Social and Behavioral Sciences Commons^™

Evaluating The Impact Of Bitcoin On International Asset Allocation Using Mean-Variance, Conditional Value-At-Risk (Cvar), And Markov Regime Switching Approaches, Mohammadreza Mahmoudi

Graduate Research Theses & Dissertations

This paper aims to analyze the effect of Bitcoin on portfolio optimization using mean-variance, conditional value-at-risk (CVaR), and Markov regime switching approaches. I assessed each approach and developed the next based on the prior approach’s weaknesses until I ended with a high level of confidence in the final approach. Though the results of mean-variance and CVaR frameworks indicate that Bitcoin improves the diversification of a well-diversified international portfolio, they assume that assets’ returns are developed linearly and normally distributed. However, the Bitcoin return does not have both of these characteristics. Due to this, I developed a Markov regime switching approach …

The Impact Of Credit On Domestic Investment: Case Of West African Economic And Monetary Union Countries, Sylvie Sanou

Graduate Research Theses & Dissertations

This thesis evaluates the impact of credit offered by the banking system on the investment rate of seven West African countries that are members of the West African Economic and Monetary Union (WAEMU) countries using data from the World Bank dataset from 1996-2012. Using a fixed effect model and random intercept model, I find that the credit offered by the banking system to private investors has a positive and statistically significant effect on the investment rate. In contrast, no significant effect was found for the credit offered by the banking system to the government. Further, I find a negative relationship …

Three Essays On The Effects Of Parental Income And Labor Supply On Child Health And Labor Market Outcomes., Kassahun Mamo Geleta

Graduate Research Theses & Dissertations

This dissertation constitutes three separate essays on labor and health economics using the Panel Study of Income Dynamics (PSID) dataset. The first essay examines the long-run effect of childhood poverty on labor market outcomes using propensity score matching (PSM) and average causal mediation effect (ACME) methods. The results show that persistent childhood poverty significantly decreases average annual labor income and hours worked, whereas it increases the number of weeks unemployed per annum during adulthood. The study also shows that a significant portion of the total effect of childhood poverty on labor market outcomes passes indirectly through its negative effect on …

China’S "Greek Gift" To Africa: A Myth Or Reality, Chibuzo Uchechukwu Victor Obasi

Graduate Research Theses & Dissertations

Two differing perceptions have dominated explanations of the relationship between China and Africa. The first is often held in the West and sees China as an exploitative force that has latched onto Africa's quest for development partnerships to exploit the continent economically. The second considers the China-Africa partnership more positively and views China as a trustworthy ally. Advocates argue that China has no history of colonial ambitions in Africa. Instead, China intervened in Africa to fill the financing gap and tackle the development challenges in Africa with no political strings attached. Perception of which view is mainly correct depends on …

Enhanced Maximum Likelihood Models For Underreported Variables: Extending To Multiple Claims Dimension, Shalaka Sudhanshu Sarpotdar

Graduate Research Theses & Dissertations

This thesis builds upon the foundations laid out in Xia et al. [2023], which explored the utilizationof Maximum Likelihood approach to model misrepresentation data in Generalized Linear Models (GLM) ratemaking models. We introduce the concept of “underreported variables”, a form of insurance misrepresentation where insured individuals provide inaccurate information about risk factors that influence insurance eligibility, premiums, and insured amounts. Unlike fraudulent misrepresentation, underreported variables arise from a lack of awareness regarding the insured’s mental and physical health conditions, rather than fraudulent intent. The study rigorously tests the proposed model using health insurance data and extends its applicability to other …

Essays On Parental Migration In China And Performance Of Two Asset Pricing Models, Yuqing Song

Graduate Research Theses & Dissertations

This dissertation comprises two research strands. The first strand investigates the migration choices of parents in rural China and their specific impact on children's educational outcomes. The second strand delves into the realm of financial econometrics, focusing solely on the performance of two asset pricing models on days scheduled for important macroeconomic news announcements.

The first essay places emphasis on the migration decisions of two-parent households with school-aged children. The findings affirm the hypothesis that household characteristics, rather than each parent’s personal traits, play an important role in determining parents’ migration choices.

