VictorJuiz/thesis huggingface dataset:
Essays in financial regulation and macro-finance [electronic resource]

This dissertation consists of three separate contributions to the field of macroeconomics and finance. In the first chapter, I present a quantitative dynamic general equilibrium model for the purpose of determining the optimal capital requirement for banks. Banks play two roles in this model: They contribute to the production of a final good and they provide liquidity in the form of bank debt, which households value. Banks also benefit from an implicit bailout guarantee from the government, which motivates them to take on excessive risk. I quantify this model using data from NIPA and the FDIC. Higher capital requirements lower risk-taking and increase consumption, but they also reduce the supply of bank debt. The reduction in bank debt leads to a lower interest rate on bank debt through a general equilibrium effect. This reduces the overall funding costs of banks and allows them to grow larger, which increases the capital stock and, consequently, production as well as consumption. The optimal capital requirement weighs the reduction in economic volatility and the increase in consumption against the reduction in liquidity. Welfare is maximized at 14%. The second chapter is coauthored with Juliana Salomao. Therein, we study how firms finance themselves over the business cycle. Using Compustat data, we first document that large firms substitute between debt and equity financing over the business cycle whereas small firms increase the amount of funds raised, using both debt and equity financing, in good times and reduce it in bad. We propose a mechanism that explains this empirical feature in a heterogeneous firm optimization model. Our mechanism is based on two main features. First, small firms are growing and therefore have higher funding needs compared to large firms. Second, the cost of debt financing depends endogenously on the default probability of the rm as well as on the recuperation value of the bond. This model can account for the cyclical relationships we see in the data. The third chapter is co-written with Monika Piazzesi and Martin Schneider. It studies US banks' exposure to interest rate and default risk. We exploit the factor structure in interest rates to represent many bank positions as portfolios in a small number of bonds. This approach makes exposures comparable across banks and across the business segments of an individual bank. We also propose a strategy to estimate exposure due to interest rate derivatives from regulatory data on notional and fair values together with the history of interest rates.

Keywords: Economics.
Advisor: Piazzesi Monika primary advisor. Thesis advisor
Schneider Martin (Professor of economics) primary advisor.
Kurlat Pablo advisor. Thesis advisor
Essays in macroeconomics [electronic resource]

This dissertation is composed of three essays in the field of macroeconomics. In the first essay, I look at the relation between the size distribution of manufacturing plants and income levels. The typical size distribution of manufacturing plants in developing countries has a thick left tail compared to developed countries. The same holds across Indian states, with richer states having a much smaller share of their manufacturing employment in small plants. I explore the hypothesis that this income-size relation arises from the fact that low income countries and states have high demand for low quality products which can be produced efficiently in small plants. I provide evidence which is consistent with this hypothesis from both the consumer and producer side. In particular, I show empirically that richer households buy higher price goods while larger plants produce higher price products (and use higher price inputs). I develop a model which matches these cross-sectional facts. The model features non-homothetic preferences with respect to quality on the consumer side. On the producer side, high quality production has higher marginal costs and requires higher fixed costs. These two features imply that high quality producers are larger on average and charge higher prices. The model can explain about forty percent of the cross-state variation in the left tail of manufacturing plants in India. The second essay (joint work with Itay Saporta-Eksten and Edison Yu) considers the role of reduced geographical mobility in explaining the persistently high unemployment rate during and after the Great Recession. One concern during the Great Recession was that the housing bust reduced geographical mobility and prevented workers from moving for job-related reasons. We first characterize flows out of unemployment that are related to geographical mobility and then boost these flows up in counterfactual exercises to construct an upper bound on the effect of mobility on unemployment between 2007 and 2012. The effect of reduced geographical 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 geographical mobility in this period to calculate homeowner counterfactual mobility, delivers similar results. Using the highest mobility rate observed in the data, reduced mobility accounts for only a 33 basis points increase in the unemployment rate. In the last essay, I conduct a model based accounting exercise to estimate the potential growth impact of demographic changes in India between 2010 and 2030. India is expected to see major demographic changes which include a fall in the dependency ratio, changes in age structure within the labor force, and increased urbanization. I develop a model which allows for these different channels of demographic changes and use it to estimate the potential growth impact of these changes.

