This dissertation contains two themes. The first involves the relationship between economic uncertainty and employment/unemployment determination, the second involves the institution of firing costs, in particular its effect on employment over the business cycle. Chapter 2 introduces uncertainty about labour productivity into the dynamic turnover-training model of Hoon and Phelps (1992). This makes hiring an investment under uncertainty. I get an explicit solution for the Bellman equation for the representative firm's optimization problem and find the optimal path for employment at the industry level. It is shown that an increase in the level of uncertainty reduces the shadow price of employees, the hire rate and optimal wage, and shifts the path for industry employment to a lower level. Chapter 3 then moves on to test the hypothesis using both data for all the OECD countries and also panel data for British industries. I find that those industries which have experienced the most volatility - measured by their average share prices - also have had the slowest employment growth, other things equal. Similarly, epochs of high uncertainty, measured by inflation and exchange rate movements, have accompanied low job creation in the OECD countries. The policy implication is that predictable economic policies and stability may reduce the equilibrium rate of unemployment. Chapter 4 looks at the determinants of the effectiveness of the institution of statutory firing costs. In the past, measures of firing restrictions have only included the size of the redundancy payments. I show that this is seriously inadequate. Thus the effectiveness of firing restrictions depends on the persistence of shocks to labour demand, the rate of interest, the rate at which workers quit, the degree of uncertainty about future productivity and economic growth. The implication is that a given level of redundancy payments may either have a very large or a very small effect on the number of redundancies, depending on the economic environment.

This thesis examines economic uncertainty from various sources, and studies the impact of uncertainty on the macroeconomy. In Chapter I, I theoretically investigate uncertainty on asset returns and its role in financial fragility using a stylized model where the level of uncertainty is endogenously chosen by banks. The risk behavior of banks imposes a negative externality on the profitability of other banks because liquidation of risky assets depresses asset prices in the secondary market. Combined with limited liability, the model can give rise to a vicious feedback loop between collective risk-taking behavior in the banking sector and fire sales of assets. The model suggests that ''panics'' over fire sales of assets can initiate banks' perverse risk-taking incentives, and trigger a self-fulfilling financial crisis where banks are taking risky investment, market liquidity is low, and credit risk is high. In Chapter II, I study empirically the role of productivity uncertainty on firms' investment in customer base. I find that similar to the case of physical capital investment, idiosyncratic uncertainty has a significant negative impact on customer base investment. However, different from the case for physical capital investment, firms with low customer base tend to be more sensitive to uncertainty. The empirical analysis suggests an alternative transmission mechanism for uncertainty shocks to the real economy that relies on the interaction between idiosyncratic uncertainty and product market frictions. In Chapter III, I focus on uncertainty about the monetary policy stance of the central bank. I investigate the optimal monetary policy in a theoretical framework where households are uncertain about central bank credibility. Contrary to the binary ''commitment vs. discretion'' commitment setting, the central bank in this model is able to commit to the optimal plan it formulates, but only over some finite (random) horizons due to its temptation to renege on the plan. Given that central bank credibility deteriorates with high inflation rates in the past, the central bank would contemplate on the impact of inflation on its future credibility and social welfare, in addition to the traditional inflation-output tradeoff. The main finding is that the central bank would enhance its credibility directly through a more conservative inflation policy.

