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Essays in Financial Economics.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays in Financial Economics./
Author:	Park, Sunjin.
Description:	1 online resource (89 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9781369875621

Essays in Financial Economics.
Park, Sunjin.

Essays in Financial Economics. - 1 online resource (89 pages)

Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.

Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2017.

Includes bibliographical references

In the first chapter, titled "Global Macroeconomic Conditional Skewness and the Carry Risk Premium," I show that the time-variation in measures of global growth prospects constructed from the cross-section of individual macroeconomic forecasts can help explain currency markets. I show that conditional expectation and skewness of global economic growth have predictive ability in explaining the quarterly returns to carry trade and that the global skewness measure is particularly important in explaining a large cross-section of currencies. I provide the economic mechanism for the role of cross-sectional skewness in forecasts using a consumption-based asset pricing model with heterogeneous agents. In the second chapter, which is titled "Risk and Return Trade-off in the U.S. Treasury Market," we characterize the risk-return trade-off in the U.S. Treasury market through the lens of a discrete-time term structure model in which the conditional variances of bond yields feature a short-run component and a long-run component. Using Treasury yields data from January 1962 to August 2007, we find that the short-run volatility component of bond yields commands a positive risk premium whereas the long-run volatility component does not. In addition, for short-dated bonds, most of the variations in risk premiums are attributable to investors' changing attitudes toward risks. For longer-dated bonds, risk premiums reflect both the amount of risks bond investors face as well as their tolerance for risks over time.

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

Mode of access: World Wide Web

ISBN: 9781369875621Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays in Financial Economics.
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035 $a (MiAaPQ)unc:17065
035 $a AAI10269088
040 $a MiAaPQ $b eng $c MiAaPQ
100 1 $a Park, Sunjin. $3 1185365
245 1 0 $a Essays in Financial Economics.
264 0 $c 2017
300 $a 1 online resource (89 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
500 $a Adviser: Riccardo Colacito.
502 $a Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2017.
504 $a Includes bibliographical references
520 $a In the first chapter, titled "Global Macroeconomic Conditional Skewness and the Carry Risk Premium," I show that the time-variation in measures of global growth prospects constructed from the cross-section of individual macroeconomic forecasts can help explain currency markets. I show that conditional expectation and skewness of global economic growth have predictive ability in explaining the quarterly returns to carry trade and that the global skewness measure is particularly important in explaining a large cross-section of currencies. I provide the economic mechanism for the role of cross-sectional skewness in forecasts using a consumption-based asset pricing model with heterogeneous agents. In the second chapter, which is titled "Risk and Return Trade-off in the U.S. Treasury Market," we characterize the risk-return trade-off in the U.S. Treasury market through the lens of a discrete-time term structure model in which the conditional variances of bond yields feature a short-run component and a long-run component. Using Treasury yields data from January 1962 to August 2007, we find that the short-run volatility component of bond yields commands a positive risk premium whereas the long-run volatility component does not. In addition, for short-dated bonds, most of the variations in risk premiums are attributable to investors' changing attitudes toward risks. For longer-dated bonds, risk premiums reflect both the amount of risks bond investors face as well as their tolerance for risks over time.
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 Economic theory. $3 809881
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
690 $a 0511
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The University of North Carolina at Chapel Hill. $b Business Administration. $3 1183438
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10269088 $z click for full text (PQDT)