Essays in Empirical International Finance and Macroeconomics
Notice bibliographique
Résumé
This dissertation provides insights into examining and understanding the questions and puzzles of the exchange rate movement, in relation to a variety of topics, including the commodity price boom, Dutch disease, capital controls, manufacturing production and exports, de-industrialization, uncovered equity parity, portfolio rebalancing and arbitrage, structural oil shocks, stock market performance, and market integration. The first chapter is motivated by the Dutch disease phenomenon disturbing many commodity-exporting developing countries, of which their natural resource abundance is a curse rather than a bless. In a resource-rich country, commodity windfall gains generally induce real exchange appreciation, harming its price competitiveness of manufactured exports in global markets, leading to de-industrialization and slower economic growth. We propose a theoretical three-sector small open economy model, which hypothesizes capital controls as a potential remedy to alleviate the Dutch disease, by mitigating the transmission of commodity price shocks to real exchange rate appreciation and preserving the manufactured exports - one of the main engines of economic growth. Based on a panel dataset of 37 non-oil commodity-exporting developing countries over the period from 1980 to 2017, we find that a more excessive commodity currency appreciation indeed has a more detrimental impact on the export performance of the manufacturing sector. Restrictions on capital flows, especially on FDI inflows, tend to relieve real appreciation pressures and mitigate the severity of the Dutch disease in accordance with our hypothesis. Our findings suggest the countercyclical use of capital controls in commodity-exporting countries to foster economic diversification and improve their growth potential.\nSecond chapter develops a semiparametric time-varying coefficients risk adjusted uncovered equity parity (TV-RUEP) model by incorporating nonparametric estimation on time-varying coefficients into parametric RUEP structure. Empirically, this chapter investigates on the relationship between exchange rates and stock market returns between the U.S. and (i) developed countries: Japan and the U.K., or (ii) Asian emerging markets: Malaysia, Singapore, South Korea, and Thailand, from January 1990 to April 2021. The TV-RUEP model allows us to measure and interpret the time variations in: (1) the degree of market integration, (2) investors’ portfolio reallocation behavior, and (3) the validity and deviation of uncovered equity parity condition. Besides, this paper sheds lights on the predictability of equity return differential on the exchange rate return, which implicitly predicts the validity and persistence of UEP condition, particularly in the US-UK case. \nThird chapter employs the GARCH-MIDAS model to decompose the Canadian exchange rate volatility into short-term and long-term volatility components, which investigates the response of daily volatility to monthly structural oil shocks - the demand or supply sources of oil price fluctuations. We consider three types of Canadian nominal effective exchange rate indexes, and four types of structural oil shock - oil supply shock, economic activity shock, oil-specific consumption demand shock, and oil inventory demand shock. Empirically, the volatilities of exchange rate react heterogeneously to structural oil shocks: in general, exchange rate volatilities are positively affected by oil supply shock, economic activity shock, and oil consumption demand shock, while oil inventory demand shock does not predict exchange rate volatility. Robust results are found when both a structural oil shock and the realized volatility are included to predict the exchange rate volatility. Moreover, subsample period analysis finds the divided responses of exchange rate volatility to certain structural oil shocks before vis-à-vis after the oil crash in July 2008.\n\n
Récupéré en direct depuis OpenAlex et désinversé. Les résumés ne sont pas conservés dans cette base de données : les index inversés représentent 8,6 Go des 9,3 Go de texte de la base, et le serveur dispose de 13 Go libres.
Comment cette classification a été obtenuedéplier
Prédiction machine sur la base complète
Imitation des enseignantsNi prévalence calibrée, ni vérité terrain. Validation humaine à venir. Le volet Gemma est une étiquette directe du modèle pour chaque travail de la base, lue sur la notice réduite au titre. Le volet Codex est un classifieur appris des 10 348 étiquettes directes de Codex et calibré sur les taux pondérés de l'échantillon; les champs sans appui suffisant ne portent aucun appel Codex. Le mode candidate est l'union des deux volets; le consensus est leur intersection. Ces sorties portent le statut machine_predicted_unvalidated et ne sont pas des étiquettes humaines.
Scores du classifieur distillé par catégorie (deux têtes)
| Catégorie | Codex | Gemma |
|---|---|---|
| Métarecherche | 0,004 | 0,016 |
| Méta-épidémiologie (sens strict) | 0,001 | 0,000 |
| Méta-épidémiologie (sens large) | 0,002 | 0,001 |
| Bibliométrie | 0,004 | 0,007 |
| Études des sciences et des technologies | 0,001 | 0,004 |
| Communication savante | 0,005 | 0,006 |
| Science ouverte | 0,001 | 0,002 |
| Intégrité de la recherche | 0,003 | 0,005 |
| Charge utile insuffisante (le modèle a refusé de juger) | 0,020 | 0,005 |
Scores machine (provisoires)
Les deux têtes enseignantes du modèle étudiant, lues sur ce travail. Un score ordonne la base pour la relecture; il n'affirme jamais une catégorie, et le statut de validation accompagne chaque rangée tel quel.
Scores de référence d'un modèle non mature (critères de maturité non atteints, 7 itérations). Un score ordonne; il n'affirme jamais une catégorie.
score_only:v0-immature-baseline · tel quel depuis la passe de notation : score_only signifie que le nombre peut ordonner les travaux, et qu'aucune étiquette de catégorie n'en découleClassification
machine, non validéePrédiction automatique; un appel candidat d’une seule source (Gemma direct ou Codex distillé), pas un consensus.
Le détail, modèle par modèle et score par score, se trouve en fin de page sous « Comment cette classification a été obtenue ».