VictorJuiz/thesis huggingface dataset:
Essays in macroeconomics and finance [electronic resource]

In this dissertation I examine a number of financial and macroeconomic aspects of U.S. housing and mortgage markets. In the first chapter I analyze the importance of asymmetric information between mortgage lenders in explaining mortgage lending outcomes. I show that mortgage lenders that are owned by large property developers have superior information about the relative construction quality of ex-ante observationally similar homes within the same development, and that they exploit this information in the competition with other, less-informed mortgage lenders. As a result the collateral portfolio of those integrated lenders is of above-average quality. To compensate for the winner's curse in the presence of an integrated lender, less-informed lenders charge higher interest rates in developments with an integrated lender. In the second chapter I analyze government interventions in the housing market on prices, quantities and aggregate and distributional welfare using an overlapping-generations heterogeneous-agent general-equilibrium model calibrated to the U.S. economy. I consider (i) the introduction of temporary home purchase tax credits and (ii) a removal of the asymmetric tax treatment of owner-occupied and rental housing. Home buyer tax credits temporarily raise house prices and transaction volumes, but have negative welfare effects. Removing the asymmetric tax treatment of owner-occupied and rental housing generates welfare gains for a majority of agents in a comparison of stationary equilibria. Welfare impacts are more varied, though still positive, along the transition between steady states. In the third chapter I analyze the Federal Reserve's mortgage-backed securities (MBS) purchase program, the largest credit easing program established by the Fed during the financial crisis. I examine the quantitative impact of this program on mortgage interest rate spreads. This is more difficult than frequently perceived because of simultaneous changes in prepayment risk and default risk. The empirical results attribute a sizeable portion of the decline in mortgage rates to such risks and a relatively small and uncertain portion to the program.

Keywords: Economics
Advisor: Taylor John primary advisor. Thesis advisor
Hoxby Caroline Minter advisor. Thesis advisor
Piazzesi Monika advisor. Thesis advisor
Schneider Klaus advisor. Thesis advisor
Essays in microeconomic theory [electronic resource]

This dissertation consists of three chapters in three different subfields of Microeconomic Theory: the theory of Matching Markets, Network Theory, and Political Economy. Although each paper is an independent contribution in its respective field, the three papers share a common theme and methodological approach: In each paper I aim to take a well studied topic in the field; break down the problem into the most fundamental elements; and based on those lean elements construct a new game-theoretic model that tries to get at the very essence of the problem and shed new light on it. The first chapter studies unraveling in matching theory and shows that the tiniest uncertainty regarding final outcomes in a matching market can cause unraveling and completely destabilize the market. The second chapter leverages uncertainty in link formation to shed light on social network formation and identify potential threshold effects driven by the value of friends-of-friends in the network. The third chapter models protest dynamics in authoritarian regimes and produces a realistic model where protests serve as a mechanism to allow citizens to inform other citizens' of their preferences regarding the regimes' survival.

Keywords: Business.
Advisor: Bulow Jeremy primary advisor. Thesis advisor
Skrzypacz Andrzej
Ostrovsky Michael advisor. Thesis advisor
Essays in microeconomic theory [electronic resource]

