VictorJuiz/thesis huggingface dataset:
Essays in macroeconomics and financial economics [electronic resource]
Keywords: Economics.

This dissertation consists of three essays. The first essay, entitled "Dynamic Market Participation and Endogenous Information Aggregation", studies information aggregation in financial markets with recurrent investor exit and entry. The paper considers a dynamic general equilibrium model of asset trading with private information and collateral constraints. Investors differ in their aversion to Knightian uncertainty: when uncertainty is high, some investors exit the market. Since exiting investors' information is not fully revealed by prices, conditional return volatility and risk premia both increase. I use data on institutional investors' holdings of individual stocks to show that investor exit rates indeed comove with return volatility and help forecast it. The model also implies that exit is more likely when wealth is more concentrated in the hands of less uncertainty averse investors. The model thus predicts more exit toward the end of a long boom, as seen in the data. Moreover, economies with looser collateral constraints should see more volatility due to exit and partial revelation. The second essay, entitled "The (Un)importance of Mobility in the Great Recession", is based on a paper co-authored with Siddharth Kothari and Itay Saporta-Eksten. Unemployment during and after the Great Recession has been persistently high. One concern is that the housing bust reduced mobility and prevented workers from moving for jobs. The paper characterizes flows out of unemployment that are related to mobility to construct an upper bound on the effect of mobility on unemployment between 2007 and 2012. The effect of mobility is always small: Using pre-recession mobility rates, decreased mobility can account for only an 11 basis points increase in the unemployment rate over the period. Using dynamics of renter mobility in this period to calculate homeowner counterfactual mobility, can account for an 8 basis points increase. Using the highest mobility rate observed in the data, reduced mobility accounts for only a 34 basis points increase in the unemployment rate. The third essay, entitled "Long-term Bonds in a Housing Model", looks into a housing model where mortgages are modeled as a long-term bond. Most house purchases in the US are financed through a mortgage with maturity between 15 and 30 years. This essay studies house price dynamics when modeling mortgages as long-term bonds instead of the more standard one-period bond. With this new feature in the model, results show that the equilibrium price-rent ratio and mortgages borrowing are much less sensitive to changes in the interest rates. In addition, the model can generate negative equity, which matches the presence of negative equity in the housing market downturn in data.
Essays in political economics [electronic resource]
Keywords: Business.

This dissertation consists of three self-contained but related chapters addressing topics in empirical political economy. Though the applications differ, the chapters share a common methodological approach: each chapter first develops a microeconomic model of behavior and then estimates the parameters of the model using observational data. The first chapter, "The Informational Content of Campaign Advertising, " examines alternative mechanisms for the influence of political advertising on voter behavior. Using a dataset of advertising exposures and election outcomes in statewide elections, I measure how much of advertising's effectiveness can be attributed to the provision of information to voters, and how much to non-informative or "persuasive" effects. I find small but nontrivial advertising effects, of which almost all can be attributed to the persuasive channel. The second chapter, "Dividing the Dollar with Formulas, " proposes a model of legislative bargaining in which legislators allocate a budget subject to the constraint that allocations must be conditioned on a set of district covariates of limited dimension. I discuss some implications for the structure of coalitions and the outcomes of distributive politics, and then estimate the degree to which this constraint binds in the allocation decisions of the US Congress. I find that formulaic allocation substantially reduces Congress' ability to target funds to politically marginal districts. The final chapter, "Testing Theories of Congressional-Presidential Interaction with Veto Override Rates, " uses data on veto-override votes in Congress to test several game-theoretic models of interactions between the President and Congress. A version of this chapter appears in Political Analysis, vol. 20 (2012), pp. 501-519.
Essays in the economics of education, children and family [electronic resource]
Keywords: Economics.

