Alumni Dissertations

 

Alumni Dissertations

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  • Essays on the Impacts of the "Great Moderation" on Business Cycle Modeling

    Author:
    Andre Neveu
    Year of Dissertation:
    2009
    Program:
    Economics
    Advisor:
    Merih Uctum
    Abstract:

    The research presented here is a comprehensive analysis of research on the "Great Moderation" and its impact on business cycle modeling. In the presence of a less volatile aggregate economy, the methods of modeling business cycles have fundamentally changed along with the ability to detect turning points in the business cycle using standard algorithms. Chapter One lays out the historical case for modeling the business cycle in a manner placing importance on the ability of a model to replicate features observed in actual GDP data, such as the depth and length of recessions, or the average height of expansions. Chapter Two compares different business cycle models by their ability and accuracy in reproducing features of observed GDP data in simulated Monte Carlo paths. Comparisons are made by examining how volatility moderation affects business cycle modeling for the U.S., U.K., and Australia. Univariate ARIMA, structural change, and Markov-switching ("MS") models are estimated and used to simulate time paths using Monte Carlo methods. These results generally support previous findings that MS models are superior to linear models and comparable to structural change models at fitting business cycle characteristics. Tests show that to replicate business cycle characteristics, MS models must account for independent shifts in mean and volatility parameters. Substantial new evidence shows that commonly specified MS models with a simple linear structure, constant variance, or state-dependent volatility are sub-optimal and should be avoided in practice. Results indicate that models attempting to replicate business cycle features in any series should consider the importance of how volatility is modeled prior to estimation. Evidence is also presented showing that the Great Moderation may have recently ended. Chapter Three examines algorithm robustness used to conclude that independent switching models are better able to replicate business cycle features. Robustness is tested by varying the parameters of dating algorithms used to detect turning points. Evidence shows that the "window" and "censor" used for turning point selection criteria does not lead to substantial changes in the conclusions of our previous findings implying that our results are not artifacts of the algorithm, but due to the actual economic model itself.

  • Governance and Merger Activity in Banking

    Author:
    Thomas Piskula
    Year of Dissertation:
    2011
    Program:
    Economics
    Advisor:
    Gayle DeLong
    Abstract:

    One method of evaluating the success of management decisions regarding acquisitions is to examine equity price movements as the news of the merger is made public. The price movement of the acquiring firm's equity around the announcement of the acquisition indicates if shareholders believe management has acted in their interest. In the banking industry, researchers have found that on average equity values of the acquiring bank do not display abnormal positive returns upon announcement, and often display statistically significant negative returns. Another line of research has documented that CEOs are better compensated for managing larger organizations, particularly when involved in merger activity. This study investigates the possibility of a linkage between weak firm-level corporate governance structures at banks and their propensity to make acquisitions that produce negative reactions from equity holders. A commercially-sold governance index from Institutional Shareholder Services is used to measure governance strength. Acquisition events are from the comprehensive Thomson Reuters SDC merger database and equity values are from CRSP. I find that weaker corporate governance is associated with inferior stock market reactions upon announcement of an acquisition. This result should be of interest to regulators as they monitor corporate actions for covert motives, and to investors in their investment selection process. I then explore which aspects of corporate governance have the most significant connection to the equity market reception. Surprisingly, a parsimonious index of two factors has the explanatory power of the 55 available governance attributes in this bank merger context. I also show that in this dataset, which is composed of US banks purchasing US entities, acquirers with stronger (weaker) governance have a propensity to select targets with stronger (weaker) governance. Lastly, for cases in which the target firm is a bank that is publicly held or that has an ultimate parent that is publicly held, I investigate whether good governance at the target or its parent is associated with more positive movement of the acquirer's equity price at the time of the merger announcement. The results are robust to the use of a bank sector market index in place of the overall market index.

  • ESSAYS ON INCOME DISTRIBUTION

    Author:
    Yan Qin
    Year of Dissertation:
    2009
    Program:
    Economics
    Advisor:
    Michael Grossman
    Abstract:

    Three papers comprise this dissertation. The first reexamines the relationship between the urbanization and the income inequality of the total China's residents. We start from the question whether the change of the income inequality of China's residents follows the Kuznets's Inverted-U hypothesis. Although the change of the income inequality inside the rural area and urban area doesn't follow the Kuznets's Inverted-U hypothesis, according to our research, the change of the income inequality of the total residents supports the Kuznets's Inverted-U hypothesis. The most important cause resulting in the change of the income inequality of the total residents appearing the inverted-U is that the change of the income inequality caused by urbanization has entered the decreasing phase during the recent years, which makes the income inequality of the total residents begin to decrease, or makes its increasing speed begin to decrease gradually. In the future, for decreasing the income inequality of the total residents, the two kinds of the polices will be provided: on the one hand, the barrier which block the shift of the labor from the rural area to urban area must be broken, and the urbanization should be accelerated; on the other hand the income of the rural residents must be improved as soon as possible, the urban-rural gap will shrink. The second paper more closely examines the main factors influencing income inequality of urban residents in China. Recently, the continuing enlargement of urban residents' income inequality in China has caused much concern from society, among which, the discussion on main factors leading to deteriorating income inequality becomes the focus of income distribution research. The author of this thesis uses two methods to reveal the contribution of urban population characteristics to income inequality based on the sampled data collected by Investigating Team of Urban Society and Economy of Tianjin from 3000 households in 2004.It shows that occupation or duty, education and industry differences are the three main factors effecting urban residents' income inequality, and they contribute up to 40% of urban residents' income differences. Specifically, surpassing industry features, the features of occupation or duty become the most significant factors influencing income, followed by the factors of education levels, and industry features retreat to be the least import among the three ones. Accordingly, the author proposes his suggestions to the adjustments of urban residents' income distribution, namely, the principle of "Controlling Two Ends of Income Ranks, and Increasing the Number of Residents with Intermediate Income". In other words, a diamond-shaped income distribution system should be established by improving the condition of low-income residents and limiting the expansion of high-income stratum, and finally, enlarging the group in between. The third paper studies education and environment in China. The paper uses two-stage Durbin method to analyze Chinese economic growth, we find that in China, labor market has redundant and labor elasticity of GDP is negative. Physical capital investment has wrong direction and physical capital elasticity of GDP is negative also, the reasons of GDP growth are human capital and "pollution". So, if China plans to make a harmonious society, achieves its GDP target and control "environment", the only way is increasing human capital investment to support China's sustainable and green growth. We find China faced a policy dilemma between economic growth and environment. At the conclusion, we give following three suggestions: Increase investment in human capital, protect intellectual property right and privatization property right, "One Family, One Car" policy.

  • The Financial Accelerator and Fixed Asset Investment

    Author:
    Heather Roberts
    Year of Dissertation:
    2011
    Program:
    Economics
    Advisor:
    Thom Thurston
    Abstract:

    The foundation of this paper is the theory of the financial accelerator. The implication of the financial accelerator is that small firms have less access to debt than do large firms, and this difference is greater during recessions. Therefore, smaller firms are at a disadvantage during recessions, and this disadvantage can have significant and long-lasting effects. This paper examines the role of credit and the effect on fixed asset investment over the business cycle. The results confirm that there is a shift in credit from small firms to large firms during recessions, and, more specifically, that banks shift short-term debt from small to large firms. The main contribution of this paper to the work on financial accelerators is the focus on fixed asset investment. The results show that a positive shock to the Federal Funds Rate has no impact on large firms' fixed asset investment; however, a positive shock to the Federal Funds Rate negatively impacts the smallest firms' fixed asset investment five quarters after the shock occurs. During monetary tightening, small firms' fixed asset investments are more negatively impacted than are large firms' fixed asset investments, and this discrepancy is partially explained by access to credit.

  • ESSAYS ON SAVINGS BEHAVIOR OF LOW-INCOME HOUSEHOLDS IN COLOMBIA

    Author:
    Luz Salas
    Year of Dissertation:
    2014
    Program:
    Economics
    Advisor:
    Jonathan Conning
    Abstract:

    I designed and implemented a Randomized Controlled Trial to study whether relatively simple modifications to how a commitment savings product was framed and labeled could affect savings accumulations and other outcomes of low-income individuals in newly formed Village Savings and Loan Associations (VSLAs) in Colombia. Motivated by hypotheses from behavioral economics, the experiment tests hypotheses that behavioral responses should vary depending on whether subjects are led to label and create `mental savings accounts' in private or public ways. Individuals in the private-labeling treatment groups were led to label their savings as earmarked for a particular purpose and to state savings accumulation targets, information which was shared only privately with a member of the research team. Individuals in the public-labeling treatment groups received the same intervention but were then asked to publicly reveal and announce their chosen goals to other members of their savings group. The average treatment effects of the public-labeling intervention are very strong and significant. Savings accumulations increased by an average of 35% and savings goals were 8.5% more likely to be reached in comparison to those untreated. Further explorations strongly suggests evidence of differentiated behavioral responses of individuals in the private-labeling treatment group: private commitment to a savings goal is more effective for individuals who, after random assignment but prior to the intervention, had been measured to be less constrained by economic circumstances and institutional barriers. The analysis and interpretation of results was enriched by mixed methods for data collection: households' survey data, administrative records and qualitative data from focus groups discussions. Chapter 1 described the type of individuals that, being offered the option, decide to participate in VSLAs. Chapters 2 and 3 show how the interventions affect savings and other behaviors of individuals that participate in the interventions.

