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Author : Hulya Arik
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (775 download)
Download or read book Three Essays on Economic Growth, International Capital Flows and Country Risk written by Hulya Arik and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Heinz P. Rudolph
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (321 download)
Download or read book Three Essays on Capital Flows, Financial Development, and Economic Growth in Less Developed Countries written by Heinz P. Rudolph and published by . This book was released on 1995 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Firat Demir
Publisher :
ISBN 13 :
Total Pages : 292 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on Financial Liberalization, Country Risk and Low Growth Traps in Argentina, Mexico and Turkey written by Firat Demir and published by . This book was released on 2005 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yu Zhu
Publisher :
ISBN 13 : 9780496996315
Total Pages : pages
Book Rating : 4.9/5 (963 download)
Download or read book Three Essays on International Capital Flows written by Yu Zhu and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Byong-Ju Lee
Publisher : Stanford University
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.F/5 ( download)
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.
Author : Dennis Reinhardt
Publisher :
ISBN 13 : 9783952336137
Total Pages : 173 pages
Book Rating : 4.3/5 (361 download)
Download or read book Three Essays on International Capital Flows, Productivity, and Capital Mobility written by Dennis Reinhardt and published by . This book was released on 2011 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sungcheol Kim
Publisher :
ISBN 13 :
Total Pages : 177 pages
Book Rating : 4.:/5 (114 download)
Download or read book Three Essays on Capital Inflows to Emerging Markets written by Sungcheol Kim and published by . This book was released on 2019 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines the determinants of portfolio inflows to emerging market economies with a special focus on Korea. Chapter 1, "The Determinants of Disaggregated Capital Inflows to Korea", studies the key factors in determining portfolio investment flows to Korea from four separate investment groups: global banks, mutual funds, securities companies, and pension companies. I sort the total portfolio investment flows by each investment group such as global banks, mutual funds, securities companies, and pension companies. The US industrial production index, TED spread, and VIX are included as push factors and the Korean industrial production index, Korean bond rate, Korean stock index, and exchange rate are considered as pull factors. From the structural VAR model with dummy variables, this paper finds that portfolio investment flows to Korea are more affected by push factors during the crisis while they are more dependent on pull factors after the crisis. Portfolio investment flows to the stock market are affected mainly by the domestic stock market and global risk appetite while portfolio investment flows to the bond market react more strongly to US output growth and the domestic interest rate. Finally, this paper finds that the properties of capital inflows from each institution are quite different. For example, securities and mutual funds are more responsive to the stock market index, while insurance and pension companies are more sensitive to domestic output growth. Chapter 2, "The Determinants of Capital Inflows from Each Country", analyzes the determinants of portfolio flows to Korea using portfolio flows from each economy to Korea as the dependent variable. For the empirical model, the investor country factor was added to the existing push-pull approach, and a panel VAR model was used as the estimation method. The results suggest that investor country factors such as shocks on the interest rate and stock market in the investor country are the most important determinants to portfolio flows from advanced economies (AEs) while pull factors of recipient countries mainly drive the portfolio flows from emerging market economies (EMEs). The impact on the stock market is the dominant factor during the Fed's expansionary monetary policy, while the effects of the interest rate are the most important factor after the end of the QE. The results also show that portfolio flows from AEs respond positively to the impact of the investor country's stock market, while those from EMEs respond negatively. This study supports recent findings that the impact of the drivers on the capital flows is dependent on economic conditions and is time-varying. Chapter 3, "The International Spillovers of US Monetary Policy on Capital Flows to Emerging Market Economies", studies the impact of the US Fed's monetary policy on portfolio flows to the emerging economies, differentiating across the investor economies and type of flows. This paper also compares the effects of US monetary policy before and after the end of Quantitative Easing (QE). The results show that equity flows were retrenched to the US and AEs in response to the announcement of QE1 while the total impact of the Quantitative Easing increased the capital inflows to the emerging markets from the advanced economies. This chapter also finds that the response of portfolio flows in response to US monetary policy is conditional on the stance of US monetary policy. The findings build a bridge on the recent controversy over determinants of capital inflows by showing that QE has a significant impact on the capital inflows to EMEs, and its effects are related to the business cycle.
