Econometrics Commons^™

The Impact Of Government Debt On Macroeconomic Indicators: Evidence From G7 And Asean Countries, Amani Ahmed Alzahrani

Masters Theses

Government debt continues to be a critical economic policy issue, which largely affects both developed and developing countries, due to elevated level of debt. From a general viewpoint, government debt is a crucial feature of a country's financial system and a major indicator that contributes to the formation of a country's reputation in the international market.

This paper investigates the impact of government debt on certain macroeconomic and wellbeing indicators in a group of industrialized and developing countries. That is, the study seeks to examine how government debt influences GDP per capita, domestic and foreign investment, and HDI in both …

The Impact Of Fiscal Policy On Economic Growth: Empirical Evidence From Four South Asian Countries, Tasnia Symoom

Masters Theses

There is a constant debate about the effectiveness of fiscal policy on economic growth of developing countries. Policy makers in developing countries generally attempt to address socioeconomic issues such as poverty, unemployment, hunger, poor investment, and illiteracy while adjusting the levels of public spending and determining tax rates. This thesis examines the impact of fiscal policy on economic growth in four countries of South Asia. For reasons of data availability I choose four of these countries – Bangladesh, India, Pakistan, and Sri Lanka – for the period 1980 to 2016. I use the Error Correction Model (ECM) and Autoregressive Distributed …

Volatility Spillovers And Linkages In Asian Stock Markets, Hwee Kwan Chow

Research Collection School Of Economics

Diebold–Yilmaz spillover indexes are computed for weekly return volatilities based on daily benchmark stock indexes of the US, the UK, and 10 Asian countries. We found (i) the strengthening of overall volatility spillovers is not a temporary surge but persisted after the crisis; (ii) the susceptibility of individual Asian stock markets to inward volatility transfers is linked to its degree of openness; and (iii) the Asian bourses are becoming more important emitters of financial shocks since the crisis. Rolling regressions on volatility linkages reveal the relative dominance of the US over the Japanese and Chinese bourses, and the level of …

Essays On The Impact Of Exchange Rate Movements On Stock Return And Country Output, Junnan Zhao

Dissertations, Theses, and Capstone Projects

Exchange rate movements are widely believed to be a major source of uncertainty at both micro- and macro-economic levels. At the microeconomic level, corporate managers controlling risk and investors seeking to hedge their portfolios are both obviously interested in estimates of a firm’s exchange rate exposure ̶ i.e., how much of the value of a firm will be affected by exchange rate movements. At the macroeconomic level, a currency appreciation may have a contractionary effect on a country's output.

Chapter 1 tests whether the launch of the euro around 1999 significantly reduced stock market volatility and exchange rate risk exposure …

Essays On Inequality And Macroeconomic Stability, Thomas Hauner

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 …

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 …

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 …

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 …

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 …

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 …

Determination Of Optimal Foreign Exchange Reserves For Nigeria, M. Tule, E. Egbuna,, S. Abdusalam, A. Oduyemi

Economic and Financial Review

The study examined the optimal level of international reserves for Nigeria that is capable of absorbing a shock similar to that experienced during the 2007/2009 Global economic crisis. Using, generalised autoregressive conditional heteroscedasticity (GARCH), vector autoregressive (VAR) estimation techniques and normalised Johansen cointegrated equation, and setting the maximum and minimum output losses for the entire period, the study found a positive relationship between the odds of default on sovereign debt and fiscal deficit to GDP ratio, short-term debt to reserves ratio and volatility in portfolio investments. In minimising the Bank's cost of holding reserves, the study found that the Nigerian …

Interest Rate Dynamics And Real Output Behaviour In Nigeria: A Simulation Analysis, S. Rapu, G. Sanni, D. Penzin, N. Nkang, P. Golit, H. Okafor, E. Ibi

Economic and Financial Review

The declining output growth observed from the second quarter of 2014, which led to calls for a more expansionary monetary policy despite rising inflationary pressure, necessitated a reassessment of the impact of interest rate on real output growth in Nigeria. Using a Bayesian Vector Autoregressive (BVAR) model and quarterly data from 2000:Q4 to 2015:Q3, the effect of monetary policy transmission (interest rate dynamics) on real output performance was estimated. Although results of the simulation analysis were somewhat mixed, those of the impulse response functions indicated that positive shocks to monetary policy rate (MPR) produced a negative and small impact on …

Are Donald Trump And Hillary Clinton Controlling The Stock Market? An Analysis Of The 2016 Presidential Election's Impact On Stock Market Volatility, Julia Tambone