This dissertation consists of three distinct essays in the economics of education, children and family. The first essay evaluates the effectiveness of carbonated beverage bans in schools by investigating their impact on household carbonated beverage consumption. I match households in Nielsen Homescan Data to their school district's carbonated beverage policies over the last 10 years. I find that when high schools ban the sale of carbonated beverages to students, households with a high school student experiencing the ban increase their consumption of non-diet carbonated beverages by roughly the equivalent of 3.5 cans per month. I present evidence that the average high school student consumes roughly 4.5 cans of non-diet soda per month in school, when carbonated beverages are available. Thus, the results suggest that the drop in student school consumption is substantially offset by increased household consumption. The second essay explores the effectiveness of motivating students to improve their academic performance through conditioning various privileges. I show that conditioning the privilege of going off campus during the school day on certain academic (GPA, test scores, etc.) or behavioral (absences, probation, etc.) criteria improves high school students' test scores and decreases their dropout rates. These results shed light on student incentive programs intended to increase academic performance. The third essay asks how conditioning a monetary benefit on individuals' family status can create distortions, even in individuals' seemingly personal decisions, such as the birth of a child. I exploit a 21-month lag between announcing California's introduction of the first paid parental leave program in the United States and its scheduled implementation to evaluate whether women timed their pregnancies in order to be eligible for the expected benefit. Using natality data, documenting all births in the United States, I show that the distribution of California births in 2004 significantly shifted from the first half of the year to the second half of the year, immediately after the program's implementation. While the effect is present for all population segments of new mothers, it is largest for disadvantaged mothers - with lower education levels, of Hispanic origin, younger, and not married.
Essays in the economics of education [electronic resource]
Keywords: Economics.

This dissertation examines questions in the economics of education. I estimate the college enrollment effects of attending a high school that hosts an SAT testing center on campus, the heterogeneous capitalization of school quality across high and low income communities, and the effect of an Advanced Placement curriculum on college outcomes. To answer these questions, I construct several new student and household level data sets and exploit novel sources of variation. The results suggest that some students' college decisions are sensitive to seemingly minor obstacles, that districts in high income communities reap greater financial rewards for performance than low income districts, and that Advanced Placement courses and exams promote modest gains in college graduation rates.
Essays on business and politics [electronic resource]
Keywords: Business.

This dissertation consists of three essays on the subjects of business and politics, with each analyzing key tensions and interactions between various business and political agents. Chapter 1 theorizes about how firms use their business, operations, or market strategy decisions as a lobbying instrument, to influence political decision-makers. I also contrast this with conventional monetary lobbying and determine the reasons why firm may prefer to lobby one way over another. Chapter 2 examines how firms with intrinsically long time-horizons overcome the short-run performance pressures on management through corporate governance. I develop a theory for why long-horizon firms should exhibit greater governance insulation than short-horizon firms, and empirically validate the theory for an important set of anti-takeover provisions. Chapter 3 explores how the durability of policy interacts with the shorter electoral cycle and provides incentives for politicians to engage in wasteful and inefficient policy-making.
Essays on core-selecting auctions [electronic resource]
Keywords: Economics.

This dissertation provides a theoretical performance comparison of some of the leading sealed-bid combinatorial auctions and consists of three main chapters. The first chapter characterizes the complete set of pure-strategy, full-information, Nash equilibria of a set of combinatorial auctions that includes the Vickrey package auction and all core-selecting auctions. All bidder-optimal core-selecting (BOCS) auctions and the Vickrey auction have the same set of equilibrium outcomes: any assignment and individually rational payments. The equilibrium outcomes of the PAB auction must satisfy a stronger condition, but still include many inefficient assignments and payoffs outside of the true core. The second chapter looks at incentives for overbidding -- bidding more than true values -- in minimum-revenue core-selecting auctions. Previous studies ruled out overbidding by including arbitrary simplifying restrictions on the allowable bids. This chapter overturns those previous results, showing that overbidding can be a feature of all Bayesian equilibria in undominated strategies in certain incomplete-information settings. This overbidding can lead to higher expected efficiency and higher expected revenues than those with a restricted strategy space. The third chapter challenges some of the supposed advantages of BOCS auctions over the Vickrey auction with a new model of unrelated goods -- those which are neither substitutes nor complements for any bidder. The unrelated goods highlight the similarities between these auction formats, both of which can suffer from issues of low revenue and revenue non-monotonicity.
Essays on efficiency, fairness, and incentives in resource allocation [electronic resource]
Keywords: Business.

