東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Essays in Financial Economics.

Park, Sunjin.

FindBook

Google Book

Amazon

博客來

Essays in Financial Economics.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Financial Economics./
作者:	Park, Sunjin.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
面頁冊數:	89 p.
附註:	Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
Contained By:	Dissertation Abstracts International78-11A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10269088
ISBN:	9781369875621

Essays in Financial Economics.
Park, Sunjin.

Essays in Financial Economics. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 89 p.

Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.

Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2017.

In the first chapter, titled "Global Macroeconomic Conditional Skewness and the Carry Risk Premium," I show that the time-variation in measures of global growth prospects constructed from the cross-section of individual macroeconomic forecasts can help explain currency markets. I show that conditional expectation and skewness of global economic growth have predictive ability in explaining the quarterly returns to carry trade and that the global skewness measure is particularly important in explaining a large cross-section of currencies. I provide the economic mechanism for the role of cross-sectional skewness in forecasts using a consumption-based asset pricing model with heterogeneous agents. In the second chapter, which is titled "Risk and Return Trade-off in the U.S. Treasury Market," we characterize the risk-return trade-off in the U.S. Treasury market through the lens of a discrete-time term structure model in which the conditional variances of bond yields feature a short-run component and a long-run component. Using Treasury yields data from January 1962 to August 2007, we find that the short-run volatility component of bond yields commands a positive risk premium whereas the long-run volatility component does not. In addition, for short-dated bonds, most of the variations in risk premiums are attributable to investors' changing attitudes toward risks. For longer-dated bonds, risk premiums reflect both the amount of risks bond investors face as well as their tolerance for risks over time.

ISBN: 9781369875621Subjects--Topical Terms:

542899
Finance.

Essays in Financial Economics.
LDR:02443nmm a2200301 4500 001 2158306
005 20180608130008.5
008 190424s2017 ||||||||||||||||| ||eng d
020 $a 9781369875621
035 $a (MiAaPQ)AAI10269088
035 $a (MiAaPQ)unc:17065
035 $a AAI10269088
040 $a MiAaPQ $c MiAaPQ
100 1 $a Park, Sunjin. $3 3346126
245 1 0 $a Essays in Financial Economics.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2017
300 $a 89 p.
500 $a Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
500 $a Adviser: Riccardo Colacito.
502 $a Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2017.
520 $a In the first chapter, titled "Global Macroeconomic Conditional Skewness and the Carry Risk Premium," I show that the time-variation in measures of global growth prospects constructed from the cross-section of individual macroeconomic forecasts can help explain currency markets. I show that conditional expectation and skewness of global economic growth have predictive ability in explaining the quarterly returns to carry trade and that the global skewness measure is particularly important in explaining a large cross-section of currencies. I provide the economic mechanism for the role of cross-sectional skewness in forecasts using a consumption-based asset pricing model with heterogeneous agents. In the second chapter, which is titled "Risk and Return Trade-off in the U.S. Treasury Market," we characterize the risk-return trade-off in the U.S. Treasury market through the lens of a discrete-time term structure model in which the conditional variances of bond yields feature a short-run component and a long-run component. Using Treasury yields data from January 1962 to August 2007, we find that the short-run volatility component of bond yields commands a positive risk premium whereas the long-run volatility component does not. In addition, for short-dated bonds, most of the variations in risk premiums are attributable to investors' changing attitudes toward risks. For longer-dated bonds, risk premiums reflect both the amount of risks bond investors face as well as their tolerance for risks over time.
590 $a School code: 0153.
650 4 $a Finance. $3 542899
650 4 $a Economic theory. $3 1556984
690 $a 0508
690 $a 0511
710 2 $a The University of North Carolina at Chapel Hill. $b Business Administration. $3 1026784
773 0 $t Dissertation Abstracts International $g 78-11A(E).
790 $a 0153
791 $a Ph.D.
792 $a 2017
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10269088