Author: Thomas Frederik Hellmann
Publisher:
ISBN:
Category :
Languages : en
Pages : 159

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Author: Thomas Hellmann
Publisher:
ISBN:
Category :
Languages : en
Pages : 350

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Author: Rajdeep Sengupta
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Ding Wu (Ph. D.)
Publisher:
ISBN:
Category :
Languages : en
Pages : 130

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This dissertation consists of three chapters on financial market imperfections, in particular, information imperfections. Chapter 1 studies how the existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and exacerbates adverse selection. The exacerbated adverse selection explains one long-standing puzzle in finance - the momentum anomaly. Properly adjusting stock returns for adverse selection by using data on trading volume substantially mitigates momentum-based arbitrage profits for the sample period from 1983 to 2004. Chapter 2 studies how information asymmetry prevents perfect risk-sharing and offers insights on stock return behavior. Chapter 3 explores the idea of Tobin's tax in the context of an emerging market and in particular examines the cost effects on speculation in the Chinese stock market.

Author: Sharon Leona Poczter
Publisher:
ISBN:
Category :
Languages : en
Pages : 166

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Abstract Essays on Financial Crisis and Institutions by Sharon Leona Poczter Doctor of Philosophy in Business Administration University of California, Berkeley Professor Paul Gertler, Chair In late 2008, economies worldwide underwent close to complete economic paralysis in what has now been established as the worst financial crisis since the Great Depression. In response, economic research focused on understanding how a well-developed financial market such as the U.S. could fall victim to a severe financial crisis, behavior typically associated with less-developed economies. While important, the examination of the Great Recession is in some respects limited, as it is impossible to understand the long-term effects of the crisis and subsequent government response without post-crisis data. Further, information regarding the details of the implementation of government policy is typically politically sensitive and therefore not readily available to researchers. For these reasons, the empirical economic literature leaves several first order questions regarding the long term effects of financial crisis and subsequent government response unanswered. This dissertation hopes to fill that gap. Using micro-level longitudinal data from the Asian financial crisis of 1997 in Indonesia, I closely examine the long term effects of financial crisis and several government policy responses on firms in the financial and real side sectors. While the economic and institutional environment in Indonesia at that time had unique characteristics, similar reforms were carried not only then in other Asian countries, but during the Great Recession in economies worldwide. In particular, I carry out to my knowledge the first empirical assessment of the long term effects of a bank bailout program. This dissertation, therefore, hopes to provide general insight for economies undergoing severe financial distress, not only those in other emerging markets. Chapter 1 of this dissertation analyzes the long term effects of a bank bailout program on two central policy variables; lending and risk-taking. Using confidential information regarding the selection process of banks for government support, I show that the program was successful at increasing lending but not without increasing the riskiness of investment, even controlling for the amount of lending. This result provides evidence that a bailout policy aimed at simultaneously increasing lending while not engendering increased risk-taking is untenable. Chapter 2 focuses on how patterns of industry evolution in the manufacturing sector change over a financial crisis. As productivity is seen as key for economic growth, it is important for policymakers to understand which firms survive over a financial crisis, and how survivorship impacts long term industry productivity. If financial crisis facilitates "creative destruction", governments may not want to interfere by financially supporting failing firms. However, if gains to productivity following a crisis are not a direct result of creative destruction, other modes of government intervention may be favorable. Using industry decompositions for the population of manufacturing firms over a fifteen year period, I find that the crisis coincided with dramatic changes in productivity patterns within the manufacturing sector and that many of these changes were sustained in the long run. Further, results indicate that post-crisis growth was largely driven by new entry, providing preliminary evidence that reforms aimed at financially supporting lower productivity firms may be misplaced. The final chapter looks at the impact of privatization, another policy reform implemented as a response to the crisis, on firm-level productivity. This paper aims to understand if privatization is successful at increasing productivity in the Indonesian context, and also the mechanisms through which privatization leads to changes in efficiency. I find that privatization increases productivity via change in ownership per se, and that an increase in the competitiveness of the environment does not have a significant effect on changes to the efficiency of firms.

