本文扩展了由Chari, Kehoe和McGrattan最初开创的Business Cycle Accounting 方法，利用两国开放经济模型研究中国经常账波动的根源。本文从模型得出的五个一阶条件方程和两个产出方程中，量化衡量了代表不同市场扭曲程度的7个变量。其中包括两国分别的生产力扭曲程度、劳动市场扭曲程度、资本市场扭曲程度，以及两国风险共担的程度。本文通过将得出的代表市场扭曲程度的变量逐一逆向回代入模型中，进一步分解了各个变量对中国经常账波动的贡献度。利用1978年至2010年中国和美国的数据，本文得出结论认为中国的经常账波动与劳动力市场扭曲具有最密切的关系，其次是资本市场扭曲。生产力的提高和中美两国的风险共担程度对中国经常账的影响甚微。同时结果表明，中美两国的真实利率差距也对中国经常账有显著影响，中国的真实利率相对美国而言较高。 / This paper extends the original Business Cycle Accounting exercise developed by Chari, Kehoe, and McGrattan to a two-country open economy model. To identify the sources of China’s current account fluctuations, I measure seven wedges from five first-order conditions and two productivity functions, including the productivity wedges, labor wedges, and investment wedges in both China and the US, as well as the risk sharing wedge between the two countries. Then I incorporate the measured wedges back into the model to decompose their contributions to the behavior of real current account. With the use of real data (beginning 1978) on China and the US, the accounting procedures suggest that the behavior of China’s current account is best explained by labor wedges, followed by investment wedges. The productivity wedges and risk sharing wedge between the two countries impose minor effects. Results also indicate that the spread of real interest rates in China and the US significantly influences China’s current account surplus, and that the real interest rates in China is relatively higher than those of the United States. / Detailed summary in vernacular field only. / Yuan, Xiaochuan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 71-76). / Abstracts also in Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgements --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature on the Current Account of China --- p.3 / Chapter 2.1 --- Saving and investment --- p.4 / Chapter 2.2 --- Financial imperfections --- p.5 / Chapter 2.3 --- Exchange rate --- p.7 / Chapter 2.4 --- Income and growth --- p.9 / Chapter 2.5 --- Multiple reasons --- p.10 / Chapter 2.6 --- Improvement policies --- p.11 / Chapter 3 --- Facts on China’s Current Account --- p.13 / Chapter 4 --- Two-Country Open Economy Model --- p.19 / Chapter 4.1 --- Household --- p.19 / Chapter 4.2 --- Firm --- p.20 / Chapter 4.3 --- Government --- p.21 / Chapter 4.4 --- Two-country problem --- p.21 / Chapter 4.5 --- Definitions of the wedges --- p.23 / Chapter 5 --- Measuring the Wedges --- p.25 / Chapter 6 --- Accounting Procedure --- p.32 / Chapter 7 --- Further Implications --- p.38 / Chapter 8 --- Conclusions --- p.41 / Chapter 9 --- Data Appendix --- p.46 / Chapter 9.1 --- Data source --- p.46 / Chapter 9.2 --- Variables --- p.46 / Chapter 9.3 --- Parameters --- p.49 / Chapter 9.4 --- Robust check --- p.50 / Chapter 10 --- References --- p.71

A major objective of this thesis is to study the statistical inference problem for GARCH-type models, including fractionally-integrated (FI) GARCH, fractional (F) GARCH, long-memory (LM) GARCH, and non-stationary GARCH models. / Among various types of generalizations to the ARCH models, fractionally-integrated (FI) GARCH model proposed in Baillie et al. (1996) and Bollerslev and Mikkelson (1996) is one of the most interesting ones as it offered many challenging theretical problems. / Parameters in the ARCH-type models are commonly estimated using the quasi-maximum likelihood estimator (QMLE). To establish consistency and asymptotic normality of the QMLE, one usually has to impose stringent assumptions, see Robinson and Zaffaroni (2006) and Straumann (2005). They have to assume that a stationary solution to the true model exists and this solution has some finite moments. These two assumptions are too restrictive to be applied to FIGARCH models. Formal results of the asymptotic properties of the QMLE of the FIGARCH models are still not available. Progresses on asymptotic theory of QMLE have only been made on certain models that resemble the FIGARCH model, including the FGARCH model of Ding and Granger (1996) and Robinson and Zaffaroni (2006), the LM-GARCH model of Robinson and Zaffaroni (1997) and the non-stationary ARCH model, but not the FIGARCH model itself. / This study attempts to solve the FIGARCH problem and extend the current findings on FGARCH, LM-GARCH and non-stationary GARCH models. We show that if the fractional parameter d is known, the QMLE for the parameters are strongly consistent and asymptotically normal. The results of LM-GARCH (0, d, 0) model in Konlikov (2003a,b) will be generalized to encompass the LM-GARCH(p, d, q) models. We also furnish a general result for non-stationary GARCH (p, q) models, extending the results of Jensen and Rahbek (2004) on weak consistency and asymptotic normality of the QMLE of the non-stationary GARCH (1, 1) models. / Ng, Chi Tim. / "June 2007." / Adviser: Chan Ngai Hang. / Source: Dissertation Abstracts International, Volume: 69-01, Section: B, page: 0398. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

