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Essays on Macro Finance / Dick Geert Arno Oosthuizen.
- Format:
- Book
- Thesis/Dissertation
- Author/Creator:
- Oosthuizen, Dick Geert Arno, author.
- Language:
- English
- Subjects (All):
- Finance.
- Public policy.
- Economics--Penn dissertations.
- Penn dissertations--Economics.
- Local Subjects:
- Finance.
- Public policy.
- Economics--Penn dissertations.
- Penn dissertations--Economics.
- Physical Description:
- 1 online resource (244 pages)
- Distribution:
- Ann Arbor : ProQuest Dissertations & Theses, 2023
- Contained In:
- Dissertations Abstracts International 84-12A.
- Place of Publication:
- [Philadelphia, Pennsylvania] : University of Pennsylvania, 2022.
- Language Note:
- English
- Summary:
- This dissertation is composed of three chapters on macro finance. The first chapter documents the rise of residential institutional investors, and explores its implications. The second chapter proposes a new tool to filter non-linear dynamic models. The third chapter assesses the relationship between optimal deposit insurance financing and banking fragility.Chapter 1 presents evidence for the rise of institutional investors. Residential institutional investors increased their market share of rental houses from 17% in 2001 to 28% in 2018. Along with this change, survey data show that the annual house operating-cost premium of institutional investors relative to homeowners fell. To measure how these reduced costs affected the housing bust in 2007-2011, I build a general equilibrium heterogeneous agent housing model featuring corporate investors and two types of dwellings. The corporate-cost reduction moderated the house price fall, amplified the drop in the homeownership rate, and mainly benefited existing owners.Chapter 2 proposes a new tool to filter non-linear dynamic models that does not require us to fully specify the model. We can use a flexible statistical model and a known measurement equation to back out a hidden state if the following two conditions are met. First, the state must be sufficiently volatile or persistent. Second, the possibly non-linear measurement must be sufficiently smooth and map uniquely to the state absent measurement error. We illustrate the method through simulation studies and an application to a small open economy model with an occasionally binding constraint.Chapter 3 present a quantitative model of deposit insurance. We characterize the policymaker's optimal choices of coverage for depositors and premiums raised from banks. Premiums contribute to a deposit insurance fund that lowers taxpayers' resolution cost of bank failures. We find that risk-adjusted premiums reduce moral hazard, enabling the policymaker to increase deposit insurance coverage by 3 percentage points and decrease the share of expected annual bank failures from 0.66% to 0.16%. The model predicts a fund-to-covered-deposits ratio that matches the data and declines in taxpayers' income due to taxpayers' risk aversion.
- Notes:
- Source: Dissertations Abstracts International, Volume: 84-12, Section: A.
- Advisors: Rios-Rull, Jose-Victor; Mendoza, Enrique Gabriel; Committee members: Krueger, Dirk.
- Department: Economics.
- Ph.D. University of Pennsylvania 2023.
- Local Notes:
- School code: 0175
- ISBN:
- 9798379751340
- Access Restriction:
- Restricted for use by site license.
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