Keywords: Economics.
Advisor: Klenow Peter J. primary advisor. Thesis advisor
Bloom Nick
Jones Charles advisor. Thesis advisor
Essays in market design [electronic resource]

In this dissertation, we study two related classes of market institutions whose structure and design have been heavily influenced by economic theory: matching markets and auctions. In the first two chapters, we focus on matching markets, which have many applications, including hospital residency labor markets, branch assignment in the military, and school choice, which will be our main focus. In the last chapter, we focus on auction markets, which have many connections with matching markets. Chapter 1 studies the design of school choice mechanisms in school districts that desire demographically diverse student bodies in all schools by placing floors (lower quotas) and ceilings (upper quotas) on the number of students from each demographic type who can be assigned to each school. We identify inefficiencies in algorithms currently in existence and provide a new dynamic quotas deferred acceptance algorithm that is more efficient while still satisfying all diversity goals. In addition, we show that our algorithm is strategyproof, i.e., truth-telling is a dominant strategy for parents when reporting their preferences. These results suggest that replacing current mechanisms with our mechanism should improve the performance of matching markets with floor and ceiling constraints. Chapter 2 continues the analysis of school choice algorithms by comparing two widely used algorithms, deferred acceptance and the Boston mechanism (also known as immediate acceptance) with respect to incentives and efficiency. While deferred acceptance is strategyproof, this beneficial property does not come without a cost. We show that in equilibrium, the non-strategyproof Boston mechanism may ex-ante Pareto dominate deferred acceptance. This may be relevant to school district leaders whose goal is to maximize the overall ex-ante welfare of the families in the district. Chapter 3 studies auction markets, another important class of market design problems where the design of the mechanism has important implications on strategic and efficiency properties. An important issue to sellers in auctions is potential collusion between the bidders, as this can lower seller profits. However, the standard approach to modeling collusion does not capture signaling and information leakage problems that can arise when it is one of the parties with private information who is making the proposal. We build a model of collusion in a second price auction that captures these issues by building a model of collusion in which an informed party ('the propser') has the option of offering a collusive contract to a second bidder ('the receiver'). We characterize the equilibria of this game and analyze the ex-ante profits accruing to each player. We find that while both the proposer and the receiver are better off than with no collusion, the receiver achieves higher profits than the proposer, i.e., there is a first-mover disadvantage.

Keywords: Economics.
Advisor: Kojima Fuhito primary advisor. Thesis advisor
Niederle Muriel advisor. Thesis advisor
Roth Alvin E.
Essays in market design [electronic resource]

This dissertation studies two problems in market design: the random assignment with fractional endowments, and combinatorial auction with budget-constrained bidders. In the random assignment problem, a number of objects has to be assigned to a number of agents. Though the objects are indivisible, an assignment can be probabilistic: it can give an agent some probability of getting an object. I first formulate an exchange economy that resembles the random assignment problem and prove the existence of competitive equilibrium in this economy. I then propose a pseudo-market mechanism for the random assignment problem that is based on the competitive equilibrium. This mechanism is individually rational, Pareto Optimal and justified envy-free. The mechanism is, however, not incentive compatible. Budget constraints of the bidders are a very relevant feature in combinatorial auctions. I show that they pose serious challenges to many prominent existing auction formats. Given the limitations of existing mechanisms, it is useful to know what mechanisms can accommodate budget constraints. I restrict my search to mechanisms that are reasonable: they must be incentive compatible, individually rational, symmetric, non-wasteful and non-bossy. First focusing on the greedy domain, in which a bidder's marginal values, if non-zero, always exceeds his budget, I show that there exists an unique reasonable mechanism, called the Iterative Second Price Auction. For the general domain, however, no reasonable mechanism exists. I propose a mechanism that is a partial solution, called budget VCG. It is based on the principle that a winning bidder must be able to pay the externality that he imposes on other bidders. The budget VCG mechanism partially attains Pareto optimality and has some good incentive properties.

Keywords: Economics.
Advisor: Kojima Fuhito primary advisor. Thesis advisor
Segal Ilya advisor. Thesis advisor
Wolitzky Alexander
Essays in public economics [electronic resource]

This dissertation brings together three papers that consider different public and labor policies and their impact on decision-makers. Although they take place in different settings, all of these papers inform our understanding of the outcomes policies produce. This knowledge facilitates improved future decisions and policy implementations. The first paper examines the effect of tuition subsidies on student college choices. Public tuition subsidies enable students enrolled at public colleges to pay less for their education than it costs. The institution-specific nature of tuition subsidies makes them controversial as they may distort student choices or have distributional consequences. The cuts in higher education funding in California from 2001-2010 produce plausibly exogenous tuition subsidy shocks that provide identification for the impact of tuition subsidies on student enrollment choices. Using detailed individual level data on student college enrollment and the tuition subsidy decreases experienced in the California public college system, I estimate a conditional logit college choice model. I find that a

