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Huang, Yi. "Properties of empirical and adjusted empirical likelihoods". Thesis, University of British Columbia, 2010. http://hdl.handle.net/2429/27819.
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Likelihood based statistical inferences have been advocated by generations of statisticians. As an alternative to the traditional parametric likelihood, empirical likelihood (EL) is appealing for its nonparametric setting and desirable asymptotic properties.
In this thesis, we first review and investigate the asymptotic and finite-sample properties of the empirical likelihood, particularly its implication to constructing confidence regions for population mean. We then study the properties of the adjusted empirical likelihood (AEL) proposed by Chen et al. (2008). The adjusted empirical likelihood was introduced to overcome the shortcomings of the empirical likelihood when it is applied to statistical models specified through general estimating equations. The adjusted empirical likelihood preserves the first order asymptotic properties of the empirical likelihood and its numerical problem is substantially simplified.
A major application of the empirical likelihood or adjusted empirical likelihood is the construction of confidence regions for the population mean. In addition, we discover that adjusted empirical likelihood, like empirical likelihood, has an important monotonicity property.
One major discovery of this thesis is that the adjusted empirical likelihood ratio statistic is always smaller than the empirical likelihood ratio statistic. It implies that the AEL-based confidence regions always contain the corresponding EL-based confidence regions and hence have higher coverage probability. This result has been observed in many empirical studies, and we prove it rigorously.
We also find that the original adjusted empirical likelihood as specified by Chen et al. (2008) has a bounded likelihood ratio statistic. This may result in confidence regions of infinite size, particularly when the sample size is small. We further investigate approaches to modify the adjusted empirical likelihood so that the resulting confidence regions of population mean are always bounded.
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Santariusová, Markéta. "Price convergence between new and old EU member countries". Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-135908.
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The main aim of this dissertation is to investigate whether the price convergence between new and old EU member countries occurred. According to development of price level index it is shown that new member countries converge towards the EU27 and that old member countries more or less hover around their initial levels. Germany is chosen to be a benchmark country and thus the development towards Germany is also examined. The results reveal that new member states converge towards the benchmark country. However, in the case of old member states both convergence and divergence occurs. Furthermore, factors that may have an influence on such a development are investigated. The empirical research shows that GDP, hiring regulations and minimum wage and business regulation were of significance during the examined period, from 2000 to 2009 respectively.
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Chovítek, Šimon. "Ekonomie terorismu: Empirická analýza chování teroristických skupin". Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199729.
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The aim of this thesis is to empirically analyze the behavior of terrorist groups. In this work we tested the assumption of the model of rational choice in terms of terrorism. The empirical section combines theoretical predictions with observed facts and shows the terrorists as rational actors acting under uncertainty. The data used in the analysis orginate from databases GTD and RDWTI. Mean-variance analysis of portfolios of real attack of terrorist organizations suggests their ability to effectively optimize their activity and to reduce the risks to which they are exposed. Terrorists thus appears as rational agents able to react quickly to external influences. This largely affects the resulting impact of counter-terrorism measures taken when selectively targeted measures may lead to a mere transfer of terrorist activity to another destination.
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Šperlich, Marek. "Analýza efektivity tréninkového programu v bance HSBC". Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-9350.
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The thesis theme is research and analysis of training program in HSBC Bank which took place during September 2007. The thesis is divided in to five chapters. The first chapter is devoted to theory of andragogics, corporate training and efficiency analysis. The second chapter is devoted to empirical research also problem and its solution is introduced there. The third chapter introduces HSBC Bank and HSBC Bank training program. This training program was created for newly hired employees. The fourth chapter consist of three surveys of participators of this training. The first -questionary- is focused on trainees. The second survey is evaluated by trainers of the company, this survey was executed via internet. The last survey was realized through series of interview with trainees. Based on the results of the investigation the fourth chapter is concluded with SWOT analysis of training, evaluation of efficiency of Kirkpatrick`s schneme. The last chapter contains proposals to streamline the training process. This proposals will be submitted to the management of the company for possible use in further training.
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Sumová, Lucie. "Analýza pracovní spokojenosti ve společnosti TOMOS, a.s". Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73836.
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The presented diploma thesis is a practical research of job satisfaction in the chosen company Tomos Praha, a.s. It deals with the theoretical background of job satisfaction, its relation to the motivation and its impact on the performance of the employees. It describes particular theories of job satisfaction and focuses on the factors which influence the job satisfaction. In the practical part it examines the job satisfaction in the company Tomos Praha, a.s. from the different point of view, analyses the the data acquired by the empirical research and proposes the steps for improving the current situation.
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Abela, Paul Richard Spencer. "Kant's empirical realism /". Oxford : Clarendon press, 2002. http://catalogue.bnf.fr/ark:/12148/cb38824632h.
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Davarcioglu, Tolga. "Empirical accounting research". Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2011. http://dx.doi.org/10.18452/16411.
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Diese kumulative Dissertation besteht aus drei eigenständigen Arbeiten aus dem Bereich der empirischen Rechnungslegungsforschung. In jeder Arbeit werden ökonometrische Methoden angewandt, um Hypothesen bezüglich bestimmter Wirkungen und Folgen von Rechnungslegung zu bestätigen oder zu verwerfen. Die erste Arbeit untersucht die freiwillige Anwendung von Rechnungslegungsstandards. Ausgehend von den besonderen institutionellen Begebenheiten Deutschlands werden Determinanten der freiwilligen Anwendung der Deutschen Rechnungslegungs Standards (DRS) identifiziert. Die Ergebnisse einer multinomialen logistischen Regression zeigen, dass die Anwendung getrieben wird durch die Unternehmensgröße, den Wirtschaftsprüfer sowie Fremdkapitalgeber-Agency Probleme. Die Anwendung wird nicht getrieben durch die öffentliche Wahrnehmung eines Unternehmens. Die zweite Arbeit untersucht die Auswirkungen der freiwilligen IFRS-Erstanwendung auf die Rückstellungsbilanzierung von deutschen börsennotierten Unternehmen. Die Änderungen in der Rechnungslegungsqualität durch den Wechsel der Rechnungslegung gemäß HGB zu den IFRS werden durch die Anwendung eines „same firm-year approach“ ermöglicht. Die Ergebnisse zeigen eine signifikant höhere Informationsdarstellung nach IFRS. Dies gilt besonders für Firmen, die typischerweise weniger Anreize für eine gute Rechnungslegungsqualität besitzen. Die dritte Arbeit untersucht den Effekt von Mehrfachmandaten auf die Firmenperformance von deutschen börsennotierten Unternehmen. Das Vorkommen von Mehrfachmandaten wird aus verschiedenen Blickwinkeln betrachtet, da die Wirkung auf die Firmenperformance nicht eindeutig vorhergesagt werden kann. Die Ergebnisse deuten auf einen negativen Zusammenhang zwischen Mehrfachmandaten und Firmenperformance. Positive Eigenschaften von Boardmitgliedern wirken diesem Ergebnis nur begrenzt entgegen.This cumulative PhD-thesis consists of three papers within the field of empirical accounting research. In each paper established empirical methodology is applied in order to validate or reject predictions on certain accounting outcomes. The first paper deals with voluntary accounting compliance. Taking advantage of the institutional setting in Germany, the paper identifies determinants of voluntary compliance with German Accounting Standards (GAS). The results of an ordered logistic regression show that compliance is driven by size, the auditor’s affiliation to the institution that develops the GAS and debt agency problems. The results do not reveal a relationship between compliance and public exposure. The second paper investigates effects of voluntary IFRS adoption on accounting quality based on provision disclosure using a sample of publicly listed German firms. Changes in accounting quality measures resulting from the transition from German GAAP to IFRS are assessed using a same firm-year approach. Results show that disclosure level is significantly higher under IFRS. The results are consistent with the notion that IFRS adoption has a positive impact on the disclosure aspect of accounting quality regarding accounting for provisions. Positive changes are stronger for firms that typically have fewer incentives to provide accounting information for a broad investor base. The third paper investigates the effect of multiple board appointments on firm performance for a sample of publicly listed German firms. The incidence of multiple board appointments is investigated from several angles since multiple board appointments can be characterized along numerous dimensions and their effect on firm performance is not unequivocally predictable. The results indicate that multiple board appointments negatively affect firm performance. Director characteristics that are expected to have a positive influence on firm performance do not counteract this finding.
