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Essays in Empirical Macroeconomics and Finance.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays in Empirical Macroeconomics and Finance./
Author:	Liang, Jiacheng.
Description:	1 online resource (129 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 84-11, Section: A.
Contained By:	Dissertations Abstracts International84-11A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798379533694

Essays in Empirical Macroeconomics and Finance.
Liang, Jiacheng.

Essays in Empirical Macroeconomics and Finance. - 1 online resource (129 pages)

Source: Dissertations Abstracts International, Volume: 84-11, Section: A.

Thesis (Ph.D.)--Northeastern University, 2023.

Includes bibliographical references

This dissertation investigates empirical macroeconomics and finance, primarily focusing on asset pricing factors, the natural rate, and banking risk.In Chapter 1, we explore the explanation for the decline in interest rates after the 1980s from the perspective of the increasing earning share in the corporate sector, using a semi-structural model with sufficient flexibility. By incorporating rich yield curve information and carefully considering the zero lower bound (ZLB) monetary policy environment, we find that the increase in earning share plays a significant role in interpreting the interest rate trend. In our estimation, it accounts for around 54 percent of the declining natural rate, while the output growth trend for the corporate sector explains the remaining 46 percent.In Chapter 2, we propose a new framework of estimating the statistical factors explaining the asset returns in cross section. By using the Supervised PCA (SPCA) method and selecting traditional asset pricing factors as supervising labels, we are able to find the principle components explaining most of the variation in asset returns while also exhibiting a strong dependence on traditional asset pricing factors. On the one hand, our approach finds using better-priced traditional asset pricing factors as supervising labels is caple of improving the performance of principle components. On the other hand, SPCA factors outperform both plain PCA factors and traditional factors with respect to pricing error in some scenarios by improving the estimation for asset returns that are mostly correlated with supervising labels.In Chapter 3, we use a dynamic factor model with time-varying loading parameters and stochastic volatility in order to identify the exposure of 100 Bank-holding Companies (BHCs) to aggregate shocks. We establish some empirical regularities about the evolution of exposure to common factors in the banking industry has evolved during 1998-2019 and find that during the period following the financial crisis there was a pronounced increase in macro exposure for the median bank which is associated with slower asset growth and higher concentration of assets in loans. We also examine the causal effect of geographical diversification and competition on systemic risk exposure with different measures. The results suggest the competition can impact bank systemic exposure through different risk channels.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379533694Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

MacroeconomicsIndex Terms--Genre/Form:

554714
Electronic books.

Essays in Empirical Macroeconomics and Finance.
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520 $a This dissertation investigates empirical macroeconomics and finance, primarily focusing on asset pricing factors, the natural rate, and banking risk.In Chapter 1, we explore the explanation for the decline in interest rates after the 1980s from the perspective of the increasing earning share in the corporate sector, using a semi-structural model with sufficient flexibility. By incorporating rich yield curve information and carefully considering the zero lower bound (ZLB) monetary policy environment, we find that the increase in earning share plays a significant role in interpreting the interest rate trend. In our estimation, it accounts for around 54 percent of the declining natural rate, while the output growth trend for the corporate sector explains the remaining 46 percent.In Chapter 2, we propose a new framework of estimating the statistical factors explaining the asset returns in cross section. By using the Supervised PCA (SPCA) method and selecting traditional asset pricing factors as supervising labels, we are able to find the principle components explaining most of the variation in asset returns while also exhibiting a strong dependence on traditional asset pricing factors. On the one hand, our approach finds using better-priced traditional asset pricing factors as supervising labels is caple of improving the performance of principle components. On the other hand, SPCA factors outperform both plain PCA factors and traditional factors with respect to pricing error in some scenarios by improving the estimation for asset returns that are mostly correlated with supervising labels.In Chapter 3, we use a dynamic factor model with time-varying loading parameters and stochastic volatility in order to identify the exposure of 100 Bank-holding Companies (BHCs) to aggregate shocks. We establish some empirical regularities about the evolution of exposure to common factors in the banking industry has evolved during 1998-2019 and find that during the period following the financial crisis there was a pronounced increase in macro exposure for the median bank which is associated with slower asset growth and higher concentration of assets in loans. We also examine the causal effect of geographical diversification and competition on systemic risk exposure with different measures. The results suggest the competition can impact bank systemic exposure through different risk channels.
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