Three Essays On Asset Bubbles And Contagion Over Financial Networks

dc.contributor.authorShen, Yueen
dc.contributor.departmentEconomicsen
dc.contributor.supervisorBergin, Jamesen
dc.contributor.supervisorMilne, Franken
dc.date2015-08-07 01:21:38.505
dc.date.accessioned2015-08-11T00:08:27Z
dc.date.available2015-08-11T00:08:27Z
dc.date.issued2015-08-10
dc.degree.grantorQueen's University at Kingstonen
dc.descriptionThesis (Ph.D, Economics) -- Queen's University, 2015-08-07 01:21:38.505en
dc.description.abstractThis thesis studies financial market stability by exploring asset bubbles and contagions over financial markets. First I construct a model where bubbles arise from a lack of common knowledge about the asset value among traders with private information, and I evaluate the effects of capital gain tax and transaction costs on bubbles. I find that capital gains tax has no effect on the size of the bubble when there is a perfect tax credit for capital losses, and the size of the bubble decreases in the tax when there is no tax credit. Therefore dealing with bubbles with capital gains tax not only requires imposing the tax, but also tightening the policies on tax credits. In a simplified bubble model, it can be shown that the model is equivalent to an auction, and bubbles arise for the same reason that bidding prices fail to reveal the true value in that auction. Several experiments on taxes and subsidies are devised to reduce or eliminate bubbles. Then I study the contagion of bankruptcy through downward price pressure among investors with overlapping portfolios. I calculate the probability of an extensive contagion and the expected bankruptcy rate during such a contagion. System-wide contagion happens only when the diversification of portfolios is in a certain range and, in the upper area of that range, the probability of a crisis may be small, but the spread of contagion can be extremely extensive.en
dc.description.degreePhDen
dc.identifier.urihttp://hdl.handle.net/1974/13491
dc.language.isoengen
dc.relation.ispartofseriesCanadian thesesen
dc.rightsQueen's University's Thesis/Dissertation Non-Exclusive License for Deposit to QSpace and Library and Archives Canadaen
dc.rightsProQuest PhD and Master's Theses International Dissemination Agreementen
dc.rightsIntellectual Property Guidelines at Queen's Universityen
dc.rightsCopying and Preserving Your Thesisen
dc.rightsCreative Commons - Attribution - CC BYen
dc.rightsThis publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.en
dc.subjectasset bubbleen
dc.subjectcontagionen
dc.subjectnetworksen
dc.subjectfinancial crisisen
dc.titleThree Essays On Asset Bubbles And Contagion Over Financial Networksen
dc.typethesisen
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