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.
Results
Showing 1 to 20 of 20 for “"Macro-finance"”.
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Essays in Macro Finance
… the link between capital markets and sources of macroeconomic risk. In chapter 1 I show that expected inflation risk is priced in the cross section of stock returns even after controlling for cash flow growth and volatility risks. Motivated by this evidence I study a long run risk model with a …
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Topics in Macro Finance
… asset return and volatility behaviour from a macro-finance perspective. In three of the four chapters, the macro drivers of both risky asset returns (the first moment) and volatility (the second moment) are studied and analyzed in detail across different geographies and various time periods. …
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Essays in Macro-Finance
… smaller effects of monetary policy on macroeconomic outcomes. In Chapter 2 (joint with Taisuke Nakata and Takeki Sunakawa), we study the following question: how a central bank credibly implement a ”lower-for-longer” strategy? To answer this question, we analyze a series of optimal …
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Essays on Macro-Finance Relationships
In my dissertation, I study relationships between macroeconomics and financial markets. In particular, I empirically investigate the links between key macroeconomic indicators, such as output, inflation, and the business cycle, and the pricing of financial assets. The dissertation comprises three …
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Essays on Metric Spaces and Macro-Finance [védés előtt]
… analysis using mathematical concepts and macro-finance approaches. The dissertation presents evidence of two published papers in D1 (2024) and Q2 (2025) journals related to the topic of Chapter 2. and 4. We can see in every chapter a minimum problem, where the purpose is to reach an …
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Essays on New Keynesian Term Premium Model with Financial Risks
… first chapter proposes a New Keynesianism-based macro-finance model estimated by a one-step full information maximum likelihood (FIML) method. The second chapter shows that the one-step FIML method may produce estimation biases, which result in biased expected short rates and term premia. The …
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Essays on the Economics of Debt, Default and Housing Markets
… of three chapters on different topics of macro-finance. Thematically, they are linked by their focus on household credit constraints - be they exogenous regulatory constraints, as in Chapter 1, or endogenous constraints as in Chapters 2 and 3. The first chapter is joint work with Juan …
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Essays in Financial Economics
… premia, the valuation of government debt, and macroeconomic dynamics. The first chapter documents and explores the implications of the risk price puzzle–the empirical disconnect between inflation and risk premium shocks. I show that existing New Keynesian models struggle to rationalize the risk …
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Essays on financial frictions with an application to the Chinese economy
… consists of three chapters related to macroeconomic implications of financial frictions, along with an application of macro-finance models to the Chinese economy. The first two chapters focus on government guarantees on business loans to state-owned enterprises (SOEs), a typical …
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Essays in Financial Economics
… is illustrated with a prototypical example from macro-finance using asset market data to infer belief restrictions for macroeconomic growth rates. Chapter 3 develops diagnostic tools to assess whether individual factor risk premia are identified from return data. We describe a necessary and …
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Essays in asset prices and macroeconomics
… by two chapters relating asset prices and macroeconomic dynamics, the first one explores this relationship from a theoretical point of view while the second chapter is focused on a more empirical approach to use information from asset prices. The first chapter contributes with the macro- …
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Essays on Macroeconomic Shocks and the Business Cycle
This thesis studies questions on macroeconomic shocks and the business cycle using empirical methods. Over three chapters, I study the origins and implications of business cycle behaviour in the United States. My work provides a novel approach to estimating the macroeconomic risks priced in equity …
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Essays in International Finance: International Capital Flows, Equity and FX markets
… three papers in the field of international finance and provides a study of the international capital flows from a macro-finance perspective. The first paper is an empirical investigation of the relative importance of hot money in bank credit and portfolio flows from the U.S. to 18 emerging …
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Financial Globalization, Shadow Banking and Interest Rate Transmission: Evidence from China
… I paid specific attention to a wide range of macro-finance factors. To reflect the unique institutional features that shape macroeconomic policy making in China, I introduce a novel identification strategy to isolate pure monetary policy shocks from the influence of other macroeconomic policy …
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Stocks, bonds and volatility in financial markets
… value premiums in the stock market, and predicts macroeconomic growth. In contrast, the short-term factor is completely hidden from Treasury bond yields yet apparently lowers Treasury bill yields, has the forecastability horizon of less than one quarter, is related to stock market returns, and is …
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Essays in Macroeconomics and Finance
… four chapters, which are at the intersection of macroeconomics and finance, specifically, the implications of leasing for capital and finance allocation efficiency. I focus on operating leases, which account for a significant proportion of the overall productive physical assets used by US firms …
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Essays on institutional investors, central banks and asset pricing
… stocks and bonds, are evaluated. The changes in macroeconomic variables such as consumption, money demand and investment policies are also investigated. Under the adopted parametrization, quantitative easing is welfare improving. In addition, quantitative easing increases nominal bond and equity …
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What About Short Run?
… setting. Then I attempt to use a structural macro-finance model to guide through the predictability estimation with much more efficiency gain. Finally I decompose the equity risk premium into two short-lived parts --- tail risk and diffusive risk --- and propose a semi-parametric estimation …
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Essays on the Temporal Structure of Risk
… which answers whether more distant claims to macroeconomic growth are more or less risky than near-term claims. In the first chapter, I use replication and no-arbitrage to estimate within-firm variation in equity expected returns across horizons. I demonstrate that a low dimensional set of …
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Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting
… of commodity price shocks on the Canadian macroeconomy, bank lending and bank risk. Unlike most literature treating commodity price changes as exogenous, I identify global structural shocks driving real commodity prices and find that global demand and commodity market–specific shocks are …