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Essays on Asset Pricing and Monetary Policy / Xiaoliang Wang.
- Format:
- Book
- Thesis/Dissertation
- Author/Creator:
- Wang, Xiaoliang, 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 (286 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:
- US monetary policy has large impact on global financial market, especially asset prices. My dissertation studies the transmission of US monetary policy shocks to the international financial market through the lens of financial intermediaries. It consists of three chapters that show that global financial institutions play the crucial role for the pass-through of US monetary policy shocks in the international setting. In Chapter 1 (joint with Mengbo Zhang), we investigates the transmission mechanism of US (un)conventional monetary policy shocks to exchange rates through the lens of global investors' portfolio rebalancing. To quantitatively examine this mechanism, we develop a two-country New Keynesian dynamic stochastic general equilibrium (DSGE) model with financially constrained banks and foreign exchange (FX) dealers. Our quantitative analysis indicates that FX dealers' limited liquidity intermediation plays a crucial role for the effectiveness of QE in an open economy.In Chapter 2, I identify the long-run risks (LRR) in the frequency domain, and further estimate the macro (consumption) risk premia in different frequency ranges. I further propose a Bayesian implementation of two-pass regression to estimate the consumption risk premia in different frequency bands. My empirical findings show that there is a low- frequency component (LRR) in consumption, which drives the long-run comovement of its with different financial variables. Importantly, the identified relevant cycles of LRR span around from 3 to 35 years.In Chapter 3 (joint with Nikolai Roussanov), we document that U.S. dollar exchange rate are predictable by U.S. bond yields in the weeks around monetary policy announcements, rising following an increase in yields. In the post zero- lower-bound period, the information in the "path" factor that reflects forward guidance surprises is impounded in the exchange rate over five days following the FOMC meeting. Foreign exchange dealers increase dollar purchases immediately following a monetary tightening, while funds and non-bank financial institutions do so with a 3-5 day delay and banks serve as liquidity providers. These flows explain much of the exchange rate predictability that we document.
- Notes:
- Source: Dissertations Abstracts International, Volume: 84-12, Section: A.
- Advisors: Roussanov, Nikolai; Schorfheide, Frank; Committee members: Drechsler, Itamar; Landvoigt, Tim.
- Department: Economics.
- Ph.D. University of Pennsylvania 2023.
- Local Notes:
- School code: 0175
- ISBN:
- 9798379750930
- Access Restriction:
- Restricted for use by site license.
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