Along this dissertation I propose to walk the reader through several macroeconomic<p>implications of information asymmetries, with a special focus on financial<p>issues. This exercise is mainly theoretical: I develop stylized models that aim<p>at capturing macroeconomic phenomena such as self-fulfilling liquidity dry-ups,<p>the rise and the fall of securitization markets, and the creation of systemic risk.<p>The dissertation consists of three chapters. The first one proposes an explanation<p>to self-fulfilling liquidity dry-ups. The second chapters proposes a formalization<p>of the concept of market discipline and an application to securitization<p>markets as risk-sharing mechanisms. The third one offers a complementary<p>analysis to the second as the rise of securitization is presented as banker optimal<p>response to strict capital constraints.<p>Two concepts that do not have unique acceptations in economics play a central<p>role in these models: liquidity and market discipline.<p>The liquidity of an asset refers to the ability for his owner to transform it into<p>current consumption goods. Secondary markets for long-term assets play thus<p>an important role with that respect. However, such markets might be illiquid due<p>to adverse selection.<p>In the first chapter, I show that: (1) when agents expect a liquidity dry-up<p>on such markets, they optimally choose to self-insure through the hoarding of<p>non-productive but liquid assets; (2) this hoarding behavior worsens adverse selection and dries up market liquidity; (3) such liquidity dry-ups are Pareto inefficient<p>equilibria; (4) the government can rule them out. Additionally, I show<p>that idiosyncratic liquidity shocks à la Diamond and Dybvig have stabilizing effects,<p>which is at odds with the banking literature. The main contribution of the<p>chapter is to show that market breakdowns due to adverse selection are highly<p>endogenous to past balance-sheet decisions.<p>I consider that agents are under market discipline when their current behavior<p>is influenced by future market outcomes. A key ingredient for market discipline<p>to be at play is that the market outcome depends on information that is observable<p>but not verifiable (that is, information that cannot be proved in court, and<p>consequently, upon which enforceable contracts cannot be based).<p>In the second chapter, after introducing this novel formalization of market<p>discipline, I ask whether securitization really contributes to better risk-sharing:<p>I compare it with other mechanisms that differ on the timing of risk-transfer. I<p>find that for securitization to be an efficient risk-sharing mechanism, it requires<p>market discipline to be strong and adverse selection not to be severe. This seems<p>to seriously restrict the set of assets that should be securitized for risk-sharing<p>motive.<p>Additionally, I show how ex-ante leverage may mitigate interim adverse selection<p>in securitization markets and therefore enhance ex-post risk-sharing. This<p>is interesting because high leverage is usually associated with “excessive” risktaking.<p>In the third chapter, I consider risk-neutral bankers facing strict capital constraints;<p>their capital is indeed required to cover the worst-case-scenario losses.<p>In such a set-up, I find that: 1) banker optimal autarky response is to diversify<p>lower-tail risk and maximize leverage; 2) securitization helps to free up capital<p>and to increase leverage, but distorts incentives to screen loan applicants properly; 3) market discipline mitigates this problem, but if it is overestimated by<p>the supervisor, it leads to excess leverage, which creates systemic risk. Finally,<p>I consider opaque securitization and I show that the supervisor: 4) faces uncertainty<p>about the trade-off between the size of the economy and the probability<p>and the severity of a systemic crisis; 5) can generally not set capital constraints<p>at the socially efficient level. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Doctorat en Sciences politiques et sociales / info:eu-repo/semantics/nonPublished

This study investigated the impact of import prices on inflation in Namibia, using quarterly time series data over the period 1998Q2-2017Q4. The variables used in the study are inflation rate, M2, real GDP and import prices. The study found that all the variables are integrated of order one (1), and upon testing for cointegration using Johansen test, there was no cointegration. Therefore, the model was analysed using ordinary least squares (OLS) techniques of vector autoregression (VAR) approach, granger causality test and the impulse response function. The results of the study revealed that import prices granger causes inflation at 1% level of significance. Inflation is also granger caused by real GDP and broad money supply (M2) does not Granger cause inflation. The study further revealed that the shocks to import prices are significant in explaining variation in inflation both in the short run and in the long term. / Economics / M. Com. (Economics)

