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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

ESSAYS ON FINANCIAL MARKETS

He, Xin 30 March 2006 (has links)
This dissertation consists of three essays, the first two on the foreign exchange market and the third on credit markets. Chapter 2 examines empirically the exchange rateinterest differential relationship in a co-integration framework. We test and estimate an error correction model (ECM) for the currency pair US dollar and British pound at the daily frequency. The exchange rate and the interest differential are found to be co-integrated, and the parameters in the ECM exhibit signs that are consistent with market practitioners observation concerning the relationship. The interest differential can thus be viewed as a long-run anchor for the two currencies exchange rate. In Chapter 3, we model the direct inter-dealer trading in the foreign exchange market as a two-stage, alternating-offer bilateral bargaining game in an asymmetric information environment. Under the naïve conjecture rule for updating the uninformed dealers beliefs, there exists a unique perfect Bayesian equilibrium (PBE) of the game. The PBE outcome depends on the informed dealers valuation of the future exchange rate. An alternative bargaining procedure is also considered which produces an identical PBE outcome. In Chapter 4, we re-examine the problem of credit rationing by modeling the loan contracting problem between a monopolist lender and the borrowers as a two-stage screening game in which pre-contractural and post-contractural informational asymmetry are simultaneously present. The screening game has a unique subgame perfect equilibrium. Depending on the level of borrowers prior debts, credit rationing may or may not occur. In the pooling equilibrium, there is no credit rationing and all borrowers get a loan whose size is socially efficient. Credit rationing arises in the semi-separating equilibrium in which high-debt borrowers do not obtain a loan from the lender.
2

Three Essays on Auctions

Tu, Zhiyong 30 March 2006 (has links)
This dissertation studies new bidding behaviors in richer environments where bidders can either communicate or intertemporally interact. We focus on such three perspectives as collusion, strategic information disclosure and intertemporal inference. In the collusion chapter, we propose a framework to investigate the structure of endogenous collusion and show that an endogenously formed ring shall in general be a partial ring. In the information disclosure chapter, we study the auctioneer's optimal choice of interperiod information release and show the standard sequential Dutch auction or the sequential ¯rst-price auction with the announcement of each stage's winning bid can generate the highest revenue among all considered sequential auction formats. In the intertemporal inference chapter, we suggest a resale explanation for the price path in sequential auctions with multi-unit demand.
3

estimation and inference with weak instruments and near exogeneity

Fang, Ying 06 July 2006 (has links)
Empirical economic studies are often confronted by the joint problem of weak instruments and near exogeneity, such as labor economics and empirical economic growth theory. This dissertation presents new evidence and solutions on estimation and inference with weak instruments and near exogeneity. Chapter 1 reexamines the effect of institutions on economic performance in Acemoglu, Johnson and Robinson (2001) where the measurement of current institutions is instrumented by European settler mortality rates. Since many economists argue that the settler mortality rates can possibly affect economic performance through other channels, I reexamine the effect of institutions by considering near exogeneity. I provide some evidence to show that the effect of institutions is not significant in many regression specifications when the settler mortality rates are used as the main instrument. Chapter 2 studies estimation and inference with weak instruments and near exogeneity in a linear simultaneous equations model. I show that near exogeneity can exaggerate asymptotic bias of the TSLS and the LIML estimators. When using critical values from chi-square distributions, Anderson-Rubin and Kleibergen tests under exogeneity have a large size distortion. I propose the delete-d jackknife based Anderson-Rubin and Kleibergen tests to automatically reduce the size distortion in finite samples without a need for any pretest of exogeneity. Chapter 3 extends estimation and inference with weak identification and near exogeneity into a GMM framework with instrumental variables. A GMM framework allows nonlinear and nondifferentiable moment conditions. I examine asymptotic results of one-step GMM estimator, two-step efficient GMM estimator and continuously updating estimator with weak identification and near exogeneity. Near exogeneity can produce relatively large bias for all these estimators. The Anderson-Rubin type and the Kleibergen type tests under near exogeneity converge in distribution to nonstandard distributions, which creates large size distortion when using critical values from chi-square distributions. The delete-d jackknife based approach can reduce the size distortion
4

Essays on Behavioral Public Economics and Microeconomic Theory

Kumru, Cagri Seda 29 September 2006 (has links)
This dissertation consists of the three independent chapters in the areas of Public Economics and Microeconomic Theory. The first two chapters use experimental and computational techniques to address two important behavioral issues in Public Economics. In particular, the first chapter (with Lise Vesterlund) examines if concerns for status may help explain why fundraisers commonly announce past contributions to future donors. To answer this question we incorporate status concerns into the standard charitable giving model, and subsequently test the predicted comparative statics in the laboratory. Consistent with the economic prediction we find that low-status followers are likely to mimic contributions by high-status leaders and that this encourages high-status leaders to contribute. Contributions are therefore larger when individuals of high status contribute before rather than after those of low status. The second chapter (with Athanasios C. Thanopoulos) uses computational techniques to assess welfare implications of an unfunded social security system when individuals have self-control preferences. Our computation model demonstrates that the welfare costs of an unfunded social security system are substantially reduced when agents have self-control preferences. However, the positive effect of reducing self-control costs is not large enough to surpass its negative effect on capital accumulation. Finally, the third chapter (with Hadi Yektas) of the dissertation examines an important and open mechanism design question. It characterizes the necessary conditions of optimal auction for multiple objects when agents are risk-averse. We show that the optimal auction is weakly efficient; in the sense that each object is sold to a buyer who has high valuation for it, if such a buyer exists. The seller perfectly insures all buyers against the risk of losing the object(s) for which they have high valuation. While the buyers who have high valuation for both objects are compensated if they do not win either object; the buyers who have low valuation for both objects incur a positive payment in the same event. The objects are bundled to the same buyer if all buyers have low valuation for both objects, thus, independent auctions are not optimal.
5

