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Heterogeneous Impact of the Global Financial Cycle.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Heterogeneous Impact of the Global Financial Cycle./
Author:	Oskolkov, Aleksei.
Description:	1 online resource (153 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 85-12, Section: B.
Contained By:	Dissertations Abstracts International85-12B.
Subject:	Statistics. -
Online resource:	click for full text (PQDT)
ISBN:	9798382781778

Heterogeneous Impact of the Global Financial Cycle.
Oskolkov, Aleksei.

Heterogeneous Impact of the Global Financial Cycle. - 1 online resource (153 pages)

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

Thesis (Ph.D.)--The University of Chicago, 2024.

Includes bibliographical references

I develop a heterogeneous-country model of the world economy to study the distributional impact of aggregate capital flight episodes. A global intermediary borrows from all countries and invests in their risky assets. Wealth heterogeneity between countries arises endogenously due to idiosyncratic shocks. A single global factor that combines the intermediary's wealth and risk-taking capacity determines capital inflows and risk premia in every country. A shock to the intermediary's risk-taking capacity generates global capital flight. Investors from rich countries use their external savings to replace foreign demand for domestic assets. These countries experience a "retrenchment" event: a sizable fall in outward flows. Their risky assets appreciate on impact. In poor countries, investors cannot replace foreign demand without a sharp rise in risk premia. Their asset markets adjust through prices rather than quantities, and prices fall. Estimating the model, I find that global financial shocks explain a quarter of the time-series variation in aggregate capital flows and a third of the variation in the relative performance of assets in advanced economies compared to emerging markets.

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

Mode of access: World Wide Web

ISBN: 9798382781778Subjects--Topical Terms:

556824
Statistics.
Subjects--Index Terms:

Capital flowsIndex Terms--Genre/Form:

554714
Electronic books.

Heterogeneous Impact of the Global Financial Cycle.
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500 $a Source: Dissertations Abstracts International, Volume: 85-12, Section: B.
500 $a Advisor: Alvarez, Fernando.
502 $a Thesis (Ph.D.)--The University of Chicago, 2024.
504 $a Includes bibliographical references
520 $a I develop a heterogeneous-country model of the world economy to study the distributional impact of aggregate capital flight episodes. A global intermediary borrows from all countries and invests in their risky assets. Wealth heterogeneity between countries arises endogenously due to idiosyncratic shocks. A single global factor that combines the intermediary's wealth and risk-taking capacity determines capital inflows and risk premia in every country. A shock to the intermediary's risk-taking capacity generates global capital flight. Investors from rich countries use their external savings to replace foreign demand for domestic assets. These countries experience a "retrenchment" event: a sizable fall in outward flows. Their risky assets appreciate on impact. In poor countries, investors cannot replace foreign demand without a sharp rise in risk premia. Their asset markets adjust through prices rather than quantities, and prices fall. Estimating the model, I find that global financial shocks explain a quarter of the time-series variation in aggregate capital flows and a third of the variation in the relative performance of assets in advanced economies compared to emerging markets.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Statistics. $3 556824
650 4 $a Finance. $3 559073
653 $a Capital flows
653 $a Global financial cycle
653 $a Safe assets
653 $a World economy
653 $a Global banks
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773 0 $t Dissertations Abstracts International $g 85-12B.
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