Indiana University-Purdue University Indianapolis (IUPUI) / Accurate estimation of alcohol price elasticity is important for policy analysis – e.g.., determining optimal taxes and projecting revenues generated from proposed tax changes. Several approaches to specifying and estimating the price elasticity of demand for alcohol can be found in the literature. There are two keys to policy-relevant specification and estimation of alcohol price elasticity. First, the underlying demand model should take account of alcohol consumption decisions at the extensive margin – i.e., individuals' decisions to drink or not – because the price of alcohol may impact the drinking initiation decision and one's decision to drink is likely to be structurally different from how much they drink if they decide to do so (the intensive margin). Secondly, the modeling of alcohol demand elasticity should yield both theoretical and empirical results that are causally interpretable. The elasticity estimates obtained from the existing two-part model takes into account the extensive margin, but are not causally interpretable. The elasticity estimates obtained using aggregate-level models, however, are causally interpretable, but do not explicitly take into account the extensive margin. There currently exists no specification and estimation method for alcohol price elasticity that both accommodates the extensive margin and is causally interpretable. I explore additional sources of bias in the extant approaches to elasticity specification and estimation: 1) the use of logged (vs. nominal) alcohol prices; and 2) implementation of unnecessarily restrictive assumptions underlying the conventional two-part model. I propose a new approach to elasticity specification and estimation that covers the two key requirements for policy relevance and remedies all such biases. I find evidence of substantial divergence between the new and extant methods using both simulated and the real data. Such differences are profound when placed in the context of alcohol tax revenue generation.

Thesis (PhD)--Stellenbosch University, 2014. / ENGLISH ABSTRACT: The practice of combining single-factor multiples (SFMs) into composite multiples models is underpinned by the theory that various SFMs carry incremental information, which, if encapsulated in a superior value estimate, largely eliminates biases and errors in individual estimates. Consequently, the chief objective of this study was to establish whether combining single value estimates into an aggregate estimate will provide a superior value estimate vis-á-vis single value estimates. It is envisaged that this dissertation will provide a South African perspective, as an emerging market, to composite multiples modelling and the multiples-based equity valuation theory on which it is based. To this end, the study included 16 SFMs, based on value drivers representing all of the major value driver categories, namely earnings, assets, dividends, revenue and cash flows. The validation of the research hypothesis hinged on the results obtained from the initial cross-sectional empirical investigation into the factors that complicate the traditional multiples valuation approach. The main findings from the initial analysis, which subsequently directed the construction of the composite multiples models, were the following: Firstly, the evidence suggested that, when constructing multiples, multiples whose peer groups are based on a combination of valuation fundamentals perform more accurate valuations than multiples whose peer groups are based on industry classifications. Secondly, the research results confirmed that equity-based multiples produce more accurate valuations than entity-based multiples. Thirdly, the research findings suggested that multiples models that are constructed on earnings-based value drivers, especially HE, offer higher degrees of valuation accuracy compared to multiples models that are constructed on dividend-, asset-, revenue- or cash flowbased value drivers. The results from the initial cross-sectional analysis were also subjected to an industry analysis, which both confirmed and contradicted the initial cross-sectional-based evidence. The industry-based research findings suggested that both the choice of optimal Peer Group Variable (PGV) and the choice of optimal value driver are industry-specific. As with the initial cross-sectional analysis, earnings-based value drivers dominated the top positions in all 28 sectors that were investigated, while HE was again confirmed as the most accurate individual driver. However, the superior valuation performance of multiples whose peer groups are based