UMD Theses and Dissertations
Permanent URI for this collectionhttp://hdl.handle.net/1903/3
New submissions to the thesis/dissertation collections are added automatically as they are received from the Graduate School. Currently, the Graduate School deposits all theses and dissertations from a given semester after the official graduation date. This means that there may be up to a 4 month delay in the appearance of a given thesis/dissertation in DRUM.
More information is available at Theses and Dissertations at University of Maryland Libraries.
Browse
3 results
Search Results
Item Essays on Wholesale Banking and the Macro-economy(2020) Wang, Shanxiao; Shea, John; Economics; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)This dissertation studies how the wholesale banking sector impacts the real economy. As the wholesale banking sector is more sensitive to market conditions compared to the traditional retail banking sector, I investigate how changes in asset return uncertainty can induce fluctuations in real activities through the two sectors in different manners. In the first chapter, I first document empirically the evolution of bank assets and leverage ratios separately for the wholesale banking sector and the retail banking sector and highlight their differences. Secondly, I propose a theoretical framework that distinctly models two different types of banks to explain the relative growth of wholesale banks and the difference between types of banks in the behavior of leverage. I then investigate the implications of the size of wholesale banking for the business cycle volatility of the real economy. The wholesale banking sector has grown drastically since the 1980s and is more volatile in the data compared to the retail sector. In the model, wholesale banks are more sensitive to risk shocks relative to retail banking due to a difference in the leverage constraint, which leads to more volatile aggregate capital, investment, and output when the wholesale banking sector is more sizable. The second chapter explores empirically the role of financial intermediaries in the link between macroeocnomic uncertainty and aggregate economic outcomes, with a focus on bank leverage ratios. In VAR models including bank balance sheet variables for both retail and wholesale banking sectors, increased levels of aggregate uncertainty significantly reduce bank leverage ratios and bank assets, and subsequently reduce aggregate investment and production. Compared to traditional retail banking sector, wholesale banking sector is especially sensitive to changes in macro-uncertainty and therefore plays a more important role in this channel.Item Two Essays in Macroeconomics(2010) Wu, Dong; Shea, John; Economics; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)Castro and Coen-Pirani (2008) document that aggregate skilled hours and employment both became more volatile after the mid-1980s, in contrast to the simultaneous volatility decline of most aggregates, including overall hours and employment and unskilled hours and employment. In chapter 1, I propose that rising efficiency in matching skilled workers to vacancies accounts for this change. The rise of general-purpose information technology made the skills of well-educated workers more transferable across firms and industries, and this increased the suitability of unemployed skilled workers for a broader range of job vacancies. In turn this implies a larger increase in the flow of skilled labor into employment during economic booms. This causes skilled aggregates to be more volatile. I embed a simple search and matching mechanism in a typical dynamic general equilibrium model to demonstrate this idea. The purpose of chapter 2 is to explore the contribution of capital-skill complementarity to short-run employment fluctuations. Given that such complementarity is a leading explanation for long-run changes in the skill premium, it is interesting to check its short-run implications for employment volatility. The numerical results show that complementarity can make skilled employment more volatile than the unskilled, but it can not improve standard DSGE models' implications for overall labor market' volatility.Item ESSAYS ON HOUSING INVESTMENTS IN EMERGING MARKETS(2009) Qi, Zhikun; Vegh, Carlos; Economics; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)New residential construction is significantly more procyclical in emerging markets than in developed countries, although the correlation between aggregate investment and output is similar across emerging and developed countries. This paper shows that a multi-sector stochastic growth model with a housing production sector can explain this fact. The key feature of the model is that housing demand depends on the cyclical behavior of consumption of tradable goods, which is much more volatile in emerging markets. Therefore, when a positive productivity shock hits the economy, the larger response of consumption of tradable goods implies that it is more attractive for consumers in emerging markets to purchase housing than it is for consumers in developed countries. This paper considers various factors that contribute to the large variability of consumption in emerging markets, and finds that larger trend growth rate shocks in emerging markets than in developed countries are quantitatively important. The reason is that a positive productivity shock signals even higher productivity in the future with large growth rate shocks, so the current consumption response is large and the return to housing investment is high. While qualitatively the model matches the differences in the cyclicality of new residential construction across emerging markets and developed countries, quantitatively the model underestimates this comovement and the volatilities in housing investment in emerging markets. Furthermore, international interest rate shocks highly correlated with productivity shocks are very important in explaining the large swings in housing investment in emerging markets. Interest rate shocks work through three channels to affect housing investment: the direct `mortgage rate' effect, the indirect effect through increasing non-housing consumption and the supply effect due to the working capital constraint. Quantitatively, the direct `mortgage rate' effect is the most important channel. When the housing asset acts as collateral to reduce household's financing costs, it provides an empirically important mechanism to amplify and propagate interest rate shocks over the business cycle. The reason is that housing prices and interest rates reinforce with each other to generate more procyclical housing investment and more volatile consumption and output.