Thesis (Ph. D.)--University of Missouri-Columbia, 1998. / Typescript. Vita. Includes bibliographical references (leaves 157-163). Also available on the Internet.

Thesis (doctoral)--Université de Lausanne, 1936. / Bibliography: p. 251-255.

Thesis (Ph. D.)--Purdue University, 1992. / Vita. Includes bibliographical references (leaves 99-104).

Thesis (Ph. D.)--University of California, Los Angeles, 1993. / Vita. Includes bibliographical references (leaves 158-167).

Thesis (Ph. D.)--University of Nevada, Reno, 2008. / "August, 2008." Includes bibliographical references (leaves 95-100). Online version available on the World Wide Web.

Chapter 1 builds a two-bank bargaining model of the overnight interbank market in which, due to the commitment of the central bank to its interest rate target, bargaining between banks impacts loan sizes rather than interest rates (the converse of existing models). As a result, policy changes have a different impact to what is posited by existing models. The model is applied to a market where the commitment of the central bank is well documented (Australia). With reasonable parameter values, the model replicates five stylised facts of the Australian market. Moreover, the stylised facts are replicated without recourse to any asymmetries. Chapter 2 extends the two-bank model to incorporate a large number of heterogeneous banks. This model is able to replicate the asymmetric shape of banks' end-of-day central bank deposit distributions (despite symmetric initial distributions); a novel contribution to the literature. Moreover, after inputting recent changes in Australian central bank policy, this model produces percentage changes in interbank trading volumes that closely align with the data. Central banks typically supply more overnight deposits than banks desire to hold (in aggregate), but this aggregate is typically small relative to interbank lending. With commitment, this is not required for the central bank to achieve its interest rate target (the typical explanation in the literature). So, to explain this phenomenon, Chapter 3 builds a DSGE model that incorporates commitment and the results from the previous chapters. Due to asymmetric information, there may be stigma associated with borrowing from the central bank's overnight lending facility, which is costly. But while the central bank can reduce use of its lending facility, by increasing aggregate deposits, the resulting fall in interbank lending is also costly; because the interbank market helps banks monitor their counterparties. Therefore, low but positive aggregate deposits can be explained as the welfare-optimising point in the trade-off between stigma and monitoring costs (a novel contribution to the literature).

This dissertation studies topics in international finance and central bank policy. In the first chapter, "Common idiosyncratic volatility and carry trade returns", I provide new evidence that incomplete consumption risk sharing across countries is an important determinant of carry trade returns. I show that there is a strong co-movement in idiosyncratic volatilities over time, and that shocks to the common idiosyncratic volatility (CIV) factor, defined as the equally weighted average of the idiosyncratic volatilities in the cross-section, are priced. I find that high-interest rate currencies deliver low returns when the CIV increases, which are bad times for investors. Low-interest rate currencies provide a hedge by yielding positive returns. CIV shocks remain an empirically powerful risk factor in explaining the cross-section of carry trade returns after controlling for global foreign exchange (FX) volatility risk. Furthermore, CIV risk is correlated with cross-country income risk faced by households. My findings are consistent with a heterogeneous-agent model with persistent, uninsurable idiosyncratic shocks in consumption growth. The calibrated model quantitatively accounts for the cross-sectional differences in average returns across CIV-beta sorted portfolios for plausible market prices of CIV risk. In the second chapter, "Fed-implied market conditions", we propose a novel text processing technique to extract views of market conditions that are implicit in the Fed's policy statements and minutes. The method is easy to apply and addresses several problems inherent in the use of changes in interest rates as a proxy for central bank policy. First, we project market variables into the text of FOMC statements and minutes (separately) using support vector regressions (SVRs) to predict the levels of 10-year yields, 3-month yields, 2s10s, DXY index, VIX, high-yield (HY) and investment-grade (IG) spreads. We then define measures of monetary policy (``FDIF'' variables) as the Fed-implied deviation away from the market variable: the out-of-sample value of the market variable implied by the SVR minus the corresponding value of the market variable the day before the statement (minutes) release. We show that different markets respond differently to monetary policy news in the short-run, in a way that has independent and complementary implications for market movements in the long-run. Fed news also has important long-run implications for macroeconomic outcomes. Our Fed measures outperform Bernanke-Kuttner and changes in 2-year yields for forecasting macro and financial outcomes in the future. Finally, we show that there are Fed-risky and Fed-hedging industries, and these earn risk premia on Fed statement days. Finally, in the third chapter, "Does the counterparty of central banks in derivatives-based foreign exchange interventions matter?", we study how the central bank counterparty in foreign exchange interventions affect the supply of hedge against FX risks to the private sector. We use Brazilian data where derivatives-based interventions have been used in tandem for almost two decades. The analysis finds evidence of a link between central bank counterparties in FX swap operations and the supply of hedge through FX futures contracts. The main central bank counterparty in foreign exchange interventions uses the liquidity provided by the central bank to increase the supply of hedge to the private sector. Other counterparties use the US dollars provided by the central bank to reduce their own foreign exchange exposure.

Thesis (Ph. D.)--University of Texas at Austin, 2006. / Vita. Includes bibliographical references.

by Sze Ho-Yee. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 48-49). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / General Background --- p.1 / Research Objectives --- p.3 / Framework of the Study --- p.3 / Chapter II. --- LITERATURE REVIEW --- p.4 / Chapter III. --- TYPICAL CENTRAL BANK FUNCTIONS --- p.8 / Policy Function --- p.8 / Banking Function --- p.9 / Prudential Function --- p.10 / Developmental and Research Function --- p.10 / Chapter IV. --- A REVIEW OF THE BANKING INDUSTRY IN CHINA --- p.12 / The Central Bank --- p.12 / State Specialized Banks --- p.13 / Policy Banks --- p.14 / Other Commercial banks and Foreign Banks --- p.15 / Chapter V. --- ROLE OF THE PEOPLE'S BANK OF CHINA AND THE UNDERLYING LEGAL FRAMEWORK --- p.16 / Formation of PBOC --- p.16 / Establishment of a legal framework for the Central Bank - PBOC --- p.17 / Autonomy of the Central Bank - PBOC --- p.17 / Primary Objective of the Central Bank - PBOC --- p.18 / Functions of the Central Bank - PBOC --- p.19 / Monetary Control --- p.19 / Prudential Regulatory Control --- p.21 / Currency Issuance and Payment Transfer Systems Control --- p.21 / Legal Entity --- p.22 / Chapter VI. --- EVOLUTION OF THE ROLE OF THE PBOC --- p.23 / "PBOC as a ""Monobank""" --- p.24 / PBOC as an Independent Ministry --- p.25 / PBOC as the Central bank --- p.26 / Independence of the PBOC --- p.27 / Degree of autonomy for the PBOC --- p.28 / Chapter VII. --- FACTORS CONTRIBUTING TO THE CHANGES OF PBOC'S ROLE --- p.30 / Institutional Change --- p.30 / Economic Reforms --- p.32 / Market Competition --- p.33 / Chapter VIII. --- CONCLUSION --- p.35 / APPENDIX --- p.37 / BIBLIOGRAPHY --- p.48

Thesis (Doctoral)--Rijksuniversiteit Groningen, 2001. / In English, with summary in Dutch. Includes bibliographical references.