Essays in Financial Economics
<p>This dissertation consists of three chapters discussing issues in the field of financial economics. The first two chapters are largely empirical; the third chapter is mainly theoretical.</p> <p>In the first chapter (co-authored with Andrew Meldrum and Wen Yan) we develop a mod...
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| Format: | Thesis |
| Language: | English |
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2020
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| _version_ | 1797080703750373376 |
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| author | Eguren-Martin, F |
| author2 | Ferrero, A |
| author_facet | Ferrero, A Eguren-Martin, F |
| author_sort | Eguren-Martin, F |
| collection | OXFORD |
| description | <p>This dissertation consists of three chapters discussing issues in the field of financial economics. The first two chapters are largely empirical; the third chapter is mainly theoretical.</p>
<p>In the first chapter (co-authored with Andrew Meldrum and Wen Yan) we develop a model for pricing hypothetical financial instruments that have their pay-offs tied to the evolution of a country's gross domestic product (GDP) growth ('GDP-linked bonds'). We first develop a no-arbitrage pricing model for these bonds in line with those applied to other financial securities. Absent data on actual prices given lack of trading, we device an alternative empirical strategy for estimation of our model. This strategy entails inferring the risk profile of GDP from a second term-structure model, this time of 'zero-coupon' equities, which can be taken to the data. After estimating the prices of GDP-linked bonds we decompose them into their components (including GDP growth expectations and GDP risk premia) and study their time series and term structure dynamics.</p>
<p>In the second chapter (co-authored with Matias Ossandon-Busch and Dennis Reinhardt) we study the effect of price dislocations in the market for foreign currency (FX) swaps, an important source of funding for banks, on cross-border bank lending. Armed with a detailed balance sheet level dataset for banks operating from the UK, we examine how ex-ante exposure to FX swap-based funding affects the reaction of banks cross-border positions in the face of the mentioned dislocations in pricing. We also explore the role of potential shielding factors, including banks' reliance on intra-group funding. </p>
<p>In the third chapter I develop a theoretical macroeconomic model featuring shocks to the availability of FX funding for banks (`dollar shortage shocks') and central bank swap lines as a monetary policy tool. First, I show that dollar shortage shocks can have significant negative consequences for macroeconomic aggregates by affecting bank lending. Second, I show how the availability of central bank swap lines, through which the local central bank can access foreign currency, can attenuate the negative consequences of dollar shortage shocks on the macroeconomy. </p> |
| first_indexed | 2024-03-07T01:03:54Z |
| format | Thesis |
| id | oxford-uuid:8aabe305-f21c-4043-a1a5-104c7a615770 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T01:03:54Z |
| publishDate | 2020 |
| record_format | dspace |
| spelling | oxford-uuid:8aabe305-f21c-4043-a1a5-104c7a6157702022-03-26T22:33:02ZEssays in Financial EconomicsThesishttp://purl.org/coar/resource_type/c_db06uuid:8aabe305-f21c-4043-a1a5-104c7a615770international financebankingmacroeconomicsEnglishHyrax Deposit2020Eguren-Martin, FFerrero, AOssandon Busch, MReinhardt, DMeldrum, AYan, W<p>This dissertation consists of three chapters discussing issues in the field of financial economics. The first two chapters are largely empirical; the third chapter is mainly theoretical.</p> <p>In the first chapter (co-authored with Andrew Meldrum and Wen Yan) we develop a model for pricing hypothetical financial instruments that have their pay-offs tied to the evolution of a country's gross domestic product (GDP) growth ('GDP-linked bonds'). We first develop a no-arbitrage pricing model for these bonds in line with those applied to other financial securities. Absent data on actual prices given lack of trading, we device an alternative empirical strategy for estimation of our model. This strategy entails inferring the risk profile of GDP from a second term-structure model, this time of 'zero-coupon' equities, which can be taken to the data. After estimating the prices of GDP-linked bonds we decompose them into their components (including GDP growth expectations and GDP risk premia) and study their time series and term structure dynamics.</p> <p>In the second chapter (co-authored with Matias Ossandon-Busch and Dennis Reinhardt) we study the effect of price dislocations in the market for foreign currency (FX) swaps, an important source of funding for banks, on cross-border bank lending. Armed with a detailed balance sheet level dataset for banks operating from the UK, we examine how ex-ante exposure to FX swap-based funding affects the reaction of banks cross-border positions in the face of the mentioned dislocations in pricing. We also explore the role of potential shielding factors, including banks' reliance on intra-group funding. </p> <p>In the third chapter I develop a theoretical macroeconomic model featuring shocks to the availability of FX funding for banks (`dollar shortage shocks') and central bank swap lines as a monetary policy tool. First, I show that dollar shortage shocks can have significant negative consequences for macroeconomic aggregates by affecting bank lending. Second, I show how the availability of central bank swap lines, through which the local central bank can access foreign currency, can attenuate the negative consequences of dollar shortage shocks on the macroeconomy. </p> |
| spellingShingle | international finance banking macroeconomics Eguren-Martin, F Essays in Financial Economics |
| title | Essays in Financial Economics |
| title_full | Essays in Financial Economics |
| title_fullStr | Essays in Financial Economics |
| title_full_unstemmed | Essays in Financial Economics |
| title_short | Essays in Financial Economics |
| title_sort | essays in financial economics |
| topic | international finance banking macroeconomics |
| work_keys_str_mv | AT egurenmartinf essaysinfinancialeconomics |