Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 12 of 12 for “"Aggregate volatility"”.
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Essays on Macroeconomics and Capital Intermediation Networks
The topic of aggregate fluctuations in the economic activity is a long-standing question in the study of business cycles, not only the identification of sources of volatility is necessary to forecast the future pace of the economy, but also to understand how the variance of aggregate activity could …
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The Impact of Monetary Policy, Sterilised Forex Intervention, Demand and Supply Shocks on Credit in Uganda
… of idiosyncratic credit supply shocks to aggregate volatility in a developing economy. In demonstrating the implications of our theoretical results in an empirical application to Uganda, the empirical results suggest that idiosyncratic shocks to credit supply account for more than a third …
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Three essays in time series analysis
… assess the role of stock-specific shocks on aggregate volatility in the U.S. stock market. When a power law is fitted to the upper tail market capitalization distribution in the S&P 500, the estimate of tail exponent is slightly above one, in which case the contribution of stock-specific …
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Essays in macroeconomics : information and financial markets
… and different degrees of correlation with the aggregate of the economy. Investors solve an optimal contracting problem to induce financial institutions to allocate their investment optimally. We then study how investment decisions are affected when financial securities are introduced that allow …
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Fiscal Policy, Default and Emerging Market Business Cycles
… ones. Most prominent difference is the excessive volatility of government consumption and transfer payments and their positive correlation relative to output. This seemingly non-optimal behavior is puzzling since it is in contrast with standard theory prescriptions and likely to contribute to …
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Three essays in macroeconomics
… the model predicts that an increase in firm volatility can decrease aggregate volatility and I present evidence consistent with this prediction. Chapter 2 studies the implications of higher product market competition and capital market integration for unemployment in Europe. These changes are …
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Empirical essays on option-implied information and asset pricing
… the predictive ability of option-implied volatility measures proposed by previous studies by using firm-level option and stock data. This essay documents significant non-zero returns on long-short portfolios formed on call-put implied volatility spread, and implied volatility skew. …
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Essays On Corporate Investment Dynamics
This dissertation contains two paper. The first, "Volatility and Venture Capital,'" demonstrates that the performance of venture capital (VC) investments load positively on shocks to aggregate return volatility. I document this novel source of risk at the asset-class, fund, and portfolio-company …
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Essays in Asset Pricing and Volatility Risk
… Ivan Shaliastovich and Amir Yaron) we decompose aggregate uncertainty into `good' and `bad' volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties have opposite impact on …
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An Analysis of Trade Credit and Macroeconomic Fluctuations
… in a production network and its implications for aggregate and sectoral outcomes. To this end, I introduce a static quantitative multisector model featuring trade in intermediate inputs and endogenous trade credit linkages and costs between representative firms in each sector. Firms face working …
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Essays in heterogeneous agent macroeconomics.
… version of the model is used to measure the aggregate volatility generated by productivity shocks when labor markets are burdened by adverse selection. In the second essay, my coauthor Jacob Short and I study the behavior of entrepreneurs in order to understand the sources and magnitude of …
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Essays on Migration, Remittance, and Welfare
… of two essays. The first essay analyzes the aggregate income shocks absorbing and welfare improving roles of remittances in emerging economies. I develop a model to derive testable implications for aggregate remittance behavior. Using a panel data set of 102 developing countries from 1975 to …