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Essays On Inequality And Macroeconomic Stability, Thomas Hauner 2017 The Graduate Center, City University of New York

Essays On Inequality And Macroeconomic Stability, Thomas Hauner

All Graduate Works by Year: Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters. . .

Chapter 1: Aggregate Wealth and Its Distribution as Determinants of Financial Crises: Panel Evidence This essay investigates the relationship between wealth inequality and financial crises across a panel of nine advanced economies over the past 100 years. While substantiation of a role for income inequality is ambiguous in the literature, evidence is presented suggesting a unique capacity for the accumulation of assets to increase the likelihood of a future financial crisis episode. Testing long-run panel data with a reduced form, two-way fixed effects model, estimates suggest that increasing wealth inequality, in an economy with ...


Essays In Financial Development And Income Inequality, Samuel M. Jung 2017 The Graduate Center, City University of New York

Essays In Financial Development And Income Inequality, Samuel M. Jung

All Graduate Works by Year: Dissertations, Theses, and Capstone Projects

This dissertation consists of three essays of original research. Chapter 1 is a survey of the literature on the theoretical and empirical interactions among financial development, economic growth, and income inequality.

Chapter 2 describes empirical research on the relationship between financial development and income inequality based on Generalized Method of Moments (GMM) method using a Chinese provincial dataset between 1998 and 2014. The empirical findings support the notion that well-developed financial markets increase income inequality in China. After adding a year dummy for 2001 to examine the impact of China’s entry into the World Trade Organization, which caused the ...


Credit Risk And Corporate Governance, Olivier Mugisho Mudekereza 2017 CUNY Hunter College

Credit Risk And Corporate Governance, Olivier Mugisho Mudekereza

School of Arts & Sciences Theses

Is the executive’s compensation structure influenced by the credit rating assigned to his company? I analyze a panel of U.S. public firms using the random-effects and fixed-effects estimations. Compared to firms with lower credit risk, I find that firms facing higher probability of default provide more incentives for their CEOs.


Twin Momentum, Dashan HUANG, Huacheng ZHANG, Guofu ZHOU 2017 Singapore Management University

Twin Momentum, Dashan Huang, Huacheng Zhang, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

Using both the levels and the time-series trends of a collection of firms' major fundamentals, we find that fundamentals matter after all: they can also generate strong return momentum. A fundamental momentum strategy that goes long stocks with fundamental in the top quintile and short stocks with fundamental in the bottom quintile earns a monthly average return of 88 bps, and is comparable with the popular price momentum but has little correlation. Combining price momentum and fundamental momentum yields a twin momentum, which has an average return more than the sum of both price momentum and fundamental momentum. Twin momentum ...


Hedge Fund Performance And Derivative Hedging, Yongjia Li 2017 University of Arkansas, Fayetteville

Hedge Fund Performance And Derivative Hedging, Yongjia Li

Theses and Dissertations

This dissertation is comprised of three essays which focus on hedge fund performance and derivative hedging. The first essay uses ETF returns as proxies for tradable risk factors in hedge fund performance evaluation and identifies contemporaneously relevant risk factors from the entire universe of ETFs. The model provides more informative estimates of alpha and beta coefficients for predicting hedge fund out-of-sample performance compared with other widely used hedge fund factor models. Portfolios of top alpha hedge funds selected by the model generate statistically significant out-of-sample performance that is substantially higher compared with portfolios selected by other models. In addition, the ...


Essays On Transportation Cost, Social Security Retirement Income And Housing Market, Naqun HUANG 2017 Singapore Management University

Essays On Transportation Cost, Social Security Retirement Income And Housing Market, Naqun Huang

Dissertations and Theses Collection

This dissertation comprises three papers that study how transportation cost affect price distribution across a city, how home equity affects the timing of pension withdrawal, and potential implications of macroprudential policies on the price informativeness. Specifically, the first paper examines how a change in the cost of car ownership affects housing price gradient with respect to distance from the central business district (CBD) in Singapore. The second paper investigates how household home equity affect the timing of claiming Social Security Retirement Income (SSRI) in the United States. The third paper explores how countercyclical policies in Singapore real estate market affect ...


The Relative Importance Of Macroeconomic Shocks, Regional Shocks And Idiosyncratic Risk On Large And Small Banks, Jack R. Fischer, Joseph E. McPhail, Nathan Rodriguez, Peter Orazem 2017 Iowa State University

The Relative Importance Of Macroeconomic Shocks, Regional Shocks And Idiosyncratic Risk On Large And Small Banks, Jack R. Fischer, Joseph E. Mcphail, Nathan Rodriguez, Peter Orazem

Peter F. Orazem

Mandatory stress testing has been acclaimed by banking regulators as a key response to preventing future financial crises. Each year banks in the United States with over $50 Billion in assets must perform a Comprehensive Capital Analysis and Review (CCAR) . Banks with over $10 Billion are subject to Dodd-Frank Act Stress Testing (DFAST). This study examne the relative importance of international or national macroeconomic shocks, state-level shocks, and idiosyncratic shocks on mortgage rate charge-offs for the universe of all banks for the 2002-2014 period. We find tha banks with over $10 billion in assets have charge-off rates that are very ...


