Following the privatisation programme of public utilities implemented by the UK government in the 1980s and early 1990s, an interesting debate on the impact of regulation on the cost of equity capital has emerged. While the effects of regulatory announcements have been studied extensively in the USA, there is very little systematic evidence in the UK. This thesis partly redresses this imbalance by analysing the impact of regulatory announcements on the ex-post returns of equity capital and systematic risk of three utility industries in the UK, namely the electricity, telecommunications and water industries. The main objective of this thesis is to test the impact of regulatory announcements that relate to competition, pricing and the quality of services on the return and risk of equity capital. By using an event-study type methodology, the thesis attempts to isolate the effects of regulation from technical and market uncertainties. The methodology normally used in this type of studies is extended to adjust for the well-documented problem in financial time series of volatility clustering and to allow for changes in the systematic risk through time. Overall, the results in the empirical chapters reveal some important issues. While it is clear from the debate in the literature that the cost of capital influences the choice of regulatory parameters, this thesis provides evidence to support the view that regulation in turn alters the cost of equity capital by affecting the ex-post returns and systematic risk of both individual regulated companies and industries. Although the direction and size of these effects of regulation are not always easy to predict, there is evidence to suggest that they may depend crucially on the structure and competitive posture of the industry, as well as technological and market conditions and the parameters of the regulatory system.

Thesis advisor: Matteo Iacoviello / This thesis focuses on investment, regulation and labor market frictions. The first paper is motivated by lumpiness of investment activity at the plant level. Investment episodes at firm level happen in lumps, period of great activity and periods of inaction. Previous research has suggested that, in a general equilibrium framework, accounting for such microeconomic behavior is irrelevant for explaining aggregate investment (Thomas (2002)). This paper re-evaluates previous findings in a two-sector economy, where non-convex costs of capital adjustment apply to each sector. Calibrating the model to be consistent with microeconomic evidence, I find that lumpy investment is relevant for the business cycle. Through limited intersectoral mobility of capital, non-convex capital adjustment costs impact the relative price of investment generating a synchronization of investment decisions at sectoral level. As a result, aggregate investment is amplified relative to neoclassical benchmarks in response to an aggregate productivity shock. In a one-sector model this mechanism is absent, since intersectoral capital mobility is perfect and the relative price of investment is independent from non-convex capital adjustment costs. In an empirical investigation of the model using 2-digit SIC industry data, I find evidence that sectoral measures of capital distribution forecast aggregate investment. The second paper investigates the effect of product market liberalization on employment and considers possible interactions between policies and institutions in product and labor markets. Using panel data for OECD countries over the period 1980-2002, we present evidence that product market deregulation is more effective at the margin when labor market regulation is high. The data also suggest that product market deregulation promotes labor market deregulation. These results are consistent with the basic predictions of a standard bargaining model, such as Blanchard and Giavazzi (2003), extended to allow for a richer specification of the fall back position of the union. In the third paper, we start from evidence that most countries in the Euro Area are characterized by high product (PMR) and labor market (LMR) regulation. We then study long and short to medium run macroeconomic effects of reforming PMR and LMR by developing a dynamic stochastic general equilibrium model featuring endogenous producers entry and labor market frictions. We show that lowering PMR would increase steady state employment, wages and GDP but aggregate consumption would drop in the aftermath of the reform. Deregulating labor markets presents a less significant intertemporal trade off. Lower unemployment benefits would increase employment and GDP but reduce wages both in the short and long run. Smaller firing costs would trigger a positive effect on producers entry on impact, but employment and GDP would be negatively affected as time passes by. Regulation has also consequences for the business cycles properties of the economy. Lower barriers to entry and smaller unemployment benefits tend to smooth out aggregate fluctuations, while firing costs have a reverse effect. With a counterfactual exercise, we show that if the Euro Area would deregulate both product and labor markets at the US level it would adjust differently to aggregate shocks. A more flexible Euro Area would be more responsive to exogenous disturbances and the reversion to the steady state would be quicker. Our findings point out that concerns about the negative effect of strict regulation for the speed of recovery from downturns could be well placed, consistently with the idea that the European economy might be dynamically sclerotic. / Thesis (PhD) — Boston College, 2009. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

