negativa entre la fracción de préstamos retenida y la probabilidad de default.
The theme of this thesis is Banking, concentrating on banking crises. The first chapter looks at banking crises which occur because of problems of asymmetric information about borrowers. The asymmetric information means that the loan securities that the bank sells can become illiquid and there are sudden drops in securities prices. The second chapter looks at a crisis resolution policy and shows how the actions of the Lender of Last Resort in a crisis can affect the incidence of future banking crises, in particular that a more generous Lender of Last Resort can lead less frequent crises as banks choose safer projects. The final paper returns to the theme of loan sales. We derive conditions for when the market is sustainable in the face of moral hazard by the bank which makes the loan. In an empirical section we show that there is a negative relationship between the fraction of a loan retained and the probability of default

This thesis consists of three chapters. The first chapter examines empirically the relationship
between foreign aid and economic growth in the Least Developed Countries. Instrumental
variables techniques are used to estimate the effect that economic growth has on foreign aid
and to adjust for the reverse causal effect that growth has on aid when estimating the effect that
aid has on growth. The second chapter examines the effects that fiscal expansions have on the
unemployment rate. The chapter presents SVAR evidence for ten OECD countries and builds a
DSGE model with a labor force participation choice and workers' heterogeneity to explain the
empirical findings. The third chapter examines the effects that economic growth has on the
support for extreme political platforms. The chapter provides a theoretical model in favor of
growth effects (as opposed to level effects) on the support for extreme political parties, and
investigates empirically the relationship between growth and extremist votes for 16 OECD
countries.

Esta tesis consiste en tres capítulos. El primer capítulo examina empíricamente la relación entre
la ayuda exterior y crecimiento económico en los países menos adelantados. Técnicas de
variables instrumentales se utilizan para estimar el efecto que el crecimiento económico tiene
sobre la ayuda exterior y para ajustar el efecto de causalidad inversa que el crecimiento tiene en
la ayuda al estimar el efecto que la ayuda tiene sobre el crecimiento. El segundo capítulo
analiza los efectos que las expansiones fiscales tienen sobre la tasa de desempleo. El capítulo
presenta pruebas SVAR para diez países de la OCDE y construye un modelo DSGE con una
participación en la fuerza de trabajo y heterogeneidad de los trabajadores para explicar los
resultados empíricos. El tercer capítulo analiza los efectos que el crecimiento económico tiene
en el apoyo a las plataformas políticas extremas. El capítulo ofrece un modelo teórico a favor
de los efectos del crecimiento (en contraposición a los efectos de nivel) con el apoyo de
partidos políticos de extrema, e investiga empíricamente la relación entre el crecimiento de
votos y extremistas para 16 países de la OCDE.

This thesis consists of three chapters on topics in macroeconometrics. Chapter 1 provides a novel estimator of combination weights which delivers well-calibrated density forecasts. In an empirical example of forecasting US industrial production, I show that my proposed methodology outperforms several benchmark combination schemes, and the weights indicate that financial variables proved to be useful predictors during the Great Recession. Chapter 2 investigates time-variation in the forecasting performance of structural Dynamic Stochastic General Equilibrium models and reduced-form statistical models. I show that the models’ in-sample forecasting ability was strongly related to their out-of-sample performance before the recent financial crisis, but this link considerably weakened at the onset of the crisis. In Chapter 3 we propose a methodology to construct confidence intervals for the strength of identification in both instrumental variable models and Structural Vector Autoregressive models identified with an external instrument. We illustrate the proposed method using three leading empirical examples: the New Keynesian Phillips Curve, a linearized Euler equation, and a Structural Vector Autoregressive model describing the dynamic effects of oil shocks.
La present tesi es composa de tres capítols sobre temes de macroeconometria. El capítol 1 introdueix un nou estimador de combinacions de pesos que dóna prediccions de densitat ben calibrades. En un exemple empíric de predicció de la producció industrial dels EUA, demostro que l’aplicació d’aquesta metodologia millora molts dels esquemes de combinació de referència i els pesos indiquen que les variables financeres són predictors útils de la Gran Recessió. El capítol 2 investiga la variació temporal en la capacitat de predicció dels models dinàmics estocàstics d’equilibri general i dels models estadístics de forma reduïda. Demostro que la capacitat de predicció del model dins de la mostra estava fortament relacionada amb el seu rendiment fora de la mostra abans de la recent crisi financera, però aquest vincle es fa feble amb l’inici de la crisi. En el capítol 3 proposem una metodologia per construir intervals de confiança per la força d’identificació tan en models de variables instrumentals com en models estructurals de vectors autoregressius identificats amb un instrument extern. Il lustrem la metodologia proposada utilitzant tres exemples empírics importants: La Corba de Phillips Neokeynesiana, una equació d’Euler linealitzada i un model estructural de vectors autoregressius que descriu les dinàmiques dels efectes dels xocs del petroli.

