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Three Essays On Fiscal Policy, Sinem Buber Singh
Three Essays On Fiscal Policy, Sinem Buber Singh
Dissertations, Theses, and Capstone Projects
This dissertation examines the domestic and international effects of fiscal policy shocks on country risk, stock markets returns and trading partners. There are three essays in this study.
First essay examines the relative impacts of macroeconomic, financial and political variables on country risk for five advanced economies; the US, the UK, Canada and Singapore for 1984:M1-2014:M12 and Germany for 1990:M9-2014:M12 time periods. To do so, I follow a two stage estimation procedure. In the first stage, a CAPM is used to estimate time-variant country betas which are used as a proxy for country risk by using a DCC-GARCH model. Then, …