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 10 of 10 for “"uncertainty shocks"”.
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Essays in financial economics
… asset pricing and macroeconomic implications of uncertainty shocks, propose new measures for model robustness, explain the joint dynamics on equity excess returns and real exchange rates. In the first chapter, I show that the effect of uncertainty shocks on asset prices and macroeconomic dynamics …
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Institutions and uncertainty: An empirical investigation
… North defined institutions) play in generating uncertainty. Specifically, we focus on how uncertainty changes as institutions change. The thesis is empirically focused. In answering our research questions, we employ, often in combination, tools from the ‘traditional’ econometric literature—in …
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Essays on Bayesian Macroeconometrics
… Impulse response functions from downturn risk shocks produce the same comovement as those from ICS innovations in a structural vector autoregression. The second chapter, co-authored with Minchul Shin, proposes the multivariate stochastic volatility in vector autoregression model as a framework …
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Essays on Macroeconomic Uncertainty and Capital Flows
<p>This dissertation studies the effects of uncertainty shocks in emerging economies in a context where these economies increased their participation in international financial markets. The first chapter provides a review of the literature on how the study of uncertainty shocks recently became more …
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Essays on finance and macroeconomics
… first show that in standard models driven by TFP shocks, the balance sheet channel disappears when agents are allowed to write contracts on the aggregate state of the economy. In contrast, I show how uncertainty shocks can drive balance sheet recessions with depressed asset prices and growth, and …
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Essays on the Macroeconomics of Labor Markets
… examines how firms’ behavioral adjustments to uncertainty shocks transmit to aggregate unemployment. The first chapter formulates a tractable theory of the firm as a “team assembly” technology. Most production processes are too complex for any one individual to know how to perform all required …
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Dynamic Compensation and Investment with Limited Commitment
… In the first part, I consider firms that face uncertainty shocks in a principal-agent setting but have only limited ability to commit to long-term contracts. Limited commitment firms expedite payments to their managers when uncertainty is high, a finding that helps to explain the puzzling large …
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Three Essays in Applied Time Series Econometrics
… Chapter 3, I show that people\'s expectation of uncertainty in financial markets is a significant factor impacting short-term real exchange rate movements. Specifically, a sudden increase in expectation of stock market volatility in a low interest rate country tends to appreciate their currencies …
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Essays on Nonparametric Estimation of Asset Pricing Models
… on unobserved state variables, such as economic uncertainty and risk aversion. Under a flexible specification of the stochastic discount factor, the state variables are recovered from cross-sections of asset prices and volatility proxies, and the shape of the policy functions is identified from …
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Analysing the One Certainty that Rules Us All: Trade (and Economic) Policy Uncertainty
My PhD thesis consists of 4 papers that analyse uncertainty, specifically trade policy uncertainty, by examining its best measurement and its impacts on firms’ international and domestic operations. The first paper, “Improving the Trade Policy Uncertainty Index”, studies how best to measure trade …