Essays in Finance and Macroeconomics / Assa Cohen.

Format:

Book

Thesis/Dissertation

Author/Creator:

Cohen, Assa, author.

Contributor:

University of Pennsylvania. Economics, degree granting institution.

Language:

English

Subjects (All):

Finance.

Economics--Penn dissertations.

Penn dissertations--Economics.

Local Subjects:

Finance.

Economics--Penn dissertations.

Penn dissertations--Economics.

Physical Description:

1 online resource (176 pages)

Contained In:

Dissertations Abstracts International 85-03A.

Place of Publication:

[Philadelphia, Pennsylvania] : University of Pennsylvania, 2022.

Ann Arbor : ProQuest Dissertations & Theses, 2023

Language Note:

English

Summary:

The dissertation revolves around stability, especially in financial markets. The first chapter studies the role of concentration in intermediation services in the decline of liquidity in OTC markets in a crisis. I employ Regulatory TRACE data on the US Corporate Bonds Market to reveal that the market is notably segmented, with a few dealers dominating the trade in each bond. I establish a correlation between this concentration and a pronounced increase in spreads during a crisis. I suggest that dealers take advantage of their customers' acute liquidity needs by imposing higher spreads. I study this claim by calibrating a structural model to the COVID-19 Crisis and the preceding period. The calibrated model implies that alterations in asset composition that intensify adverse selection are crucial for the effect of concentration on spreads. Furthermore, these changes, combined with increased demand for liquidity, may cause the dealer sector to "clog" the market even if dealers are not facing tighter capacity constraints.In the second chapter, I investigate the impact of transient shocks on long-term growth, focusing on their role in shaping the nature of R&D. Using US Census survey data statistics, I provide evidence indicating that private sector investment in basic research is countercyclical and raises dramatically in downturns. I suggest that weak demand induces firms to transition towards long-term R&D, prompting them to pursue fundamental questions and ultimately fostering technological leaps. I embed the claim into a semi-endogenous growth model in which firms allocate their R&D investment between generating knowledge and applying knowledge to launch new products. I calibrate the model to assess the impact of a transient shock on the trajectory of productivity.In the third chapter, I use a theoretical model to study the impact of inflows of insured depositors on bank failure rates. I show that even a minimal number of insured players actively seeking higher interest rates can significantly exacerbate the severity of a banking crisis.

Notes:

Source: Dissertations Abstracts International, Volume: 85-03, Section: A.

Advisors: Ordonez, Guillermo; Committee members: Goldstein, Itay; Cole, Harold; Fernandez-Villaverde, Jesus; Lester, Benjamin.

Department: Economics.

Ph.D. University of Pennsylvania 2023.

Local Notes:

School code: 0175

ISBN:

9798380384537

Access Restriction:

Restricted for use by site license.

This item is not available from ProQuest Dissertations & Theses.