Econometrics Commons^™

Banking And The Wider Economy: Essays On Capital And Cross-Border Risks, Morgan Hunt

Dissertations, Theses, and Capstone Projects

Chapter 1: This paper examines the impact of growth in the banking industry’s capital and assets on real output growth at both aggregate and industry levels using a short-run factor-augmented vector autoregression (FAVAR) model across 19 NAICS two-digit industries from 2007Q1 to 2019Q4. Results reveal that changes in capital growth significantly affect output growth in the Manufacturing and Finance industries, while changes in risk-weighted assets impact the Construction, Manufacturing, Real Estate, and Transportation industries. Conversely, output growth in the Manufacturing and Retail Trade industries influences capital growth, while Wholesale Trade output growth affects risk-weighted assets. These relationships are robust …

Essays On Cryptocurrency Assets, Minwoo Song

Dissertations, Theses, and Capstone Projects

Chapter 1 - Herd Instinct in the Digital Currency Markets: In this chapter, We establish that the actions of influential opinion leaders in the digital currency markets and potential investors following their lead drive abnormal cryptocurrency returns. We develop a psychological and behavioral factor, named the herd behavior index, that detects the herd instinct of the investors in cryptocurrency markets and captures anomalies in cryptocurrency returns. Our finding shows that the herd behavior index can explain the variation in cryptocurrency returns. Moreover, there exists a time-series relationship between abnormal returns and the investors’ herd instinct, and the herd behavior index …

Essays In Macroeconomics And Finance, Archil Dvalishvili

Dissertations, Theses, and Capstone Projects

Chapter 1: (A Quantitative Analysis of Interest on Reserves and Reserve Requirements) - I construct a medium scale DSGE model with financial frictions both on the demand (entrepreneurs) and supply (banks) sides of credit to study the costs and benefits of fixed/time-varying minimum reserve requirements and interest paid by the Fed on reserves.The results can be summarized as follows: (1) An optimal time-varying minimum reserve requirement generates substantial welfare gain when compared with a fixed minimum reserve requirement when no interest is paid on reserves. (2) Paying interest on reserves is substantially welfare inferior to a policy with no interest …

Essays On Spillover Effects Across U.S And China, Zhuo Xi

Dissertations, Theses, and Capstone Projects

Chapter1: With the rapid development and continuous advancement of economic globalization, the links between countries around the world have become increasingly tight. Among them, the United States, as the world's largest economy, its monetary policy is bound to cause significant spillover effects on other economies around the world. By constructing a Threshold SVAR model with monthly data from 1996 to 2019, this paper empirically investigates the spillover effects of US monetary policy on China's economy during different U.S policy regimes. The transmission mechanism of such effects has been tested through different channels including policy channel, trade channel, asset value channel …

Macroeconomic Adjustments Of Global Convergence: Real Exchange Rate Response Of Asia-Pacific Growth, Kumarappan Annamalai

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters.

Chapter 1 : PURCHASING POWER PARITY, REAL EXCHANGE RATE, PRICE LEVEL INDEX and HARROD-BALASSA-SAMUELSON EFFECT: LITERATURE SURVEY

In the light of the concepts explained in the introduction section, this chapter explores the seminal papers on the Purchasing Power Parity principle, the Real Exchange rate, and the Price Level Index, showing the evolution of PPP and the methodologies adopted in exploring the characteristics of PPP and the real exchange rates. Various characteristics might be stationarity or non-stationarity of the real exchange rates (RER), variance, correlation, half-life measures, linearity versus non-linearity, etc. Various methodologies adopted were …

Essays On Machine Learning Methods In Economics, Mani Bayani

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters on machine learning modeling in economics. Chapter 1 - Robust PCA Synthetic Control: In this chapter, I propose an algorithm for comparative studies called robust PCA synthetic control. My algorithm builds on the synthetic control model of Abadie et al., 2015 and the robust synthetic control model of Amjad et al., 2018. I apply all three methods (robust PCA synthetic control, synthetic control, and robust synthetic control) to answer the hypothetical question, what would have been the per capita GDP of West Germany if it had not reunified with East Germany in 1990? I …

Essays On Impacts Of Women Empowerment On The Health Outcomes Of Children, Sagnik Das

Dissertations, Theses, and Capstone Projects

Chapter 1: Taking cognizance of the lack of representation of women in politics, the Indian government in 1993, enacted the 73rd constitutional amendment which led to a sudden increase in the representation of women in the local governments. Exploiting the exogenous variation in the timing of implementation of the 73rd amendment across the states, I study the spillover effects of this mandated empowerment of women on the health outcomes of children by using nationally representative survey data and employing a difference-in-difference estimation strategy. In this study, I find evidence of a positive impact of mandated women empowerment on the survival …

