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Board Gender Diversity And Its Impact On Financial Performance And Risk-Taking: A Study Of Listed North American Companies, Ambrose Houphouet Jul 2024

Board Gender Diversity And Its Impact On Financial Performance And Risk-Taking: A Study Of Listed North American Companies, Ambrose Houphouet

Doctoral Dissertations (DBA)

In today's globalized world, gender diversity is increasingly recognized as vital for companies, yet women remain underrepresented in leadership positions. The lack of representation of women in leadership roles and their possible impact on business performance have led to a greater awareness of gender diversity on corporate boards in recent years. However, men dominate in some fields and the representation of women in decision-making levels is very low and it is unclear whether gender diversity brings any benefits to the company in terms of financial performance and risktaking. Therefore, the study examines the impact of gender diversity on financial performance …


The Impact Of Renewable Energy Adoption On State-Level Housing Market Prices, Hernan Checchi Jun 2024

The Impact Of Renewable Energy Adoption On State-Level Housing Market Prices, Hernan Checchi

Doctoral Dissertations (DBA)

Renewable energy continues to gain popularity amongst businesses and residents due to the growing concerns on climate change, government regulations and the overall need for a more sustainable energy system. Renewable energy has surged in popularity due to declining costs, and the growing awareness of the need for renewable energy to combat ongoing climate issues. The transition to renewable energy sources such as solar and geothermal power is expected to have a significant impact on various aspects of the economy including the housing market. This research aims to explore the relationship between renewable energy adoption and housing prices in the …


Economic Policy Uncertainty And The Uncovered Interest Rate Parity Of Exchange Rate Determination, Yanyan Freitag Jun 2024

Economic Policy Uncertainty And The Uncovered Interest Rate Parity Of Exchange Rate Determination, Yanyan Freitag

Doctoral Dissertations (DBA)

I argue that the Uncovered Interest Rate Parity (UIRP) relationship depends on the Economic Policy Uncertainty zones (EPU). The UIRP-EPU relationship is state-dependent, non-linear, and asymmetric. Using the monthly data for the sample period January 1999 to December 2023, I test the relationship between changes in the U.S. Dollar in the Euro exchange rate and the spread between the yields on the 10-year U.S. Treasury Note vs. the euro area 10-year convergence bond. The relationship is tested at three different zones or ‘levels’ of the EPU for the U.S. The low, intermediate, and high EPU zones are determined by employing …


Love One Another! Merging Biblical Teaching And Social-Emotional Learning: A Framework For Introducing Sel In Christian Schools, Nancy Pittard Jones May 2024

Love One Another! Merging Biblical Teaching And Social-Emotional Learning: A Framework For Introducing Sel In Christian Schools, Nancy Pittard Jones

Doctor of Education in Educational Leadership (Ed.D.)

This Improvement Science Dissertation in Practice (ISDiP) investigated to what extent professional development impacted teacher understanding of social-emotional learning (SEL) and its potential compatibility with Biblical teachings. The dissertation followed an Improvement Science framework to address a specific problem of practice: an increase in student maladaptive behavior. As student coping repertoires diminished following the COVID-19 and racial pandemics, teachers experienced stress and frustration. To bolster teachers' learning and provide new pathways for teachers to address student behavior and build classroom climate, the researcher introduced SEL to a group of teacher volunteers (n=21) in an independent Christian school through six professional …


The Education And Generalization Of Educator Social Emotional Learning Capacities To Impact Student Success, Mariel Palombo Pipchinski May 2024

The Education And Generalization Of Educator Social Emotional Learning Capacities To Impact Student Success, Mariel Palombo Pipchinski

Doctor of Education in Educational Leadership (Ed.D.)

The aim of this study was to analyze the effects of professional development (PD) on teachers' knowledge of social-emotional learning and their social-emotional competence and determine if PD leads to teacher growth in their ability to support students' social-emotional development and competence. The dissertation followed the Improvement Science Dissertation in Practice (ISDiP) to address the problem of practice and increase students' social-emotional capacity through teacher implementation. To improve teacher's social-emotional capacity for classroom implementation, the researcher created and instructed a seven-week professional development for teachers (n=7) in a mid-sized suburban school district that focused on building social-emotional capacity and strategies …


Affirming Black Girls: Creating And Sustaining Affirming And More Inclusive Learning Environments For Black Girls Through Professional Learning, Demetria Green Walters May 2024

Affirming Black Girls: Creating And Sustaining Affirming And More Inclusive Learning Environments For Black Girls Through Professional Learning, Demetria Green Walters

Doctor of Education in Educational Leadership (Ed.D.)

