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Author: Christina E. Bannier
Publisher:
ISBN:
Category :
Languages : de
Pages :
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Author: Christina E. Bannier
Publisher:
ISBN:
Category :
Languages : de
Pages :
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Author: Nicholas B. Galunic
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 98
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This dissertation is concerned with microeconomic models of equilibrium pricing in financial markets of varying organizational scope. The first two chapters are based on game-theoretic models characterized by a coordination problem. I begin at the industry level in Chapter 2 where I solve the chicken-or-the-egg problem of platform pricing. I show that the elasticity of demand is greater for the more valued side and hence a monopolist will charge that side a lower price. These results have implications on how exchanges admit traders and apply to more general two-sided markets. My findings are supported by experimental tests. Chapter 3 examines regulatory efficacy in manipulating a currency market with a peg. I solve for equilibrium speculator conduct and central bank intervention policy where the speculator population is discrete. Sudden equilibrium price collapses are related explicitly to fundamentals. The main findings are again supported by experimental tests. In the final chapter, I study a market where strategic behavior is set aside and market participants are instead assumed to be perfect delta hedgers who immediately exploit arbitrage opportunities. I numerically estimate the equilibrium price of an exotic option in such a market.
Author: Robert W. Clower
Publisher: CUP Archive
ISBN: 9780521335607
Category : Business & Economics
Languages : en
Pages : 310
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Robert Clower's influential essays discuss monetary economics and monetary behaviour.
Author: Alain Durré
Publisher: Presses univ. de Louvain
ISBN: 2930344296
Category : Business & Economics
Languages : fr
Pages : 188
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Despite the consequences of financial bubbles on economic activity, it is still an open question to what extent the monetary policy should react to sharp fluctuations of equity prices. This dissertation attempts to contribute to the debate with some theoretical and empirical analyses of the relationship between monetary policy and financial markets. Chapter 1 incorporates the effect of real equity prices on aggregate demand in a forward-looking expectations neo-Keynesian model. This effect arises either from a wealth effect or from a change in consumers' confidence. The objective function of monetary authorities depends on the output gap and the deviation of expected inflation from the target. A numerical simulation, based on US data, illustrates the quantitative importance of the financial market channel for various exogenous shocks. In Chapter 2, the variation of equity prices enters explicitly in the loss function of the monetary authorities while, at the same time, it affects aggregate demand. This modifies the optimal monetary policy by increasing the volatility of the nominal interest rate. Chapter 3 examines how the launch of the European single currency has affected expectations on future monetary policy by comparing the econometric results of a co-integrated VAR model on pre- and post- January 1999 data. Chapter 4 deals with diverse methodological issues related to the estimation of the Taylor rule, which represents Central Bank decisions by a single and stable function. Several interesting results emerge from the modelling of the Fed funds rate over the period 1987-2002. In particular, assuming a discontinuous and asymmetric response of the Federal Reserve to fluctuations of equity prices, corrects the apparent instability of the rule.
Author: Peter J Boettke
Publisher: Routledge
ISBN: 1134557302
Category : Business & Economics
Languages : en
Pages : 469
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This collection of essays from one of the major Austrian economists working in the world today brings together in one place some of his key writings on a variety of economic issues.
Author: Juan Sebastian Rojas Bohorquez
Publisher:
ISBN:
Category :
Languages : en
Pages : 183
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While competition has long been recognized in economic literature as a tenet of economic efficiency, the link between coordination and efficiency is yet to be fully understood. In this dissertation, I study three separate episodes that contribute to our understanding on the ambiguous link between coordination and efficiency. The first episode is set in the early stages of development of the wine industry in California. I show how the disclosure of information fostered coordination between winemakers and vintners, which improved the efficiency in the use of resources and played a crucial role in the industrial growth of one of the major agro-industrial businesses in the state. The second episode presents a negative relationship between coordination and efficiency. We show how a loophole in Medicaid has allowed state and local governments to coordinate with providers to maximize federal matching funds at the expense of efficiency in the provision of care. Lastly, using evidence from pension funds in Colombia we show how ownership acts as a conduit for coordination between firms having a mixed effect on the efficient use of financial assets. Chapter 1 studies the effects of information disclosure on coordination and, ultimately, on industrial growth, using evidence from the wine and grape industry in the United States. Between 1960 and 1968, the Raisin Lay Survey gave accurate, weekly information about the size and allocation of the raisin harvest to grape growers, packers, and winemakers. Relying on data from 1950 to 1970 at county-year level from multiple newly digitized sources, I estimate a difference-in-differences model that exploits the fact that the Survey was, for budgetary reasons, only implemented in a reduced area compared with the original plan. The results show that information disclosure led to larger wine production in surveyed areas and increased investment from both grape growers and winemakers. Furthermore, I provide empirical evidence that the main mechanism driving these results is the enhanced coordination between growers and winemakers that resulted from the information disclosure. Chapter 