Economics Commons^™

Cash On The Table? A Behavioral Analysis Of Refund Claimants And Annuitants In The Illinois Teachers' Retirement System, Martin F. Lueken

Graduate Theses and Dissertations

This dissertation documents pension benefit choices made by public school teachers enrolled in the Illinois Teachers' Retirement System (TRS), where they choose between taking a lump-sum withdrawal of their refundable contributions and deferring a pension benefit. The analysis explores the extent to which vested teachers enrolled in TRS separate from service with positive pension wealth, estimates how much money is "left on the table" at a conventional discount rate, and investigates what types of teachers display higher or lower discount rates as indicated by cashout patterns. To control for the relative attractiveness between choices, the analysis relies on three central …

Trading Income And Bank Charter Value During The Financial Crisis: Does Derivatives Dealer Designation Matter?, Peter V. Egly, Jun Sun

School of Economics and Finance Faculty Publications

Derivative markets have exploded over the last decade, remained active in the midst of the 2007-2009 financial crises and continue to be dominated by a small group of bank holding companies (BHC). BHC motives for derivative usage are usually tied to hedging purposes (balance sheet risk management), trading purposes (profit motives) or some combination thereof. This paper examines the relationship between derivative trading income and bank charter value for 27 BHC between 2001Q1-2011Q3. We find that the impact of derivative trading income on bank charter value, using Tobin’s Q, is very small and seems to be tied to BHCs derivatives …

An Alternative View To The Cause Of Market Failures: A Dynamic Approach, Salvador Contreras

School of Economics and Finance Faculty Publications

This paper presents an alternative view to the cause and size of market failures. The work here suggest that the size of the market failure is not man made per se but rather given a full set of initial conditions it is endogenous to the dynamical forces at play. It is shown that the level and variance of market failures is tied to the location of the steady state (i.e. level of development). The paper finds that only changes to the location of the steady state produces changes to the potential level of the market failure. This paper …

Financial Crisis And The Supply Of Corporate Credit, Jorge Santiago Emmanuel Barraza

Graduate Theses and Dissertations

This dissertation consists of three essays that study the relationship between distress and credit and the role this relationship has in determining corporate investment and economic activity. The first essay studies the supply of credit during the recent financial crisis. It shows that distress in the banking sector led to bank credit rationing, which a portion of nonfinancial borrowers palliated by migrating to the public market for credit. The overall reduction in credit, however, was followed by a severe drop in corporate investment, which in time led to a fall in the levels of aggregate production.

The second essay examines …

Bayesian Testing Volatility Persistence In Stochastic Volatility Models With Jumps, Xiaobin Liu, Yong Li

Research Collection School Of Economics

Whether or not there is a unit root persistence in volatility of financial assets has been a long-standing topic of interest to financial econometricians and empirical economists. The purpose of this article is to provide a Bayesian approach for testing the volatility persistence in the context of stochastic volatility with Merton jump and correlated Merton jump. The Shanghai Composite Index daily return data is used for empirical illustration. The result of Bayesian hypothesis testing strongly indicates that the volatility process doesn’t have unit root volatility persistence in this stock market.

Minimum Investment Requirements, Financial Market Globalization, And Symmetry Breaking, Haiping Zhang

Research Collection School Of Economics

We incorporate wealth heterogeneity and the minimum investment requirements in the model of Matsuyama (2004, Econometrica) and provide a complete characterization of symmetry breaking. In particular, we identify the extensive margin of investment as a key channel through which the interest rate may respond positively to capital accumulation, or equivalently, the interest rate can be higher in the rich than in the poor countries. Then, financial market globalization may lead to “uphill” capital flows from the poor to the rich countries, which widens the initial cross-country income gap and leads to income divergence among inherently identical countries, a phenomenon that …

Book Review: Why Does College Cost So Much?, Edward J. Smith, Brian A. Sponsler

Journal of Student Financial Aid

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State Revenue Forecasting Accuracy, Dan Williams, Joseph Ononchie

Publications and Research

This paper examines forecasting accuracy of state revenue forecasting for 50 states using data published on the National Association of State Budget Officer’s (NASBO) website (www.nasbo.org). The data shows four categories of revenue: sales tax, corporate income tax, personal income tax, and all other (as a residual from total taxes). It shows some evidence that forecast bias reflects a hedge against uncertainty; however, there is also evidence that there is a counterbalancing preference to find the money needed to provide the services demanded.