Author : Hui Miao
Publisher :
ISBN 13 :
Total Pages : 180 pages
Book Rating : 4.:/5 (321 download)
Download or read book Three Essays on Portfolio Capital Flows to Emerging Markets written by Hui Miao and published by . This book was released on 1997 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Naveen Seth
Publisher :
ISBN 13 :
Total Pages : 145 pages
Book Rating : 4.:/5 (525 download)
Download or read book Three Essays on International Capital Flows written by Naveen Seth and published by . This book was released on 2003 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dyna Heng
Publisher :
ISBN 13 :
Total Pages : 406 pages
Book Rating : 4.:/5 (953 download)
Download or read book Three Essays on the Macroeconomic Impacts of Capital Flows and Policy Responses in Emerging Market Economies written by Dyna Heng and published by . This book was released on 2012 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis presents three essays on the macroeconomic impacts of capital flows and policy responses in emerging market economies. This study explores the impact of capital flows on real exchange rate and foreign reserve accumulation and the effects of policy responses on the volume and composition of capital inflows. Together, these studies form the argument that promoting financial sector development and government effectiveness helps emerging market economies manage and benefit more from capital inflows.
Author : Christos Papazoglou
Publisher :
ISBN 13 :
Total Pages : 197 pages
Book Rating : 4.:/5 (648 download)
Download or read book Three Essays on International Capital Flows, Domestic Monetary Processes, and External Markets written by Christos Papazoglou and published by . This book was released on 1987 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Abdilahi Ali
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays on Capital Flows, Crises and Economic Performance written by Abdilahi Ali and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis explores three important factors that have been central to the pursuit of economic development in developing countries, particularly those in Africa. These are capital flows, economic integration and financial crises. Chapter 1 examines the causes and consequences of capital flight in African countries. Building on standard portfolio choice model, the study links the phenomenon of capital flight to the domestic investment climate (broadly defined) and shows that African agents move their portfolios abroad as a result of a deteriorating domestic investment climate where the risk-adjusted rate of return is unfavourable. The results presented suggest that economic risk, policy distortions and the poor profitability of African investments explain the variation in capital flight. In addition, employing a PVAR and its corresponding impulse responses, the chapter shows that capital flight shocks worsen economic performance. Chapter 2 explores the (independent) effects of crises and openness on a large sample of African countries using dynamic panel techniques. Focusing on sudden stops, currency, twin and sovereign debt crises, the chapter shows that economic crises are associated with growth collapses in Africa. In contrast, economic openness is found to be beneficial to growth. More importantly, we find that, consistent with standard Mundell-Flemming type models and sticky-price open economy models, greater openness to trade and financial flows mitigates the adverse effects of crises. In the final chapter, we examine whether capital flows such as FDI, foreign aid and migrant remittances crowd-in or crowd-out domestic investment in developing countries. Applying recently developed panel cointegration techniques which can handle cross-sectional heterogeneity, serial correlation and endogeneity, we find that FDI and remittances have a positive and significant effect on domestic investment in the long-run while aid tends to act as a substitute for investment. We also conduct panel Granger causality analysis and find that the effect of FDI on investment is both transitory as well as permanent. That is, it tends to crowd-in domestic investment both in the short-run and in the long-run. We do not find any causal links between foreign aid and investment. The results show that, while remittances do not have causal effects on investment in the short-run, there is a bidirectional (causal) relationship between the two in the long-run.