Essays On Futures Market And Machine Learning, Jonathan J. Lopez Camara

Dissertations, Theses, and Capstone Projects

Chapter 1 - Big Data And Machine Learning To Predict Overnight Interest Rates. This paper is a brief introduction to the two main pieces I have elaborated as part of the dissertation. Here, I explain the reasons why I have done my research about predicting the overnight interest rates for Mexico and the United States using big data and machine learning models. I explain the connection between the two research papers, I define some basic concepts such as future contracts and the overnight funding rate for Mexico. There is a summary about the data I use, and the machine learning …

Essays On Empirical Asset Pricing Models, Somayeh Ahmadi

Dissertations, Theses, and Capstone Projects

This thesis examines co-movement across industry return and value and momentum asset price anomalies through a new perspective and uses machine learning and spatial econometrics approaches. The first chapter examines the main approaches developed in the cross-section asset pricing literature for finding risk variables. The second chapter focuses on spatial co-movement across US industry returns. We show that spatial co-movement explains the variance in US industry returns after accounting for exposure to common variables, serial dynamics, and industry sector-specific characteristics using a dynamic spatial panel data model. The results show that an investment strategy that buys industry portfolios with high …

Essays In Monetary And Macroprudential Policies, Mikheil Dvalishvili

Dissertations, Theses, and Capstone Projects

Chapter 1 Using a medium scale general equilibrium New Keynesian business cycle model with macroprudential policy and news shocks I study the effectiveness of various combinations of the monetary and macroprudential policies. I incorporate defaults both in the banking sector and households. The results show that out of the policy strategies considered the standard Taylor rule combined with the LTV requirement that reacts countercyclically to the deviation of house prices from the steady state yields higher welfare as compared with all the other strategies considered. Additionally, the standard Taylor rule combined with either of the countercyclical LTV requirements mitigates the …

Liquidity Commonality With Factor Models, Ernesto Garcia Iii

Dissertations, Theses, and Capstone Projects

Market microstructure research has recently devoted attention to a phenomenon called commonality in liquidity. In this dissertation, I will analyze commonality in liquidity using a novel factor model approach and a generalized definition of commonality in liquidity. This analysis will show that commonality in liquidity is rarely a marketwide phenomenon and is mostly restricted to stocks with a large market capitalization. Additionally, commonality in liquidity is a very recent phenomenon whose appearance coincides with a rise in passive investing after the Dotcom Bubble burst and, more so, after the 2008 Financial Crisis. I will present evidence that suggests commonality in …

Three Essays On Exchange Rate Models And Their Applications, Azza A. Mansour

Dissertations, Theses, and Capstone Projects

Chapter 1: This chapter attempts to identify the determinant of exchange rate pass-through into producer and destination prices using highly disaggregated firm-level data of importers and exporters of the Egyptian economy from 2009 to 2013. The main findings assert the hypothesis of complete exchange rate pass-through into destination prices at the lowest level of significance for the average exporting firm that is also importing. Furthermore, the firm with the highest import intensity has a lower percentage of pass-through into destination prices, indicating that the marginal cost channel plays a more significant role in determining the speed of the exchange rate …

Essays On Economic Uncertainty And Housing Market In China, Humenghe Zhao

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that covers topics in macroeconomics.

Chapter 1. Literature Survey of China’s Housing Market and Macroeconomic Uncertainty is a survey of the literature on the history and development of China’s housing market, its unique characteristics, the driving forces behind rising housing prices, and the empirical interactions among housing market, economic uncertainty and the macroeconomy in China.

Chapter 2. The Spatial Correlation of Regional Housing Prices and Economic Uncertainty in China

Rapid real estate development and house price growth in China have garnered significant attention in academia and policy circles. Investigation into highly differentiated but interrelated …

Three Essays On Spatial Econometrics: The Matrix Exponential Spatial Specification, Ye Yang

Dissertations, Theses, and Capstone Projects

This thesis consists of three essays on the matrix exponential spatial specification. In the first essay, we study the generalized method of moments (GMM) estimation of matrix exponential spatial specification(p,q) (MESS(p,q)). We extend the model to a general higher order case and derive its GMM estimator. The large sample properties are also studied. Under homoskedasticity a best GMM estimator (BGMME) is derived and shown to be consistent and asymptotically normal. Under heteroskedasticity an optimal GMM estimator (OGMME) is derived and shown to be consistent and asymptotically normal as well. Monte Carlo experiments that discuss the large sample properties of quasi-maximum …

