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Essays in Macroeconomics.

Selezneva, Veronika.

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Essays in Macroeconomics.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Macroeconomics./
作者:	Selezneva, Veronika.
面頁冊數:	311 p.
附註:	Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
Contained By:	Dissertation Abstracts International77-10A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10117260
ISBN:	9781339786636

Essays in Macroeconomics.
Selezneva, Veronika.

Essays in Macroeconomics. - 311 p.

Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.

Thesis (Ph.D.)--Northwestern University, 2016.

The first part of this dissertation explores the effects of financial innovation on welfare and market efficiency. In Chapter 1 I focus on new financial instruments that bundle existing securities such as mutual funds and exchange traded products. I study how introduction of such instruments changes the trading behavior of market participants, and show the implications for the efficiency of the financial market. Chapter 2 further expands the investigation by allowing for interaction between financial and real markets. In particular, real effects of such instruments when introduced in the commodities market are studied, and detrimental effects of financial innovation on welfare of real sector agents are shown. The second part of the dissertation studies distributional effects of monetary policy.

ISBN: 9781339786636Subjects--Topical Terms:

1556984
Economic theory.

Essays in Macroeconomics.
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300 $a 311 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
500 $a Adviser: Matthias Doepke.
502 $a Thesis (Ph.D.)--Northwestern University, 2016.
520 $a The first part of this dissertation explores the effects of financial innovation on welfare and market efficiency. In Chapter 1 I focus on new financial instruments that bundle existing securities such as mutual funds and exchange traded products. I study how introduction of such instruments changes the trading behavior of market participants, and show the implications for the efficiency of the financial market. Chapter 2 further expands the investigation by allowing for interaction between financial and real markets. In particular, real effects of such instruments when introduced in the commodities market are studied, and detrimental effects of financial innovation on welfare of real sector agents are shown. The second part of the dissertation studies distributional effects of monetary policy.
520 $a In Chapter 1 I argue that while the creation of assets that bundle existing securities has advantages such as lowering transaction costs, there can also be negative side effects. Investment in the new instrument may reveal information about future demand for the underlying securities, as the fund managing the instrument often needs to mechanically rebalance its position. Informed arbitrageurs may trade, exploiting their knowledge of this rebalancing. In general equilibrium, this trading activity can make the price of the underlying securities less informative and more sensitive to rebalancing shocks. I show that this loss of information may outweigh the direct gains from lower transaction costs that uninformed investors achieve. So welfare of uninformed investors may be lower. I argue that the potential effect on the market for the underlying securities may be substantial. To illustrate the mechanism, I analyze two episodes of financial innovations in the oil and volatility markets. The magnitude of the effect can be gauged by the fact that introduction of the new instrument in the oil market led to a temporary violation of a no-physical arbitrage condition. Financial innovation has been particularly important in the commodities markets. Chapter 2 aims to study whether increased participation on the commodities market, known as financialization, may have had any detrimental effects on the real economy. We document that financialization took a form of investment in short-term futures contracts that require regular replacement. Thus, financialization exposes the financial market to a stream of demand shocks, associated with replacement activity. If arbitrage is limited by risk aversion of financial traders, rebalancing shocks are not fully absorbed and move futures prices. Because producers use futures contracts to hedge, and in dispersed information setup all agents learn from the futures market, financialization shocks propagate to the real economy. We introduce inventories to diminish the price discovery role of the financial market. The media views inventories to be key to understanding what is happening in the commodity market. But we show that financialization shocks propagate to inventories as well through the physical arbitrage conducted by midstream firms. We study welfare implications and show detrimental effects of financialization on real sector agents, especially on producers. We use the results to argue that unprecedented build up in oil inventories in 2015-2016 could be due to trading activity in the oil futures market, but was misinterpreted by the market participants as a sign of oil supply glut.
520 $a Finally, Chapter 3 quantitatively assesses distributional effects of monetary policy. We use a life cycle model with housing to compute the response of the U.S. household sector to an increase in the Federal Reserve's inflation target. We find than an increase in nominal interest rates generated by higher expected inflation has sizable and heterogeneous welfare effects. Moreover, the responses of winners and losers do not cancel out; instead the policy announcement has persistent effects on aggregate consumption and house prices that propagate through the distribution of wealth.
590 $a School code: 0163.
650 4 $a Economic theory. $3 1556984
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710 2 $a Northwestern University. $b Economics. $3 1020895
773 0 $t Dissertation Abstracts International $g 77-10A(E).
790 $a 0163
791 $a Ph.D.
792 $a 2016
793 $a English
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