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Essays in Financial Economics.
~
The University of North Carolina at Chapel Hill.
Essays in Financial Economics.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Essays in Financial Economics./
作者:
Park, Sunjin.
面頁冊數:
1 online resource (89 pages)
附註:
Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
標題:
Finance. -
電子資源:
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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Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
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Adviser: Riccardo Colacito.
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Includes bibliographical references
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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.
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Mode of access: World Wide Web
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click for full text (PQDT)
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