Com a producte de la tecnologia de la informació, les moneda digital van tenir una reacció tardana des del punt de vista econòmic, la qual cosa va portar l'oportunitat de donar una nova llum a alguns dels trencaclosques associats amb un conjunt aparentment innovador d'avenços tecnològics que encaixen dins el sub-camp de l'economia digital. De la mateixa manera, aquests estudis tenen una clara orientació empírica, que busca explorar la variabilitat, la complexitat i el conjunt massiu d'informació que es registra extensible, en temps real, a un ritme creixent i principalment de forma no estructurada i estructurada. A més, implica la inclusió de nous mètodes per analitzar aquesta informació amb l'objectiu de proporcionar robustos com a possibles resultats orientats a la teoria econòmica. Per aquest motiu, durant el conjunt d'articles, hi ha una evolució d'un estudi exploratori en la naturalesa a un marc conceptual que tingui sentit econòmic per a El mercat de les moneda digital. L'última dècada ha estat la ràpida evolució de les moneda digital i també com els seus elements derivats. Aquest progrés no ha estat absent de les crítiques, el que va fer que el tema fins i tot més interessant ja que captura una àmplia gamma de factors i coneixements relacionats amb la presa de decisions humanes, que ha estat documentat i estudiat en el passat. En resum, el propòsit d'aquest projecte és estudiar la relació entre el processament de la informació, l'atenció i la reacció dels individus en els mercats de xifrat, centrant-se sobre el paper de l'ampli accés a la informació, el paper de les xarxes socials en la difusió d'informació, les polítiques públiques implicat, i els enfocaments estadístics avançats per analitzar la informació. El primer article del capítol explora l'associació entre el preu de mercat de Bitcoin i un conjunt de factors externs a l'emprar l'enfocament de sèries temporals estructurals bayesianes (BSTS). La idea darrere d'BSTS és crear una superposició de capes com cicles, tendències i variables explicatives que poden variar estocàstic amb el temps, a més, és possible realitzar una selecció variable a través de l'aplicació del mètode Spike and Slab. El segon capítol analitza sobre les moneda digital des d'una perspectiva d'economia del comportament per explicar per què els inversors es corportan d'una manera determinada en aquest mercat. Es presumeix que és possible explicar l'enigma dels preus del mercat de les moneda digital des d'una perspectiva de comportament financer en què els biaixos cognitius dels inversors són molt importants per explicar la volatilitat. A més, aquest capítol també atribueix els moviments de preus als inversors per mitjà d'un conjunt una presa de decisions col·lectiu procés en el qual els preus "tal qual" són el mecanisme de coordinació. El capítol final va analitzar l'impacte dels xocs d'informació sobre la convergència conductual en la moneda digital. En el segon capítol, s'ha demostrat que hi ha una convergència conductual en els mercats de moneda digital, i la seva magnitud difereix en intensitat condicional a la dinàmica actual. Seguint la mateixa línia, l'objectiu d'aquest estudi és doble, primer, creant un índex de pasturatge (hindex) que captura la magnitud de la convergència sota condicions asimètriques utilitzant el modelatge d'espai d'estat. Segon, proporcionar un marc conceptual que representa els principals trets dels criptomercados i proporciona empíricament evidència causal de Granger i Wold de La dinàmica dins el sistema que empra un marc estructural autoregressiu de vectors (SVAR).
Como producto de la tecnología de la información, las criptomonedas tuvieron una reacción tardía desde el punto de vista económico, lo cual trajo la oportunidad de dar una nueva luz a algunos de los rompecabezas asociados con un conjunto aparentemente innovador de avances tecnológicos que encajan dentro del sub-campo de la economía digital. Del mismo modo, estos estudios tienen una clara orientación empírica, que busca explorar la variabilidad, la complejidad y el conjunto masivo de información que se registra extensible, en tiempo real, a un ritmo creciente y principalmente de forma no estructurada y estructurada. Además, implica la inclusión de nuevos métodos para analizar dicha información con el objetivo de proporcionar robustos como posibles resultados orientados a la teoría económica. Por ese motivo, durante el conjunto de artículos, hay una evolución de un estudio exploratorio en la naturaleza a un marco conceptual que tenga sentido económico para El mercado de las criptomonedas. La última década ha sido la rápida evolución de las criptomonedas y también como sus elementos derivados. Este progreso no ha estado ausente de las críticas, lo que hizo que el tema incluso más interesante ya que captura una amplia gama de factores y conocimientos relacionados con la toma de decisiones humanas, que ha sido documentado y estudiado en el pasado. En resumen, el propósito de este proyecto es estudiar la relación entre el procesamiento de la información, la atención y la reacción de los individuos en los mercados de cifrado, centrándose sobre el papel del amplio acceso a la información, el papel de las redes sociales en la difusión de información, las políticas públicas implicado, y los enfoques estadísticos avanzados para analizar la información. El primer artículo del capítulo explora la asociación entre el precio de mercado de Bitcoin y un conjunto de factores externos al emplear el enfoque de series temporales estructurales bayesianas (BSTS). La idea detrás de BSTS es crear una superposición de capas como ciclos, tendencias y variables explicativas que pueden variar estocástico con el tiempo, además, es posible realizar una selección variable a través de la aplicación de El método Spike and Slab. El segundo capítulo analiza sobre las criptomonedas desde una perspectiva de economía del comportamiento para explicar por qué los inversores se corportan de una manera determinada en este mercado. Se presume que es posible explicar el enigma de los precios del mercado de las criptomonedas desde una perspectiva de comportamiento financiero en el que los sesgos cognitivos de los inversores juegan un papel importante para explicar la volatilidad. Además, este capítulo también atribuye los movimientos de precios a los inversores por medio de un conjunto una toma de decisiones colectivo proceso en el que los precios "tal cual" son el mecanismo de coordinación. El capítulo final analizó el impacto de los choques de información sobre la convergencia conductual en la criptomoneda. En el segundo capítulo, se ha demostrado que existe una convergencia conductual en los mercados de criptomonedas, y su magnitud difiere en intensidad condicional a la dinámica actual. Siguiendo la misma línea, el objetivo de este estudio es doble, primero, creando un índice de pastoreo (hindex) que captura la magnitud de la convergencia bajo condiciones asimétricas usando el modelado de espacio de estado. Segundo, proporcionar un marco conceptual que representa los principales rasgos de los criptomercados y proporciona empíricamente evidencia causal de Granger y Wold de La dinámica dentro del sistema que emplea un marco estructural autorregresivo de vectores (SVAR).
As a product of information technology, cryptocurrencies had a delayed reaction from economic field, which brought an opportunity to shine a new light of some of the puzzles associated with a seemly innovative set of technological advances that fitted within the digital economy subfield. By the same token, these studies have a clear empirical scope, seeking to explore the variability, complexity and massively set of information that is recorded extensible, in real time, at an increasing rate and mostly in a non-structured and structured way. Moreover, it entails the inclusion of new methods to analyze such information with the goal of providing as robust as possible outcomes oriented on economic theory. For that sake, during the set of articles, there is an evolution from an explorative in nature study to a conceptual framework that makes economic sense to the cryptocurrency market. The past decade has been the rapid evolution of cryptocurrencies and as well as its derivative elements. This progress has not been absent from critiques, which made the topic even more interesting since it captures a wide range of factors and insights related human decision-making, that has been documented and studied in the past. In summary, the purpose of this project is to study the relationship between information processing, attention and individuals reaction in crypto-markets, focusing on the role of the wide access to information, the role of social media in diffusing information, public policies implicated, and the advanced statistical approaches to analyze the information. The first chapter paper explores the association between Bitcoin’s market price and a set of internal and external factors by employing the Bayesian structural time series approach (BSTS). The idea behind BSTS is to create a superposition of layers such as cycles, trend, and explanatory variables that are allowed to vary stochastically over time, additionally, it is possible to perform a variable selection through the application of the Spike and Slab method. This study aims to contribute to the discussion of Bitcoin price determinants by differentiating among several attractiveness sources and employing a method that provides a more flexible analytic framework that decomposes each of the components of the time series, applies variable selection, includes information on previous studies, and dynamically examines the behavior of the explanatory variables, all in a transparent and tractable setting. The second chapter studies of behavioral finance aim to explain why investors in stock market settings act as they do. It is hypothesized that it is possible to explain cryptocurrencies market prices’ puzzle from a behavioral finance perspective in which investors’ cognitive biases play a major role to explain the volatility. In this context, this paper makes a literature revision on empirical and theoretical evidence in which investors’ actions have been proved are not aligned with a rational benchmark, that can also serve as a parallelism to the crypto-market problem. Furthermore, this chapter seeks as well to shed light on the price setting puzzle by attributing movements to investors herding behavior, that is, a collective decision-making process in which prices “as is” are the coordination mechanism to investment decision making. According to the literature, herding can trigger the formation of speculative bubbles, thus, the main objective of this chapter is to study cryptocurrency market under the hypothesis that crypto-investors have limited resources to process information and weak prior knowledge, as a consequence they rely on others sources to valuate cryptocurrencies, which can unchain unexpected results. Moreover, it is suggested that cryptocurrencies’ prices are driven by herding, hence this study test behavioral convergence under the assumption that prices “as-is” are the coordination mechanism. For this task, it has been proposed an empirical herding model based on @Chang2000 methodology and expanding the model both under asymmetric and symmetric conditions and the existence of different herding regimes by employing the Markov-Switching approach. The final chapter analyzed the impact of information shocks on behavioral convergence in cryptocurrency markets with the objective of composing a conceptual framework that helps to understand the nature of this market. In the second chapter, it has been proved that behavioral converge exists in cryptocurrency markets, and its magnitude differs in intensity conditional on current dynamics. Following the same line, the goal of this study is twofold, first, creating a Herding Index (hindex) that captures the magnitude of convergence under asymmetric conditions using State Space modeling. Second, providing a conceptual framework that represents the main traits of cryptomarkets and empirically provides Granger and Wold causal evidence of the dynamics within the system employing a structural vector autoregressive (SVAR) framework.

