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Essays in Macroeconomics and Asset Pricing.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays in Macroeconomics and Asset Pricing./
作者:	Shugarman, Justin K.
面頁冊數:	1 online resource (119 pages)
附註:	Source: Dissertations Abstracts International, Volume: 84-09, Section: A.
Contained By:	Dissertations Abstracts International84-09A.
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9798374418415

Essays in Macroeconomics and Asset Pricing.
Shugarman, Justin K.

Essays in Macroeconomics and Asset Pricing. - 1 online resource (119 pages)

Source: Dissertations Abstracts International, Volume: 84-09, Section: A.

Thesis (Ph.D.)--New York University, 2023.

Includes bibliographical references

In this thesis, I investigate (1) the empirical implications of an intermediary-based asset-pricing model and (2) the link between oil prices and stock market returns in oil-exporting countries.In the first chapter, I estimate an intermediary-based asset-pricing model that allows for unobservable time-variation among financial intermediaries to influence U.S. equity prices and risk premia. Using linear state-space methods and data on the price-dividend ratio of U.S. stock market equity, a proxy for the equity risk premium, and bank-holding-company leverage, along with other macro variables, I filter out a latent variable, that when added to leverage, satisfies the asset pricing implications of the binding constraint in Gertler and Kiyotaki's (2010) model of financial intermediation.The second chapter, which is co-authored with Sirio Aramonte and Mohammad Jahan-Parvar and is published in The Quarterly Review of Economics and Finance, uses oil price changes to predict stock market returns in oil-exporting countries and relates the strength of predictability to the quality of each country's institutions. Returns are predictable for half the countries we consider, and predictability is stronger when institutional quality is lower. We argue that the relation between predictability and institutional quality reflects the preference of countries with weaker institutions to consume oil windfalls locally rather than smooth out their impact by, for example, investing the proceeds internationally.The third chapter builds on the first chapter by directly estimating the tightness of financial constraints on the U.S. financial system. To estimate the tightness of constraints, I employ a semi-parametric approach that remains agnostic as to the fundamental shocks driving the economy. This approach allows the data to speak for itself without having to take a stand on a particular model of the macro-economy.

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

Mode of access: World Wide Web

ISBN: 9798374418415Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

MacroeconomicsIndex Terms--Genre/Form:

554714
Electronic books.

Essays in Macroeconomics and Asset Pricing.
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520 $a In this thesis, I investigate (1) the empirical implications of an intermediary-based asset-pricing model and (2) the link between oil prices and stock market returns in oil-exporting countries.In the first chapter, I estimate an intermediary-based asset-pricing model that allows for unobservable time-variation among financial intermediaries to influence U.S. equity prices and risk premia. Using linear state-space methods and data on the price-dividend ratio of U.S. stock market equity, a proxy for the equity risk premium, and bank-holding-company leverage, along with other macro variables, I filter out a latent variable, that when added to leverage, satisfies the asset pricing implications of the binding constraint in Gertler and Kiyotaki's (2010) model of financial intermediation.The second chapter, which is co-authored with Sirio Aramonte and Mohammad Jahan-Parvar and is published in The Quarterly Review of Economics and Finance, uses oil price changes to predict stock market returns in oil-exporting countries and relates the strength of predictability to the quality of each country's institutions. Returns are predictable for half the countries we consider, and predictability is stronger when institutional quality is lower. We argue that the relation between predictability and institutional quality reflects the preference of countries with weaker institutions to consume oil windfalls locally rather than smooth out their impact by, for example, investing the proceeds internationally.The third chapter builds on the first chapter by directly estimating the tightness of financial constraints on the U.S. financial system. To estimate the tightness of constraints, I employ a semi-parametric approach that remains agnostic as to the fundamental shocks driving the economy. This approach allows the data to speak for itself without having to take a stand on a particular model of the macro-economy.
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653 $a Financial constraints
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