Empirical Essays on Financial Market Linkages in Macroeconomics PDF Download
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Author:
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Category : Credit control
Languages : en
Pages :
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Author:
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ISBN:
Category : Credit control
Languages : en
Pages :
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Author: Ola Melander
Publisher:
ISBN: 9789172587908
Category :
Languages : en
Pages : 115
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Author: Arjun Sondhi
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ISBN:
Category : Economics
Languages : en
Pages : 92
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Financial crisis of 2007 provides a renewed interest in financial market linkages and their effect on macro variables. In an open-economy dynamic stochastic general equilibrium model setting, two things are investigated in this paper. First, what role do financial linkages play in propagating asymmetric cross-country dynamics. Specifically, the impact of a productivity shock in home country leads to a more synchronous behavior in consumption and investment in recessions than in expansions. Secondly, a new source of shock is included, one in the financial sector itself. Cross-country asset prices and fixed assets move identically in this scenario implying perfect risk-sharing.
Author: Franziska M. Bremus
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Category : Banks and banking
Languages : en
Pages :
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Category :
Languages : en
Pages : 374
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Author: Cesar Saturnino Salinas Depaz
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Category : Economic development
Languages : en
Pages : 0
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This dissertation consists of three chapters about how access to financial markets and composition of the labor market determine aggregate macroeconomic outcomes. The first chapter examines the macroeconomic consequences of credit uncertainty using a structural vector autoregression model with stochastic volatility (SVAR-SV). Credit supply conditions in the U.S. is captured by the banks' reports on how credit standards for approving loans have change over time (Bank Lending Standards). The empirical analysis shows that the volatility of macroeconomic and financial variables rises in response to an increase in the credit uncertainty shock. The economic activity falls and credit growth and related interest rates decrease persistently. Moreover, credit volatility shocks explain around 10% of the FEV of endogenous variables. A dissagregated analysis shows that the effect of these shocks are mainly explained by their effects on the corporate business sector. The second chapter studies the role of time-varying credit limits through the lens of a life cycle incomplete markets model calibrated for the U.S. Changes in credit card limits are explained by observable household characteristics and the estimated unobservable variation is quite large. The quantitative exercise shows that even though young households are more indebted in an economy with stochastic borrowing limits, aggregate consumption is not greatly affected by transitory or persistent shocks of this type. However, in the presence of these shocks, households lose the ability to self-insure against other uninsurable idiosyncratic shocks, e.g., labor income shocks. A disaggregated analysis shows that the loss of self-insurance capacity is mainly explained by the effects that stochastic borrowing limits have on the wealth distribution, the precautionary savings channel households have to face unexpected risks. The third chapter studies the role of informal markets to explain economic and demographic variables during a pandemic. The quantitative exercise shows that lockdown policies are less effective in economies with large informal markets, infection and death rates will not decrease as much as formal economies. Moreover, the size of the recession would be exacerbated because informal activities are not counted in the calculation of the GDP. To generate similar results to an economy with only formal markets, the economy with informal markets must implement more severe containment policies.
Author: Robert Schelenz
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Category :
Languages : en
Pages :
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Author: Sebastian Stumpner
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ISBN:
Category :
Languages : en
Pages : 107
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This dissertation consists of two chapters which study questions at the intersection of macroeconomics, trade, and finance. The first chapter investigates the role of trade for the geographic spread of the 2007-09 recession within the U.S. The second chapter, co-authored with Mauricio Larrain, studies the role of financial market reforms for changes in aggregate productivity, using the example of Eastern European countries in the late 1990s and early 2000s. In the first chapter, I use the large spatial variation in consumer demand shocks at the onset of the Great Recession to study the mechanisms behind the ensuing geographic spread of the crisis. While the initial increase in unemployment was concentrated in areas with housing busts, subsequently unemployment slowly spread across space. By 2009, it was above pre-crisis levels in almost all U.S. counties. I show that trade was an important driver of this geographic spread of the crisis. To identify the trade channel empirically, I make use of heterogeneity in the direction of trade flows across industries in the same state: Industries that sold relatively more to states with housing boom-bust cycles grew by more before the crisis and declined faster from 2007-09. These results cannot be explained by a collapse in credit supply. I then link the reduced form empirical evidence to a formal model of contagion through trade. In a quantitative exercise, the model delivers a cross-sectional effect of similar magnitude as the one found empirically and reveals that the trade channel can explain roughly a third of the overall spread. The second chapter analyzes the microeconomic channels by which financial sector reforms affect aggregate productivity. We use a large firm-level dataset to study the episode of financial market liberalization in 10 Eastern European countries starting in the late 1990s. We exploit cross-sectoral differences in external financial dependence and find that financial reform increases productivity disproportionately in industries heavily dependent on external finance. We show that this productivity increase is driven entirely by improvements in the within-industry allocation of resources across firms, as opposed to within-firm productivity improvements. According to our results, reform allows financially-constrained firms to take on new debt, increase market share, and produce closer to optimal level. A back-of-the-envelope calculation suggests that financial reform increases aggregate manufacturing productivity by 17%. Our results highlight financial markets' key role in improving the within-industry allocation of capital.
Author: Jan Antell
Publisher:
ISBN: 9789515558428
Category :
Languages : en
Pages : 145
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Author: David Michael Modest
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ISBN:
Category : Finance
Languages : en
Pages : 356
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