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Romano, Valerio Cosimo. "Empirical Comparative Law". Doctoral thesis, Luiss Guido Carli, 2015. http://hdl.handle.net/11385/200991.
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Ren, Junqiushi. "Essays on Empirical Industrial Organization". The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1492646583191169.
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Lin, Hui-Ling. "Jackknife Empirical Likelihood for the Variance in the Linear Regression Model". Digital Archive @ GSU, 2013. http://digitalarchive.gsu.edu/math_theses/129.
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The variance is the measure of spread from the center. Therefore, how to accurately estimate variance has always been an important topic in recent years. In this paper, we consider a linear regression model which is the most popular model in practice. We use jackknife empirical likelihood method to obtain the interval estimate of variance in the regression model. The proposed jackknife empirical likelihood ratio converges to the standard chi-squared distribution. The simulation study is carried out to compare the jackknife empirical likelihood method and standard method in terms of coverage probability and interval length for the confidence interval of variance from linear regression models. The proposed jackknife empirical likelihood method has better performance. We also illustrate the proposed methods using two real data sets.
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Courey, Karim Joseph. "An Investigation of the Electrical Short Circuit Characteristics of Tin Whiskers". Scholarly Repository, 2008. http://scholarlyrepository.miami.edu/oa_dissertations/38.
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Existing risk simulations make the assumption that when a free tin whisker has bridged two adjacent exposed electrical conductors, the result is an electrical short circuit. This conservative assumption is made because shorting is a random event that has a currently unknown probability associated with it. Due to contact resistance electrical shorts may not occur at lower voltage levels. In these experiments, the effect of varying voltage on the breakdown of the contact resistance which leads to a short circuit was studied. From this data, the probability of an electrical short was estimated, as a function of voltage, given that a free tin whisker has bridged two adjacent exposed electrical conductors. Also, three tin whiskers grown from the same Space Shuttle Orbiter card guide used in the aforementioned experiment were cross-sectioned and studied using a focused ion beam (FIB). The rare polycrystalline structure seen in the FIB cross section was confirmed using transmission electron microscopy (TEM). The FIB was also used to cross section two card guides to facilitate the measurement of the grain size of each card guide's tin plating to determine its finish.
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Gong, Yun. "Empirical likelihood and extremes". Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/43581.
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In 1988, Owen introduced empirical likelihood as a nonparametric method for constructing confidence intervals and regions. Since then, empirical likelihood has been studied extensively in the
literature due to its generality and effectiveness. It is well known that empirical likelihood has several attractive advantages
comparing to its competitors such as bootstrap: determining the shape of confidence regions automatically using only the data;
straightforwardly incorporating side information expressed through constraints; being Bartlett correctable. The main part of this
thesis extends the empirical likelihood method to several interesting and important statistical inference situations. This thesis has four components. The first component (Chapter II)
proposes a smoothed jackknife empirical likelihood method to construct confidence intervals for the receiver operating characteristic (ROC) curve in order to overcome the computational
difficulty when we have nonlinear constrains in the maximization problem. The second component (Chapter III and IV) proposes smoothed
empirical likelihood methods to obtain interval estimation for the conditional Value-at-Risk with the volatility model being an ARCH/GARCH model and a nonparametric regression respectively, which
have applications in financial risk management. The third component(Chapter V) derives the empirical likelihood for the intermediate
quantiles, which plays an important role in the statistics of extremes. Finally, the fourth component (Chapter VI and VII)
presents two additional results: in Chapter VI, we present an interesting result by showing that, when the third moment is infinity, we may prefer the Student's t-statistic to the sample mean
standardized by the true standard deviation; in Chapter VII, we present a method for testing a subset of parameters for a given
parametric model of stationary processes.
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Läuter, Henning. "Empirical Minimax Linear Estimates". Universität Potsdam, 2008. http://opus.kobv.de/ubp/volltexte/2011/4948/.
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Caldara, Dario. "Essays on Empirical Macroeconomics". Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-55463.
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This thesis consists of four essays in empirical macroeconomics. What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative Analysis The literature using structural vector autoregressions (SVARs) to assess the effects of fiscal policy shocks strongly disagrees on the qualitative and quantitative response of key macroeconomic variables. We find that controlling for differences in specification of the reduced-form model, all identification approaches used in the literature yield similar results regarding the effects of government spending shocks, but diverging results regarding the effects of tax shocks. The Analytics of SVARs. A Unified Framework to Measure Fiscal Multipliers Does fiscal policy stimulate output? SVARs have been used to address this question, but no stylized facts have emerged. I show that different priors about the output elasticities of tax revenue and government expenditures implied by the identification schemes generate a large dispersion in the estimates of tax and spending multipliers. I estimate fiscal multipliers consistent with prior distributions of the elasticities computed by a variety of empirical strategies. I document that in the U.S. spending multipliers are larger than the tax multipliers. Computing DSGE Models with Recursive Preferences and Stochastic Volatility This paper compares solution methods for computing the equilibrium of dynamic stochastic general equilibrium models with recursive preferences and stochastic volatility. The main finding is that a third-order perturbation is competitive in terms of accuracy with Chebyshev polynomials and value function iteration, while being an order of magnitude faster to run. Business Cycle Accounting and Misspecified DSGE Models This paper investigates how insights from the literature on business cycle accounting can be used to trace out the implications of missing channels in a baseline estimated dynamic stochastic general equilibrium model used for forecast and policy analysis.
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Aziz, Tariq. "Essays in empirical finance". Thesis, University of Aberdeen, 2016. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=230103.
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This PhD dissertation research primarily aims to empirically investigate into two financial topics using annual and monthly data sets of market-capitalization based size portfolio returns from the US stock market for the period 1925 to 2012. Using size-based portfolio returns is a pioneering effort for both topics. The first empirical research using annual data is on short and long horizon stock return predictability using three widely selected ratios in terms of price-output, price-earnings and price-dividend. Using univariate and multivariate predictive regressions for horizons from one year to fifteen years for the full sample and three different sub-samples for comparison reasons with the previous research using aggregate stock market data, it is reported that both short and long horizon return predictability exists albeit with different predictive ability for different horizons. Among the three selected ratios, overall the price-output ratio is empirically favoured as a superior predictor of stock returns. The empirical findings refer to that this is robust across the three sub-samples investigated. It is empirically shown that size significantly matters in terms of return predictability. The second empirical research using monthly data is on the analysis of impact of macroeconomic volatility in terms of inflation and industrial production growth on asymmetric time-varying volatility of stock returns. Using a two-stage econometric methodology, first, based on estimation of asymmetric conditional volatilities of stock returns and macroeconomic variables, and then employing a vector autoregression methodology; it is reported that volatility of size-based portfolio returns are, in general, not significantly dependent on macroeconomic volatility. It is also shown that stock return volatility is more responsive to its own previous shocks as shown by the variance decomposition. It is also found that size does not matter in this specific case.
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Ma, Jun. "Essays on empirical likelihood". Thesis, University of British Columbia, 2014. http://hdl.handle.net/2429/50195.
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This thesis consists of three research chapters on the theory of empirical likelihood (EL), which is a class of inferential methods widely used in econometrics. In Chapter 2, we focus on estimation and testing of moment restriction models with weakly dependent stationary time series data using blockwise empirical likelihood method. Empirical likelihood based methods often encounters the finite sample problem that the constraint set of the profiling step becomes empty. This issue undermines the validity of EL-based methods in empirical applications. We first show first-order validity of Chen, Variyath and Abraham (2008)'s pseudo observation adjustment, which is used to overcome this shortcoming. Under regularity conditions, key higher-order properties are found. The first property is that blockwise EL ratio statistics admit higher-order refinement and this refinement can be implemented via either mean adjustment to the EL ratio statistic or creating a pseudo observation with specific level of adjustment. By the latter approach, we address both the empty-constraint-set issue and low precision of chi-square approximation. We also find that for testing problems, the optimal block length choice that minimizes the higher-order approximation error has an order of magnitude the sample size to the power of 2/5. In Chapter 3, we focus on parameter hypothesis testing problems for moment restriction models using EL ratio tests. We substantially extend existing theorems on Bartlet correctability of EL ratio tests for parameter testing problems in Chen and Cui (2007) and Chen and Cui (2006.a). We consider tests of general nonlinear restrictions on the parameter under the null hypothesis. We show Bartlett correctability of EL ratio tests of such a large family of testing problems, which are potentially useful in many empirical applications. In Chapter 4, we focus on estimation and testing of conditional moment restrictions with i.i.d. data. Following the approach of adjusted empirical likelihood (AEL) proposed by Chen, Variyath and Abraham (2008), this paper develops AEL-based methods for conditional moment restrictions, and establishes that new methods produce semiparametrically efficient estimators and consistent specification tests. This new method shows improved computational efficiency and accuracy in finite samples, as compared to some existing alternatives.Arts, Faculty of
Vancouver School of Economics
Graduate
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Strand, Niklas. "Empirical studies of pricing". Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2001. http://www.hhs.se/efi/summary/570.htm.