This thesis consists of three chapters on topics in Macroeconometrics. Chapter 1 proposes a method to analyze the relationship between models’ in-sample fit and their out-of-sample density forecasting performance. To this end, I further develop a formal test to capture density forecast breakdowns (DFBs); situations in which the out-of-sample density forecast performance is significantly worse than its anticipated performance. Chapter 2 proposes a novel methodology for identifying and estimating structural breaks in the factor loadings of a high dimensional approximate factor model with an unknown number of latent factors. The approach is robust to structural changes in the volatility of the factors (the second moment of the factors), applicable to multiple structural breaks, and easy to implement for practitioners. Chapter 3 introduces time variation into the local projections framework and proposes an impulse responses estimation methodology under unstable local projections.
Aquesta tesi consta de tres capítols sobre temes en Macroeconometria. El capítol 1 proposa un mètode per analitzar la relació entre l’ajust en mostra de models i el seu rendiment de previsió de densitat fora de mostra. Amb aquesta finalitat, desenvolupo una prova formal per capturar els desglossaments de previsió de densitat (DFB); situacions en què el rendiment previst de la densitat fora de mostra és significativament pitjor que el rendiment previst. El capítol 2 proposa una nova metodologia per identificar i estimar les ruptures estructurals en les càrregues de factors d’un model aproximat dimensional de factor aproximat amb un nombre desconegut de factors latents. L’enfocament és robust a canvis estructurals en la volatilitat dels factors (segon moment dels factors), aplicables a múltiples ruptures estructurals i fàcils d’implementar per als practicants. El capítol 3 introdueix la variació de temps en el marc de les projeccions locals i proposa una metodologia d’estimació de la resposta d’impuls en projeccions locals inestables.

