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Unemployment Cycles: Aggregate Disturbances And Sectoral Shifts, Jing Lu
Unemployment Cycles: Aggregate Disturbances And Sectoral Shifts, Jing Lu
Digitized Theses
This thesis consists of three essays, all of which examine the relative importance of aggregate disturbances and sectoral shifts in the explanation of unemployment cycles.;Chapter 1 of the thesis uses a search-theoretical framework to analyze a multi-sector economy in which labor productivity is subject to aggregate and sectoral shocks. After a critical review of the existing literature in this area and questioning the previous methods of shock decomposition into aggregate disturbance and sectoral shift components, this paper develops a new method for partitioning the effects of these two shocks on unemployment. It is argued that the mean and the dispersion …
Essays On Money, Banking, And Contracts, Siu Cheong Fung
Essays On Money, Banking, And Contracts, Siu Cheong Fung
Digitized Theses
In the first chapter, a computable equilibrium business cycle model is constructed to study the effects of inflation and taxation on the allocation of capital and time between the market sector and the home sector. In the model, individuals derive utility from the consumption of market goods and services, which are produced by combining business capital and market time, and from the consumption of home goods and services, which are produced by using household capital and nonmarket time. Money is incorporated into the model using a cash-in-advance constraint which applies to the purchase of market consumption goods. The model economy …
Essays On Recursive Nonparametric Kernel Estimation Of Regression, Miang Hong Ngerng
Essays On Recursive Nonparametric Kernel Estimation Of Regression, Miang Hong Ngerng
Digitized Theses
In the practice of economics it is common that the data are observed not as a sample of fixed size, but rather as an ongoing sequence of a time series. It could be computationally advantageous if the estimate of the unknown function could be updated for each newly arriving data point. On some occasions, there is also a need to update the existing estimate with the newly realized observations. Kalman filter and Bayesian estimation are the commonly encountered techniques to handle these problems in the paradigm of linear parametric estimation. However, few procedures are available for nonlinear models, especially in …
Heteroscedasticity In Returns: Arch Effects Versus The Mixture Of Distributions Hypothesis, Richard Ronald Nason
Heteroscedasticity In Returns: Arch Effects Versus The Mixture Of Distributions Hypothesis, Richard Ronald Nason
Digitized Theses
The main purpose of this thesis is to examine and compare the Mixture of Distributions Hypothesis versus Autoregressive Conditional Heteroscedasticity (ARCH) models as an explanation for the distribution of stock returns and the relationship of returns to measures of trading activity. The conjecture has been made by Lamoureux and Lastrapes, (1990a), that ARCH modelling of stock returns does not contribute any information if a variable representing the rate of flow of information is accounted for in the variance of the stock return. This thesis directly challenges this conjecture.;Three measures of trading activity, namely, the number of intraday changes in the …
The Small Firm Anomaly And The Bid-Ask Spread: Empirical Tests, Charles Edward Mossman
The Small Firm Anomaly And The Bid-Ask Spread: Empirical Tests, Charles Edward Mossman
Digitized Theses
The small firm or size anomaly is an observation that small firms, ranked by total equity value, earn abnormally large returns even after adjusting for systematic risk. The persistence of abnormal small firm returns appears inconsistent with efficient markets or traditional asset pricing models. Some explanations for the small firm anomaly relate to bid-ask spreads.;This thesis examines four areas in which the relative, or percentage, bid-ask spread influences small firm returns: bid-ask bias, transaction costs, year-end effects, and as a proxy for market liquidity.{dollar}\sp1{dollar} Tests use Canadian Toronto Stock Exchange data during 1977 to 1991. An advantage of this data …
Essays In International Finance And Macroeconomics, Wai-Ming Ho
Essays In International Finance And Macroeconomics, Wai-Ming Ho
Digitized Theses
This thesis consists of three essays in international finance and macroeconomics to study the link between money and economic activity.;The first essay, entitled "Liquidity, Exchange Rates, and Business Cycles," presents a two-country, two-good, two-currency model to study the role of liquidity effects in exchange rate determination and the international transmission of economic fluctuations. The monetary authority's injections of cash are funneled into the economy through financial markets. The asymmetry of economic agents' access to the newly injected cash induces liquidity effects. The model provides an exchange rate equation which is different from the simple purchasing-power-parity law of exchange rate determination. …
Fertility And Economic Growth, Jie Zhang
Fertility And Economic Growth, Jie Zhang
Digitized Theses
The thesis comprises three chapters which model fertility and economic growth simultaneously in overlapping generations frameworks.;Chapter 1 focuses on the relation between fertility and wage rates and examines the effects on fertility and growth of subsidies for education and for the cost of rearing children by assuming that agents care about the consumption and number of children. Without education, this model reconciles two conflicting results about the relationship between fertility and wage rates: while Malthus and others predict a positive relation, Barro and Becker find a negative relation. With education, the positive relation between fertility and wage rates can no …
Search Models Of Money, Scott Campbell Hendry
Search Models Of Money, Scott Campbell Hendry
Digitized Theses
This thesis contains three essays studying the emergence of money as a medium of exchange. The search framework used resumes it is difficult for agents to come together in order to trade. The result is a double coincidence of wants problem that can be alleviated through the use of money as a medium of exchange. Much of the recent work studying search models of money is based on papers by Kiyotaki and Wright. This thesis extends their work to make this area of monetary economics more applicable.;Chapter 1 of the thesis introduces a credit instrument into the search model to …