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Tang, Yuan Emily. "Essays in empirical microeconomics". Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2007. http://wwwlib.umi.com/cr/ucsd/fullcit?p3284312.
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Thesis (Ph. D.)--University of California, San Diego, 2007.Title from first page of PDF file (viewed January 14, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 110).
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Andersson, Magnus. "Essays in empirical finance". Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2007. http://www2.hhs.se/efi/summary/731.htm.
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Finn, Maurice. "Wisdom : an empirical investigation /". Title page, contents and abstract only, 1993. http://web4.library.adelaide.edu.au/theses/09ARPS/09arpsf514.pdf.
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Kristoffersen, Stian. "The Empirical Interpolation Method". Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-23378.
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In this thesis we look at the Empirical Interpolation Method (EIM) and how it can be used in different applications. We propose a new formulation of EIM to make it easier to perform analytical operations like differentiation and integration of the basis functions as well as to apply EIM to a variety of problems. The new formulation is used to develop quadrature rules for the circle and semicircle, as well as for arbitrary simple polygons. The new formulation is also used to solve partial differential equations using a collocation approach on various domains including the circle, semicircle and triangle. The framework is briefly applied to compression of 3D animation in addition to recognition of images and sound.Several of the methods show great potential, with exponential convergence for quadrature and collocation for regular problems. However, there are also serious issues that must be addressed if the methods are to be developed further. These issues are related to making the methods more robust and stable.
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Della, Corte Pasquale. "Essays in empirical finance". Thesis, University of Warwick, 2007. http://wrap.warwick.ac.uk/1140/.
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The aim of this thesis is to deepen our understanding of new empirical methods, results and implications in interest rate and foreign exchange markets. To this end, this thesis is organised in three chapters. The first chapter tests the validity of the Expectation Hypothesis (EH) of the term structure using daily data for US repo rates spanning the 1991-2005 sample period and ranging in maturity from overnight to three months. We revisit a recent study by Longstaff (2000a) by implementing statistical tests designed to increase test power in this context. Specifically, we apply the Lagrange Multiplier and Distance Metric statistics to test a set of,nonlinear cross-equation restrictions imposed by the EH on a vector autoregression model of the short- and long-term interest rates. We find that EH is rejected throughout the term structure examined on the basis of the statistical tests. In the second chapter, we extend the study carried out in the first chapter in a different direction and assess the economic value of departures from the EH based on criteria of profitability and economic significance. In the context of a mean-variance framework, we compare the performance of a dynamic portfolio strategy consistent with EH to a dynamic portfolio strategy that exploits the departures from the EH. The results of our economic analysis are favourable to the EH, suggesting that the statistical rejections of the EH in the repo market are economically insignificant. Finally, in the third chapter, we provide a comprehensive evaluation of the shorthorizon predictive ability of economic fundamentals and fonvard premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on Deterministic and Bayesian Model Averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power of the empirical models, and find two key results: (i) a risk averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on the random walk model to one which conditions on the forward premium with stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random walk benchmark. These two results are robust to reasonably high transaction costs.
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Milonas, Kristoffer. "Essays in Empirical Finance". Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2324.
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This thesis contains three self-contained chapters, covering different subjects but using similar methods: The Effect of Foreclosure Laws on Securitization: Evidence from U.S. States shows that mortgage loans are less likely to be securitized in states with costlier foreclosure procedures. I interpret this in light of prior literature showing a higher foreclosure risk for securitized loans, due to unwillingness to renegotiate by the agents working on behalf of investors. Moreover, the magnitude of the effect increases for loans with higher risk of default, and disappears for loans where state foreclosure laws usually do not apply. Do daughters make family firms more sustainable? studies listed companies with a family owning a large block of shares, and asks how the family composition affects the company’s policies. Creating a novel Swedish data set, I find that environmental performance improves when the family has more daughters. The effect does not seem to operate through more adult daughters leading to more female CEOs or board members, or through the appointment of family members as CEOs. Bank taxes, leverage and risk uses staggered changes in US state-level bank taxation, and documents an increase in leverage when taxes are raised. Banks partly dampen the effect by adjusting their Tier 2 capital (a lower-quality form of regulatory capital that is less able to absorb losses), and by reducing the risk on the asset side of the balance sheet as measured by regulators.Diss. Stockholm : Stockholm School of Economics, 2015. Introduction together with 3 papers
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Stella, Andrea. "Essays on Empirical Macroeconomics". Thesis, Harvard University, 2012. http://dissertations.umi.com/gsas.harvard:10137.
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This dissertation consists of three essays on empirical macroeconomics. The first essay estimates a dynamic multi-product model in order to assess the magnitude of menu costs. The leading theories on monetary policy non-neutrality require some degree of price rigidity, which is often introduced by assuming fixed costs of price adjustment, also known as menu costs. Empirical evidence on the existence of such menu costs is very scarce. Using weekly data on prices, costs and units sold by a supermarket chain, I estimate a discrete-choice dynamic model of a multi-product firm facing menu costs with a moment inequalities approach. This empirical methodology allows me to estimate two types of fixed costs of price adjustment: costs that are independent of the number of items that change prices and costs that are incurred at each item’s price change. I find that both types of menu costs exist and are substantial. The total costs from changing prices is estimated to be bounded between 0.13% and 0.76% of revenues and between 6.63% and 38.18% of net margins. The first type of fixed cost accounts for approximately half of this expense, pointing at substantial economies of scope in price setting. The second essay develops a parsimonious bivariate model of inflation and unemployment that allows for persistent variation in trend inflation and the NAIRU. The model, which consists of five unobserved components (including the trends) with stochastic volatility, implies a time-varying VAR for changes in the rates of inflation and unemployment. The implied backwards-looking Phillips curve has a time-varying slope that is steeper in the 1970s than in the 1990s. Pseudo out-of-sample forecasting experiments indicate improvements upon univariate benchmarks. Since 2008, the implied Phillips curve has become steeper and the NAIRU has increased. The third essay investigates empirically whether firm-level shocks have an impact on aggregate fluctuations. I estimate a dynamic factor model with firm-level data so as to be able to identify aggregate, sectoral and idiosyncratic shocks to firms. Two main features emerge from the analysis. First, firm dynamics are dominated by idiosyncratic shocks; for more than 70% of firms idiosyncratic shocks account for 60% or more of firm level fluctuations. The second and most interesting result is that firm-level shocks explain about 20% of the variance of aggregate GDP growth, which seems to point at a very important role played by idiosyncratic shocks in explaining aggregate fluctuations.Economics
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Agarwal, Nikhil. "Essays in Empirical Matching". Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10745.
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This thesis combines three essays on empirical applications and methods in two-sided matching markets. The first essay uses existing methods to estimate preferences for schools using rank order lists from New York City's new high school assignment system launched in Fall 2003 to study the consequences of coordinating school admissions in a mechanism based on the student-proposing deferred acceptance algorithm. The second essay develops techniques for estimating preferences in two-sided matching markets with non-transferable utility using only data on final matches. It uses these techniques to estimate preferences in the market for family medicine residents. These estimates are then used to analyze two economic questions. First, it investigates whether centralization in the market for medical residents is primarily responsible for low salaries paid to medical residents. Second, it analyzes the effects of government interventions intended to encourage training of medical residents in rural areas. The final essay studies estimation and non-parametric identfication of preferences in two-sided matching markets with non-transferable utility. It studies the special case in which preferences of each side of the market is vertical and data from a pairwise stable match, in a single large market is observed.Economics
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Cotterill, Daniel John. "Phenomenology of empirical confirmation". Thesis, Birkbeck (University of London), 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.362545.
