Finance Commons^™

Recessionary Woes: Examining Economic Policies And Their Impact On Student Loan Debt And Housing Stability In The United States, Connor Recck

Senior Theses and Projects

Recessionary periods can seldom be avoided, but our modern public infrastructure has designed mechanisms to respond to these downturns. Economic policy has rapidly changed over the last 50 years, and the types of tools policymakers use have evolved with it. When looking at the Great Recession (2007-2009) and the COVID-19 recession (2020), a federal response structure was vital for the health of the macroeconomy. These recessionary periods serve as case studies for a review of economic policymaking activity in the United States since 2000. To examine the efficacy of the federal government’s fiscal and monetary infrastructure, policies focused on supporting …

Optimal Interventions In Networks During A Pandemic, Roland Pongou, Guy Tchuente, Jean-Baptiste Tondji

Economics and Finance Faculty Publications and Presentations

We develop a model of optimal lockdown policy for a social planner who balances population health with short-term wealth accumulation. The unique solution depends on tolerable infection incidence and social network structure. We then use unique data on nursing home networks in the US to calibrate the model and quantify state-level preference for prioritizing health over wealth. We also empirically validate simulation results derived from comparative statics analyses. Our findings suggest that policies that tolerate more virus spread (laissez-faire) increase state GDP growth and COVID-19 deaths in nursing homes. The detrimental effects of laissez-faire policies are more potent for nursing …

Public Support: A Missing Variable In The Trade Policy Equation, Jill O’Donnell

Yeutter Institute International Trade Policy Review

As Canada considers launching free trade agreement (FTA) negotiations with Ecuador, the government wants to know what Canadians think. Ottawa makes it easy for citizens to weigh in, inviting Canadians to “join the discussion” and submit their “views, reflections and priorities” on the potential FTA through a Global Affairs Canada web page that is clear, inviting, and user-friendly. Under a section titled, “Who should participate?” the first answer given is “individuals.”

Although the Biden administration has been clear that it will not seek new FTA negotiations, taking a page from Canada’s public consultation playbook may be instructive, at least when …

The Effect Of Corruption Control On Efficiency Spillovers, Levent Kutlu, Xi Mao

Economics and Finance Faculty Publications and Presentations

We examine the effect of corruption control on efficiency and its implications for efficiency spillovers by a stochastic frontier model. Our dataset covers 102 countries from 1996 to 2014. We find a positive relationship between corruption control and efficiency. If neighboring countries have difficulty in handling corruption, the country would be negatively affected by its neighbors' corruption through efficiency spillovers. We then compare the efficiency differences across countries for three time periods: 1996–2002, 2002–2008, and 2008–2014. On average, technical efficiencies slightly increased in the second period compared to the first period. In the third period, the efficiencies declined, particularly in …

The Zero-Leverage Policy And Family Firms, Pedram Fardnia, Maher Kooli, Sonal Kumar

Finance Department Faculty Journal Articles

Purpose – The purpose of the study is to examine the zero-leverage (ZL) phenomenon in family and non-family firms.

Design/methodology/approach – The authors consider three hypotheses and empirically test them using a sample of the largest US firms over the 2001–2016 period.

Findings – The authors find that, on average, 19.20% of family firms have zero debt vs 10.42% for non-family firms. The authors also find that family firms strategically choose to be ZL to maintain financial flexibility for future investments and exercise control over the decision-making process, consistent with the hypotheses of financial flexibility and control considerations. However, non-family …

Hedging Cryptos With Bitcoin Futures, Francis Liu, Natalie Packham, Meng-Jou Lu, Wolfgang Karl Haerdle

Sim Kee Boon Institute for Financial Economics

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios may not be suitable for hedgers. In this work, we consider two extensions of the traditional approach: first, different dependence structures are modelled by different copulae, such as the Gaussian, Student-t, Normal Inverse Gaussian and Archimedean copulae; second, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to find the optimal hedge ratio. Extensive out-of-sample tests using the data from the time …

Exchange-Traded Funds And Real Investment, Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam, Chengzhu Sun

Research Collection Lee Kong Chian School Of Business

We investigate the link between exchange-traded funds and real investment. Cross-sectionally, higher ETF ownership is associated with an increased sensitivity of real investment to Tobin's q and a heightened ability of stock returns to forecast future earnings. Inclusion of stocks in industry ETFs enhances investment-q sensitivity and implies greater incorporation of earnings information into prices prior to public releases. Greater nonmarket ETF ownership leads to increased (reduced) reliance of real investment on own (peers') stock prices. Overall, the evidence is consistent with ETFs positively affecting real investment efficiency via greater flows of information.