Essays On The Short-Term Impact Of Minimum Unit Pricing Policy In Scotland, Irena P. Xhurxhi

Dissertations, Theses, and Capstone Projects

This dissertation consists of two chapters, and it evaluates the short-term impact of Scotland’s Minimum Unit Pricing (MUP) policy on a variety of outcome measures. Excessive alcohol consumption has long been considered one of Scotland’s greatest public health challenges, and in an attempt to change this harmful relationship with alcohol, the Scottish Government proposed an alcohol strategy comprising of over 40 measures, a central part of which was the introduction of a statutory minimum price of 50 pence per unit (10ml/8gr) of alcohol known as Minimum Unit Pricing (MUP). This policy aims to reduce alcohol consumption, and in turn, alcohol …

Essays On Paid Sick Leave In The United States, Shaoying Ma

Dissertations, Theses, and Capstone Projects

This dissertation consists of two chapters.

Chapter 1 This study estimates the causal effect of access to paid sick leave on worker mobility, by exploiting variation in the implementation of local paid sick leave mandates over time in the U.S. I use May 2004 - June 2019 Current Population Survey (CPS) basic monthly data, and by taking a Difference-in-Differences approach, I find that the local mandates significantly reduce private sector employees' monthly job turnover. This study is, to the best of my knowledge, the first to present the effect of local paid sick leave mandates in the U.S. on worker …

Essays In Macroeconomics Of Emerging Markets, Miguel Acosta Henao

Dissertations, Theses, and Capstone Projects

Chapter 1. Law enforcement and the size of the informal sector.

I assemble new cross-country evidence showing that contrary to the standard view, the relationship between the size of the informal sector and tax rates is, at best, ambiguous. Law enforcement and informality also show no clear relation. Motivated by these findings, I augment a standard two-sector (formal and informal) small open economy model with endogenous law enforcement that depends on the size of the informal sector (measured by its assets) and government expenditure. I use a micro-dataset from Colombia to show that both taxes and law enforcement are necessary …

Essays In Financial Economics And Applied Macroeconomics, Marius Mihai

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that cover topics in finance and macroeconomics.

Chapter 1 - Do Credit Booms Predict U.S. Recessions?

This paper investigates the role of bank credit in predicting U.S. recessions since the 1960s in the context of a bivariate probit model. A set of results emerge. First, credit booms are shown to have strong positive effects in predicting declines in the business cycle at horizons ranging from six to nine months. Second, by isolating the effect of credit booms, I identify their contributions to recession probabilities which range between three and four percentage points at a …

Essays On The Application Of The Machine Learning Methods In Finance And Policy Evaluation, Olga Guska

Dissertations, Theses, and Capstone Projects

In the age when "Big Data" is becoming almost a household word, such abundance of information in different forms and representations can be of a great help for one's decision-making let it be a trader betting on a stock, or a policy-maker assessing the potential impact of proposed regulation. Whereas traditional economic research is primarily based on the use of numerical data continuous or discrete, there is a great deal of useful information that can be extracted from text data. Such information can power novel identification strategies or help perceive solutions from a different angle, but observed volumes of such …

Essays In Empirical Economics, Agustin Indaco

Dissertations, Theses, and Capstone Projects

This dissertation consists of two chapters that utilize distinct econometric methods and novel datasets.

In the first chapter, “From Twitter to GDP: Estimating Economic Activity From Social Media”, I collect all geo-located image tweets shared on Twitter in 2012-2013 to study whether the volume of tweets is a valid proxy for estimating current GDP in USD at the country level. My preferred model explains 94 percent of the cross-country variation and the residuals from the model are negatively correlated to a data quality index, indicating that my estimates of GDP are more accurate for countries with more reliable GDP data. …

Effects Of Innovations In Health Care Provision And Financing, Hoda Nouri Khajavi

Dissertations, Theses, and Capstone Projects

This dissertation consists of four chapters that study the impacts of innovations in health care provision and financing. The relentless rise in US health care costs has led the Centers for Medicare and Medicaid Services to launch various pilot programs to create financial incentives for health care providers, suppliers, and local communities to improve the efficiency of the health care system. The fist chapter of this manuscript reviews the main pilot programs implemented and/or funded by the Centers for Medicare and Medicaid Services since the 111th United States Congress passed the Patient Protection and Affordable Care Act, also known as …

Essays On Applied Machine Learning For Implied Volatility Interpolation And Artificial Counterfactuals, Pablo A. Crespo

Dissertations, Theses, and Capstone Projects

This dissertation consists of two chapters.

