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

This dissertation consists of two essays which are entitled "Learning, Dispersion of Beliefs, and Risk Premiums in an Arbitrage-free Term Structure Model" and "Risk Premiums Implicit in the Term Structure of Oil Futures Prices", and two accompanying appendices. The first essay, which is based on joint work with Marco Giacoletti and Ken Singleton, explores the properties of risk premiums implied by a dynamic term structure model (DTSM) in which the stochastic discount factor (SDF) reflects Bayesian learning and where the degree of investor dispersion of beliefs today is informative about the future paths of yields. The estimated learning rule has formal roots in the literature on Bayesian learning, and it reveals which aspects of risk and the state of the economy agents learn about and which aspects they (evidently) know from information embedded in the current yield curve. Through the lens of our arbitrage-free learning model we see that investors had full knowledge of key aspects of the pricing distribution. Furthermore, we find that, when the U.S. economy is emerging from a recession, knowledge of the extent of disagreement among professionals is informative about how today's yield curve will impact its future shape. Our learning-based DTSMs outperform the median professional forecasts as well as a random walk over the past twenty-five years, particularly during the years following recessions in the U.S. economy. The second essay, which is based on joint work with Ken Singleton, explores the nature of risk premiums within an arbitrage-free dynamic term structure model of oil futures prices. Particular attention is given to 2008 which included the boom and bust in oil prices and the subsequent global financial crisis. A novel feature of our model is that it allows for information about trading patterns in futures markets and macroeconomic developments to systematically affect variation in risk premiums within a dynamic, arbitrage-free model. This is accomplished by extending the literature on affine term structure models to accommodate the changing maturities of futures contracts. Our results suggest that both investor flows and market perceptions about future inflation had large effects on risk premiums, over and above the information in the past history of oil futures prices. With the model in hand, and the implied estimates of expected excess returns on oil contracts, we then ask if index trader activity in oil markets is related to expected future oil returns. This is one of the questions in the heated debate on the financialization of commodity markets. We document that index funds flowed into commodity markets as oil risk premiums were high, nominal interest rates were low, and the slope of the oil term structure was in backwardation.
Essays in international trade [electronic resource]
Keywords: Economics.

This dissertation studies the determinants of global trade patterns and strategic tariff negotiation in trade policy. The first essay examines why firms and countries indirectly export through trade intermediaries, with an emphasis on the role of financial frictions. I show theoretically and empirically that financially more constrained exporting firms and financially less developed countries are more likely to use trade intermediaries. The empirical analysis uses firm-level data on indirect exports for 118 countries and country-level data on entrepot trade through Hong Kong for over 50 countries. Calibrating a two-country version of the model in general equilibrium for China and US reveals important gains from trade intermediation. The second essay studies exporting countries' choice of trade partners, and shows that financial development is again an important determinant. The paper provides new, systematic evidence that at the aggregate level, countries follow a hierarchy, or pecking order, of export destinations. This pecking order is governed by the market potential of destinations such as market size and trade costs. Financially more developed countries have more trade partners and go further down the pecking order, especially in sectors that rely heavily on the financial system. The last essay studies tariff negotiation with a dynamic bargaining inefficiency known as forward manipulation. Forward manipulation is formalized in a non-cooperative game where countries negotiate over tariff levels in a sequential, bilateral fashion. The common party across the negotiation rounds has an incentive not to lower its tariff in the earlier stages of the game so that it can manipulate the threat points of negotiation partners in later stages. Forward manipulation is applied to explain gradualism, the observed pattern of tariffs declining slowly and gradually, for the early GATT rounds.
Essays in macroeconomic policy [electronic resource]
Keywords: Economics.

This dissertation evaluates the impact of government policies using macroeconomic tools. The first policy I study is Government-Sponsored Enterprises (GSEs). I use an assignment model to estimate the potential impact on the housing market if GSEs were eliminated. Because GSEs provide target subsidies to low quality segments of the housing market, their elimination would affect those segments the most. The second policy I study is the U.S. sanctions on Iran. I employ econometric tools to estimate the effect of the sanctions on inflation, GDP, and exchange rate in Iran.
Essays in macroeconomics [electronic resource]
Keywords: Economics.