Submitted in fulfilment of the requirements of the Degree Doctor of Technology: Quality, Durban University of Technology. 2014. / The South African automotive sector is often plagued with complex and competitive business challenges owing to globalisation, economic uncertainty and fluctuating market demands. These challenges prompt business leaders in South Africa to improve their operations and to enhance innovations in processes, products and services in a very reactive manner. Literature shows that one such initiative that can assist the automotive sector to compete with the rest of the world where productivity, quality and operational costs reduction are crucial for economic success is the adoption of the integrated Lean Six Sigma tool. The automotive sector, which purports to be at the forefront of best industry manufacturing practices in South Africa, is certainly lacking in this area. The purpose of this thesis was to assess Lean and Six Sigma techniques as standalone systems, the integration of Lean and Six Sigma as a unified approach to continuous improvement and to develop a proposed Lean Six Sigma framework for the automotive component manufacturing organisations in KwaZulu-Natal (KZN), South Africa. Due to the nature and complexity of this project, it was decided to adopt the action-based research strategy and include both qualitative and quantitative techniques. Two hypotheses were formulated to guide the research. The study was confined to the greater Durban region in KZN, which formed the target population of forty two organisations within the Durban Automotive Cluster (DAC). A survey questionnaire was designed in measurable format to gather practical information from the sample organisations on the status of their existing business improvement programs and quality practices. This information was necessary to critique the sample organisations for Lean and Six Sigma requirements and compare it to the literature in terms of the KZN context. A pilot study was conducted with senior management at five automotive manufacturing organisations to determine if the participants encountered any problems in answering the questionnaire and if the methodology adopted would meet the objectives of this project. The results of the pilot study indicated high reliability scores which were sustainable for the main study. The survey questionnaire was reviewed by Lean and Six Sigma Experts, Academics and members of the DAC executive team to ensure the validity of the questionnaire to the KZN context. The logistics of the main study followed a similar format as the pilot study and the questionnaires were distributed within the DAC over a three month period. A census sample was used in the field study to collect primary data. A response rate of 75% was achieved. The results of the empirical findings revealed that the sample organisations had a very low success rate of Lean and Six Sigma adoption as standalone systems. The sample organisations only practiced certain Lean and Six Sigma tools and techniques as they found it difficult to maintain the complete transition from theory to practice. The synergies that emerged from the study of Lean and Six Sigma that affect manufacturing performance suggested that they complemented and supported each other by tailoring the deficiencies to the given environment. This information was translated into practical considerations for constructing the proposed Lean Six Sigma framework from a KZN perspective. The conclusion of the main study was that if an organisation wants improvement to happen on an ongoing basis, it needs to recognise that there are significant interactions between their management system and the improvement technique. When the organisations understand the characteristics of the environment in which they operate, they will be able to configure appropriate follow up processes to sustain their management systems. The study demonstrated that Lean Six Sigma integration repackages the stronger focus areas of Lean and Six Sigma to create its own unique approach on improving an organisation’s performance. It is anticipated that organisations which implement the proposed Lean Six Sigma framework could contribute significantly to the growth of the South African economy in terms of increased productivity, improved international competition and job creation. The value of this research is that the proposed Lean Six Sigma framework affords the KZN automotive sector a unique opportunity to create its own brand of quality that compliments its management style and industry demands. Future research should focus on testing the applicability of the proposed Lean Six Sigma framework in a real case scenario to ensure that the critical outcomes are adequately ingrained to achieve perceived organisational performance. Lastly, it is recommended that a list of performance evaluators is developed and follow up procedures to monitor the progress of the Lean Six Sigma technique is implemented.