This dissertation consists of two chapters in two different areas of microeconomic theory: the informativeness of prices and optimal taxation. In both of these chapters, I develop a model that lends itself to game-theoretic analysis. Chapter 1 is a theoretical study on the informativeness of prices in financial markets. I study a class of mechanisms that represent a financial market for a security. These mechanisms quote a price, which solely depends on the total number of shares outstanding. Traders can sequentially buy or sell shares of the security, and get to trade many times. Among the class of such mechanisms, I determine which ones lead to immediate revelation of information by the traders, in the sense that traders immediately bring the price to their posterior belief about the value of the security in the first period where they are given an opportunity to trade. I find that while it is possible to find mechanisms that achieve this property for all information structures with conditionally independent signals, it is impossible to find a mechanism that achieves it for every information structure. Chapter 2 develops a model of optimal redistributive taxation for social insurance purposes when agents are able to share risks with a group of relatives and friends, achieving a Pareto optimal allocation within the group. It describes how the sizes of these groups (syndicates) affect the optimal tax rate. When syndicates are exogenously given, the optimal linear tax decreases as the sizes of syndicates increase. A model of joint syndicate formation and optimal policy choice is then proposed. Syndicates are formed by agents for risk-sharing purposes, at a cost which decreases with geographical, social and blood proximity between agents. In setting the income tax rate, the government takes into account the impact of its policy on the efforts made by agents to form syndicates. This may considerably alter the government's problem, to the extent that it may become locally convex and, as proximity decreases (e.g. because related agents are more geographically mobile), the government's optimal policy may jump from a zero tax rate to a substantial positive rate. This could partially explain why social insurance schemes emerged late in the development of countries such as the United Kingdom, France, and the United States.

Keywords: Business.
Advisor: Bulow Jeremy primary advisor. Thesis advisor
Duffie Darrell advisor. Thesis advisor
Ostrovsky Michael advisor. Thesis advisor
Wilson Robert
Essays in public economics [electronic resource]

In this dissertation, I study four related topics in the economics of optimal government policy. Chapter 1 explores the employment effect of the 2009 American Recovery and Reinvestment Act (ARRA). This act included

Keywords: Economics
Advisor: Hoxby Caroline Minter primary advisor. Thesis advisor
Abramitzky Ran advisor. Thesis advisor
Einav Liran advisor. Thesis advisor
Essays in sustainable operations and intellectual property management [electronic resource]

This dissertation contains three essays that study leading issues in the area of sustainable operations management and intellectual property management. In Chapter 2, we present a proof-of-concept model of a manufacturing industry deciding whether to produce a product in a region with environmental regulations, or an unregulated region. We account for the environmental and societal costs that are generally ignored in traditional production models. We include the economic effects of pollution directly through regulations, and indirectly through decreased worker productivity. By including pollution externalities in our model, we demonstrate how investments in preventative capital (i.e., technology that reduces pollution during manufacturing) can ultimately reduce economic costs to the industry while simultaneously improving societal health conditions. Chapter 3 studies how an intellectual property marketplace (IPMP) can be used as a strategic means of licensing technologies with low monetary value, as is the case with many sustainable technologies. IPMPs allow patent holders to proliferate technology across multiple firms at low cost, but lack the explicit control of bilateral licensing. Using a multi-stage game theoretic framework, we analyze optimal contracts under IPMP dynamics. We further prove that when demand for the sustainable technology is relatively low relative to the investment cost of implementing the technology, IPMP licensing may replicate the profits attainable with the more expensive bilateral licensing approach. In Chapter 4, we consider the strategic licensing of a technology whose value is not yet fully understood. By selling unit contract licenses, which permits a licensee to produce an established number of units based on a patented technology, the patent holder retains ownership of the patent while still monetizing the technology. Over time, the true value of the technology becomes known as repeated observations allow all firms to inform their valuations. We use a Bayesian learning framework to demonstrate how unit contract licensing can be superior to patent auctions (which have historically been the most profitable means of licensing for an external patent holder) in the case that the demand distribution for the technology is sufficiently light-tailed. Environmental sustainability has become a pressing issue for firms, governments, non-government organizations, and consumers alike. Yet, the operations management literature is surprisingly sparse in models that incorporate concerns for the environment and human health in addition to economic interests. The research we present in this dissertation begins to bridge this gap.