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Boneva, Teodora Bojanova. "Essays in empirical microeconomics". Thesis, University of Cambridge, 2015. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.709170.
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Guiteras, Raymond P. "Essays in empirical microeconomics". Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/45907.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2008.Includes bibliographical references.
This thesis consists of three essays addressing open empirical questions in applied microeconomics. Chapter 1 attempts to quantify the impact of climate change on Indian agriculture. I use historical data on past yearly weather fluctuations and crop yields to measure the effect of these weather fluctuations on output, then use climate change prediction models to derive projections of the impact of future climate change on future productivity. I find that even moderate climate change could be seriously detrimental to productivity, with a consensus prediction for warming over the period 2010-2039 reducing productivity 4.5 to 9 percent. Chapter 2 provides a new tool for analysis of distributional, or quantile, effects in regression discontinuity (RD) models. RD has become increasingly popular over the last decade as a method of obtaining quasi experimental estimates of mean treatment effects. This paper extends the methodology to the measurement of quantile treatment effects. I provide simulation evidence on the effectiveness of the estimator and an empirical application to returns to compulsory schooling in the United Kingdom. Chapter 3, written jointly with Esther Duflo and Michael Greenstone, examines the impact of a water and sanitation intervention in Orissa, India, on health outcomes, in particular the monthly incidence of severe cases of diarrhea and malaria. The design of the intervention, in particular the fact that the water system is activated suddenly, unpredictably and simultaneously for all households in a given village, allow us to overcome several empirical challenges that have impeded credible estimation in the past. We find large effects: the arrival of services appears to reduce severe cases of diarrhea by as much as forty percent, with similar effects on severe cases of malaria. Furthermore, these effects appear to be persistent, as they continue to be apparent in the data after three and even five years.
by Raymond P. Guiteras.
Ph.D.
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Simon, John A. (John Albert) 1971. "Essays in empirical macroeconomics". Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9006.
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Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Economics, 2000.Includes bibliographical references (p. 76-80).
This thesis consists of two separate essays. The first, entitled 'The Long Boom', considers the causes of the recent record breaking growth in the United States. The second, entitled 'Markups and Inflation', looks at the relationship between markups and inflation in the US and OECD. The first essay starts from the observation that economic growth in the 80s and 90s has been characterized by expansions significantly longer than the preceding post-war experience. An examination of the most recent cycles shows that they have been much less volatile than previous cycles. Investigation of the causes of this suggests that the shocks hitting the economy have been smaller rather than the structure being more stable. A structural decomposition finds that the volatility decline is concentrated in demand shocks and consumption volatility. The decline in consumption volatility is traced to a decline in the volatility of shocks with a permanent effect on consumption and a reduction in the reaction of consumption to temporary shocks. Examination of output volatility in other countries finds that the reduction in output volatility is a worldwide phenomenon. This suggests that the cause for the reduction in volatility is not confined to an individual country. Regardless, the conclusion. is that the prospects for future of economic growth in the US are good. The second essay calculates markups for 450 US manufacturing industries as well as 25 broader sectors in 14 OECD countries. These markups are compared with GDP deflater inflation. A significant and robust finding is that there is a negative correlation between inflation and markups. Furthermore, the strength of the correlation varies with industry concentration. Specifically, the markup in concentrated industries is more sensitive to inflation fluctuations than in unconcentrated industries. A model emphasizing the interaction of inflation with collusive behavior is then presented. The critical channel in this model is that the variance of cost shocks increases with inflation. Higher inflation and the concomitant increase in the variance of cost shocks makes the maintenance of collusive arrangements harder and, thereby, leads to a lower average markup.
by John A. Simon.
Ph.D.
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Kumar, Pavithra Kamakshi. "Essays in empirical finance". Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/44740.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2008.Includes bibliographical references.
The first chapter in my thesis investigates the association between selected hedge fund characteristics and persistence in performance over time. Analyzing TASS data from 1996-2006, I observe a positive correlation between persistence in good performance and fund size, as well as age. Furthermore, I find that more illiquid investment strategies exhibit significantly stronger persistence in good performance, both in the short and long run, even after controlling for illiquidity risk. These results indicate that higher fund size, age, and exposure to illiquidity are reflective of superior managerial skill. Finally, I note that funds with higher incentive fees display greater persistence in both good and bad (post-fee) performance in the long run. These findings are consistent with a scenario in which incentive fees are raised by both skilled and unskilled, (but lucky), fund managers in response to good past performance. Therefore, my analysis suggests that incentive fees for hedge funds may be endogenously determined. The second chapter tests a simple explanation for momentum profits: systematic out performance arises because certain stocks have persistently strong fundamentals which are not fully valued by the market. We find that "winner" portfolios have higher book-to-market ratios than "loser" portfolios, and the economic and statistical significance of momentum profits is markedly reduced when calculated above value benchmarks. A large component of the returns to relative strength portfolios may thus stem from such portfolios overweighting high value stocks, suggesting a close relation between the value and momentum anomalies. The final chapter develops a measure of international financial contagion using a semi structural approach.
(cont.) In particular, we work with a multi-country dynamic equilibrium setting, placing a constraint on portfolio volatility. The tightening of this constraint is a channel through which shocks are propagated globally in our model. We then derive a measure of the tightness of the constraint, or 'contagion', using cross-equation restrictions. We finally evaluate our measure of international contagion with regards to its predictability on global asset price co-movement, as well as on news about the recent sub-prime crisis. We find evidence that our contagion estimator is a strong measure of the sub-prime crisis in this regard.
by Pavithra Kamakshi Kumar.
Ph.D.
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Lumer, Gerald B. (Gerald Benjamin). "Essays in empirical microeconomics". Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11825.
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Chan, Kin Wai 1975. "Essays in empirical finance". Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/17801.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2004.Includes bibliographical references (p. 129-135).
This thesis consists of three essays on various topics in empirical financial studies. In Chapter 1, I study the profitability of momentum trading from evidence in mutual fund performance. I find that mutual funds that exhibit a strong momentum trading pattern earn significant risk-adjusted returns relative to Fama-French 3-Factor model, and tend to outperform other funds that do not momentum trade as much. The superior performance of these funds persists across different investment objectives as well as after controlling for fund size or fund flow. The robustness of my results suggests that momentum profits are real and momentum trading has the potential to improve a funds return. However, I also find relatively weak evidence of persistence in mutual funds trading styles. In particular, most funds do not seem to maintain their aggressiveness in momentum trading from one year to another. The findings indicate that momentum trading patterns observed in these mutual funds are more likely to be caused by random chances than the managers intention to capture momentum profits. Results in this paper also favor the under-reaction hypothesis as explanation for momentum in stock returns. Chapter 2 is a joint work with Charles Chang and Albert Wang. We explore how financial firms trade on in-house, US equity recommendations. We match the quarterly trades of financial firms with their own recommendations and document their trading patterns before, in the same quarter as, and after issuing recommendations. We find that net trade is more positive around upgrades than downgrades for all periods, and these relations are particularly significant in the quarter of and quarter immediately after the recommendation change. These empirical relations suggest that
(cont.) by and large, financial firms actually do "put their money where their mouths are". Previous studies have found that the execution costs and volatilities of the securities traded in the auction market are generally lower than those of the comparable securities traded in the dealer market. However, due to the difficulty of identifying perfectly matched pairs of stocks, the conclusions drawn from those studies are always subject to the criticism of inadequate control for individual stock characteristics. In Chapter 3, I repeat previous studies of execution costs and volatilities using a sample of stocks that is chosen specifically to address this criticism. The sample is made up of stocks that are listed on both the NASDAQ and AMEX in 2003. Consistent with existing literature, I find that the volatilities are generally higher on the NASDAQ than on the AMEX. On the other hand, the transaction costs are higher on the AMEX, which is at odds with previous empirical studies. The difference in execution costs and volatilities can be partially explained by their different sensitivities to various stock characteristics in the two different markets.
by Kin Wai Chan.
Ph.D.