This dissertation in macroeconomics comprises three chapters. In the first chapter, ``The Macro Impact of Short-Termism, '' I study a pervasive tradeoff between the short-term and long-term performance of firms. In the United States, long-term investment, like R& D, must be expensed from short-term earnings figures. Therefore benchmarks for short-term performance, such as analyst earnings forecasts, may cause managers to underinvest in the long term. The second chapter, ``Alternative Methods for Solving Heterogeneous Firm Models, '' compares four algorithms for the solution of a canonical neoclassical heterogeneous firms model with fixed capital adjustment costs and firm-level productivity shocks. Trade between low-cost, low-wage countries like China and the developed world has increased substantially in recent decades. Recent empirical research suggests that firms exposed to this liberalization engage in more innovation. In a third chapter entitled ``Trapped Factors and China's Impact on Global Growth, '' which is joint work with Nick Bloom, Paul M. Romer, and John Van Reenen, we build a product-cycle model of growth and trade which seeks to both rationalize this micro-level response of firm innovation to low-cost competition as well as quantify the dynamic or growth based gains from trade liberalization.
Essays in mechanism design with semi-exclusive information and wrong beliefs [electronic resource]
Keywords: Economics.

Mechanism design theories have established basic framework in studying economic problems where agents have private information and behave in their own interests. This framework provides a workhorse for exploring how to implement social choice rules in general. One typical issue is to analyze the decision-making by a social planner or a designer who aims to achieve efficient outcomes that maximize the joint welfare of all agents. Not surprisingly, efficiency essentially requires that the designer know the agents' private information and then choose the corresponding socially optimal outcome. However, the difficulty of mechanism design problem is to characterize these incentive constraints where agents find it optimal to reveal their private information truthfully. Specifically, sufficiently rich private information could entail non-implementability of efficient social choice rules. To overcome this difficulty, this dissertation considers a class of semi-exclusive information structures where agents may observe signals about payoff signals, and a class of problems where agents may have wrong beliefs or the mechanism designer is not informed about the agents' valuation functions, and proposes mechanisms that implement efficient allocations.
Essays in public and labor economics [electronic resource]
Keywords: Economics.

This thesis is composed of three empirical papers in the field of labor and public economics. The first paper uses historical data from the New-York Stock Exchange to investigate the importance of ethnic discrimination, ethnic networks and ethnic homophily in the field of finance. The second paper studies the role of parental insurance on the job search behavior of new entrants in the labor market. It also uses parental shocks around the time of the child's entry into the labor force as an instrument to test for the existence of persistent effects from a temporary increase in job search effort at the beginning of a worker's career. The third paper takes advantage of an important tax reform that took place in Belgium in 2006 to answer a longstanding question in the field of public economics and corporate finance: what is the role of corporate taxes in determining the observed levels of leverage among incorporated firms.
Essays in the economics of education and innovation [electronic resource]
Keywords: Economics.

This dissertation contains three essays on the economics of education and innovation. In the first essay, I study the effects of increased access to higher education by examining a dramatic 1961 Italian reform that increased university enrollment in science, technology, engineering, and math (STEM) fields by more than 200 percent in a few years. The peculiar features of the reform allow me to identify students who were unaffected, directly affected, and indirectly affected. They also allow me to identify key channels through which the effects ran. Using data I collected from tax returns and hand-written transcripts on more than 27,000 students, I show that the direct effects of the reform were as intended: many more students enrolled and many more obtained degrees. However, I also find that those induced to enroll earned no more than students in earlier cohorts who were denied access to university. I reconcile these surprising results by showing that the education expansion reduced returns to skill and lowered university learning through congestion and peer effects. I also demonstrate that apparently inframarginal students were significantly affected: the most able of them abandoned STEM majors rather than accept lower returns and lower human capital. The promotion of STEM education, realized by inducing more students to enroll in university STEM majors, might have large positive externalities by fostering the production of innovation. In the second essay (joint work with Michela Giorcelli), we use the 1961 Italian reform of college admissions as a positive shock to the amount of STEM workers in the economy. We isolate the effect of the policy on invention using a variety of techniques. At the individual level, we link the school and income data of students that were in school around the policy implementation with information on each Italian patent that they owned or developed. At the national level, we exploit differential increases of STEM skills in municipalities that were at varying distance from a STEM school. In both cases, we do not find strong evidence that easier access to university STEM majors led to higher level of patenting. In the third essay (joint work with Joerg Baten and Petra Moser), we investigate whether compulsory licensing - which allows governments to license patents with- out the consent of patent-owners - discourages invention. Our analysis exploits new historical data on German patents to examine the effects of compulsory licensing under the US Trading-with-the-Enemy Act on invention in Germany. We find that compulsory licensing was associated with a 28 percent increase in invention. Historical evidence indicates that, as a result of war-related demands, fields with licensing were negatively selected, so that OLS estimates may underestimate the positive effects of compulsory licensing on future inventions.
Essays on financial markets and game theory [electronic resource]
Keywords: Economics.

