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You searched for +publisher:"Cornell University" +contributor:("Mitra, Tapan"). Showing records 1 – 2 of 2 total matches.

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Cornell University

1. Kang, Min-Wook. Price Level Volatility And Incomplete Financial Markets .

Degree: 2013, Cornell University

Money is one of the most important elements in the modern economy, but it has a critical disadvantage; it is vulnerable to in‡ ation and in‡ ation uncertainty, mainly due to unstable monetary policies or market psychology (sunspots). The main focus of this dissertation is to investigate the impact of …nancial innovation or …scal policies on welfare and asset prices when the economy is contaminated by in‡ ation volatility. This dissertation consists of four essays. The …rst essay investigates an economy with incomplete …nancial markets as described by Cass (1989), where there is typically a continuum of equilibria driven by sunspots. In this essay, I de…ne price volatility in a natural way and take it as a parameter of a derived economy. I show that for each level of price volatility, there is a unique regular sunspot-economy. Typically, there is no Pareto ranking among the di¤erent sunspot economies. However, I consider a compensation test based on balanced lump-sum tax-transfer plans that are implemented in period 0 and denominated in money or commodities. This test reveals that lower volatility economies are generically Kaldor-Hicks superior to higher volatility economies. The …ndings imply that Kaldor-Hicks e¢ ciency is achieved through sunspot-stabilizing policies. The second essay introduces a sunspots-economy where both money and in‡ ation-indexed bond markets are active. The model of the economy is exactly the same as Cass'(1989) GEI model with the addition of the indexed bonds. MasColell (1992) and Goenka and Prechac (2006) have shown that …nancial markets can be immune to sunspots by introducing real securities such as in‡ ation-indexed bonds. However, the introduction of these real securities results in a complete shutdown of nominal …nancial markets. To resolve this unrealistic outcome, I assume that a transaction cost in intermediating indexed bonds exists. This paper shows that the market for money is always active with the transaction costs of indexed bonds. I also show that these bonds have a greater opportunity to be actively traded as the market has higher in‡ ation volatility. The third essay introduces a two-period monetary general equilibrium model with proportional transaction costs on nominal and in‡ ation-indexed bonds. The main focus of this essay is to investigate the impact of introducing in‡ ation-indexed bonds on nominal interest rates and the welfare of savers and borrowers. I demonstrate that this …nancial innovation on indexed bonds causes equilibrium interest rates of nominal securities to increase when agents have precautionary saving motives. This result implies that ignoring precautionary motives would underestimate savers'welfare gain and overestimates borrowers'welfare gain from innovation on indexed bonds. I show the main results of this paper by incorporating …nancial transaction costs and unstable monetary policies in the GE model and provide the rigorous proofs for existence and uniqueness of the equilibrium. I also provide the comparative statics of bond trading volume with… Advisors/Committee Members: Mitra, Tapan (committeeMember), Tsyrennikov, Viktor (committeeMember).

Subjects/Keywords: Price level volatility; Financial innovation; Incomplete financial markets

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APA (6th Edition):

Kang, M. (2013). Price Level Volatility And Incomplete Financial Markets . (Thesis). Cornell University. Retrieved from http://hdl.handle.net/1813/34051

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kang, Min-Wook. “Price Level Volatility And Incomplete Financial Markets .” 2013. Thesis, Cornell University. Accessed August 03, 2020. http://hdl.handle.net/1813/34051.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kang, Min-Wook. “Price Level Volatility And Incomplete Financial Markets .” 2013. Web. 03 Aug 2020.

Vancouver:

Kang M. Price Level Volatility And Incomplete Financial Markets . [Internet] [Thesis]. Cornell University; 2013. [cited 2020 Aug 03]. Available from: http://hdl.handle.net/1813/34051.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kang M. Price Level Volatility And Incomplete Financial Markets . [Thesis]. Cornell University; 2013. Available from: http://hdl.handle.net/1813/34051

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Cornell University

2. Wang, Yankun. Essays On Financial Frictions And Business Cycles .

Degree: 2011, Cornell University

In this dissertation I explore the relationship between the frictions in a country's financial market and its business cycle movements. It is well known that the financial market is far from perfect, and shocks originating in such market could have sizable impact on the real economy. On the other hand, evolvement in the financial market could also be a reflection of the real economy. For example, economic downturn often leads to high borrowing cost for a country in the international financial market. The essays in this dissertation present an analysis of this two-way relationship, both qualitatively and quantitatively. The first essay studies the link between country credit spreads - defined as the difference between a home country's cost of borrowing from the international credit market and the world riskless interest rate - and the domestic business cycle fluctuations. By combining both empirical and theoretical analysis, this essay shows that deteriorating credit markets are both reflections of a declining economy and a major factor that depresses economic activity. This study uses a quarterly dataset over the period 1972Q1 to 2010Q1 for South Korea. The second essay probes the importance of financial shocks in creating business cycles in the United States. It starts from a theoretical dynamic stochastic generating equilibrium model, which identifies positive financial shocks as those that drag down the corporate net worth while raising domestic output. An empirical analysis later uses this property to identify financial shocks and study their importance in creating business cycle movement for the U.S. in the past fifty years. This property is in stark contrast to technological shocks, which raise both corporate net worth and total output. Advisors/Committee Members: Prasad, Eswar Shanker (committeeMember), Mitra, Tapan (committeeMember), Shell, Karl (committeeMember).

Subjects/Keywords: Business Cycles; Macro-Finance Linkage

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Wang, Y. (2011). Essays On Financial Frictions And Business Cycles . (Thesis). Cornell University. Retrieved from http://hdl.handle.net/1813/30743

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Wang, Yankun. “Essays On Financial Frictions And Business Cycles .” 2011. Thesis, Cornell University. Accessed August 03, 2020. http://hdl.handle.net/1813/30743.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Wang, Yankun. “Essays On Financial Frictions And Business Cycles .” 2011. Web. 03 Aug 2020.

Vancouver:

Wang Y. Essays On Financial Frictions And Business Cycles . [Internet] [Thesis]. Cornell University; 2011. [cited 2020 Aug 03]. Available from: http://hdl.handle.net/1813/30743.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang Y. Essays On Financial Frictions And Business Cycles . [Thesis]. Cornell University; 2011. Available from: http://hdl.handle.net/1813/30743

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.