The second essay examines the short-run effects of …

The Elusive And Complex Parabolic Relationship Between Terrorism And Gdp Per-Capita, Kianna Becker

Honors Capstones

The 21st century saw a dramatic focus on terrorism after the events of September 11, 2001. The search for an explanation for the causes of terrorism have led economists to turn to the role of GDP on terrorism. This research aims to search for a pattern in the relationship between GDP per-capita and acts of terrorism. Previous research has pointed towards both a positive and negative trend. The stark different findings in previous research attests to the various ways terrorism is measured and analyzed. Encapsulating the previous research, this research merges the two theories and aims to show there is …

The Spatial Associations Between Crime And Economy In Chicago 2015-2020, Hongtao Huang

Honors Capstones

The severity of the crime is often the most intuitive reflection of whether a region is safe and the top factor for the public when evaluating a region. Economist's list of the safest cities in seven major North American cities, Chicago was ranked at six, just above Dallas. Chicago scored the lowest in personal security, which is closely tied to the crime. Against the backdrop of higher unemployment and prices, this study is interested in how property-based crimes are related to the economic decline in Chicago geographically. The study used the heterogeneity analysis tool Geodetector to investigate the correlation between …

Grocery Sales And The Pandemic, Joy A. Salentine

Honors Capstones

The focus of this paper is to examine the impact of COVID-19 on grocery sales in the United States. My hypothesis is that periods with higher COVID-19 severity, measured through the number of COVID-19 deaths, will show higher grocery sales, all things equal, due to the increased demand during the unusual circumstances of the pandemic. Using data from the Centers for Disease Control and Prevention, the U.S Department of Agriculture, and the Bureau of Economic Analysis, I perform a regression analysis to test my hypothesis. The results confirm my hypothesis by showing that there is a positive and significant effect …

Effect Of Cash Transfer On Household Fertility Choice And Children's Human Capital Accumulation In Uganda, Shaila Ahmed

Graduate Research Theses & Dissertations

This analysis examines the effects of conditional and unconditional cash transfer on household fertility decisions and other indicators of human capital accumulation. To test my hypotheses, I rely on the UCT and CCT sub-arms of the Cash-Plus Program recently implemented in Uganda. The design of the Cash-Plus Program follows randomized control trials for intervention. My empirical findings show that the Cash-Plus Program have no discernible impact on beneficiary households' pregnancy incidence. The only effect on the primary outcomes of interest is a marginally significant effect for household heads aged 25 to 49, who received unconditional treatments. The results also show …

Three Essays Examining The Effects Of Labor Market Conditions On College Enrollment And Completion, Dezhi Jiang

Graduate Research Theses & Dissertations

This research explores the causal effects of labor market conditions on college enrollment and attainment of high school graduates and answers the following questions: Does leaving high school in unfavorable labor market conditions cause a higher probability of college enrollment? Is this effect different between gender and across racial/ethnic groups? Does this effect vary regarding cognitive ability? Does this effect change over cohorts/generations? And does the positive effect on college enrollment in the short run translate into a positive effect on college degree attainment later?

The analysis that uses the National Longitudinal Survey of Youth 1997 (NLSY97) data suggests that …

Three Essays Examining The Impact Of Paid Maternity Leave Offers On Women’S Labor Market Outcomes, Murshed Jahan

Graduate Research Theses & Dissertations

This dissertation consists of three essays on the relationship between paid maternity leave benefit offers and different labor market outcomes of women of childbearing age. The first essay examines the impact of paid maternity leave offers in fringe benefit packages on wages of this particular group of women. Since the access to paid maternity leave and wage can be simultaneously determined by other factors, this essay uses an instrumental variable approach to estimate the effect. The information on access to paid maternity leave and other covariates for this analysis is extracted from the National Longitudinal Survey of Youth 1997 (NLSY97). …

Essays On U.S. Narrative Tax Changes And Volatility In Housing Market, Masud Alam

Graduate Research Theses & Dissertations

This dissertation consists of three independent but methodologically similar chapters focusing on the impact of U.S. tax policy changes and understanding the risk-return examination of the U.S. real estate investment trusts (REIT) equity returns. The first and second chapters examine how the U.S. federal and state level economies are likely to react to narrative personal and corporate income tax changes. The third chapter investigates the responses of the U.S. real estate investment trusts (REIT) equity returns to volatility in the U.S. housing market as measured by a newly constructed risk index.

The first chapter examines the short- and long-run effects …

Three Essays In Applied Econometrics, Milivoje Davidovic

Graduate Research Theses & Dissertations

The doctoral dissertation entitled Three Essays in Applied Econometrics is based on the application of modern techniques of applied econometrics in order to infer main interrelations and causalities in various fields of quantitative economics. It includes an eclectic mix of both frequentist and Bayesian approaches, with the main goal to quantify and estimate a set of variables that significantly determine certain economic outcomes, in this case NBA efficiency scores, per capita growth rates, and Covid-19-induced risk exposure, market volatility, and cross-market integration. These topics are, at the sametime, at the core of the research interest in the following three independent …

Optimization Of Dynamic Objective Functions Using Path Integrals, Paramahansa Pramanik