Keywords: Management Science and Engineering
Advisor: Erhun Feryal primary advisor. Thesis advisor
Hausman Warren H. primary advisor. Thesis advisor
Rafinejad Dariush
Essays on crime and discrimination [electronic resource]

This dissertation consists of three essays. "The Visible Hand: Race and Online Market Outcomes" (with Luke C.D. Stein) considers the results of a year-long online field experiment testing the effects of a seller's race on market outcomes. We find that black sellers receive fewer offers and lower bids, but that results differ across market types. "The Effects of DNA Databases on Crime" provides the first rigorous empirical evidence of the impact of DNA databases on crime. By increasing the probability of catching repeat offenders, increasing the size of a state DNA database decreases several crime rates. Based on the individual-level analysis, this effect appears to be driven primarily by incapacitation, not deterrence. "Under the Cover of Darkness: The Effect of Daylight Saving Time on Violent Crime" (with Nicholas J. Sanders) tests the hypothesis that shifting an hour of daylight from (low-crime) morning hours to (high-crime) evening hours reduces violent street crime such as robbery. We find that robbery rates fall by about 36% during the treated hour, without a corresponding increase at other times.

Keywords: Economics
Advisor: Bernheim B. Douglas primary advisor. Thesis advisor
Hoxby Caroline Minter primary advisor. Thesis advisor
Abramitzky Ran advisor. Thesis advisor
Essays on dynamic mechanism design [electronic resource]

This dissertation advocates dynamic mechanism design as a useful tool to tackle theoretical challenges in microeconomics and to solve real world institutional design problems. It is composed of two chapters. In the first chapter, I study durable goods sales with a dynamic population of buyers. My contribution is to devise a Multi-round Simultaneous Ascending Auction with Generalized Reserve Price (MSAAGR) to implement the efficient allocation, and to contrast MSAAGR with the standard uniform price auction to highlight the implication of population dynamics on the design of trading platforms. In the second chapter, I estalibsh the possibility of sustaining long-term cooperation in infinitely repeated private monitoring games with scarce signals. My contribution is to construct a novel Budget Mechanism with Cross-Checking (BMCC) which, by linking players' action choices over time, virtually implements the efficient outcome with a vanishing incentive cost as the horizon of the game grows and the players become increasingly patient.

Keywords: Economics
Advisor: Segal Ilya primary advisor. Thesis advisor
Jackson Matthew O. advisor. Thesis advisor
Levin Jonathan D. (Jonathan David)
Essays on financial market structure and design [electronic resource]

In this doctoral dissertation, I study financial market structure and design, namely how institutional features of financial markets affect price discovery, liquidity, search behavior, efficiency, and welfare. This dissertation consists of three chapters. The first chapter studies dark pools and price discovery. Dark pools are equity trading systems that do not publicly display orders. Orders in dark pools are matched within the exchange bid-ask spread without a guarantee of execution. Because informed traders tend to have common information regarding the asset value, they are more likely to cluster on the heavy side of the market and therefore face a lower execution probability in the dark pool, relative to uninformed traders. Consequently, exchanges are more attractive to informed traders, whereas dark pools are more attractive to uninformed traders. Under natural conditions, adding a dark pool alongside an exchange concentrates price-relevant information into the exchange and improves price discovery. The second chapter offers a dynamic model of opaque over-the-counter markets. I build a theoretical model of OTC markets, in which a seller searches for an attractive price by visiting multiple buyers, one at a time. The buyers do not observe contacts, quotes, or trades elsewhere in the market. A repeat contact with a buyer reveals the seller's reduced outside options and worsens the price offered by the revisited buyer. When the asset value is uncertain and common to all buyers, a visit by the seller suggests that other buyers could have quoted unattractive prices and thus worsens the visited buyer's inference regarding the asset value. This chapter is now published at the Review of Financial Studies, Volume 25, Issue 4, April 2012. The third chapter studies settlement auctions for credit default swaps (CDS). This chapter is the joint work with Songzi Du, a fellow Doctoral Candidate at the Graduate School of Business, Stanford University. We find that the one-sided design of CDS auctions used in practice gives CDS buyers and sellers strong incentives to distort the final auction price, in order to maximize payoffs from existing CDS positions. Consequently, these auctions tend to overprice defaulted bonds conditional on an excess supply and underprice defaulted bonds conditional on an excess demand. We propose a double auction to mitigate this price bias. We find the predictions of our model on bidding behavior to be consistent with data on CDS auctions.