Thesis (Ph. D.) -- University of Maryland, College Park, 2006.
Thesis research directed by: Economics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.

This dissertation examines reputation, the belief of the decision maker about types of advisors, in incomplete information games with multiple advisors. The decision maker believes that an advisor can be one of two types – an advisor who is biased towards suggesting any particular advice (bad advisor) or an advisor who has the same preferences as the decision maker (good advisor). I explain why it is not always beneficial for the decision maker to seek advice from two advisors simultaneously compared to seeking advice from a single advisor. It is shown that a strong concern for one’s reputation not to be perceived as a bad advisor can make the good advisor sometimes give wrong advice. Also, if each type of advisor considers his future important, the decision maker is better off having a single advisor. Then I show that, when dealing with two advisors, it is better for the decision maker to seek advice simultaneously since the possibility of obtaining information is lower in sequential cheap talk. I also examine how an individual’s perception of what he thinks of himself (self-reputation) and what others think of him regarding his ability to resist temptation (perception of reputation) affect his actions. It is shown that higher self-reputation and higher perception of reputation help in making resolutions and keeping up with them both in the short and the long run. However, this result requires that individuals find it relatively easy to resist temptation. Also, even those who find it hard to resist temptation can sustain their resolution after telling friends about the resolution in the short run if they value the future more than the present.

Transition Economics focuses on the transformation of a socialist economic system to market economy, which is of interest both because of its policy relevance and its importance to economic theory. As transition was one of the most important economic events of the last century, the study of Transition Economy may help us to understand the difficulties, surprises, and obstacles when a society undergoes profound change. Moreover, it may develop our knowledge of the capitalist economic system and its institutions. The dissertation consists of two different topics within Transition Economics. The first three papers, based on three different data sets, focus on various aspects of the Russian labour market. Theses papers include analyses about the ways people search for work, how unemployment duration is affected by different characteristics, but also how people divide the time outside the paid labour market. This may provide new insights on the Russian labour market, and hopefully also deepen our understanding of labour markets in general. The fourth paper, based on a fourth data set, takes a macro perspective and is concerned with transition and terrorism. It has been claimed that with new democracies, an increased risk of terrorism follows. Therefore, in the final paper, the potential connection between terrorism and transitional progress is analysed.

This dissertation contributes to the theoretical understanding and practical application of non- and semi-parametric methods in econometrics. It consists of three chapters. The first chapter advocates the use of unsupervised statistical learning (clustering) techniques to group observations from a series of repeated cross-sections to create a pseudo-panel of group averages. This clustering method is based on features of the data space and does not require external grouping variables unlike many other methods. Using a model of enterprise training as an example, fixed eff ects panel data model isestimated using a pseudo-panel of cluster centers. Chapters 2 and 3 extend univariate kernel methods to the estimation of time-varyingdistributions and densities subject to moment constraints. Chapter 2 proposes a weighted kernel density estimator for a time-varying probabilitydensity function and the corresponding cumulative distribution function. Time-varying quantiles are estimated by inverting an estimate of the cumulative distribution function. Weighting schemes are derived from those used in time series modelling. Parameters,including the bandwidth, may be estimated by maximum likelihood or cross-validation. Diagnostic checks are constructed based on residuals given by the predictive cumulativedistribution function. Chapter 3 considers a set-up where additional information concerning the distribution of random variables is available in the form of moment conditions. A weighted kernel density estimate reflecting the extra information is constructed by replacing the uniformweights associated with standard kernel density estimator by generalised empirical likelihood implied probabilities. This chapter shows that the resulting density estimator provides an improved approximation to the moment conditions. Moreover, a reduction in variance is achieved due to the systematic use of the extra moment information.

