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Three Empirical Essays On International Finance And Trade
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Book Synopsis Three Empirical Essays on International Finance and Trade by : Hengrui Qu
Download or read book Three Empirical Essays on International Finance and Trade written by Hengrui Qu and published by . This book was released on 2006 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation covers two topics. The first essay uses a simultaneous Logit-Tobit model to analyze the congressional voting pattern on U.S. permanent normal trading relations (PNTR) with China in 2000. In particular, we focus attention on whether or not the agricultural lobby had a significant influence on the decision to normalize trade relations.
Book Synopsis Three Empirical Essays in Financial Economics and International Finance by : Marek Kolar
Download or read book Three Empirical Essays in Financial Economics and International Finance written by Marek Kolar and published by . This book was released on 2008 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intervention, Interest Rates, and Charts by : Mr.Mark P. Taylor
Download or read book Intervention, Interest Rates, and Charts written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-11-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Book Synopsis Three Essays in International Finance by : Byong-Ju Lee
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by Stanford University. This book was released on 2011 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Book Synopsis Three Essays in International Trade and Finance by : Huancheng Du
Download or read book Three Essays in International Trade and Finance written by Huancheng Du and published by . This book was released on 2018 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores the economic interactions and outcomes in the nexus of international trade and finance. The entire dissertation is divided into three chapters with each chapter addresses one specific economic problem that roots in the interaction of international trade and finance. In the first chapter, I attempt to draw theoretical implications on two particular questions. First, what is the trade liberalization effect on capital market outcomes? Second, how do trade liberalization and capital market conditions jointly affect labor market outcomes such as income inequality? The objective of this chapter is to integrate both labor market frictions and capital market imperfection into one coherent theoretical framework and study the important interactions of trade liberalization and financial market development, as well as their joint impacts on aggregate income inequality. In the second chapter, I aim to provide both theoretical foundation and empirical evidence in partially explaining country authorities' decisions on financial policies. In the third chapter, [w]e provide a novel way of extracting country-level fundamental news from the international trade network. Specifically, we show that sovereign CDS returns provide value-relevant information that slowly propagates through credit markets reflecting underreaction on a global scale.
Book Synopsis Three Essays in International Finance by : Byong-Ju Lee
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Book Synopsis Three essays on empirical finance by : Tse-Chun Lin
Download or read book Three essays on empirical finance written by Tse-Chun Lin and published by Rozenberg Publishers. This book was released on 2009 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on International Financial Markets by : Ling Feng
Download or read book Three Essays on International Financial Markets written by Ling Feng and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation studies two relevant topics in international financial markets. Why has the bias of equity portfolios towards domestic assets (the "equity home bias" puzzle) remained substantial? To what degree has the financial system as an independent source of uncertainty impacted the real economy, especially regarding the international trade? Chapter 1 proposes a dynamic stochastic general equilibrium (DSGE) model in which shocks to consumption tastes ("taste shocks") are an effective explanation for the equity home bias. The mechanism is that home assets provide a nice insurance property, which is not offered by foreign assets, for home agents to hedge against domestic taste shocks. The model finds that home equity bias positively relies on the persistence and the volatility of domestic taste shocks. Chapter 2 is devoted to presenting empirical evidence on the impacts of taste shocks on international portfolio allocations. The model described in Chapter 1 provides a structure with empirical implications, in that the equilibrium portfolio can be written as the sum of two conditional covariance-variance ratios based on a long-run horizon with all determinants observable. Using VAR estimation results, the empirical evidence suggests that models based on hedging against taste risks are more consistent with data than competing models based on labor income risks. Chapter 3, a joint work with Ching-Yi Lin, studies the impacts of credit crunch on the extensive margin and intensive margin of exports both empirically and theoretically. Panel regressions in the study reveal that a negative financial shock discourages exports by reducing the variety of goods exported as well as the export volume of each individual good. A DSGE model is developed to understand this finding, featuring financial shocks, enforcement constraint and firm entry. As the credit crunch happens, the costs of borrowing to finance firms' exports increase. It reduces individual firms' exports as well as aggregate exports and discourages firms' entry into the export market. The model can also explain the fact that trade dropped more than domestic production and GDP as observed in the most recent financial crisis.