Trading in financial markets has changed dramatically over the past decade: it has become largely automated and orders of magnitudes faster, and it has become spread out across many venues. Chapters 1 and 2 of this dissertation investigate how this transformation has affected market outcomes. Chapter 1 studies the effect of speed on market outcomes in a setting where information acquisition is endogenous. An increase in trading speed crowds out information acquisition by reducing the gains from trading against mispriced quotes. Thus, faster speeds have two effects on traditional measures of market performance. First, the bid-ask spread declines, since there are fewer informational asymmetries. Second, price efficiency deteriorates, since less information is available to be incorporated into prices. A tradeoff exists between the dual objectives of minimizing the bid-ask spread and maximizing price efficiency. We characterize the frontier of this tradeoff and evaluate several trading mechanisms within this framework. Despite its popularity, the limit order book mechanism generally does not induce outcomes on this frontier. We consider two alternatives: first, a small delay added to the processing of all orders except cancellations, and second, frequent batch auctions. Both induce equilibrium outcomes on this frontier. Chapter 2 investigates how an increase in the number of exchanges affects the bid-ask spread. The welfare consequences of increased exchange competition are theoretically ambiguous. While competition does place downward pressure on the bid-ask spread, this force may be outweighed by increased adverse selection that stems from additional arbitrage opportunities. We investigate this ambiguity empirically by estimating key parameters of the model using detailed trading data from Australia. The benefits of increased competition are outweighed by the costs of multi-venue arbitrage. Compared to the prevailing duopoly, we predict that the counterfactual spread under a monopoly would be 23 percent lower. Further, market design variations on the continuous limit order book would eliminate profits from cross-venue arbitrage strategies and reduce the spread by 51 percent. Finally, eliminating off-exchange trades, so-called dark trading, would reduce the spread by 11 percent. Chapter 3 introduces two new equilibrium refinements for finite normal form games. Both refinements incorporate the intuitive idea that a costless deviation by one player is more likely than a costly deviation by the same or another player. These refinements lead to new restrictions in games with three or more players. Furthermore, these refinements are applied to two well-known auction games: the generalized second price auction and the first-price menu auction. Both refinements select interesting equilibria in these games, and may be interpreted as providing a strategic foundation for the selections that others have made.
Essays on game theory [electronic resource]
Keywords: Business.

This dissertation studies various aspects of noncooperative multi-person decision-making. In Chapter 1, I develop a model of Commonly Respectful "interspection" in games. This model is applicable to general finite extensive-form games. It covers strategic situations in which upon seeing a suboptimal move by one player, the other players interpret it as a strong signal about the deviator's lower level of strategic sophistication. I propose and study the two corresponding solution concepts: interspected rationalizability and interspected equilibrium. In Chapter 2, I provide a generalized framework for epistemic analysis of complete information games, the interspective framework. I discuss in detail the corresponding process of interspective decision making. I show how by the use of this framework, one may formally express, besides the model of Chapter 1, also the models underlying such solution concepts as normal-form and extensive-form rationalizability, iterative admissibility. Chapter 3 is a joint paper with Nicolas Lambert and Michael Ostrovsky. We study trading behavior and the properties of prices in informationally complex markets. We characterize the equilibrium behavior in the corresponding game-theoretic model. We then use this characterization to study the informational efficiency of prices as the number of strategic traders becomes large.
Essays on health care economics [electronic resource]
Keywords: Economics.