在全球化和改革開放的進程中，中國在各方面巳經取得了長足的進步，另一方面，外來衝擊也更容易侵入。在本文中我們主要關注世界上最大的兩個經濟體，中國和美國，通過貨幣政策所產生的聯繫。我們建立了若干個VAR 模型來分析美國貨幣政策的改變對於中國的影響以及意義。 / 我們發現，匯率波動是最主要的傳導渠道。基於這一點，文中的分析被劃分為兩個子時間段，以2005 年7 月的匯率改革為分隔點。在兩個時間段中，擴張性的美國貨幣政策衝擊都會引起流入中國的國際資本顯著增加，並以非FDI 的“熱錢"流入為主。在匯率改革之前，這一資本流入主要引起不可貿易品的需求增加，從而其相對價格提高，引起實際匯率升值，而對於經常賬戶和貿易收支的影響較小。相比之下，在匯率改革之後，這一資本流入引起的實際匯率升值主要通過名義匯率的調整來實現。雖然國內通貨膨脹壓力降低， 實際匯率波幅也沒有顯著上升，但是由於名義匯率變化對於出口的傳遞程度較高，貿易收支在短期內會明顯惡化。 / 為了增強分析的有效性和魯棒性，我們修改了VAR 的結構來觀察這一傳導機制隨著時間的演進。結果證明了最主要的轉折點出現在匯改附近，同時變量之間逐年的動態闕係也證明了以上的結論。 / 這些結果表明，在名義匯率和經常賬戶的穩定性，以及國內通貨膨脹的穩定性之間，存在著一個權衡關係。雖然對於浮動匯率制是否會帶來更高的實際匯率波動性本文並未發現很強的證據，但是我們觀察到它導致了經常賬戶更加劇烈的波動。在某些情況下，名義匯率升值甚至可以引起短暫的通貨緊縮現象，這在固定匯率制下是不會出現的。因此，邁向浮動匯率制的副作用不可被完全忽略，其中隱含的風險也在一定程度上說明了“浮動恐懼"這一普遍現象的合理性。 / On the transition path to a more globalized and open economy, China has witnessed a great progress in many aspects; meanwhile, external shocks are more likely to invade. In this work we focus on the connection between two largest economies, China and the US, through the channel of monetary policy innovations. Several structural VAR models are developed to analyze what a change in monetary policy stance of US implies for the Chinese economy and why this is important. / The principal transmission channel is through adjustment in exchange rates. We divide our analysis into two sub-periods based on the exchange rate reform in July 2005. Across both periods following an expansionary US monetary policy shock there is a burst of capital inflows concentrated within the first year that are dominated by non-FDI inflows, i.e., “hot money“. Before the exchange rate reform, these capital inflows lead to a rise in the demand for non-tradable goods, driving up their relative price, thereby achieving a real exchange rate appreciation. The effect on trade balance is relatively small. / Comparatively, after the exchange rate reform, real exchange rate appreciates due to the surge of capital inflows more through changes in nominal exchange rate. The inflationary pressure is alleviated significantly, and the short-run volatility of real exchange rate slightly increases. However, the pass-through of nominal exchange rate changes into exports is much higher, resulting in a short-run deterioration in trade balance severely. / To verify the validity and enhance the robustness of our analysis, we revise the identifying VARs to investigate the evolution of transmission over time. We show that the most significant turning point of the transmission channel coincides with the exchange rate reform, and comparison among dynamics of variables on a year-by-year basis confirms the previous conclusions. / It seems that there is a trade-off between the stability of nominal exchange rate and the current account, on the one hand, and the stabilization of inflation, on the other hand. Although we find only weak evidence that a more free-floating nominal exchange rate will lead to higher volatility in the real exchange rate, it may introduce higher short-run volatility in the current account. In some cases the appreciation in nominal exchange rate even generates a transitory deflationary effect that is absent under the pegged system. Therefore, the side effects of stepping toward a flexible exchange rate regime must be considered; the potential risk it involves justifies the “fear of floating“ to some extent. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Yang, Minmin. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 101-110). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese. / Abstract --- p.i / Acknowledgement --- p.v / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Motivation --- p.1 / Chapter 1.2 --- Contributions and Major Findings --- p.5 / Chapter 1.3 --- Organization of the Thesis --- p.7 / Chapter 2 --- Literature Review --- p.9 / Chapter 2.1 --- Open Economy Theories --- p.9 / Chapter 2.2 --- Empirical Research on International Transmission --- p.13 / Chapter 2.3 --- China as an Open Economy --- p.15 / Chapter 3 --- Theory --- p.18 / Chapter 3.1 --- Traditional Theory --- p.18 / Chapter 3.1.1 --- Transmission under Fixed Exchange Rate Regime --- p.19 / Chapter 3.1.2 --- Transmission under Flexible Exchange Rate Regime --- p.25 / Chapter 3.2 --- Specific Issues in China --- p.27 / Chapter 3.2.1 --- Capital Control --- p.28 / Chapter 3.2.2 --- Sterilization --- p.29 / Chapter 3.2.3 --- Pass-through of Nominal Exchange Rate to Trade --- p.30 / Chapter 3.3 --- Summary --- p.36 / Chapter 4 --- Data and Methodology --- p.38 / Chapter 4.1 --- Vector Autoregression --- p.38 / Chapter 4.2 --- VARs models for the transmission of US monetary policy shocks to China --- p.41 / Chapter 4.2.1 --- Benchmark VAR to IdentifyMonetary Policy Shocks in the US --- p.41 / Chapter 4.2.2 --- Extend the Benchmark VAR to Include Chinese Variables --- p.45 / Chapter 4.3 --- Data --- p.50 / Chapter 5 --- Empirical Results --- p.57 / Chapter 5.1 --- Overview --- p.57 / Chapter 5.2 --- Transmission before the Exchange Rate reform --- p.59 / Chapter 5.2.1 --- Capital Inflows --- p.59 / Chapter 5.2.2 --- Exchange Rates and Prices --- p.62 / Chapter 5.2.3 --- Trade and the Current Account --- p.64 / Chapter 5.3 --- Transmission after the Exchange Rate Reform --- p.66 / Chapter 5.3.1 --- Capital Inflows --- p.67 / Chapter 5.3.2 --- Exchange Rates and Prices --- p.67 / Chapter 5.3.3 --- Trade and the Current Account --- p.69 / Chapter 5.4 --- Specific Issues in China --- p.70 / Chapter 5.4.1 --- Capital Control --- p.71 / Chapter 5.4.2 --- Sterilization --- p.71 / Chapter 5.4.3 --- Pass-through of Nominal Exchange Rate to Trade --- p.72 / Chapter 5.5 --- Summary --- p.77 / Chapter 6 --- Robustness: Structural Break in the Transmission --- p.79 / Chapter 6.1 --- Methodology --- p.80 / Chapter 6.2 --- Empirical Results --- p.87 / Chapter 6.3 --- Summary --- p.91 / Chapter 7 --- Conclusion and Future Work --- p.92 / Bibliography --- p.101

