Download or read book Three Essays on International Financial Market Linkages written by Eirini Syngelaki and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on International Capital Markets written by Zhou Fan and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I study several topics in international capital markets. Chapter 1 is a joint project with Matthew Baron and Jamil Rahman. We find evidence that large credit expansions interacted with rapid price run-ups have strong forecasting power for negative future returns. Growth stocks, stocks with high levels of analyst disagreement, and highly leveraged stocks are particularly vulnerable to the bust, with their respective factor portfolios significantly underperforming compared to their unconditional means. We show that by avoiding stocks with extreme exposures to the credit cycle, investors can partially mitigate the risks induced by a credit-fueled bubble. Given the strong predictive power of credit-fueled stock market booms for market crashes and factor portfolio spreads, Chapter 2 asks how institutional investors trade during these events. We find no evidence that institutional investors sell stocks in countries experiencing credit-fueled stock market booms. Domestic institutional investors are aggressive net buyers during booms while foreign investors are more cautious. Institutional investors buy growth stocks up to the boom's peak but do not sell them after the peak. They also increase (decrease) their portfolio allocation towards low leverage (high leverage) stocks both before and after the peak of the credit-fueled stock market boom. This suggests that institutional investors are mindful of the risks credit booms pose, even if they increase their overall allocation towards a country experiencing a credit-fueled stock market boom. In Chapter 3, I show that gravity variables capture country level differences in exposure to global shocks. Currencies of countries which are geographically distant and culturally different have larger differences in exposure to global shocks and as such comove less. The explanatory power of gravity for currency comovement is also present in trade flows and financial linkages. Predicted values of trade flows and foreign debt holdings contain around 80% of the explanatory power of gravity variables for currency comovement.

Download or read book Three Essays on International Banking written by Rong Ma and published by . This book was released on 2012 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: Without question, global financial integration has accelerated in the last two decades. This acceleration is due, in part, to the opening of developing countries' financial markets to foreign banks, prompting many changes to financial systems in developing countries. This dissertation consists of three essays focusing on the impacts and the determinants of international banks' participation in the financial markets of developing countries. The first essay investigates whether banks with foreign owners are more willing to provide loans in the host country possibly contributing toward greater financial stability for that county. Specifically, I test whether foreign banks' lending behavior is different from domestic banks' behavior. Using a panel dataset with 1,643 commercial banks in 35 Asian and Latin American countries from 2000 to 2008, estimation reveals that foreign banks have not been more generous with respect to extending loans relative to domestic banks. Additionally, when grouping foreign banks by their geographic origins, a home region preference is found. International banks appear more likely to extend loans in markets located in their geographic region relative to markets in other areas of the globe. The second essay questions whether foreign ownership positively impacts bank performance. In addition I seek to understand which host characteristics affect bank performance. Bank-level data for 1600 commercial banks from 2000 through 2008 are used in estimation. Results suggest host countries' characteristics do affect the relative performance of foreign banks. While foreign ownership does not positively impact bank performance, foreign banks tend to outperform domestic banks in countries that are relatively closed and less competitive. Also, foreign banks do perform differently depending on their geographic origin. The third essay examines the impact of host characteristics and economic linkages on foreign bank entry into 30 Asian and Latin American countries. Of particular note is whether international migration from the bank host country to bank origin country influences foreign bank entry due to the networks it promotes. Using panel Tobit estimation, this study finds that international migration from developing to industrialized economies significantly promotes foreign bank presence in developing nations.

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.

