Essays on Macroeconomics and Finance

Term Structure;Macro-Finance;Economics

Goto, YoichiDuffee, Gregory R ;

Johns Hopkins University

关键词: Term Structure;    Macro-Finance;    Economics;   

Others  :  https://jscholarship.library.jhu.edu/bitstream/handle/1774.2/60300/GOTO-DISSERTATION-2014.pdf?sequence=1&isAllowed=y

瑞士|英语

来源: JOHNS HOPKINS DSpace Repository

【 摘 要 】

This dissertation consists of three chapters. In Chapter 1, I study an asset pricing implication of a New Keynesian model. Quantitative New Keynesian models have strong implications for the joint variation of total wealth, nominal bond yields, and real bond yields. I use stock market betas of nominal and real bonds as summaries of this joint variation, and ask whether model-implied betas can be parameterized to be consistent with observed betas.Using UK data, I document that the observed beta of a ten-year nominal bond dropped to zero when the UK government gave operational independence to the Bank of England. The observed beta of a ten-year inflation-indexed bond is close to zero both before and after independence. I show that a broad range of plausible model parameterizations cannot reproduce any of these observed betas. In Chapter 2, I study the effects of positive trend inflation on the term structure of interest rates. I examine the effects on a number of aspects of the yield curve: the steady state, the mean, the variance, impulse responses to economic shocks, and risk compensation. I find that higher rate of trend inflation leads to more volatile inflation, which in turn increases the volatility of bond prices and the quantity of risk compensation. The quantitative effects of these findings are quite small when we assume the standard log utility of the representative household. However, the quantitative effects become significant when we assume the household with Epstein-Zin preferences. For example, the average slope of the yield curve is 1.02 percent for 2 percent inflation, while it is 1.35 percent for 6 percent trend inflation. Excess returns to 10-year bond are 5.6 percent for 2 percent trend inflation and 6.7 percent for 6 percent trend inflation. In Chapter 3, I study the welfare effects of financial globalization. Debt and foreign direct investment (FDI) flows account for the vast majority of foreign capital going into developing countries. Gourinchas and Jeanne (2006) study the welfare consequences from liberalizing debt flows using the Ramsey growth model and find that the welfare gains is quite limited. This paper studies the welfare gains from liberalizing FDI flows and find much larger gains (four percent increase in permanent consumption in the baseline specifications). The key assumption is that FDI flows bring a superior technology into host countries. Additional gains from liberalizing debt flows besides FDI flows are limited. This paper conducts a number of sensitivity analysis. For example, it examines the consequences of a decrease in the world real interest rate, the phenomena observed in recent decades.