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Essays in Financial Economics and Ma...

Szkup, Michal.

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Essays in Financial Economics and Macroeconomic Theory.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays in Financial Economics and Macroeconomic Theory./
Author:	Szkup, Michal.
Description:	234 p.
Notes:	Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.
Contained By:	Dissertation Abstracts International76-01A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3635310
ISBN:	9781321162974

Essays in Financial Economics and Macroeconomic Theory.
Szkup, Michal.

Essays in Financial Economics and Macroeconomic Theory. - 234 p.

Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.

Thesis (Ph.D.)--New York University, 2014.

This item must not be sold to any third party vendors.

Recent developments in the theory of global games allow economists to build models that not only capture the self-fulfilling nature of crises but also provide sharp policy recommendations. In this dissertation I extend these tools and then use them to study rollover risk and sovereign default.

ISBN: 9781321162974Subjects--Topical Terms:

542899
Finance.

Essays in Financial Economics and Macroeconomic Theory.
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020 $a 9781321162974
035 $a (MiAaPQ)AAI3635310
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100 1 $a Szkup, Michal. $3 3177780
245 1 0 $a Essays in Financial Economics and Macroeconomic Theory.
300 $a 234 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.
500 $a Adviser: Douglas Gale.
502 $a Thesis (Ph.D.)--New York University, 2014.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be added to any third party search indexes.
520 $a Recent developments in the theory of global games allow economists to build models that not only capture the self-fulfilling nature of crises but also provide sharp policy recommendations. In this dissertation I extend these tools and then use them to study rollover risk and sovereign default.
520 $a In the first chapter I introduce costly information acquisition into the standard global game model. In the model agents have the opportunity to improve the precision of their private signal, at a cost, before playing the coordination game. I show that only symmetric equilibria exist and I provide sufficient conditions for uniqueness. Under these conditions, I find that the unique symmetric equilibrium of the game is inefficient. Finally, I study the effects of increased transparency on information acquisition and coordination.
520 $a In the second chapter I investigate interactions between rollover risk and debt overhang in a setting where creditors face coordination issues. I find that lack of investors' coordination has strong effects on borrower's and investors' decisions. As coordination problems become more severe investors are less willing to roll over short-term debt and as a result the borrower shifts towards long-term debt. I also find that in the presence of rollover risk short-term debt leads to stronger debt overhang. Finally, I use the model to study the effects of a sudden deterioration in secondary capital markets on the debt maturity structure, face value of debt and default decisions.
520 $a In the third chapter I develop a model of self-fulfilling debt crises and use it to study the effectiveness of various government policies in preventing such crises. In the model, a crisis is a result of the interaction between bad fundamentals and self-fulfilling expectations of households and lenders. I solve the model using the global games approach and analyze policy proposals directed at preventing debt crises, such as, an increase in taxes, spending cuts and fiscal stimulus. I explain the costs and benefits associated with each policy, provide conditions under which these policies decrease or increase probability of default, and investigate their welfare implications.
590 $a School code: 0146.
650 4 $a Finance. $3 542899
650 4 $a Economic theory. $3 1556984
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690 $a 0511
710 2 $a New York University. $b Economics. $3 1032403
773 0 $t Dissertation Abstracts International $g 76-01A(E).
790 $a 0146
791 $a Ph.D.
792 $a 2014
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3635310