Macroeconomics Commons^™

Accountability And Efficiency: Compiled Case Studies On Economic Development, Spending, And Global Markets, Jacob W. Grimsley

Honors Theses

This is a compilation of cases worked throughout the course of one year. These cases were created and assigned for an accountancy course focused on research and writing. The cases focus on accounting related topics, while also pertaining to political happenings as well as general economic topics.

Case 02 was completed in collaboration with other honors students, and these students are indicated on the page preceding this case.

Cases 05 and 06 pertain to a semester-long project focused on the development of a Mississippi based business. This case was also completed with the help of other students, as indicated on …

Asymmetric Recovery: Understanding The Differences In Commercial And Residential Recovery Patterns Following The 2008 Financial Crisis, Avery J. Flynn

Honors Theses

The 2008 financial crisis revealed differences in economic recovery patterns between businesses and households. This study analyzes the asymmetry in loan delinquency rates between commercial and residential sectors, with data showing commercial rates peaked at 8.51% in 2010 while residential rates reached 10.88%, followed by significantly different recovery trajectories.

The research investigates how differing legal protections created varying incentives to cut costs. Through analyzing Federal Reserve data, Census Bureau surveys, and expenditure records, this study found the commercial sector recovered 64% within three years of its peak, compared to only 17% for the residential sector.

During the recession, businesses reduced …

Fighting "Fear Itself": The Bank Holiday Of March 1933, Matthew Jaremski, Gary Richardson, Angela Vossmeyer

Journal of Financial Crises

In the month preceding Franklin Roosevelt’s inauguration, a panic overwhelmed the U.S. banking system. Immediately after assuming office, Roosevelt declared a nationwide bank holiday and vowed to reopen only sound banks. Five days after the holiday ended, nearly 11,000 of the nation's more than 18,000 commercial banks had reopened. Nearly 4,000 never reopened or had to be reorganized. The holiday is often credited with helping reestablish financial stability, but little is known about the mechanisms underlying the reopening process and the way in which payment systems were restored. We detail the process of reopening the banking system using narrative records …

The Impact Of Financial Inclusion On Inflation In The Mena Region: Oil Vs Non-Oil Countries, Jailan Elsaid

Theses and Dissertations

The study examines the impact of financial inclusion on inflation as a tool for monetary policy effectiveness in the MENA region, separating the analysis into oil and non-oil countries from 2004 to 2022. The Principal Component Analysis (PCA) technique is used to create a multidimensional index of financial inclusion through usage and access dimensions. Additionally, PVAR GMM estimation and Granger causality tests are implemented to analyze the dynamics and causality between financial inclusion and inflation, while controlling for other variables such as broad money, real effective exchange rate, and real GDP growth, which may influence the relationship according to the …

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 …

The Counter-Cyclicality Of Earnings Management: Evidence Through 2024, William J. Hall

CMC Senior Theses

This thesis examines the relationship between macroeconomic conditions and earnings management, extending the analysis of Hillegeist and Lin (2019) using updated data through 2024. Based on 16,635 firm-quarter observations, my study affirms the results found in prior literature and confirms that there is a negative association between the change in GDP and the direction of firms’ earnings management behavior, indicating that earnings management is counter-cyclical. My study also finds that firms manage earnings asymmetrically based on the current macroeconomic state, with firms managing earnings more in economic downturns and less in expansions. My findings suggest that despite major macroeconomic and …

Three Essays On The Interaction Between Macroeconomics, Money, And Government Bonds, Zejun Jiang

Graduate Theses, Dissertations, and Problem Reports (ETD)

This dissertation, ''Essays on the Interaction between Macroeconomics, Money, and Government Bonds,” has three chapters that study how macroeconomics (e.g., inflation), government bonds, and money interact with each other. It provides insights into how households make optimal maturity choices in government bonds, how households own different types of government bond assets, and how money growth can help understand the cross-country inflation after COVID-19.