Keywords: Business.
Advisor: Duffie Darrell primary advisor. Thesis advisor
Singleton Kenneth J. primary advisor. Thesis advisor
Kremer Ilan advisor. Thesis advisor
Nagel Stefan
Essays on information in options markets [electronic resource]

In the first chapter, my coauthor and I examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests, firms in the lowest decile of the option to stock volume ratio (O/S) outperform the highest decile by 0.34% per week (19.3% annualized). Our model and empirics both indicate that O/S is a stronger signal when short-sale costs are high or option leverage is low. O/S also predicts future firm-specific earnings news, consistent with O/S reflecting private information. In the second chapter, I show that in many asset pricing models, the equity market's expected return is a time-invariant linear function of its conditional variance, which can be estimated from options markets. However, I show that when the relation between conditional means and variances is state-dependent, an observer requires the combined information in multiple variance horizons to distinguish among the states and thereby reveal the equity risk premium. Empirically, I show that while the VIX by itself has little predictive power for future S& P 500 returns, the VIX term structure predicts next-quarter S& P 500 returns with a 5.2% adjusted R-squared.

Keywords: Business.
Advisor: Admati Anat R. primary advisor. Thesis advisor
Martin Ian advisor. Thesis advisor
Nagel Stefan
Pfleiderer Paul advisor. Thesis advisor
Essays on matching theory [electronic resource]

This dissertation consists of four essays on matching theory. The first two essays, which are presented in Chapters 2& 3, investigate two different manipulation channels in school choice problems. The last two essays, which are presented in Chapters 5& 6, employ the hospital-intern matching market model. While I introduce and investigate a new manipulation tool in Chapter 5, the last essay studies the welfare effects of pre-arrangements.

Keywords: Economics
Advisor: Kojima Fuhito primary advisor. Thesis advisor
Bresnahan Timothy F. advisor. Thesis advisor
Niederle Muriel advisor. Thesis advisor
Essays on modeling energy future of India [electronic resource] : natural gas, renewable energy and energy efficiency

This thesis explores three topics that are central to a low-carbon development path for India, namely, the Indian natural gas market, grid integration of renewable energy, and energy efficiency programs. In the first part of the thesis, the effect of price liberalization on the natural gas market is analyzed by developing a mixed complementarity model. Gas prices in the liberalized market are found to be significantly higher than the government regulated prices under the status quo. However, the liberalized market is found to overcome the prevailing gas shortages in the country and improve total welfare. Irrespective of the gas pricing policy, imported liquefied natural gas is found to be a significant part of the supply mix in the future. Inadequate investments in gas pipelines can lead to network congestion and price spikes. Gas pipeline infrastructure would, therefore, be the key to developing an efficient gas market. Finally, the present formula for sharing profits of domestic gas producers with the government is found to incentivize inefficient investments in gas exploration and production. The second part of the thesis tests the feasibility of integrating large scale renewable energy projects into the electricity grid using the state of Delhi as a case study. Wind resources from the state of Tamilnadu were found to have a very high seasonal and diurnal correlation with electricity demand in Delhi. Solar energy from the state of Rajasthan is found to have a complementary seasonal profile to that of wind power from Tamilnadu. Simulation of the optimal grid dispatch shows that integration of wind and solar power is feasible at modest incremental costs. However, regional coordination for planning transmission investments is a must. The third part of the thesis analyzes the effect on utility finances and consumer tariffs of implementing utility-funded demand-side energy efficiency (EE) programs using the state of Delhi as a case study. The impacts are examined by developing scenarios for (a) incentive mechanisms for mitigating the financial risk of utilities, (b) the share of utility funding in total program costs, (c) the sale of conserved electricity into the spot market and (d) the level of power shortages utilities are facing. Although the average consumer tariff would increase only modestly, consumers participating in EE programs would benefit from a reduction in their electricity consumption. While utility incentive mechanisms can mitigate the utilities' risk of losing long-run returns, they cannot address the risk of a consistently negative cash flow. In case of power shortages, the cash flow risk is significantly amplified. It is found to be very sensitive to marginal tariffs of consumers facing power shortages.

