Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1985. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND SCIENCE. / Vita. / Bibliography: leaves 187-189. / by Jonathan Lewis Burke. / Ph.D.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2004. / Includes bibliographical references. / This thesis considers inference issues in serially correlated multilevel and panel data and presents a separate essay that examines the impact of 401(k) participation on wealth. The first chapter examines generalized least squares (GLS) estimation in data with a grouped structure where the groups may be autocorrelated. The analysis presents computationally convenient methods for obtaining GLS estimates in large multilevel data sets and discusses estimation of covariance parameters for use in GLS when the shock follows an AR(p) process. Standard estimates of the AR coefficients will typically be biased due to the inclusion of group level fixed effects, so a simple bias correction for the AR coefficients is offered which will be valid in the presence of fixed effects and group specific time trends. The chapter concludes with a simulation study that illustrates the usefulness of the derived methods. The second chapter further explores inference in serially correlated panel data by considering the asymptotic properties of a robust covariance matrix estimator which is advocated for use in panel data. The estimator has good properties when the cross-section dimension, n, grows large with the time dimension, T, fixed. However, many panel data sets are characterized by a non-negligible time dimension. Chapter 2 extends the usual analysis to cases where T [right arrow] [infinity symbol] showing that t and F tests based on the robust covariance matrix estimator display their usual limiting behavior as long as n [right arrow] [infinity symbol] with T. / (cont.) When T [right arrow] [infinity symbol] with n fixed, the results show that t and F statistics can be used for inference despite the fact that the robust covariance matrix estimator is not consistent but converges to a limiting random variable. The properties of tests based upon the robust covariance matrix estimator are examined in a short simulation study. The final chapter uses instrumental variables quantile regression to examine the effects of participating in a 401(k) on wealth. significant over the entire range of the asset distribution and that the increase in the lower tail appears to translate completely into an increase in wealth. However, there is evidence of substitution between net financial assets and other forms of wealth in the upper tail of the distribution. The results demonstrate that estimates of treatment effects which focus on a single feature of the outcome distribution may fail to capture the full impact of the treatment and that examining additional features may enhance our understanding of the economic relationships involved. / by Christian Bailey Hansen. / Ph.D.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2008. / Includes bibliographical references. / The first essay explores the relationship between openness and growth. As, Rodriguez and Rodrik (2000) argue, the relation between openness and growth is still an open question. One of the main problems in the assessment of the effect is the endogeneity of the relation. In order to address this issue, this paper applies the identification through heteroskedasticity methodology to estimate the effect of openness on growth while properly controlling for the effect of growth on openness. The results suggest that openness would have a positive effect on growth, although small. This result stands, despite the equally robust effect from growth to openness.The second essay investigates the impact of legal differences between countries on the export performance of countries' industries. "High-quality" business law can reduce the cost of external finance by removing informational asymmetries and therefore, benefiting external finance dependent industries disproportionally. This difference in benefit creates a source of comparative advantage for externally-finance dependent industries located in countries with "high quality" business law. The results indicate that the quality of business law does affect the relative export performance of externally-finance dependent industries. It is also found that the level of financial development also disproportionately benefits externally-finance dependent industries, especially those industries with naturally "small" sized firms.The third essay examines the impact of FDI on productivity growth. / (cont.) The endogenous nature of FDI and productivity growth presents an obstacle for estimating the impact of one on the other, and lead to biased results from the standard econometric models when use for establishing a causal relationship. However, the endogeneity problem can be overcome by the use of a valid instrument. This paper uses the Chinese government's FDI policy shift of the early 1990s as an instrument for the Chinese FDI in a 2SLS analysis. The results indicate that an increase in the level of FDI as a share of existing capital stock causes an increase in the growth rate of productivity, and that foreign capital is far more productive than domestic capital even after controlling for the province fixed-effects. / by Ha Yan Lee. / Ph.D.