Book Synopsis Essays in International Finance and Macroeconomics by : Matteo Maggiori
Download or read book Essays in International Finance and Macroeconomics written by Matteo Maggiori and published by . This book was released on 2012 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores the relationship between international financial markets, financial frictions, and the real economy. In particular, the dissertation focuses on the role of the United States of America (US) as the key country in the global financial architecture. The research presented here advances the study of international finance and macroeconomics by analyzing how the combination of two factors, the greater financial development of the US and financing frictions, leads to the special global roles of the US funding markets and the US dollar. In the first Chapter of the dissertation, I develop a model of financial intermediation in a closed economy, which is also the key building block of the open economy analysis in the second Chapter. In an economy with savers and financial intermediaries where financing frictions are present, the state of the financial sector becomes the key state variable. The financing frictions, modeled as the limited enforceability of deposit contracts, prevent capital from flowing freely from savers to the financial intermediaries that ultimately allocate capital to productive real assets. When financial intermediaries are well capitalized, their capital acts as a safety buffer for potential investment losses and, consequently, financing frictions are alleviated. In this state of the world, financial markets closely resemble those of the standard frictionless asset pricing framework. When, on the other hand, intermediaries are poorly capitalized, concerns for potential losses of capital disrupt the financing markets. In this state of the world, capital does not flow smoothly from savers into productive assets via financial intermediaries. In general, risky assets' prices fall and their volatility increases, thus replicating typical features of financial crises. Interestingly, these effects are highly non-linear. In the second Chapter, I provide a framework for understanding the global financial architecture as an equilibrium outcome of the risk sharing between countries with different levels of financial development. The country that has the most developed financial sector takes on a larger proportion of global fundamental and financial risk because its financial intermediaries are better able to deal with funding problems following negative shocks. This asymmetric risk sharing has real consequences. In good times, and in the long run, the more financially developed country consumes more, relative to other countries, and runs a trade deficit financed by the higher financial income that it earns as compensation for taking greater risk. During global crises, it suffers heavier capital losses than other countries, exacerbating its fall in consumption. This country's currency emerges as the world's reserve currency because it appreciates during crises and so provides a good hedge. The model is able to rationalize these facts, which characterize the role of the US as the key country in the global financial architecture. In the third Chapter, I provide empirical evidence on the role of the US dollar as a global safe asset. This empirical evidence provides one of the stylized facts analyzed in my theoretical work. I show that the US dollar earns a safety premium versus a basket of foreign currencies and that this premium is particularly high in times of global financial stress. These findings support the view that the dollar acts as the reserve currency for the international monetary system and that it is a natural safe haven in times of crisis, when a global flight to quality toward the reserve currency takes place. During such episodes, investors are willing to earn negative expected returns as compensation for holding safe dollars. I estimate the time varying dollar safety premium by using instrumental variable techniques to condition information down.