on a combination of valuation fundamentals, as deduced from the crosssectional analysis conducted earlier, did not hold when subjected to an industry analysis, suggesting that peer group selection methods are industry-specific. From this evidence, it was possible to construct optimal industry-specific SFMs models, which could then be compared to industry-specific composite models. The evidence suggested that composite-based modelling offered, on annual average, between 20.21% and 44.59% more accurate valuations than optimal SFMs modelling over the period 2001 to 2010. The research results suggest that equity-based composite modelling may offer substantial gains in precision over SFMs modelling. These gains are, however, industry-specific and a carte blanche application thereof is ill advised. Therefore, since investment practitioners’ reports typically include various multiples, it seems prudent to consider the inclusion of composite models as a more accurate alternative. / AFRIKAANSE OPSOMMING: Die praktyk om Enkelfaktor Veelvoude (EFVe) te kombineer in saamgestelde veelvoudmodelle word ondersteun deur die teorie dat verskillende EFVe oor inkrementele inligting beskik, wat, indien dit in ’n superieure waardeskatting opgeneem word, grootliks vooroordele en foute in individuele skattings elimineer. Gevolglik was die hoofdoel van hierdie studie om vas te stel of die kombinering van verskeie enkelfaktor waardeskattings in ’n totale waardeskatting ’n superieure waardeskatting sal verskaf vis-á-vis enkelfaktor waardeskattings. Dit word voorsien dat hierdie proefskrif ’n Suid-Afrikaanse perspektief, as ’n ontluikende mark, sal bied aangaande saamgestelde veelvoudmodellering en die veelvoud-gebaseerde ekwiteitswaardasie-teorie waarop dit gebaseer is. Hiermee ten doel, sluit hierdie studie 16 EFVe in, gebaseer op waardedrywers wat al die vernaamste waardedrywerkategorieë, naamlik verdienste, bates, dividende, omset en kontantvloeie, verteenwoordig. Die bevestiging van die navorsingshipotese is afhanklik van die resultate soos bekom vanuit die aanvanklike dwarsdeursnee-empiriese ondersoek na die faktore wat die tradisionele veelvoudwaardasieproses kompliseer. Die hoofbevindinge van die aanvanklike ontleding, wat daarna rigtinggewend was vir die komposisie van die saamgestelde veelvoudmodelle, was die volgende: Eerstens, dui die bewyse daarop dat, wanneer veelvoude saamgestel word, veelvoude waarvan die portuurgroepe op ’n kombinasie van fundamentele waardasieveranderlikes gebaseer is, meer akkurate waardasies lewer as veelvoude waarvan die portuurgroepe op industrie-klassifikasies gebaseer is. Tweedens, het die navorsingsresultate bevestig dat ekwiteitsgebaseerde veelvoude meer akkurate waardasies lewer as entiteitsgebaseerde veelvoude. Derdens, toon die navorsingsbevindinge dat veelvoudmodelle wat saamgestel word uit verdienstegebaseerde waardedrywers, veral wesensverdienste (WV), hoër grade van waardasie-akkuraatheid bied in vergelyking met veelvoudmodelle wat saamgestel word uit dividend-, bate-, omset- of kontantvloei-gebaseerde waardedrywers. Die resultate van die aanvanklike dwarsdeursnee-ontleding is ook onderwerp aan ’n industrie-ontleding, wat die aanvanklike bevindinge van die dwarsdeursnee-ontleding beide bevestig en weerspreek het. Die bevindinge vanaf die industrie-ontleding dui daarop dat beide die keuse van optimale Portuurgroepveranderlike (PGV) en die optimale keuse van waardedrywer, industrie-spesifiek is. Soos met die aanvanklike dwarsdeursnee-ontleding, het verdienste-gebaseerde waardedrywers die top posisies by al 28 sektore wat ondersoek is, gedomineer, terwyl WV weer as die akkuraatste individuele waardedrywer bevestig is. Die superieure waardasie-resultate van veelvoude waarvan die portuurgroepe gebaseer was op ’n kombinasie van fundamentele waardasie-veranderlikes, soos afgelei uit die aanvanklike dwarsdeursnee-ontleding, het egter nie dieselfde resultate gelewer op ’n per sektor basis nie, wat aandui dat portuurgroep seleksiemetodes industrie-spesifiek is. Vanuit hierdie bevindinge was dit moontlik om optimale EFV-modelle saam te stel, wat dan vergelyk kon word met industrie-spesifieke saamgestelde veelvoudmodelle. Die bevindinge het voorgestel dat saamgestelde modellering gemiddeld jaarliks, tussen 20.21% en 44.59% meer akkurate waardasies gelewer het as optimale EFVmodellering oor die tydperk 2001 tot 2010. Die navorsingsresultate dui aan dat ekwiteitsgebaseerde saamgestelde modellering aansienlike toenames in waardasie-akkuraatheid mag bewerkstellig bo dié van EFVmodellering. Hierdie toenames is egter industrie-spesifiek en ’n carte blanche toepassing daarvan is nie aan te beveel nie. Gevolglik, aangesien beleggingspraktisyns se verslae tipies verskeie veelvoude insluit, blyk dit redelik om die insluiting van saamgestelde modelle as ’n meer akkurate alternatief te oorweeg.

