Author : Na Jiang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Book Synopsis Essays on Macroeconomics and Financial Econometrics by : Na Jiang
Download or read book Essays on Macroeconomics and Financial Econometrics written by Na Jiang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes two chapters. The first chapter focuses on the asset pricing implication of the consumption-based capital asset pricing model with incomplete asset markets. The second chapter provides a new explanation for the labor share decline in the US manufacturing sector. Chapter 1 This chapter evaluates the asset pricing implication of the consumption-based capital asset pricing model with incomplete asset markets. Instead of measuring risk by the covariance of an asset's return and the representative household's marginal rate of substitution, I measure risk by the covariance of an asset's return and the stochastic discount factor that depends on higher-order moments of the cross-sectional distribution of individual household's consumption. While the representative household's marginal rate of substitution explains little of the variation in average returns across the 25 Fama-French portfolios, I find that the stochastic discount factor expressed as the average of individual households' marginal rate of substitution could explain more than 20% of this variation based on 1982-2017 Consumer Expenditure Survey data. Chapter 2 Marketing labor cost accounts for a substantial fraction of total labor costs in the US manufacturing sector, and previous research has argued that firms enjoy higher operating efficiency when selling to fewer, larger customers. To study the effect of customer choice and the associated marketing labor cost on the upstream industry's labor share, this paper develops a tractable model in which upstream firms incur a fixed relationship cost (marketing labor cost) to match with each downstream customer, choose an optimal number of customers, and hire production workers in a frictional labor market. Fit to the customer records of US manufacturing firms in Compustat, the model captures the key cross-sectional relationship between customer reliance (sales share from dominant buyers), sales, and operating efficiency. In the calibration, a mean-preserving demand concentration shock that captures 43% of the rise in customer reliance can explain 39% of the decline in labor share in US manufacturing from the 1990s to the 2000s. The mechanism is that when the downstream demand becomes more concentrated among fewer and larger firms, on average upstream firms optimally sell to fewer customers and reduce their marketing labor cost, which in turn leads to the rise of customer reliance and decline of labor share observed in the data.