Background: Since the emergence of Covid-19 has it reaped and created havoc within every segment of society on a national and global scale. The financial market experienced significant declines and losses but some asset items handled the fluctuations better than others. Moreover, since some asset items are associated with different risk levels will various investors with contrasting risk attitude allocate dissimilar proportion of their disposable capital between these alternatives. Especially during low and high levels of economic uncertainty which is related to the volatile market of Covid-19. Although, little to no research has been conducted aimed at understanding how Covid-19 impacted Swedish students asset allocation prior and post the pandemic with different risk profiles.   Purpose: The purpose of this study is to investigate if students with different risk attitudes (risk-preference, risk-neutral and risk-averse) conduct statistically different asset allocation prior and post the Covid-19 pandemic. Furthermore, investigate shifts in asset holdings prior and post the pandemic. Moreover, in order to fill the identified literature gap and add to the current body of knowledge regarding asset allocation and variability concerning risk attitudes since its exclusion of Swedish student’s risk attitudes and impact of Covid-19 on preferable asset items.                                    Method: This investigative study concerns a quantitative survey of 81 different students attending Jönköping University. The survey was structured in a way to uncover whether students with different risk attitudes conduct asset allocation statistically different prior and post the Covid-19 pandemic. Moreover, incorporate sociodemographic factors of students in order to measure its relation to risk attitudes and uncertainty changes. This will be done through non-parametric tests (distribution free) such as the Chi-square, Kruskal-Wallis and Bonferroni adjusted p-value approach. The data is later discussed and interpreted through various academic sources and in the context of the frame of reference (expected utility theory).                              Conclusion: The impact of Covid-19 resulted into increased asset allocation of less risky and “safe” asset in order to deal with the declining stock market and future economic uncertainty. The study also suggest that students liquidated some of their current/fixed deposits and re-invested their disposable capital into a more conservative money management strategy, which was a continuous identified pattern.  Furthermore, the results indicate that students with different risk attitudes conduct significantly different asset allocation concerning commercial insurance, stocks/funds and various bond types prior to Covid-19. However, post the eruption has the statistical identified differences in bonds asset allocation reduced which refers to that the statistical power and dissimilar allocated proportion amongst asset items has diminished. Further multiple comparison reinsures this conclusion. Thusly, the study implies that the differences between asset allocation and student risk profiles are diminished post Covid-19 and therefore students perceived and allocated more similar capital proportions into various asset items. Hence answer the initial stated research question and empirically state that risk attitude of students impact how they conduct asset allocation prior to and to a lesser extent post Covid-19

This thesis studies the use of nonparametric econometric methods to reconcile the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of models that can prevent misspecification of agents’ utility functions or the distribution of asset returns. Evidence for potential nonlinearity is seen in the presence of non-Gaussian distributions and excessive volatility of stock returns, or non-monotonic stochastic discount factors in option prices. More robust model specifications are therefore likely to contribute to risk management and return predictability, and lend credibility to economists’ assertions. Each of the chapters in this thesis relaxes certain functional form assumptions that seem most important for understanding certain asset price data. Chapter 1 focuses on the state-price density in option prices, which confounds the nonlinearity in both the preferences and the beliefs of investors. To understand both sources of nonlinearity in equity prices, Chapter 2 introduces a semiparametric generalization of the standard representative agent consumption-based asset pricing model. Chapter 3 returns to option prices to understand the relative importance of changes in the distribution of returns and in the shape of the pricing kernel. More specifically, Chapter 1 studies the use of noisy high-frequency data to estimate the time-varying state-price density implicit in European option prices. A dynamic kernel estimator of the conditional pricing function and its derivatives is proposed that can be used for model-free risk measurement. Infill asymptotic theory is derived that applies when the pricing function is either smoothly varying or driven by diffusive state variables. Trading times and moneyness levels are modelled by marked point processes to capture intraday trading patterns. A simulation study investigates the performance of the estimator using an iterated plug-in bandwidth in various scenarios. Empirical results using S&P 500 E-mini European option quotes finds significant time-variation at intraday frequencies. An application towards delta- and minimum variance-hedging further illustrates the use of the estimator. Chapter 2 proposes a semiparametric asset pricing model to measure how consumption and dividend policies depend on unobserved state variables, such as economic uncertainty and risk aversion. Under a flexible specification of the stochastic discount factor, the state variables are recovered from cross-sections of asset prices and volatility proxies, and the shape of the policy functions is identified from the pricing functions. The model leads to closed-form price-dividend ratios under polynomial approximations of the unknown functions and affine state variable dynamics. In the empirical application uncertainty and risk aversion are separately identified from size-sorted stock portfolios exploiting the heterogeneous impact of uncertainty on dividend policy across small and large firms. I find an asymmetric and convex response in consumption (-) and dividend growth (+) towards uncertainty shocks, which together with moderate uncertainty aversion, can generate large leverage effects and divergence between macroeconomic and stock market volatility. Chapter 3 studies the nonparametric identification and estimation of projected pricing kernels implicit in the pricing of options, the underlying asset, and a riskfree bond. The sieve minimum-distance estimator based on conditional moment restrictions avoids the need to compute ratios of estimated risk-neutral and physical densities, and leads to stable estimates even in regions with low probability mass. The conditional empirical likelihood (CEL) variant of the estimator is used to extract implied densities that satisfy the pricing restrictions while incorporating the forwardlooking information from option prices. Moreover, I introduce density combinations in the CEL framework to measure the relative importance of changes in the physical return distribution and in the pricing kernel. The nonlinear dynamic pricing kernels can be used to understand return predictability, and provide model-free quantities that can be compared against those implied by structural asset pricing models.