Sugar Export Price and Import Tariff Reforms: A Computable General Equilibrium Analysis of Mauritius

Woods-Early, Yulonda Suzette 02 October 2006 (has links)
This study employs a multisectoral computable general equilibrium model of Mauritius designed to explore the economic consequences of the removal of the preferential pricing agreements for Mauritius sugar exports by the European Union, the United States, or jointly. This is performed with endogenous tax changes in the distortionary value-added taxation or the lump-sum taxation to maintain a constant government budget. Each sugar export price change affects other sectors and lowers welfare in most cases. Mauritius greatest gain comes from the removal of the preferential price by the United States with value-added tax replacement. However, unilateral tariff liberalization with the European Union, the Southern African Customs Union, the United States and the Southern African Customs Union jointly, and with all of Mauritius trade constituents yield further decreases in Mauritius welfare when combined with sugar export price changes. The country is most adversely affected in the full tariff liberalization case with value-added tax replacement, where region-specific unilateral trade is usually better than unilateral global free trade.
6

OWNERSHIP, PRIVATIZATION AND INVESTMENT FADS: THEORY AND EVIDENCE FROM RUSSIA AND THE CASPIAN REGION

Semikolenova, Yadviga Viktorivna 02 October 2006 (has links)
This dissertation contains three essays that combine applied models, institutional analysis and empirical work in order to understand developments in the Russian and Caspian energy sector following the breakup of the former Soviet Union. In the first essay entitled Partial Privatization: Evidence from the Russian Oil Sector (joint with Daniel Berkowitz), we document that Russias oil sector privatization has been partial because the federal government has maintained ownership rights in several vertically integrated companies and has established a near monopoly position in the allocation of scarce export transport capacity. We develop the proposition that in these circumstances the federal government would tend to give companies in which it has ownership positions preferential access to world export markets. We develop a classification system of company ownership that distinguishes between state-influence and state-independent companies. Using censored-regression techniques, we find compelling evidence that the state-influence companies had privileged access to export transport by 2003, and argue that this suggests that there are substantial efficiency losses in the Russian oil sector. The second essay, Caspian Oil Boom: Informational Herding among the Oil Companies, analyzes the potential causes of the Caspian oil rush of 1997-1998. It provides an institutional description of foreign investment in the Caspian region in 1997-1998, and looks at different possible explanations for the investment boom. We argue that informational herding among oil companies could have contributed to the high investment activity in the region in the late 1990s, and qualitatively check for the power of the herding against the alternative explanations. In the third essay, Quality of Information, Information Externalities and Sequential Decisions of Oil Companies, we develop a theoretical model that works out the logic and mechanics of the informational herding explanation for the Caspian oil boom. We show that under certain conditions a second company to enter will invest in the development of a new oil field even if it received a bad informative signal about the profitability of the project. We also show that when companies receive noisy public and private information, the second company may be more likely to invest after receiving a bad signal.
7

Essays on Auction Theory

Yektaş, Hadi 06 October 2006 (has links)
This work is composed of three essays on auction theory. In the first essay, we analyze the optimal auction of multiple non-identical objects when buyers are risk averse. We show that the auction forms that yield the maximum revenue in the risk neutral case are no longer optimal. In particular, selling the goods independently does not maximize the seller's revenue. On the other hand, the optimal auction remains weakly efficient. The optimal auction has the following properties: The seller perfectly insures all buyers against the risk of losing the object(s) for which they have high valuation. While the buyers who have high valuation for both objects are compensated if they do not win either object, the buyers who have low valuation for both objects incur a positive payment in the same event. In the second essay, we question whether, in the all-pay auction, the seller's commitment to the reserve price is beneficial if she has the chance of repeating the auction, possibly with a different reserve price, in case there is no sale in the first period. We show that, for any number of potential buyers, non-commitment is preferable only if the seller is relatively more patient than the buyers. Moreover, as the number of potential buyers increases, the seller's incentive to commit increases if she maximizes the average bid, whereas it decreases if she maximizes the highest bid. A possible explanation is that if the seller maximizes the average (highest) bid then screening high types (highest type) becomes costlier (less costly) as more buyers participate in the auction. The third essay studies collusive behavior in the Ausubel auction in an environment with incomplete information. The Ausubel auction is vulnerable to collusion due to two main reasons: First, the mechanism has a dynamic nature that allows the bidders to detect and punish those that deviate from the agreed collusive strategy. Second, in case a bidder strategically reduces his demand to signal his intention to collude, the mechanism allows the opponents to correctly interpret the signal.
8