The first chapter develops an intertemporal portfolio choice model to investigate the optimal household portfolio choice for government bonds across maturities. The U.S. Treasury data displays a higher holding share of long-term government bonds. Adding uncertain labor …

External Financing, Governance, And Infrastructure Development: Evidence From Sub-Saharan Africa, Afees Oluwashina Noah, Oladipo Olalekan David

CSID Journal of Infrastructure Development

Infrastructure development in Sub-Saharan Africa (SSA) requires diversified financing strategies to address a significant funding shortfall that cannot be met by domestic resources alone. This research evaluates the contributions of external financing—namely Official Development Assistance (ODA), Foreign Direct Investment (FDI), and Private Participation in Infrastructure (PPI)—in complementing domestic efforts to advance infrastructure in SSA. It examines their influence, alongside governance, on the development of physical and social infrastructure components. Employing methodologies such as Panel-Corrected Standard Errors (PCSE) and System Generalized Method of Moments (SGMM) across 43 SSA economies from 2000 to 2022, the analysis reveals that FDI substantially enhances physical …

Revealing The Dual Dynamics: Transient And Persistent Efficiencies Of The Indonesian Provincial Economies, Mohammad Zeqi Yasin, Fichrie Fachrowi Adli

Economics and Finance in Indonesia

We examine the decomposition of technical efficiency components into transient and persistent horizons applied to the 33 provincial economies in Indonesia. Focusing on the post-decentralization era in 2002–2022, we employ Stochastic Frontier Analysis to gauge efficiency dynamics for time-variant and time-invariant evolution. We reveal that the persistent inefficiencies outweigh transient ones, implying the persistent inefficient behavior of Indonesian provinces. We also capture that East Nusa Tenggara and several provinces in Eastern Indonesia show the most lagged-behind in terms of persistent inefficiency severity, suggesting necessity of structural changes through more strategic and specific development models beyond mere heterogeneous input reallocation.

How Millennials Make Investment Decisions: Financial Literacy And Financial Behavior, Dewi Tamara, Anita Maharani

Economics and Finance in Indonesia

This study investigates the effect of financial literacy, financial attitude, risk perception, and financial behavior on investment decisions. Employing a survey method with 342 respondents in Jakarta, the findings reveal that financial literacy has a negative and insignificant effect on investment decisions. In contrast, risk perception plays a crucial role in influencing investment decisions. Furthermore, financial behavior has an indirect mediating effect between financial literacy and risk perception on investment decisions but does not affect financial attitude. This study concludes that risk perception and financial behavior are important factors in investment decisions. Future research may consider incorporating other variables such …

Essays On Macroeconomics And Banking, Christopher Naubert

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters.

Chapter 1 - The Heterogeneous Effects of Interest Rate Liftoff in an Estimated New Keynesian Model In recent years, the question of how central banks should proceed with lifting interest rates from the zero lower bound has moved into focus. I study how alternative plans for interest rate liftoff affect households across the income and wealth distribution in an estimated New Keynesian model with fixed heterogeneity and aggregate shocks. I solve the model globally and develop a new methodology for estimating globally solved, non-linear models. In the estimated model, I find that all agents …

Driving Green Investments To Address Climate Change, Baptiste Gibrat

Dartmouth College Master’s Theses

The climate crisis is no longer news, and society needs to accelerate the transition to net zero emissions. Otherwise, the consequences of climate change will become increasingly catastrophic.

This thesis develops a framework to drive green investments, which reduce society’s dependance on fossil fuels. Initially, the research provides a comprehensive examination of these investments, followed by an exploration of three strategies to enhance their adoption: leveraging financial instruments and capital markets, implementing regulatory frameworks, and harnessing the power of technologies. To integrate these elements within a comprehensive framework, the study employs market research, reviews relevant literature, and includes interviews with …

Determinan Implementasi Central Bank Digital Currency Di Indonesia, Kharisma Dwi Widodo, Bambang Juanda, Dedi Budiman Hakim

Jurnal Ekonomi dan Pembangunan Indonesia

Private digital currency is no longer limited to shadow banking issues but has also entered shadow central banking, putting Bank Indonesia to adopt the CBDC. This study aims to determine the effect of macroeconomic, accessibility, and demographic aspects on CBDC implementation, as well as the impact of publicity on changes in the behavior of economic actors in using CBDC in Indonesia. The results of the study show that GRDP, gini ratio, ICT, and bank accounts have an effect on CBDC. Publicity affects changes in the behavior of economic actors in increasing the conversion of fiat money to CBDC.

