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Essays on Asset Pricing, Debt Valuation, and Macroeconomics.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on Asset Pricing, Debt Valuation, and Macroeconomics./
Author:	Yamarthy, Ram Sai.
Description:	1 online resource (140 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.
Contained By:	Dissertation Abstracts International79-01A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780355129755

Essays on Asset Pricing, Debt Valuation, and Macroeconomics.
Yamarthy, Ram Sai.

Essays on Asset Pricing, Debt Valuation, and Macroeconomics. - 1 online resource (140 pages)

Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

My dissertation consists of three chapters which examine topics at the intersection of financial markets and macroeconomics. Two of the sections relate to the valuation of U.S. Treasury and corporate debt while the third understands the role of banking frictions on equity markets.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355129755Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on Asset Pricing, Debt Valuation, and Macroeconomics.
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100 1 $a Yamarthy, Ram Sai. $3 1182903
245 1 0 $a Essays on Asset Pricing, Debt Valuation, and Macroeconomics.
264 0 $c 2017
300 $a 1 online resource (140 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
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500 $a Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.
500 $a Advisers: Joao F. Gomes; Amir Yaron.
502 $a Thesis (Ph.D.) $c University of Pennsylvania $d 2017.
504 $a Includes bibliographical references
520 $a My dissertation consists of three chapters which examine topics at the intersection of financial markets and macroeconomics. Two of the sections relate to the valuation of U.S. Treasury and corporate debt while the third understands the role of banking frictions on equity markets.
520 $a More specifically, the first chapter asks the question, what is the role of monetary policy fluctuations for the macroeconomy and bond markets? To answer this question we design a novel asset-pricing framework which incorporates a time-varying Taylor rule for monetary policy, macroeconomic factors, and risk pricing restrictions from investor preferences. By estimating the model using U.S. term structure data, we find that monetary policy fluctuations significantly impact inflation uncertainty and bond risk exposures, but do not have a sizable effect on the first moments of macroeconomic variables. Monetary policy fluctuations contribute about 20% to the variation in bond risk premia.
520 $a Models with frictions in financial contracts have been shown to create persistence effects in macroeconomic fluctuations. These persistent risks can then generate large risk premia in asset markets. Accordingly, in the second chapter, we test the ability that a particular friction, Costly State Verification (CSV), has to generate empirically plausible risk exposures in equity markets, when household investors have recursive preferences and shocks occur in the growth rate of productivity. After embedding these mechanisms into a macroeconomic model with financial intermediation, we find that the CSV friction is negligible in realistically augmenting the equity risk premium. While the friction slows the speed of capital investment, its contribution to asset markets is insignificant.
520 $a The third chapter examines how firms manage debt maturity in the presence of investment opportunities. I document empirically that debt maturity tradeoffs play an important role in determining economic fluctuations and asset prices. I show at aggregate and firm levels that corporations lengthen their average maturity of debt when output and investment rates are larger. To explain these findings, I construct an economic model where firms simultaneously choose investment, short, and long-term debt. In equilibrium, long-term debt is more costly than short-term debt and is only used when investment opportunities present themselves in peaks of the business cycle.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
650 4 $a Economics. $3 555568
650 4 $a Economic theory. $3 809881
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
690 $a 0501
690 $a 0511
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Pennsylvania. $b Finance. $3 1182441
773 0 $t Dissertation Abstracts International $g 79-01A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10273936 $z click for full text (PQDT)