Essays on Financial Stability- [electronic resource]
Essays on Financial Stability- [electronic resource]
- 자료유형
- 학위논문파일 국외
- 최종처리일시
- 20240214100435
- ISBN
- 9798379906184
- DDC
- 310
- 저자명
- Puria, Kovid.
- 서명/저자
- Essays on Financial Stability - [electronic resource]
- 발행사항
- [S.l.]: : University of Washington., 2023
- 발행사항
- Ann Arbor : : ProQuest Dissertations & Theses,, 2023
- 형태사항
- 1 online resource(102 p.)
- 주기사항
- Source: Dissertations Abstracts International, Volume: 85-01, Section: B.
- 주기사항
- Advisor: Zivot, Eric.
- 학위논문주기
- Thesis (Ph.D.)--University of Washington, 2023.
- 사용제한주기
- This item must not be sold to any third party vendors.
- 초록/해제
- 요약This dissertation studies covered interest parity, global dollar funding conditions, and the predictability of future financial crises using recent global data on the foreign exchange derivatives market and a historical macrofinancial database.The first chapter examines how demand for FX swaps impacts persistent deviations from CIP. Using a novel dataset on FX swaps from the CLS Group, I analyze the factors driving CIP deviations across multiple interest rates and tenors. Specifically, I focus on non-bank demand for FX swaps and examine heterogeneity across industries and currency pairs. I estimate that on average, a 1% increase in FX swap volume results in a 2% widening of the CIP basis. As a result, a persistent dollar financing premium allows us to better understand why CIP does not hold in the data.The second chapter extends on the first and analyzes the price impact of FX order flow for swaps and outright forwards. I find evidence of the substitution channel: market participants who draw on swap lines reduce demand for dollars via the FX swap and forward market. In times of financial stress, such as the COVID-19 Pandemic, swap lines can be beneficial by providing cross-border liquidity. During quarter-ends, demand rises and price makers adjust prices to adjust for higher order flow. The third chapter studies the impacts balance sheet ratios on the probability of banking crises. I utilize the Jorda-Schularick-Taylor Macrohistory Database to predict crises over a longer sample period incorporating macroprudential target ratios. I supplement these results using machine learning models in order to model non-linear relationships and decompose crisis probabilities using the Shapley value approach. I find that the Loan-To-Deposit ratio is a robust predictor of financial crises and outperforms other variables proposed in the literature, such as overall credit growth, asset price growth, or the yield curve.
- 일반주제명
- Statistics.
- 일반주제명
- Finance.
- 키워드
- Interest parity
- 키워드
- Dollar funding
- 키워드
- Financial crises
- 기타저자
- University of Washington Economics
- 기본자료저록
- Dissertations Abstracts International. 85-01B.
- 기본자료저록
- Dissertation Abstract International
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.