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Essays on Macroeconomics and Finance.

Greenwald, Daniel L.

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Essays on Macroeconomics and Finance.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Macroeconomics and Finance./
作者:	Greenwald, Daniel L.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:	175 p.
附註:	Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.
Contained By:	Dissertation Abstracts International78-04A(E).
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10188538
ISBN:	9781369331615

Essays on Macroeconomics and Finance.
Greenwald, Daniel L.

Essays on Macroeconomics and Finance. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 175 p.

Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.

Thesis (Ph.D.)--New York University, 2016.

This dissertation consists of two essays at the intersection of macroeconomics and finance. The first chapter, "The Mortgage Credit Channel of Macroeconomic Transmission," investigates if, how, and when mortgage credit growth propagates and amplifies shocks to the macroeconomy, and evaluates the implications of these dynamics for monetary and macroprudential policy. In this chapter, I develop a general equilibrium framework with endogenous prepayment decisions by borrowers and two credit constraints: a loan-to-value constraint, and a limit on the ratio of mortgage payments to income. This realistic structure delivers powerful transmission from interest rates, into mortgage credit growth, house prices and aggregate demand. The keys to transmission are a constraint switching effect through which changes in which constraint binds for borrowers cause large movements in house prices, and a frontloading effect through which waves of prepayment transmit movements in credit limits into the real economy. Monetary policy is more effective at stabilizing inflation due to this channel, but contributes to larger fluctuations in credit growth. A relaxation of payment-to-income standards alone, calibrated to loan level data, can generate nearly half of the observed increase in price-rent (38%) and debt-to-household income (47%) ratios, while relaxation of loan-to-value standards generates a much smaller boom. A cap on payment-to-income ratios, not loan-to-value ratios, is found to be the more effective macroprudential policy for limiting boom-bust cycles.

ISBN: 9781369331615Subjects--Topical Terms:

517137
Economics.

Essays on Macroeconomics and Finance.
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500 $a Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.
500 $a Adviser: Sydney C. Ludvigson.
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520 $a This dissertation consists of two essays at the intersection of macroeconomics and finance. The first chapter, "The Mortgage Credit Channel of Macroeconomic Transmission," investigates if, how, and when mortgage credit growth propagates and amplifies shocks to the macroeconomy, and evaluates the implications of these dynamics for monetary and macroprudential policy. In this chapter, I develop a general equilibrium framework with endogenous prepayment decisions by borrowers and two credit constraints: a loan-to-value constraint, and a limit on the ratio of mortgage payments to income. This realistic structure delivers powerful transmission from interest rates, into mortgage credit growth, house prices and aggregate demand. The keys to transmission are a constraint switching effect through which changes in which constraint binds for borrowers cause large movements in house prices, and a frontloading effect through which waves of prepayment transmit movements in credit limits into the real economy. Monetary policy is more effective at stabilizing inflation due to this channel, but contributes to larger fluctuations in credit growth. A relaxation of payment-to-income standards alone, calibrated to loan level data, can generate nearly half of the observed increase in price-rent (38%) and debt-to-household income (47%) ratios, while relaxation of loan-to-value standards generates a much smaller boom. A cap on payment-to-income ratios, not loan-to-value ratios, is found to be the more effective macroprudential policy for limiting boom-bust cycles.
520 $a The second chapter, "Origins of Stock Market Fluctuations," coauthored with Martin Lettau and Sydney C. Ludvigson, asks which factors drive movements in the stock market at different time horizons. We empirically measure three mutually uncorrelated economic disturbances that explain 85% of the quarterly variation in real stock market wealth since 1952. A model is employed to interpret these disturbances in terms of three latent primitive shocks. In the short run, shocks that affect the willingness to bear risk independently of macroeconomic fundamentals explain most of the variation in the market. In the long run, the market is profoundly affected by shocks that reallocate the rewards of a given level of production between workers and shareholders. Productivity shocks play a small role in historical stock market fluctuations at all horizons.
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