[pt] Este trabalho tem um duplo objetivo. Em primeiro lugar, investiga qual o efeito da incerteza sobre a atividade econômica no Brasil. Para isso, são construídas diversas proxies que buscam captar o nível de incerteza vigente no Brasil (incerteza doméstica) e em vários de seus principais parceiros comerciais (incerteza externa). Em seguida, são estimados modelos de vetores autorregressivos (SVAR), em linha com Baker, Bloom e Davis (2016). Os resultados obtidos sugerem que a incerteza tem efeitos contracionistas relevantes sobre a economia brasileira. Em segundo lugar, estuda qual o efeito da incerteza sobre o poder da política monetária no Brasil. Para tanto, são construídos diversos modelos de vetores autorregressivos interativos (IVAR), tal como proposto por Aastveit, Natvik e Sola (2013), porém estimados por LASSO Adaptativo. As estimativas obtidas não corroboram a hipótese de que sob alta incerteza os efeitos da política monetária sobre a atividade são menores do que sob baixa incerteza. Este resultado, no entanto, não é robusto. / [en] This work has a dual purpose. First of all, we investigate the effect of uncertainty on economic activity in Brazil. In order to do that, we construct several proxies which seek to capture the uncertainty level prevailing in Brazil (domestic uncertainty) and in several of our major trading partners (external uncertainty). Next, we estimate vector autoregressive (SVAR) models, in line with Baker, Bloom and Davis (2016). The results suggest that uncertainty has, in fact, contractionary effects on the activity in Brazil. Second, we study the effect of uncertainty on effectiveness of monetary policy in Brazil. Thus, we make use of interacted vector autoregressive (IVAR) models, as proposed by Aastveit, Natvik and Sola (2013), estimated, however, by Adaptive LASSO. Our estimates do not corroborate the hypothesis that under high uncertainty the effects of monetary policy on the activity are lower than under low uncertainty.

This thesis consists of three essays that explore the dynamics of interconnected markets and examine the relationships between markets, investor behavior, and fundamental characteristics of the firm and the economy. In the first essay, we investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is especially prevalent among firms with high levels of foreign sales. To better understand this effect we develop an asset pricing model in which firms in different countries are connected by trade credit links. The model offers further predictions about this phenomenon, including stronger predictability during periods of high credit constraints and low uninformed trading volume. We find supportive empirical evidence for these predictions. The second essay investigates the dynamics of commodity futures volatility. I derive the variance decomposition for the futures basis to show how unexpected excess returns result from new information about expected future interest rates, convenience yields, and risk premia. Using data on major commodity futures markets and global bilateral commodity trade, I analyze the extent to which commodity volatility is related to fundamental uncertainty arising from increased emerging market demand and macroeconomic uncertainty, and control for the potential impact of financial frictions introduced by changing market structure and index trading. I find that a higher concentration in the emerging market importers of a commodity is associated with higher futures volatility. Commodity futures volatility is significantly predictable using variables capturing macroeconomic uncertainty. The third essay investigates the differential explanatory power of consumer (importing countries) and producer (exporting countries) risk in explaining the volatility of commodity spot premia and term premia using trade-weighted indices of GDP volatility. Using data for major commodity futures markets, bilateral commodity trade, exchange rates, and GDP for countries trading these commodities, I test hypotheses on the heterogeneous impact of consumer and producer shocks, potentially driven by differences in hedging preferences and investment planning horizons. Producer risk is significant for both short-dated and long-dated maturities, while consumer risk has greater explanatory power for the volatility of the term spread.