This thesis studies two topics in Econometric models, multiple equilibria and weak instruments. Chapter 1 is an introduction. Chapter 2 considers nonparametric structural equations which may have multiple solutions for the endogenous variables. The main finding is that multiple equilibria would reveal itself in the form of jump(s) in the density function of the endogenous variables. When there is a unique equilibrium, the density function of endogenous variables will be continuous, while when there are multiple equilibria, the density will have a jump at some point, under reasonable conditions. Our test statistic is based on maximizing local jumps over the support of endogenous variables and the critical value is computed via a Gaussian multiplier bootstrap. Chapter 3 shows that in games with incomplete information, even when the payoff functions and the latent distributions are all smooth, the observed conditional choice probabilities may have a jump with respect to continuous covariates. This chapter provides a theoretical analysis on the relationship between the equilibrium behaviour of the game and the presence of a jump in the conditional choice probabilities. Such jump(s) matters in empirical research for two reasons. Statistically, it affects the estimation of the conditional choice probabilities. Economically, whether the conditional choice probabilities have a jump or not reveals information about the equilibrium behaviour of the game. Our findings are robust to correlated private information and unobserved heterogeneity independent of covariates. Chapter 4 considers efficient inference for the coefficient of the endogenous variable in linear regression models with weak instrumental variables (Weak-IV). We focus on the power of tests for the alternative hypotheses that are determined by arbitrarily large deviations from the null. We derive the power envelope for such alternatives in the Weak-IV scenario. Then we compare the power properties of popular Weak-IV robust tests, focusing on the Anderson-Rubin (AR) and Conditional Likelihood Ratio (CLR) tests. We find that their relative performance depends on the degree of endogeniety in the model. In addition, we propose a Conditional Lagrange Multiplier (CLM) test. We also extend our analysis to heteroskedastic models.
Arts, Faculty of
Vancouver School of Economics
Graduate

This thesis is composed of three chapters. The first chapter argues that boom-bust behavior in asset prices can be explained by a model in which boundedly-rational agents learn the process for prices. The key feature of the model is that learning operates in both the demand for assets and the supply of credit. Interactions between agents on either side of the market create complementarities in their respective beliefs, providing an additional source of propagation. In contrast, the chapter shows why learning involving only one side on the market, the focus of most of the literature, cannot plausibly explain persistent and large price booms. Quantitatively, the model explains recent experiences in US housing markets. The full appreciation in US house prices in the 2000s can be generated from observed mortgage rate changes. The model also generates endogenous liberalizations in household lending conditions during price booms and replicates key volatilities of housing market variables at business cycle frequencies. The second chapter presents a learning model in which households are endowed with recursive preferences. The chapter evaluates how the introduction of bounded rationality in beliefs effects the level of long run consumption risk in the economy. The chapter shows that structural learning frameworks currently found in the literature lead to a perception of low persistence in exogenous shocks, regardless of the underlying stochastic processes in the economy. Generating long run risk requires a preference for late resolution of uncertainty. The third chapter provides an explanation for two features of the world saving distribution: (i) saving rates are significantly different across countries and they remain different for long periods of time; and (ii) some countries and regions have shown very sharp changes in their average saving rates over short periods of time. It formalizes a model of the world economy comprised of open economies inhabited by heterogeneous agents endowed with recursive preferences. The model can generate the time series behavior of saving observed in the data from measured productivity shocks. The model can also generate the sudden and long-lived increase in East Asian savings by incorporating shocks to societal aspiration.
Arts, Faculty of
Vancouver School of Economics
Graduate

Cette thèse contient trois études sur le fonctionnement des banques.

Le premier Chapitre analyse empiriquement comment la capacité d’offrir des emprunts à long terme est influencée par la dimension des intermédiaires financiers.

Le deuxième Chapitre analyse, avec un model théorique caractérisé par la présence de soft-budget constraint, ratchet effect et short-termism, comment la pression compétitive influence la capacité des banque de financer le firmes ayant des projets de bonne qualité.

Le troisième Chapitre examine, avec un model théorique du type moral hazard common agency, le conflits d'intérêts des banques universelles.

Financial intermediaries are recognized to promote the efficiency of resource allocation by mitigating problems of incentives, asymmetric information and contract incompleteness. The role played by financial intermediaries is considered so crucial that these institutions have received all over the world the greatest attention of regulators.