This Improvement Science Dissertation in Practice (ISDiP) qualitative research study aimed to investigate targeted interventions and resources designed to enhance educators' cultural awareness and competence, fostering the creation of identity-affirming learning environments for Black girls as a lever for reducing racial discipline disparities. Identity validation and the provision of inclusive learning environments are necessary elements for promoting academic success while positively impacting the needs of Black girls. The intersectionality of being both Black and female poses an educational challenge that is often misunderstood and overlooked, yet it deserves significant attention to improve outcomes for this student group. Without intervention, racially …


Bringing Our Folding Chair To The Table: Adopting Social Justice Through The Retention Of Black Women Educational Leaders, Jasmin Osborne May 2024

Bringing Our Folding Chair To The Table: Adopting Social Justice Through The Retention Of Black Women Educational Leaders, Jasmin Osborne

Doctor of Education in Educational Leadership (Ed.D.)

This Improvement Science Dissertation in Practice (ISDiP) qualitative research study aimed to investigate targeted interventions and resources designed to create empowering environments for Black women educational leaders who are impacted by the intersectionality of gender and race. Intersectionality creates additional challenges for these leaders who grapple with additional challenges as Black women which negatively impact their access to leadership positions and their ability to be retained long term in that position. The loss of Black women educational leaders has a detrimental impact on the leadership pipeline for Black women, negative impacts on marginalized students, and continues to widen the gap …


Jump Diffusion Outperforms Geometric Brownian Motion When Forecasting Bric’S Daily Foreign Exchange Carry Trading Strategy Returns, Marc Kwait Apr 2024

Jump Diffusion Outperforms Geometric Brownian Motion When Forecasting Bric’S Daily Foreign Exchange Carry Trading Strategy Returns, Marc Kwait

Doctoral Dissertations (DBA)

This research will examine how the Jump Diffusion Model 1 (JDM) accurately outperforms Geometric Brownian Motion2 (GBM) when forecasting the Japanese Yen carry trade daily returns for the BRICs' and three bellwether currency pairs GBP/JPY, EUR/JPY, and PLN/JPY from January 2, 2012, to September 30, 2023. An added innovation within this research is the inclusion of the interest rate return in arriving at the daily cumulative carry trade returns. This is a distinctive and unique feature that offers a different perspective, since many journal articles do not discuss or address the interest earned (long position) component of the FX Carry …


Improving School Climate: The Impact Of A Perma-Based Intervention On Educators' Well-Being And Emotional Intelligence, Jennifer Andrews Kenney Jan 2024

Improving School Climate: The Impact Of A Perma-Based Intervention On Educators' Well-Being And Emotional Intelligence, Jennifer Andrews Kenney

Doctor of Education in Educational Leadership (Ed.D.)

Research has demonstrated that the condition of a school’s climate substantially influences student outcomes. This study investigated the factors influencing a sub-optimal school climate in a rural school. Results indicated that educators’ unmet social and emotional needs and an absence of well-being support influenced the quality of the school climate. To address this problem, this study examined the impact of an eight-week PERMA-based multicomponent positive psychology intervention (MPPI) on rural educators’ well-being, emotional intelligence (EI), and professional practice. The participants consisted of 13 rural educators. Using a convergent mixed methods research design, the researcher merged quantitative data comprising pre-test and …


Empowering Parents As Partners In Learning: Practices For Developing A Robust Home Learning Environment, Jennifer L. Bencivengo Jan 2024

Empowering Parents As Partners In Learning: Practices For Developing A Robust Home Learning Environment, Jennifer L. Bencivengo

Doctor of Education in Educational Leadership (Ed.D.)

Parents are often considered a child’s first teacher. However, not all parents are equipped with adequate strategies or have access to equitable resources to provide a rich home learning environment for their children. Bodies of research consistently identify discrepancies in kindergarten readiness from a social, emotional, and academic learning vantage point when discussing foundational literacy skills, the overreliance on technology, and developmentally appropriate executive functioning skills (Bassok & Reardon, 2013a; Jung, 2016; Reardon & Portilla, 2016a; Wolf & McCoy, 2019a). In an attempt to address the inequities in school readiness has more recently been examined with focus on community based …


Redefining The "Good Kids": A Mixed Methods Improvement Science Study In Mitigating Implicit Bias In Behavior Management Practices, Gabrielle Renee Delgado Jan 2024

Redefining The "Good Kids": A Mixed Methods Improvement Science Study In Mitigating Implicit Bias In Behavior Management Practices, Gabrielle Renee Delgado

Doctor of Education in Educational Leadership (Ed.D.)