The Role Of Individual Investors' Gambling Preference In January Effect, Nan Shao

Doctoral Dissertations

Rozeff and Kinney (1976) were the first to End that stocks in NYSE provide abnormally large returns in January. Following researchers such as Keim (1983), Branch and Chang (1990), and Bhardwaj and Brooks (1992), examine this "January effect" and find that small firms and low price stocks are more prone to this effect. The January effect is so robust that it is not a unique phenomenon in U.S., but also occurs in other countries (e.g., Gultekin and Gultekin, 1983; Kato and Schallheim, 1985; Tong, 1992); In addition, it not only occurs in the stock market, but also in the bond …

Mexico Consensus Economic Forecast, Volume 17, Number 3, Thomas M. Fullerton Jr, Adam G. Walke

Departmental Papers (E & F)

No abstract provided.

Estimating Dynamic Demand For Airlines, Diego Escobari

School of Economics and Finance Faculty Publications

This paper uses an original panel dataset with posted prices and sales to estimate a dynamic demand. We find that consumers become more price sensitive as time to departure nears which is consistent with having lower valuations. This result provides empirical support to a key theoretical implication in Deneckere and Peck (2012)—high-valuation consumers purchase earlier. We also find that the number of active consumers increases closer to departure.

Highlights

• We use an original dataset with posted prices and sales to estimate a dynamic demand.

• The estimates are consistent with agents forming expectations.

• We find that high-valuation consumers …

International Transmission Of Interest Rates And The Open Economy Trilemma In Asia, Hwee Kwan Chow

Research Collection School Of Economics

There has recently been much discussion on the relevance of the open economy trilemma in the context of deepening financial integration of countries across the world (see for instance, Rey (2013) and Devereux and Yetman (2014)). The open economy trilemma is an important issue for the countries in Asia not least because their financial systems are small and exchange rate stability is crucial to their economic growth. This paper investigates whether the economies in Asia are still bound by the "impossible trinity" by examining the interest rate transmission from the US to the region before and after the onset of …

Bayesian Analysis Of Bubbles In Asset Prices, Andras Fulop, Jun Yu

Research Collection School Of Economics

We develop a new asset price model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a stochastic long run mean. This latter is allowed to account for possible smooth structural change. The second regime reflects the bubble period with explosive behavior. Stochastic switches between two regimes and non-constant probabilities of exit from the bubble regime are both allowed. A Bayesian learning approach is employed to jointly …

Trade And Financial Integration, Extensive Margin, And Income Divergence, Haiping Zhang

Research Collection School Of Economics

We revisit the classical question on economic integration and income convergence in a two-sector OLG model with financial frictions and sectoral heterogeneity in minimum investment requirements (MIR, hereafter). The extensive margin of investment is a critical channel through which aggregate income may become a determinant of comparative advantage. Free trade allows the rich (poor) country to specialize partially or completely in the high-MIR (low-MIR) sector which has a high (low) return endogenously. The specialization effect interacts with the neoclassical effect, which may lead to income divergence among inherently identical countries. Similarly, financial integration may also lead to income divergence through …

Why Cpf-Style Systems Generally Work Better, Hian Teck Hoon

Research Collection School Of Economics

The Central Provident Fund (CPF) has been in existence since 1955, and plays an important role in the lives of millions of Singaporeans. But this does not mean there is nothing to be learnt from asking some fundamental questions about its usefulness.

Sequential Investment, Hold-Up, And Ownership Structure, Juyuan Zhang, Yi Zhang

Research Collection School Of Economics

We construct a sequential investment model to investigate individual firms’ strategic choices of organizational forms when outsourcing their intermediate products. Our results indicate that as a result of the encouragement effect of sequential complementary investments, sequential investment alleviates the underinvestment caused by the hold-up problem. Thereafter, we analyze the impact of sequential investment on the choice of ownership structure. We show that contrary to the result of the standard property rights theory, strictly complementary assets could be owned separately.

Provincial Finances, Ishrat Husain Dr.