Author : Brigitte Granville
Publisher : Skyhorse Publishing
ISBN 13 :
Total Pages : 300 pages
Book Rating : 4.F/5 ( download)
Download or read book Essays on the World Economy and Its Financial System written by Brigitte Granville and published by Skyhorse Publishing. This book was released on 2000 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contributors from member organizations of the Tokyo Club discuss the topics "Reflections on the Economies of Three Major Western Players," "Assessment and Responses to Financial Turmoil," "In Search of an Exchange Rate Regime," and "Managing Risks in an Integrating World Financial System." Members of the Tokyo Club include the Brookings Institution (USA), IFO-Institut Fur Wirtschaftsforschung (Germany), Institut Francais des Relations Internationales (France), The Royal Institute of International Affairs (UK), and Nomura Research Institute, Ltd. (Japan).
Author : Tatiana Glindmeier Didier Brandão
Publisher :
ISBN 13 :
Total Pages : 173 pages
Book Rating : 4.:/5 (32 download)
Download or read book Essays on International Capital Flows written by Tatiana Glindmeier Didier Brandão and published by . This book was released on 2008 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters on international capital flows. Chapter 1 emphasizes the importance of innovations in the investment opportunity set, captured by changes in expected asset returns, as an important mechanism to explain international capital flows. More specifically, it analyzes the implications of time-varying portfolio shares on the dynamics of the current account. The predictions of a partial-equilibrium model of the current account, with dynamic portfolio choices, are evaluated using data for the U.S. and Japan. We show that variations in investment opportunities change agents' optimal portfolios in a direction consistent with the actual bilateral current account movements. Chapter 2 focuses on two questions related to international investment and access to international capital markets. First, does the structural change in the U.S. mutual fund industry toward more "aggregation" (favoring funds that invest globally over funds that invest in specific countries or regions) affect firms in other countries? And second, are investors forgoing gains from international diversification by shifting toward more global funds? The empirical evidence presented suggests that the answer is yes to both questions. Chapter 3 investigates the relation between information asymmetries and institutional investor mandate. The results suggest that information asymmetries vary across institutional investor mandates, being significantly more pronounced for funds with broader mandates.
Author : Winston Wei Dou
Publisher :
ISBN 13 :
Total Pages : 383 pages
Book Rating : 4.:/5 (987 download)
Download or read book Essays in Financial Economics written by Winston Wei Dou and published by . This book was released on 2017 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays that theoretically and empirically investigate the asset pricing and macroeconomic implications of uncertainty shocks, propose new measures for model robustness, explain the joint dynamics on equity excess returns and real exchange rates. In the first chapter, I show that the effect of uncertainty shocks on asset prices and macroeconomic dynamics depends on the degree of risk sharing in the economy and the origin of uncertainty. I develop a general equilibrium model with imperfect risk sharing and two sources of uncertainty shocks: (i) cash-flow uncertainty shocks, which affect the idiosyncratic volatility of firms' productivity, and (ii) growth uncertainty shocks, which affect the idiosyncratic variability of firms' investment opportunities. My model deviates from the neoclassical setting in one respect: firms' investment policies are set by the experts who are subject to a moral hazard problem and thus must maintain an non-diversified ownership stake in the firm. As a result, risk sharing between experts and other investors is imperfect. Limited risk sharing distorts equilibrium investment choices, firm valuation, and prices of risk in equilibrium relative to the frictionless benchmark. In the calibrated model, the risk premium on growth uncertainty shocks is negative under poor risk sharing conditions and positive otherwise. Moreover, the cross-sectional spread in valuations between value and growth stocks loads positively on the growth uncertainty shocks under poor risk sharing conditions and negatively otherwise. Empirical tests support these predictions of the model. The second chapter is based on the joint work Chen, Dou, and Kogan (2015), in which we propose a new quantitative measure of model fragility, based on the tendency of a model to over-fit the data in sample with poor out-of-sample performance. We formally show that structural economic models are fragile when the cross-equation restrictions they impose on the baseline statistical model appear excessively informative about combinations of model parameters that are otherwise difficult to estimate. We develop an analytically tractable asymptotic approximation to our fragility measure which we use to identify the problematic parameter combinations. Using these asymptotic results, we diagnose fragility in asset pricing models with rare disasters and long-run consumption risk. The third chapter is based on the joint work Dou and Verdelhan (2015), which presents a two-good, two-country real model that replicates the basic stylized facts on equity excess returns and real interest rates. In the model, markets are incomplete. In each country, workers cannot participate in financial markets whereas investors trade domestic and foreign stocks, as well as an international bond. The investors' asset positions are subject to a borrowing constraint, along with a short-selling constraint on equity. Foreign and domestic agents differ in their elasticity of inter temporal substitution and in their risk-aversion. A time-varying probability of a global disaster implies time-varying risk premia in asset markets, and therefore large and time-varying expected valuation effects on international asset positions. The model highlights the role of market incompleteness and heterogeneity across countries in accounting for the volatility of equity and debt international capital flows.