Download or read book Three Essays in International Finance and Financial Economics written by Xiaoqiang Hu and published by . This book was released on 1994 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in International Economics written by Aleksandra Babii and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three independent chapters on international macroeconomics. Little is known about the economic source of common variation in nominal exchange rates. The first chapter examines how international trade links nominal exchange rates. First, I document that two countries that trade more intensively with each other have more correlated exchange rates against the U.S dollar. Second, I develop a general equilibrium multi-country model, where a shock to a single country propagates to the exchange rates of its trading partners and serves as a source of common variation. In the baseline three-country model, I show that the sign and the strength of correlation between exchange rates depend on the elasticities of trade balances of countries with respect to both exchange rates. As a result, the model's prediction about the relationship between bilateral trade intensity and exchange rates correlation depends on the currency in which international prices are set. Lastly, an augmented model is calibrated to twelve countries to quantitatively assess the importance of trade linkages. I find that trade linkages alone, with uncorrelated shocks across countries, account for 50% of the empirical trade-exchange-rates-correlation slope coefficient. The second chapter, written in collaboration with Hussein Bidawi, shows that exchange rates of a large and heterogeneous set of countries are connected to individual commodity prices. This overturns the exchange rate disconnect puzzle: the empirical fact that nominal exchange rates are not linked to their fundamentals. Importantly, the connection between exchange rates and commodity prices is independent of the country's reliance on export of commodities. Strikingly then, the observed link is not restricted to commodity currencies. A novel empirical regularity about the link between exchange rates and commodity prices is uncovered. In particular, the strength of connectedness exhibits important time variation: commodity prices and exchange rates are more linked in times of high uncertainty on financial markets as measured by VIX. Our findings emphasize the need to study exchange rates and commodity prices beyond the traditional trade framework. In the third chapter in collaboration with Thomas Helbling, we study the effect of commodity price variation on the Australian economy. The Australian economy depends significantly on its commodity-exporting activity. The mining boom and bust over the past decade or so have had a large impact on the economy even though the mining sector is relatively small in terms of value added and employment. This paper explores the amplification of mining shocks over the input-output linkages. In particular, we focus on industries that provide inputs to the mining sector. We analyze the effect of Australia's key commodities prices between 2006 and 2016 exploiting cross-industry variation in sales exposure to the mining sector and quantify the overall output and employment effects of these shocks. We find that a one-standard-deviation decline in individual prices for some commodities decreases total employment by 0.75-0.82% and real output by 0.8%.

Download or read book Essays on Contagion and Linkages of International Financial Markets written by Bo-Yu Chen and published by . This book was released on 2018 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 3 proposed a conditional Granger causality test for finding the crisis propagation patterns across countries. The results are visualized through propagation networks, and it is clear to see the source and destination of the crises. Furthermore, the proposed framework is able to identify the active and key countries in the propagation pathway. In addition, the crisis propagation patterns are found changed a lot in the past two decades.

Download or read book Three Essays in International Finance written by Seung-nyeon Kim and published by . This book was released on 2002 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Networks and Shock Propagation written by Jonas Heipertz and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial inter-dependencies are since the financial crisis at the forefront of macroeconomic research and policy making. The world had painfully learned how small and localized events can travel through the global financial system with huge repercussions for the real economy. Since then, many studies have analyzed the propagation properties of given financial exposure networks. Each day, however, large amounts of financial assets are traded and financial institutions' balance-sheets change in response to new information, regulation or monetary policy. Changes in exposures crucially affect the transmission of shocks. This thesis develops general equilibrium frameworks that show how financial networks emerge endogenously from trade in financial assets between heterogeneous institutions. I use micro and macro-level datasets including confidential data from the Banque de France to structurally identify risk-preferences, institutions' beliefs about the distribution of future financial asset returns, and the specific constraints that drive financial network formation. The thesis also derives an explicit firm-level link of financial networks to an economy's productive structure.Chapter 1 of the thesis shows how firm-level productivity shocks propagate through financial networks. If firms need external funds to finance capital expenditure, banks create linkages between them that go beyond their input-output relationships. These links can affect aggregate output. The chapter builds a multi-sector production model of heterogeneous firms that are financed by heterogeneous leverage targeting banks. Banks are themselves connected through bilateral cross-holdings. Endogenous financial asset prices introduce a new propagation channel of productivity shocks. Structural parameters such as bank-level leverage constraints determine the strength of this channel and one statistic is sufficient to capture it. I use confidential matched bank-firm-level data from the Banque de France on corporate bond investments to estimate the model. The model can be used to study macro-prudential regulation and monetary policy.Chapter 2 uses bank- and instrument-level data on asset holdings and liabilities to identify and estimate a general equilibrium model of trade in financial instruments shaping an endogenous network of interlinked banks' balance-sheets. Bilateral ties are formed as each bank selects the size and the diversification of its assets and liabilities. Shocks propagate due to the response, rather than the size, of bilateral ties to such shocks. The network exhibit key theoretical properties: (i) more connected networks lead to less amplification of partial equilibrium shocks, (ii) the influence of a bank's equity is independent of the size of its holdings; (iii) more risk-averse banks are more diversified, lowering their own volatility but increasing their influence on other banks. The structural estimation of the network model for the universe of French banks shows that the endogenous change in the network matters two to three times more than the initial network of cross-holdings for the transmission of shocks. The estimated network is used to assess the effects of the ECB's quantitative easing policy.Chapter 3 concludes the thesis with a more aggregated sector-level analysis. It first studies how the sharp deterioration of the net external portfolio position of France between 2008 and 2014 was driven by sectoral patterns such as the banking sector retrenchment and the increase in foreign liabilities of the public and corporate sectors but was mitigated by the expansion of domestic and foreign asset portfolios of insurance companies. It provides a network representation of the links between domestic sectors and the rest of the world. Sectoral shock propagation through inter-sectoral security holdings is studied in an estimated balance-sheet contagion model.