Keywords: Business.
Advisor: Oyer Paul E. (Paul Edward)
Hoxby Caroline Minter advisor. Thesis advisor
Shaw Kathryn advisor. Thesis advisor
Essays on allocation [electronic resource]

The aim of this work is to provide a better theoretical and empirical understanding of the importance of allocation in several distinct settings. In the first chapter I model the dynamics of asset pricing and production during crises in financial market intermediation. Financial specialists help allocate risk by intermediating trade in riskless assets between households with heterogenous risk aversion, but face an equity capital constraint. Shocks to specialist net worth disrupt risk allocation, which can have significant effects on asset pricing and output in an environment with economically meaningful risk premia. In a calibrated version of the model, including rare disasters in production, a reduction in specialist net worth leads to a sharp decline in equity values, a dramatic increase in interest rate spreads and to a gradual reduction output. The second chapter studies the large observed changes in labor supply by women in the United States over the period from 1940-2009. I investigate if the transition of broad consumption shares away from agriculture and manufacturing and towards services (structural transformation) can account for the rise in female participation. A model of structural transformation and labor supply is constructed which differentiates between mental and physical labor, with women having a comparative advantage in mental labor. Structural transformation reallocates production to mental labor intensive service production from physical labor intensive agriculture and manufacturing, drawing women into the work force. I find that this model can account for much (70%) of the observed increase in female labor force participation but fails to properly account for the dynamics of the gender wage gap. I then present empirical evidence suggesting a link between structural transformation and female labor force participation. MSAs with a higher degree of structural transformation have seen a larger increase in female labor force participation in the period from 1986 to 2006. This iv results hold even with the degree of structural transformation is instrumented for using a measure soil quality. The third chapter is joint with Edison Yu. We quantify the evolution of capital and labor misallocation in the United States, by measuring firm level wedges in the marginal products of capital and labor using the approach developed in Hsieh and Klenow (2009) and document two facts -- (1) there is evidence of a substantial increase in misallocation measured in this manner over the period from 1970 to 2004 (2) contrary to several predictions there does not appear to be a strong counter cyclical component to misallocation, misallocation is, if anything, slightly procyclical -- suggesting that allocative efficiency might act as a moderating force during recessions.

Keywords: Economics.
Advisor: Klenow Peter J. primary advisor. Thesis advisor
Piazzesi Monika advisor. Thesis advisor
Schneider Klaus advisor. Thesis advisor
Essays on corporate and sovereign default [electronic resource]

In this dissertation I study a number of important questions about the sovereign and corporate credit markets. In the second chapter, I analyze the effect of the Credit Default Swap (CDS) market on sovereign borrowing. In chapter three, I study patterns of international reserve accumulation by emerging economies. In a joint project with Juliane Begenau on the corporate debt market, presented in chapter four, we focus on firm financing over the business cycle.

Keywords: Economics.
Advisor: Piazzesi Monika primary advisor. Thesis advisor
Schneider Martin (Professor of economics) primary advisor.
Amador Manuel (Manuel A.) advisor. Thesis advisor
Essays on financial intermediation [electronic resource]

This dissertation consists of three studies. In the first study I This paper extends the costly state verification model from Townsend (1979) to a dynamic and hierarchical setting with an investor, a financial intermediary, and an entrepreneur. Such a hierarchy is natural in a setting where the intermediary has special monitoring skills. This setting yields a theory of seniority and dynamic control: it explains why investors are usually given the highest priority on projects' assets, financial intermediaries have middle priority and entrepreneurs have the lowest priority; it also explains why more cash flow and control rights are allocated to financial intermediaries if a project's performance is bad and to entrepreneurs if it is good. I show that the optimal contracts can be replicated with debt and equity. If the project requires a series of investments until it can be sold to outsiders, the entrepreneur sells preferred stock (a combination of debt and equity) each time additional financing is needed. If the project generates a series of positive payoffs, the entrepreneur sells a combination of short-term and long-term debt. In the second study I I study optimal government interventions during asset fire sales by banks. Fire sales happen when a large portion of banks receive liquidity shocks. This depletes bank balance sheets directly and indirectly because these assets are used as collateral. The government can respond by buying distressed assets or buying stock from banks. Stock purchases do not deprive banks of collateral, but may have a lower effect on asset prices. The optimal policy depends on the elasticity of asset prices to asset supply and the amount of assets held by banks. Calibration to the recent financial crisis is provided. In the third study conducted with Attila Ambrus and Eric Chaney we use ransom prices and time to ransom for over 10,000 captives rescued from two Barbary strongholds to investigate the empirical relevance of dynamic bargaining models with one-sided asymmetric information in ransoming settings. We observe both multiple negotiations that were ex ante similar from the uninformed party's (seller's) point of view, and information that only the buyer knew. Through reduced-form analysis, we test some common qualitative predictions of dynamic bargaining models. We also structurally estimate the model in Cramton (1991) to compare negotiations in different Barbary strongholds. Our estimates suggest that the historical bargaining institutions were remarkably efficient, despite the presence of substantial asymmetric information.