  • Demand for Cigarettes by Teenagers and Young Adults and Their Smoking Transitions

    Author:
    Ce Shang
    Year of Dissertation:
    2011
    Program:
    Economics
    Advisor:
    Michael Grossman
    Abstract:

    This paper provides the first comprehensive analysis of the effects of cigarette prices, cigarette excise taxes, smoke-free air laws, youth access laws, state spending on comprehensive tobacco control programs, socio-economic factors, and demographic characteristics on measures of demand for smoking, especially light and intermittent smoking by teenagers and young adults in a long panel. I employ the panel to estimate demand for cigarette smoking by young people and the determinants of transitions from light or intermittent smoking to heavy or regular smoking in the following years. Finally, I estimate transitions in the opposite direction: from regular or heavy smoking to light or intermittent smoking and to quitting. My findings indicate that the cigarette price and the price change significantly reduce the smoking prevalence, the conditional cigarette consumption, and the probabilities of some progressive smoking transitions, as well as increase the probabilities of regressive smoking transitions. The price elasticities implied for demand for cigarettes and smoking transitions are consistent with previous literature. In addition, most smoke-free-air laws, youth access laws, state spending on comprehensive tobacco control programs are effective in preventing progressive smoking transitions or promoting regressive transitions. Cigarette smoking is the leading cause of premature death in the United States and is directly responsible for nearly one-third of all cancer deaths. Knowledge of the effects of tobacco policies in reducing smoking will have very important public health implications. The findings from my study provide invaluable information to policy makers in decreasing the tremendous burden of tobacco related disease.

  • School Finance Reform in Vermont: Essays Evaluating Equity, Achievement, and Capitalization under Vermont's Equal Education Opportunity Act

    Author:
    Molly Sherlock
    Year of Dissertation:
    2009
    Program:
    Economics
    Advisor:
    Timothy Goodspeed
    Abstract:

    This dissertation consists of three papers exploring the impacts of Vermont's Equal Education Opportunity Act, Act 60, on equity, student achievement, and property values. The first paper evaluates the equity implications of Vermont's Act 60. Using data on per-pupil spending at the town level, it appears that Act 60 did equalize resources across pupils. Further, the relationship between per-pupil spending and a town's income as well as the relationship between per-pupil spending and property wealth were reduced. However, the magnitude of the reduction is diminished when private donations, induced by the high tax price many towns faced under Act 60, are included. The second paper explores the impacts of spending changes under Act 60 on student achievement. Under Act 60, per-pupil resources changed from year-to-year for many Vermont towns. This paper asks whether these changes in resources were associated with changes in student performance as measured by pass rates on standardized tests. Data on spending and test score pass rates are available annually from 1999 through 2004. Using these data, fixed effects and instrumental variables estimation techniques are employed. Changes in town spending under Vermont's Act 60 appear to have had a positive impact on 4th grade math pass rates. However, these spending changes did not significantly impact 4th grade writing or reading or 2nd grade reading pass rates. There is suggestive, but inconclusive, evidence that additional resources were more effective at increasing test score pass rates in initially low spending schools. There is not, however, any evidence that money was more effective in schools that were initially low achieving. The final paper examines how aggregate property values in the state of Vermont responded to changes in spending, tax rates, and student achievement under Act 60. In contrast to much of the literature, this study finds no evidence that property values in Vermont respond to changes in test score pass rates. Aggregate property values, however, do respond negatively to changes in tax rates. The relationship between aggregate property values and school spending proves most interesting. Spending only appears to be positively related to aggregate property values in towns that choose to rely on private donations to supplement school spending provided under the state's school finance system. This could be taken as evidence that additional school spending is only valued in districts that are constrained from spending at the desired level under Act 60 and not by all communities in the state.

  • Asset Prices, Wealth, and Inflation Predictability

    Author:
    Francois de Paul Silatchom Foyou
    Year of Dissertation:
    2009
    Program:
    Economics
    Advisor:
    Thom Thurston
    Abstract:

    This study examines the relationship between wealth, consumption and inflation. The study investigates whether the movements in asset prices can, among other things, have significant impact on the level of inflation. The study finds, from a permanent-transitory decomposition analysis of the variables, that consumption shocks are transitory while wealth shocks are permanent. It also finds evidence that the consumption-wealth ratio significantly predicts not only future asset returns, but also future inflation, over the entire time-horizon considered. These results imply that asset values appear to give helpful information about inflation in advance of its appearance, and to that extent it can help guide monetary policy.