In this thesis, extensive research regarding the relationship between macroeconomic variables and the stock market is carried out. For this purpose the two largest stock markets in the world, namely the US and Japan, are chosen. As a proxy for the US stock market we use the S&P500 and for Japan the Nikkei225. Although there are many empirical investigations of the US stock market, Japan has lagged behind. Especially the severe boom and bust sequence in Japan is unique in the developed world in recent economic history and it is important to shed more light on the causes of this development. First, we investigate the long-run relationship between selected macroeconomic variables and the stock market in a cointegration framework. As expected, we can support existing findings in the US, whereas Japan does not follow the same relationships as the US. Further econometric analysis reveals a structural break in Japan in the early 1990s. Before that break, the long-run relationship is comparable to the US, whereas after the break this relationship breaks down. We believe that a liquidity trap in a deflationary environment might have caused the normal relationship to break down. Secondly, we increase the variable set and apply a non-linear estimation technique to investigate non-linear behaviour between macroeconomic variables and the stock market. We find the non-linear models to have better in and out of sample performance than the appropriate linear models. Thirdly, we test a particular non-linear model of noise traders that interact with arbitrage traders in the dividend yield for the US and Japanese stock market. A two-regime switching model is supported with an inner random or momentum regime and an outer mean reversion regime. Overall, we recommend investors and policymakers to be aware that a liquidity trap in a deflationary environment could also cause severe downturn in the US if appropriate measures are not implemented accordingly.

This thesis aims to contribute towards a better understanding of the optimal coordination of monetary and fiscal policy in complex economic environments. We analyze the characteristics of optimal dynamics in an economy in which neither prices nor wages adjust instantaneously and lump-sum taxes are unavailable as a source of government finance. We then propose that monetary and fiscal policy should be coordinated to satisfy a pair of simple `specific targeting rules', a rule for inflation and a rule for the growth of real wages. We show that such simple rule-based conduct of policy can do remarkably well in replicating the dynamics of the economy under optimal policy following a given shock. We study optimal policy coordination in the context of an economy where a constant proportion of agents lacks access to the asset market. We find that the optimal economy moves along an analogue of a conventional inflation-output variance frontier in response to a government spending shock, as the population share of non-Ricardian agents rises. The optimal output response rises, while inflation volatility subsides. There is little evidence that increased government spending would crowd in private consumption in the optimal economy. We investigate the optimal properties and wider implications of a macroeconomic policy framework aimed at meeting an unconditional debt target. We show that the best stationary policy in terms of an unconditional welfare measure is characterized by highly persistent debt dynamics, less history-dependence in the conduct of policy, less reliance on debt finance and more short-term volatility following a government spending shock compared with the non-stationary `timelessly optimal' plan.