Keywords: Economics.
Advisor: Schneider Martin (Professor of economics) primary advisor.
Zwiebel Jeffrey primary advisor. Thesis advisor
Segal Ilya advisor. Thesis advisor
Essays on microeconomics [electronic resource]

This dissertation collects several empirical studies of economic behavior; the first and second address consumer choice in an environment where sales tax differentials bring about differences in the total prices of similar goods sold in different locations, while the third addresses the identification of rules underlying behavior in strategic choice experiments.

Keywords: Economics.
Advisor: Levin Jonathan D. (Jonathan David)
Einav Liran advisor. Thesis advisor
Niederle Muriel advisor. Thesis advisor
Essays on the costs and benefits of ethnic diversity [electronic resource]

It is widely believed amongst scholars, policy-makers, and practitioners that ethnic and cultural mixing can threaten social prosperity. When communities and societies are comprised of individuals from different ethnic backgrounds and cultural beliefs, they tend to fractionalize and fight along those differences, in the worst cases triggering horrific forms of human oppression and violence. However, there is growing evidence in the social and behavioral sciences that diversity, because it is generally associated with greater variety of useful skills and insights, improves economic productivity and performance at intellective tasks like problem-solving, decision-making, and prediction -- skills that are critical for building smart, prosperous, and robust societies. The tradeoffs imposed by diversity raise a number of questions of increasing practical importance in today's world of globalization and cultural integration. If diversity generates both costs and benefits, what explains when one of the two opposing forces dominate? What is the net impact of diversity on the rate of social, political, and economic progress? What kinds of public policies and interventions can enable multiethnic groups and societies to minimize the costs of diversity while simultaneously realizing its benefits? This dissertation develops answers to these questions in the form of three analytical essays, drawing on insights and research methodologies from a number of disciplines, including political science, economics, social psychology, and organizational behavior. Altogether the essays provide a theoretical and empirical foundation for adjudicating between competing theories about diversity's tradeoffs and strategies for managing them.

Keywords: Political Science.
Advisor: Laitin David D. primary advisor. Thesis advisor
Cohen Joshua
Jha Saumitra advisor. Thesis advisor
Estimating model-form uncertainty in Reynolds-averaged navier-stokes closures [electronic resource]

Over the past several decades the role of numerical simulations has become increasingly important in the design of complex systems. In many such systems directly measuring or assessing the performance is prohibitively expensive, motivating the use of numerical simulations as a cost-effective alternative. As the role of simulations becomes more integral to the design and evaluation of such high risk systems, the ability to characterize and quantify the credibility or confidence in these simulation results becomes increasingly important. The subject of this thesis is one part of establishing credibility: uncertainty quantification (UQ). At its most basic level UQ tries to identify sources of uncertainty in the numerical simulation framework and characterize their influence on the solution. The focus of this work is a specific type uncertainty called model-form or "structural" uncertainty, which accounts for the assumptions, conceptualizations, or abstractions which the physics model relies upon, i.e. uncertainty in the mathematical structure of the model. The overarching goal of this thesis is to propose a general framework to address model-form uncertainty in complex numerical simulations. In the first portion of the thesis the framework is motivated and developed within the general context of computational analysis. A variety of analysis tools and concepts are explained in order to interpret the results provided in later chapters. The implementation of the framework to specifically investigate Reynolds-averaged Navier-Stokes turbulence model uncertainty is described in detail. The middle of the thesis shows application of the UQ framework to several turbulent flows, building a body of evidence for the utility of the approach. The cases are the incompressible developed channel and square duct, and the transonic flow over the Delery Case C geometry. These flows provide a hierarchy of unit level problems with increasing complexity and physical phenomena, allowing for investigation of the influence of the model-form framework in detail. The end of the thesis demonstrates the framework as part of a larger UQ analysis, within the context of establishing credibility for numerical simulations of the HyShot II scramjet engine. The various sources of uncertainty considered in this analysis are identified and described. The relative contributions to the overall uncertainty from these disparate sources is obtained, highlighting the importance of being able to independently analyze their influence.

Keywords: Mechanical Engineering.
Advisor: Iaccarino Gianluca primary advisor. Thesis advisor
Larsson Johan
Lele Sanjiva K. (Sanjiva Keshava)