  • Essays on Foreign Direct Investment, Trade and Development

    Author:
    Jing Sun
    Year of Dissertation:
    2011
    Program:
    Economics
    Advisor:
    Robert Lipsey
    Abstract:

    Essay 1: Most of studies on developing countries have found evidence that international linkages, such as foreign ownership, exporting, or importing, affect productivity growth, but since these variables are correlated, it is hard to distinguish among their effects. This paper tackles this issue by explicitly investigating and comparing the productivity effects of all three international linkages at plant levels in case of Indonesian manufacturing plants during 1993-2001. Overall, the paper finds that foreign ownership, first, and importing, second, but exporting doubtfully, promoted productivity growth. Productivity jumps in the year when plants are acquired by foreigners or when plants first start to import, although the productivity effects from importing become smaller after two years following the initiation of imports. Methodologically, I first obtain a measure of plant productivity that corrects for the selection and simultaneity biases. Then I control for plant characteristics through matched sampling techniques to establish proper comparison sets between plants with and without international linkages. Thirdly I apply difference-in-differences model and plant-pair fixed-effects regressions on matched samples. The unobserved plant characteristics are effectively controlled this way. Essay 2: Studies have shown that foreign direct investment (FDI) is the main driver for China's rapid export growth in recent decades. This paper asks how China's export growth is associated with the exports from its investing countries. I first examine and compare the evolution of the export growth of China and its investing countries over time (1962-2006), and then assess the similarity between their present export bundles by trading partners and sectors. The results show that China's export content is increasingly similar to that of its investing countries, despite China's relatively low income levels. Lastly, I identify the impact of China's export growth on its investing countries' exports using gravity equation. The results show a complementary relationship between China's exports and its investing countries' exports. Essay 3: Borrowed from the literature of program evaluation, the combination of difference-in-differences and propensity score matching is becoming popular in the literature of foreign direct investment (FDI). This study evaluates the extent to which the matching estimator is sensitive to the choice of matching methods in the study of foreign acquisition and compares the matching estimator with various panel data techniques widely used in the related literature that resolve the endogeneity issue. Using the panel data on Indonesian manufacturing establishments for 1975-2005, I find that the different matching methods produce similar estimates when the balancing property is satisfied. Furthermore, the estimates from the matching estimator are most similar to the fixed effects estimates and dynamic panel estimates.

  • THREE ESSAYS ON REPRODUCTIVE HEALTH POLICIES AND THE ECONOMICS OF FERTILITY AND MARRIAGE

    Author:
    Ruoding Tan
    Year of Dissertation:
    2013
    Program:
    Economics
    Advisor:
    Theodore Joyce
    Abstract:

    This dissertation is composed with three essays, each of which empirically examines the effects of reproductive health policy on marriage, fertility and risky sexual behavior. The first essay provides rigorous tests of the Akerlof, Yellen and Katz's (1996) hypothesis that legalization of abortion in the early 1970s changed young women's marriage decisions by making shotgun marriage unnecessary in the event of premarital pregnancy. The essay empirically investigates the role of greater abortion access in explaining changes in marriage rates, the age at first marriage and the probability of a shotgun marriage. The essay finds that the increase in abortion availability during the 1970s significantly reduced teen marriage rates and raised the age at first marriage. Empirical evidence also lends support to the Akerlof et al.'s hypothesis that legalization of abortion caused teenage women to be less likely to marry in response to premarital pregnancy. The second essay uses unique data on abortions performed in New York State from 1971-1975 to analyze the impact of legalized abortion in New York on abortion and birth rates of non-residents. The essay demonstrates that women travelled hundreds of miles for a legal abortion before Roe. Abortion rates declined by 12.2 percent for every hundred miles a woman lived from New York in the years before Roe. Each abortion was associated with approximately 0.60 fewer births among residents in states nearest to New York. The results suggest that if recent legislative policies were to eliminate abortion providers in some states, the change in population measures of birth and abortion rates would be small, but that they would have more substantial effects on the birth rates of teens and less advantaged women. The third essay tests whether the easier pharmacy access to emergency contraception (EC) induced teenager and young unmarried women to change their sexual risk-taking behavior in a way that leads to an increase in sexually transmitted diseases (STD) and abortions. Using synthetic control method, the essay evaluates the causal effect of easier access to EC on rates of gonorrhea and abortions in Washington State. The State approved pharmacy sell of EC in 1998 as part of a pilot program ten years prior to FDA's decision. The results indicate that Washington's pilot program had little effect on the prevalence of STD and abortion.