Chapter 1: Volatility estimates under the risk neutral density have become a much revisited topic of interest in recent years. The density proves itself a powerful tool for sentiment analysis, since its moments provide insights about expectations in price trends. A standard procedure for its extraction utilizes artificial volatility predictions to form a dense enough grid for approximating a complete probability distribution. This paper proposes two common machine learning technique variations to produce implied volatility predictions when data is very scarce. First, a model using regularization through a variation of a generalized LASSO path …

Empirical Analysis Of China’S Exchange Rate And Macroeconomic Policy, Jia Ji

Dissertations, Theses, and Capstone Projects

This dissertation examines the effects of exchange rate and macroeconomic policy in China. It consists of three chapters. Chapter 1 explores the dynamics of monetary transmission mechanism. As China’s domestic financial markets deepen and develop further toward a market-based system, the country’s monetary policy transmission should continue to improve in the sense that the policy instrument’s influence on economic conditions increases in magnitude and stabilized across time. Using a short-term key interest rate as a standard monetary policy tool and time-varying parameter techniques, this study empirically demonstrates that China’s monetary policy framework is in the midst of transitioning to a …

Shapes And Transitions Of The Interest Rate Term Structure, Biwei Chen

Dissertations, Theses, and Capstone Projects

I analyze different shapes of Treasury yield curves in order to better reflect and predict the U.S. economy. Since the late 1980s, macroeconomists have found that the slope of the yield curve predicts economic activity such as inflation, output growth, and recessions, but they have not fully examined the links between various shapes of yield curve and the macroeconomy. To fill the gap, I classify yield curve shapes with the U.S. Treasury yield data, detect the shape patterns over the business cycles, and map these shapes onto corresponding inflation and production states. Although the downward-sloping yield curve reliably predicts U.S. …

Synthetic Control And Dynamic Panel Estimation: A Case Study Of Iran, Orkideh Gharehgozli

Dissertations, Theses, and Capstone Projects

International sanctions imposed on Iran, targeting primarily Iran’s key energy sector and its ability to access the international financial system, have harmed Iran’s economic growth, specifically from 2011 to 2014. This thesis uses this case to study and compare the applicability of two different popular approaches used in comparative case studies exploring the effect of a policy intervention.

In the Chapter 1 we study the synthetic control method. Using this method, we estimate the effect of the intensification of sanctions on Iran’s GDP during the period 2011 to 2014. The year of 2011 was Iran’s first full year under these …

Race And Gun Violence In The United States: A Case Study Of Policy Reform In Missouri, Morgan C. Williams Jr

Dissertations, Theses, and Capstone Projects

Gun violence remains an important contributor to racial differences in mortality within the United States. Despite the existence of these significant racial disparities in firearm homicide victimization, the relationship between gun control policy and racial disparities in homicide remains largely unexplored within the empirical crime literature. Previous research suggests that access to secondary firearm markets serves as a salient contributor to local gun violence with the regulation of private firearm sales falling exclusively within state-level jurisdiction. The role of state-level background check requirements for private firearm sales in reducing gun violence remains controversial in both the empirical literature and gun …

Bayesian State Space Representation Model: Applications To Macroeconomics And International Finance, Hiroshi Morita

Dissertations, Theses, and Capstone Projects

This dissertation develops three new econometric models using Bayesian state space representation model in order to apply to macroeconomics and international finance. It consists of 3 chapters. Chapter 1 develops a Markov mixture model of macroeconomic fundamentals to analyze the short-run dynamics of foreign exchange rates. In our model, foreign exchange rates are simultaneously determined by three parities: the interest rate parity, the inflation rate parity, and the equity return rate parity. Using four exchange rates: the U.S. dollar price of the British pound, the German mark, the Japanese yen, and the Canadian dollar, the findings are: (1) Our model …

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 …

Who Influences Your Outcomes? The Effect Of Culture And Ethnic Origin, Neighborhood And Peers On Personal Income: A Spatial Econometric Analysis Of New York City, Anna Arakelyan

Dissertations, Theses, and Capstone Projects

Being a “social animal”, each person is inherently embedded into a complex structure of social relations. He has role models to aspire to, conformity rules to follow, and expectations to meet. This paper explores the different social influences each person experiences in life. Specifically, I consider how a person’s ethnic community, age reference group, occupational and industry group peers, and residential area neighbors affect his total income. I introduce a novel model of multiple social networks and discuss various identification implications. I apply the model empirically to New York City, which naturally is a very favorable environment to test for …