Scripps Senior Theses

Hillary Clinton and Donald Trump ran highly controversial campaigns in the 2016 Presidential Election, which then leaves us with the question of what impact is this having on the current economy? Prior analysis of political influence on the stock market tells us that isolating political impact on the stock market is nearly impossible. However, there are clearly defined 4-year cycles in stock prices that seem to correspond with election years. In this paper, I create my own index of stocks in the four major U.S. industries and measure both day-to-day and intraday volatility in stock prices across three comparable time …

The Real Estate And Stock Market During The Great Depression: Construction Permit Growth As A Leading Economic Indicator For Stock Returns, Will Cresap

CMC Senior Theses

The 1929 stock market crash on Black Thursday, followed by the subsequent four-year period of extreme economic downturn, signifies an extremely profound piece of U.S. history. During this time, global economic productivity – measured by GDP – decreased while the U.S. unemployment rate increased staggeringly. Leveraging construction permits as a forward-looking measure of economic activity, I empirically evaluate the effect of construction permits – specifically, the lagged growth rate of monthly construction permits – and lagged monthly stock returns on monthly Standard & Poor's 500 (S&P 500) stock returns. Lagged construction permit returns and lagged stock returns provide early indications …

Is Silence The Answer?, Gator Adams

CMC Senior Theses

This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.

The Effects Of Borrowing Rates On Intra-Firm Disequilibria Between Equity Prices And Cds Premiums – Evidence From Dynamic Panel Analysis., Robert J. Brown

Undergraduate Economic Review

Cointegration techniques are used to estimate the long run equilibrium relationship between a firm’s CDS premium and its equity price, for a panel of large-cap US firms. From these results, the estimated disequilibrium in daily CDS premiums, with respect to equity prices, is constructed. Dynamic panel methods are employed to show the importance of lagged changes in libor rates as determinants of the estimated disequilibrium. Evidence is found that the extent to which the markets deviate from equilibrium will increase as one-month libor rates rise, but, counter-intuitively, will decrease (return towards equilibrium) as longer term libor rates rise.

Modeling Speculative Bubbles With Diverse Investor Expectations, Peter C. B. Phillips

Research Collection School Of Economics

We construct a model of asset market exuberance, collapse and recovery using subjective investor-based rational expectations about the impact of fundamentals on the market price. Investors are assumed to have heterogeneous market sentiments, allowing them to be exuberant, cautious, or fundamentalist via boundary conditions that describe their respective views of the market impact of the same economic fundamentals. Equilibrium solution paths of the model take varying forms, depending on the parameter settings that reflect the importance of each type of market participant. This rational expectations model of asset pricing is shown to be consistent with a simple explosive continuous time …

Endogeneity In Ceo Power: A Survey And Experiment, Zhichuan Li

Business Publications

The endogeneity problem has always been one, if not the only, obstacle to understanding the true relationship between different aspects of empirical corporate finance. Variables are typically endogenous, instruments are scarce, and causality relations are complicated. As the first attempt to summarize different econometric methods that are commonly used to address endogeneity concerns in the context of corporate governance, we explore the relation between CEO power and firm performance, as an experiment, to illustrate how these methods can be used to mitigate the endogeneity problem and by how much. After carefully dealing with the endogeneity issues, we find strong evidence …

Two Essays On Investor Emotions And Their Effects In Financial Markets, Jiancheng Shen

Finance Theses & Dissertations

This dissertation provides empirical evidences on media-based investor emotions in predicting stock return, conditional volatility, and stock and bond return comovements.

We first studied the interaction between US media content and the US stock market returns and volatility. We utilize propriety investor sentiment measures developed by Thompson Reuters MarketPsych. We select four measures of investor sentiment that reflect both pessimism and optimism of small investors. Our objective is two-fold. First, we examine the ability of these sentiment measures to predict market returns. For this purpose, we use dynamic Vector Auto-Regressive models. Second, we are interested in exploring the effects of …

Detecting Stock Market Bubbles: A Price-To-Earnings Approach, Austin F. Murphy

Honors Theses

To this day, economists argue about the existence of stock market bubbles. The literature review for this paper observes the analysis of four reputable bubble tests in an attempt to provide ample qualitative proof for the existence of bubbles. The first obstacle for creating an effective bubble detection test is the difficulty of estimating true fundamental values for equities. Without adequate estimations for the fundamental values of equities, the deviation between actual price and fundamental price is impossible to observe or estimate. Additionally, these tests are reliant on strong underlying assumptions, which tend to cloud results.