Download or read book Three Essays on International Finance written by Georgios Gatopoulos and published by . This book was released on 2010 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Comovements of Financial Markets written by Yusuke Tateno and published by . This book was released on 2011 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: International portfolio diversification is beneficial only if asset returns are not significantly correlated across countries. Therefore, it is essential for investors who want to make an appropriate portfolio selection to understand the nature of asset return correlations. This thesis consists of three essays on international comovements of financial markets. The first essay analyzes the effects of heterogeneous beliefs and learning on international comovements of equity returns and portfolio rebalancing mechanism. This essay develops a continuous-time general equilibrium model in a two-asset and two-good economy with two representative agents, who differ in perceived rates of output growth and accuracy of beliefs. The equilibrium correlations of equity returns across counties and optimal portfolios are expressed in terms of the differences in beliefs. The main findings are: (1) the differences in perceived rates of output growth generate equity home or foreign bias, resulting in lower crosscountry equity return correlations; and (2) the volatilities of optimal portfolios and capital flows increase with the differences in perceived output growth and with the differences in accuracy of beliefs. The second essay studies the effects of trade costs in goods market on international comovements of equity markets and those on equity home bias. This essay develops a continuous-time general equilibrium model in a two-country, two-asset, and two-good setting where international trade of goods is costly. I solve for the optimal portfolios and the equilibrium correlations of cross-country equity returns and analyze how they change depending on the size of trade costs, the coeiffcient of risk aversion, and the elasticity of substitution between domestic and foreign goods. It is found that the cross-country equity return correlations decrease with the size of trade costs. This result is robust to different sizes of trade costs and asymmetry related to potential growth and consumer preferences. It is also found that the size of the trade costs and other parameter values determine whether trade costs would generate equity home bias or foreign bias. The third essay is devoted to an empirical analysis of the effects of financial integration on international comovements of financial markets. The essay provides a characterization of synchronization among 24 countries over the period 1980-2003. A country-pair panel instrumental variables framework is employed to explain time-varying bilateral correlations among national stock returns, by utilizing the dataset on trade costs in Fitzgerald (2008). It is found that finnancial integration driven by reduction of trade costs leads to a higher degree of synchromization across stock markets.