by Gilbert Chiu-sing Lui. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 112-117). / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Models and Assumptions --- p.4 / Chapter 3. --- Asymptotics of FM-SEA Estimators --- p.15 / Chapter 3.1. --- Model without Determinstic Trends --- p.15 / Chapter 3.2. --- Model with Determinstic Trends --- p.27 / Chapter 4. --- Asymptotics of FM-SEA Estimators of VAR System --- p.33 / Chapter 4.1. --- General Model --- p.33 / Chapter 4.2. --- Model with d = 4 --- p.44 / Chapter 5. --- Monte Carlo Experimental Results --- p.49 / Chapter 6. --- Conclusion --- p.54 / Chapter 7. --- Mathematical Appendix --- p.56 / Chapter 8. --- References --- p.112

Bian Yong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 34-37). / Abstracts in English and Chinese. / Chapter I. --- Introduction --- p.1 / Chapter II. --- Indeterminacy in a Small Open Economy Model with Endogenous Time Preference --- p.4 / Chapter 2.1 --- Economic Environment --- p.5 / Chapter 2.1.1 --- Technology --- p.5 / Chapter 2. 1. 2 --- Dynamic Model --- p.8 / Chapter 2.2 --- The indeterminacy result --- p.12 / Chapter 2.3 --- Conclusion --- p.12 / Chapter III. --- Indeterminacy in a Small Open Economy Model with Endogenous Labor Supply --- p.14 / Chapter 3. 1 --- Economic Environment --- p.17 / Chapter 3.2 --- Preference --- p.21 / Chapter 3.3 --- Dynamics of Equilibrium --- p.24 / Chapter 3.4 --- Indeterminacy and Scale Economies --- p.28 / Chapter 3. 4. 1 --- Case1 --- p.30 / Chapter 3.4.2 --- Case2 --- p.31 / Chapter 3.5 --- Conclusion --- p.32 / Chapter IV. --- References --- p.34 / Chapter V. --- Appendix --- p.38 / Chapter 5. 1 --- Technology --- p.38 / Chapter 5.2 --- Preference --- p.41 / Chapter 5. 3 --- Dynamics of Equilibrium --- p.43 / Chapter 5. 3. 1 --- Case1 --- p.49 / Chapter 5. 3. 2 --- Case2 --- p.50