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2001. / Includes bibliographical references. / This dissertation consists of three separate essays. In the first essay, privatization is found to improve bank performance by both better monitoring of existing firms, and improved selection of new bank clients. Data on firms borrowing from government-owned banks, and firms borrowing from a privatized bank suggest that privatization led to an improvement of 1 to 2 percent in the earnings-per-asset of firms financed by the privatized bank. Privatization influenced firms with weak outside options the most. Moreover, bank-debt became more responsive to expected profitability of firms after privatization. Finally, privatization significantly improved the ability of the bank to attract and select more profitable firms, with the newly selected firms having on average, 4 percent higher earnings-per-asset compared to other firms in their cohort. The second essay presents new empirical evidence on differences between domestic and foreign owned private banks in Africa. Domestic banks hold significantly more liquid assets, and are substantially less profitable than foreign banks. However, all of the difference in profitability can be explained by the 2.6% higher interest rate on deposits for domestic banks. Furthermore, domestic banks appear to take on riskier loans, but their return on loans is higher by 2.7%. Foreign banks on the other hand earn significantly more income through bank fees. Finally, domestic banks grow a lot faster than foreign banks with overall economic expansion in the country. A 1% growth in GDP expands domestic bank credit by 1.76% compared to 0.86% for foreign credit. / (cont.) The third essay (joint with Daron Acemoglu and Michael Kremer) presents a theoretical analysis of the relative merits of markets, firms, and governments in environments where high powered incentives have both costs and benefits. Firms obscure information about workers' output, thus flattening incentives, and improving efficiency over markets. However in some cases, most notably under common shocks, firms are unable to commit to such a strategy. Under these circumstances, Governments may be able to commit to much flatter wage schedules, and improve the allocation of resources. / by Atif Rehman Mian. / Ph.D.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1995. / Includes bibliographical references (leaves 100-101). / by Gerald B. Lumer. / Ph.D.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2001. / Includes bibliographical references. / The thesis is composed of three chapters. The first chapter proposes that financial innovation induces endogenous changes in the composition of market participants, which can both increase the interest rate and reduce the risk premia earned on pre-existing assets. We consider an exchange economy with endogenous participation. Competitive investors can freely borrow and lend, but must pay a fixed entry cost to invest in risky assets. Security prices and the participation structure are jointly determined in equilibrium. We show existence and constrained optimality of equilibrium under general conditions, and then specialize to a CARA-normal framework with finitely many risk factors. The model reconciles a number of features that have characterized financial markets in the past three decades: substantial financial innovation; a sharp increase in investor participation; improved risk management practices; an increase in interest rates; and a reduction in the risk premium. In the second chapter, we study the effect of margin constraints on volatility and welfare in an intertemporal financial economy. We find that margin requirements do not necessarily reduce market volatility and can generate non-monotonic redistributive effects. The setup allows for full flexibility in setting margin requirements and is well suited to address regulatory issues. We study in detail two types of margin rules. The uniform rule, in which margin constraints are constant over time and states, and the practitioners' rule of tightening margin constraints in bear markets and relaxing them in bull market. / (cont.) The results are compared with the first best rule in which margin requirements are chosen just to prevent default. In the third chapter, we consider a framework with mean-variance investors that face margin and no short-selling constraints and can default on their pre-existing leveraged positions. Margin calls and portfolio rebalancing create spillover-contagion effects across markets. A negative shock in one specific asset can reduce prices of even uncorrelated assets with unchanged fundamentals. We test this result across different forms of margin contracts typically used in practice. Margin constraints can also generate a self-reinforcing mechanism that amplifies price movements and create discontinuity in the price schedule. / by Paolo Sodini. / Ph.D.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2010. / "September 2010." Cataloged from PDF version of thesis. / Includes bibliographical references (p. 331-348). / In spite of the wave of privatization of the 1980s and 1990s, state ownership of enterprise remains a very important part of the political economies of both developing and industrialized nations. The conventional wisdom in industrial organization states that public enterprises are inefficient; nevertheless, it says very little about the wide variation among these firms both within and across countries. This dissertation provides a new analytical framework to explain differences in behavior among state-owned enterprises. New insights are possible thanks to the use of theoretical and methodological tools from three different fields: political science, economics, and organizational sociology. State-owned enterprise behavior is conceptualized as having two elements, business efficiency and policy utilization, and it can largely be explained with only three variables: the ideology of the government's ruling coalition, the degree of competition in the business environment, and the level of cohesion of the company's managers. Subsequently, this study applies the framework to explain the puzzling variation in the behavior of the subsidiary companies of the Mexican state-owned petroleum enterprise, Petróleos Mexicanos (Pemex). Throughout the dissertation, statistical analysis and qualitative research-including over 100 in-depth interviews conducted with government and oil industry officials from Mexico, Brazil, Venezuela, and the United States-provide empirical support. / by Francisco José Flores-Macías. / Ph.D.

Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2016. / Cataloged from PDF version of thesis. / Includes bibliographical references (pages 149-156). / This thesis studies gender differences in educational and occupational outcomes. Chapter 1 examines whether the long work hours required by high-paying professions are a barrier to entry for women, who may face a tradeoff between market time demands and family formation. I study the introduction of a policy that capped the average workweek for medical residents. I find that a reduction in a specialty's weekly residency hours induced women to enter, but yielded little change in men's entry. To shed light on why women and men responded differently to the reduction in hours, I analyze the effect of the reform on residents' fertility. I find that a reduction in a specialty's weekly hours increased the specialty's female fertility rate in California, and had no effect in Texas. I discuss these results using a model in which physicians choose between career and family investments during residency, trading off long term incomes, investments in children, and leisure. In Chapter 2, coauthored with David Autor, David Figlio, Krzysztof Karbownik, and Jeffrey Roth, we use birth certificates matched to schooling records for Florida children in order to assess whether family disadvantage disproportionately impedes the pre-market development of boys. We find that, relative to their sisters, boys born to disadvantaged families have higher rates of disciplinary problems, lower achievement scores, and fewer high-school completions. Evidence supports that this is a causal effect of the post-natal environment; family disadvantage is unrelated to the gender gap in neonatal health. We conclude that the gender gap among black children is larger than among white children in substantial part because black children are raised in more disadvantaged families. Chapter 3 explores why women remain underrepresented in elective offices, by investigating whether there are gender differences in the persistence of politicians in response to an electoral loss. Using California local election returns and a regression discontinuity design, I analyze the subsequent political involvement of men and women who ran in close elections. I find that losing an initial election induces substantially more attrition among female than male candidates. / by Melanie Wasserman. / Ph. D.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1995. / Includes bibliographical references. / by John L. Simpson. / Ph.D.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2006. / Includes bibliographical references. / This thesis consists of three essays on aggregate and individual consumption fluctuations. Chapter 1 develops a quantitative model to explore aggregate and individual consumption dynamics when the income process exhibits regime-switching features, and compares its performance with the conventional linear model. For this purpose, I consider an economy populated by a large number of consumers whose incomes are subject to both aggregate and idiosyncratic shocks. The notable element of the model is that a latent regime-switching stochastic variable governs both the trend growth of the aggregate component and the counter-cyclical variances of the idiosyncratic components in individual earnings. I demonstrate that the model can provide a reasonable description of the cyclical behavior of actual consumption fluctuations, and can successfully replicate some key empirical properties of aggregate consumption growth, such as smaller volatility than income growth, greater volatility in recessions than in expansions, and a negatively skewed and leptokurtic distribution, while the typical linear model fails to do so. / (cont.) The model highlights that the interaction between aggregate and idiosyncratic shocks, shifts in the cross-sectional distribution of individual consumers' optimal consumption decisions, and learning about the underlying business-cycle regime play a critical role in explaining aggregate consumption dynamics. In addition, comparison between individual and aggregate consumption and aggregation issues are addressed. Finally, I show that the regime-switching features, combined with heteroskedastic income risk, can account for more than 50% of aggregate consumption fluctuations, but less than 4% of individual consumption fluctuations. It is widely believed that utility maximization implies that expected consumption growth should be higher in recessions which are associated with higher income uncertainty because consumers with precautionary saving motives save more to tilt up their consumption path. Evidence in the literature, however, does not seem to support this prediction. Chapter 2 tries to reconcile these seemingly contradictory observations. First, noting that recessions are times of both higher income uncertainty and lower income growth, I perform comparative experiments to see each effect on expected consumption growth. / (cont.) Higher income uncertainty indeed increases expected consumption growth, while lower income growth does the opposite. Next, in a calibrated switching regime income process example, where recessions are associated with lower income growth and higher uncertainty, I show the net effect may well decrease, rather than increase, expected consumption growth. I then compare my results to the usual argument in the literature, based on approximations to the Euler equation. Chapter 3 develops econometric methods to estimate consumers' risk aversion and time discount rate parameters in a dynamic stochastic general equilibrium (DSGE) model set-up, using the simulated method of moments (SMM) technique. This approach, based on a numerical solution algorithm, offers several advantages over traditional methods, which directly estimate a (linearized) Euler equation. In particular, the model allows us to incorporate a possibly non-linear underlying income process and the selection of moment conditions into the estimation procedure. I also consider two extensions by (1) allowing for the parameters of the model to be state-dependent and (2) incorporating the agent's learning about the latent aggregate state. / by Youngjin Hwang. / Ph.D.