This dissertation consists of three essays on efficiency, fairness, and incentives in resource allocation. Chapter 2 studies allocation problems with and without monetary transfers, such as multi-unit auctions, school choice, and course assignment. For this class of problems, we introduce a generalized random priority mechanism with budgets (GRP). This mechanism is always ex post incentive compatible and feasible. Moreover, as the market grows large, this mechanism can approximate any incentive compatible mechanism in the corresponding continuum economy. In particular, GRP can be used to approximate efficient and envy-free allocations, while preserving incentive compatibility and feasibility. Chapter 3, a joint work with Daisuke Hirata, Onur Kesten, Morimitsu Kurino, and M. Utku Ünver, studies the problem of assigning a set of indivisible objects to a set of agents when monetary transfers are not allowed and agents reveal only ordinal preferences, but random assignments are possible. We offer two characterizations of the probabilistic serial mechanism, which assigns lotteries over objects. We show that it is the only mechanism satisfying non-wastefulness and ordinal fairness and the only mechanism satisfying sd-efficiency, sd-envy-freeness, and weak invariance or weak truncation robustness (where "sd" stands for first-order stochastic dominance). Chapter 4 studies equilibrium selection and stability in the generalized second price auction used by major search engines to sell advertisement slots. We assume that a bidder who bids randomly (noise bidder) participates in the auction with a small probability. The main finding is that the VCG-equivalent equilibria, considered plausible in this literature, do not survive in this model, even as the probability that the noise bidder appears converges to 0. An efficient equilibrium is essentially unique if it exists. This equilibrium is further justified in a model without the noise bidder as a unique limit of efficient trembling-hand perfect equilibria in which all bidders make mistakes in similar ways. However, the noise-bidder model may not have any efficient equilibrium, or even any pure strategy equilibrium. Simulations indicate that the set of parameters for which no pure strategy equilibrium exists occupies almost 99% of the parameter space if six or more positions are auctioned.
Essays on empirical market microstructure [electronic resource]
Keywords: Business.

This thesis studies how automation and structural changes in equity markets have affected various aspects of liquidity. In the first part of the thesis, I study high frequency trading (HFT). I first develop a methodology for measuring HFT activities that uses a statistical model to estimate reaction speed from limit order data. This allows us to separate out and measure HFT activities from that of slower traders. Using these measures, I study HFTs' liquidity provision. In today's markets where high frequency traders (HFTs) act as both liquidity providers and takers, I argue that information asymmetry associated with HFTs' use of public, machine-readable information is important. This particular type of information asymmetry arises because some machines may sometimes access certain information before other machines due to randomness in relative speed. I show that liquidity-providing HFTs supply less liquidity to stocks that suffer more acutely from this information asymmetry problem. My results also show that stocks with low spreads, high beta, and low volatility have a greater information asymmetry of this type. Moreover, when markets become volatile, this information asymmetry problem becomes more severe, and liquidity provision by HFTs decreases. I discuss implications for market-making activity in times of market stress and for HFT regulations. Second part of this thesis studies algorithmic trading, which is a larger set that includes HFTs. Using the introduction of hybrid market in the New York Stock Exchange as a natural experiment, I show that algorithmic trading causes liquidity across stocks to co-move more; hybridization increases the 5-minute liquidity comovement by 30 to 50%. Moreover, the effect is stronger at daily frequencies: hybridization induces a 90% higher daily liquidity comovement. These results are due to both an increase in market liquidity risk and a decrease in idiosyncratic liquidity volatility.
Essays on indeterminacy [electronic resource]
Keywords: Philosophy.

This dissertation consists of two independent essays, each of which is concerned with the phenomenon of indeterminacy, or situations in which there is no fact of the matter. The first essay provides a precise account of W. V. Quine's understanding of "no fact of the matter, " as that phrase features in his indeterminacy theses. In doing so it explores connections with Quine's notion of compatibility (or its correlative, determination) and also his physicalism. The second essay provides a comprehensive framework for theorizing, in a principled way, about the nature of indeterminacy. The guiding thought behind this framework is that indeterminacy essentially involves some sort of underdetermination by more basic facts. The framework breaks into two parts. The first part provides a minimal characterization of the generic concept of indeterminacy. The second part uses this minimal characterization to identify and give precise definitions of a number of different types or conceptions of the nature of indeterminacy. Some of these types are semantic, locating the source of indeterminacy in the meaning of our words or concepts; the others are metaphysical, locating the source of indeterminacy in the mind-independent world.
Essays on the economics of disability and disability insurance [electronic resource]
Keywords: Economics.

This dissertation comprises three essays on the economics of disability and disability insurance. Modern societies have developed a wide array of insurance arrangements intended to protect individuals from the economic consequences of work disability. My dissertation research examines how individual and firm behavior responds to the administration, financing, and benefit design of three disability insurance system. Chapter 1 estimates how sickness insurance claiming behavior among Chilean workers covered by private insurance responds to the threat of claim rejections. It also uses diagnosis specific-estimates of this deterrent effect to test whether the private health insurance companies that administer sickness insurance benefits in Chile choose the stringency with which they evaluate claims in a way consistent with social optimality. Chapter 2 provides new evidence on the extent to which workers bear the cost of Workers' Compensation insurance through reduced wages. Chapter 3 investigates the role of private information in coverage choice in an employer-provided Short-Term Disability insurance plan.
Essays on top income inequality [electronic resource]
Keywords: Management Science and Engineering.

