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Essays in Financial Stability and th...

Kozak, Jan.

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Essays in Financial Stability and the Public Sector.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Financial Stability and the Public Sector./
作者:	Kozak, Jan.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
面頁冊數:	157 p.
附註:	Source: Dissertation Abstracts International, Volume: 80-05(E), Section: A.
Contained By:	Dissertation Abstracts International80-05A(E).
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10932991
ISBN:	9780438756120

Essays in Financial Stability and the Public Sector.
Kozak, Jan.

Essays in Financial Stability and the Public Sector. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 157 p.

Source: Dissertation Abstracts International, Volume: 80-05(E), Section: A.

Thesis (Ph.D.)--The University of Chicago, 2018.

The first chapter of the thesis focuses on the analysis of macroprudential stability and financial regulation across multiple regions. I assess key challenges arising in context of policy design, especially real-time measurement of systemic financial risk, and application of higher-frequency data which may act as leading indicators thereof. The contributions are manifold: Firstly, I present a statistical methodology to calculate a real-time, market-based financial stability measure (FSM), summarizing systemic macroprudential risk in a single synthetic index. The index construction introduces a model for dynamic dependence structures. As such, the FSM exhibits several statistical advantages. It circumvents common sources for biases in the application of market-based asset prices of credit products such as CDS, which represent a widespread tool in financial stability assessments vis-a-vis the banking sector. The FSM reduces biases arising from non-separable counterparty and liquidity risk premiums, as well as potential errors in probability measure conversions. Secondly, Bayesian Granger-Causal-Priority analysis provides guidance about which type of data policy makers should focus on collecting for a timely assessment of systemic risk. For the case of the Euro Area, the results suggest that a subset of credit market indicators, in combination with money market variables, are most relevant when it comes to building models to assess rising risk of systemic financial stress ahead of time. Another observation relates to the significance of global factors for the Euro Area, particularly spillovers from capital market-centric economies such as the US.

ISBN: 9780438756120Subjects--Topical Terms:

517137
Economics.

Essays in Financial Stability and the Public Sector.
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520 $a The second chapter of the thesis outlines a game design aimed to analyze partnerships of public and private sector institutions in the context of public goods provision. The key contribution of the framework relates to a systematic approach how to study the role of non-standard preferences when agents representing the public sector collaborate with some, but compete against other agents representing private sector firms for production factors. The theoretical part focuses on the effect of non-standard preferences in a multi-period setting. If public sector agents incorporate fairness preferences into their decisions and send credible signals about those to their counterparties, a welfare maximizing first-best outcome can be attained.
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