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1. Bajraj, Gent. Essays in monetary economics.

Degree: 2019, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/16888gub147

This dissertation consists of three chapters on topics in monetary economics. The first chapter, written jointly with Neil Wallace, studies the equilibria that arise in a variant of the economy described by Lucas (1972) by applying strategic formulations of trade. "Expectations..." is the first counter-example to the view that a positive correlation between real output and the growth rate of the stock of money is exploitable. The equilibrium concept is rational-expectations equilibrium. In this chapter, two alternative strategic formulations – two versions of the market-game model – are applied. In one, the young make non-contingent offers of real saving; in the other, they make contingent offers, where the contingency is the realization of the two shocks in the model. Under the informational assumption that the young know nothing about current realizations, neither strategic formulation converges under replication to an equilibrium that exhibits the above positive correlation.
In the second chapter, I study a particular class of monetary equilibria in an exchange economy with individuals of two types whose endowments of the consumption good alternate randomly. I consider a government that commits to a non-discriminatory transfer policy which depends on the aggregate state of the economy only. For a fairly general specification of the model, I prove the existence of such class of equilibria and describe the allocations that result from them. I compare their welfare and establish that no optimal equilibrium exists. An expression for the supremum is found and I am able to describe policies that support equilibria with welfare arbitrarily close to the supremum.
The third chapter, coauthored with Gaston Chaumont, studies a model of a monetary economy that exhibits a non-degenerate distribution of money holdings in equilibrium. The model is a variation on the one due to Menzio, Shi and Sun (2013). We show that if an equilibrium exists, the model preserves some of the key tractability properties that make it amenable to numerical analysis. For illustrative purposes, we exploit these properties to study a family of transfer policies in a particular instance of our model.
*Advisors/Committee Members: Neil Wallace, Dissertation Advisor/Co-Advisor, Neil Wallace, Committee Chair/Co-Chair, Shouyong Shi, Committee Member, James Jordan, Committee Member, Joel Matthew Vanden, Outside Member.*

Subjects/Keywords: market games; phillips curve; directed search

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

APA (6^{th} Edition):

Bajraj, G. (2019). Essays in monetary economics. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/16888gub147

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Bajraj, Gent. “Essays in monetary economics.” 2019. Thesis, Penn State University. Accessed November 28, 2020. https://submit-etda.libraries.psu.edu/catalog/16888gub147.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Bajraj, Gent. “Essays in monetary economics.” 2019. Web. 28 Nov 2020.

Vancouver:

Bajraj G. Essays in monetary economics. [Internet] [Thesis]. Penn State University; 2019. [cited 2020 Nov 28]. Available from: https://submit-etda.libraries.psu.edu/catalog/16888gub147.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bajraj G. Essays in monetary economics. [Thesis]. Penn State University; 2019. Available from: https://submit-etda.libraries.psu.edu/catalog/16888gub147

Not specified: Masters Thesis or Doctoral Dissertation

Penn State University

2. Yang, Hoonsik. ESSAYS ON MONETARY ECONOMIES WITH HETEROGENEOUS-AGENTS.

Degree: 2016, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/0r967373m

This dissertation consists of three essays in monetary economics. Although the topic of each chapter differs, the approach is shared: I extend a random matching model of money by augmenting the set of money holdings, and compute socially desirable allocations in the spirit of mechanism design analysis. The augmentation is not just technically improving the model, but making the model rich enough to think about the economic problem that each chapter delves into. I document some interesting properties of the desirable allocations, and highlight the differences generated by the extension.
Chapter 1. "A beneficial role of government bonds"
I study a random matching model of money to show that the existence of bonds can be beneficial to a society, compared to having only money. In the model, anonymous agents randomly meet in pairs to produce and consume, hence money becomes essential. I compare two identical economies except the availability of bonds, in the sense that people can use any available assets as payments. Following the mechanism design approach, I define implementable allocations and the optimum. Under the notion of the implementability, social planner can devise trading mechanisms that induce people to hold both assets without exogenously given advantages of money as means of payment. I find that having both bonds
and money in the economy can improve social welfare over having only money. This role of bonds is associated with a beneficial effect of inflation produced by lump-sum transfers, and it is achieved differently from the previously documented mechanism.
Chapter 2. "Optimal intervention in a random-matching model of money" (joint with Wataru Nozawa)
Wallace [2014] conjectures that there generically exists an inflation-financed transfer scheme that improves welfare over no intervention in pure-currency economies. We investigate this conjecture in the Shi-Trejos-Wright model with different upper bounds on money holdings. The choice of an upper bound affects the results as some potentially beneficial transfer schemes cannot be studied under small upper bounds. Numerical optima are computed for different degrees of discounting rate and risk aversion. As the upper bound on money holdings increases, optima are more likely to have positive money creation (and inflation),
and this result is in line with the conjecture.
Chapter 3. "Optimal inflation in a model of inside money: A further result" (joint with Wataru Nozawa)
We extend the Deviatov and Wallace [2014] model of inside money in which they find some examples where inflation is beneficial. Their model is restrictive in that it cannot address policies that provide interests on cash (Friedman rule). With a higher upper bound on money holdings than what they use, such policies can be engineered without inflation and resulting allocations are potentially better than what they find, in which case positive inflation is not a property of good allocation. We investigate this possibility and confirm their results in a more generalized setting for some…
*Advisors/Committee Members: Neil Wallace, Dissertation Advisor/Co-Advisor, Neil Wallace, Committee Chair/Co-Chair, Shouyong Shi, Committee Member, Ruilin Zhou, Committee Member, Jenny Li, Outside Member.*

Subjects/Keywords: coexistence of money and bonds; money; inflation

Record Details Similar Records

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

APA (6^{th} Edition):

Yang, H. (2016). ESSAYS ON MONETARY ECONOMIES WITH HETEROGENEOUS-AGENTS. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/0r967373m

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yang, Hoonsik. “ESSAYS ON MONETARY ECONOMIES WITH HETEROGENEOUS-AGENTS.” 2016. Thesis, Penn State University. Accessed November 28, 2020. https://submit-etda.libraries.psu.edu/catalog/0r967373m.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yang, Hoonsik. “ESSAYS ON MONETARY ECONOMIES WITH HETEROGENEOUS-AGENTS.” 2016. Web. 28 Nov 2020.

