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Essays on Macro-Finance and Asset Pricing
Essays on Macro-Finance and Asset Pricing
상세정보
- 자료유형
- 학위논문 서양
- 최종처리일시
- 20250211151005
- ISBN
- 9798382729800
- DDC
- 658
- 저자명
- Pang, Hao.
- 서명/저자
- Essays on Macro-Finance and Asset Pricing
- 발행사항
- [Sl] : Duke University, 2024
- 발행사항
- Ann Arbor : ProQuest Dissertations & Theses, 2024
- 형태사항
- 194 p
- 주기사항
- Source: Dissertations Abstracts International, Volume: 85-11, Section: A.
- 주기사항
- Advisor: Cieslak, Anna.
- 학위논문주기
- Thesis (Ph.D.)--Duke University, 2024.
- 초록/해제
- 요약This dissertation comprises three chapters studying how macroeconomics and the financial market are connected.In chapter one, I study how agents form inflation expectations across different forecast horizons. I analyze survey inflation forecasts and document that these forecasts deviate from full-information rational expectations (FIRE), and the deviation varies across forecast horizons. To reconcile the cross-horizon forecast behavior, I propose a new subjective expectations formation model.In the second chapter, I further analyze how the expectations formation in the first chapter affects the Treasury bond pricing. Embedding the expectations model within a yield curve model, I explain several bond pricing puzzles with a uniform inflation belief story.The third chapter is based on the joint work with Anna Cieslak. We propose an approach to identifying economic shocks from asset prices, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors' responses to news from the Fed and key macro announcements.
- 일반주제명
- Finance
- 키워드
- Financial market
- 키워드
- Macroeconomics
- 키워드
- Pricing puzzles
- 키워드
- Economic shocks
- 기타저자
- Duke University Business Administration
- 기본자료저록
- Dissertations Abstracts International. 85-11A.
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
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■020 ▼a9798382729800
■035 ▼a(MiAaPQ)AAI30994554
■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a658
■1001 ▼aPang, Hao.
■24510▼aEssays on Macro-Finance and Asset Pricing
■260 ▼a[Sl]▼bDuke University▼c2024
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2024
■300 ▼a194 p
■500 ▼aSource: Dissertations Abstracts International, Volume: 85-11, Section: A.
■500 ▼aAdvisor: Cieslak, Anna.
■5021 ▼aThesis (Ph.D.)--Duke University, 2024.
■520 ▼aThis dissertation comprises three chapters studying how macroeconomics and the financial market are connected.In chapter one, I study how agents form inflation expectations across different forecast horizons. I analyze survey inflation forecasts and document that these forecasts deviate from full-information rational expectations (FIRE), and the deviation varies across forecast horizons. To reconcile the cross-horizon forecast behavior, I propose a new subjective expectations formation model.In the second chapter, I further analyze how the expectations formation in the first chapter affects the Treasury bond pricing. Embedding the expectations model within a yield curve model, I explain several bond pricing puzzles with a uniform inflation belief story.The third chapter is based on the joint work with Anna Cieslak. We propose an approach to identifying economic shocks from asset prices, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors' responses to news from the Fed and key macro announcements.
■590 ▼aSchool code: 0066.
■650 4▼aFinance
■653 ▼aFinancial market
■653 ▼aMacroeconomics
■653 ▼aPricing puzzles
■653 ▼aEconomic shocks
■690 ▼a0508
■690 ▼a0310
■690 ▼a0454
■690 ▼a0501
■71020▼aDuke University▼bBusiness Administration.
■7730 ▼tDissertations Abstracts International▼g85-11A.
■790 ▼a0066
■791 ▼aPh.D.
■792 ▼a2024
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17160363▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