Economic Activities and Networks of Relatioships

Lee, Yong-Ju 22 June 2007 (has links)
The fundamental question I address in the dissertation is how the behavior of economic agents interacts with networks of relationships which underlie a wide set of economic situations. In Ch. 2, entitled "Decentralized Information Sharing in Oligopoly," I analyze the incentives of firms for information sharing in a decentralized environment when firms face a stochastic demand. In order to do that, I develop a two stage model of strategic network formation, where a cooperative network formation stage is played in the first stage and a noncooperative Bayesian Cournot game is played in the second stage. I derive pure strategy mixed cooperative and noncooperative equilibria that are subgame perfect and stable, and characterize the resulting network structures. Ch. 3, entitled "A War of Attrition in Network Formation," investigates the strategic behavior of agents when they face a decision on the formation of relationships. I apply a war of attrition to the dynamic network formation process when links among agents have characteristics of public goods. Agents are randomly but exogenously matched in each stage. Based on Bala and Goyal's (2000) two-way flow model, I characterize the subgame-perfect equilibrium outcomes and discuss their efficiency. Finally, Ch. 4, entitled "Social Norms and Trust among Strangers," (with Huan Xie) studies the development of trust and reciprocity among strangers in the indefinitely repeated trust game with random matching. If reputation is attached to the community as a whole and if a single defection leads to the destruction of the cooperative social norm through contagious punishments, the cooperative social norm can be sustained by the self-interested community members in the equilibrium. We provide sufficient conditions that support the social norm of trust and reciprocity as a sequential equilibrium.
9

ASYMMETRIC INFORMATION IN AN EVOLUTIONARY FRAMEWORK

Masson, Virginie Anne Joelle 22 June 2007 (has links)
This dissertation consists of three theoritical chapters. In the first chapter, I study an evolutionary model with a finite population of boundedly rational agents, who do not have access to the same amount of information. Time is discrete, and in each period two agents are paired to play a 2 × 2 symmetric coordination game. Each player can cross paths with two kinds of opponents: Neighbors or Strangers. If a player faces a Neighbor, she can access some information about her opponents past plays, and plays using a myopic best-response. But if she faces a Stranger, she does not have access to any information, and therefore plays according to a casebased decision rule. I show that in the short run, segregated localities emerge, to finally disappear in the long run, in favor of the Pareto Efficient convention. The main contribution of this chapter is that I show that agents coordinate in an evolutionary framework on an efficient outcome, even when information is asymmetric, without assuming any pre-play communication or mobility of the agents. In the second chapter (with Alexander Matros) we consider K finite populations of boundedly rational agents whose preferences and information differ. Each period agents are randomly paired to play some coordination games. We show that several special (fixed) agents lead the coordination. In a mistake-free environment, all connected fixed agents have to coordinate on the same strategy. In the long run, as the probability of mistakes goes to zero, all agents coordinate on the same strategy. The long-run outcome is unique, if all fixed agents belong to the same population. The last chapter (with Alexander Matros) considers a public good game similar to the one iii in Eshel, Samuelson and Shaked [14], which benefits are only local. We find some sufficient conditions which when applied to a particular set of graphs ensure the survival of Altruism.
10

THREE ESSAYS ON AUCTION THEORY AND CONTEST THEORY

Sui, Yong 19 September 2007 (has links)
In the first chapter, ¡°All-Pay Auctions with Resale¡±, I study equilibria of first- and second-price all-pay auctions with resale when players' signals are affiliated and symmetrically distributed. I show that existence of resale possibilities introduces an endogenous element to players' valuations and creates a signaling incentive for players. I characterize symmetric bidding equilibria for both first- and second-price all-pay auctions with resale and provide sufficient conditions for existence of symmetric equilibria. Under those conditions I show that second-price all-pay auctions generate no less expected revenue than first-price all-pay auctions with resale. The initial seller could benefit from publicly disclosing her private information which is affiliated with players' signals. Outcome in all-pay auctions is deterministic since the highest bidder wins the prize with probability one. However, many realistic contests have in-deterministic outcome and no player can guarantee winning the prize. The second chapter, ¡°Rent-Seeking Contest with Private Values and Resale¡±, studies rent-seeking contests with private values and resale possibilities. With an in-deterministic success function, the resulting possible inefficiency creates a motive for aftermarket trade. Players' valuations are endogenously determined when there is an opportunity of resale. I characterize symmetric equilibria. I assume that the winner has full bargaining power; however, the results extend to other resale mechanisms. I show that resale enhances allocative efficiency ex post at the expense of more wasted social resources since players compete more aggressively with resale possibilities. In the third chapter, ¡°The Imperfectly Discriminating Contests with Incomplete Information¡±, I study the existence of monotone pure-strategy equilibria in imperfectly discriminating contests with incomplete information. Sufficient conditions under which equilibria exist are provided for both finite-action and continuum-action cases. Using a two-bidder example, we derive some properties of equilibria and show a special case of revenue equivalence between contests with incomplete information and contests with complete information.

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