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Sandri, Matteo. "Essays on empirical finance". Thesis, University of Warwick, 2013. http://wrap.warwick.ac.uk/58109/.
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von, Drathen Christian. "Essays in empirical finance". Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/1014/.
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Shamloo, Maral. "Essays in empirical macroeconomics". Thesis, London School of Economics and Political Science (University of London), 2009. http://etheses.lse.ac.uk/2351/.
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This thesis contains three chapters. The first two chapters are essays on monetary economics. The last chapter is an essay on general equilibrium asset pricing. In chapter 1, I study the behavior of disaggregated prices in response to economic shocks. I suggest a production chain model with nominal rigidities to replicate some stylized facts about data. I argue, first, that the input-output linkages in production can create heterogeneity in the response of sectoral prices to aggregate shocks. Second, a realistic calibration of this multi-sector model to the US data can create 5 times more real rigidities in response to nominal shocks, compared to an equivalent homogeneous economy with intermediate inputs. Finally, the model implies that upstream industries would respond faster to aggregate shocks than downstream industries. In chapter 2, I study the effect of imperfect commitment of a central bank on inflationary outcomes. I present a model in which monetary authority is a committee with churning of members who have finite terms. Older and younger generations of Monetary Policy Committee (MPC) members decide on policy by engaging in a bargaining process. I show that this set-up gives rise to a continuous measure of the degree of monetary authority's commitment. The model suggests that lowering the churning rate or increasing the tenure time improves welfare. Chapter 3 (joint work with Aytek Malkhozov) focuses on the asset pricing implications of a real-business-cycle model with recursive preferences and a general shock structure that allows for news shocks. We show that introducing recursive preferences and anticipated shocks into a canonical DSGE model can produce large premia and low risk-free rates without compromising the model's ability to fit the key macroeconomic variables. We illustrate how this class of dynamic stochastic general equilibrium (DSGE) models can be solved using higher order perturbation methods.
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Venes, Nuno. "Fiscal policy: empirical essays". Doctoral thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/902.
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Doutoramento em EconomiaThroughout this work we empirically analyse three important dimensions of fiscal policy -cyclicality, fiscal forecasts and consolidation episodes. While central government expenditure is, on average, weakly countercyclical in the OECD countries and procyclical in Latin American countries, we find evidence of revenue procyclicality in both groups. Higher levels of income inequality lead to less procyclical policies on the revenue side but are associated with stronger expenditure procyclicality, and better institutions seem unable to mitigate this effect. We also study the track record of fiscal forecasts reported by the EU-15 countries in the context of the Excessive Deficit Procedure. For the budget balance, gross fixed capital formation (GFCF) and interest payments, we study the statistical properties of forecast errors and their politico-institutional determinants. While errors in interest and GFCF expenditure present few systematic patterns, budget balance errors are responsive to fiscal institutions and to opportunistic motivations, especially from 1999 onwards: upcoming elections induce over-optimism, whereas commitment or mixed forms of fiscal governance and numerical expenditure rules (but not deficit and debt rules) are associated with greater prudence. Finally, for the EU-27 countries between 1969 and 2006, we assess those factors that help in explaining successful fiscal consolidations. Gradual episodes (3-4 years) are more likely to be successful than cold-shower adjustments (during a single year). The probability of success also increases in the face of cuts in central government current transfers to lower tiers of government. Finally, while successful cold-shower consolidations are characterised, in the years they occur, by a very limited contribution from politically-sensitive expenditure items, such as government wages and social transfers, these items account for nearly half of the primary expenditure adjustment effort during successful gradual fiscal contractions.
Neste trabalho procedemos à análise empírica de três dimensões da política orçamental -ciclicidade, previsões orçamentais e episódios de consolidação. Enquanto a despesa da Administração Central é, em média, ligeiramente contra-cíclica nos países da OCDE e pro-cíclica na América Latina, encontra-se evidência de prociclicidade das políticas do lado da receita em ambos os grupos de países. A elevada desigualdade de rendimentos conduz a políticas menos pro-cíclicas do lado da receita, mas está associada a uma maior prociclicidade da despesa, sendo que este efeito não parece ser mitigado por melhores instituições. Analisamos também o desempenho das previsões orçamentais reportadas pelos países da UE-15 no contexto do Procedimento dos Défices Excessivos. Para o saldo orçamental, formação bruta de capital fixo (FBCF) e juros pagos, estudamos as propriedades estatísticas dos erros de previsão e os seus determinantes político-institucionais. Enquanto os erros para a despesa com juros e FBCF apresentam poucos padrões sistemáticos, os erros de previsão do saldo orçamental dependem das instituições e de motivações oportunistas, especialmente a partir de 1999: a proximidade de eleições induz sobre-optimismo, enquanto que processos de decisão orçamental baseados em formas ditas de compromisso ou mistas e regras numéricas de despesa (mas não as de défice e dívida) estão associados a uma maior prudência. Finalmente, para os países da UE-27 entre 1969 e 2006, avaliamos os factores que ajudam a explicar o sucesso das consolidações orçamentais. Os episódios graduais (3-4 anos) têm maior probabilidade de sucesso do que os episódios do tipo "cold-shower" (que duram apenas 1 ano). A probabilidade de sucesso também aumenta na presença de reduções nas transferências correntes da Administração Central para outros sub-sectores. Enquanto as consolidações "cold-shower" bem sucedidas se caracterizam, no ano em que ocorrem, por um contributo muito limitado de rubricas de despesa politicamente sensíveis, como os salários da Administração Pública e as transferências sociais, estas rubricas contribuem com cerca de metade do esforço do ajustamento da despesa primária durante as consolidações graduais bem sucedidas.
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Chen, Yujiang. "Essays in empirical microeconomics". Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/276976.
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In this thesis, I study the impact of minimum wage policy and city agglomeration on wages and employment in local labour markets. This is an important topic because having a better understanding of the determinants of regional wage differentials and employment offers insights into: the roles played by local production, consumption and city structures; the standard of living enjoyed by workers with different human capitals; and policy recommendations for the future minimum wage law and city planning regulations. I use local occupation and geographic information to assess how highly productive occupations and local consumption amenities sort workers and generate local wage differentials. I also use this information to construct instruments that enable the accurate estimation of the effects of policy interventions. After an introduction in chapter 1, chapter 2, The Impact of the Minimum Wage on the Wage Distribution: Evidence from China, provides an empirical estimation of the effects of minimum wages using a Chinese household survey. I introduce new instrumental variables, relating to transport costs and local productivity, to control for the potential median wage endogeneity. The instrument variable regressions indicate that the effective minimum wage, defined as the ratio between the minimum wage and the median wage, significantly reduces the lower tail wage inequality — measured by the wage differential between the 50th and the 10th percentiles— by up to 0.3 per cent. In chapter 3, The MinimumWage and Its Impact onWage and Employment, joint work with Coen Teulings, we propose a novel framework for estimating the effects of minimum wages by considering the neoclassical wage and labour participation equations at the same time. To estimate the non-linear censored model with correlated error terms, we provide a five-step procedure and use maximum likelihood estimation. After correcting the bias using occupation information and city size, we find that effective minimum wage correlate significantly with the proportion of workers earning below minimum wage. I study the structure of city and commuting in chapter 4, Consumer City and the Sharing Economy. Based on the international trade literature, I develop a theoretical model with multiple cities, which have different amenities and productivities. In equilibrium, the unobservable parameters are estimated using local employment, wage, and commuting information. Cities show strong agglomeration effects in both productivity and consumption amenities. A counterfactual technological improvement, providing a cheaper transportation for workers and consumers, leads to a more concentrated employment distribution, commuting pattern and higher utility. In the final chapter, Agglomeration and Sorting, joint work with Coen Teulings, we show that agglomeration externalities are strongly related to the occupational structure. At the same time, regional differences in house prices offset these externalities. We develop a multi-region model with regional heterogeneity in workers and jobs, tradable versus non-tradable commodities, consumption amenities, regional house prices, non-homothetic utility, and interregional labour mobility. The model fits the regional data on the fixed wage effects, the return and mean level of human capital, land prices, and the city-rural area distinction well. We use land values to calculate the value of agglomeration.
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Caruso, Alberto. "Essays on Empirical Macroeconomics". Doctoral thesis, Universite Libre de Bruxelles, 2020. https://dipot.ulb.ac.be/dspace/bitstream/2013/308164/4/TOC.pdf.
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The thesis contains four essays, covering topics in the field of real-time macroeconometrics, forecasting and applied macroeconomics. In the first two chapters, I use recent techniques developed in the "nowcasting" literature in order to analyse and interpret the macroeconomic news flow. I use them either to assess current macroeconomic conditions, showing the importance of foreign indicators dealing with small open economies, or linking macroeconomic news to asset prices, through a model that help us interpret macroeconomic data and explaining the linkages between macro variables and financial indicators. In the third chapter, I analyse the link between macroeconomic data in real-time and the yield curve of interest rates, constructing a forecasting model which takes into account the peculiar characteristics of the macroeconomic data flow. In the last chapter, I present a Bayesian Vector Autoregression model built in order to analyse the last two crisis in the Eurozone (2008-09, and 2011-12) identifying their unique characteristics with respect to historical regularities, an issue of great importance from a policy perspective.Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
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Zhou, Xu-Shen. "Empirical Studies in Finance". University of Cincinnati / OhioLINK, 2003. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1060878290.
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Xu, Qi. "Essays in empirical finance". Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/78174/.
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This thesis consists of three papers in the area of empirical finance. Chapter 2 investigates the role of realized jumps detected from high frequency data in predicting future volatility from both statistical and economic perspectives. We show that separating jumps from diffusion improves volatility forecasting both in-sample and out-of-sample. Moreover, we show that these statistical improvements can be translated into economic value. We find a risk-averse investor can significantly improve her portfolio performance by incorporating realized jumps into a volatility timing based portfolio strategy. Chapter 3 investigates the use of high frequency data in large dimensional portfolio allocation. We consider the use of high frequency data beyond the estimation of the realized covariance matrix. Portfolio strategies using high frequency data in measuring and forecasting univariate realized volatility can generate statistically significant and economically tangible benefits compared to low frequency strategies. Moreover, using high frequency data to separate realized volatility into different components and construct realized higher moments can also enhance portfolio performance. Strategies using upside and downside volatility components and using realized skewness can deliver incremental economic benefits over the strategy using total realized volatility alone. Chapter 4 investigates the pricing of volatility risks in currency markets. Firstly, we show that pricing volatility risk can be understood by pricing some of its components. We find that diffusive volatility dominates jump volatility in pricing carry trade returns, while jump volatility is important to explain the joint cross-section of carry trade and momentum returns. Both short run and long run components are priced, and the short run component is more important in general. Secondly, we suggest that factors similar to volatility in identifying bad states, i.e. volatility of volatility and cross sectional volatility are also priced in currency returns and they cannot be fully subsumed by conventional volatility risks.
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Seira, Enrique. "Essays on empirical microeconomics /". May be available electronically:, 2007. http://proquest.umi.com/login?COPT=REJTPTU1MTUmSU5UPTAmVkVSPTI=&clientId=12498.
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Ooms, M. "Empirical vector autoregressive modeling". [S.l. : Rotterdam : s.n.] ; Erasmus University [Host], 1993. http://hdl.handle.net/1765/14163.
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Morley, James Christopher. "Essays in empirical finance /". Thesis, Connect to this title online; UW restricted, 1999. http://hdl.handle.net/1773/7515.
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Anesti, Nikoleta. "Essays on empirical macroeconomics". Thesis, University of Warwick, 2015. http://wrap.warwick.ac.uk/73261/.
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Moura, Alban. "Essays in Empirical Macroeconomics". Thesis, Toulouse 1, 2017. http://www.theses.fr/2017TOU10017.
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Cette thèse contribue à deux débats récurrents de la macroéconomie quantitative : la taille des multiplicateurs budgétaires pour le Chapitre 1 et les origines du cycle des affaires pour les Chapitres 2 et 3. Les trois essais qui la composent partagent en outre un thème commun. Ils illustrent comment l'utilisation de modèles structurels enrichis permet, à l'aide des données macroéconomiques, d'améliorer certaines stratégies d'identification et d'obtenir des résultats parfois contraires aux théories établies. Le premier chapitre de la thèse étudie l'impact sur l'estimation des multiplicateurs budgétaires des mouvements endogènes dans les dépenses publiques aux Etats-Unis. Un modèle DSGE avec règles fiscales, estimé sur données trimestrielles, est utilisé pour identifier et quantifier les ajustements automatiques des dépenses de consommation publique. Les résultats confirment le rôle significatif de ces mouvements endogènes dans les données. Le modèle est ensuite employé comme laboratoire pour tester la qualité des multiplicateurs estimés par trois approches classiques : un modèle DSGE avec politique fiscale exogène, des modèles VARs identifiés par restrictions d'exogénéité et des modèles VARs identifiés par restrictions de signe. Ces expériences indiquent que les multiplicateurs estimés à l'aide de DSGEs sont plutôt robustes aux erreurs de spécification, tandis que ceux obtenus par VARs structurels peuvent être largement biaisés et imprécis. En particulier, les restrictions de signe apparaissent incapables de gérer correctement les problèmes d'endogénéité, alors même qu'elles ont été développées dans ce but. Le second chapitre, coécrit avec Paul Beaudry et Franck Portier, documente les propriétés empiriques de plusieurs mesures du prix relatif des biens d'investissement, une variable souvent utilisée pour identifier les chocs technologiques spécifiques au secteur de l'investissement. Les données étudiées proviennent en majorité des Etats-Unis, mais les autres pays du G7 sont également considérés. Deux faits stylisés émergent : (i) Le prix relatif de l'investissement n'est pas fortement contracyclique, contrairement à une idée répandue parmi les économistes. (ii) Il est même procyclique après 1985, et ce de manière significative, tout comme les prix relatifs des sous-composantes de l'investissement total. Ainsi, l'analyse agnostique des données contredit la théorie selon laquelle les chocs technologiques spécifiques au secteur de l'investissement, qui sont associés à des mouvements contracycliques du prix relatif, constituent la source majeure des fluctuations économiques dans les économies développées. A la place, les résultats suggèrent un rôle important pour les chocs affectant la demande en biens d'investissement. Le troisième et dernier chapitre étend l'analyse du Chapitre 2 en incorporant des rigidités de prix sur les biens d'investissement dans un modèle DSGE monétaire à deux secteurs. L'estimation du modèle sur données trimestrielles américaines, à l'aide de techniques bayésiennes, suggère que ces rigidités nominales spécifiques au secteur de l'investissement constituent la friction la plus importante pour reproduire les propriétés clés des données. De plus, le modèle prédit qu'un choc améliorant la productivité dans le secteur des biens de consommation génère une expansion, alors qu'un choc technologique positif dans le secteur des biens d'investissement provoque une récession. Ces prédictions, qui sont en ligne avec les résultats de la littérature sur la comptabilité de la croissance, sont nouvelles dans la littérature DSGE. Le modèle prédit également que 80% des fluctuations de court et moyen terme dans le prix relatif de l'investissement proviennent de chocs de demande, suggérant que ce prix n'est qu'un indicateur très imparfait des chocs technologiquesThis thesis contributes to two recurrent debates in quantitative macroeconomics: the size of fiscal multipliers for Chapter 1, and the sources of business cycles for Chapters 2 and 3. A unifying theme of all three essays is that the joint use of available macroeconomic data and rich structural models allows to improve on standard identification strategies, delivering challenging results for the established conventional wisdom. In the first chapter of the thesis, I investigate how endogenous movements in government expenditures affect estimated fiscal multipliers for the U.S. economy. Using an estimated DSGE model with automatic fiscal rules to identify and quantify the feedback effects in government consumption, I find significant statistical evidence of endogenous patterns. I then use the model as a laboratory to test multipliers derived from three standard econometric approaches: a DSGE model with exogenous policy, VARs identified with exogeneity restrictions, and VARs identified with sign restrictions. The experiments suggest that DSGE-based multipliers are quite robust to misspecification, while structural VARs may provide severely overestimated and noisy multipliers in presence of endogeneity. Importantly, sign restrictions appear to perform worse that exogeneity restrictions, even though they have been especially designed to handle policy endogeneity. The second chapter, co-authored with Paul Beaudry and Franck Portier, documents the empirical properties of several measures of the relative price of investment goods, a variable often used to identify investment-specific technology shocks. Our focus in on U.S. data, but we also consider the other G7 countries. We emphasize two stylized facts: (i) There is no significant evidence that the relative price of aggregate investment is countercyclical in the data. (ii) It is significantly procyclical for the recent period, as well as the relative prices of most of its subcomponents. Therefore, our agnostic examination of the data does not validate the common view that investment-specific supply shocks, which trigger countercyclical movements in the relative price, are the main drivers of investment fluctuations. Instead, it points toward an important role for shocks to investment demand. The third and last chapter extends the analysis of Chapter 2 by incorporating investment price rigidity in a two-sector monetary DSGE model. Bayesian estimation from quarterly U.S. series suggests that sticky investment prices are the most important friction in terms of fitting the data. Furthermore, the estimated model implies that technology improvements are expansionary in the consumption sector but contractionary in the investment sector. These patterns, in line with the findings of the growth-accounting literature, have not been documented previously within estimated DSGE models. The model also predicts that eighty percent of the business-cycle movements in the relative price of investment arise from demand shocks, calling into question a widespread identification restriction imposing a period-by-period equality between relative technologies and relative prices
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Faria, Adriano Augusto de. "Essays in empirical finance". reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19503.