Vancouver:

Yang H. ESSAYS ON MONETARY ECONOMIES WITH HETEROGENEOUS-AGENTS. [Internet] [Thesis]. Penn State University; 2016. [cited 2020 Nov 28]. Available from: https://submit-etda.libraries.psu.edu/catalog/0r967373m.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yang H. ESSAYS ON MONETARY ECONOMIES WITH HETEROGENEOUS-AGENTS. [Thesis]. Penn State University; 2016. Available from: https://submit-etda.libraries.psu.edu/catalog/0r967373m

Not specified: Masters Thesis or Doctoral Dissertation

Penn State University

3. Zhu, Shengbo. Essays on Financial Economics and Econometrics.

Degree: 2020, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/18113szz126

In a recent seminal paper, Steve Ross proposed an attractive strategy to extract the physical distribution and risk aversion from just state prices. However, empirical papers that try to use his Recovery Theorem almost all lead to a depressing conclusion: the recovery theorem does not work. Both the state-price matrix and the recovered physical transition matrix are unreasonable and highly sensitive to subjective specifications and constraints. Borovička, Hansen and Scheinkman (2016) proposes a widely-accepted explanation for the empirical failure: according to the Hansen-Scheinkman decomposition established in Hansen and Scheinkman (2009), the assumption about the stochastic discount factor in Ross (2015) is equivalent to arbitrarily setting the martingale component to be 1, which is quite unlikely in reality. In Chapter 1, I argue that in contrast to Borovička, Hansen and Scheinkman (2016), the assumption about the stochastic discount factor in Ross (2015) actually does not set the martingale component in the Hansen-Scheinkman decomposition to be 1. What causes the empirical failure is actually a time-homogeneous state-price matrix, which induces quite restrictive implications on the underlying price process and those restrictions are easily violated in reality. In particular, when the underlying price is used as the state variable or as one component
of the state vector, this restriction becomes an eigenvalue equation that contradicts the important eigenvalue equation in Ross (2015), which in this case makes the Recovery Theorem not just empirically implausible, but also logically inconsistent.
Chapter 2 studies the following conceptual question: in what sense is the Fundamental Theorem of Asset Pricing similar to the two-period no-arbitrage theorem (a.k.a., Farkas lemma)? The purpose of studying this question is (1) to study the information that can be extracted from prices of derivatives in a multi-period context, generalizing the result in a two-period case in Breeden and Litzenberger (1978); (2) to find a way
to write down explicitly a multi-period arbitrage process, just as a two-period arbitrage can be written down as a vector. To answer the above conceptual question, I break it down into three more specific questions: (1) How to generalize the concept of states to a multi-period model? (2) How to generalize the concept of state price to a multi-period model? (3) In what sense is a multi-period arbitrage process similar to a two-period arbitrage strategy which is just a vector? The key to answering those questions is to explicitly describe the probability space on which price processes are defined, especially what “information flow” means. I adopt
the canonical probability space (i.e., the space of all possible paths of some price process) and propose to consider the whole path of as the state variable and the “path prices”(i.e., the equivalent martingale measure) as the analogue of state prices. This chapter discusses how we can recover prices of paths using prices of associated derivative securities and…
*Advisors/Committee Members: Andrew Ronald Gallant, Dissertation Advisor/Co-Advisor, Andrew Ronald Gallant, Committee Chair/Co-Chair, Patrik Guggenberger, Committee Member, Keisuke Hirano, Committee Member, Jingzhi Huang, Outside Member, Shouyong Shi, Committee Member, Marc Albert Henry, Program Head/Chair.*

Subjects/Keywords: Ross recovery theorem; equivalent martingale measure; stochastic discount factor; martingale condition; state price; path price; intrinsic inconsistency; implied process; fundamental theorem of asset pricing; canonical probability space; Markovian quasi-MLE; conditional asymptotic independence; mixing condition; near-epoch dependence

Record Details Similar Records

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

APA (6^{th} Edition):

Zhu, S. (2020). Essays on Financial Economics and Econometrics. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/18113szz126

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Zhu, Shengbo. “Essays on Financial Economics and Econometrics.” 2020. Thesis, Penn State University. Accessed November 28, 2020. https://submit-etda.libraries.psu.edu/catalog/18113szz126.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Zhu, Shengbo. “Essays on Financial Economics and Econometrics.” 2020. Web. 28 Nov 2020.

Vancouver:

Zhu S. Essays on Financial Economics and Econometrics. [Internet] [Thesis]. Penn State University; 2020. [cited 2020 Nov 28]. Available from: https://submit-etda.libraries.psu.edu/catalog/18113szz126.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhu S. Essays on Financial Economics and Econometrics. [Thesis]. Penn State University; 2020. Available from: https://submit-etda.libraries.psu.edu/catalog/18113szz126

Not specified: Masters Thesis or Doctoral Dissertation