國立虎尾科技大學 |

Essays in Macro-Finance.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays in Macro-Finance./
作者:	Sellemi, Victor.
面頁冊數:	1 online resource (222 pages)
附註:	Source: Dissertations Abstracts International, Volume: 85-12, Section: B.
Contained By:	Dissertations Abstracts International85-12B.
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9798383059760

Essays in Macro-Finance.
Sellemi, Victor.

Essays in Macro-Finance. - 1 online resource (222 pages)

Source: Dissertations Abstracts International, Volume: 85-12, Section: B.

Thesis (Ph.D.)--University of California, San Diego, 2024.

Includes bibliographical references

This dissertation is comprised of three free-standing chapters, each focused on topics in the intersection of financial economics and macroeconomics.Chapter 1 examines the propagation of shocks in economic models with customer-supplier networks. I show that the common assumption of idiosyncratic shocks at the firm or industry levels implies empirically implausible sparsity restrictions on the input-output network structure. Moreover, I provide evidence that substitutability between trade partners is related to technological and product dispersion that is not captured by standard firm and industry definitions, and thus generates non-negligible correlation in shocks. Finally, I show that assets positively exposed to upstream and downstream shocks are useful hedges and earn lower average risk premia than less exposed peers. This is confirmed by statistically significant return spreads and a negative association between correlated shock propagation and aggregate growth.Chapter 2 studies the role of time-to-build in federal defense when estimating aggregate federal government spending multipliers. We find that the early impact of defense news shocks on GDP is due to a rise in business inventories, as contractors ramp up production for new defense contracts. These contracts do not affect government spending (G) until payment-on-delivery, which occurs 2-3 quarters later. Novel data on defense procurement obligations reveals that contract awards Granger-cause shocks to G identified via Cholesky decomposition, but not defense news shocks. We show that Cholesky shocks to G miss early changes in inventories, and thus result in lower multiplier estimates relative to the narrative method.Chapter 3 explores the permanent-transitory decomposition of stochastic discount factor (SDF) processes in dynamic asset pricing models, in which the permanent component captures pricing at long payoff horizons. Analytic solutions for the permanent component are limited, and standard numerical methods are not well-suited to solve for them due to the curse of dimensionality and lack of boundary conditions and/or parametric assumptions. We propose a novel algorithm for computing the permanent-transitory decomposition for a general class of asset pricing models without such restrictions. We validate the algorithm's accuracy in several workhorse structural asset-pricing models, and argue that our approach applies to models whose state dynamics follow general and potentially high dimensional Levy processes.

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

Mode of access: World Wide Web

ISBN: 9798383059760Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

EconometricsIndex Terms--Genre/Form:

554714
Electronic books.

Essays in Macro-Finance.
LDR:03897ntm a22004097 4500 001 1147561
005 20240909103812.5
006 m o d
007 cr bn ---uuuuu
008 250605s2024 xx obm 000 0 eng d
020 $a 9798383059760
035 $a (MiAaPQ)AAI31141668
035 $a AAI31141668
040 $a MiAaPQ $b eng $c MiAaPQ $d NTU
100 1 $a Sellemi, Victor. $3 1473318
245 1 0 $a Essays in Macro-Finance.
264 0 $c 2024
300 $a 1 online resource (222 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: Dissertations Abstracts International, Volume: 85-12, Section: B.
500 $a Advisor: Timmermann, Allan.
502 $a Thesis (Ph.D.)--University of California, San Diego, 2024.
504 $a Includes bibliographical references
520 $a This dissertation is comprised of three free-standing chapters, each focused on topics in the intersection of financial economics and macroeconomics.Chapter 1 examines the propagation of shocks in economic models with customer-supplier networks. I show that the common assumption of idiosyncratic shocks at the firm or industry levels implies empirically implausible sparsity restrictions on the input-output network structure. Moreover, I provide evidence that substitutability between trade partners is related to technological and product dispersion that is not captured by standard firm and industry definitions, and thus generates non-negligible correlation in shocks. Finally, I show that assets positively exposed to upstream and downstream shocks are useful hedges and earn lower average risk premia than less exposed peers. This is confirmed by statistically significant return spreads and a negative association between correlated shock propagation and aggregate growth.Chapter 2 studies the role of time-to-build in federal defense when estimating aggregate federal government spending multipliers. We find that the early impact of defense news shocks on GDP is due to a rise in business inventories, as contractors ramp up production for new defense contracts. These contracts do not affect government spending (G) until payment-on-delivery, which occurs 2-3 quarters later. Novel data on defense procurement obligations reveals that contract awards Granger-cause shocks to G identified via Cholesky decomposition, but not defense news shocks. We show that Cholesky shocks to G miss early changes in inventories, and thus result in lower multiplier estimates relative to the narrative method.Chapter 3 explores the permanent-transitory decomposition of stochastic discount factor (SDF) processes in dynamic asset pricing models, in which the permanent component captures pricing at long payoff horizons. Analytic solutions for the permanent component are limited, and standard numerical methods are not well-suited to solve for them due to the curse of dimensionality and lack of boundary conditions and/or parametric assumptions. We propose a novel algorithm for computing the permanent-transitory decomposition for a general class of asset pricing models without such restrictions. We validate the algorithm's accuracy in several workhorse structural asset-pricing models, and argue that our approach applies to models whose state dynamics follow general and potentially high dimensional Levy processes.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
650 4 $a Public administration. $3 562473
650 4 $a Statistics. $3 556824
653 $a Econometrics
653 $a Macroeconomics
653 $a Customer-supplier networks
653 $a Stochastic discount factor
653 $a Granger-cause shocks
655 7 $a Electronic books. $2 local $3 554714
690 $a 0501
690 $a 0617
690 $a 0508
690 $a 0463
710 2 $a University of California, San Diego. $b Economics. $3 1179071
710 2 $a ProQuest Information and Learning Co. $3 1178819
773 0 $t Dissertations Abstracts International $g 85-12B.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31141668 $z click for full text (PQDT)