Faculty Research - Newspaper and Magazine Articles

Most analysts still focus on the federal budget not realising that there has been a significant shift in the allocation of fiscal resources towards the provinces. This is what should have happened in the first place. After all, most interactions take place between citizens and the government and almost all basic services are delivered by the provincial governments. The question that needs to be examined is whether or not this shift has proved beneficial for the citizens and if the annual provincial budgets ought to be examined in this light.

These budgets have raised a number of issues that need …

A Backward Bending Supply Of Loanable Funds: An Examination Of The Interest Rate Elasticity Of Saving, Rachel M. Doehr Ms.

Undergraduate Economic Review

The market for loanable funds is presented as either a market with an upward sloping supply curve, or as one with a perfectly inelastic supply. This paper relates the supply of loanable funds to the supply curve in the labor market: backward bending. Once interest rates are high enough, people start to save less, creating the "backward bend.” This explains the discrepancies in previous literature that attempted to put a single value on the interest rate elasticity saving. The reason for the variation in values could be because the elasticity actually depends on the point on the curve.

Economic Impact Of Legalizing Retail Alcohol Sales In Craighead, Faulkner, And Saline Counties, Katherine A. Deck, Mervin Jebaraj

Publications and Presentations

Converting from dry county to wet county status would have a number of tangible and intangible economic benefits for Craighead, Faulkner, and Saline counties. Legal retail alcohol sales are a signal of a contemporary economic development environment. Quantifying the value of that perception is quite difficult, but it is entirely possible to estimate sales effects, tax collections, and other economic impacts of becoming a wet county. This study was conducted by the Center for Business and Economic Research to assess the magnitude of those economic effects.

Commercial Bank Risk Management And Financial Performance Case Study, Patricia R. Robertson

Faculty Articles

The case is ideal for an upper-level finance course with an emphasis on financial institution risk management and financial performance. It is unique in that it sources data from the Federal Financial Institutions Examination Council (FFIEC) website through a series of reports called the Uniform Bank Performance Report (UBPR). The UBPR is a report set created for bank supervisory, examination, and management purposes. It presents data and ratios for each bank in a concise and consistent format. This allows the course instructor to assign multiple banks confident that the data is available and consistently presented. The case can be used …

The Effects Of The Clock And Kickoff Rule Changes On Actual And Market-Based Expected Scoring In Ncaa Football, Kenneth Linna, Evan Moore, Rodney Paul, Andrew Weinbach

Finance and Economics

Clock rule changes were introduced in the 2006 season with the goal of reducing the average duration of the game; these changes were reversed in 2007. In addition, in 2007 the kickoff rule was changed to create more excitement and potentially more scoring. We examine what happened to actual and expected scoring during these National Collegiate Athletic Association (NCAA) football seasons. The clock rule change in 2006 led to lower scoring which was not fully encompassed in the betting market, leading to significant returns to betting the under. Multiple rule changes in 2007 led to volatility in the betting market …

Market Efficiency And Behavioral Biases In The Wnba Betting Market, Rodney J. Paul, Andrew P. Weinbach

Finance and Economics

The betting market for the Women’s National Basketball Association (WNBA) is a thin financial market, which does not attract much interest from sports bettors. Given these characteristics, it is possible that profitable wagering strategies could exist for informed bettors of the WNBA. Using betting data on the WNBA from 2007–2012, we find that simple betting strategies do not earn statistically significant returns. WNBA bettors are like NBA bettors; however, in that they strongly prefer the best teams, particularly when they are on the road. Despite this clear bias, betting against the most popular public wagers is not found to earn …

Why Do Hedgers Trade So Much?, Ing-Haw Cheng, Wei Xiong

Dartmouth Scholarship

Futures positions of commercial hedgers in wheat, corn, soybeans and cotton fluctuate much more than expected output. Hedgers' short positions are positively correlated with price changes. Together, these observations raise doubt about the common practice of categorically classifying trading by hedgers as hedging while trading by speculators as speculation, as hedgers frequently change their futures positions over time for reasons unrelated to output fluctuations, arguably a form of speculation.

