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Macroeconomic and Asset Pricing Impl...

Nguyen, Huong Dieu.

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Macroeconomic and Asset Pricing Implications of Uncertainty, Adaptive Learning and Demographic Changes.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Macroeconomic and Asset Pricing Implications of Uncertainty, Adaptive Learning and Demographic Changes./
作者:	Nguyen, Huong Dieu.
面頁冊數:	100 p.
附註:	Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.
Contained By:	Dissertation Abstracts International77-01A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3721623
ISBN:	9781339032696

Macroeconomic and Asset Pricing Implications of Uncertainty, Adaptive Learning and Demographic Changes.
Nguyen, Huong Dieu.

Macroeconomic and Asset Pricing Implications of Uncertainty, Adaptive Learning and Demographic Changes. - 100 p.

Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.

Thesis (Ph.D.)--Brandeis University, International Business School, 2014.

This thesis consists of three chapters that explore the implications of uncertainty, adaptive learning and demographic changes. The first argues that uncertainty and adaptive learning in the housing market can lead to higher price volatility and persistent estimation errors. Using household survey data from the Panel Studies of Income Dynamics, I document that compared to the actual housing prices in the same state, the households' responses consistently overestimated the growth rate after mid-1990s and exhibited more volatility over the entire period from 1968 to 2011. I am then able to match these empirical facts with a housing model in which households learn over time if a recent change in the market is temporary or permanent. The second chapter uses plant-level data from Chile to study the impact of real exchange rate volatility. The results show that in response to exchange rate uncertainty, manufacturing plants, especially financially constrained ones, reduce the amount of imported intermediate inputs to stabilize production cost. Since imported inputs enhance productivity level, policies that mitigate the effects of real exchange rate volatility and allow better access to external finance can improve welfare. The third chapter explores cross-country variation in demographic changes. I employ a parsimonious polynomial representation of the demographic structure to estimate the effect of each age group on asset returns. The results show that returns on housing and bonds decline as the population ages. Higher degree of risk aversion at old age can explain higher equity premium in a country with relatively older population.

ISBN: 9781339032696Subjects--Topical Terms:

1556984
Economic theory.

Macroeconomic and Asset Pricing Implications of Uncertainty, Adaptive Learning and Demographic Changes.
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245 1 0 $a Macroeconomic and Asset Pricing Implications of Uncertainty, Adaptive Learning and Demographic Changes.
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500 $a Adviser: George J. Hall.
502 $a Thesis (Ph.D.)--Brandeis University, International Business School, 2014.
520 $a This thesis consists of three chapters that explore the implications of uncertainty, adaptive learning and demographic changes. The first argues that uncertainty and adaptive learning in the housing market can lead to higher price volatility and persistent estimation errors. Using household survey data from the Panel Studies of Income Dynamics, I document that compared to the actual housing prices in the same state, the households' responses consistently overestimated the growth rate after mid-1990s and exhibited more volatility over the entire period from 1968 to 2011. I am then able to match these empirical facts with a housing model in which households learn over time if a recent change in the market is temporary or permanent. The second chapter uses plant-level data from Chile to study the impact of real exchange rate volatility. The results show that in response to exchange rate uncertainty, manufacturing plants, especially financially constrained ones, reduce the amount of imported intermediate inputs to stabilize production cost. Since imported inputs enhance productivity level, policies that mitigate the effects of real exchange rate volatility and allow better access to external finance can improve welfare. The third chapter explores cross-country variation in demographic changes. I employ a parsimonious polynomial representation of the demographic structure to estimate the effect of each age group on asset returns. The results show that returns on housing and bonds decline as the population ages. Higher degree of risk aversion at old age can explain higher equity premium in a country with relatively older population.
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