by Poon Yeuk Wan, Tsang Fei. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 54-55). / Acknowledgements --- p.i / Abstract --- p.iii / Table of Contents --- p.iv / List of Tables --- p.vi / List of Appendix --- p.vii / Chapter Chapter1 --- Introduction --- p.1 / Chapter 1.1 --- Project Objective --- p.1 / Chapter 1.2 --- Project Structure --- p.2 / Chapter 1.3 --- Data --- p.3 / Chapter Chapter 2 --- Emerging Markets´ؤ-An Overview --- p.5 / Chapter 2.1 --- Latin America --- p.5 / Argentina --- p.5 / Brazil --- p.7 / Chile --- p.7 / Colombia --- p.8 / Mexico --- p.8 / Peru --- p.9 / Venezuela --- p.9 / Chapter 2.2 --- Eastern Europe --- p.10 / Czech Republic --- p.10 / Poland --- p.10 / Slovakia --- p.11 / Hungary --- p.11 / Russia --- p.11 / Chapter 2.3 --- Middle East --- p.12 / Israel --- p.12 / Jordan --- p.12 / Chapter 2.4 --- Implication For Further Analysis --- p.13 / Chapter Chapter 3 --- Analysis and Findings I: Descriptive Statistics Analysis --- p.14 / Chapter 3.1 --- Objective of Descriptive Statistic Analysis --- p.14 / Chapter 3.2 --- Findings --- p.16 / Eastern Europe --- p.16 / Latin America --- p.16 / Middle East --- p.17 / Chapter 3.3 --- Conclusion --- p.18 / Chapter Chapter 4 --- Analysis and Findings II: Day-of-the- Week (Monday effect) Test --- p.19 / Chapter 4.1 --- Objective --- p.19 / Chapter 4.2 --- Literature Review --- p.19 / Chapter 4.3 --- Methodology --- p.21 / Chapter 4.4 --- Data --- p.23 / Chapter 4.5 --- Analysis --- p.24 / Chapter 4.6 --- Empirical findings --- p.25 / Chapter I. --- The equality of return test --- p.25 / Eastern Europe --- p.26 / Latin America --- p.26 / Middle East --- p.26 / Overall --- p.27 / Local currency versus US currency --- p.27 / Chapter II. --- Comparison of Monday return with returns of other days within the week --- p.27 / Chapter l. --- Without exchange rate effect --- p.28 / Chapter 4.7 --- Monday effect一-an overview --- p.31 / Comparison by region --- p.31 / Eastern Europe --- p.31 / Latin America --- p.31 / Middle East --- p.32 / The effect of exchange rate --- p.32 / Chapter Chapter 5 --- Analysis And Findings III: Correlation Analysis --- p.33 / Chapter 5.1 --- Literature Review --- p.33 / Chapter 5.2 --- Objective --- p.35 / Chapter 5.3 --- Methodology --- p.35 / Chapter 5.4 --- Findings --- p.38 / Chapter I --- Correlations Within Regions --- p.38 / Eastern Europe --- p.33 / Latin America --- p.40 / Middle East --- p.42 / Chapter II. --- Correlation Among Regions --- p.43 / Eastern Europe vs. Latin America --- p.43 / Latin America vs. Middle East --- p.44 / Eastern Europe vs. Middle East --- p.45 / Chapter III. --- Correlations with the United States --- p.46 / US vs. Eastern Europe --- p.46 / US vs. Latin America --- p.46 / US vs. Middle East --- p.47 / Chapter 5.5 --- Conclusion --- p.43 / Chapter Chapter 6 --- Conclusions and Implications --- p.49 / Implications on market integration --- p.52 / BIBLIOGRAPHY --- p.54 / APPENDIX --- p.56

本文主要研究實際匯率出口彈性對中國貧富懸殊的影響。我們使用了二十八個省份從1995年至2008年的數據。結果顯示實際匯率出口彈性愈高的省份其城鄉收入差距就會愈廣。另外，我們使用了各省的加工出口比例作為實際匯率出口彈性的工具變量。 / 本文主要的貢獻在於分別地考慮出口數量和出口的商品種類來研究開放度對貧富懸殊的關係。在分開了出口數量和出口商品的種類對貧富懸殊的影響後，我們發現數據中呈現的中國對外開放度和貧富懸殊的正向關係，是基於出口商品的種類改變，而非如以前的文獻所說，是基於出口量的增長。因此，要決定一個省份的城鄉收入差距，該省份生產甚麼比其生產數量更重要。 / This paper investigates the effect of export elasticity to real exchange rate and on urban-rural income disparity in China. We use annual data from 28 provinces from 1995 to 2008. The main finding is that provinces producing more elastic exported goods would have a higher urban-rural income inequality. We also construct the processing export ratio as an instrumental variable for the elasticity terms. / One main contribution of this paper is to consider separately the effect of export value and the composition of exports when we examine the relationship between openness and income inequality. After separating the effect of export value and the composition of exports, we find that the positive relationship between openness and income inequality mentioned in previous literature is caused by a change in export composition, rather than in export value. Hence, what the provinces produce matters much more than how much they produce when we determine urban-rural income inequality. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Chan, Ying Tung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 32-34). / Abstracts also in Chinese. / ABSTRACT --- p.II / 摘要 --- p.III / ACKNOWLEDGMENTS --- p.IV / Chapter 1 --- INTRODUCTION --- p.1 / Chapter 1.1 --- OPENNESS AND INEQUALITY --- p.1 / Chapter 1.2 --- COMPOSITION OF INCOME INEQUALITY IN CHINA --- p.2 / Chapter 2 --- LITERATURE REVIEWS --- p.4 / Chapter 2.1 --- LITERATURE ON THE CAUSE OF INCOME INEQUALITY IN CHINA --- p.4 / Chapter 2.2 --- LITERATURE ON THE EFFECT OF OPENNESS ON INCOME INEQUALITY IN CHINA --- p.6 / Chapter 2.3 --- LITERATURE ON THE COMPOSITION OF EXPORTS AND ECONOMIC GROWTH IN CHINA --- p.9 / Chapter 3 --- DATA --- p.11 / Chapter 4 --- REGRESSION MODEL --- p.12 / Chapter 4.1 --- REGRESSION RESULT (WITHOUT THE ELASTICITY TERM) --- p.15 / Chapter 4.2 --- ROLLING REGRESSION FOR ESTIMATING THE ELASTICITY TERMS --- p.17 / Chapter 4.3 --- REGRESSION RESULT OF REGRESSION (1) --- p.19 / Chapter 4.4 --- INSTRUMENTAL VARIABLE FOR THE ELASTICITY TERM --- p.20 / Chapter 4.5 --- REGRESSION RESULT AFTER USING TWO-STAGE LEAST SQUARE (2SLS) --- p.23 / Chapter 5 --- DISCUSSION --- p.24 / Chapter 6 --- CONCLUSION --- p.29 / REFERENCES --- p.32

Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated behaviours find their origin in the theory of complex systems. There are several mechanisms which generate scale invariance but maximum entropy models are able to explain both scale invariance and collective behaviours.<p>The study of the structure and collective modes of financial markets attracts more and more attention. It has been shown that some agent based models are able to reproduce some stylized facts. Despite their partial success, there is still the problem of rules design. In this work, we used a statistical inverse approach to model the structure and co-movements in financial markets. Inverse models restrict the number of assumptions. We found that a pairwise maximum entropy model is consistent with the data and is able to describe the complex structure of financial systems. We considered the existence of a critical state which is linked to how the market processes information, how it responds to exogenous inputs and how its structure changes. The considered data sets did not reveal a persistent critical state but rather oscillations between order and disorder.<p>In this framework, we also showed that the collective modes are mostly dominated by pairwise co-movements and that univariate models are not good candidates to model crashes. The analysis also suggests a genuine adaptive process since both the maximum variance of the log-likelihood and the accuracy of the predictive scheme vary through time. This approach may provide some clue to crash precursors and may provide highlights on how a shock spreads in a financial network and if it will lead to a crash. The natural continuation of the present work could be the study of such a mechanism. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished