Economics Commons^™

Nigeria's Experience With Monetary Sterilisation (2000-2016)., Moses K. Tule, Usman M. Okpanachi, Imam S. Z., Afiemo O. O.

Bullion

This study attempts to estimate the extent of sterilisation undertaken by the Central Bank of Nigeria (CBN) during the period from 2000 to 2016. The approach used in this study involved construction of a monetary sterilisation index by measuring the rate of change in domestic asset (net) with respect to the change in foreign asset (net). The index expands the menu of available indicators which may be considered by monetary policy makers in in evaluating policy response to changing economic conditions. The paper after its introduction reviews the literature on monetary sterilization is aimed at ensuring that the balance sheet …

Three Essays On The European Sovereign Debt Crisis With A Special Focus On Greece, Flora Leventi

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters where I examine several aspects of the European sovereign debt crisis. The first chapter focuses on systemic risk. Following the financial crisis of 2007-08, both in academic as well as policy circles, much of the research has focused toward the systemic importance of financial institutions. Parallel to that research, but to somewhat lesser extent, there have been improvements in our understanding of how risk is transmitted from the financial system to the real economy. This chapter investigates a related yet distinct manifestation of systemic risk, namely systemic sovereign risk. Using data on sovereign credit …

The Impact Of Oil Shocks On The Housing Market: Evidence From Canada And U.S., Robert N. Killins, Peter V. Egly, Diego Escobari

School of Economics and Finance Faculty Publications

The recent volatility in oil energy markets invites us to re-assess the impact of oil prices changes on the macroeconomic environment. The Great Recession of 2007–2009 led to closer monitoring of global housing markets by regulators and market participants. Employing a structural vector autoregressive model, we find that the reaction of housing markets to oil price shocks varies significantly depending on whether the change in oil prices is prompted by demand or supply shocks in the oil market and on country oil trading status (i.e. net importer or net exporter). Our results are robust to the inclusion of different macroeconomic …

Airport, Airline And Departure Time Choice And Substitution Patterns: An Empirical Analysis, Diego Escobari

School of Economics and Finance Faculty Publications

This paper uses the random-coefficients logit methodology that controls for potential endogeneity of prices and allows for general substitution patterns to estimate various demand systems. The estimation takes advantage of an original ticket-level revealed preference data set on travels from the New York City area to Toronto that contains prices and characteristics of not only flight choices but also of all non-booked alternative flights. Consistent with having higher valuations, our results show that travelers buying closer to departure have a higher utility of flying. Moreover, consumers’ heterogeneity decreases as the flight date nears. At the carrier level, we identify which …

Surplus Consumption, Habit Utility And Moody Investors, Jun Lou

Dissertations, Theses, and Capstone Projects

The thesis examines a blend of Asset Pricing topics: joint stock-bond pricing, consumption-based asset pricing puzzles, time variation in risk preference, among others. In chapter one, I first review the literature on respective topics in search of a consolidated framework of resolution. I then propose one, a consumption-based affine model that jointly prices bond and stock in closed form. The tractable feature of the price solutions remains standard as in affine termstructure of interest rates, but presents novelty for the stock prices. In chapter two, I discuss the GMM based procedures for model estimation. In chapter three, I interpret the …

Bubble Testing Under Deterministic Trends, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This paper develops the asymptotic theory of the ordinary least squares estimator of the autoregressive (AR) coefficient in various AR models, when data is generated from trend-stationary models in different forms. It is shown that, depending on how the autoregression is specified, the commonly used right-tailed unit root tests may tend to reject the null hypothesis of unit root in favor of the explosive alternative. A new procedure to implement the right-tailed unit root tests is proposed. It is shown that when the data generating process is trend-stationary, the test statistics based on the proposed procedure cannot find evidence of …

Endogeneity In Panel Stochastic Frontier Models: An Application To The Japanese Cotton Spinning Industry, Mustafa U. Karakaplan, Levent Kutlu

School of Economics and Finance Faculty Publications

We present a panel stochastic frontier model that handles the endogeneity problem. This model can treat the endogeneity of both frontier and inefficiency variables. We apply our method to examine the technical efficiency of Japanese cotton spinning industry. Our results indicate that market concentration is endogenous, and when its endogeneity is properly handled, it has a larger negative impact on the technical efficiency of cotton spinning plants. We find that the exogenous model substantially overestimates efficiency in concentrated markets.

Credit Risk And Corporate Governance, Olivier Mugisho Mudekereza

Theses and Dissertations

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.

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 …

Hedge Fund Performance And Derivative Hedging, Yongjia Li

Graduate 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 …

A Cross-Sectional Exploration Of Household Financial Reactions And Homebuyer Awareness Of Registered Sex Offenders In A Rural, Suburban, And Urban County., John Charles Navarro

Electronic Theses and Dissertations

As stigmatized persons, registered sex offenders betoken instability in communities. Depressed home sale values are associated with the presence of registered sex offenders even though the public is largely unaware of the presence of registered sex offenders. Using a spatial multilevel approach, the current study examines the role registered sex offenders influence sale values of homes sold in 2015 for three U.S. counties (rural, suburban, and urban) located in Illinois and Kentucky within the social disorganization framework. Homebuyers were surveyed to examine whether awareness of local registered sex offenders and the homebuyer’s community type operate as moderators between home selling …

Numerical Methods For Option Pricing Under The Two-Factor Models, Jiacheng Cai

UNLV Theses, Dissertations, Professional Papers, and Capstones

Pricing options under multi-factor models are challenging and important problems for financial applications. In particular, the closed form solutions are not available for the American options and some European options, and the correlations between factors increase the complexity and difficulty for the formulations and implements of the numerical methods.

In this dissertation, we first introduce a general transformation to decouple correlated stochastic processes governed by a system of stochastic differential equations. Then we apply the transformation to the popular two-factor models: the two-asset model, the stochastic volatility model, and the stochastic interest rate models. Based on our new formulations, we …

Twin Momentum: Fundamental Trends Matter, 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 …

Effects Of Bush Tax Cut And Obama Tax Increase On Corporate Payout Policy And Stock Returns, Andre Vianna

School of Economics and Finance Faculty Publications

Abstract This article analyzes the effects of the American Taxpayer Relief Act of 2012 (Obama Tax Increase) and the Jobs and Growth Tax Relief Reconciliation Act of 2003 (Bush Tax Cut) on corporate payout decision and stock returns. Logit and fixed-effect panel data analyses are conducted on all firms listed in NYSE, Amex and NASDAQ in the announcement windows of two, three and four quarters before and after the tax reforms. The results show that the implementation of these tax reforms more persistently affects dividend payments than stock repurchases. It also has a boosting effect on stock returns in the …

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

Border Region Modeling Project

No abstract provided.

Financing Central Cities: The Economics Underlying Fiscal Strategy Options, Michael Wasylenko

Center for Policy Research

A consortium of Syracuse City and Onondaga County governments along with a number of local area non-profit organizations have recently organized a commission on Local Government Modernization for the Syracuse area. The Report makes three major recommendation to strengthen the local public sector in the Syracuse region: seek opportunities to share public services across local jurisdictions to reduce costs, adopt the Minneapolis region model for sharing revenues from new commercial and industrial development across localities, and work toward merging Syracuse City government with Onondaga County government. At the same time, current non-city residents would not have responsibility for the city …

Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik

Research Collection Lee Kong Chian School Of Business

The desire of risk-averse households to hedge rent risk is thought to increase home ownership and prices. While evidence for the ownership implication is compelling, support for the price effect is mixed. We show that an important reason is search frictions. Rent risk reduces outside options, leading to less-picky buyers and worse home/buyer matches. This attenuates the rise in the price-to-rent ratio that would otherwise occur without frictions. Consistent with our model, a house remains on the market for fewer days when rent risk is higher. Accounting for frictions significantly increases the effect of rent risk on home prices.

Hedging And Pricing Rent Risk With Search Frictions, Briana Chang, Hyunsoo Choi, Harrison Hong, Jeffrey Kubik

Research Collection Lee Kong Chian School Of Business

The desire of risk-averse households to hedge rent risk is thought to increase home ownership and prices. While evidence for the ownership implication is compelling, support for the price effect is mixed. We show that an important reason is search frictions. Rent risk reduces outside options, leading to less-picky buyers and worse home/buyer matches. This attenuates the rise in the price-to-rent ratio that would otherwise occur without frictions. Consistent with our model, a house remains on the market for fewer days when rent risk is higher. Accounting for frictions significantly increases the effect of rent risk on home prices.

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 studies, is largely driven by …

Assessing Systemic Risk In The Nigerian Interbank Money Market, M. Nakorji, P. Ekeocha, C. Nwosu, P. Obikaonu

Economic and Financial Review

The interbank market is an important platform for strengthening financial integration. It also represents a medium for risk sharing among banks through the linkages and common exposures. Exposure between banks leads to a direct asset relation through borrowing from each other at the interbank market while banks are associated indirectly through ownership and sharing of similar portfolio exposures, that connects them, through a web of transaction network. The paper analysed the systemic risk implied in the Nigerian interbank network, based on various network measures using data on individual banks' bilateral exposures. The findings showed that few banks featured prominently in …

Unofficial Dollarisation And Monetary Policy In Nigeria, Y. Adamu

Economic and Financial Review

This paper examined the impact of dollarisation on monetary policy in Nigeria, using monthly data spanning 2002 to 2016. The paper adopted the conventional IMF proxy for dollarisation and traced its reactions to changing monetary policy stance. Using the vector autoregression (VAR) model and interbank rate as an indicator of monetary policy stance, the results showed that the size of dollarisation could influence the outcome of monetary policy, though the impact was small. This was evident from the output equations, that inflation did not respond in the first month and responded negatively in the second month. However, from the third …

Liquidity In A Market For Unique Assets: Specified Pool And To-Be-Announced Trading In The Mortgage-Backed Securities Market, Pengjie Gao, Paul Schultz, Zhaogang Song

Research Collection Lee Kong Chian School Of Business

Agency mortgage-backed securities (MBS) trade simultaneously in a market for specified pools (SPs) and in the to-be-announced (TBA) forward market. TBA trading creates liquidity by allowing thousands of different MBS to be traded in a handful of TBA contracts. SPs that are eligible to be traded as TBAs have significantly lower trading costs than other SPs. We present evidence that TBA eligibility, in addition to characteristics of TBA-eligible SPs, lowers trading costs. We show that dealers hedge SP inventory with TBA trades, and they are more likely to prearrange trades in SPs that are difficult to hedge.