This thesis applies a …

A Tale Of Two Option Markets: Pricing Kernels And Volatility Risk, Zhaogang Song, Dacheng Xiu

Research Collection Lee Kong Chian School Of Business

Using both S&P 500 option and recently introduced VIX option prices, we study pricing kernels and their dependence on multiple volatility factors. We first propose nonparametric estimates of marginal pricing kernels, conditional on the VIX and the slope of the variance swap term structure. Our estimates highlight the state-dependence nature of the pricing kernels. In particular, conditioning on volatility factors, the pricing kernel of market returns exhibit a downward sloping shape up to the extreme end of the right tail. Moreover, the volatility pricing kernel features a striking U-shape, implying that investors have high marginal utility in both high and …

Two Essays In Finance And Economics: “Investment Opportunities In Commodity And Stock Markets For G7 Countries” And “Global And Local Factors Affecting Sovereign Yield Spreads”, Selma Izadi

LSU New Orleans Theses and Dissertations

In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the …

The Effect Of New York City Sports Outcomes On The Stock Market, Nir Levy

Undergraduate Economic Review

This thesis investigates whether sports outcomes for New York City based teams affect the daily returns, volatility or trading volume of major stock indexes in the United States. I research whether events that affect local mood in a major financial center can influence national stock indexes by swaying the sentiment of workers in the financial sector. By performing an event study I found evidence that returns are abnormally high following championships won by New York City professional sports teams. Returns are abnormally low and volume is abnormally high following elimination from a championship round.

How Does The Stock Market Value The Renewable Energy Sector: A Public Announcement Analysis And Test Of The Efficient Market Hypothesis, Jack Crampton

Journal of Environmental and Resource Economics at Colby

This study analyzes the market reaction to public announcements in the stock market. The efficient market hypothesis is put to test and similar studies are reexamined in the context of the renewable energy sector. Through fixed effects models, we can assess the validity to the efficient market hypothesis and assess how the market values the clean energy sector.

Gender Bias In Microlending: Do Opposites Attract?, Kanyinsola Adepoju

Master's Theses

This study exploits a quasi-random assignment of clients to loan officers using a unique database and survey from a large microfinance bank in Nigeria to show that opposite-sex preferences affect credit demand and supply. We find that clients matched to loan officers of the opposite gender are more likely to receive credit and are more likely to return for an additional loan with the credit lender.

Analyzing Options Market Toxicity And The Black-Scholes Formula In The Presence Of Jump Diffusion As Simulated With Agent-Based Modeling, William D. Elliott

Undergraduate Economic Review

This paper presents new and significant research on the Black-Scholes Formula using the agent-based modeling software NetLogo. The software was used to simulate an options market subject to jump diffusion. Since the widely-used Black-Scholes Formula has at times proven unreliable, this research sought to understand circumstances that render the formula ineffective. It was hypothesized that markets would become difficult to trade in or “toxic” at low price volatility but high jump volatility. Further, it was predicted that kurtosis would alert the presence of toxic markets by accurately and consistently conveying whether jump diffusion was present.

Three Essays On Financial Econometrics, Jiang Liang

Dissertations and Theses Collection (Open Access)

This dissertation develops several econometric techniques to address three issues in financial economics, namely, constructing a real estate price index, estimating structural break points, and estimating integrated variance in the presence of market microstructure noise and the corresponding microstructure noise function. Chapter 2 develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model …

Successfully Financing Classical Music Kickstarter Projects, Sarah Chung

Scripps Senior Theses

With the rise of technology and finance, crowdfunding has been uprising as a popular method of financing projects. Kickstarter provides an online platform in which anyone with Internet access can upload their own project “pitch” to gain funding for their idea on an all-or-nothing model. My thesis explores financial trends and factors that potentially contribute to a successful Kickstarter campaign within the classical music projects subcategory. I use a logistic regression and the Ordinary Least Squares model to examine a dataset of already successfully funded projects and a second dataset that contains both successfully and unsuccessfully funded projects that were …

A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala

Undergraduate Economic Review

This paper analyzes the effects of quantitative easing (QE) on the capital markets by modeling exchange traded funds (ETFs) returns using a generalized autoregressive conditional heteroskedasticity (GARCH) methodology. The results show that the 10-Year Treasury yields are significant in the returns of some sectors of the economy more so than others, and the Federal Funds Futures trading volume is significant in all ETFs return volatility. The implications of these results not only provide information about the reaction of the ETF market and QE, but also provide insight for developing investment strategies.

Intraday Periodicity Adjustments Of Transaction Duration And Their Effects On High-Frequency Volatility Estimation, Yiu Kuen Tse, Yingjie Dong

Research Collection School Of Economics

We study two methods of adjusting for intraday periodicity of high-frequency financial data: the well-known Duration Adjustment (DA) method and the recently proposed Time Transformation (TT) method (Wu (2012)). We examine the effects of these adjustments on the estimation of intraday volatility using the Autoregressive Conditional Duration-Integrated Conditional Variance (ACD-ICV) method of Tse and Yang (2012). We find that daily volatility estimates are not sensitive to intraday periodicity adjustment. However, intraday volatility is found to have a weaker U-shaped volatility smile and a biased trough if intraday periodicity adjustment is not applied. In addition, adjustment taking account of trades with …