QSpace Community:http://hdl.handle.net/1974/7722015-09-01T06:05:47Z2015-09-01T06:05:47ZThree Essays On Asset Bubbles And Contagion Over Financial NetworksShen, YUEhttp://hdl.handle.net/1974/134912015-08-11T05:22:31Z2015-08-10T04:00:00ZTitle: Three Essays On Asset Bubbles And Contagion Over Financial Networks
Authors: Shen, YUE
Abstract: This 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.
Description: Thesis (Ph.D, Economics) -- Queen's University, 2015-08-07 01:21:38.5052015-08-10T04:00:00ZEssays on Networks and MacroeconomicsKivinen, Stevenhttp://hdl.handle.net/1974/134072015-07-20T08:02:59Z2015-07-17T04:00:00ZTitle: Essays on Networks and Macroeconomics
Authors: Kivinen, Steven
Abstract: This thesis consists of three essays related by the themes of networks and macroeconomics. The first essay examines the role of networks in workersâ€™ search for employment. Unemployed workers gain employment by sending resumes directly to employers, and indirectly through employed friends. I find that the amount of search effort a worker undertakes is related to how many employed friends it has, and whether networks are substitutes or complements in search. When search costs are linear I find that complementary networks cause those with the most friends to search, while substitutable networks cause search effort to be independent of an individualâ€™s network position. Finally, I examine the role of aggregate links on aggregate matching.
The second essay examines the impact of networks on aggregate labour market variables, such as unemployment and unfilled vacancies. It is concluded that networks lead to wage heterogeneity, increased unemployment volatility, and higher autocorrelation of vacancy rates. The conclusions follow analytically using an approximation method, and quantitative magnitudes are discussed using numerical simulations. Finally, issues of network formation and multiple equilibria are addressed.
The final essay analyzes the role of imitation on firm pricing decisions. A generalization of Calvo pricing is developed. It is shown that price dynamics are much different in a model with imitation. I demonstrate analytically that sticky inflation can arise. I partially characterize equilibrium prices and inflation. I finish the chapter by generalizing the network effects.
Description: Thesis (Ph.D, Economics) -- Queen's University, 2015-07-13 17:40:12.8092015-07-17T04:00:00ZThe Econometrics and Economics of EducationPenney, Jeffreyhttp://hdl.handle.net/1974/133932015-07-09T05:18:11Z2015-07-07T04:00:00ZTitle: The Econometrics and Economics of Education
Authors: Penney, Jeffrey
Abstract: This thesis contains three essays spanning the fields of econometrics and the economics of education. The first is a methodological essay wherein I propose a solution to the test score measurement problem. Test scores that measure the same skill or trait are often scaled differently. I propose a statistical methodology to express test scores in a standard format to make them comparable across different tests. While other methods to standardize scores exist, the method I develop avoids several statistical pitfalls that commonly befall other procedures. The second chapter is an applied paper examining the question of whether academic achievement increases when students are the same race as their teacher. I pay particular attention to the effects of same-race teachers on academic achievement in both the short and medium run. Using a model that takes into account past school inputs, I find positive effects of racial matching on student achievement; moreover, these benefits persist with time. The third is a methodological piece that develops a technique to answer the question of whether one can be confident that a statistical estimate of something such as a mean or a regression parameter estimate lies between two points. The procedure has desirable statistical properties, and is ideally suited for use when testing for the existence of zero or near-zero effects.
Description: Thesis (Ph.D, Economics) -- Queen's University, 2015-07-06 17:52:10.2062015-07-07T04:00:00ZThree Essays on Earnings DynamicsShang, Yinghttp://hdl.handle.net/1974/130022015-04-27T13:21:01Z2015-04-27T04:00:00ZTitle: Three Essays on Earnings Dynamics
Authors: Shang, Ying
Abstract: This thesis consists of three essays that use modern econometric methods to empirically study earnings dynamics in the United States using samples drawn from the Panel Study of Income Dynamics (PSID).
In Chapter 2, I study a non-linear parametric model that allows an agent's future earning to depend on the earning quantile he occupies in the current period. Such dynamics reflect a different set of opportunities opened up to an agent once he changes position in the earning distribution. Chapter 3 extends the model presented in Chapter 2 to take into account the accumulation of agents' past experiences by allowing an agent's earning process to depend on both his current quantile position and the average of his previous quantiles. The current quantile position represents an agent's current opportunity or luck whereas the average of his previous quantiles assumes the role of his past experiences.
I estimate the models using a method of indirect inference called simulated minimum distance. I find that the underlying process differs across the earning distribution. In particular, individuals in the bottom quantile have a unit root process whereas individuals in upper quantiles have a stationary process with the top quantile workers having the lowest autoregressive coefficients.
Chapter 3 shows that a model specification with a higher weight assigned to luck, the current quantile position, has better predictions for the earning mobility presented from the data. This result implies that luck certainly plays a role in the earning process.
In Chapter 4, I study the earning mobility of US households using nonparametric quantile regressions. I estimate future earning quantiles for individuals from every initial earning level. I find that earning mobility tends to improve in more recent years or over a longer time span. Moreover, the substantial non-linearity found in upper earning distribution suggests that relatively higher earners face more earning uncertainty than others. In addition, the slopes of quantiles as a function of initial earnings are flatter in the long run. Therefore, more than half of high earners experience an earning decline whereas the majority of low earners experience an earning increase in the long run.
Description: Thesis (Ph.D, Economics) -- Queen's University, 2015-04-26 11:33:27.0122015-04-27T04:00:00Z