Graduate Research Theses & Dissertations

Path integrals are used to find an optimal strategy for a firm under a Walrasian system. We define dynamic optimal strategies and develop an integration method to capture all non-additive non-convex strategies. We also show that the method can solve the non-linear case, for example Merton-Garman-Hamiltonian system, which the traditional Pontryagin maximum principle cannot solve in closed form. Furthermore, we assume that the strategy space and time are inseparable with respect to a contract. Under this assumption we show that the strategy spacetime is a dynamic curved Liouville-like 2-brane quantum gravity surface under asymmetric information and that traditional Euclidean geometry …

Interest On Reserves In A Partial Two-Sector Banking Model, Shawn A. Osell

Graduate Research Theses & Dissertations

The Federal Reserve implemented a new monetary tool policy as it simultaneously conducted the first round of quantitative easing in 2008. At that time, the Fed began paying interest on a commercial bank's required and excess reserves in order to prevent the federal funds rate from falling to zero. Before quantitative easing, reserves were scarce enough for the federal funds rate to be determined by the supply and the demand for reserves. Consequently, the Fed would use open market operations to manipulate the federal funds rate, and thereby influence other market interest rates. When the Federal Open Market Committee decided …

The Relevance Of Credit Risk In The Determination Of Commercial Banks’ Profitability: Evidence From Ghana, Godwin Kwabla Ekpe

Graduate Research Theses & Dissertations

Existing empirical literature on the relationship between credit risk and bank’s profitability is replete with mixed results. This research investigates the probable effect of credit risk on banks’ profitability by examining the nature of the relationship between two measures of credit risk (Loss provisioning rate and Actual provisioning charge rate) and two measures ofprofitability (Return on assets and Return on Equity). The investigation is conducted using data on the Ghanaian banking industry. Various modeling techniques are used to fit the data, including frequentist beta regression and Bayesian beta regression models. The results across all models suggest negative linear relationship between …

Pumping Fees And Spillovers In The Groundwater Commons: An Evaluation Of A Conservation Tool And Irrigator Competitive Behavior, Godwin Kwabla Ekpe

Graduate Research Theses & Dissertations

My dissertation examines the effectiveness of pumping fees in groundwater commons agricultural irrigation as a conservation tool in the presence of varying water scarcity levels and spatial interdependence among irrigators. The first chapter provides a brief overview of three important areas of groundwater commons irrigation addressed in this dissertation. The second chapter’s objectives are two-fold. First, I review the common-pool resources literature relative to concerns of sustainable extraction and implementation of conservation policies focusing on pricing incentives in the management of groundwater commons where irrigators share the same underlying aquifer. Second, I introduce a theoretical model involving incorporating a non-constant …

The Effect Of Tax Policy On Firm Behavior And Executive Pay Components, Sheikh Touhidul Haque

Graduate Research Theses & Dissertations

The first chapter of this dissertation is motivated by the cross-sectional differences in the willingness of firms to minimize tax based on their financial structure. We investigate whether ”financially constrained” firms increase tax aggressiveness compared to it’s immediate ”less constrained” condition in response to an exogenous state tax increase. We also test whether our prediction holds true for financially distressed firms. Our identification strategy exploits 43 increases in corporate income tax rates staggered across 23 U.S. states and Washington, D.C., between 1989 and 2012. Our results reveal that constrained firms (as ranked by Kaplan & Zingales (1997) index (KZ index …

Fiscal Triumvirate: Analyses Of Crowding Out From Deficit Spending, Of Domestic Migration From State Taxes, And Of The Irrelevance Of Credit Ratings On Municipal Debt Yields, Erwin John Antoni Iii

Graduate Research Theses & Dissertations

The crowding out theory originally predicted substantially large effects from government activity in a market, including the impact of deficit spending on the price of loanable funds, namely, interest rates. Initial empirical testing in the twentieth century showed these effects to be quite small but consistent, while later testing suggested that the theory was wrong entirely and that a phenomenon of “crowding in” is observed during periods of large deficit spending by governments. This dissertation contributes to the existing literature by accounting for the supply side of the loanable funds market. Incorporation of a measure of global savings saves the …

Exact Replication Of The Best Rebalancing Rule In Hindsight, Alex Garivaltis

Faculty Peer-Reviewed Publications

This paper prices and replicates the financial derivative whose payoff at T is the wealth that would have accrued to a $1 deposit into the best continuously-rebalanced portfolio (or fixed-fraction betting scheme) determined in hindsight. For the single-stock Black-Scholes market, Ordentlich and Cover (1998) only priced this derivative at time-0, giving C0=1+s*sqrt[T/(2*p)]. Of course, the general time-t price is not equal to 1+s*sqrt[T/(2p)]. I complete the Ordentlich-Cover (1998) analysis by deriving the price at any time t. By contrast, I also study the more natural case of the best levered rebalancing rule in hindsight. This yields C(S,t)=sqrt(T/t)*exp[r*t+s^2*b(S,t)^2*t/2], where b(S,t) is …

Migration And Remittances, Seyedsoroosh Azizi

Graduate Research Theses & Dissertations

My dissertation focuses on three topics: motivations behind remittances, cyclicality of remittances, and the impacts of remittances on human capital and labor supply in developing countries.

