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Author: Patrick Hoang-Vu Eozenou
Publisher:
ISBN:
Category : Development economics
Languages : en
Pages : 118
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Author: Patrick Hoang-Vu Eozenou
Publisher:
ISBN:
Category : Development economics
Languages : en
Pages : 118
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Author: Hanno Lustig
Publisher:
ISBN:
Category :
Languages : en
Pages : 182
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Author: Masahiro Kodama
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Samreen Malik
Publisher:
ISBN:
Category :
Languages : en
Pages : 225
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This dissertation contributes to the growing literature of international finance on capital market integration and consumption risk sharing in emerging economies. I identify threshold effects in terms of financial market integration to demarcate regimes with varying extent of international risk sharing in emerging economies. In Chapter 2, I study a model of a small open economy to see how default decisions affect incentives for international consumption risk-sharing based on varying levels of debt to capital ratio in emerging economies while in Chapter 3, I employ a novel endogenous threshold identification method developed by Hansen (1999) for balanced panels, to empirically identify threshold effects of capital market integration on consumption risk-sharing in emerging economies. Finally in Chapter 4, I study the determinants of the capital market integration via level and composition of foreign assets held by emerging economies, exploiting temporal and cross-sectional variation in a panel data set of 37 emerging economies from 1970 - 2007.
Author: Wai-Yip Alex Ho
Publisher:
ISBN:
Category :
Languages : en
Pages : 266
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Abstract: The first chapter investigates the effects of inflation, accessibility and depth of credit markets on wealth distribution. We find that from 1995 to 2002 in China, the inequality of wealth distribution decreased, the money-wealth ratio increased for all wealth levels and the aggregate money-output ratio increased. We develop a two-asset dynamic general equilibrium model in which households face a portfolio-adjustment cost and a borrowing constraint. The accessibility and depth are measured by the portfolio-adjustment cost and the borrowing constraint, respectively. Model calibration based on the Chinese data shows that the portfolio-adjustment cost was reduced and the borrowing constraint was relaxed from 1995 to 2002. We find that financial development lowers the inequality of wealth distribution by reducing the precautionary motive of households. In addition, tight monetary policy increases the value of money and, in turn, raises the money-wealth ratio for all wealth levels and the aggregate money-output ratio. The second chapter examines inter-provincial consumption risk sharing and intertemporal consumption smoothing across Chinese provinces before and after the 1979 economic reform. Our results indicate that the degree of consumption risk sharing among Chinese provinces is lower than that within the U.S. and across the national boundaries of OECD countries. On the other hand, the level of consumption smoothing among Chinese provinces is higher than that across OECD or EU countries, but lower than that in the U.S. Moreover, our results show that consumption risk sharing and smoothing in China have deteriorated since the 1979 economic reform. Finally, we show that eliminating consumption fluctuations yields substantial welfare gains, which suggests that stabilization policies are desirable for China. The third chapter compares continuous and discrete time sticky price models. For given menu costs, continuous time models imply shorter average contracts but larger real effects of inflation.
Author: Yingchun Liu
Publisher:
ISBN:
Category :
Languages : en
Pages : 76
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Author: Zhaogang Qiao
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Felix H. Kloman
Publisher: Xlibris Corporation
ISBN: 1450045685
Category : Business & Economics
Languages : en
Pages : 197
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Author: Ngoc-Khanh Tran
Publisher:
ISBN:
Category :
Languages : en
Pages : 244
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This thesis consists of three chapters in asset pricing. Chapter 1 considers an international asset pricing setting with traded and non-traded out puts. It shows that output fluctuations in nontraded industries are a central risk factor driving asset prices in all countries. This is because nontraded industries entail a growth risk that is mostly non-diversifiable, and constitute the largest component of gross domestic product (GDP) of a country. Supportive empirical evidences include; (i) the effect of an industry's growth volatility on the interest rate increases significantly with its non-tradability and (ii) carry trade strategies employing currency portfolios sorted on nontraded output growth volatility earns a sizable mean return and Sharpe ratio for US investors. Chapter 2 considers heterogeneous-agent setting in which agents differ in risk preference, time preference and/or expectations. It shows that, because of equilibrium risk sharing, the precautionary savings motive in the aggregate can vastly exceed that of even the most prudent actual agent in the economy. Consequently, a low real interest rate, resulting from large aggregate savings, can prevail with reasonable risk aversions for all agents. However, as savings rates become extremely sensitive to output fluctuation when savings motive is large, tie same mechanism that produces realistically low interest rates tends to make them unrealistically volatile. A powerful isomorphism allows differences in time preference and expectations to be swept away in the analysis, yielding an equivalent economy whose agents differ merely in risk aversion. Chapter 3 considers a novel tractable and structural pricing framework. It shows that any risk-neutral statistical distribution of state variables can be consistently tied to the economic contents of the underlying pricing model. It establishes this structural linkage by requiring that the economy's stochastic discount factor (SDF) be a proper but unspecified function of the state variables. Consequently, the structural content of the economy as characterized by the SDF can he determined from state variables dynamics through a simple linear differential equation. As a result, state variables' distribution in physical measure can also be recovered,
Author: Paul Conal Winters
Publisher:
ISBN:
Category : Agriculture
Languages : en
Pages : 328
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