Essays on Asset Pricing, Debt Valuation, and Macroeconomics / Ram Sai Yamarthy.

Format:

Book

Thesis/Dissertation

Author/Creator:

Yamarthy, Ram Sai, author.

Contributor:

Yaron, Amir, degree supervisor.

Gomes, Joao F., degree supervisor.

Shaliastovich, Ivan, degree committee member.

Roussanov, Nikolai, degree committee member.

Jermann, Urban, degree committee member.

University of Pennsylvania. Finance, degree granting institution.

Language:

English

Subjects (All):

Finance.

Economics.

Economic theory.

Finance--Penn dissertations.

Penn dissertations--Finance.

Local Subjects:

Finance.

Economics.

Economic theory.

Finance--Penn dissertations.

Penn dissertations--Finance.

Genre:

Academic theses.

Physical Description:

1 online resource (140 pages)

Contained In:

Dissertation Abstracts International 79-01A(E).

Place of Publication:

[Philadelphia, Pennsylvania]: University of Pennsylvania ; Ann Arbor : ProQuest Dissertations & Theses, 2017.

Language Note:

English

System Details:

Mode of access: World Wide Web.

text file

Summary:

My dissertation consists of three chapters which examine topics at the intersection of financial markets and macroeconomics. Two of the sections relate to the valuation of U.S. Treasury and corporate debt while the third understands the role of banking frictions on equity markets.

More specifically, the first chapter asks the question, what is the role of monetary policy fluctuations for the macroeconomy and bond markets? To answer this question we design a novel asset-pricing framework which incorporates a time-varying Taylor rule for monetary policy, macroeconomic factors, and risk pricing restrictions from investor preferences. By estimating the model using U.S. term structure data, we find that monetary policy fluctuations significantly impact inflation uncertainty and bond risk exposures, but do not have a sizable effect on the first moments of macroeconomic variables. Monetary policy fluctuations contribute about 20% to the variation in bond risk premia.

Models with frictions in financial contracts have been shown to create persistence effects in macroeconomic fluctuations. These persistent risks can then generate large risk premia in asset markets. Accordingly, in the second chapter, we test the ability that a particular friction, Costly State Verification (CSV), has to generate empirically plausible risk exposures in equity markets, when household investors have recursive preferences and shocks occur in the growth rate of productivity. After embedding these mechanisms into a macroeconomic model with financial intermediation, we find that the CSV friction is negligible in realistically augmenting the equity risk premium. While the friction slows the speed of capital investment, its contribution to asset markets is insignificant.

The third chapter examines how firms manage debt maturity in the presence of investment opportunities. I document empirically that debt maturity tradeoffs play an important role in determining economic fluctuations and asset prices. I show at aggregate and firm levels that corporations lengthen their average maturity of debt when output and investment rates are larger. To explain these findings, I construct an economic model where firms simultaneously choose investment, short, and long-term debt. In equilibrium, long-term debt is more costly than short-term debt and is only used when investment opportunities present themselves in peaks of the business cycle.

Notes:

Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.

Advisors: Joao F. Gomes; Amir Yaron; Committee members: Urban Jermann; Nikolai Roussanov; Ivan Shaliastovich.

Department: Finance.

Ph.D. University of Pennsylvania 2017.

Local Notes:

School code: 0175

ISBN:

9780355129755

Access Restriction:

Restricted for use by site license.