The past three decades have witnessed the rapid development of the Chinese housing market , which is considered as a barometer of and an extremely crucial component of the whole Chinese economic system. Although some important findings have been obtained by previous research, many conclusions have been controversial and a comprehensive understanding of the mechanism and behaviour of the Chinese housing system is a worthwhile endeavour. The existing studies about the Chinese housing market are mostly confined to qualitative analysis, lacking the support of a theoretical basis and empirical research. This thesis aims to employ more recent econometrical methodologies, from both theoretical and empirical perspectives, to systematically analyse several prevalent issues of the Chinese housing market. More specifically, this thesis is going to explore the main determinants of house prices, the convergence and ripple effects of regional house prices, and the interactive relationship between housing conditions and individual’s subjective well-being. Some empirical findings can be drawn from this thesis: 1) by using the system GMM dynamic panel data models, the results indicate that Chinese house prices are mainly affected by factors related to government policies and speculative demand rather than the urbanization process, which is understandable in a non-fully market-oriented status quo; 2) there is evidence of very limited convergence of regional house prices by employing unit root tests, σ-convergence and β-convergence approaches; however, the alternative methods, such as panel regression models, Engle-Granger/Johansen cointegration tests and Granger Causality tests, imply that house prices can ripple out from some core cities to other cities; 3) the results of the Ordered Probit Models suggest that the housing conditions in urban areas play a significant role in peoples’ subjective well-being in respect of housing satisfaction and overall happiness; additionally, the effects of housing factors impact on different groups of residents in different ways. Due to the limitations of data sources in the early days, this thesis is the first to combine such a wide panel data series, on both the time dimension and geographic dimension, to study the Chinese Housing Market. Also, when analysing the convergence and ripple effects models, this thesis transfers the original link indexes used by previous scholars into modified constant growth indexes, which improves the efficiency of empirical models to a greater extent. In addition, approaches using the system GMM method, σ- and β-convergence analysis, Engle-Granger/Johansen cointegration tests and Granger Causality tests are first introduced into the study of the Chinese housing market, generally achieving good results especially in the determinants of house prices and the ripple effects of regional house prices. Moreover, except for the commonly used method of the Ordered Probit Model for the questionnaire survey research, this thesis produces the predicted value of housing satisfaction by using two-stage estimations, to investigate the effects of housing conditions and housing satisfaction on people’s overall happiness. Meanwhile, the approach of ‘money equivalent effects’ is also a new perspective in detecting the effects of housing conditions on overall happiness.

