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Full-Text Articles in Social and Behavioral Sciences
Three Essays On International Financial And Monetary Interactions, Kemal Burak Bekircan
Three Essays On International Financial And Monetary Interactions, Kemal Burak Bekircan
Dissertations
This dissertation develops three essays on safe haven currency behavior and international monetary interactions.
Essay one notes the dramatic appreciation of the U.S. dollar vis-à-vis all world currencies, along with its reversal after a year on the account of the Great Recession. This paper investigates bilateral U.S. dollar exchange rate movements during and in the aftermath of the Great Recession. I find that increasing global market uncertainty has a significant and consistent effect in strengthening of the U.S. dollar. This striking finding suggests flight-to-safety phenomenon of foreign investors, and repatriation of capital flows to the United States by the U.S. …
Three Essays On Asset Price Bubbles, Frank Ofori-Acheampong
Three Essays On Asset Price Bubbles, Frank Ofori-Acheampong
Dissertations
This dissertation examines various issues associated with asset price bubbles. In the first essay, a Markov regime-switching model with time-varying transition probabilities is developed to identify asset price bubbles in the S&P 500 Index. The model nests two different methodologies; a state-dependent regime-switching model and a Markov regime-switching model. Three bubble regimes are identified; dormant, explosive, and collapsing. Time-varying transition probabilities are specified for each of the nine possible transitions in the Markov regime-switching model. Estimation of the model is done using conditional maximum likelihood with the Hamilton filter. Results show that transition probabilities depend significantly on trading volume and …