This Improvement Science Dissertation in Practice (ISDiP) focused on the problem of educator bias as it pertains to behavior management and discipline, specifically for Black and Hispanic/Latine students as well as students with disabilities. A root cause analysis coupled with a review of existing literature situated this problem within Clark High School and justified further intervention. This study used an improvement science framework, action research methodology, and a convergent mixed-methods design to explore the implementation of tier II of school-wide positive behavior interventions and supports (SWPBIS) at Clark High School and its potential impact on educators’ awareness of implicit biases …


Building Community: Strengthening Student Connectedness And Sense Of Belonging In Our Schools, Shannan D. Perry Carlson Jan 2024

Building Community: Strengthening Student Connectedness And Sense Of Belonging In Our Schools, Shannan D. Perry Carlson

Doctor of Education in Educational Leadership (Ed.D.)

All students want to attend a school they feel a sense of belonging to, one with caring adults and shared experiences for our young learners. Research shows that student connectedness and the quality of student–teacher relationships are associated with students’ engagement in school and academic performance (Bosman et al., 2018) and significantly impact student outcomes (Settanni, 2015). This Improvement Science Dissertation in Practice (ISDiP) investigated the impact intentional professional learning for teachers focused on social and emotional competencies and increased shared experiences for students has on students’ sense of belonging and connectedness in a middle school. With a two-pronged intervention …


An Improvement Science Dissertation In Practice: A Mixed-Methods Study Exploring The Impact Of Trauma Literacy And Mindfulness On Perceptions Of Educator Work-Related Stress, Carla Ann Roland Jan 2024

An Improvement Science Dissertation In Practice: A Mixed-Methods Study Exploring The Impact Of Trauma Literacy And Mindfulness On Perceptions Of Educator Work-Related Stress, Carla Ann Roland

Doctor of Education in Educational Leadership (Ed.D.)

This Improvement Science Dissertation in Practice study aimed to examine a possible solution to reducing the negative effects of trauma and toxic stress on a child’s education through an intervention aimed at advancing educators’ trauma literacy inclusive of educator self-care. Using a mixed-methods explanatory sequential research design, the researcher investigated the impact the Trauma Literacy Professional Development and Mindfulness Educational Group had on the educators’ perceptions of educator work-related stress. The researcher utilized a pre- and post-intervention survey measure, group discussion group field notes, and semi-structured interviews with participants to answer the proposed research questions. Quantitative results of this study …


Welcoming All: Closing Racial Gaps In School Connectedness, Ashley T. Sherman Jan 2024

Welcoming All: Closing Racial Gaps In School Connectedness, Ashley T. Sherman

Doctor of Education in Educational Leadership (Ed.D.)

This mixed-methods improvement science dissertation in practice (ISDiP) explores the problem of racial gaps in school connectedness at a small suburban elementary school, where Black students report the lowest rates of connection. School connectedness is a crucial predictor of academic and social-emotional success. An exploration of scholarly and professional practice identified restorative practices coaching as a high-yield strategy to close this gap. Restorative practices is a framework of proactive and responsive practices aimed at building community and repairing harm when it occurs. Six fourth- and fifth-grade teachers participated in bi-weekly coaching sessions and classroom observations of circles, a fundamental element …


An Improvement Science Dissertation In Practice: Promoting Teacher Retention And Preventing Burnout Among Elementary And Middle School Educators, Jacki L. Spring Jan 2024

An Improvement Science Dissertation In Practice: Promoting Teacher Retention And Preventing Burnout Among Elementary And Middle School Educators, Jacki L. Spring

Doctor of Education in Educational Leadership (Ed.D.)