Marknadsundersökning -En undersökning om vad Raglady by Taras befintliga kunder tycker om en eventuell internetbutik. Market research-A study on what Raglady by Taras existing customers think of any internet store. / Program: Butikschef, textil och mode

Thesis (M.B.A.)--Boston University / PLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you. / 2031-01-01

In this dissertation, I examine three questions of relevance to macroeconomists. Chapter 1 investigates how the interconnected production and trade credit networks of firms lead to the propagation of financial shocks. Chapter 2 documents that conditional moments of the price change distribution are extremely informative and yield new insights on the dynamics of price changes in the economy. Chapter 3 offers a detailed investigation of the foreign exchange risk premium through the inflation-indexed bond market structure. In Chapter 1, I study the transmission of firm-level shocks in the economy. Firms are connected through the production network. At the same time, the production linkages coincide with financial linkages because of delays to input payments. Idiosyncratic shocks can spillover in the network through production and financial linkages among firms and generate aggregate economic fluctuations. Chapter 1 investigates how these interconnected production and financial linkages lead to the propagation of financial shocks both upstream and downstream. First, I show that financial shocks can propagate upstream if there are financial linkages of firms and financial frictions in trade. Second, I find, based on the input-output matrix and the bond yield data in the U.S., upstream propagation of financial shocks is stronger than downstream propagation. Third, I elaborate a DSGE model that can capture this pattern of shocks and generate quantitative predictions. Fourth, I demonstrate that credit policies would have a stronger impact if liquidity were transferred to downstream sectors after aggregate liquidity shocks. The second chapter documents the price setting behaviour of firms. The effectiveness of monetary policy depends both on the presence and the forms of nominal rigidities in price setting. Understanding the dynamics of price changes (when and how price changes) is necessary to determine the true degree of monetary non-neutrality. Chapter 2 shows that conditional moments, which have been seldom used, are extremely informative and yield new insights on the selection effect of price changes. It documents the predictions of a broad class of existing price setting models on how various statistics of the price change distribution change with the rate of aggregate inflation. Notably, menu cost models uniformly feature the price change distribution becoming less dispersed and less skewed as inflation rises, while in the Calvo model both relations are positive. Using a novel data set, the micro data underlying the U.S. CPI from the late 1970's onwards, Chapter 2 evaluates these predictions using the large variation in inflation over this period. Price change dispersion does indeed fall with inflation, but skewness does not, meaning that none of the existing models can fit these patterns. It then presents a model that does, in addition to matching the price change moments that existing models do. The model features random menu costs. With a menu cost distribution that gives a significant probability to free price changes, and a high probability to very high menu costs, the model predicts a flat inflation-skewness relation. This menu cost distribution moves the model close to a Calvo model, and the model therefore exhibits a much higher degree of monetary non-neutrality than the Golosov and Lucas (2007) model, and higher even than in the subsequent menu cost models such as Midrigan (2011). Finally, the last chapter investigates an important input in firms' and households' investment decisions process - risk premium of the foreign exchange market. Risk premium in the foreign exchange market has been a prominent research topic in international macroeconomics for decades. For example, it plays an important role in explaining the well-known interest parity puzzle and in investigating the foreign exchange market structure. Chapter 3 offers a detailed investigation of the foreign exchange risk premium using a novel structural relationship in the inflation-index bond market, firstly introduced by Clarida (2012). Unlike the conventional VAR approach, this approach estimates risk premium through the non-arbitrage relationship between investing inflation-indexed bonds from two countries and works on the market information set. There are two main findings. First, the estimated risk premium is able to forecast subsequent exchange rate changes. Second, contrary to the original finding of Meese and Rogoff (1983) that, even given the ex post realizations of fundamentals, exchange rate changes are difficult to explain, there are in fact periods in which exchange rate movements are driven largely by the fluctuation in the fair value.