Book Synopsis Essays in International Finance by : Gino Cenedese
Download or read book Essays in International Finance written by Gino Cenedese and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays in international finance, with a focus on the foreign exchange market. The first chapter provides an empirical investigation of the predictive ability of average variance and average correlation on the return to carry trades. Using quantile regressions, we find that higher average variance is significantly related to large future carry trade losses, whereas lower average correlation is significantly related to large gains. This is consistent with the carry trade unwinding in times of high volatility and the good performance of the carry trade when asset correlations are low. Finally, a new version of the carry trade that conditions on average variance and average correlation generates considerable performance gains net of transaction costs. In the second chapter I study the evolution over time of the response of exchange rates to fundamental shocks. Using Bayesian time-varying-parameters VARs with stochastic volatility, I provide empirical evidence that the transmission of these shocks has changed over time. Specifically, currency excess returns tend to initially underreact to interest rate differential shocks for the whole sample considered, undershooting the level implied by uncovered interest rate parity and long-run purchasing power parity. In contrast, at longer horizons the previously documented evidence of overshooting tends to disappear in recent years in the case of the euro, the British pound and the Canadian dollar. Instead, overreaction at long horizons is a persistent feature of the excess returns on the Japanese yen and the Swiss franc throughout the whole sample. In the third chapter we provide a comprehensive review of models that are used by policymakers and international investors to assess exchange rate misalignments from their fair value. We survey the literature and illustrate a number of models by means of examples and by evaluating their strengths and weaknesses. We analyse the sensitivity of underlying balance (UB) models with respect to estimated trade elasticities. We also illustrate a fair value concept extensively used by financial markets practitioners but not previously formalised in the academic literature, and dub it the indirect fair value (IFV). As case studies, we analyse the models used by Goldman Sachs and by the International Monetary Fund's Consultative Group on Exchange Rate Issues (CGER).
Author :Margarita M. Kalamova Publisher :Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften ISBN 13 :9783631621394 Total Pages :131 pages Book Rating :4.6/5 (213 download)
Book Synopsis Essays in International Trade and Public Economics by : Margarita M. Kalamova
Download or read book Essays in International Trade and Public Economics written by Margarita M. Kalamova and published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften. This book was released on 2012 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays of this book are contributions to the empirical Literature in International Trade and Public Economics. They deal with the relationship between the structure and quality of the public sector and the process of economic integration. Two of the essays add to the empirical determinants of trade and foreign direct investment (FDI) and to the numerous applications of the theory of government decentralization. Decentralization tends to discourage inward FDI and domestic trade and to increase imports and exports. A third essay focuses on the effect of governments' intangible assets - such as consumer perceptions about countries and products from these countries - on FDI. A country's nation brand is shown to have a significant and large positive effect on investment flows.
Book Synopsis Empirical Essays on Finance and Innovation by : Rejo Joby Peter
Download or read book Empirical Essays on Finance and Innovation written by Rejo Joby Peter and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three empirical studies in finance and innovation. I study various financial factors affecting innovation such as stock market manipulation and public to private transaction. I also investigate the effect of ownership structure on these public to private transactions. The first study finds that the End-of-day price manipulation is associated with short-termism of the firms orientation, long-term harm to a firms equity values, and commensurate with reduced incentives for employees to innovate. Insider trading, by contrast, enables innovators to achieve exacerbated profits from innovation. Using a sample of suspected manipulation events for all stocks from nine countries over the years 2003-2010, I find evidence consistent with these real impacts of market manipulation on innovation. These findings are not attributable to bad firms innovating less and manipulating more, since the average firm subjected to manipulation in the sample is more innovative during the pre-manipulation period. The second study investigates the effect of going private buyout transactions on the investments in innovation using an international sample of buyout transactions from 36 countries over 1997 to 2011. Patent counts and citations are used to proxy for quantity, quality and economic importance of innovation. The data indicate that the effect of buyouts on innovation is quite sizable in terms of quantity and quality, as both patent counts and citations drop following a buyout. I also find that the number of radical patents (i.e. more scientific) drop as well. When we split the sample into institutional and management buyouts the negative association is only confirmed for institutional buyouts. We find that the negative effect of buyouts on innovation is aggravated in post-2006 period, suggesting that the nature of deals has worsened for innovation over time. The data also show that buyouts have a negative effect on innovation efficiency. The third study considers ownership structure of target firms that are subject to going private buyout transactions, which are often highly leveraged and give rise to potential agency conflicts among existing shareholders. In this study, I examine ownership structure prior to going private transactions in 33 countries around the world from 2002 to 2014.The data indicate strong and consistent evidence that pre-going private ownership is characterized by higher institutional and corporate ownership. Family ownership lowers the probability of a public to private transaction. Stronger creditor rights increase the probability of going private particularly for whole company and institutional buyouts.