Industry Integration And Stock Price Synchronicity, Hao Cheng, Kian Guan Lim, Tien Foo Sing, Long Wang

Research Collection Lee Kong Chian School Of Business

This paper provides an alternative explanation of the negative relationship between price synchronicity and proprietary right protection that are uncorrelated to the information hypothesis. Using empirical data for 40 countries, we show that stock market volatility and firm size have significant impact on stock price synchronicity. We find significant correlations of international R2 disparity with industry structure integrations. The derived industry integration indices that capture industry correlations significantly explain cross-sectional and temporal variations in price synchronicity. The results imply that tighter industry integration leads to higher R2, and also explain away the property rights factor found in the information hypothesis.

Financing And Productivity: Evidence From Indian Manufacturing Industry, Tingyi Wu

Master's Theses

India grows rapidly in recent years, not to mention its high-technology industry. What are secrets behind this fast-growing situation? This paper intends to find the answer using a firm-level panel data in India and examine the loan-productivity relationship via both contemporaneous and lagged models. I find positive and statistically significant results that loans play an important role in firms’ performances.

Financial Sector Development And Agricultural Productivity, John J. Onoja

Master's Theses

Global concern is rising about the performance of the agricultural sector in view of its integral role in poverty alleviation, economic development and meeting an ever-increasing nutritional demand. At the epicenter of the concern is declining productivity due to poor financial inclusion of the sector leading to low investment and returns to agriculture. A cursory examination of the existing literature on the subject reveals quite varied dimensions to the analysis of agriculture productivity-financial development nexus. Focusing on the role of financial sector development as a catalyst to agricultural productivity, we employ panel data and advances fixed-effects econometrics approach to empirically …

Essays On Financial Intermediation, Yong Kyu Gam

Doctor of Business Administration Dissertations

Chapter 1 investigates a regulatory spillover effect of the Basel III liquidity standard on the real economy through a series of difference-in-difference estimations. Since the Basel Committee’s official endorsement for the new liquidity regulation in December 2010, a bank exposed to high liquidity risk reduced its loan proportion significantly, making a negative real effect on its surrounding economy via a bank-lending-channel. The new regulation also induced a bank with a weak liquid balance sheet to raise its deposit rate aggressively, generating a liquidity problem in a nearby local bank through a deposit-competition-channel and ultimately curbing an expansion of the local …

Tertiary Degrees And The Market: Cross-Country Statistical Evidence, Boontharika Meesuwan

Theses and Dissertations

Substantial differences in stock market behavior exists across the world. Many determinants have been explored and empirically studied, yet the exact reasons for these differences remain unclear. The purpose of this paper is to contribute some insight into the question of why market behavior differs across countries and between social groups despite continuing globalization within financial markets. I hypothesize that there is a direct relationship between personality and trading behavior that directly affects market liquidity.

Exploring Investor Attention In Financial Models, Anna Rodier

Honors Projects in Finance

The purpose of this study is to investigate whether stock prices are influenced by investor attention and how this, in turn, can be used to better advise the financial decisions of the everyday investor. Using weekly adjusted close data, weekly traded volumes, and weekly company searches using Google Trends, I tested my hypothesis that including the frequency of company searches, found through consumers using Google, in financial models will help better predict stock returns. Using S&P 500 company data from February 2012 to February 2017, frequency is a better predictor of price in comparison to trading volumes. But, to maximize …

The Impact Of Commercial Banking Development On Economic Growth: A Principal Component Analysis Of Association Between Banking Industry And Economic Growth In Europe, Hugh L. Davis Iii

Dissertations

There are significant differences in the economic growth trajectories of Western, Central and Eastern Europe since the beginning of the democratic movements of the early 1990s. It may be observed that the more developed the region, the lower the growth rate. There are a number of explanations for this growth rate variance, e.g. cultural, resources, institutional and/or political. An explanation this research is pursuing is institutional - the correlation between banking development and economic growth. More specifically, does banking development have a greater impact on growth where economic development begins at a lower level?

Very little research has been directed …

Consequences Of Information Asymmetry On Corporate Risk Management, Howard J. Merrill Iii

Applied Economics Theses

This paper will demonstrate the impact information asymmetry has on risk management. There is a noticeable impact within the context of consumer credit risk. If a firm is able to recognize this, they can make improved credit decisions that will reduce the consequences. The theoretical impact will be presented while depicting areas of risk management that are susceptible to information asymmetry. We find a direct impact on the development of scoring models, credit policies, and origination volume. These results hold for banks with portfolios consisting of consumer credit products and small business loans. Once known, banks can better tailor their …