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Essays in Macroeconomics and Financial Economics
Essays in Macroeconomics and Financial Economics
상세정보
- 자료유형
- 학위논문 서양
- 최종처리일시
- 20250211151348
- ISBN
- 9798382339320
- DDC
- 658
- 서명/저자
- Essays in Macroeconomics and Financial Economics
- 발행사항
- [Sl] : Washington University in St Louis, 2024
- 발행사항
- Ann Arbor : ProQuest Dissertations & Theses, 2024
- 형태사항
- 129 p
- 주기사항
- Source: Dissertations Abstracts International, Volume: 85-11, Section: A.
- 주기사항
- Advisor: Manuelli, Rodolfo E.
- 학위논문주기
- Thesis (Ph.D.)--Washington University in St. Louis, 2024.
- 초록/해제
- 요약This dissertation consists of three independent articles in the fields of Macreconomics and Financial Economics. Chapter one investigates the determinants of the demand for bonds of different maturities and the relationship with differences in idiosyncratic risk in an heterogeneous agent framework. Chapter two studies the effect of policy instability on the risk-return trade-off of different financial assets. Chapter three studies macroeconomic risk in an incomplete market economy.In the first chapter "Heterogenous Liquidity Demand and the Term Structure of Interest Rates" I study what determines differences in the demand for bonds of different maturities. I focus on the effect of differences in idiosyncratic risk. I find evidence that relates the demand for bonds of different maturities with earnings risk. To provide a rationale for these findings, I build a continuous-time, general equilibrium model with heterogeneous agents, two assets and incomplete markets. The model successfully reproduces the fact that high idiosyncratic risk is associated with high demand for short-term assets, while low idiosyncratic risk is related to high demand for long-term assets.The second chapter "Policy Instability and the Risk-Return Trade-Off", coauthored with Rodolfo Manuelli, we study what is the impact of large swings in economic policy on the risk-return trade-off faced by investors. We use data from Argentina---a country that has experienced frequent and very large regime changes---and find that the risk-return for individual assets and minimum variance portfolios are quite different across regimes. We then develop a dynamic model to understand optimal portfolios when investors are cognizant that regimes can change. We find that when portfolios are unrestricted, it is optimal for investors to take a large amount of risk. On the other hand, when portfolios are restricted to include only long positions, a real asset (real estate) dominates financial assets.The third chapter "Incomplete Markets and Macroeconomic Risk" analyze the equilibrium dynamics of asset prices, investment and risk premia in an incomplete financial market economy that is subject to aggregate risk shocks. It also addresses the question on how economic conditions endogenously affect risk in the economy. To this end, I use a continuous time macroeconomic model with financial frictions. The main findings of this article are that an exogenous increase in aggregate risk causes an increase in asset price volatility, an increase in risky asset returns through an increase in risk-premia, a decline in asset prices, investment and risk free interest rates. Moreover, the model presented here is able to reproduce counter-cyclical endogenous risk. This results also depend on how constrained are financial intermediaries. If financial intermediaries are constrained some of the results are amplified.
- 일반주제명
- Finance
- 키워드
- Macroeconomics
- 키워드
- Asset prices
- 기타저자
- Washington University in St. Louis Economics
- 기본자료저록
- Dissertations Abstracts International. 85-11A.
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
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■00520250211151348
■006m o d
■007cr#unu||||||||
■020 ▼a9798382339320
■035 ▼a(MiAaPQ)AAI31242772
■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a658
■1001 ▼aMartinez Gutierrez, Jose.
■24510▼aEssays in Macroeconomics and Financial Economics
■260 ▼a[Sl]▼bWashington University in St Louis▼c2024
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2024
■300 ▼a129 p
■500 ▼aSource: Dissertations Abstracts International, Volume: 85-11, Section: A.
■500 ▼aAdvisor: Manuelli, Rodolfo E.
■5021 ▼aThesis (Ph.D.)--Washington University in St. Louis, 2024.
■520 ▼aThis dissertation consists of three independent articles in the fields of Macreconomics and Financial Economics. Chapter one investigates the determinants of the demand for bonds of different maturities and the relationship with differences in idiosyncratic risk in an heterogeneous agent framework. Chapter two studies the effect of policy instability on the risk-return trade-off of different financial assets. Chapter three studies macroeconomic risk in an incomplete market economy.In the first chapter "Heterogenous Liquidity Demand and the Term Structure of Interest Rates" I study what determines differences in the demand for bonds of different maturities. I focus on the effect of differences in idiosyncratic risk. I find evidence that relates the demand for bonds of different maturities with earnings risk. To provide a rationale for these findings, I build a continuous-time, general equilibrium model with heterogeneous agents, two assets and incomplete markets. The model successfully reproduces the fact that high idiosyncratic risk is associated with high demand for short-term assets, while low idiosyncratic risk is related to high demand for long-term assets.The second chapter "Policy Instability and the Risk-Return Trade-Off", coauthored with Rodolfo Manuelli, we study what is the impact of large swings in economic policy on the risk-return trade-off faced by investors. We use data from Argentina---a country that has experienced frequent and very large regime changes---and find that the risk-return for individual assets and minimum variance portfolios are quite different across regimes. We then develop a dynamic model to understand optimal portfolios when investors are cognizant that regimes can change. We find that when portfolios are unrestricted, it is optimal for investors to take a large amount of risk. On the other hand, when portfolios are restricted to include only long positions, a real asset (real estate) dominates financial assets.The third chapter "Incomplete Markets and Macroeconomic Risk" analyze the equilibrium dynamics of asset prices, investment and risk premia in an incomplete financial market economy that is subject to aggregate risk shocks. It also addresses the question on how economic conditions endogenously affect risk in the economy. To this end, I use a continuous time macroeconomic model with financial frictions. The main findings of this article are that an exogenous increase in aggregate risk causes an increase in asset price volatility, an increase in risky asset returns through an increase in risk-premia, a decline in asset prices, investment and risk free interest rates. Moreover, the model presented here is able to reproduce counter-cyclical endogenous risk. This results also depend on how constrained are financial intermediaries. If financial intermediaries are constrained some of the results are amplified.
■590 ▼aSchool code: 0252.
■650 4▼aFinance
■653 ▼aMacroeconomics
■653 ▼aFinancial economics
■653 ▼aFinancial market economy
■653 ▼aAsset prices
■653 ▼aMinimum variance portfolios
■690 ▼a0501
■690 ▼a0511
■690 ▼a0508
■71020▼aWashington University in St. Louis▼bEconomics.
■7730 ▼tDissertations Abstracts International▼g85-11A.
■790 ▼a0252
■791 ▼aPh.D.
■792 ▼a2024
■793 ▼aSpanish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17161373▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