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:

Download or read book Essays on International Trade and Finance written by Amat Borisovich Adarov and published by . This book was released on 2012 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation consists of three papers exploring the macroeconomic implications of heterogeneity of countries in financial development, economic interconnectedness via trade and financial linkages. Chapter 1 examines whether countries which are more centrally located in the global trade network have more synchronized stock markets. Global trade data is used to construct a novel measure of random walk betweenness centrality (RWBC), measuring the extent to which a country lies on random pathways in-between other countries and is therefore likely to be a conduit in the transmission of a shock across global markets. Based on a panel dataset of 58 countries over the period 1990--2000, the study finds that higher centrality of a country in the world trade network is indeed associated with greater stock market synchronicity, ceteris paribus. Chapter 2 uses aggregate macroeconomic experiences of 118 countries over the period 1994--2008 to establish benchmark relationships between macroeconomic fundamentals and levels of financial development of the banking sector, equity markets, and private bond markets. The analysis quantifies the extent to which de-facto financial development of emerging market economies (EMEs) deviates from the levels predicted by their macroeconomic stance. While financial markets in Latin American EMEs are found to be well aligned with their macroeconomic fundamentals, Asian EMEs exceed their reference levels, and European EMEs are found to be systematically financially underdeveloped. No support is found for the argument that these misalignments are caused by heterogeneity in institutional development. Finally, chapter 3 studies the properties and evolution of the product space---a network of relatedness between products. We use bilateral trade data for 187 countries to construct the product space and export specialization of individual countries over the period 1965--2000. The study shows that the product space changed significantly during the 20th century and represents a highly uneven core-periphery structure. The highly interconnected core consists of three industries---chemicals, industrial machinery, and crude materials, each forming around 20% of all linkages. Product synergies that these "commanding heights" industries yield are strategically important for industrialization policies. Regression analysis confirms that specialization in these industries is associated with higher real income levels.

Download or read book Essays On International Market Efficiency and Manipulation written by Feng Zhan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on International Linkages of the Korean Economy written by Jai-Ki Lee and published by . This book was released on 1992 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in International Finance written by Rita Madarassy and published by . This book was released on 2002 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Emerging Market Business Groups written by Zhixiang Liang and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Much of the literature on emerging market Business Group (henceforth BG) views the subject in a monochrome 'paragons or parasites' dichotomy. In these divergent perspectives, BGs have either a positive or negative effect on economic and institutional development. In the paragon view, BGs emerge as an organizing mechanism to address weak institutions by internalizing market transactions. However, with the development of market-supporting institutions, BGs become less efficient and theory predicts their dissolution and replacement with independent freestanding firms. In the parasite view, BGs emerge but develop strong economic and political power, which are used to block the development of market supporting institutions and support their entrenchment in a stagnant domestic economy, consistent with a middle-income trap.The overarching goal of this thesis is to address this dichotomous paradigm and investigate why neither perspective adequately explains the phenomenon of long-lived and efficient BGs. In some economies, BGs emerge, persist, and exhibit increasing efficiency and international competitiveness accompanied by continuing institutional development. More specifically, this thesis aims to offer more nuanced understanding between BGs and their institutional context to understand their resilience during market transitions. The dissertation addresses its theme with three related essays. The first investigates the fundamental source of the emergence and persistence of BG in a shifting institutional environment. Empirical results show that several complementary bundles of management practice differentiate BG affiliates and independent firms in the early phase of development but become less prominent at later stages. The second essay considers the export performance of BG affiliates through organizational capability lens to distinguish between market and nonmarket capabilities. This paper finds support for the hypothesis that BGs utilized superior nonmarket capabilities on enhancing their export performance and suppressing other's internationalization, but these advantages would be mitigated in a jurisdiction with better political and social support. The third essay complements process theories of emerging market BGs internationalization by considering the structural conditions for successful early-stage internationalization. We propose that international political economy origins have long-lasting path-dependent effects on BG strategy and structure and find strong evidence that BG affiliates in Latin America are less likely to export than are those in Asia. The overall implication of the thesis is to present a vibrant picture of BGs in their institutional context. Empirically, this thesis is among the first few to perform empirical research with firm-level microdata BG, collected from the World Bank Enterprise Surveys. The large multi-country dataset allows for a comparative analysis of the issues, while most BG research focuses on single country settings. This thesis contributes a cross-country study using a BG standard definition, thereby adding to a comparative understanding of BG persistence. This thesis also adds to the literature by identifying explicitly non-financial consequences of group affiliation. To sum up, this thesis offers insights for future research on the broader spectrum regarding institutional spheres where BGs associated with and its either positive or negative inter-connections.