Across and within banking sectors it is possible to observe a wide variety of intermediaries. Banks may differ in their size, market power and degree of specialization. This variety raises interesting questions about the features of a well functioning banking sector. These questions have inspired an important body of economic literature which, however, is still inconclusive in many aspects. This dissertation includes three studies intending to contribute in this direction.

Chapter 1 will empirically study the willingness of smaller and larger lenders to grant long-term loans which, as credit to SME's, constitute an opaque segment of the credit market. Chapter 2 analyzes, with a theoretical model, the effects of competition on the efficiency of the banking sector when this is characterized by dynamic commitment issues which brings to excessive refinancing of bad quality investments (so called soft-budget constraint) or excessive termination of good ones (ratchet effect and short-termism). Chapter 3 presents a model to investigate to what extent the distortions posed by conflicts of interest in universal banks can be addressed through the provision of appropriate incentive schemes by the different categories of clients.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

There is growing acknowledgement that changes in expectations are an important cause of the business cycle. Business cycles are characterized by positive co-movements between consumption, investment, output and hours, yet changes in expectations cannot generate such positive co-movements in the most standard neo-classical business cycle model. If one is willing to entertain a richer production technology, it is possible to obtain the kind of fluctuations typical of business cycles that are caused by expectation revisions. This thesis analyzes systematically such a production technology, characterized by a nonlinear transformation curve between consumption and investment at the aggregate level, and evaluate some of its macroeconomic implications. This thesis comprises three essays. The first essay empirically investigates if the proposed change in the production technology improves the capacity of neo-classical business cycle models to account for the behavior of the aggregate labor market. It finds that the proposed change is a partial improvement over standard models. The second essay shows that while a nonlinear transformation curve helps in obtaining an economic expansion following good news about future productivity gains, it can do so only if the intertemporal elasticity of substitution in consumption is high. To obtain an expansion in the more general case, one has to allow for a sufficiently high degree of complementarity between capital and labor in production. The third essays estimates a version of the model to analyze its business cycle properties. In the model, the nonlinear transformation curve arises because some resources need to be spent to distribute goods to their final use. There, it is found that the estimated model reproduces well the dynamics of output and investment but produces too much consumption volatility. Moreover, it suggests that news about future productivity changes are a more important source of economic fluctuation than actual changes in productivity. Finally, the estimated model produces distribution costs that are quite in line with the data.

This dissertation studies two important topics in macroeconomics. The first topic is on the corporate cash hoarding. The first two chapters analyze the cash-inventory tradeoff from two different but complementary perspectives and shed light on the causes of cash hoarding. The second topic is international business cycles. A new feature of capital market is introduced into a standard international business cycle model to account for the disconnect between theory and data. The first chapter proposes an explanation for the joint dynamics of cash and inventory -- the adoption of the Just-in-Time (JIT) system. I start by demonstrating the importance of JIT in shaping corporate cash. I then develop a dynamic stochastic model to analyze the mechanisms and quantify their impacts. In the model, both cash and inventory can serve as working capital. As firms switch over from the traditional operating system (Just-in-Case, JIC) to JIT, they allocate the resources freed up from inventory to cash, in order to ensure smooth transactions with suppliers. On average, this switchover accounts for 45% and 69% of the observed cash increase and inventory decline respectively. The second chapter provides a complementary explanation for the cash-inventory joint dynamics. It models inventory as a reversible store of liquidity and studies the tradeoff between cash and inventory when a firm manages its liquidity needs. I argue that two key determinants of a firm's resource allocation decision are its market power and its exposure to risk. In the model, firms with lower market power and firms operating in riskier environments rely more heavily on cash rather than inventory. Model implications are supported by data. The third chapter studies the role of limited asset market participation (LAMP) in explaining international business cycles. We show that when LAMP is introduced into an otherwise standard model of international business cycles, the performance of the model improves significantly, especially in matching cross-country correlations. To perform formal evaluation of the models we develop a novel statistical procedure that adapts the statistical framework of Vuong (1989) to DSGE models. Using this methodology, we show that the improvements brought out by LAMP are statistically significant.

This dissertation comprises three essays that study three distinct derivative contracts. The first essay proves, in a model-free framework, that early exercise of futures-style options on futures, whether calls or puts, is suboptimal. The result is robust to transaction costs, liquidity constraints and collateral requirements. Assuming a frictionless market, three additional model-free results are obtained: (i) put-call parity, (ii) equality of time values of puts and calls with the same strike and expiration, and (iii) positivity of time value before expiration. The second essay develops a new invoice price formula for Treasury bond futures contracts as a more effective alternative to the current conversion factor system. The equilibrium "cheapest to deliver" and futures price at expiration are identified. The empirical part of the essay documents that the new function dramatically improves the ability of the futures invoice price to approximate the market prices of the corresponding deliverable bonds. The third essay offers a regression-based empirical study of the determinants of credit default swap premia. Leverage, volatility and interest rates are found to account for a large percentage of the variation of premia. A principal components analysis of the regression residuals finds no evidence of a missing factor. The results achieved for credit default premia more closely corroborate structural models of credit risk than those obtained by Collin-Dufresne et al. (2001) for corporate bond yield spreads.

