published_or_final_version / abstract / Real Estate and Construction / Master / Master of Philosophy

published_or_final_version / Geography / Master / Master of Arts in China Development Studies

Since the Great Depression in 1929-1939, four major far-reaching financial crises took place: the collapse of Japanese asset price bubble in the 1990s, 1997 Asia Financial Crisis, 2007 US sub-prime mortgage crisis and the subsequent global economic recession, and the on-going European sovereign debt crisis, together with other minor crises in specific regions (for example, Icelandic Financial Crisis from 2008), played havoc with not only economy but towards every aspect of the society, and became a focus in academia as well. Many efforts have been paid to find out the primary reasons so that specific measures can be taken to avoid the recurrence of similar crises. This dissertation attempts to reveal the relationship between financial crises and land / real estate sector, which discusses the process that a real estate crisis turns into a financial crisis, and analyses a common phenomenon that almost all recent financial crises usually began from the crises in real estate sector. It concludes the common features in these crises with a flow from a real estate bubble towards a financial crisis, that the misconduct of government in real estate sector as well as the over-blown market confidence would usually be the original sin of an economic failure. This study takes both qualitative and quantitative approaches to research this topic by studying common features in recent financial crises. Review of historical crisis shall focus on real estate aspect, and among the several most influential and recent crises it will place emphasis on the bubble in 1990s’ Japan. In addition, this dissertation also takes a look at China’s current situation and suggest possible problems by comparing with historical experiences, particularly with the period of Japanese asset bubble. / published_or_final_version / China Development Studies / Master / Master of Arts in China Development Studies

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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / Cannot copy abstract

This study examines the characteristics of the collapse of the stock market and the foreign exchange market in some Asian countries during the 1997 Asian Financial Crisis. The interaction of these two markets during the crisis period is also studied. The method used to detect and date-stamp the timeline of the collapse is the recursive regression approach proposed in Phillips, Shi, and Yu(2015a,b). Tests are conducted on a time series of logged real stock indices and real exchange rate against the US dollar. The dataset includes information about Hong Kong, South Korea, Thailand, Malaysia, Singapore, and Taiwan. Great depreciation periods were detected in the foreign exchange markets of all these countries. And the negative bubbles in the stock markets are only detected in Thailand, South Korea, Malaysia, and Singapore due to different reasons. Moreover, the order of the collapse in these two markets is different for different countries. For example, bubbles appear earlier in the stock markets than the start of the great depreciation period in the foreign exchange markets in Thailand, South Korea, and Malaysia, whereas crashes emerge in the two markets at the same time in Singapore. The order of the collapses occurring in the two markets suggests the transmission direction. Therefore, we find that the transmission mechanism between these two markets is different for different countries and is also different from that during the non-crisis period, as suggested by previous works using the traditional Granger causality test. / 本文研究主要著眼於1997亞洲金融危機中部分亞洲國家股票市場和外匯市場在暴跌中所表現出的泡沫化特點，同時對這兩個市場變化的聯動關系進行了討論。本文采用Phillips, Shi和Yu提出的循環回歸方法對市場中是否存在泡沫以及泡沫形成和破裂的時間進行了判斷和分析。本文的研究對象為經過通貨膨脹調整的香港、韓國、泰國、馬來西亞、新加坡和臺灣的股票指數（取對數）以及這些地區的貨幣對美元的實際匯率。在所有上述經濟體中，對美元匯率都呈現正泡沫，這意味著短期內貨幣呈現較大程度貶值。然而代表股市暴跌的負泡沫只出現在了韓國、泰國、馬來西亞和新加坡，這些負泡沫亦產生於不同的原因。同時，不同國家股市和匯市的泡沫產生順序也不盡相同：在韓國、泰國和馬來西亞，股市先於匯市產生負泡沫；而在新加坡，股市和匯市的泡沫同步產生。由於泡沫產生的時間先後順序可以為兩個市場的變動提供因果關系的證據，所以我們認為在上述亞洲經濟體中，股市和匯市變動的因果關系也不相同。我們也針對上述經濟體中股市與匯市變動的因果關系提出了與之前已有研究的不同意見。 / Zhu, Jinhui. / Thesis M.Phil. Chinese University of Hong Kong 2015. / Includes bibliographical references (leaves 28-29). / Abstracts also in Chinese. / Title from PDF title page (viewed on 14, September, 2016). / Detailed summary in vernacular field only.

This dissertation contains three essays on Macroeconomics and Finance. The first chapter has been motivated by the fact that recoveries from financial crises are characterized by low investment rates and declines in capital stocks. The paper constructs an equilibrium framework in which financial shocks have a persistent effect on aggregate investment. The key assumption is that physical capital is traded in a decentralized market with search frictions, generating ``capital unemployment.'' After a negative financial shock, the share of unemployed capital is high, and the economy dedicates more resources to absorbing existing unemployed capital into production, and less to accumulating new capital. An estimation of the model for the U.S. economy using Bayesian techniques shows that the model can generate the investment persistence and half of the output persistence observed in the Great Recession. Investment search frictions also lead to a different interpretation of the sources of business-cycle fluctuations, with a larger role for financial shocks, which account for 33 percent of output fluctuations. Extending the model to allow for heterogeneity in match productivity, the framework also provides a mechanism for procyclical capital reallocation, as observed in the data. The second and third chapters focus on labor unemployment during financial crises. The second chapter uses a sample of 116 recession episodes in developed and emerging market economies to compare the labor-market recovery during financial crises with that of other recession episodes. It documents two new stylized facts. First, labor-market recovery from financial crises is characterized by either higher unemployment (``jobless recovery'') or a lower real wage (``wageless recovery''). Second, inflation determines the type of recovery: low inflation (below 30 percent annual rate) is associated with jobless recovery, while high inflation is associated with wageless recovery. The paper shows that this pattern of labor recovery from financial crises is consistent with a simple model in which collateral requirements are higher (lower) when a larger share of labor costs (physical capital expenditure) is involved in a loan contract. The third chapter paper conducts a quantitative study of the optimal exchange-rate policy in a small open economy that faces the ``credit access-unemployment'' trade-off: In the presence of nominal wage rigidity, exchange-rate depreciation reduces unemployment; in the presence of collateral constraints linking external debt to the value of income, exchange-rate depreciation tightens the collateral constraint and leads to higher consumption adjustment. It is shown that the optimal policy during financial crises generally features large currency depreciation, since welfare costs related to higher unemployment and lower consumption typically outweigh welfare costs associated with intertemporal misallocation of consumption. The optimal policy also implies a lower currency depreciation than that necessary to achieve full employment, which is consistent with a managed-floating exchange-rate policy, frequently observed during financial crises in emerging market economies. Sudden stops (or large current-account adjustments) are part of the endogenous response to large negative shocks under the optimal exchange-rate policy.

Thesis (M. Phil.)--University of Hong Kong, 2006. / Title proper from title frame. Also available in printed format.

Thesis (M. Phil.)--University of Hong Kong, 2001. / Includes bibliographical references (leaves 216-221).

Thesis (Ph. D.)--University of Missouri-Columbia, 2003. / Typescript. Vita. Includes bibliographical references (leaves 129-132). Also available on the Internet.