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You searched for +publisher:"University of Arkansas" +contributor:("Tim Yeager"). Showing records 1 – 2 of 2 total matches.

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University of Arkansas

1. Gu, Yiwen. Three Essays on Opacity, Corporate Governance, and Credit Ratings.

Degree: PhD, 2011, University of Arkansas

In the first essay, utilizing a more recent and expanded 20-year sample 1991-2010 of dual-rated bonds issued, I confirm Morgan's (2002) finding that banks are relatively more opaque than nonbanks. The likelihood of a rating split is higher, and the magnitude of the rating gap is larger, for banks than nonnbanks. Moreover, rating agency disagreements are more significant for banks with relatively higher loan and trading securities holdings and maintain lower capital, and for banks engaged in mortgage securitization. Importantly, I find that rating agency disagreements reflect market proxies of information uncertainty. Further, opacity makes external financing more costly. Equity returns surrounding new bond issues are significantly negative on average, and notably lower, when information uncertainty is higher and for banks compared to nonbanks. In the second essay I investigate how corporate governance is related to bank opacity and how bank opacity is related to systematic and systemic risk. It is well known that opaque assets lead to higher systematic risk, which contributes to higher systemic risk. Banks by nature hold a large percentage of opaque assets, but the decision to hold such assets is partly endogenous. Results show that banks with relatively weak corporate governance hold a larger share of opaque assets. Consequently, they operate further along the risk-return frontier and have higher exposure to systemic risk. At the margin, strong corporate governance at publicly traded U.S. banking organizations reduces financial instability. In the third essay I examine if the rating agencies sacrifice the rating timeliness for the sake of rating stability. Credit rating agencies argue that markets expect them to issue stable ratings. Examining equity market reactions around CreditWatch events in 2002-2005, I find that the pursuit of stable rating may have reduced the timeliness of rating changes. Abnormal equity returns of a firm prior to being listed on CreditWatch are effective predictors of the ultimate change in rating that occurs when the firm is listed. Equity markets exhibit no reaction when a firm is delisted from CreditWatch, suggesting information about the rating change is already reflected in equity prices at the time of delisting. Advisors/Committee Members: Wayne Lee, Pu Liu, Tim Yeager.

Subjects/Keywords: Social sciences; Corporate governance; Credit ratings; Opacity; Business Administration, Management, and Operations; Finance; Finance and Financial Management

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

APA (6th Edition):

Gu, Y. (2011). Three Essays on Opacity, Corporate Governance, and Credit Ratings. (Doctoral Dissertation). University of Arkansas. Retrieved from https://scholarworks.uark.edu/etd/127

Chicago Manual of Style (16th Edition):

Gu, Yiwen. “Three Essays on Opacity, Corporate Governance, and Credit Ratings.” 2011. Doctoral Dissertation, University of Arkansas. Accessed October 29, 2020. https://scholarworks.uark.edu/etd/127.

MLA Handbook (7th Edition):

Gu, Yiwen. “Three Essays on Opacity, Corporate Governance, and Credit Ratings.” 2011. Web. 29 Oct 2020.

Vancouver:

Gu Y. Three Essays on Opacity, Corporate Governance, and Credit Ratings. [Internet] [Doctoral dissertation]. University of Arkansas; 2011. [cited 2020 Oct 29]. Available from: https://scholarworks.uark.edu/etd/127.

Council of Science Editors:

Gu Y. Three Essays on Opacity, Corporate Governance, and Credit Ratings. [Doctoral Dissertation]. University of Arkansas; 2011. Available from: https://scholarworks.uark.edu/etd/127


University of Arkansas

2. Ahmad, Saad. Essays on Monetary Policy Rules and Inflation Dynamics.

Degree: PhD, 2016, University of Arkansas

There has been a growing trend to utilize nonlinear models to analyze key issues in monetary policy and international macroeconomics. Using traditional linear models to understand nonlinear relationships can often lead to inaccurate inference and erroneous policy recommendations. The three essays in this dissertation explore nonlinearity in the Federal Reserve’s policy response as well as between a country’s inflation dynamics and integration in the global economy. My aim in accounting for potential nonlinearity is to get a better understanding of the policy makers’ opportunistic approach to monetary policy and evaluate the inflation globalization hypothesis, which basically predicts that global factors will eventually replace the domestic determinants of inflation. In the first essay I develop abroad nonlinear Taylor rule framework, in conjunction with real time data, to examine the Fed’s policy response during the Great Moderation. My flexible framework is also able to convincingly show that the Fed departed from the Taylor rule during key periods in the Great Moderation as well as in the recent financial crisis. The second essay uses a threshold methodology to investigate the importance of nonlinear effects in the analysis of the inflation globalization hypothesis. Finally the third essay investigates the relationship between inflation and globalization, under an open-economy Phillips Curve framework, for a panel of OECD countries with a dynamic panel GMM methodology. Contrary to most of the previous literature, which ignores such nonlinearities, my new approach provides some interesting empirical evidence supportive of the effect globalization has on a country’s inflation dynamics. Advisors/Committee Members: Andrea Civelli, Jingping Gu, Tim Yeager.

Subjects/Keywords: Social sciences; Globalization; Inflation; Nonlinearity; Phillips curve; Taylor rule; Macroeconomics

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

APA (6th Edition):

Ahmad, S. (2016). Essays on Monetary Policy Rules and Inflation Dynamics. (Doctoral Dissertation). University of Arkansas. Retrieved from https://scholarworks.uark.edu/etd/1635

Chicago Manual of Style (16th Edition):

Ahmad, Saad. “Essays on Monetary Policy Rules and Inflation Dynamics.” 2016. Doctoral Dissertation, University of Arkansas. Accessed October 29, 2020. https://scholarworks.uark.edu/etd/1635.

MLA Handbook (7th Edition):

Ahmad, Saad. “Essays on Monetary Policy Rules and Inflation Dynamics.” 2016. Web. 29 Oct 2020.

Vancouver:

Ahmad S. Essays on Monetary Policy Rules and Inflation Dynamics. [Internet] [Doctoral dissertation]. University of Arkansas; 2016. [cited 2020 Oct 29]. Available from: https://scholarworks.uark.edu/etd/1635.

Council of Science Editors:

Ahmad S. Essays on Monetary Policy Rules and Inflation Dynamics. [Doctoral Dissertation]. University of Arkansas; 2016. Available from: https://scholarworks.uark.edu/etd/1635

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