This study aims to increase retention by providing teachers with strategies to decrease teacher burnout. Specifically, it sought to provide Tier I trauma-informed and restorative practice classroom management strategies through coaching cycles to reduce classroom disruptions and provide education on better managing challenging student behaviors. Based upon an intervention driven by weekly professional learning communities (PLC) sessions with the SEL coaching team and classroom-based coaching opportunities, this mixed-methods convergent design study utilized the improvement science framework. Quantitative data showed that although there were average decreases, there was no statistically significant difference in occupational exhaustion (EE) depersonalization (DP). Similarly, although there …


Optimizing Partnership Impact: Prioritizing High-Quality Social-Emotional Learning In A Sports Enrichment Out-Of-School Time Program, Julie Thompson Goldstein Jan 2024

Optimizing Partnership Impact: Prioritizing High-Quality Social-Emotional Learning In A Sports Enrichment Out-Of-School Time Program, Julie Thompson Goldstein

Doctor of Education in Educational Leadership (Ed.D.)

Research demonstrates that out-of school time (OST) programs featuring physical activity positively impact students' social-emotional learning (SEL) competencies, including self-regulation and collaboration skills. However, financial barriers prevent low-income students access to OST and sports opportunities. Grant-funded OST partnerships seeking to improve student well-being, emotional safety, and connection need ways to measure their value. A systems view indicates that OSTs play an interactive role within a school's complex system. Guided by the Improvement Science Framework, this Dissertation-in-Practice aimed to strengthen the SEL quality of 2-4-1 TOP Self Sports, a physical literacy-informed sports enrichment OST program serving primarily elementary school students. Using …


Teacher Retention: Building Self-Efficacy To Keep Educators In The Classroom, Dawn M. White Jan 2024

Teacher Retention: Building Self-Efficacy To Keep Educators In The Classroom, Dawn M. White

Doctor of Education in Educational Leadership (Ed.D.)

This Improvement Science Dissertation in Practice investigated the impact of professional development with coaching support on a novice teacher’s self-efficacy, with the goal of improving novice teacher retention in an urban district. In Phase 1 of this study, the researcher determined that the problem of practice, novice teacher attrition, impacted students’ academic and behavioral outcomes. In Phase 2, the researcher offered a six-module professional development course, in-person and online, that included classroom management strategies for teachers in their first year of employment. The researcher designed the intervention to include coaching from the novice teachers’ assigned district mentors to support implementation. …


The Impact Of Expansionary Monetary And Fiscal Policy On Firm Performance: A Comparative Analysis Of Pre, During, And Post-Covid Periods, Kofi O. Adansi Pipim Jan 2024

The Impact Of Expansionary Monetary And Fiscal Policy On Firm Performance: A Comparative Analysis Of Pre, During, And Post-Covid Periods, Kofi O. Adansi Pipim

Doctoral Dissertations (DBA)

In this research, we use panel data regression analysis to investigate the impact of expansionary monetary and fiscal policies on firm performance in pre (2017 to 2019), during (2020 to 2021), and post COVID-19 (2022 to 2023) periods. We combine quarterly data sourced from the Wharton Research Data Services (WRDS)-Compustat and the St Louis Federal Reserve Economic Data (FRED) databases. After combining all data, our final sample consists of 3,226 publicly listed firms in the United States. We test the hypothesis that the economic and fiscal policy interventions instituted by the Federal Reserve (Fed) significantly affected firm performance during and …


Spacs And The Macroeconomy: An Empirical Examination Of Real Interest Rates' Impact On Spacs, Ryan A. Jacobs Dec 2023

Spacs And The Macroeconomy: An Empirical Examination Of Real Interest Rates' Impact On Spacs, Ryan A. Jacobs

Doctoral Dissertations (DBA)

Special Purpose acquisition companies (SPACs) are an alternative way private entities enter public markets through reverse merger of a publicly listed pool of capital. Price discovery is more transparent than the traditional IPO process, as valuations are negotiated between the SPAC Sponsor and the firm’s management team before shareholders approve through a shareholder vote. I conducted an OLS regression test for a relationship between SPAC activity, using capital invested in SPAC IPOs as a proxy, and various macroeconomic variables. I did not find evidence of a linear relationship. I examined the impact of the real interest rates on monthly pre-merger …


Esg Scores Impact On U.S. Insurance Companies’ Financial Performance, Franceska Xhafa Dec 2023

Esg Scores Impact On U.S. Insurance Companies’ Financial Performance, Franceska Xhafa

Doctoral Dissertations (DBA)