This thesis which compromise of three essays focuses on the theme of valuation, value premium anomaly, financing behaviour and emerging markets. The first essay studies the value growth puzzle in the context of conflict of interest between taxable and institutional investors. We model this conflict in a rational expectations framework and demonstrate how the differences in firm's characteristics (in terms of value versus growth) and the risk profile of the investors can explain the shape of CAPM's frontier in the overall economy without involving the beta parameter. We also explicate that the changes in taxable and non-taxable investors profile in a dynamic environment rationalize the value growth premium as illustrated by Malkiel (2003). Finally, our approach shed light on the issues raised by Shiller (1979,1981) and LeRoy and Porter (1981) that stock [bond] prices are too volatile to be rationalized by the discounted value of their expected dividends [coupon payments]. The second essay studies value anomaly in the context of four major emerging economies (i.e. Brazil, Turkey, China and India denoted by the acronym BTIC) with vast economic potential and Malaysia, a small emerging economy with top heavy, closely held, state-owned institutional setting. We attribute the anomaly to the investment pattern of glamour firms. Our empirical analysis illustrates that these firms have a tendency to hoard cash, delaying the undertaking of their growth options, especially in poor economic environments. This mitigates their business risk, but lowers their market valuation, driving down their returns. Our hypothesis also reconciles the diverging views stemming from both the neoclassical and behavioural perspectives. This third essay examines the target capital structure of Malaysian firms and their adjustment process in the pre- and post- Asian financial crisis. We utilize an unbalanced panel data set comprising of 184 firms and employ the Generalized Method of Moments (GMM) to study the relationship between a firm's characteristics and its capital structure targeting behaviour in the context of political patronage. Our results support the amalgamation of the well-known Pecking Order and Static Trade-off theories. It also illustrates that the financial crisis had a significant impact on the financial policy of Malaysian firms.

This research considers social networks in informal insurance and mechanism design issues related to consumption externalities. Chapter 2 examines informal insurance networks. Defining an income-sharing arrangement as a link, I show that pairwise stable networks are regular and the degree depends on the relative value of income. Although the complete network is efficient, either high risk or high risk aversion weakens the incentive to add a link so that full risk sharing is less likely to be pairwise stable at the high level of risk. However, if the group size is large enough, the complete network is always pairwise stable regardless of the income-risk ratio. Additionally, asymmetric network structures may arise for heterogeneous agents. Chapter 3 and 4 consider consumption externalities. In Chapter 3, I develop an efficient allocation mechanism when there are consumption externalities. To implement an efficient outcome, the payment function of an incentive compatible mechanism separately reflects individual agents' valuation as well as the externalities. A seller's perspective leads Chapter 4 by comparing two prevalent selling mechanisms - English auction and posted-price selling. An English auction, of which the price is determined through buyers' competition, yields higher expected revenue under low externalities, whereas a posted-price selling, of which the price is set by the seller, is better for the seller at the high level of externalities.

This thesis is concerned with banking market imperfections, most especially real resources costs and imperfect competition. A special focus is made on the empirical estimation of the importance of such imperfections in the Portuguese market. The thesis is organised in three different essays, being the first focused on real resources costs, the second on market power and price and non-price competition and the third chapter discusses the impact of such imperfections on the measurement of interest rate risk. The first chapter is an empirical study on real resources operating costs in Portuguese banking. The approach followed is the stochastic cost frontier, because this methodology allows the simultaneous estimation of measures of economies of scale and scope as well as production efficiency and input substitutability estimates. The theoretical framework developed differs from existing literature on the explicit inclusion of the balance sheet constraint on the cost minimisation problem, being concluded that deposits should be handled as an output. Results show a clear evidence for the existence of economies of scale for the smaller banks and some costs advantages for the larger ones associated with high productivity of their branching networks. Economies of scope between deposits and loans were found for all but the larger banks. Portuguese banks were found to be particularly cost inefficient. The second chapter studies the evolution of market power on the Portuguese deposits market under the current deregulation process. Using panel data, three equations were estimated representing optimality conditions for deposit rates, advertising expenditures and branches. An important conclusion is that interest rate and entry deregulation were associated with an increase in both price and non-price competition. The small banks were found to have virtually no market power on deposits, being the situation especially unpleasant for the foreign institutions following growth strategies. On the other hand, significant market power was detected for banks with market shares for above 5%. However, above that level, we didn't detect a positive relationship between the two variables. Thus, mergers between large banks will not directly increase market power for the participating firms, although will create a favourable situation for the overall industry, trough the price-concentration relationship. The third chapter analyses the problem of measurement of interest rate risk exposure of a financial intermediary operating under imperfect competition. A solution proposed by Dermine (1985) is criticised since it doesn't take in consideration the optimising behaviour of such an intermediary. It is also shown that unlike in Dermine's article, imperfect competition also affects exposure through durations of assets and liabilities, and not only through goodwill. Another consequence of this modelling approach is that other imperfections like required cash reserves and operating costs (responsible for an operating leverage effect) seem to influence exposure. An important conclusion is that duration gap analysis is biased and inappropriate to measure exposure, being concluded that net worth immunization requires that assets have different duration than liabilities, rather than equal.

