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Uncertainty, capital allocation and business cycle: theory and evidenceYang, Qin, 杨琴 January 2012 (has links)
This thesis consists of two essays analyzing the effect of uncertainty in macroeconomic
and financial settings.
Inspired by the counter-cyclical pattern of uncertainty and the role played by
capital reallocation in Total Factor Productivity, we propose a theoretical viewpoint
on uncertainty-driven business cycles in the first essay. Relying on the interaction
between financial market and real sector, we are able to build up a transmission
mechanism from uncertainty to business cycle by introducing a financial contract
between firms and financial intermediaries. By setting up two types of firm with different
production technology in a general equilibrium model, we show that information
asymmetry leads firms with financing needs to be financially constrained. Due
to information asymmetry, first best case is unachievable and production resources
are allocated more to firms without financing needs. When uncertainty changes, the
lending decision of financial intermediary also changes, further affecting firms’ production
capacities. Production resources are reallocated between the two types of
firms which generates fluctuations in TFP and other aggregates. More importantly,
firms with financing needs is assumed with better production technology than the
one adopted by the other type on average. Increase in uncertainty worsens the informational
problem, reduces funds provided to firms with better technology, causes
reallocation of resources to the other type, and further decreases productivity of the
economy as a whole. This is in line with an economic downturn and also consistent
with the counter-cyclicality of uncertainty. We also conduct a quantitative analysis
by calibrating the model to the data and the estimated results provide corroborating
evidence for the theory.
Using a merged data-set of US firms during years 1971-2008, we empirically
examine the impact of uncertainty on capital reallocation via financial friction in
the second essay. By adopting KZ index as an indicator for firms’ financial statuses,
we decompose the uncertainty-capital reallocation relation into three hypotheses.
Using cross-sectional dispersion of stock return as a measure for uncertainty, we
find that uncertainty is negatively associated with firms’ financial statuses. A firm
with high uncertainty level is more likely to be in a low position of financial status.
Second, uncertainty is in a negative relation with capital reallocation, which means
capital reallocation decreases at firm level when uncertainty increases. Third, by
sorting firms into different groups based on their financial statuses, we find that
firms which are in worse financial situation are more responsive to uncertainty
change. The finding is consistent with our prediction that uncertainty affects capital
reallocation through financial friction. We employ both reduced-form and structural
estimation strategies to examine our predictions, and all regression results are
supportive. To further test the role of financial friction in the relation, we also sort
firms into different groups by SIC code. And we find that, firms in industries relying
more on financial market for external financing are more responsive to uncertainty
change. / published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy
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Measuring and interpreting business cycles in Hong KongLeung, Chi-fai, Alfred., 梁志輝. January 1999 (has links)
published_or_final_version / Economics and Finance / Master / Master of Philosophy
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On the character of output fluctuations in ColombiaThomas, Luis Eduardo Arango January 1997 (has links)
No description available.
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An empirical analysis of the effects of price-level changes upon selected firms' earned capitalPark, Moo-Hyun January 1983 (has links)
The objectives of the study are: (1) to determine whether or not price-level changes will have an effect upon the selected firms' earned capital, (2) to determine if the Pffect of inflation on the earned capital of the public utility companies is less than equal to or more than the effect on the earned capital of other industries, and (3) to identify critical variables affecting the selected firms' earned capital erosion due to price-level changes.Subjects were 153 companies: 38 non-utility companies and 115 utility companies. Equal size observations were used in analyzing each group (approximately 380, or 190 each).To obtain data the study chose firms from COMPUSTAT tapes for the years 1977 through 1981. Although several adjusted information items were available, some adjustments were needed for analysis, such as depreciation and tax liabilities. Price-level adjustments were made in accordance with procedures recommended by the Financial Accounting Standards Board.For the statistical analysis, the following null hypotheses were tested at the .05 level of significance:Ho1 : The price-level change will not affect the firms' earned capital erosion.H02 : (1) There is no significant earned capital erosion of the non-utility industry due to price-level changes (lefttailed test).(2) There is significant earned capital erosion of the utility industry due to price-level changes (righttailed test).The Z test statistic was used to test each null hypothesis. Multiple regression analyses were done to identify the critical variables affecting the firms' earned capital erosion under the price-level changes by using taxation, depreciation, payout ratio, and rate of inflation variables.As a result of the hypotheses, null hypothesis 1 was rejected. It could be concluded that the price-level changes did affect the firms' earned capital erosion due to inflation.Null hypothesis 2 for the non-utility industry was rejected (p<.05). The analysis indicated that there is significant earned capital erosion of the non-utility industry due to price-level changes. The null hypothesis 2 for the utility industry was rejected also. It could be concluded that there was no significant earned capital erosion of the utility industry due to inflation.From these results the first and second objectives of the research were met. The price-level changes did affect the selected firms' earned capital, the direction of the earned capital erosion between non-utility and utility groups was completely opposite. The price-level changes do erode the firms' earned capital, but this is not the case for the utility industry. The results of regression analysis indicated that the critical variables affecting the firms' earned capital erosion were taxation, depreciation, payout ratio, and rate of inflation. However, the relative importance of the independent variables was slightly different between the two groups.For the non-utility group the most important variable was payout ratio, followed by taxation and rate of inflation. In the utility industry group the most important variable was taxation, followed by depreciation, rate of inflation, and payout ratio.The following recommendations are made for further research:1. This study should be linked with the analysis of general capital erosion including contributedcapital under the price-level changes.2. The inventory valuation method should be considered for the future analysis of capitalerosion by using dummy variables, although these were not used in this research. It willcertainly become a more powerful model if the inventory valuation method were considered.3. For the in-depth analysis different models should be used for the different industry groups,and not just a general model.4. A study on the microeconomic effects of the tax burden shift associated with capital erosion due to inflation behavior is recommended.5. Finally, any kind of action to be taken by the Congress should be designed to alleviate capital erosion due to inflation.It is strongly recommended that the utility industry not include monetary gains or losses in the calculation of taxable income to prevent corporations' capital from overpaying through income taxing.
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Investigating a countercyclical price level with procyclical inflationRoeger, Edward A. January 2007 (has links)
Thesis (M.A.)--University of Missouri-Columbia, 2007. / The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on April 16, 2009) Includes bibliographical references.
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Industrin i Södertälje 1920-1970 en ekonomisk-historisk studie av industriell förändring /Bjessmo, Lars-Erik. January 1987 (has links)
Thesis (doctoral)--University of Stockholm, 1987. / Summary in English. Includes bibliographical references (p. 221-227).
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The large decline in output volatility : evidence from China : a thesis submitted in partial fulfillment of the requirements for the degree of Master of Commerce and Management at Lincoln University /Wang, Shi Zhao. January 2009 (has links)
Thesis (M.C.M.) -- Lincoln University, 2009. / Also available via the World Wide Web.
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Das Bild des Konjunkturverlaufs in der volkswirtschaftlichen Literatur Inaugural-Dissertation /Frank, Wilhelm, January 1928 (has links)
Thesis--Münster i. W. / Vita. Bibliography: p. v-viii.
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Der Konjunkturzyklus und die Möglichkeit seiner Regulierung durch die ZentralnotenbankMohr, Walter, January 1930 (has links)
Inaug.-Diss.--Universität Freiburg, 1930. / Cover title. Lebenslauf. Bibliography: p. 94-102.
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Der Konjunkturtest; neue Wege der Konjunkturdiagnose und -prognose.Stutz, Fritz N. January 1957 (has links)
Diss.--Handels-Hochschule, St. Gallen. / Bibliography: p. xvii-xxiv.
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