Cross-Listed Securities And Multiple Exchange Memberships, Marta Faias, Jaime Luque 2017 Universidade Nova de Lisboa

Cross-Listed Securities And Multiple Exchange Memberships, Marta Faias, Jaime Luque

Jaime Luque

The previous literature on general equilibrium has assumed that all traders belong to a single market. However, traders often participate in more than one exchange to diversify their portfolios. Moreover, there is evidence that the security listings of exchanges overlap. Our model captures these facts: there are multiple exchanges, the same security is listed in different exchanges, and traders can belong to more than one exchange. We show that, in the presence of convex transaction costs, there exists an equilibrium, and that individual demand is a continuously differentiable function in prices.


Cross-Border Residential Mortgage Lending: Theory And Evidence From The European Sovereign Debt Crisis, Jaime Luque 2017 University of Wisconsin - Madison

Cross-Border Residential Mortgage Lending: Theory And Evidence From The European Sovereign Debt Crisis, Jaime Luque

Jaime Luque

We examine bank strategies to rebalance residential mortgage portfolios toward other geographical regions in the context of the European sovereign debt crisis. For banks in Greece, Ireland, Cyprus, Italy, Portugal, and Spain (GICIPS), we find evidence of flight-to-quality if banks were undercapitalized and had high funding cost, and evidence of risky-lending if banks were undercapitalized but without funding problems. For banks in core safe European countries, we find evidence of flight-to-quality among banks with high capital ratios, and risky-lending among banks with low funding cost. We rationalize these empirical results with a general equilibrium model of cross-border mortgage lending.


Return Comovement, David C. Parsley, Helen Popper 2017 Santa Clara University

Return Comovement, David C. Parsley, Helen Popper

David C. Parsley

We examine intra-market return comovement within each of 33 economies’ stock exchanges from 1995 through 2013 using a model-free comovement gauge. We find that the stability of international macroeconomic trilemma policies, the number of crises, and the extent of turnover overshadow the empirical relevance of many variables previously thought to be important for intra-market comovement, including country risk, corruption, and investor protections. We also use a much longer historical sample of U.S. firms to examine compositional explanations of the well-known U.S. comovement decline and to decompose the comovement into trend and cycle. Our findings challenge the compositional explanations ...


The Relative Importance Of Macroeconomic Shocks, Regional Shocks And Idiosyncratic Risk On Large And Small Banks, Jack R. Fischer, Joseph E. McPhail, Nathan Rodrigues, Peter Orazem 2017 Iowa State University

The Relative Importance Of Macroeconomic Shocks, Regional Shocks And Idiosyncratic Risk On Large And Small Banks, Jack R. Fischer, Joseph E. Mcphail, Nathan Rodrigues, Peter Orazem

Economics Working Papers

Mandatory stress testing has been acclaimed by banking regulators as a key response to preventing future financial crises. Each year banks in the United States with over $50 Billion in assets must perform a Comprehensive Capital Analysis and Review (CCAR) . Banks with over $10 Billion are subject to Dodd-Frank Act Stress Testing (DFAST). This study examne the relative importance of international or national macroeconomic shocks, state-level shocks, and idiosyncratic shocks on mortgage rate charge-offs for the universe of all banks for the 2002-2014 period. We find tha banks with over $10 billion in assets have charge-off rates that are very ...


Financial Development And Financial Liberalization In Asia: Thresholds, Institutions And The Sequence Of Liberalization, Hiro Ito 2017 Portland State University

Financial Development And Financial Liberalization In Asia: Thresholds, Institutions And The Sequence Of Liberalization, Hiro Ito

Hiro (Hiroyuki) Ito

I investigate whether financial openness leads to financial development after controlling for the level of legal/institutional development, and whether trade opening is a precondition for financial opening, focusing on Asia. Utilizing a panel encompassing 87 less developed countries over the period 1980 to 2000, I find that a higher level of financial openness spurs equity market development only if a threshold level of legal development has been attained, a condition prevalent particularly among emerging market Asian countries. On the issue of sequencing, trade openness is found to be a prerequisite for successful inducement of financial development via capital account ...


Global Current Account Imbalances: American Fiscal Policy Versus East Asian Savings, Menzie David Chinn, Hiro Ito 2017 University of Wisconsin-Madison

Global Current Account Imbalances: American Fiscal Policy Versus East Asian Savings, Menzie David Chinn, Hiro Ito

Hiro (Hiroyuki) Ito

We consider the origins of global current account imbalances. We first discuss how the expansion of the US current account deficit and the decrease in global real interest rates can be reconciled with the widespread view that American expansionary fiscal policy is partly the source of current trends. We then investigate empirically the medium-term determinants of the current account using a model that controls for factors related to institutional development. In addition to the conventional macroeconomic factors, we examine a series of environmental factors, including the degree of financial openness and the extent of legal development. We find that for ...