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This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure the performance of such methods in pricing, Value at Risk and forecasting exercises. In its turn, the last chapter brings a discussion about the effects of different metrics of the optimal portfolio on the estimation of a CCAPM model.In the first chapter, we propose a segmented model to deal with the seasonalities appearing in real yield curves. In different markets, the short end of the real yield curve is influenced by seasonalities of the price index that imply a lack of smoothness in this segment. Borrowing from the flexibility of spline models, a B-spline function is used to fit the short end of the yield curve, while the medium and the long end are captured by a parsimonious parametric four-factor exponential model. We illustrate the benefits of the proposed term structure model by estimating real yield curves in one of the biggest government index-linked bond markets in the world. Our model is simultaneously able to fit the yield curve and to provide unbiased Value at Risk estimates for different portfolios of bonds negotiated in this market.Chapter 2 introduces a novel framework for the estimation of corporate bond spreads based on mixture models. The modeling methodology allows us to enhance the informational content used to estimate the firm level term structure by clustering firms together using observable firm characteristics. Our model builds on the previous literature linking firm level characteristics to credit spreads. Specifically, we show that by clustering firms using their observable variables, instead of the traditional matrix pricing (cluster by rating/sector), it is possible to achieve gains of several orders of magnitude in terms of bond pricing. Empirically, we construct a large panel of firm level explanatory variables based on results from a handful of previous research and evaluate their performance in explaining credit spread differences. Relying on panel data regressions we identify the most significant factors driving the credit spreads to include in our term structure model. Using this selected sample, we show that our methodology significantly improves in sample fitting as well as produces reliable out of sample price estimations when compared to the traditional models.Chapter 3 brings the paper “Forecasting the Brazilian Term Structure Using Macroeconomic Factors”, published in Brazilian Review of Econometrics (BRE). This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed by Moench (2008) is implemented, in which the dynamic of the short term interest rate is modeled using a Factor Augmented VAR and the term structure is derived using the restrictions implied by no-arbitrage. Similarly to the original study, this model resulted in better predictive performance when compared to the usual benchmarks, but presented deterioration of the results with increased maturity. To avoid this problem, we proposed that the dynamic of each rate be modeled in conjunction with the macroeconomic factors, thus eliminating the no-arbitrage restrictions. This attempt produced superior forecasting results. Finally, the macro factors were inserted in a parsimonious parametric three-factor exponential model.The last chapter presents the paper “Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters”, also published in BRE. This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate wealth endogenously derived in equilibrium models with Kreps-Porteus recursive utility. We argue that the usual stock market wide index is not a good portfolio to represent optimal wealth of the representative agent, and we propose as an alternative the portfolio from the Investment Fund Industry. Especially for Brazil, where that industry invests most of its resources in fixed income, the aforementioned substitution of the optimal proxy portfolio caused a significant increase in the risk aversion coefficient and the elasticity of the intertemporal substitution in consumption.
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Borsi, Mihály Tamás. "Essays on Empirical Macroeconomics". Doctoral thesis, Universidad de Alicante, 2015. http://hdl.handle.net/10045/51005.
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Zhang, Chi. "ESSAYS IN EMPIRICAL FINANCE". Diss., Temple University Libraries, 2017. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/470143.
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Business Administration/FinancePh.D.
In the first chapter, I investigate how CEO’s risk incentive (vega) affects firm innovation. To establish causality, I exploit compensation changes instigated by the FAS 123R accounting regulation in 2005 that mandated stock option expensing at fair values. My identification tests indicate a positive and causal effect of CEOs’ vega on innovation activities. Furthermore, dampened managerial risk-taking incentive after the implementation of FAS 123R leads to a significant reduction in innovation related to firm’s core business and explorative inventions. It implies that managers diversify their innovation portfolios and decrease explorative inventions to curtail business risk when their risk-taking incentive is reduced. In the second chapter, I document that IPO underwriters implicitly collude on their price targets to support the stock post-IPO. While it is well known that underwriters are biased and have higher average price target (first moment), my evidence of implicit collusion is based on the dispersion in price target (second moment), with lower dispersion implying stronger implicit collusion. I find that, at initiation following expiry of quiet period, the dispersion in price target among underwriters of a firm is only 65% of that for non-underwriters. In 24.5% of the cases, at least two underwriters forecast the exact same price target. Such implicit collusion is also prevalent around lockup expiry. My results are robust to alternative, more direct, proxies for implicit collusion such as the proportion of underwriters that come out with exact same forecasts of price target. Refuting the alternative explanation that lower dispersion in price target among underwriters is due to common information that underwriters possess because of their involvement in the IPO, I find no such pattern in dispersion of Sales or EPS. In the last chapter, I study the security lending market. Stock lending markets are unique due to connections with stock markets: stock buyers become potential stock lenders. However, I show that equity loan supply is effectively fixed over time scales relevant to short sellers because short-term investors (less than three month holding period) do not lend shares. Transitions to stock specials are characterized by demand spikes, and slow-moving supply contributes to boom-and-bust cycles among stock specials. Consistent with my findings, I show stronger results among higher turnover stocks as well as around news events and earnings announcements.
Temple University--Theses
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Adler, Konrad. "Essays in Empirical Macroeconomics". Thesis, Toulouse 1, 2019. http://www.theses.fr/2019TOU10017/document.