Impact Of Crises On Indian Financial Markets, Pami Dua, Divya Tuteja

Bulletin of Monetary Economics and Banking

We investigate the effect of crises on Indian financial markets including the short-term and medium-term money, government securities segments, equity and currency markets. Specifically, we study the effects of the COVID-19 pandemic, the Eurozone Sovereign Debt Crisis and the Global Financial Crisis on market returns, volatility and cross-correlations. We employ a (a) vector autoregressive model to analyse the effects of those shocks on returns and (b) multivariate ADCC-GARCH specification to examine the impact on conditional volatility and dynamic conditional correlation in the markets. We find significant effect of the Global Financial Crisis and the pandemic on the dynamics of the …

Indian Mutual Fund Industry: Is 2014 A Turning Point?, Shobhit Goel, Pawan Kumar

Bulletin of Monetary Economics and Banking

Indian Mutual Fund Industry has experienced a nearly 40-fold increase in assets under management since the start of the 21^st century, which has implications for the financial sector and the wider economy. Using structural break models, we identify 2003-08 as a nascent growth phase followed by a tepid growth phase in the post-global financial crisis period. Since 2014, the industry has experienced accelerated growth, outpacing global peers, driven by consistent individual investor inflows in equity and hybrid categories. Supportive regulatory policies introduced in 2012-13, we argue, have boosted the industry’s growth.

India And The Rest Of The World: Analyses Of International Monetary Policy Spillovers, Afees A. Salisu

Bulletin of Monetary Economics and Banking

The US is India's largest trading partner, followed by the European Union. Our study, using the GVAR model, shows that a US monetary policy (MP) shock results in a depreciation of the Indian currency vis-a-vis the dollar. This is due to Indian investors preferring to invest in the US, which provides higher returns during a US MP shock. The Eurozone MP shock does not have a significant impact due to the increasing dollarization of the Indian economy. However, the US MP shock propagation diminishes when there is economic policy uncertainty. Our findings have implications for monetary policy conduct in India.

The Relationship Between Monetary Policy And The Stock Market Cycle: An Empirical Study In Vietnam, Nhung Thuy Tran

The Indonesian Capital Market Review

The study examines the relationship between monetary policy and the stock market cycle in Vietnam. Using data from 2007 to 2022 and employing a VAR model, we estimate the impact of monetary policy factors on stock market cycle variables. The findings confirm a two-way causal relationship between monetary policy and the stock market cycle. However, the influence of cyclical fluctuations on the monetary policy transmission mechanism is weak, exhibits a lag, and predominantly occurs in the medium and long term. These results indicate that Vietnam's monetary policy requires time to absorb financial shocks and adjust to economic conditions. The study …

Identifying Risk-Taking Behavior And Prudent Asset Allocation In Pension Funds In Indonesia, Mohammad Alvin Prabowosunu, Reza Yamora Siregar, Rosi Melati, Devan Hadrian, Rizky Rizaldi Ronaldo

Economics and Finance in Indonesia

This research aims to investigate asset allocation strategies in the pension fund industry in Indonesia in relation to liability profiles and risk-taking behavior. Utilizing data on market returns for each asset class and several financial indicators of pension funds, we applied the risk-taking behavior model proposed by Andonov & Rauh (2022) and a modified model to observe the Liability-Driven Investment (LDI) strategies of pension funds in Indonesia. We discovered that private defined contribution pension fund schemes (PPIP) tend to exhibit higher risk-taking behavior, primarily through investment allocation in equities. On the other hand, private defined benefit pension funds (PPMP) demonstrate …