Is The Renminbi East Asia’S Dominant Reference Currency? A Reconsideration, Hwee Kwan Chow

Research Collection School Of Economics

Recent empirical studies show that the Chinese currency renminbi is either becoming or has become a dominant reference currency in Asia. However, the high correlation between the US dollar and renminbi movements hampers the identification of their individual effects on the Asian currencies. In particular, the application of Frankel-Wei regressions to determine the weights of the US dollar and the (unorthogonalized) renminbi in the implicit currency baskets could suffer from endogeneity problems that produce an upward bias in renminbi’s estimated weight. This paper reviews the evidence by applying country-specific VAR models to daily exchange rate data from nine Asian economies …

Policy Direction For The Budget, Ishrat Husain Dr.

Faculty Research - Newspaper and Magazine Articles

The contours of the upcoming budget in terms of size, outlays, revenue collection targets, fiscal deficit etc. have been spelled out by the finance minister at various fora and by the IMF in its reports. So, it is not very interesting to speculate on whether the tax targets are ambitious, expenditures understated and subsidies underplayed.

The purpose here is to suggest that budgetary estimates and projections should be formulated in the context of a medium-term policy framework. The objectives of such a framework should be: to accelerate the rate of economic growth and job creation; to keep inflationary expectations under …

The Spanish Export Led Recovery, David Wagner

Undergraduate Economic Review

I researched the export-led recovery currently taking place in Spain. My thesis revolved around Mariano Rajoy and the Popular Party coming into power in 2011 and instituting reforms in three distinct categories; financial market reforms, fiscal measures, and labor market reforms. These reforms have had a significant impact in restoring credibility in Spain's capital markets and decreasing unit labor costs. In turn, Spain has shown impressive export growth in the past two years, especially compared to its neighbors Italy and France.

Market Frictions And The Efficiency Of Capital Allocation, William J. Hippler Iii

LSU New Orleans Theses and Dissertations

The following dissertation contains two unique empirical studies that contribute to the overall literature in the field of Financial Economics in the areas of mutual fund investing and financial intermediation and regulation. The first Chapter, entitled “The Impact of Macroeconomic Stress on the U.S. Financial Sector”, examines the relative impact of macroeconomic stress on financial and non-financial U.S. firms. Empirical results show that macroeconomic shocks appear to have a larger impact on financial firms. Additionally, the sensitivity of financial firms to macroeconomic events can be traced to the influence of non-depository institutions, or “shadow banks”, like finance and investment companies, …

Parallel Sessions (Consumer Behavior & Culture): An Investigation Of The Selection Criteria Of Islamic Banking In Pakistan: Customers’ Perspective, Zargham Ullah Khan

International Conference on Marketing

Banking system was firstly introduce in the era of Jews where large bankers use to do financial practices in the open market. In the past few decades‟ capitalistic economy gained momentum. Islamic banking was firstly introduced in Malaysia with the establishment of Islamic banks laid on the basis of SHARIAH compliance, during 1970-90 (Henry & Wilson, 2004; Iqbal &Mirakhor, 2007; Dusuki& Abdullah, 2007). Banking is as old as civilization found its way from barter economies towards market economy and price mechanism. At present the banks have an immense role in deciding the economic fate of any state. Strong banking system …

A Study In The Urbanization Effect On The Honduran Pricing Mechanism, Sharik L. Peck Ii

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The effect of the Honduran capital city Tegucigalpa on prices is tested through a series of comparative regressions of the prices of similar goods between the capital and outlying cities and towns. Goods that have many brands or production centers are found to have prices that vary more significantly between locations. The effect of the size of packaging of goods in some significant cases runs counterintuitive to traditional economic reasoning showing no effect or even in certain circumstances obtaining a premium for large packaging not proportional to the contents. The Honduran market also allows for an examination of the effect …

The Nature Of Lessons Learned From Argentina’S 2001 Financial Crisis, Emma Van Wagenberg

Renée Crown University Honors Thesis Projects - All

This paper makes the argument that though Argentina’s 2001 financial crisis was influenced by several factors, it is the 1991 Convertibility Plan that most strongly pushed the nation to the point of needing outside financial assistance. Its implementation led to and worked in combination with a multitude of unexpected factors. Together, these created economic conditions that chipped away at the stability of Argentina’s economy.

Given the nature of this project, information was gathered solely through research in texts published by both supporters and critics of organizations like the International Monetary Fund. In my readings, I found that there is generally …