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Economics, 1982. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY / Bibliography: leaf 196. / by Adam Lerrick. / Ph.D.

V teoretické části tato práce analyzuje současnou ekonomickou literaturu o efektech PZI. Dále identifikuje hlavní příčiny a řešení Evropského trhu práce. ?Flexicurity? aplikována skandinávskými zeměmi nabízí dostatek flexibility podnikatelům, ale zároveň poskytuje záchrannou síť pro ty, kteří si neumí pomoci sami. Velké regionální rozdíly jsou způsobeny centralizací ekonomických aktivit okolo hlavního města, nevhodnou strukturou pracovní síly, chybějícími regionálními centry ale také nevůlí pracovat. V praktické části užitím panelových dat z let 1997 až 2004 v českém průmyslu, tato práce podává důkaz o efektech PZI na trh práce v hostitelské zemi. V důsledku efektu přelévaní, nadnárodní společnosti zvyšují mzdy a produktivitu v domácích firmách. Hypotéza o zvyšování produktivity prostřednictvím substituce práce kapitálem byla zamítnuta. Produktivita práce rostla rychleji než mzdy a proto nezpůsobila nárůst nezaměstnanosti. Nadnárodní společnosti pomáhaly vytvářet efektivní pracovní příležitosti, realokovat zdroje od méně k více produktivním a tímto zvyšovat zaměstnanost. Vytváření pracovních míst zahraničními firmami bylo v průměru doprovázeno destrukcí jedné třetiny těchto míst v domácích firmách. Efekt protahování se liší v čase a mezi sektory. Porovnáním domácích a zahraničních firem se zjistilo, že nadnárodní společnosti vyrábějí s rostoucími externími výnosy z rozsahu, zatím co domácí firmy, produkují s klesajícími externími, ale rostoucími interními výnosy z rozsahu.

acase@tulane.edu / The relationship between microstructure, efficiency and data frequency give us a new opportunity to test information (e.g. events and news) efficiency assimilation for Mexican ADRs and their underlying Bolsa Mexicana de Valores (BMV) stocks It also allows to corroborate whether in emerging markets, specifically in the Mexican market, insider trading could be present but it may not be necessarily detected by market efficiency tools only. Using a proprietary dataset of Mexican Stock Exchange (Mexican Bolsa) intraday prices for underlying stocks and their respective Type II and III ADRs quoted in NASDAQ, AMEX and New York Stock Exchange, time series analysis related to price dynamics and event studies methodologies were applied. Non-linearity of the prices was tested, finding no statistical evidence of such behavior, which led to conclude linearity in them. Volatility transmission was also analyzed, finding that external shock can impact both markets having a recursive behavior; shocks in Mexican market has an impact also in American Market and vice versa. Using a standard Event Studies methodology we tested for nine different corporate events (dividends, changes in capital structure, acquisitions, mergers, takeovers, spin offs, sell offs, joint ventures and privatizations) and seven different classes of stocks in both markets, looking for parallelism in cumulative abnormal returns, volatility, trade volume and Granger causality. The results are a statistically significant behavior similar in both markets (for both CARs and volatility). The evidence of Granger-causality in ADR / underlying stock was detected in both ways: underlying stocks Granger cause the ADRs and vice versa. The results corroborate a non-arbitrage behavior in both markets and no evidence of insider trading in ADRs / underlying stocks in both markets / 1 / Polux E. Diaz Ruiz