Top income inequality, defined as the income gap within the top 1% income group, has been rising in the United States since the 1980s but remained low and stable in economies like France and Japan. Why? This dissertation studies what might have affected the widening income gap in the United States as well as the cross-country differences. The first chapter considers the most natural candidate: the effect of the top marginal tax rate on the high-income taxpayers. Identifying endogenous human capital accumulation as a link between top marginal tax rates and top incomes, this chapter shows that a decline in the top marginal tax rate can increase top income inequality as well as top incomes. We develop an infinite-horizon, heterogeneous agent model, where human capital accumulation is endogenously characterized by a proportional random growth process. If the top marginal tax rate declines, the benefit of human capital investment will increase, thereby increasing the growth rate of human capital. Since this growth rate pins down the Pareto inequality measure of the top income distribution, a decrease in the top marginal tax rate will lead to a more unequal Pareto income distribution, while simultaneously increasing every top income. When calibrated to the U.S. income data, the model finds that the reduction of the top marginal tax rate from 60% to 35% can account for 46.6% of the increase in top income inequality and 41.0% of the increase in the top 1% income share between 1980 and 2010. The second chapter theoretically examines three other candidates: the rise in the rate of top income growth, the direction of technological change, and misallocation of top talents to firms. The first model shows that if the growth rate of top incomes increases either by the rise in the returns to experience or by the rise in human capital accumulation effort, the top income inequality increases. The second model studies the direction of technological change and shows why the technological changes can be "talent-biased" at least along a transition path. The last model shows that top income inequality can increase when the matching between firms and talent becomes more efficient. This suggests that the rise in top income inequality in the United States may reflect an improvement in the allocation of talent.
Essays on uncertainty analysis in energy modeling [electronic resource] : capacity planning, R&D portfolio management, and fat-tailed uncertainty
Keywords: Management Science and Engineering.

The characterization and analysis of uncertainty are central components of decision-making, especially in the energy sector; however, there is currently a gap in the energy modeling community between the recognition of uncertainty's importance and its incorporation in large-scale models. This dissertation explores how the explicit inclusion of uncertainty through sequential decision-making approaches like stochastic programming can provide insights to energy planners in different domains. The dissertation first investigates the dynamics of capacity planning and dispatch in the electric power sector under technological, economic, and policy-related uncertainties. Metrics like the expected value of perfect information and the value of the stochastic solution quantify the benefits of reducing uncertainty and of incorporating uncertainty explicitly in modeling efforts. Model results highlight risks associated with shale gas and climate policy, offer policy guidance in these areas, and indicate that planners are likely underestimating the impacts of uncertainty. Hedging and strategic delay are explained in terms of the optionality of energy investments, leading to insights about uncertainty, learning, and irreversibility. A second application presents a framework for allocating investments across a portfolio of energy technology research and development (R& D) programs, which incorporates uncertainties in the effectiveness of investments and in diffusion markets. This work analyzes how R& D valuations vary in different decision-making settings and shows how wait-and-see valuation approaches, by not explicitly accounting for exogenous market uncertainties, may undervalue the hedging potential of technologies. The results indicate that R& D is more valuable in suboptimal planning and policy environments. The final section discusses policy and modeling questions about low-probability, high-impact risks in climate change economics. This analysis examines the impacts of fat-tailed uncertainty about the climate sensitivity parameter on near-term abatement using a sequential decision-making framework. The results demonstrate how policy prescriptions from integrated assessment models are highly sensitive to the specifications of uncertainty, learning, and damages. Fat tails alone do not merit stringent mitigation immediately, which also requires strongly convex damages and slow learning. The analysis illustrates the potential value of midcourse corrections on reducing consumption risks imposed by uncertain damages and focuses attention on the dynamics of learning.
Estimation of errors-in-variables models with no auxiliary data [electronic resource]
Keywords: Economics.

This paper considers estimation in the context of regression models where some of the regressors are measured with errors. The regression model is identified under the assumption of strict exogeneity in the regression equation and classical errors. The structural model is equivalent to a certain infinite set of moment conditions, which allows me to construct a CGMM (continuous GMM) estimator for the parameters of the model. Alternatively, I also construct a finite-dimensional GMM by selecting a subset of moment conditions. Both frameworks are discussed in the paper, as they need to be augmented in order to allow for complex-valued moments. Monte-Carlo simulations show that my proposed estimation technique is several times better in terms of MSE than the alternatives proposed in the earlier literature.