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Cette thèse contient trois essais en macroéconomie empirique. L'accent est mis sur le financement des entreprises. Le premier chapitre étudie l'impact des clauses financières restrictives (covenants financiers) sur le comportement des entreprises et, en particulier, sur les investissements. Les covenants financiers sont des conditions présentes dans presque tous les contrats de prêt bancaire. Lorsqu'une entreprise ne remplit pas ces conditions, qui sont des ratios comptables tels qu'un ratio maximal de dette divisé par le revenu, la banque obtient le droit de rappeler le prêt. Après une violation d’un covenant, les banques réduisent souvent le montant du prêt ou modifient les conditions de prêt. Je trouve qu'environ 80% des entreprises sont soumises à des covenants et que la plupart des covenants sont basées sur le revenu d'une entreprise. Pour la crise de 2008, j'utilise des données manuellement collectées sur les limites de crédit des entreprises pour estimer la contribution des covenants de revenus à la contraction du crédit. Je trouve qu'environ un tiers des diminutions de lignes de crédit peut être attribué de manière plausible aux covenants du revenu. Motivé par ces faits, j'intègre des covenants sur le revenu dans un modèle d’entreprises hétérogènes par ailleurs standard. Dans une version calibrée du modèle, j’ai constaté que les covenants réduisent l’investissement global de 1,3% par rapport à un modèle sans frictions financières. Je montre que le coût de précaution, c’est-à-dire les entreprises qui empruntent et investissent moins parce qu’elles veulent éviter une violation d’un covenant, est supérieur au coût direct de la réduction de l’offre de crédit après la violation du covenant. Les régressions sur des données simulées produisent des effets directs et de précaution très similaires aux données réelles. Dans le deuxième chapitre, JaeBin Ahn, Mai Chi Dao et moi-même documentons une augmentation généralisée des actifs financiers liquides des entreprises au cours des deux dernières décennies. Nous construisons un modèle simple dans lequel une diminution des barrières commerciales incite les entreprises à innover. Parce que l'innovation est une activité à haut risque, les entreprises augmentent leurs avoirs en actif liquide lorsque les droits de douane baissent. Nous testons ces prévisions à l'aide de données de cinq économies majeures et nous constatons que l’augmentation des opportunités d'exportation et, dans une moindre mesure, la concurrence par des importations, accroissent les avoirs en actifs liquides des entreprises. À l’appui de notre interprétation, nous constatons que cet effet est plus marqué chez les entreprises qui investissent dans la recherche et le développement. Dans le troisième chapitre, Simon Fuchs et moi examinons le marché mondial de la création cinématographique. Nous montrons que 1) la part des revenus des suites et des adaptations de livres a considérablement augmenté au cours des deux dernières décennies et, 2) que le marché mondial de la création cinématographique est devenu plus global, avec la part des revenus total générés aux États-Unis en forte diminution. Nous établissons un lien entre ces deux faits stylisés grâce à un modèle dans lequel les studios de cinéma peuvent diffuser un film sur un marché composé de pays aux goûts différents. De plus, les studios sont confrontés à des incertitudes quant à l'emplacement d'un film dans l'espace ``gustatif''. Nous estimons cet espace ``gustatif'' global en utilisant les parts de marché des films observé. Lorsque la part de marché de l'Asie du Sud-Est sur le marché mondial du film augmente, les suites offrent une protection contre le risque accruThis thesis contains three essays in empirical macroeconomics. The main focus is on firm financing. In the first chapter, I study the impact of financial covenants on firms' behavior and in particular the impact on investment. Financial covenants are conditions present in almost all bank loan contracts. When a firm does not satisfy those conditions, which are accounting ratios such as a maximal debt to earnings ratio, the bank has the right to call back the loan. In most cases banks use covenant breaches to lower the loan size or adjust other loan terms. I document that around 80% of firms are subject to covenants and most of the covenants are based on a firm's income. For the Great Recession, I use hand-collected data on firms' credit limits to estimate the contribution of income covenants to the credit crunch. I find that about a third of credit line decreases can be plausibly attributed to income covenants. Motivated by these facts, I incorporate an income covenant into an otherwise standard heterogeneous firms model. In a calibrated version of the model I find that income covenants reduce aggregate investment by 1.3% compared to a model without financial frictions. I document that the cost from precaution, i.e. firms borrowing and investing less because they want to avoid a covenant breach, is larger than the direct cost of lower credit supply after a covenant breach. Regressions on simulated firm-level data yield very similar effects of the direct and precautionary effects of income covenants compared to actual data. In the second chapter, Jae-Bin Ahn, Mai Chi Dao and I, document a broad-based increase in cash holdings at the firm level during the last two decades. We build a simple model in which lower trade barriers increase firms' incentives to innovate. Because innovation is risky, firms increase their liquidity holdings when tariffs fall. We test these predictions using firm-level data from five large countries and find that expanding export opportunities and, to a lesser extent, increased import competition, raise cash holdings among incumbent firms. In support of our channel, we find this effect to be stronger among firms investing in R&D. In the third chapter, Simon Fuchs and I look at the global movie market. We show that the revenue share of sequels and adaptations of books has increased dramatically over the last two decades. During the same period the global movie market has become geographically more diverse, i.e. the revenue generated in the US has declined. We connect these two stylized facts in a model where movie studios can release one movie to a market that consists of countries with different taste. Additionally, studios face uncertainty concerning the location of a movie in the taste space. We estimate the global taste space based on market shares. We investigate whether the change in the composition of global demand can account for the increase in the revenue share of sequels. Our current results suggest this is not the case
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ROSSETTI, FIAMMETTA. "Essays on empirical microeconomics". Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2010. http://hdl.handle.net/2108/1243.
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Il primo capitolo della presente tesi mette a confronto le performance di banche estere e domestiche operanti in un vasto numero di paesi –sviluppati e in via di sviluppo- durante il dispiegarsi di una crisi bancaria. A questo scopo utilizzo un dataset da me costruito fondendo i dati di bilancio e quelli relativi alla proprietà di un ricco panel di banche stanziate in diversi papesi tra il 1996 e il 2007 con informazioni riguardanti le date delle crisi bancarie accadute nei vari paesi durante il medesimo arco temporale. Le banche estere sembrano contrastare il ciclo negativo generato da una crisi bancaria e sembrano esercitare piuttosto un effetto stabilizzante in tali periodi perchè il loro bilancio non subisce riduzioni e il loro levello di “total asset” resta superiore a quello delle banche domestiche suggerendo che il credito fornito dalle banche estere alle economie locali non subisce affatto una contrazione.
Nel secondo capitolo viene presentato uno studio sull’effetto generato dalla distanza fra sportelli bancari e top management delle banche (distanza funzionale) sulla probabilità di innovazione di un campione di piccole e medie imprese italiane presenti nel database Capitalia-Medio Credito Centrale dal 1995 al 2003. Si assume che all’aumentare di questa distanza risulti piu difficile trasmettere l’informazione relativa ai creditori (in questo caso le piccole imprese innovative) attraverso i vari livelli di una banca e che questa situazione possa impedire l’ottenimento di un credito per le piccole imprese che intendano apportare delle innovazioni di prodotto o di processo; l’effetto finale si sostanzia in un minore livello di innovazione da parte delle imprese che non vedono finanziati i propri pogetti di innovazione. I risultati empirici confermano l’esistenza di una relazione negativa fra distanza funzionale e probabilità di innnovazione delle imprese.
Il terzo capitolo analizza le determinanti del “frustrated achievement” ovvero della situazione in cui da una anno all’altro un individuo registra una variazione positiva di reddito associata ad una contemporanea variazione negativa della propria felicità. Studiando un campione di più di 30,000 individui presenti nel “German Socio Economic Panel” per un periodo di tempo dal 1992 al 2004 si osserva che una variazione annua negativa di benessere riguarda un terzo delle variazioni annue positive di reddito presenti nel campione ed è associato alla perdita del lavoro, ad un deterioramento della salute, ad effetti di reddito relativo, a shock negativi nella situazione familiare e/o matrimoniale e ad una scarsa vita sociale.The first chapter of the present thesis compares the performance of foreign and domestic banks in a set of -developed and developing- countries during the occurrence of a banking crisis. To this purpose I exploit a unique dataset obtained by merging data about the balance sheets and the ownership of a rich panel of banks settled in different countries from 1996 to 2007 with information on the banking crises occurred in the latest years. Foreign banks seem to be countercyclical and likely to have a stabilizing effect in tough times as they continue to have higher level of total assets (among other relevant variables) than domestic ones during banking crises. These results are proved to be robust to several checks aimed at controlling for country characteristics and for crisis features. The second chapter studies the effect of bank's organizational complexity on the probability of innovation of small firms. The distance between bank's branches and headquarter is a possible source of organizational frictions within a financial institution and has been defined in literature as “functional distance”. There exist several measures of functional distance and all of them give a measure of the distance between the hierarchical levels of a bank; a higher functional distance leads to a higher difficulty in passing soft information through banking layers. My analysis includes variables of relationship lending and multiple banking relationships but enriches the traditional setting with a set of functional distance measures; the empirical investigation highlights that functional distance negatively affects firms’ probability of process innovation which -not by chance- is the innovation type mostly related with soft information and with all the difficulties of passing soft information to a bank (first) and through the bank (subsequently). The third chapter is an investigation of the determinants of “frustrated achievement” in the German socioeconomic panel on more than 30,000 individuals collected between 1992 and 2004. An increase in real per capita income is generally expected to be associated with nonnegative variations in life satisfaction. The alternative (association with negative changes) is generally defined as “frustrated achievement”. What is observed is a parallel reduction in self-declared life satisfaction corresponding to almost one-third of yearly increases in (equalised) real household income. The econometric findings show that the lack of a full-time job, health deterioration, relative income effects, marital status shocks and poorer social life are the main factors associated with this phenomenon.