Assessing The Odds Of A Us Recession, Thomas Lam, David Fernandez

Sim Kee Boon Institute for Financial Economics

In this commentary, SMU Sim Kee Boon Institute for Financial Economics (SKBI) Principal Researcher Thomas Lam and SKBI Director SMU Professor of Finance (Practice) Dave Fernandez offer their perspectives on the current multifaceted and highly charged US recession debate. While America is currently not in a downturn, the near-term odds of one have edged up, according to models based on key monthly and weekly indicators.

Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning

Doctoral Dissertations (DBA)

Over the past decade, the rise of Geopolitical Risk (GPR) has had a significant effect on macro financial variables, prompting central banks to accumulate reserves as a "war chest" to protect their economies from the detrimental effects of such shocks. This study examines the asymmetries in the long run, short run, and locational asymmetric effects on foreign reserves in the BRICS countries, using both the Nonlinear ARDL (NARDL) and Quantile ARDL (QARDL) models over the period 2000Q1–2021Q4. The results of the NARDL model suggest that GPR has long-run asymmetric effects for BRICS, while in the short run, all countries display …

Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper models the dynamics of Chinese yuan (CNY)–denominated long-term interest rate swap yields. The financial sector plays a vital role in the Chinese economy, which has grown rapidly in the past several decades. Going forward, interest rate swaps are likely to have an important role in the Chinese financial system. This paper shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as inflation or core inflation, the growth of industrial production, percent change in the equity price index, and the percentage change in the CNY exchange …

The Financialization Of Cryptocurrencies, Lei Huang, Tse-Chun Lin, Fangzhou Lu, Jian Sun

Research Collection Lee Kong Chian School Of Business

We show that change in Grayscale Bitcoin Trust premium is the single most significant predictor of Bitcoin daily return. This sentiment measure is similar to the closed-end fund discount measure as in Baker and Wurgler (2006), but more likely to reflect the excess demand from traditional investors than from blockchain specialists. Although there is a substantial variation in Bitcoin price quotes worldwide, this Grayscale premium and discount predict Bitcoin daily return for the most liquid Bitcoin exchanges. Using K-means clustering and LDA analysis, we find that this predictability is especially significant when there is a large variation in bullish and …

Impact Of Geographical Diversification And Limited Attention On Private Equity Fund Returns, Victor Ong

Research Collection Lee Kong Chian School Of Business

This article analyzes the effect of geographical diversification on global private equity (PE) fund returns. We find that there is a negative correlation between geographical diversification and PE fund returns. To establish the causality between geographical diversification and PE fund returns, we employ an instrumental variable analysis where the instrument used is the stock market capitalization of the host country where the PE fund is based. Our results apply to Net IRR, TVPI and DPI as dependent variables used to proxy for PE fund returns in the main regression model. A one standard deviation increase in geographical diversification results in …

Get Rich And Die Trying: Capitalism, Its Repetitions, And The Financial Plot, Richard Chapman Matis

Graduate College Dissertations and Theses

Most people want to be rich, and the reasons why usually do not require exposition. Despite gospel warnings about the difficulties of the wealthy entering paradise, multitudes clamor for the possibility of facing this dilemma firsthand. Tales from antiquity and mythologies utilize recognizable archetypes such as the profligate spender or stubborn miser that are still employed as rote moral instruction today. In one sense, exchangeability between positions of rich and poor is a staple of social storytelling because of its universal mutual intelligibility across time and place. Modern readers can likely identify descriptors and coding of rich and poor, despite …

Evaluating The Impact Of Bitcoin On International Asset Allocation Using Mean-Variance, Conditional Value-At-Risk (Cvar), And Markov Regime Switching Approaches, Mohammadreza Mahmoudi

Graduate Research Theses & Dissertations

This paper aims to analyze the effect of Bitcoin on portfolio optimization using mean-variance, conditional value-at-risk (CVaR), and Markov regime switching approaches. I assessed each approach and developed the next based on the prior approach’s weaknesses until I ended with a high level of confidence in the final approach. Though the results of mean-variance and CVaR frameworks indicate that Bitcoin improves the diversification of a well-diversified international portfolio, they assume that assets’ returns are developed linearly and normally distributed. However, the Bitcoin return does not have both of these characteristics. Due to this, I developed a Markov regime switching approach …

