Thesis (Ph. D.)--University of Texas at Austin, 2004. / Supervisor: P. Dean Corbae. Vita. Includes bibliographical references. Also available from UMI.

Thesis (Ph.D.)--Cleveland State University, 2009. / Abstract. Title from PDF t.p. (viewed on Sept. 8, 2009). Includes bibliographical references (p. 149-154). Available online via the OhioLINK ETD Center and also available in print.

Thesis (M.S.)--Brigham Young University. Dept. of Statistics, 2008. / Includes bibliographical references (p. 34).

Thesis (M. Phil.)--University of Hong Kong, 2003. / Also available in print.

Thesis (M. Phil.)--University of Hong Kong, 2003.

published_or_final_version / Law / Master / Master of Philosophy

This dissertation contains three essays in International Macroeconomics. The first two chapters study clustered sovereign defaults, the default events where multiple countries default in a relatively short period of time. In spite of the fact that clustering of defaults is a recurring phenomenon, there is a lack of empirical as well as quantitative research focusing on clustered defaults. Therefore, the first two chapters try to uncover the the nature of shocks and the mechanism through which these shocks lead countries to clustered defaults. The first chapter uses the data on 146 sovereign defaults from 1975 to 2014 and categorizes one-third of these defaults as clustered default episodes. It then asks if the nature of shocks that drive clustered defaults differ from those that drive idiosyncratic defaults. I find that global variables, global shocks to transitory component of output of the countries and world interest rate fluctuations, play a crucial role in predicting clustered default events: for clustered default episodes, the predicted probability of default goes up by two-and-a-half times after the inclusion of global variables as explanatory variable. Idiosyncratic defaults, on the other hand, are not influenced by the presence of global variables as explanatory variable in the specification, and the predicted probability of default remains unchanged. Motivated by the finding of the first chapter, the second chapter builds a quantitative framework to study clustered defaults. The chapter begins with a joint estimation of structural parameters that drive the output process of 24 countries and a process for the world interest rate. The postulated output process includes transitory and permanent global components, as well as transitory and permanent country-specific components. I then build a sovereign default model augmented with financial frictions at the firm level. The model and the estimation process of driving forces are validated jointly when the shocks, estimated independently of the model or of default data, are fed into the model and the model reproduces the clustered default of 1982. The two main findings of the chapter are: (1) the primary driver of clustered defaults is global shock to the transitory component of output; and (2) contrary to what is commonly believed, the Volcker interest rate hike was not a decisive factor for the 1982 developing country debt crisis. The third chapter looks at one of the key financial frictions in emerging and poor economies—the presence of credit constrained households—and the way they affect consumption-to-output volatility ratio in these countries. A higher than one ratio of consumption-to-output volatility in emerging and poor countries is at odds with the observation that emerging and poor countries are also the countries where a big fraction of consumers do not have access to financial services. This is because consumers with no access to financial services cannot smooth consumption and can only have a consumption volatility to output volatility ratio of one. Therefore, in the presence of credit constrained households, the consumption volatility to output volatility ratio in the theoretical models should move closer to one rather than going up and away from one. This chapter, therefore, incorporates credit constrained households in an augmented real business cycle (RBC) model to study their effect on economic fluctuations in a set on 75 countries.

Originally presented as the author's doctoral Thesis (Universität, St. Gallen, 2006). / Description based on print version record. Includes bibliographical references.

As evidenced by its market size, credit default swaps (CDSs) has been the cornerstone product of the credit derivatives market. The central question that I attempt to answer in this thesis is: why and how does the introduction of CDS market affect bank loan financing? Theoretical works predict some potential effects from CDS market, but empirical evidence is still rare. This dissertation empirically examines the effects of CDS trading on bank loan financing. In chapter one, I find that banks increase average loan amount and charge higher loan spread after the onset of CDS trading on the borrower’s debt. Also, credit quality of the borrower deteriorates for those with active CDS trading. These findings suggest that banks tend to take on more credit risk by issuing larger loans and by lending to riskier firms that could not obtain bank loan in the absence of CDS. The risk-taking by banks ultimately transmitted to higher bank-level risk profile. The second chapter is the first empirical study of CDS’ role in determining loan syndicate structure. I find larger lead bank share when CDS is in place. Moreover, participation of credit derivatives trading by lead banks is much larger than by the participants, suggesting that lead banks have better chance to use CDS to their own advantage. Further analysis shows that lead banks retain an even larger share when it is more experienced dealing with the borrower and when information asymmetry between the lender and the borrower is less severe. Different from conventional wisdom about moral hazard in syndicated lending, our findings suggest that the lead bank likely takes on more credit risk voluntarily due to its increased financing capacity. The third chapter focuses on the effects of CDS on debt contracting. Given that current evidence does not show CDS reduces average cost of debt, we conjecture that the diversification benefit is reflected by relaxation of restrictions imposed on borrowers. Consistent with our hypothesis, we find the marginal effect from CDS trading on covenant strictness measure is 16.8% on average. One standard deviation increase in the number of outstanding CDS contracts loosens net worth covenants by approximately 8.9%. Using various endogeneity controls, we are able to show the loosening of covenants is due to the reduced level of debtholder-shareholder conflict. Furthermore, the loosening effect is stronger when the expected renegotiation cost is larger, consistent with the view that CDS mitigates contracting friction and improves contracting efficiency. Overall, this dissertation attempts to provide first empirical evidence on how CDS affects bank loan financing. We focus the analysis on loan issuance, syndicate structure and contracting. The findings suggest that banks lend to riskier borrowers in the presence of CDS. On a positive note, banks tend to impose less restrictive covenants on its borrower, which may mitigate frictions in lending market in terms of ex ante bargaining and ex post renegotiation cost. / published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

Thesis (M.A.)--University of Missouri-Columbia, 2007. / The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on April 17, 2008) Includes bibliographical references.