Econometrics Commons^™

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 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 …

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 …

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 …

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 …

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 …