Liquidity, often defined as the ability of markets to absorb large transactions without much effect on prices, plays a central role in the functioning of financial markets. This dissertation aims to investigate the implications of liquidity from several different perspectives, and can help to close the gap between theoretical modeling and practice. In the first part of the thesis, we study the implication of liquidity costs for systemic risks in markets cleared by multiple central counterparties (CCPs). Recent regulatory changes are trans- forming the multi-trillion dollar swaps market from a network of bilateral contracts to one in which swaps are cleared through central counterparties (CCPs). The stability of the new framework de- pends on the resilience of CCPs. Margin requirements are a CCP’s first line of defense against the default of a counterparty. To capture liquidity costs at default, margin requirements need to increase superlinearly in position size. However, convex margin requirements create an incentive for a swaps dealer to split its positions across multiple CCPs, effectively “hiding” potential liquidation costs from each CCP. To compensate, each CCP needs to set higher margin requirements than it would in isolation. In a model with two CCPs, we define an equilibrium as a pair of margin schedules through which both CCPs collect sufficient margin under a dealer’s optimal allocation of trades. In the case of linear price impact, we show that a necessary and sufficient condition for the existence of an equilibrium is that the two CCPs agree on liquidity costs, and we characterize all equilibria when this holds. A difference in views can lead to a race to the bottom. We provide extensions of this result and discuss its implications for CCP oversight and risk management. In the second part of the thesis, we provide a framework to estimate liquidity costs at a portfolio level. Traditionally, liquidity costs are estimated by means of single-asset models. Yet such an approach ignores the fact that, fundamentally, liquidity is a portfolio problem: asset prices are correlated. We develop a model to estimate portfolio liquidity costs through a multi-dimensional generalization of the optimal execution model of Almgren and Chriss (1999). Our model allows for the trading of standardized liquid bundles of assets (e.g., ETFs or indices). We show that the benefits of hedging when trading with many assets significantly reduce cost when liquidating a large position. In a “large-universe” asymptotic limit, where the correlations across a large number of assets arise from a relatively few underlying common factors, the liquidity cost of a portfolio is essentially driven by its idiosyncratic risk. Moreover, the additional benefit from trading standardized bundles is roughly equivalent to increasing the liquidity of individual assets. Our method is tractable and can be easily calibrated from market data. In the third part of the thesis, we look at liquidity from the perspective of market microstructure, we analyze the value of limit orders at different queue positions of the limit order book. Many modern financial markets are organized as electronic limit order books operating under a price- time priority rule. In such a setup, among all resting orders awaiting trade at a given price, earlier orders are prioritized for matching with contra-side liquidity takers. In practice, this creates a technological arms race among high-frequency traders and other automated market participants to establish early (and hence advantageous) positions in the resulting first-in-first-out (FIFO) queue. We develop a model for valuing orders based on their relative queue position. Our model identifies two important components of positional value. First, there is a static component that relates to the trade-off at an instant of trade execution between earning a spread and incurring adverse selection costs, and incorporates the fact that adverse selection costs are increasing with queue position. Second, there is also a dynamic component, that captures the optionality associated with the future value that accrues by locking in a given queue position. Our model offers predictions of order value at different positions in the queue as a function of market primitives, and can be empirically calibrated. We validate our model by comparing it with estimates of queue value realized in backtesting simulations using marker-by-order data, and find the predictions to be accurate. Moreover, for some large tick-size stocks, we find that queue value can be of the same order of magnitude as the bid-ask spread. This suggests that accurate valuation of queue position is a necessary and important ingredient in considering optimal execution or market-making strategies for such assets.

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This thesis consists of three self-contained chapters. Chapter I. The first chapter develops a dynamic general equilibrium model which includes financial intermediation and endogenous financial crises. Consistent with the data, financial crises occur out of prolonged (credit) boom periods and are initiated by a moderate adverse shock. The mechanism which gives rise to boom-bust episodes around financial crises is based on an interaction between the maturity mismatch of the financial sector and an agency problem which results in procyclical lending. I show how to model these features in a tractable way, giving a realistic representation of the financial sector's balance sheet and its lending behavior. The chapter provides empirical evidence on the behavior of the U.S. financial sector's market leverage which is (i) acyclical, (ii) rose mildly prior to the Great Recession, and (iii) increased sharply during the crisis; the model is consistent with these empirical facts. It also predicts and replicates the Great Recession, when confronted with a historical series of structural shocks. Finally, the framework is extended to include price rigidities, nominal debt contracts, and monetary policy. Within this version, I analyze the impact of monetary policy on financial stability and show that a U-shaped pattern of the policy target rate is most likely to increase financial instability. Chapter II. The second chapter models the economy as a time varying vector autoregression, consisting of economic and financial variables. The interest lies in the time varying response of these variables to a monetary policy shock. Monetary policy shocks are identified as the surprise component in policy announcements extracted from price changes in Federal Funds futures around such announcements. These monetary policy surprises enter the model as an exogenous variable. The framework is used to obtain evidence on the time varying response of stock prices to the monetary policy surprises. Stock prices always persistently decrease following a monetary tightening and more strongly than fundamentals imply - with an increase in risk-premia accounting for the difference. However, the response of stock prices varies over time. They decrease less during a boom and a perceived bubble period than during a recession. The findings suggest that so-called "leaning against the wind policies" may be ineffective since stock prices are less responsive during periods when such policies would disinflate asset bubbles using contractionary monetary policy. Chapter III. The third chapter augments a monetary dynamic general equilibrium model with a bubble as considered in [Miao_Wang_2015]. A bubble may exist in firms' stock market values and firms borrow against their inflated stock market values. Within this framework, I analyze the relation between monetary policy and the bubble. I find that contractionary monetary policy decreases the bubble which tightens borrowing constraints and amplifies the reaction of investment and output. These results are in contrast to the ones in Gali (2014) who considers a bubble of the classic rational type and finds that contractionary monetary policy can increase bubbles.

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Abstract not available