This paper examines the impact of Environmental, Social, and Governance (ESG) scores on U.S. insurance companies' financial performance and is among the first to do so. The existing literature has sundry conclusions on whether there is any impact; this study intends to add to the existing literature to elucidate an answer. In this study, the financial ratio, net profit margin, is used as the dependent variable. The ESG score, governance score, and governance metrics such as the number of independent directors on the audit committee, size of the compensation committee, board size, and the number of executives are used as …


An Empirical Investigation Of The Relationship Between Global Copper Prices And Us Industrial Production, Paa Kow Cole Dec 2023

An Empirical Investigation Of The Relationship Between Global Copper Prices And Us Industrial Production, Paa Kow Cole

Doctoral Dissertations (DBA)

This research examines the relationship between copper Prices and US Economy proxied by the Industrial Production Index. Copper's physical properties make it suitable for various industrial uses, making it an integrated element of the US economy. Industrial production is one of the leading indicators of gross domestic product, reflecting a country's overall economic performance. Therefore, as an essential input in industrial production, the direction of copper prices is important for the overall economy. We employed the Granger causality and ARDL models to evaluate the relationship between Global Copper Prices and Industrial Production. Using monthly time series data for global copper …


Cultural Distance And Momentum Effect—The Case Of Cross-Listed Companies In The United States, Ling Liu Aug 2023

Cultural Distance And Momentum Effect—The Case Of Cross-Listed Companies In The United States, Ling Liu

Doctoral Dissertations (DBA)

This paper examines the momentum effect in U.S. cross-listed companies, exploring the relationship between cultural distance and momentum portfolio formation, and how cultural distance affects momentum portfolio returns for US cross-listed firms. The study selects cross-listed companies from January 2001 to December 2022 and create momentum portfolios (Chui, Timan, & Wei, 2010) to test the momentum effect of cross-listed companies in the United States. The cultural distance for cross-listed companies is then calculated using the within-group cultural diversity method (Frijns, Dodd, & Cimerova, 2016) and the Hofstede (2001) dimensional method to find the momentum effect in cultural distance sorted groups. …


Transforming Educators' Trauma-Informed Knowledge And Skillset: Exploring The Impact Of A Trauma-Informed Intervention On Educators' Attitudes, Knowledge, And Understanding Of Trauma, Ashley Favello Aug 2023

Transforming Educators' Trauma-Informed Knowledge And Skillset: Exploring The Impact Of A Trauma-Informed Intervention On Educators' Attitudes, Knowledge, And Understanding Of Trauma, Ashley Favello

Doctor of Education in Educational Leadership (Ed.D.)

The dissertation followed an improvement science framework to address a specific problem of practice using a mixed methods convergent design. The dissertation in practice investigated the effects of training on teachers’ proficiency in trauma-informed practice and teachers’ perspectives on training and support for students who have experienced trauma. The intervention was conducted across seven elementary schools and consisted of four professional development sessions and observation opportunities with an individual coach. This action research and mixed methods explanatory sequential design included quantitative data assessing teacher knowledge and self-efficacy pre- and post-intervention. It also included teachers’ application of strategies in the classroom …


Does Herding Behavior Exist In The Cryptocurrency Market?, Anis Mnif Aug 2023

Does Herding Behavior Exist In The Cryptocurrency Market?, Anis Mnif

Doctoral Dissertations (DBA)

This paper examines herd behavior in the cryptocurrency market using data of the top 15 large cryptocurrencies and the CCi30 Index as a proxy for market return. The idea that investors mimic and follow the behavior of others in the cryptocurrency market rather than conducting their own research has received attention in the finance literature. The CSAD results in the static model detected herding but given the existence of structural breakdowns and nonlinearities in the data series, we opted to conduct a rolling window analysis. The results indicate strong herding behavior that fluctuates over time. Furthermore, results from the logistic …


Healthcare In The United States: Necessity Or Luxury? Analysis Of The Impact Of The Affordable Care Act On Elasticity Of Healthcare Expenditure, Daniel Asante Jul 2023

Healthcare In The United States: Necessity Or Luxury? Analysis Of The Impact Of The Affordable Care Act On Elasticity Of Healthcare Expenditure, Daniel Asante

Doctoral Dissertations (DBA)