Stocks, Bonds, and Long-Run Consumption Risks. Bansal and Yaron (2004) show that long-run consumption risks and time-varying economic uncertainty in conjunction with recursive preferences can account for important features of equity markets. I bring the model to the term structure of interest rates and show that a calibrated version of the model can simultaneously explain properties of bonds and equities. Specifically, the model accounts for deviations from the expectations hypothesis, the upward sloping nominal yield curve, and the predictive power of the nominal yield spread. However, an estimation of the model using Simulated Method of Moments yields less convincing results and illustrates the difficulty of precisely estimating parameters of the model. Real (nominal) interest rates in the model are positively (negatively) correlated with consumption growth and real stock returns move inversely with inflation. The cyclicality of nominal interest rates and yield spreads is shown to depend on the relative values of the elasticity of intertemporal substitution and the correlation between real consumption growth and inflation. The “Fed-model” and the Changing Correlation of Stock and Bond Returns: An Equilibrium Approach. This paper presents an equilibrium model that provides a rational explanation for two features of data that have been considered puzzling: The positive relation between US dividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of consumption growth, inflation, and dividend growth in conjunction with Epstein-Zin and Weil recursive preferences. Historically in the US, inflation has signaled low future consumption growth. The representative agent therefore dislikes positive inflation shocks and demands a positive risk premium for holding assets that are poor inflation hedges, such as equity and nominal bonds. As a result, risk premiums on equity and nominal bonds comove positively through their exposure to macroeconomic volatility. This generates a positive correlation between dividend yields and nominal yields and between stock and bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove strongly. The subsequent moderation in aggregate economic risk has brought correlations lower. The model is able to produce correlations that can switch sign by including the covariances between consumption growth, inflation, and dividend growth as state variables. International Bond Risk Premia. We extend Cochrane and Piazzesi (2005, CP) to international bond markets by constructing forecasting factors for bond excess returns across different countries. While the international evidence for predictability is weak using Fama and Bliss (1987) regressions, we document that local CP factors have significant predictive power. We also construct a global CP factor and provide evidence that it predicts bond returns with high R2 across countries. The local and global factors are jointly significant when included as regressors, which suggests that variation in bond excess returns are driven by country-specific factors and a common global factor. Shocks to US bond risk premia seem to be particularly important determinants for international bond premia. Motivated by these results, we estimate a parsimonious no-arbitrage affine term structure model in which risk premia are driven by one local and one global CP factor. We find that international bond risk premia are driven by a local slope factor and a world interest rate level factor.

Au cours des premiers jours de la pandémie et dans le contexte d'une menace mondiale apparemment inconnue, plusieurs perturbateurs majeurs potentiels du sommeil ont été identifiés par des chercheurs et des praticiens du sommeil à travers le monde. La pandémie de COVID-19 a combiné plusieurs caractéristiques qui, prises individuellement, ont montré qu’elles affectaient négativement la santé du sommeil dans la population générale. Ces caractéristiques comprenaient le stress, les restrictions sur les interactions sociales en personne, ainsi que l'adversité financière. En conséquence, les chercheurs et les praticiens se sont précipités pour identifier des preuves qui pourraient être utilisées pour améliorer les politiques de santé publique et se sont inspirés des premières études COVID-19, des précédentes épidémies de maladies infectieuses, ainsi que de la littérature scientifique portant sur l'isolement social et l'adversité financière. Pour remédier à l'absence d'un résumé complet de la recherche sur le sommeil dans ces trois domaines distincts, je mène une revue systématique et qualitative de la littérature, en utilisant la version adaptée du cadre d'Arksey et O'Malley pour les examens de la portée. Au cours de ce travail, nous avons systématiquement examiné 16 959 résumés et nous nous sommes efforcés de « cartographier » et de résumer les preuves scientifiques pertinentes existantes disponibles en début 2020 sur la santé du sommeil dans le contexte de : 1) la COVID-19, les autres pandémies et/ou crises ; 2) l’isolation sociale, la solitude ou le confinement ; et 3) l'adversité économique ou financière. Des facteurs modérateurs potentiels tels que l'âge, le sexe, l'origine ethnique, le statut socio-économique, la prédisposition psychologique, la profession et d'autres circonstances personnelles dans ces 3 contextes ont également été inclus dans notre revue. Pour conclure, nous soulignons la nécessité de développer des interventions de santé publique qui favorisent la santé du sommeil et qui peuvent réduire l'impact potentiel des crises futures. / During the early days of the pandemic and in the context of a seemingly unknown global threat, several potential major sleep disruptors were identified by sleep researchers and practitioners across the globe. The COVID-19 pandemic combined several features that, individually, had been shown to negatively affect sleep health in the general population. Those features included stress, restrictions on in-person social interactions, as well as financial adversity. Accordingly, researchers and practitioners scrambled to identify evidence that could be used to inform public policy and drew on early COVID-19 studies, past infectious disease outbreaks, as well as from the scientific literature on social isolation and financial adversity. To address the lack of a comprehensive summary of sleep research across these three distinctive domains, I lead a systematic, qualitative review of the literature, using the adapted version of Arksey and O’Malley’s framework for scoping reviews. Over the course of this work, we systematically screened 16,959 abstracts and we endeavored to “map” and summarize the existing relevant scientific evidence available in early 2020 on sleep health in the context of: 1) COVID-19, other pandemics and/or crises; 2) social isolation, loneliness or confinement; and 3) economic or financial adversity. Potential moderating factors such as age, sex, ethnicity, socioeconomic status, psychological predisposition, occupation and other personal circumstances across these 3 contexts were also included in our review. To conclude, we highlight the need to develop public health interventions that foster sleep health and that can lessen the potential impact of future crises.

Bakgrund och problematisering: Företag inom techbranschen har fått allt större uppmärksamhet för att de driver samhället i form av utveckling och innovation. För att kunna producera innovativa produkter är det viktigt att företag har tillräckligt med kapital där kapitalstrukturen är en viktig pusselbit för att kunna kapitalisera möjligheter. Samtidigt står fortfarande många av företagen i en tidig fas vilket i många fall gör att företagen inte går med vinst. Problemet uppstår i att många av dessa företag inte har tillgång till tillräckligt kapital. Det blir därmed av intresse för att se hur dessa företag resonerar kring kapitalstrukturen under ekonomisk osäkerhet för att dels inte gå i konkurs, dels se till att investera för att få fram produkter.   Syfte: Syftet med studien är att öka kunskapen och nyansera om hur val av finansiering görs i växande svenska SME i techbranschen, identifiera och analysera vad som påverkar företagens val av kapitalstruktur och om tider med hög osäkerhet påverkar finansiella beslut i techföretag.    Metod: Metoden som användes i denna studie var av kvalitativ ansats som även tillämpade en förklarande flerfallsstudie. Referensramen hämtades i huvudsak från litteratur och vetenskapliga artiklar. Det empiriska materialet samlades in genom semistrukturerade intervjuer vilket transkriberades och analyserades genom ett tematiskt angreppssätt. Studien tog även hänsyn till kvalitetskriterier för att säkerställa god kvalité samt etiska aspekter.    Slutsats: Investerat kapital från ägare i tidigt skede och externt kapital från aktiemarknaden var viktiga pjäser för att hålla i gång företaget samtidigt som man kunde fortsätta med produktutveckling. De flesta företag som fortsatt var i ett tidigt stadie hade inga möjligheter till banklån vilket gör att man förlitar sig på tillskjutet ägarkapital. Företag som hade kommit längre i sin utveckling förklarade däremot att det finns möjlighet att få lån via bland annat kreditinstitutionen ALMI och väljer även att förlita sig på återinvesterad vinst. Företagens beteende kunde främst förklaras av avsaknaden för kapital, att tillväxt var en viktig aspekt i företagen och att ledning och styrelsen spelar en viktig roll vid utformandet av kapitalstruktur. Det konstaterades även att ekonomisk osäkerhet inte påverkar företagens tillvägagångssätt då man i många fall har strategier/planer för hur man vill att framtiden ska gestalta sig.