The Impact Of Credit On Domestic Investment: Case Of West African Economic And Monetary Union Countries, Sylvie Sanou

Graduate Research Theses & Dissertations

This thesis evaluates the impact of credit offered by the banking system on the investment rate of seven West African countries that are members of the West African Economic and Monetary Union (WAEMU) countries using data from the World Bank dataset from 1996-2012. Using a fixed effect model and random intercept model, I find that the credit offered by the banking system to private investors has a positive and statistically significant effect on the investment rate. In contrast, no significant effect was found for the credit offered by the banking system to the government. Further, I find a negative relationship …

Offshore Entanglements, Martin W. Sybblis

Faculty Articles

For decades, scholars have struggled to determine how to deploy laws and legal institutions to spur economic prosperity. But, without knowing which legal rules and institutions to prioritize for a particular social context, the outcomes have been generally unsatisfactory. The case of offshore financial centers provides fresh and compelling new insights into this puzzle. This Article uses the sociological concept of community economic identity (“CEI”) to understand why some offshore financial centers prioritize investments in legal institutions that bolster their offshore finance enterprises while others do not. CEI refers to a community’s shared identity that is linked to a specific …

The Impact Of Financial Literacy On Financial Capability: Evidence Based On The National Financial Capability Study, Ramon Müller

Master's Theses and Doctoral Dissertations

This research examines the relationship between financial literacy and financial capability using cross-sectional data of the United States population from five different triennial surveys. Financial literacy is measured in terms of financial education attendance, and financial capability is measured in terms of how well people make ends meet in a typical month. Regression analysis was performed using probit models to determine the likelihood of financial difficulty in relation to financial education and other demographic characteristics. Results confirmed that individuals who had financial education were 5% less likely to suffer financially The results also demonstrated that when financial practices commonly taught …

Socio-Economic Comparative Analysis Of Front-Of-The-Meter And Behind-The-Meter Microgrids For Panamnik, Olivia C. Amann Mcshea

Cal Poly Humboldt theses and projects

In Northern California, the Karuk Tribe is feeling the effects of climate change on inadequate energy infrastructures leading to unreliable power supply. Improving energy reliability in a way that also increases energy sovereignty is necessary. Renewable energy microgrids have emerged as a pathway forward.

Modeling ownership structures and cash flows for different microgrid configurations can support the Tribe’s implementation of a microgrid in Orleans, CA that maximizes community benefits. This thesis considers a front-of-the-meter (FTM) and behind-the-meter (BTM) configuration, both approximately 2 MW solar PV and 3 MW/12 MWh battery energy storage. Cash flows including capital costs, operations and maintenance …

Financial Alcoholism: An Institutionalist Analysis Of The Repeal Of The Glass-Steagall Act And 2008 Financial Crisis, Eli C. Shapiro

Senior Projects Spring 2023

The thesis argues that the the repeal of the Glass-Steagall Act in 1999 was not a leading cause of the 2008 Financial Crisis but did contribute to its scope. It finds that the American economy was already on track before the repeal for a late-2000s financial crisis due to sectoral imbalances as well as the rise of money manager capitalism during the decades before the repeal. However, the repeal contributed to the "legitimization" of financial holding companies and originate-to-distribute model, spreading toxic assets around the financial sector and exposing depositors to this risk during a time of rapidly increasing banking …

Optimal Portfolio Construction For Oil-Based Sovereign Wealth Funds, Mohammed Saeed Alshowaikhat

CGU Theses & Dissertations

Chapter 1 of this dissertation delves into the economic challenges faced by oil-exporting countries that rely heavily on a single income source, with a particular focus on Saudi Arabia as a case study. The primary objective is to examine the efforts of Saudi Arabia's sovereign wealth fund in diversifying revenue streams and mitigating risks associated with an excessive dependence on oil. To achieve this, the study proposes an adaptation of the subset-optimization algorithm within the mean-variance model, aiming to enhance portfolio construction in sovereign wealth funds. Chapter 2 of the dissertation conducts a comparative analysis between portfolios constructed using the …