Thesis--Lund. / Summary in English. Bibliography: p. [336]-345.

Thesis (M.B.A.)--University of Hong Kong, 1994. / Includes bibliographical references.

Thesis (Ph. D.)--University of Hawaii at Manoa, 2005. / Includes bibliographical references (leaves 223-243).

Thesis (Ph. D.)--University of California, Berkeley. / Includes bibliographical references (leaves 958-992).

Thesis--Wisconsin. / Vita. Includes bibliographical references (leaves 436-448).

This study consists of three essays of causal relations between international financial markets. The first essay investigates the impact stock exchange mergers on indices co-movement and international portfolio management. The long run cointegration and causal relations between a group Nordic and Baltic stock Exchanges (Norway, Denmark, Sweden, Finland, Estonia, Latvia and Lithuania) that composed the OMX and NASDAQ stock exchange are tested. Employing GARCH model to test the heteroskedastic cointegration between these indexes during 2003 to 2012, I find that the integration of Nordic and Baltic stock markets increased due to the merger. Based on the linear and nonlinear causality test, the results show that the NASDAQ index has a stronger predictive power on OMX indexes after the merger. The second essay explores the causal relations oil markets and financial markets. Using daily data of WTI crude oil prices and Shanghai Stock Exchange index for a period from January 1, 2001, to November 2, 2015, I propose a two-step nonlinear quantile causality test approach to investigate the bidirectional relationship between oil price return and China's stock price return. This study provide some evidence of the existence of relation between international oil markets and financial markets of emerging countries, and suggest that insignificant results in previous studies is due to the unsuitable regression models. Last essay links international financial network with international trade network. Based on the bilateral data from year 2001 to 2011, I construct international trade and financial networks, defined as a weighted graph where nodes are countries and edges are trade and capital flow linkages, respectively. To get a deeper insight of the network characteristics, we adopt turning parameter to combine the node degree and strength within the weighted network. And moreover, we construct a new indicator, partner quality centrality, to identify the quality of neighbors. Within the panel co-integration framework, we provide the existence of positive long run equilibrium between the trade and financial networks as constructed. In addition, we employ a panel causality test to investigate the short run dynamics, indicating that the international capital flow network has predictive power on the trade network from the short run perspective, but not the vice versa.

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A financial crisis is consisted by a major event or a series of events. Event analysis can be used to analyse the causes of the financial crisis. In this paper, we use the Bear Stearns event and the Lehman Brothers event to analyse the causes of the Global Financial Crisis, find the weakness of our financial system and therefore, we suggest remedy the regulatory shortcomings and intensify the international cooperation within central banks and international financial organisations.

Thesis advisor: Susanto Basu / Thesis advisor: Ryan Chahrour / This dissertation consists of three independent chapters analyzing the sources of business cycles and the role of monetary policy. Taking both closed- and open-economy perspectives, I study the importance of expectations for the empirical identification of economic and policy shocks, the nature of business cycle fluctuations, and the optimal conduct of monetary policy. The first chapter is titled ``International Spillovers and the Exchange Rate Channel of Monetary Policy,'' and is joint work with Vito Cormun. Motivated by the observation that exchange rate fluctuations largely influence small open economies, we propose a novel approach to separately identify the effects of domestic and external shocks on exchange rates and other macroeconomic variables, thereby uncovering a set of new empirical findings. A first finding is that external shocks account for most of exchange rate fluctuations. Relatedly, the bulk of external shocks is strongly correlated with measures of global risk aversion and uncertainty (e.g. the VIX), and a country’s net foreign asset position largely explains the exposure of its exchange rate to external disturbances. A second finding is that domestic and external disturbances generate very different comovement patterns between interest rates and exchange rates. In particular, unlike domestic shocks, external shocks are associated with large and significant deviations from uncovered interest parity. As a result, an econometrician that fails to properly distinguish between sources of exchange rate fluctuations is bound to obtain puzzling estimates of the exchange rate effects of domestic monetary policy shocks. These empirical findings have profound implications for models of small open economy and exchange rate determination. In particular, they favor theories in which exchange rates are jointly determined by the risk-bearing capacity in financial markets as well as the extent of a country’s financial imbalances. For this reason, we develop a model of the international financial sector that satisfies these features, and embed it in an otherwise standard general equilibrium two-country small open economy model. The key mechanism of the model consists of risk averse traders in the foreign exchange markets that require a premium to hold the currency risk of the small open economy. We show that the proposed model is able to reproduce all the empirical findings documented in the empirical analysis, including the cross-country differences in exposure to external shocks, the role of a country’s net foreign asset position, the different responses of interest rates, exchange rates, and currency excess returns across different shocks, as well as the emergence and resolution of the so-called exchange rate response puzzle across different identification approaches. The second chapter is titled ``Should Central Banks Target Investment Prices?'' and is joint work with Susanto Basu. The question posed in the title is motivated by the observation that central banks nearly always state explicit or implicit inflation targets in terms of consumer price inflation. To address the question, we develop an otherwise standard dynamic general equilibrium model with two production sectors. One sector produces consumption goods, while the other produces investment goods. In this context, we show that if there are nominal rigidities in the pricing of both consumption and investment goods and if the shocks to the two sectors are not identical, then monetary policy faces a tradeoff between targeting consumption price inflation and investment price inflation. In a model calibrated to replicate the estimated processes of sectoral total factor productivities as well as a set of unconditional business cycle moments, ignoring investment prices typically leads to substantial welfare losses because the intertemporal elasticity of substitution in investment is much higher than in consumption. Based on the model's predictions, we argue that a shift in monetary policy to targeting a weighted average of consumer and investment price inflation may produce significant welfare gains, although this would constitute a major change in current central banking practice. The third chapter is titled ``Information Acquisition and Self-Fulfilling Business Cycles,'' and is sole-authored work. To study the implications of imperfect information on economic fluctuations, I develop an otherwise standard Real Business Cycle model with endogenous information acquisition, which generates countecyclical firm-level uncertainty and endogenously procyclical productivity, as empirically documented in the literature. The main contribution of this chapter is the observation that this model displays aggregate increasing returns to scale and, potentially, an indeterminate dynamic equilibrium. In fact, an aggregate representation of the model is observationally equivalent to earlier theories of endogenous fluctuations based on increasing returns to scale, but its microeconomic foundations are consistent with empirically observed firm-level returns to scale. In a model calibrated to replicate a set of moments of the empirical distribution of firm-level productivity, self-fulfilling fluctuations are possible. In addition, a Bayesian estimation of the model suggests that non-fundamental shocks explain a significant fraction of aggregate fluctuations. / Thesis (PhD) — Boston College, 2019. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.