A R&D Based Real Business Cycle Model
Author:
Ka Wai Terence Fung
Year of Dissertation:
2011
The New Keynesian Real Business Cycle model with staggered price adjustment is augmented with a R&D producing sector. Two sources of economic shocks are separately considered, namely random paricipation (perturbances to value of alternative investment opportunities in another sector) and financial intermediation (shocks to the cost of raising capital in the financial intermediation market). We find that, when comparing to the baseline model, both random participation and financial intermediation models can explain pro-cyclical R&D spending. Additionally the investment oversensitivity problem is corrected. However, only the financial intermediation model is consistent with the observed finding that the volatility of R&D is larger than that of investment and output.
ESSAYS ON CENTRAL BANK INTERVENTIONS IN ADVANCED AND EMERGING MARKET ECONOMIES AN APPLICATION TO JAPAN AND TURKEY
Year of Dissertation:
2009
Despite the move to floating exchange rates after the breakdown of the Bretton Woods system in 1973, Foreign Exchange Intervention (FXI) remains a commonly used tool for influencing exchange rates in most developed economies as well as emerging markets. The objective of this study is threefold which can be seen in my separate essays.
MODELING THE DEPENDENCE BETWEEN STOCK INDEX AND EXCHANGE RETURNS WITH COPULA-EXTREME VALUE THEORY BASED SEMIPARAMETRIC APPROACHES AND THEIR APPLICATIONS IN RISK MANAGEMENT
Year of Dissertation:
2009
Measuring Value-at-Risk (VaR) is an important function in financial risk management. One of the most popular methods of computing VaR is the Monte Carlo simulation, which focuses on utilizing an appropriate approach to estimate the dependence between returns of financial assets. However, the existence of fat-tailed, skewed distributions and non-linear relationships of financial asset returns makes conventional Pearson product-moment coefficient approach incongruous. To overcome this difficulty, the current research applies the extreme value theory (EVT) in order to model the tails of the return distributions and copula functions to build the joint distribution of returns. More specifically, in the copula-EVT-based methodologies, the marginal distributions of asset returns are modeled using a semiparameter approach in which the distribution center is modeled by a nonparameter empirical distribution and the distribution tails are modeled by the generalized Pareto distribution (GPD) with parameters; furthermore, three copula functions---Gaussian, Gumbel, and Clayton---are applied to model the general, upper-tail, and lower-tail dependencies.
MONETARY SHOCKS AND THE BOND MARKET'S REACTION: EVIDENCE FROM THE NARRATIVE APPROACH TO SHOCK IDENTIFICATION
Year of Dissertation:
2009
This paper studies the effect of monetary policy on bond yields using the narrative shocks derived from the work of Romer and Romer (AER, 2004). Monetary shocks are orthogonalized against authorities' forward-looking behaviors, thereby capturing the true monetary effect on the economy. The challenge in empirical studies examining monetary policy is how to develop a measure that can accurately distinguish the endogenous policy movements from the exogenous monetary shocks.
ESSAYS ON THE MUNICIPAL BOND MARKET
Year of Dissertation:
2013
This dissertation focuses on the municipal bond market. Chapter 1 first introduces the classification of municipal bonds, then summarizes the literature that talk about the determinants of municipal bond yields, and finally classifies the determinants into three classes: the economic status of the state where the bond is issued, the demographic characteristics of the state, and the financial status of the state or the local government where the bond is issued. Chapter 2 introduces two nonparametric econometric techniques, including nonparametric regressions and gradient boosting. Compared with traditional ordinary least square methods, these two techniques can help us capture both nonlinearity and potential random interactions among key determinants in the analysis of municipal bond yields. Chapter 3 performs a comprehensive analysis on the determinants of general obligation municipal bond yields and examines the impact of the recent financial crisis on the underlying relations. A systematic comparison of the relations before and after the 2008 financial crisis shows that the economic and financial health of local governments has become markedly more diverse since the crisis began. The relation between the municipal bond yields and the economic and financial health of the local governments has also become stronger because of the larger differentiation among the local governments and hence larger signal to noise ratio, as well as closer scrutiny by market participants on the economic fundamentals of municipal governments. Chapter 3 also provides a new prediction framework and shows that accommodating nonlinearities and random interaction effects can significantly enhance the predictive performance on the municipal bond yields.
AN ANALYSIS OF THE LABOR MARKET, INTERNATIONAL MIGRATION AND REMITTANCES DURING TRANSITION: THE CASE OF ALBANIA
Year of Dissertation:
2013
This dissertation consists of four chapters exploring the transition dynamics of unemployment and migration of Albanian workers as well as the remittances sent by migrant workers to their households in Albania.
Effects of Health Status on the Decision to Retire with Corrections for Measurement Error
Year of Dissertation:
2009
Many studies on the relationship between labor supply and health status generally do not illustrate a unanimous agreement on the usage of subjective and objective health due to the difficulty in employing the right measures to obtain the precise and up-to-date information on the health status of subjects in question. Thereby, to resolve this quandary, we propose two models; the first model addresses how a researcher could obtain more appropriate estimate in health measure with measurement error; the other model examines whether probabilities questions within and across waves could potentially result in another measurement error.
Three essays on the foreign exchange markets
Year of Dissertation:
2010
The first essay study the explanation power of the macroeconomic news for the foreign exchange fluctuation. We use Kalman filter and maximum likelihood method to extract several dynamic factors from 27 noisy and sparsely observed macroeconomic news deviations. We further input the news factors as independent variables in our VECManalysis. The fitted results show that the news factors' contribution is limited. The out of sample prediction yields the same conclusion.
Essays on Labor Market Matching, Labor Mobility and Educational Mismatch
Year of Dissertation:
2012
This dissertation includes three essays on labor market matching, labor mobility and educational mismatch.
Essays on Firm Financials and Stock Returns-Evidence from Monetary and Asset Pricing Perspectives
Year of Dissertation:
2012
This dissertation studies the link between firms' external financial constraint and stock returns. Having identified the difference between financial distress and financial constraint (non-distressed), the paper investigates both problems separately. 1) Based on Bernanke, Gertler, Gilchrist (1999)'s theory on the financial accelerator, I show that firms' leverage can capture firms' exposures to distress risks. Sorting firms by their leverages and book to market