Stock Market Volatility In The United Kingdom: Simulating Post-Covid-19 Recovery, Bala A. Dahiru, Mohammed Shuaibu, Najibullah Hassanov

CBN Journal of Applied Statistics (JAS)

This paper investigates the time it would take for the FTSE-100 index to reach its post-COVID-19 peak. The paper utilises an exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model that accounts for leverage effect and asymmetries. The preferred models amongst competing variants was the Autoregressive Moving Average (ARMA)-EGARCH(2,1) specification and was used to predict daily FTSE-100 data from 5th January 2000 to 21st June 2024. The empirical exercise showed that the COVID-19-induced financial crisis negatively affected the United Kingdom’s stock market performance. The results show that the FTSE100 index could reach its post-pandemic peak around 27th August, 2024 (two months after …

Impact Of Fiscal Policy On Financial Inclusion And Development In Nigeria, Okwanya Innocent, Taiwo A. Olusegun, Aimua E. Peace

CBN Journal of Applied Statistics (JAS)

This paper examines the effect of fiscal policy on financial inclusion and development in Nigeria. The study employs the Autoregressive Distributed Lag (ARDL) model and impulse response function (IRF) to determine the extent and response of financial inclusion and development to fiscal policy changes in Nigeria. The study derives a financial inclusion index from three core indicators: access, usage and quality of financial services, while financial development is measured as the ratio of money supply to GDP (M2/GDP). The results show that government expenditure has a significant positive effect on financial inclusion and development, while tax revenue exerts a negative …

Digital Currencies And Macroeconomic Performance: A Global Perspective, Tirimisiyu F. Oloko, Ahamuefula E. Ogbonna, Idris A. Adediran

Bulletin of Monetary Economics and Banking

In this study, we explore the IS-LM-BP framework in analysing the effect of digital currencies on macroeconomic performance from a global perspective. We augment the global macroeconomic dataset by Mohaddes and Raissi (2020) with digital currencies, and analyse the relationship between 2010Q1 and 2019Q4. Overall, we find digital currencies to have significantly positive short-run and no long-run impact on global output, inflation rate, interest rate, and equity stock return. Our results suggest that digital currencies have enhanced global macroeconomic performance, on average. Thus, we recommend that appropriate regulations, rather than an outright ban on digital currencies, should be implemented.

Capital Flow And Bank Lending Channels In A Small Open Economy: Evidence From Indonesia, Advis Budiman, Solikin M. Juhro, Sugiharso Safuan

Bulletin of Monetary Economics and Banking

This paper investigates the implication of macro-financial linkages to explain the interaction of the financial and business cycles as the primary contributor to understanding the fluctuations in the Indonesian economy. It attempts to capture the interaction of the global financial and domestic business cycles through portfolio flow by incorporating investor behavior through a preference for domestic asset classes. Furthermore, due to information asymmetries between lenders and borrowers, we include the monitoring cost to explain the transaction cost in the credit market as a factor that drives macroeconomic fluctuations. Our findings demonstrate how financial imperfections can amplify the impact of global …

The Economics Behind The Legalization Of Sports Gambling And Financial Market Relations, John Bassham

Finance Undergraduate Honors Theses

With the recent legalization of sports gambling, it has become a popular spectacle among sports fans and financial analysts pursuing an understanding of it. This thesis dives into the meticulous relationship between sports gambling and economic factors/financial market relations using academic literature to understand the relationship.

The thesis explores sports gambling from an economic standpoint using incentives to understand the market participants and economic advantages and disadvantages. It also uses academic literature and analytics to make a case for market efficiency while also delving into particular inefficiencies.

Furthermore, this thesis uses characteristics of the stock market in comparison of the …

Digitalization And Economies Of Oic Countries, Mohsin Ali, Urooj Anwar, Mudeer Ahmed Khattak, Muhammad Umar Islam

Bulletin of Monetary Economics and Banking

This paper studies the impact of digitalization on the Organization of Islamic countries (OIC) economies. The study is conducted to see whether digitalization is playing its role in enhancing economic growth. We employ a panel dataset consisting of twenty-one years from 2000 to 2020 for 57 OIC countries. We use the system generalized method of moments (GMM) estimator. The results indicate that digitalization positively impacts the economies of OIC countries. As for policy implication, this study recommends governments of OIC member countries to invest in digital infrastructure in order to foster economic growth.

