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International Capital Flows and Asse...

Kohn, David.

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International Capital Flows and Asset Prices.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	International Capital Flows and Asset Prices./
作者:	Kohn, David.
面頁冊數:	267 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-04(E), Section: A.
Contained By:	Dissertation Abstracts International76-04A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3665247
ISBN:	9781321375503

International Capital Flows and Asset Prices.
Kohn, David.

International Capital Flows and Asset Prices. - 267 p.

Source: Dissertation Abstracts International, Volume: 76-04(E), Section: A.

Thesis (Ph.D.)--New York University, 2014.

This dissertation studies the role of financial flows on asset prices and the real economy. In the first two chapters, we study their effect on asset prices: housing and the yield curve. These chapters highlight two mechanisms through which capital flows affect risk premia: they drive down risk compensation through a decline in risk-aversion, but they can also increase it, crowding out domestic agents from safe bond markets. The final chapter focuses on the effects of financial markets on firms' export decisions.

ISBN: 9781321375503Subjects--Topical Terms:

1556984
Economic theory.

International Capital Flows and Asset Prices.
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245 1 0 $a International Capital Flows and Asset Prices.
300 $a 267 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-04(E), Section: A.
500 $a Adviser: Sydney C. Ludvigson.
502 $a Thesis (Ph.D.)--New York University, 2014.
520 $a This dissertation studies the role of financial flows on asset prices and the real economy. In the first two chapters, we study their effect on asset prices: housing and the yield curve. These chapters highlight two mechanisms through which capital flows affect risk premia: they drive down risk compensation through a decline in risk-aversion, but they can also increase it, crowding out domestic agents from safe bond markets. The final chapter focuses on the effects of financial markets on firms' export decisions.
520 $a In the first chapter, we quantify the contribution of the net purchases of U.S. Treasuries by foreign governments to the observed decline in long-term yields and the term premium over the recent decade. We develop a consumption-based model with habit preferences and calibrate it to U.S. data. Our results suggest that foreign purchases decreased long-term yields significantly over this period, with a third of this change explained by a term premium drop. Foreign purchases increase consumption above the habit which depresses risk-aversion, therefore decreasing the term premium.
520 $a The second chapter researches the role of capital flows in driving the boom-bust cycle on house prices. We argue that changes in international capital flows played a negligible role in driving house prices during this episode, and that the main cause was a financial market liberalization and its reversal. Capital flows increase risk premia by crowding out domestic agents from safe assets markets, counteracting the interest rates decline. A bank survey measure of credit supply explains 53 percent of house price growth variation in the U.S. from 1992 to 2010.
520 $a In the last chapter, we examine the role of financial frictions as a barrier to international trade, focusing on the dynamics of new exporters to identify how collateral constraints affect export decisions. We study an economy with heterogeneous firms subject to financing constraints and working capital requirements, and calibrate it using Chilean plant-level data. In contrast to standard models of international trade with sunk export entry costs, our model can account for the new exporter dynamics. Financial frictions reduce the impact of trade liberalization, suggesting they constitute an important trade barrier.
590 $a School code: 0146.
650 4 $a Economic theory. $3 1556984
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710 2 $a New York University. $b Economics. $3 1032403
773 0 $t Dissertation Abstracts International $g 76-04A(E).
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791 $a Ph.D.
792 $a 2014
793 $a English
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