Book Synopsis Essays in International Finance and Macroeconomics by : Eiji Fujii
Download or read book Essays in International Finance and Macroeconomics written by Eiji Fujii and published by . This book was released on 1999 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each of the three essays composing this dissertation investigates important economic and econometric issues in international finance and macroeconomics. The first essay, “Market Structure and the Persistence of Sectoral Deviations from Purchasing Power Parity,” examines the relationship between market structure and the persistence of the dollar-based sectoral real exchange rates for fourteen OECD countries. The empirical results based on disaggregated data suggest that differences in market structure significantly determine the rates at which deviations from sectoral purchasing power parity decay. Based on the findings, I argue that an imperfectly competitive market structure is an important source of the well-documented persistence in real exchange rates.
Book Synopsis Essays on International Trade, Capital Flows and Financial Frictions by : Maria Margarita Lopez Forero
Download or read book Essays on International Trade, Capital Flows and Financial Frictions written by Maria Margarita Lopez Forero and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two particular concerns in international economics motivate this research: I. How are real and financial activities related to each other in a globalized economy? II. What role do financial frictions play in this relationship ? Three essays look at these questions from different perspectives. The first chapter, in collaboration with Jean-Charles Bricongne and SebastianFranco-Bedoya, revises the old question on the relation between FDI and exports on French firms, where theory seems to be at odds with empirical findings. Most FDI and most trade take place between rich markets, where the horizontal investment type is expected to happen. In this sense, empirical studies have almost invariably found a complementarity relation while standard Horizontal FDI models predict substitutability between FDI and exports given the proximity-concentration trade-off. [...]The second chapter empirically examines how external financial needs measured at the sector level- and financial development at the country level interact to shape the aggregate marginal product of capital of a country (MPK) and its foreign direct investment inflows (FDI). First, using new available data we construct annual aggregate MPK for 50 developing and developed countries during 1995-2008; we use industry-level data to construct an annual country-level measure of external financial dependence and assess its effects on MPK conditional on the level of financial development. Our findings imply that financial development seems to be a necessary condition -and certainly not a sufficient one- in order for production in financially dependent sectors to positively affect aggregate MPK in developing countries. Second, using bilateral FDI inflows in developing countries between 2001 and 2010, we analyze how external financial dependence and financial development determine FDI in flows in developing countries. [...]The third chapter, joint research with Jean-Charles Bricongne and Fabrizio Coricelli, studies the transmission of global shocks during the Great Recession and its impact on French employment. Particularly, we explore the role of trade credit in the propagation of cross-border shocks. Using a sub-sample of importing enterprises that were active over 2004-2009,our findings imply that strong pre-crisis sourcing ties with countries that were more resilient to the global crisis, translated into better performance in terms of employment growth over 2008-2009. This effect dramatically varies with trade credit intensity. Strongly relying on trade credit made firms more vulnerable to unanticipated shocks, for which the adverse impact of the crisis was exacerbated. This effect intensified among firms with important sourcing ties with severely shocked countries. While the negative effect of the crisis was mitigated when sourcing relations with countries subject to milder shocks were stronger. Supporting, therefore, the hypothesis that trade credit was an alternative source of financing for enterprises during the crisis, where implicitly borrowing from suppliers helped importers overcoming financial constraints. Our contribution to the literature adds to the debate on the role of trade finance in explaining the real economic downturn across borders.
Book Synopsis Three Essays on Trade and Finance by : Michael Lobsiger
Download or read book Three Essays on Trade and Finance written by Michael Lobsiger and published by . This book was released on 2011 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Empirical Finance by : Yuki Sakasai
Download or read book Three Essays on Empirical Finance written by Yuki Sakasai and published by . This book was released on 2008 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Empirical Finance by : Caterina Forti Grazzini
Download or read book Three Essays in Empirical Finance written by Caterina Forti Grazzini and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