East Asia And Global Imbalances: Saving, Investment, And Financial Development, Hiro Ito, Menzie David Chinn 2017 Portland State University

East Asia And Global Imbalances: Saving, Investment, And Financial Development, Hiro Ito, Menzie David Chinn

Hiro (Hiroyuki) Ito

We investigate the role of budget balances, financial development and openness, in the evolution of global imbalances. Financial development – or the lack thereof – has received considerable attention as a possible contributing factor to the development of persistent and expanding current account imbalances. Several observers have argued that the depth and sophistication of US capital markets have caused capital to flow from relatively underdeveloped East Asian financial markets. In this paper, we extend our previous work by examining the effect of different types and aspects of financial development. Our cross-country analysis, encompassing a sample of 19 industrialized countries and 70 developing ...


The Emerging Global Financial Architecture: Tracing And Evaluating New Patterns Of The Trilemma Configuration, Joshua Aizenman, Menzie David Chinn, Hiro Ito 2017 University of California, Santa Cruz

The Emerging Global Financial Architecture: Tracing And Evaluating New Patterns Of The Trilemma Configuration, Joshua Aizenman, Menzie David Chinn, Hiro Ito

Hiro (Hiroyuki) Ito

This paper investigates how the trilemma policy mix affects economic performance in developing countries. We find that greater monetary independence can dampen output volatility, while greater exchange rate stability is associated with greater output volatility, which can be mitigated by reserve accumulation; greater monetary autonomy is associated with higher inflation, while greater exchange rate stability and greater financial openness is linked with lower inflation; pursuit of exchange rate stability can increase output volatility when financial development is at an intermediate stage. Greater financial openness, when accompanied by a high level of financial development, reduces output volatility.


A Forensic Analysis Of Global Imbalances, Menzie David Chinn, Barry Eichengreen, Hiro Ito 2017 University of Wisconsin-Madison

A Forensic Analysis Of Global Imbalances, Menzie David Chinn, Barry Eichengreen, Hiro Ito

Hiro (Hiroyuki) Ito

We examine whether the behavior of current account balances changed in the years preceding the global crisis of 2008-09, and assess the prospects for global imbalances in the post-crisis period. Changes in the budget balance are an important factor affecting current account balances for deficit countries such as the U.S. and the U.K. The effect of the “saving glut variables” on current account balances has been relatively stable for emerging market countries, suggesting that those factors cannot explain the bulk of their recent current account movements. We also find the 2006-08 period to constitute a structural break for ...


Regulating Robo Advisors: Old Policy Goals, New Challenges, Tom Baker, Benedict Dellaert 2017 University of Pennsylvania Law School

Regulating Robo Advisors: Old Policy Goals, New Challenges, Tom Baker, Benedict Dellaert

Penn Wharton Public Policy Initiative

Financial “robo advice”—an automated service that ranks or matches consumers to financial products—has gained significant attention in the investment industry and on the Hill, but there has not yet been a consensus on how to regulate these new services. Robo advisors often are on par with and can exceed the standards of human advices, but they don’t fit into the category of fiduciary, and therefore won’t be held to the same regulatory standard that humans advisors are. Nonetheless, they are subject to systemic risks and the potential for abuses that can hurt consumers. Professors Tom Baker ...


Forecasting Stock Returns In Good And Bad Times: The Role Of Market States, Dashan HUANG, Fuwei JIANG, Jun TU, Guofu ZHOU 2017 Singapore Management University

Forecasting Stock Returns In Good And Bad Times: The Role Of Market States, Dashan Huang, Fuwei Jiang, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample R-squares are 0.96% and 1.72% in good and bad times, or 1.28% and 1.41% in NBER economic expansions and recessions, respectively. The TMR predictability pattern holds in the cross-section of U.S. stocks and the international markets. Our study shows that the absence of return predictability in good times, an important finding of recent ...


Mexico Consensus Economic Forecast, Volume 20, Number 3, Thomas M. Fullerton Jr., Adam G. Walke 2017 University of Texas at El Paso

Mexico Consensus Economic Forecast, Volume 20, Number 3, Thomas M. Fullerton Jr., Adam G. Walke

Border Region Modeling Project

No abstract provided.


A Study Of The Factors That Influence Consumer Attitudes Toward Beef Products Using The Conjoint Market Analysis Tool, Brian E. Mennecke, Anthony M. Townsend, Dermot J. Hayes, Steven M. Lonergan 2017 Iowa State University

A Study Of The Factors That Influence Consumer Attitudes Toward Beef Products Using The Conjoint Market Analysis Tool, Brian E. Mennecke, Anthony M. Townsend, Dermot J. Hayes, Steven M. Lonergan

Steven M. Lonergan

This study utilizes an analysis technique commonly used in marketing, the conjoint method, to examine the relative utilities of a set of beef steak characteristics considered by a national sample of 1,432 U.S. consumers, as well as additional localized samples representing undergraduate students at a business college and in an animal science department. The analyses indicate that among all respondents, region of origin is by far the most important characteristic; this is followed by animal breed, traceability, the animal feed used, and beef quality. Alternatively, the cost of cut, farm ownership, the non-use of growth promoters, and whether ...


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