The debate over whether healthcare is a necessity or a luxury has sparked divergent findings among healthcare researchers. While some have gauged individual income elasticities, others have employed national or cross-national data to discern these elasticities. This paper contributes to this scholarly discourse by presenting fresh insights derived from a panel encompassing 50 US states from 1990 to 2020. The study investigates the impact of the Patient Protection and Affordable Care Act (ACA) on healthcare elasticity, utilizing both parametric and nonparametric models. Initial estimations using the Pooled Ordinary Least Squares (OLS) approach reveal elasticity coefficients above unity. However, estimations utilizing …


Assessing Diversification Of S&P500 And Cdx Indexes, Jeffrey A. Palma Jun 2023

Assessing Diversification Of S&P500 And Cdx Indexes, Jeffrey A. Palma

Doctoral Dissertations (DBA)

In this paper, I conduct a study of comovement between equity and corporate bonds using S&P500 and Investment Grade and High Yield CDX Indexes to evaluate the diversification benefits of holding these assets in portfolios. I assess comovement and diversification potential using DCC-GARCH and copulas. This approach allows for a review of equity and credit linkages through multiple lenses and evaluation of how these relationships have evolved over time. In general, I find only modest potential for diversification between equity and CDX markets and strong evidence of increased comovement over time.


Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning Feb 2023

Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning

Doctoral Dissertations (DBA)

Over the past decade, the rise of Geopolitical Risk (GPR) has had a significant effect on macro financial variables, prompting central banks to accumulate reserves as a "war chest" to protect their economies from the detrimental effects of such shocks. This study examines the asymmetries in the long run, short run, and locational asymmetric effects on foreign reserves in the BRICS countries, using both the Nonlinear ARDL (NARDL) and Quantile ARDL (QARDL) models over the period 2000Q1–2021Q4. The results of the NARDL model suggest that GPR has long-run asymmetric effects for BRICS, while in the short run, all countries display …


Empirical Studies Of Esg Scores With Corporate Credit Spreads (Insights From Popularity-Based Pricing), Eugene Okyere-Yeboah Oct 2022

Empirical Studies Of Esg Scores With Corporate Credit Spreads (Insights From Popularity-Based Pricing), Eugene Okyere-Yeboah

Doctoral Dissertations (DBA)

This study examines various factors or characteristics (risk and non-risk) that determine a firm’s credit risk premium, as measured by its credit default swap (CDS) spread, with a particular focus on the impact of environment, social, and governance (ESG) scores. The framework employed is a general equilibrium asset pricing model which integrates classical and behavioral finance elements, known as popularity-based asset pricing. It treats all attributes or characteristics of an asset as ”factors” to which investors assign a degree of popularity, which changes over time. Non-risk characteristics are classified as ”tastes” or ”disagreements”, Fama French (2007). Firms’ degree of adherence …


Transformative Vocabulary: Fusing Vocabulary Instruction With Citizenship Education, Thomas Broderick Feb 2022

Transformative Vocabulary: Fusing Vocabulary Instruction With Citizenship Education, Thomas Broderick

Certificate of Advanced Studies (CAS) in Literacy

This action research sought ways to maximize secondary social studies teachers’ instructional time and merge their core functions as literacy, content and social-justice instructors. Drawing on a wide literature demonstrating potent correlation between requisite vocabulary knowledge and reading comprehension, this action research investigated the potential interface between explicit literacy instruction, particularly robust vocabulary instruction, and democratic citizenship, while keeping in mind the intent of the Common Core Standards. In other words: is it possible to fuse robust vocabulary instruction to achieve transformative citizenship? Data collection included multiple in-person and digital interviews with veteran K-12 teachers, administrators and university professors about …


Securing Repo: Counterparty Risk And Collateral Supply Effects In The Tri-Party Repo Market, Stephen H. Frank Feb 2022

Securing Repo: Counterparty Risk And Collateral Supply Effects In The Tri-Party Repo Market, Stephen H. Frank

Doctoral Dissertations (DBA)

I examine the co-variance between tri-party repurchase agreement (repo) spreads and proxies for collateral values and counterparty risk. Since the Global Financial Crisis of 2008 (GFC), the Federal Reserve (Fed) has taken measures to mitigate repo market instability. These measures have collectively placed the Fed astride repo markets as ongoing borrower, lender and purchaser of US Treasury and Agency securities. By analyzing the relationships between repo spreads, the US 10-year yield and the TED spread, I assess the effectiveness of Fed measures to mitigate repo market instability. Using multiple breakpoint Bai-Perron regression and Markov Switching tests, I find that these …