This dissertation explores the challenges inherent in the public and private provision of health care services and health insurance. The first chapter is a study of the impact of pricing regulations in an individual health insurance market. In the private market for Medicare supplemental insurance, also known as Medigap, policymakers have experimented with several regulatory solutions. In this paper, I study how bans on differential pricing and rejections affect premiums and coverage levels, compared to a regime that combines an initial open enrollment period with guaranteed renewal. I document two important effects. First, bans on differential pricing and rejections lead to substantial cross-subsidization from young to old. Under a ban on differential pricing, the youngest buyers see premiums that are
Essays on internet economics and innovation [electronic resource]
Keywords: Economics.

In this dissertation I study a series of questions in economics of online markets and innovation. In the first chapter, joint work with Zoe Cullen, we study a central economic problem for peer-to-peer online marketplaces: how to create successful matches when demand and supply are highly variable. Specifically, we present and estimate a parsimonious model of a frictional matching market for services, which lets us derive the elasticity of labor demand and supply, the split of surplus between buyers and sellers, and the efficiency with which requests and offers for services are successfully matched. In the second chapter, joint work with Liran Einav, Jonathan Levin, and Neel Sundaresan, we explore the decline of internet auctions in favor of posted prices. We use data from eBay to separate the effect of a shift in buyer demand away from auctions, and the effect of a general narrowing of seller margins due to increased competition. In the third chapter, I test and confirm the positive relationship between patent economic value and citations, an often assumed hypothesis in the economics literature on innovation.
Essays on modern financial markets [electronic resource]
Keywords: Economics.

Trading in public equity markets has changed drastically over the past decade: it has become largely automated and orders of magnitudes faster, and it has become spread out across many venues. This dissertation investigates how this transformation has affected market outcomes. Chapter 1 investigates the effect of the proliferation of exchanges on the bid-ask spread. The welfare consequences of increased exchange competition are theoretically ambiguous. While com- petition does place downward pressure on the bid-ask spread, this force may be outweighed by increased adverse selection of liquidity providers that stems from additional arbitrage opportunities. We investigate this ambiguity empirically by estimating key parameters of the model using detailed trading data from Australia. The benefits of increased competition are outweighed by the costs of multi-venue arbitrage. Compared to the prevailing duopoly, we predict that the counterfactual spread under a monopoly would be 23 percent lower. Further, market design variations on the continuous limit order book would eliminate profits from cross-venue arbitrage strategies and reduce the spread by 51 percent. Finally, eliminating off-exchange trades, so-called dark trading, would reduce the spread by 11 percent. Chapter 2 studies the effect of trading speed on market outcomes in a setting where information acquisition is endogenous. An increase in trading speed crowds out information acquisition by reducing the gains from trading against mispriced quotes. Thus, faster speeds have two effects on traditional measures of market performance. First, the bid-ask spread declines, since there are fewer informational asymmetries. Second, price efficiency deteriorates, since less information is available to be incorporated into prices. A general tradeoff exists between low spreads and price efficiency. We characterize the frontier of this tradeoff and evaluate several trading mechanisms within this framework. The prevalent limit order book mechanism generally does not induce outcomes on this frontier. We consider two alternatives: first, a small delay added to the processing of all orders except cancellations, and second, frequent batch auctions. Both induce equilibrium outcomes on this frontier. Chapter 3 investigates the consequences of information arrival on market outcomes in an environment where both high-frequency traders and slow traders engage in liquidity provision. To that end, we develop a model that predicts that fast traders achieve a relative increase in profits obtained from liquidity provision following a news event, which they achieve both by (i) trading smaller volumes at mispriced quotes, and (ii) winning the race to supply liquidity at updated quotes. We find strong support for these model predictions using data from NASDAQ and the Toronto Stock Exchange. The identification strategy is based on an unanticipated news event in which the Twitter feed of the Associated Press falsely reported a successful terrorist attack.
Essays on the macroeconomic effects of inequality [electronic resource]
Keywords: Economics.

This dissertation explores the aggregate allocational effects of different forms of economic inequality. Its three chapters study how an uneven distribution of production factors and financial resources, coupled with different forms of bureaucratic hurdles to the development of business ideas, financial constraints, or credit shocks, can affect the distribution and productivity of firms, the composition of the demand for goods and services, or the creation of valuable worker-firm matches in an economy. Even though it becomes clear throughout the dissertation that eliminating as many frictions in the firm-creation process, putting in place different redistribution policies, and alleviating financial frictions in an economy all have great effects on the aggregate economy that were not completely understood in previous theories, the welfare effects of such policies remain a subject for study in future work.