Advisor: Goulder Lawrence H. (Lawrence Herbert) primary advisor. Thesis advisor
Weyant John P. (John Peter) primary advisor. Thesis advisor
Sathaye Jayant A.
Evaluating the Federal Food Assistance Safety Net: Do low-income individuals experience larger decreases in nutrient intakes during economic downturns than their wealthier counterparts?

Low-income households often have less nutritious diets when compared to their wealthier counterparts due to decisions maximizing calories and minimizing costs. However, current research has not focused on whether gaps in nutritional intakes between different income groups have widened during periods of higher unemployment or whether food assistance programs protect the poor during these times. Using data from National Health and Nutrition Examination Survey and the Bureau of Labor Statistics ranging from 1999 to 2010, I conducted difference-in-difference tests to determine if low-income individuals experience a larger decrease in key nutrient levels and health indicators during economic downturns than richer counterparts. I found that higher periods of unemployment (proxy for worse economy) had mostly positive effects on adults living below 1.25 times the poverty level, as they increased total calories, fiber, vitamin C, vitamin E, magnesium, and potassium, while unfortunately elevating sugars, carbohydrates, and triglycerides. Interestingly, individuals above three times the poverty level had less protein, fiber, B vitamins, and other minerals during tougher economic periods, while the very wealthy tended to substitute towards unhealthier diets with more calories, fats, and sugars. Results for children also followed similar trends, as low-income groups improved key vitamin intakes while high-income groups moved towards more energy dense diets. A difference-in-difference-in-differences analysis showed that adult participation in the Women, Infants, and Children (WIC) program led to an increase in several key vitamins, cholesterol, and sodium; however, enrollment in the Supplemental Nutrition Assistance program (SNAP) was only shown to have indirect effects. With my preliminary results, I advocate an increase in WIC funding, a re-examination of SNAP, and a shift towards subsidizing more nutritious, healthy options.

Keywords:  Department of Economics
Stanford Department of Economics
Nutrition
low-income
food security
high unemployment
WIC
SNAP
Thesis
Advisor: Bhattacharya Jay
Evidence for an excess of B -> D(*) Tau Nu decays [electronic resource]

Based on the full BaBar data sample, we report improved measurements of the ratios R(D(*)) = B(B -> D(*) Tau Nu)/B(B -> D(*) l Nu), where l is either an electron or a muon. These ratios are sensitive to new physics contributions in the form of a charged Higgs boson. We measure R(D) = 0.440 +- 0.058 +- 0.042 and R(D*) = 0.332 +- 0.024 +- 0.018, which exceed the Standard Model expectations by 2.0 sigma and 2.7 sigma, respectively. Taken together, our results disagree with these expectations at the 3.4 sigma level, which could be an indication of beyond-the-Standard- Model processes affecting these decays. We examine whether the excess in R(D) and R(D*) could be explained by a charged Higgs boson in the type II two-Higgs-doublet model, which describes the Higgs sector of the Minimal Supersymmetric model at tree level. We exclude this possibility in the full parameter space with a probability of at least 99.8%, or 3.1sigma significance. We also report the observation of the decay B -> D Tau Nu, with a significance of 6.8 sigma.

Keywords: Applied Physics
Advisor: Byer R. L. (Robert L.)
Lüth Vera primary advisor. Thesis advisor
Burchat P. (Patricia) advisor. Thesis advisor
Peskin Michael Edward