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 …

The Macroprudential Myth, Jeremy C. Kress, Jeffery Yufeng Zhang

Articles

According to conventional wisdom, the 2008 fnancial crisis fundamen- tally changed how policymakers approach fnancial regulation. Before the crisis, regulators sought to prevent individual fnancial institutions from collapsing, but this “microprudential” strategy proved inadequate to stop the market-wide meltdown. In response, policymakers purportedly turned to a new “macroprudential” approach that prioritizes the stability of the fnancial system as a whole instead of individual institutions in isolation. Regulators in the United States and abroad enthusiastically embraced macroprudential policy, implementing stress tests, capital buffers, liquidity requirements, and other supposed macroprudential tools. As the United States’ top bank regulator declared in 2015, “[W]e …

Euro-Denominated Credit Liquidity: Tracing Cyclical Phases In Global Finance, Mateusz Mariusz Mierzejewski

Journal of Banking and Financial Economics

In the past few years, set against the backdrop of pandemic mitigation efforts and the resultant inflationary spike, the macrofinancial landscape has undergone significant transformation. The tightening of monetary policy by global central banks in response to these phenomena has notably affected global financial liquidity, particularly within the realm of foreign currency lending. This article delves into the shifts in credit liquidity, centering on the Global Liquidity Index for euro-denominated loans across European Union nations over the last two decades. Through the application of the Fourier Transform, we analyse the cyclical patterns within the index and delineate the primary phases …

Essays On Consumption Dynamics, Shaun M. Gilyard

Graduate Theses, Dissertations, and Problem Reports (ETD)

This dissertation, titled "Essays on Consumption Dynamics," comprises three chapters delving into consumer behavior within the context of household financial management. It sheds light on how consumers navigate their budgets concerning daily expenses, particularly around bill payments, and examines the potential influence of household financial holdings on the redistribution effects of monetary policy.

The first chapter delves into how consumers strategically handle their budgets in proximity to bill payments. Analyzing daily transaction-level data containing detailed expenditure information, it reveals a trend of consumers deferring non-bill expenditures until after bill payments. Spending spikes by 41% - 51% above average on the …

Modelling The Naira Exchange Rate Dependence Using Static And Time-Varying Copula, Kabir Katata

CBN Journal of Applied Statistics (JAS)

This paper examines the dependence structure of different currencies versus the Nigerian Naira using constant and time-varying copula. Daily Naira/USD, Naira/Yuan, Naira/Pound, and Naira/Euro exchange rates from 23 December 2011 to 12 May 2020 were utilised. We fitted eight constant and time-varying copula families using the exchange rate standardised residuals. The study finds that the Naira exchange rate may be estimated with student t-copula, Symmetrized Joe-Clayton (SJC), or Rotated Gumbel copula models and Autoregressive (AR)– Glosten Jagannathan RunkleGeneralized Autoregressive Conditional Heteroscedastic (GJR-GARCH) (1,1) models with skewed t residuals for margins. The Naira exchange rate returns is timevarying, tail-dependent, and asymmetric. …

The Effect Of Financial Inclusion On Food Security: Evidence From Developing And Developed Countries, Yasmin Yasmin, Sekar Utami Setiastuti

Economics and Finance in Indonesia

This study investigates the global impact of financial inclusion on food security, with a focus on both developing and developed countries. The study constructs a financial inclusion index using the Sarma method and secondary data sourced from IMF and World Bank databases. System GMM is employed as the estimation method due to its effectiveness in addressing endogeneity issues and its efficient and consistent use of instruments. The analysis reveals that financial inclusion has a positive and statistically significant effect on food security across all research sub-samples. In addition, the study incorporates interaction variables between financial inclusion and the COVID-19 pandemic …