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Essays in Macroeconomics and Finance.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Macroeconomics and Finance./
作者:	Bejarano, Jeremiah.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
面頁冊數:	109 p.
附註:	Source: Dissertations Abstracts International, Volume: 83-02, Section: A.
Contained By:	Dissertations Abstracts International83-02A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28418139
ISBN:	9798516956638

Essays in Macroeconomics and Finance.
Bejarano, Jeremiah.

Essays in Macroeconomics and Finance. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 109 p.

Source: Dissertations Abstracts International, Volume: 83-02, Section: A.

Thesis (Ph.D.)--The University of Chicago, 2021.

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

In the first chapter of my dissertation, I characterize the relationship between dividend dynamics and the term structure of equity risk premia. Within a class of log-linear asset pricing models, I show that the risk exposure associated with dividend futures is equal to the impulse response function of dividends and that the average slope of the term structure depends on the relationship between the permanent and transitory components of dividends. Going beyond the class of log-linear models, I then explore the consequences of adding a transitory, mean-reverting component to dividend dynamics within several classic asset pricing models, such as the extended consumption capital asset pricing model and an external habits model. Recent empirical evidence suggests that the term structure of equity may be downward sloping on average, which is at odds with the traditional specification of many common asset pricing models. I show that this potential discrepancy can be reconciled by adjusting cash flow growth dynamics in the proposed way. In the second chapter of my dissertation, I argue that the term structure of equity as characterized by expected holding period returns on dividend strips can be used as a diagnostic to evaluate the quantity dynamics that arise in a macroeconomic model. For instance, as shown in the first chapter, the risk exposures associated with dividend futures are equal to the impulse responses of aggregate consumption with respect to the underlying shocks. As an application, I derive the asset pricing implications of a multi-sector production network model and use this to shed light on relative importance of idiosyncratic and aggregate total factor productivity (TFP) shocks. Though aggregate TFP in the U.S. over the last 60 years has grown approximately 1.4 percent annually, these gains have been dispersed across individual sectors, with some sectors even seeing substantial declines. This dispersion is either the result of idiosyncratic sectoral shocks or aggregate shocks that shift the composition of the economy without necessarily affecting long-run aggregate output. Decomposing the contribution of each shock to this term structure of equity, I show that the shift shocks contribute to a downward sloping term structure of equity while others contribute to an upward sloping term structure. Thus, imposing a downward sloping term structure in this model amounts to putting a lower bound on the contribution of aggregate shifts relative to other shocks.

ISBN: 9798516956638Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Asset pricing

Essays in Macroeconomics and Finance.
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100 1 $a Bejarano, Jeremiah. $3 3688694
245 1 0 $a Essays in Macroeconomics and Finance.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2021
300 $a 109 p.
500 $a Source: Dissertations Abstracts International, Volume: 83-02, Section: A.
500 $a Advisor: Uhlig, Harald.
502 $a Thesis (Ph.D.)--The University of Chicago, 2021.
506 $a This item must not be sold to any third party vendors.
520 $a In the first chapter of my dissertation, I characterize the relationship between dividend dynamics and the term structure of equity risk premia. Within a class of log-linear asset pricing models, I show that the risk exposure associated with dividend futures is equal to the impulse response function of dividends and that the average slope of the term structure depends on the relationship between the permanent and transitory components of dividends. Going beyond the class of log-linear models, I then explore the consequences of adding a transitory, mean-reverting component to dividend dynamics within several classic asset pricing models, such as the extended consumption capital asset pricing model and an external habits model. Recent empirical evidence suggests that the term structure of equity may be downward sloping on average, which is at odds with the traditional specification of many common asset pricing models. I show that this potential discrepancy can be reconciled by adjusting cash flow growth dynamics in the proposed way. In the second chapter of my dissertation, I argue that the term structure of equity as characterized by expected holding period returns on dividend strips can be used as a diagnostic to evaluate the quantity dynamics that arise in a macroeconomic model. For instance, as shown in the first chapter, the risk exposures associated with dividend futures are equal to the impulse responses of aggregate consumption with respect to the underlying shocks. As an application, I derive the asset pricing implications of a multi-sector production network model and use this to shed light on relative importance of idiosyncratic and aggregate total factor productivity (TFP) shocks. Though aggregate TFP in the U.S. over the last 60 years has grown approximately 1.4 percent annually, these gains have been dispersed across individual sectors, with some sectors even seeing substantial declines. This dispersion is either the result of idiosyncratic sectoral shocks or aggregate shocks that shift the composition of the economy without necessarily affecting long-run aggregate output. Decomposing the contribution of each shock to this term structure of equity, I show that the shift shocks contribute to a downward sloping term structure of equity while others contribute to an upward sloping term structure. Thus, imposing a downward sloping term structure in this model amounts to putting a lower bound on the contribution of aggregate shifts relative to other shocks.
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650 4 $a Finance. $3 542899
650 4 $a Futures. $3 657649
650 4 $a Approximation. $3 3560410
650 4 $a Prices. $3 652651
653 $a Asset pricing
653 $a Macroeconomics
653 $a Networks
653 $a Risk premia
690 $a 0501
690 $a 0508
710 2 $a The University of Chicago. $b Economics. $3 1672980
773 0 $t Dissertations Abstracts International $g 83-02A.
790 $a 0330
791 $a Ph.D.
792 $a 2021
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28418139