Author : Bada Han
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.5/5 (355 download)
Download or read book Three Essays in International Macroeconomics and Finance written by Bada Han and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I study the changes in external liabilities and assets of emerging market economies since the early-2000s and the following implications of the changes for the financial stability and the optimal policies of the economies. In chapter 1, I construct a dataset, which measures the external liability composition of emerging market economies in different instruments and currencies. The new dataset shows emerging market economies have much lower currency exposures than in the past. Also, the observed pattern in the dataset suggests that the ever-increasing local currency external borrowings of the emerging market economies since the early 2000s, original sin dissipation, is related to the capital market development in emerging market economies. Chapter 2 is a study of channels through which risk-appetite shocks to global investors, i.e., global financial shocks, are transmitted to emerging market economies. First, I empirically show that much of the transmission of global financial shocks to emerging market economies is reflected in equity and local currency bond portfolio investment capital flows. I then develop a small open economy model which, augmented with leverage constrained banks and foreign investors who purchase equities and bonds, can replicate these empirical findings qualitatively. Quantitative analysis of the model suggests that global financial shocks can account for 50 % of the equity price volatility and 30 % of the investment volatility in Korea, in which most of the external liabilities of the country are Korean won-denominated equities and debts. In short, all the analysis in chapter 2 implies that to a substantial extent, risk-appetite shocks to global investors are transmitted to emerging market economies via fickle portfolio capital flows to equity and local currency bond markets in the economies. In chapter 3, Dongwook Kim and I provide a novel theory of international reserve accumulation of emerging market economies. We view reserve accumulation as capital outflows by the public sector which supplements insufficient capital outflows by the private sector. In our model, when an emerging market economy receives large capital inflows in the form of direct or equity portfolio investment, the emerging market economy must invest abroad to maintain macroeconomic balance and prepare for a possible future sudden stop. If the private sector in the emerging market economy cannot invest externally sufficiently or invests inefficiently due to low financial expertise or poor institutional quality, supplemental international investments must be accomplished by the public sector as international reserve outflows.
Author : Martin Shubik
Publisher : MIT Press
ISBN 13 : 9780262693110
Total Pages : 472 pages
Book Rating : 4.6/5 (931 download)
Download or read book The Theory of Money and Financial Institutions written by Martin Shubik and published by MIT Press. This book was released on 1999 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume in a three-volume exposition of Shubik's vision of "mathematical institutional economics" explores a one-period approach to economic exchange with money, debt, and bankruptcy. This is the first volume in a three-volume exposition of Martin Shubik's vision of "mathematical institutional economics"--a term he coined in 1959 to describe the theoretical underpinnings needed for the construction of an economic dynamics. The goal is to develop a process-oriented theory of money and financial institutions that reconciles micro- and macroeconomics, using as a prime tool the theory of games in strategic and extensive form. The approach involves a search for minimal financial institutions that appear as a logical, technological, and institutional necessity, as part of the "rules of the game." Money and financial institutions are assumed to be the basic elements of the network that transmits the sociopolitical imperatives to the economy. Volume 1 deals with a one-period approach to economic exchange with money, debt, and bankruptcy. Volume 2 explores the new economic features that arise when we consider multi-period finite and infinite horizon economies. Volume 3 will consider the specific role of financial institutions and government, and formulate the economic financial control problem linking micro- and macroeconomics.
