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Author: Publisher: ISBN: Category : Econometrics Languages : en Pages : 101
Book Description
This thesis comprises three essays. The first two chapters address topics in commodity markets and their interaction with derivative and other asset markets. The third essay deals with the effects to and from fiscal policy that arise due to the structure of the relationship between central and regional governments. Finance and applied econometrics constitute the common thread for these articles. The first two take a financial economics and financial econometrics perspective, while the third essay addresses a topic of public finance with an empirical approach. The first chapter offers an explanation for volatile oil prices. Using information from options and futures I document economically large jump tail premia in the crude oil market which can be related to investors' "fear". These premia vary substantially over time and significantly forecast crude oil futures and spot returns. The results suggest that oil futures prices overshoot (undershoot) in the presence of upside (downside) tail fears in order to allow for smaller (larger) risk premia thereafter. The second essay relates the comovement of stock and commodity prices to increased participation of financial investors in commodity future markets. I present a partial equilibrium model in which demand for futures by financial investors transmits stock market shocks into commodity prices via a time varying risk premium. Empirically, I find that commodity index investors react systematically to stock market shocks by adjusting their commodity risk exposure. In the third chapter, joint with Abián García Rodríguez, we investigate the relationship between fiscal decentralization - the share of government spending and taxation carried out at the subnational level - and fiscal policy effects. Using a cross-section of countries, we document a positive relationship between decentralization and the effectiveness of fiscal policy as measured by the size of fiscal multipliers. We also present a case study for the decentralization process in Spain and find that it had a positive impact on output growth.
Author: Publisher: ISBN: Category : Econometrics Languages : en Pages : 101
Book Description
This thesis comprises three essays. The first two chapters address topics in commodity markets and their interaction with derivative and other asset markets. The third essay deals with the effects to and from fiscal policy that arise due to the structure of the relationship between central and regional governments. Finance and applied econometrics constitute the common thread for these articles. The first two take a financial economics and financial econometrics perspective, while the third essay addresses a topic of public finance with an empirical approach. The first chapter offers an explanation for volatile oil prices. Using information from options and futures I document economically large jump tail premia in the crude oil market which can be related to investors' "fear". These premia vary substantially over time and significantly forecast crude oil futures and spot returns. The results suggest that oil futures prices overshoot (undershoot) in the presence of upside (downside) tail fears in order to allow for smaller (larger) risk premia thereafter. The second essay relates the comovement of stock and commodity prices to increased participation of financial investors in commodity future markets. I present a partial equilibrium model in which demand for futures by financial investors transmits stock market shocks into commodity prices via a time varying risk premium. Empirically, I find that commodity index investors react systematically to stock market shocks by adjusting their commodity risk exposure. In the third chapter, joint with Abián García Rodríguez, we investigate the relationship between fiscal decentralization - the share of government spending and taxation carried out at the subnational level - and fiscal policy effects. Using a cross-section of countries, we document a positive relationship between decentralization and the effectiveness of fiscal policy as measured by the size of fiscal multipliers. We also present a case study for the decentralization process in Spain and find that it had a positive impact on output growth.
Author: Marek Raczko Publisher: ISBN: Category : Econometrics Languages : en Pages : 113
Book Description
The thesis consists of three essays in the fields of international finance and applied econometrics. The first chapter analyzes the co-movement of market premia for rare adverse events, addressing the important issue of contagion. The second chapter studies the impact of rare adverse events on the estimates of the risk-aversion coefficient and on household's portfolio composition. This chapter shows that the threat of a rare disaster justifies household's positive bond holdings. Finally, the last chapter studies if the information not contained in the domestic yield curve, but contained in the foreign yield curve helps to predict future dynamics of domestic yields. The first chapter proposes a novel approach to assessing volatility contagion across equity markets. More specifically I decompose the variance risk premia of three major stock indices into: crash and non-crash risk components and analyse their cross-market correlations. I find that crash-risk premia exhibit higher correlations than non-crash risk premia, implying the existence of volatility contagion. This suggests that investors believe that equity returns will be more highly correlated across countries during market crashes than during more normal times. The main result of the analysis holds when I apply other measures of co-movement as well as when I allow correlation to be time varying. Moreover I document that crash-premia constitute a large portion of the overall variance risk premia, highlighting the importance of crash-risks. Unlike the existing