In the first chapter, I introduce the three topics. In the second chapter, I examine the primary incentives of remitting. Using estimated bilateral data on remittances, this chapter demonstrates that a rise in the remittance-receiving countries' GNI per capita leads to fewer remittances and that a rise in the host remittance-sending countries' GNI per capita motivates migrants to remit more. Real exchange rates and real interest rates have no effect on remittances. These results …

A Review Of Reasons For Failure In Applying Machine Learning To Financial Trading And An Experiment Investigating Combinatorial Purged Cross Validation’S Merit In Preventing The Most Prominent Of These Reasons, Multiple Testing Bias, Colin Fritz

Graduate Research Theses & Dissertations

The interest in applying machine learning to financial trading in the hedge fund industry has exploded in the last five years due to the massive success of a handful of ‘quantitative’ investment firms like Renaissance Technologies who has pioneered the use of machine learning techniques in investment since the 1980s. The failure rate of such firms attempting to deploy financial machine learning strategies is very high. This thesis reviews many of the causes for failure such as harmful correlations between examples in the dataset, redundant observations, improper data sampling paradigm, and multiple testing bias. Of these, multiple testing bias is …

Factors Affecting Superfund Hazardous Waste Site Cleanups, Leili Solatyavari

Graduate Research Theses & Dissertations

My dissertation focuses on assessing environmental equity in neighborhoods hosting hazardous waste lands known as Superfund sites. I define environmental equity as equal and timely removal of Superfund sites regardless of the demographic profile of hosting communities. In the first chapter, I introduce the Superfund program and various steps that need to be taken by the EPA in order to remove a hazardous site from a neighborhood. The second chapter discusses theoretical frameworks that motivate the empirical analysis by visualizing the Superfund enforcement and cleanup process.

The third chapter objectives are twofold. First, I investigate the factors that may affect …

Effects Of Tax Increment Financing On School Finance And Local Economic Development, Chaoran He

Graduate Research Theses & Dissertations

Tax Increment Financing (TIF) is a legislatively enacted economic tool that has been widely employed by local governments to promote economic growth. The motivation of this dissertation stems from a critical premise on the designation of TIF districts—the “but for” clause. State legislatures require that TIF initiators must demonstrate the subsidized development in candidate areas would not occur “but for” the subsidy. Such a requirement is inherently counterfactual in nature, which leads to a series of controversies on the fiscal status of overlapping taxing entities and the measurements of local economic development.

This dissertation separately investigates the effects of TIF …

The U.S. Corporate Tax Debate, Md Rafi Hossain

Graduate Research Theses & Dissertations

My dissertation comprises of three essays in the field of public economics. The first essay investigates the employment effects of corporate taxation at the industry level; Specifically, do corporate taxes affect employment rates at the industry level and are the effects consistent across industries? This paper uses an identification strategy that exploits variation in corporate income tax rates across U.S. states and tries to understand how they impact industry employment at the county level with contiguous counties straddling state borders acting as controls. The results show that any change in the corporate tax rate affect the employment rate in goods …

Immigration Policy In The United States, Yanjun Liu

Graduate Research Theses & Dissertations

This dissertation contains three essays on the impact of immigration, especially high-skilled immigration in the United States. The first essay addresses the question of whether the effect of the Great Recession on unemployment of immigrants in the United States has been different from the impact on the unemployment of natives. Significant differences are identified when immigrants and natives with different levels of education are treated as separate groups. For a native-born citizen, a higher level of education is associated with shorter unemployment duration. But for an immigrant, the higher the level of education he or she obtains, the longer his …

Minimum Dropout Age And Juvenile Crime In The United States, Md. Abdur Rahman Forhad

Graduate Research Theses & Dissertations

My dissertation examines how an increased minimum dropout age (MDA) affects juvenile crime not only in the community, but also in school. I first empirically estimate the magnitude of the impact of a higher MDA on high school enrollment. I then develop an economic model of crime that explains the relationship between an MDA and contemporaneous juvenile crime and empirically examine how a higher MDA affects juvenile crime both in the community and in school. I find that raising the MDA from 16 to 18 significantly increases school enrollment by 2.57%. Next, I find that raising the MDA to an …