Finance Commons^™

The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng

Dissertations and Theses Collection (Open Access)

In this paper we examine how stock returns in China respond to monetary policy announcements made by PBC in a short term around announcement day. We employ a nonparametric event-study method to investigate such reactions. We arrive at the following conclusions. Firstly, there is information leakage of monetary policy changes, which is verified by significant changes in stock returns before monetary policy announcement and quitness of stock market after announcement. Secondly, financially constrained and financially unconstrained firms respond quite similarly to monetary policy shocks, which disobeys credit channel of monetary policy transmission in the short run. Thirdly, reserve ratio changes …

Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti

Dissertations and Theses Collection (Open Access)

This thesis studies a model presented by Neumeyer & Perri (2005), which aims to explain the strong countercyclicality of interest rates and net exports in emerging market economies. The model accomplishes this by decomposing interest rates into an international rate and a country risk component, and by making labor demand sensitive to movements in these rates via a working capital constraint imposed on the representative firm. Moreover, it proposes two approaches to determining the stochastic processes for these interest rates: the independent country risk case and the induced country risk case. The induced country risk model calibrated to Argentine data …

Hyperbolic Systems Modeling Currency Hoarding, Elena Quercioli, Jeffrey Rauch

School of Economics and Finance Faculty Publications

We introduce and analyse linear systems of hyperbolic partial differential equations that model the replacement and hoarding of currency. The goal is to deduce the hoarding behavior from observations of circulating bills. The large time asymptotics of the models is identified in all cases. The mathematical analysis is novel, partly because of nonstandard boundary conditions. To identify parameters we suggest the measurement of the age histogram of notes, the rate of growth, and the retard in wear of notes due to hoarding. In our models that suffices to identify all but one quantity.

Firm And Industry Characteristics Of Exchange Rate Exposure And Optimal Hedging Strategy: Evidence On China, Fen Yan

Dissertations and Theses Collection (Open Access)

Understanding the effect of foreign exchange rate movements on the value of firm is a critical element for the purpose of risk management. In this thesis, firm and industry specific exposures to exchange rate movements in the Chinese market before and after the exchange rate regime reform in 2005 are examined. We observe that at the one-week return horizon, among all the firms listed in the China Exchange Market before the year 2001, less than 10% of the firms exhibit significant "residual exposure" to bilateral exchange rate movements against China’s major trading partners before the reform. In contrast, the proportion …

Managing Capital Flows: The Case Of Singapore, Hwee Kwan Chow

Research Collection School Of Economics

The resurgence of private capital inflows into Asia in recent years has raised the question of whether the region is susceptible to yet another financial crisis. While a sudden large-scale reversal of capital flows is not likely to result in a liquidity crunch or balance of payments crisis, the attendant sharp corrections in asset prices will have an adverse impact on the economy particularly through indirect channels. We present, in this study, Singapore’s experience in managing the risks posed by capital flows as well as the retention of control over exchange rates and monetary conditions. It is the overall package …

Risking Returns: Moving From Public To Private Equity, Aurobindo Ghosh

Research Collection School Of Economics

The notion of risk identifies a project that matches with the risk appetite of an entrepreneur not necessarily the investors. This can explain why entrepreneurs would start up companies but it cannot explain why ex-post the investors continue, given that a diversified portfolio of publicly traded assets could potentially generate similar return with lower risk. We re-evaluate the evidence through performance measures using relative probability distributions of public and private equity funds, and identify the nature of the deviations. We observe that the heterogeneity in different investor classes are greatly reduced using standard covariates to identify the choice between public …

Market Structure And Mortgage Pricing: The Role Of Information In Firm And Consumer Behavior, Abdullah A. Al-Bahrani

University of Kentucky Doctoral Dissertations

This dissertation analyzes information, market structure, and firm pricing strate-gies. I begin the dissertation with an analysis of the market structure of the mortgage in-dustry. I find that the configuration of the mortgage market at its present state is vastly different than its historical structure. The reduction in the cost of transmitting informa-tion has increased the collaborative environment and facilitated the dis-integration of the supply chain. Generally, the mortgage industry has been successful at reducing principal-agent problems and minimizing asymmetric information concerns that arise in segmented markets.

In the first essay I provide a theoretical explanation of the effect of …