2 shows theoretically and empirically how loopholes in the institutional design of joint Medicaid funding can lead to coordination between local governments and providers that result in price and volume distortions. Our empirical analysis combines audit, survey, and administrative datasets on skilled nursing facilities (SNFs) from 1999-2017 with two reforms and difference-in-differences models. We first document that states use creative financing schemes to divert federal Medicaid matching funds. Using the case study of Indiana, we then document that these schemes lead to an increase in Medicaid SNF days for dementia patients. The expansion of SNFs of lower match quality leads to an increase in mortality pointing to a misallocation of vulnerable patients to providers. Finally, Chapter 3 studies the distortions of common ownership on the portfolio allocation of financial entities. We use evidence from Colombian pension funds, which is a highly concentrated market, the largest entities are integrated with large financial conglomerates and manage funds that amount to roughly 25% of GDP and 87% of the market capitalization of the Colombian stock exchange. We use a rich database on the daily portfolio positions of all pension funds, which is collected by the Financial Superintendence of Colombia. we exploit the variation in ownership coming from two mergers where two of the largest pension funds that are part of financial conglomerates acquire other pension funds. We use a difference-in-differences specification to test whether after the merger the pension funds disproportionately increased their holdings of assets issued by other firms in their financial conglomerate. The preliminary results suggest that pension funds disproportionately favor investments in related firms as merge firms more than double their share of commonly owned assets in their portfolios. This reduced-form evidence lays the building blocks to a structural analysis that allows decomposing the observed changes between ownership, market power, and changes in expectations, which would ultimately shed light on the efficiency of the allocation of financial assets.
Author: Gerard H. Kuper
Publisher: Springer Science & Business Media
ISBN: 1461515491
Category : Business & Economics
Languages : en
Pages : 274
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Coordination and Growth: Essays in Honour of Simon K. Kuipers, addresses a rich variety of coordination issues in macroeconomics. It contains detailed studies in economic policy, monetary economics, and growth theory and uses various methodologies to address the coordination issue: from a pure theoretical to an empirical econometric approach. It is stressed that modern macroeconomics should focus on coordination issues. Imperfections of various kinds are likely to lead to coordination failures, which can lead to large welfare losses. Macroeconomists should address the causes and implications of imperfections and failures. In this book attempts are made to increase our knowledge in this field. The book is a tribute to one of the leading Dutch macroeconomists, Simon K. Kuipers. Simon Kuipers shows a major interest in the theory of capital (following e.g. Harrod), growth theory (following Solow), monetary theory (following Tobin), and disequilibrium theory (following Malinvaud and Benassy). The lines of thought have in common that they use frictions to explain the functioning of a market economy. The nature of the frictions varies from pure quantity rationing, like in the Malinvaud analysis, to imperfect substitution of various capital goods (like in the vintage models or assets (in the general monetary equilibrium models proposed by Tobin). Kuipers is not only interested in pure theoretical contributions, he also stimulates econometric work in line with the Dutch tradition initiated by Tinbergen. His applied work relates to policy analysis and policy prescriptions in many fields, ranging from monetary economics to distortions in the labour market. Kuipers can be classified as a true Keynesian, although he admires neoclassical theory for its rigour and compactness. Better still, he is an eclectic economist with an open eye for the different schools of thought in macroeconomics.
Author: Mr.Mark P. Taylor
Publisher: International Monetary Fund
ISBN: 1451947038
Category : Business & Economics
Languages : en
Pages : 31
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This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Author: Alessandro Citanna
Publisher:
ISBN:
Category :
Languages : en
Pages : 260
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Author: Christoph Bertsch
Publisher:
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Category : Banks and banking
Languages : en
Pages : 134
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This thesis comprises theoretical work on nancial markets and banking. The rst essay features a model of liquidity provision. I analyze how the severity of adverse selection problems in one market is a ected if alternative sources of nance, which are not subject to adverse selection problems, become more easily available. In particular, I nd that the adverse selection problem can be either mitigated or ampli ed, giving rise to new implications for equilibrium welfare, e ciency and policy. Furthermore, I examine how and under what conditions a central bank can address a market failure during a nancial crisis by using existing market institutions to re-allocate liquidity in the economy. The second essay develops a new contagion mechanism in coordination games. With our model we o er an explanation why a contagious spread of a crisis can occur even if agents learn that their country (or bank) is not exposed to crisis events elsewhere. What is more, we show that the likelihood of a spread of the crisis can be higher if agents learn that their country is not exposed to the crisis in the other country, than if agents stay uninformed about the actual exposure and believe that a cross-country exposure is possible. The third essay examines the e ect of state aid on the collective competitive behavior in a repeated-game setting. We consider an application to the banking sector and nd that a systematic bailout regime may increase the likelihood of (tacit) collusion in an industry characterized by idiosyncratic shocks. The reason being that state aid increases the expected pro ts from cooperation and simultaneously raises the probability that competitors will still be in business to carry out punishment against cheaters.