literature, my approach to testing the existence of volatility contagion does not rely on short periods of financial distress, but allows for crash-risk premia to be computed in tranquil times. The second chapter assesses the impact of the Peso problem on the econometric estimates of the risk aversion coefficient. Rietz (1988) and subsequently Barro (2006) showed that the introduction of the crash risk allows the canonical general equilibrium framework to generate data consistent equity premia even under low risk aversion of the representative agents. They argue that the original data used to calibrate these models suffer from a Peso problem (i.e. does not encounter a crash state). To the best of my knowledge the impact of their Peso problem on the estimation of the risk aversion coefficient has not to date been evaluated. This chapter seeks to remedy this. I find that crash states that are internalized by economic agents, but are not realized in the sample, generate only a small bias in the estimates of the risk aversion coe cient. I also show that the introduction of the crash state has a strong bearing on the household's portfolio composition. In fact, under the internalized crash state scenario, households exhibit positive bond holdings even in a frictionless environment. In the third chapter, co-authored with Andrew Meldrum and Peter Spencer, we show, using data on government bonds in Germany and the US, that overseas unspanned factors - constructed from the components of overseas yields that are uncorrelated with domestic yields - have significant explanatory power for subsequent domestic bond returns. This result is remarkably robust, holding for different sample periods, as well as out of sample. By adding our overseas unspanned factors to simple dynamic term structure models, we show that shocks to those factors have large and persistent effects on domestic yield curves. Dynamic term structure models that omit information about foreign bond yields are therefore likely to be mis-specified.
Author: Emel Oylum Yildirim Publisher: ISBN: Category : Accounts current Languages : en Pages : 92
Book Description
This dissertation presents three essays which are linked by the use of econometric models to explain problems that are only explained descriptively in the literature. The first essay, statistically shows that a systematic measurement bias can significantly distort predictions obtained using an international accounting framework due to the sizable diversity of the parties involved in it. Once the measurement bias is taken into account, the average value gains on the US foreign asset and liability categories are estimated to be smaller, and no evidence is found on positive yield differential. The second essay estimates the value gains and the mismeasurement using data at multiple frequencies. The results show that positive sizable return differential is present after 2002. The third essay shows that the increasing availability of prescription opioids threatens sellers' profit margin since it is a close substitute for heroin and forces sellers to find alternative methods to compensate buyers in the case of a negative supply shock.
Author: Niels Haldrup Publisher: OUP Oxford ISBN: 0191669547 Category : Business & Economics Languages : en Pages : 393
Book Description
This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Author: Seongjin Jin Publisher: ISBN: Category : Languages : en Pages :
Book Description
My dissertation, titled "Essays on Applied Econometrics," develops new methods to analyze economic data and design experiments, and applies them to labor market data. Each chapter answers a real-world question by applying a new econometric method to the data. Chapter 1 studies a policy change to a cash transfer program for the elderly in South Korea. This change doubled the maximum benefit to approximately $200 per month and expanded the target group by 10%. The main estimand is the causal effect of this change on the elderly's labor supply, such as labor force participation and hours of work. I take two approaches to identify the counterfactual outcomes: a potential outcomes analysis and a structural model analysis. I find that the program's change did not affect the labor supply on the intensive or extensive margins significantly. However, if the policymaker were to increase the benefit to about $1000, the estimated structural model implies a significant reduction in labor supply on both the intensive and extensive margins. Chapter 2 introduces a novel method to adaptively design randomized experiments. For randomized experiments with a pilot stage, or multi-stage experiments, [Hahn et al., 2011] propose an adaptive experimental design that adjusts the next stage's propensity score based on data of the previous stages. I discuss how the discretization of covariates affects the precision of the estimation of the average treatment effect (ATE) through the estimated propensity score for the next stage. Also, I propose an algorithm using the bootstrap technique to find the optimal level of discretization of covariates. Monte Carlo simulations and an application with actual data show that the suggested method performs well. Chapter 3 proposes hybrid estimation for the density of fixed censored data. This approach combines a parametrically estimated density function for the censored observations with a nonparametrically estimated density for the uncensored observations. My method is less sensitive to distributional assumptions than conventional parametric methods. I apply my method to estimate the full distributions of fixed right-censored variables, such as annual earnings and the survival time of cystic fibrosis patients.
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Author: Patrice Whitely
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Author: Marek Raczko
Author: Brian P. Poi
Author: Brendan Berthold
Author: Emel Oylum Yildirim
Author: Niels Haldrup
Author: Nikos E. Paltalidis
Author: Danvee Floro
Author: Seongjin Jin