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Three Essays On International Economics, Rongzi Shan
Three Essays On International Economics, Rongzi Shan
Legacy Theses & Dissertations (2009 - 2024)
The first chapter examines the quantitative performance between two models of sovereign default, which we define as a government (sovereign) default on government bonds. The two models are the strategic default model and a model designed for rich countries in which default is due to inability to repay. We first examine the cyclicality of fiscal policy for sixteen emerging countries which have experienced default using a two-step GMM estimator, and found that the fiscal policy in these countries is counter cyclical. We choose Argentina as a reference economy, and compare the implications of both models for matching the data on …
Essays On Money, Banking, And Finance, Duong Ngo
Essays On Money, Banking, And Finance, Duong Ngo
Legacy Theses & Dissertations (2009 - 2024)
This doctoral dissertation contains three essays on the topics of money, banking, and finance.
A Stochastic Volatility Model With Leverage Effect And Regime Switching, Hong Jiang
A Stochastic Volatility Model With Leverage Effect And Regime Switching, Hong Jiang
Legacy Theses & Dissertations (2009 - 2024)
Modeling the volatility of asset returns is a very important study in financial economics. Among the time-varying volatility models, the Stochastic Volatility (SV) models are argued to have advantages over the autoregressive conditional heteroskedasticity (ARCH) models. The purpose of this article is to put forward a generalized and flexible Stochastic Volatility model, the Stochastic Volatility Model with Leverage Effect and Regime Switching (SVLR model), which could capture the complex features of financial time series to the most extent.