This dissertation consists of three essays on microeconomics. The first essay considers matching markets, markets where buyers and sellers and concerned about who they interact with. It proposes a model to analyze these markets akin to the standard supply and demand framework. The second essay considers mechanism design, the problem of designing rules to make collective decisions in the presence of private information. It proposes the concept of strategyproofness in the large, which is that an agent without too fine information has negligible gains from misreporting her type in a large market. It argues that, for all practical purposes, this concept correctly separates mechanisms where behavior akin to price-taking is observed, and those where participants rampantly manipulate their stated preferences. A Theorem is proven that gives a precise sense in which strategyproofness in the large is not a very restrictive property. The third essay considers the evolutionary origins of the endowment effect bias, where the willingness to pay for a good is smaller than the willingness to accept. It gives evidence that this bias is not present in a modern hunter-gatherer population, questioning standard evolutionary accounts. It shows that cultural shocks in a subpopulation did give rise to the bias.
Economics

This dissertation consists of two papers in the field of Macro Labor and one paper in the field of global games. In particular, the first two chapters focus on studying why the progress of job polarization has been different across industries between 1980 and 2010 and the last chapter analyzes the interaction between the precision of exogenous and market generated information in coordination economies.

The first chapter empirically explores the relationship between job polarization and interindustry wage differentials. By using the U.S. Census and EU KLEMS data, we find that the progress of job polarization between 1980 and 2009 was more evident in industries that initially paid a high wage premium to workers than in industries that did not. We argue that this phenomenon can be explained as a dynamic response of firms to interindustry wage differentials: firms with a high wage premium seek alternative ways to cut production costs by replacing workers who perform routine tasks with Information, Communication, and Technology (ICT) capital. The replacement of routine workers with ICT capital has become more pronounced as the price of ICT capital has fallen over the past 30 years. As a result, firms that are constrained to pay a relatively high wage premium have experienced slower growth of employment of routine workers than firms in low-wage industries, which led to heterogeneity in job polarization across industries.

Then the second chapter proposes a theory that unveils the mechanism underlying the close relationship between job polarization and interindustry wage differentials, which is studied empirically in the first chapter. In particular, we develop a two-sector neoclassical growth model with three key features. First, industries differ in the wage rates they pay to workers. Second, routine workers are relative substitutes for capital while non-routine workers are relative complement to capital. Last, there is an exogenous investment-specific technology change. Main predictions of the model are that (1) job polarization is more evident and (2) capital-routine worker ratio increases more in the industry that pays higher wages to workers when there is an investment-specific technology change, which are consistent with the empirical findings in the first chapter.

In the last chapter, we study the interaction between the precision of exogenous and market-generated information in a class of economies where firms display coordination motives in presence of dispersed information and where the outcome of the coordination is traded in a competitive asset market á-la Grossman and Stiglitz (1980). We show that when more private information is injected in the coordination economy the equilibrium asset price becomes less informative. To showcase the relevance of our result we present an application to a problem of endogenous information choice where the "Knowing What Others Know" property of information acquisition derived by Hellwig and Veldkamp (2009) breaks down in presence of market-generated information.

This thesis consists of two main parts. The rst part deals with an analysis of realized volatility and its relationship with market mi- crostructure problem. The second part of the thesis presents a time trend analysis in a panel data framework, with a semiparametric ap- proach. Chapter 1 introduces the topics that I embark upon the thesis. In particular, I motivate the interest in realized volatility and market mi- crostructure problem in the rst part of the thesis, with a factor model approach. Then, in the second part, the motivation is on the estimation of time varying coe¢ cient trend functions in a panel data case, using nonparametric estimation methods. Chapter 2 proposes a literature review on realized volatility and factor models, while focusing on the seminal papers and models that the theoretical literature suggests and also provides the empirical evidence observed in nancial markets. Chapter 3 develops a theoretical model to forecast the realized volatility consistently and e¢ ciently for large dimensional datasets and also addresses the solution for noise problem coming out of volatility estimation in the presence of market microstructure e¤ects. Chapter 4 provides the empirical analysis and results on a sample of S&P 500 stocks following the methodology and models suggested in Chapter 3. Chapter 5 focuses on developing a semiparametric panel model to explain the time trend function. Pro le likelihood estimators (PLE) are proposed and their statistical properties are studied. We apply our methods to the UK regional temperatures. Finally, forecasting based on the proposed model is studied. Chapter 6 concludes, summarizing the main results and contribu- tions of the thesis.