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Articles 1 - 10 of 10
Full-Text Articles in Economic Theory
Three Essays On Macroeconomic Implications Of Contemporary Financial Intermediation, Hyun Woong Park
Three Essays On Macroeconomic Implications Of Contemporary Financial Intermediation, Hyun Woong Park
Doctoral Dissertations
This dissertation contributes to the growing literature on macroeconomic models with a financial intermediary sector. The first two chapters use the circuit of capital modeling methodology to study the relation between growth and profitability in capitalist economy where credit is essential, and the third uses a more standard macrodynamic model to investigate how securitized banking, which relies on short-term collateralized borrowing, as opposed to traditional commercial banking, generates procyclical bank leverage, which in turn leads to supply-led fluctuation in credits and ultimately to a boom-bust cycle of asset prices. In chapter 1, I extend the baseline model of circuit of …
Optimal Taxation And Debt With Uninsurable Risks To Human Capital Accumulation, Piero Gottardi, Atsushi Kajii, Tomoyuki Nakajima
Optimal Taxation And Debt With Uninsurable Risks To Human Capital Accumulation, Piero Gottardi, Atsushi Kajii, Tomoyuki Nakajima
Research Collection School Of Economics
We consider an economy where individuals face uninsurable risks to their human capital accumulation and analyze the optimal level of linear taxes on capital and labor income together with the optimal path of government debt. We show that in the presence of such risks, it is beneficial to tax both labor and capital and to issue public debt. We also assess the quantitative importance of these findings, and show that the benefits of government debt and capital taxes both increase with the magnitude of idiosyncratic risks and the degree of relative risk aversion.
Wealth Inequality And Financial Development: Revisiting The Symmetry Breaking Mechanism, Haiping Zhang
Wealth Inequality And Financial Development: Revisiting The Symmetry Breaking Mechanism, Haiping Zhang
Research Collection School Of Economics
No abstract provided.
How Does The Stock Market Value The Renewable Energy Sector: A Public Announcement Analysis And Test Of The Efficient Market Hypothesis, Jack Crampton
How Does The Stock Market Value The Renewable Energy Sector: A Public Announcement Analysis And Test Of The Efficient Market Hypothesis, Jack Crampton
Journal of Environmental and Resource Economics at Colby
This study analyzes the market reaction to public announcements in the stock market. The efficient market hypothesis is put to test and similar studies are reexamined in the context of the renewable energy sector. Through fixed effects models, we can assess the validity to the efficient market hypothesis and assess how the market values the clean energy sector.
Information Propagation In Financial Markets, Garrett A. Mcbrayer
Information Propagation In Financial Markets, Garrett A. Mcbrayer
Graduate Theses and Dissertations
This dissertation consists of three essays which examine information flows through financial markets and across firms, and investigates the factors affecting the process of information dissemination. The first essay examines whether the announcement of a credit rating change for a given firm contains information pertinent to the valuations of intra-industry peer firms. I identify an information spillover effect on peer firms surrounding credit rating downgrades. Further, I find that the post-announcement spillover effects are indicative of an overreaction in the market’s response to the downgrade announcement. Peer firms exhibit predictability in their post-announcement returns as a function of their relative …
The Effects Of Quantitative Easing In The United States: Implications For Future Central Bank Policy Makers, Matthew Q. Rubino
The Effects Of Quantitative Easing In The United States: Implications For Future Central Bank Policy Makers, Matthew Q. Rubino
Senior Honors Projects, 2010-2019
The purpose of this thesis is to examine the effects of the Federal Reserve’s recent bond buying programs, specifically Quantitative Easing 1, Quantitative Easing 2, Operation Twist (or the Fed’s Maturity Extension Program), and Quantitative Easing 3. In this study, I provide a picture of the economic landscape leading up to the deployment of the programs, an overview of quantitative easing including each program’s respective objectives, and how and why the Fed decided to implement the programs. Using empirical analysis, I measure each program’s effectiveness by applying four models including a yield curve model, an inflation model, a money supply …
Theory And Experiments Exploring Behavioral, Financial, And Public Economics, Matthew John Mcmahon
Theory And Experiments Exploring Behavioral, Financial, And Public Economics, Matthew John Mcmahon
Doctoral Dissertations
I study three questions which relate to one another only in that each explores facets of economics. First, I theoretically examine the conditions under which introducing an impure public good decreases total public provision. I introduce a central planner who can tax the private good to correct this and identify the market characteristics that typify this scenario. Second, I test the two standard competing dividend puzzle hypotheses using a laboratory experiment. Evidence from the lab, including variables unobservable in the field, reinforces empirical work supporting the outcome model over the substitute. Last, I obscure from dictators information regarding recipients' income …
Analyzing Options Market Toxicity And The Black-Scholes Formula In The Presence Of Jump Diffusion As Simulated With Agent-Based Modeling, William D. Elliott
Analyzing Options Market Toxicity And The Black-Scholes Formula In The Presence Of Jump Diffusion As Simulated With Agent-Based Modeling, William D. Elliott
Undergraduate Economic Review
This paper presents new and significant research on the Black-Scholes Formula using the agent-based modeling software NetLogo. The software was used to simulate an options market subject to jump diffusion. Since the widely-used Black-Scholes Formula has at times proven unreliable, this research sought to understand circumstances that render the formula ineffective. It was hypothesized that markets would become difficult to trade in or “toxic” at low price volatility but high jump volatility. Further, it was predicted that kurtosis would alert the presence of toxic markets by accurately and consistently conveying whether jump diffusion was present.
Nominal Gdp Targeting: A Policy Recommendation To Meet The Fed’S Dual Mandate, R. Shaw Bridges
Nominal Gdp Targeting: A Policy Recommendation To Meet The Fed’S Dual Mandate, R. Shaw Bridges
Gettysburg Economic Review
This paper was written in early December 2014 in response to the Federal Reserve Challenge Team’s argument for a regime change in the Federal Reserve to nominal GDP targeting as the appropriate policy to return the U.S. economy to long-term sustainable economic growth. After the 2007 recession, the FOMC took extraordinary measures to minimize the collateral damage caused by bank balance sheets weighed down with mortgage-backed securities and other below-investment grade assets. The periodic “stress tests” and use of emergency lending facilities were historically unprecedented, however, the economy six years later was still growing slowly in part due to market …
Tick Size Constraints, Two-Sided Markets, And Competition Between Stock Exchanges, Yong Chao, Chen Yao, Mao Ye
Tick Size Constraints, Two-Sided Markets, And Competition Between Stock Exchanges, Yong Chao, Chen Yao, Mao Ye
Yong Chao
We investigate competition between stock exchanges that choose the number of trading platforms to establish and the fee structure on each platform. U.S. exchanges compete for order flow by setting “make” fees for limit orders and “take” fees for market orders. When traders can quote continuous prices, the manner in which exchanges divide the total fee between makers and takers is irrelevant, because traders can choose prices that perfectly counteract any division of the fee. In such a case, order flow will simply consolidate to the platform with the lowest total fee. The one-cent minimum tick size constraints imposed by …