Author: Luigi Iovino
Publisher:
ISBN:
Category :
Languages : en
Pages : 148

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This thesis studies how information imperfections affect financial markets and the macroeconomy. Chapter 1 considers an economy where investors delegate their investment decisions to financial institutions that choose across multiple investment opportunities featuring different levels of idiosyncratic risk and different degrees of correlation with the aggregate of the economy. Investors solve an optimal contracting problem to induce financial institutions to allocate their investment optimally. We then study how investment decisions are affected when financial securities are introduced that allow agents to trade their risks. Investors do not have the necessary information to understand these securities, but give incentives to financial institutions to hedge certain risks. We show that hedging idiosyncratic risks ameliorates the agency problem between investors and financial institutions and reduces aggregate volatility. On the contrary, when aggregate risk can be hedged the agency problem worsens and aggregate volatility increases. Finally, we study the efficiency properties of the equilibrium and the potential role for financial regulation. Chapter 2 studies the welfare effects of the information contained in macroeconomic statistics, central-bank communications, or news in the media? We address this question in a business-cycle framework that nests the neoclassical core of modem DSGE models. Earlier lessons that were based on "beauty contests" (Morris and Shin, 2002) are found to be inapplicable. Instead, the social value of information is shown to hinge on essentially the same conditions as the optimality of output stabilization policies. More precise information is unambiguously welfare-improving as long as the business cycle is driven primarily by technology and preference shocks-but can be detrimental when shocks to markups and wedges cause sufficient volatility in "output gaps". Finally, chapter 3 studies how market signals-such as stock prices-can help alleviate the severity of the asymmetric information problem in credit and liquidity management. Asymmetric information hinders the ability of borrowers (firms, investment banks, etc) to undertake profitable investment opportunities and to insure themselves against liquidity shocks. On the equilibrium path, creditors need not learn anything from market signals because they can use a menu of contracts to screen the different types of borrowers. Nevertheless, by conditioning liquidity insurance on ex post price signals, creditors are able to provide the borrowers with better incentives for truth-telling. At the same time, prices depend on the liquidity that creditors offer to the borrowers. This two-way feedback impacts the design of the optimal contract and potentially generates multiple equilibria in financial markets.

Author: Yangshen Yang
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Sang Yup Choi
Publisher:
ISBN:
Category :
Languages : en
Pages : 130

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This dissertation studies how financial market volatility or uncertainty in the U.S. economy affects real economic activity both in the U.S. and other open economies. Chapter 1 critically examines a stylized fact about the effects of uncertainty shocks on the U.S. economy. A link between uncertainty and firms' investment, hiring, and production decisions has drawn much attention in contemporary discussions after the 2008 financial crisis. Bloom (2009) showed that uncertainty events, identified by spikes in stock market volatility, triggered immediate falls in output and employment, followed by rapid rebounds. I show that such stock market volatility shocks failed to produce this same pattern of responses after 1983. Chapter 2 studies the effects of risk aversion shocks, measured by increases in the VIX, on emerging market economies (EMEs). By estimating a structural vector autoregression (VAR) model, I find that, although risk aversion shocks do not have much impact on U.S. output, they do have a noticeable impact on the output of EMEs. To explain the contrast between the impact of risk appetite shocks on EMEs and the impact on the U.S. economy, a credit channel is proposed as a propagation mechanism. In the model, an increase in the VIX is translated to a risk-aversion shock that generates a "flight to quality." As international investors pull their money from EMEs, borrowing costs increase and domestic credit falls as a consequence of credit market imperfections. Higher borrowing costs, in turn, lead to a fall in investment that causes a real depreciation and a decline in total output through sectoral linkages. Finally, Chapter 3, which is co-authored with Prakash Loungani, studies the effect of uncertainty shocks on unemployment dynamics by separating out the role of aggregate and sectoral channels. Using SP500 data from the first quarter of 1963 through the third quarter of 2014, we construct a separate index to measure sectoral uncertainty and compare its effects on the unemployment rate with that of aggregate uncertainty in a standard VAR model, augmented by a local projection method. We find that aggregate uncertainty shocks lead to an immediate increase in unemployment, followed by swift reversals. In contrast, sectoral uncertainty shocks have a long-lasting impact on unemployment, with the peak impact occurring after two years. Our findings highlight an additional channel through which uncertainty shocks have persistent effects on unemployment by requiring substantial inter-industry labor reallocation.

Author: Andrew Crockett
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 62

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Author: Jeremy Atack
Publisher: Cambridge University Press
ISBN: 1139477048
Category : Business & Economics
Languages : en
Pages : 497

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Collectively, mankind has never had it so good despite periodic economic crises of which the current sub-prime crisis is merely the latest example. Much of this success is attributable to the increasing efficiency of the world's financial institutions as finance has proved to be one of the most important causal factors in economic performance. In a series of insightful essays, financial and economic historians examine how financial innovations from the seventeenth century to the present have continually challenged established institutional arrangements, forcing change and adaptation by governments, financial intermediaries, and financial markets. Where these have been successful, wealth creation and growth have followed. When they failed, growth slowed and sometimes economic decline has followed. These essays illustrate the difficulties of co-ordinating financial innovations in order to sustain their benefits for the wider economy, a theme that will be of interest to policy makers as well as economic historians.