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Essays on International Economics.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays on International Economics./
作者:	Ma, Yunsheng.
面頁冊數:	1 online resource (96 pages)
附註:	Source: Dissertations Abstracts International, Volume: 85-07, Section: A.
Contained By:	Dissertations Abstracts International85-07A.
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9798381376852

Essays on International Economics.
Ma, Yunsheng.

Essays on International Economics. - 1 online resource (96 pages)

Source: Dissertations Abstracts International, Volume: 85-07, Section: A.

Thesis (Ph.D.)--The George Washington University, 2024.

Includes bibliographical references

This dissertation consists of three independent essays on International Economics.Chapter 1 studies the effects of Covid vaccine development on the international financial market. Covid vaccine development has received worldwide attention since the beginning of the pandemic. In this paper, I construct a weekly sentiment index about Covid vaccine development progress using the pre-trained NLP model Fin-BERT based on four major US newspapers. I show that the vaccine development sentiment has significant impacts on the international financial market. Positive vaccine development sentiment is associated with a decrease of VIX index, significant weekly capital inflows into emerging markets and an appreciation of emerging market currencies against US dollars. Then, I use the consumption-based asset pricing model to decompose the currency carry trade risk premia between US and emerging markets into the quantity of US consumption growth risk and the unit price of risk. I find that positive vaccine development sentiment also decreases the price of risk in the international financial markets.Chapter 2 explores the drivers of political fragility by focusing on coups d'etat as symptomatic of such fragility. It uses event study to identify factors that exhibit significantly different dynamics in the runup to coups, and machine learning to identify these stressors and more structural determinants of fragility-as well as their nonlinear interactions - that create an environment propitious to coups. The paper finds that the destabilization of the county's economic, political or security environment - such as low growth, high inflation, weak external positions, political instability and conflict - set the stage for a higher likelihood of coups, with overlapping stressors amplifying each other. These shocks are more likely to lead to breakdowns in political systems when demographics pressures and underlying structural weaknesses (especially poverty, exclusion, weak governance) are present or when policies are weaker, through complex interactions. The model performs well in predicting coups out of sample, having predicted a high probability of most 2020-23 coups, including in the Sahel region. Strengthened fundamentals and macropolicies have higher returns in structurally fragile environments in terms of staving off political breakdowns, suggesting continued engagement by multilateral institutions and donors in fragile situations is likely to have particularly high dividends. This paper is coauthored by Aliona Cebotari, Enrique Chueca-Montuenga, Yoro Diallo, Yunsheng Ma, Rima Turk, Ritong Qu, Harold Zavarce and Weining Xin.Chapter 3 uses the China 2017 anti -THAAD boycott event against Korea as an exogenous event of negative demand shock to explore how Chinese domestic automobile component suppliers behaved when facing abrupt negative demand shocks. Based on Difference-in-Differences strategy, the results showed that Chinese domestic suppliers which supplied automobile components to Korean car companies experienced significant loss of sales, fixed asset and return on equities during the several years after the boycott event. For heterogeneities, affected Chinese suppliers that produce more than one type of product enjoyed a higher profit recovery speed than single-product suppliers.

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

Mode of access: World Wide Web

ISBN: 9798381376852Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Financial marketIndex Terms--Genre/Form:

554714
Electronic books.

Essays on International Economics.
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520 $a This dissertation consists of three independent essays on International Economics.Chapter 1 studies the effects of Covid vaccine development on the international financial market. Covid vaccine development has received worldwide attention since the beginning of the pandemic. In this paper, I construct a weekly sentiment index about Covid vaccine development progress using the pre-trained NLP model Fin-BERT based on four major US newspapers. I show that the vaccine development sentiment has significant impacts on the international financial market. Positive vaccine development sentiment is associated with a decrease of VIX index, significant weekly capital inflows into emerging markets and an appreciation of emerging market currencies against US dollars. Then, I use the consumption-based asset pricing model to decompose the currency carry trade risk premia between US and emerging markets into the quantity of US consumption growth risk and the unit price of risk. I find that positive vaccine development sentiment also decreases the price of risk in the international financial markets.Chapter 2 explores the drivers of political fragility by focusing on coups d'etat as symptomatic of such fragility. It uses event study to identify factors that exhibit significantly different dynamics in the runup to coups, and machine learning to identify these stressors and more structural determinants of fragility-as well as their nonlinear interactions - that create an environment propitious to coups. The paper finds that the destabilization of the county's economic, political or security environment - such as low growth, high inflation, weak external positions, political instability and conflict - set the stage for a higher likelihood of coups, with overlapping stressors amplifying each other. These shocks are more likely to lead to breakdowns in political systems when demographics pressures and underlying structural weaknesses (especially poverty, exclusion, weak governance) are present or when policies are weaker, through complex interactions. The model performs well in predicting coups out of sample, having predicted a high probability of most 2020-23 coups, including in the Sahel region. Strengthened fundamentals and macropolicies have higher returns in structurally fragile environments in terms of staving off political breakdowns, suggesting continued engagement by multilateral institutions and donors in fragile situations is likely to have particularly high dividends. This paper is coauthored by Aliona Cebotari, Enrique Chueca-Montuenga, Yoro Diallo, Yunsheng Ma, Rima Turk, Ritong Qu, Harold Zavarce and Weining Xin.Chapter 3 uses the China 2017 anti -THAAD boycott event against Korea as an exogenous event of negative demand shock to explore how Chinese domestic automobile component suppliers behaved when facing abrupt negative demand shocks. Based on Difference-in-Differences strategy, the results showed that Chinese domestic suppliers which supplied automobile components to Korean car companies experienced significant loss of sales, fixed asset and return on equities during the several years after the boycott event. For heterogeneities, affected Chinese suppliers that produce more than one type of product enjoyed a higher profit recovery speed than single-product suppliers.
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