Economics - Theses, Dissertations, and other Required Graduate Degree Essays

Receive updates for this collection

Evolution of Canadian Business Cycle with Terms of Trade

Author: 
Date created: 
2016-04-19
Abstract: 

The terms of trade of commodity exporting small open economies are subject to large variations, and can be an important source of macroeconomic fluctuations. This paper quantifies the relationship between the terms of trade and the business cycle using a small open economy real business cycle model. I then use this model to explore the implications of terms of trade shocks as a source of business cycle fluctuations in Canada. Results suggest that terms of trade shocks have been increasingly important in Canada since the commodity price boom in 2002.

Document type: 
Graduating extended essay / Research project
File(s): 
Supervisor(s): 
Kenneth Kasa
Department: 
Arts & Social Sciences: Department of Economics
Thesis type: 
(Project) M.A.

Essays on Macroeconomic Policies: Experiments and Simulations

Date created: 
2016-04-25
Abstract: 

The first paper of this thesis (Chapter 2) explores how expectations of inflation and output are influenced by central bank forward guidance within a learning--to--forecast laboratory macroeconomic environment. Subjects are incentivized to forecast the output gap and inflation. An automated central bank forms projections about the economy assuming subjects form expectations following the REE solution. The central bank communicates output and/or inflation projections, interest rate projections, or no information. Communicating about future output or inflation generally reduces the degree to which subjects rely on lagged information and increases their reliance on the REE solution. Interest rate projections, by contrast, do not significantly alter subjects' forecast accuracy or disagreement. Central bank credibility significantly decreases when the central bank makes larger forecast errors when providing forward guidance about either output and inflation, but not when they provide a dual projection. Our findings suggest that expectations are best coordinated and stabilized by communicating output and inflation forecasts simultaneously. The second paper of this thesis (Chapter 3) evaluates the central bank communication of its future inflation and output expectations to reduce economic variations in the event of a demand or cost--push shock. Four communication strategies are tested: no communication, communicating output, communicating inflation, and communicating output and inflation. Two Taylor rules are considered: (a) central bank interest rate responds to inflation and output (flexible inflation targeting [IT]), and (b) central bank responds only to inflation (strict IT). We find that with a demand shock, communicating future inflation reduces output variations and increases inflation and interest rate variations; however, communicating output stabilizes inflation and interest rates and destabilizes output (the interest rate rule did not matter qualitatively). With a cost--push shock, communicating future output decreases inflation and interest rate variability, irrespective of Taylor rule qualitatively. In order to stabilize output, a central bank should be uncommunicative under flexible IT but should communicate future inflation under strict IT. The third paper of this thesis (Chapter 4) studies the effect of the degree of information observability on bank runs in a sequential laboratory environment. We conduct an experiment with ten depositors in a queue who are randomly ranked to submit their decisions. The depositors decide between withdrawing their deposit or waiting and leaving their deposit in a common experimental bank. Two treatments are considered: a sequential high-information treatment, and a sequential low--information treatment. In both treatments, depositors who are in the front of the queue tend to withdraw more than those at the back of the queue. Moreover, depositors are responsive to the information about the preceding withdrawals within a period. We find that in the sequential high--information treatment the possibility of observing preceding withdrawals increases the likelihood of bank runs compared to a sequential-low information treatment.

Document type: 
Thesis
File(s): 
Supervisor(s): 
Jasmina Arifovic
Department: 
Arts & Social Sciences: Department of Economics
Thesis type: 
(Thesis) Ph.D.

Essays on Social and Economic Networks

Date created: 
2016-04-13
Abstract: 

Peer pressure and social networks are powerful influences on behaviour. The focus of this thesis is studying the channels through which social networks impact individuals’ choices and outcomes in three different contexts.The first paper of this thesis (Chapter 2) develops a theoretical network-based model of Twitter, formulating individual interaction as a dynamic game in which heterogenous agents choose a ‘niche’ to tweet in, and whom to follow. By characterizing the stable networks that the dynamic Markov process converges to, we show that information does not diffuse as widely as one might expect: although many agents are directly or indirectly connected to each other, agents strategically filter information in accordance with their niche.The second paper of this thesis (Chapter 3) presents a social network model of criminal activity, where agents’ payoffs depend on the structure of their connections with each other. The Nash equilibria in crime activity are characterized, and the theoretical results are used to identify the optimal network, which maximize the sum of agents’ payoffs, by searching over all possible non-isomorphic graphs of given size. In addition, the effects of different anti-crime policies on the optimal crime network structure and the overall crime level are analyzed and presented.The third paper of this thesis (Chapter 4) studies the direct and spillover effects of social interactions on fundraising and engagement activities in a network of volunteers from Engineers Without Borders, Canada. The network effects are modelled through two separate channels: a strategic interaction term which affects the marginal benefit from supplying effort and a direct spillover term affecting the level of payoff. This model is estimated using several online and offline networks via instrumental variables and system GMM. The results always present large significant levels of strategic complementarities in fundraising activities. However, in engagement activities, strategic complementarities are only significant in online networks. Additionally, engagement activities exhibit positive significant levels of direct spillovers for all networks. In contrast, in fundraising campaigns, the direct spillover effect is only significant in large offline networks.

Document type: 
Thesis
File(s): 
Supervisor(s): 
Alexander Karaivanov
Department: 
Arts & Social Sciences: Department of Economics
Thesis type: 
(Thesis) Ph.D.

Essays on Applied Econometrics

Author: 
Date created: 
2016-03-07
Abstract: 

This thesis is composed of three essays on labor and education in Iran and Canada.In the first chapter, I estimate the effect of having children on labor force participation of mothers in urban Iranian areas. I exploit sex composition of children as an exogenous source of variation in family size to account for endogeneity of fertility. Using information from the Iranian Household Income and Expenditure Survey (HIES) over three samples, namely households with one and more, two and more, and three and more children, I find no significant effect of fertility on female labor force participation in Iran.In the second chapter, I estimate family member’s resource shares and investigate gender bias in intra-household resource allocation. I follow Dunbar et al. (2013) in that I estimate the household member’s resource shares by observing how budget shares on private assignable goods vary with total expenditure and family size. I extend their methodology to analyze how sex composition of children influences resource shares. Using data from the 2005 Iranian Household Income and Expenditure Survey (HIES), I find that in Iranian rural areas parents assign 1.6 to 1.9% more resources toward their sons. Similarly, I find that mothers in all-boy families get 2.8 to 3.6% less resources than in all-girl families. These effects are more pronounced among farmer families. In contrast, I find no significant role of gender composition on intra-household resource allocation in Iranian urban areas.In the final chapter I, jointly with Dr. Friesen and Dr. Woodcock, investigate the question of whether schools that charge private tuition deliver higher quality education compared to their public counterparts has proven very challenging. This paper contributes new evidence regarding the quality of private schools relative to public schools. We use a longitudinal student-level data set from British Columbia, Canada that comprises the entire population of students in fourth through seventh grade who enrolled in public or private schools. We apply a procedure developed by Abowd et al. (2002), which allows us to exploit mobility between schools to estimate a full set of both school and student fixed effects.

Document type: 
Thesis
File(s): 
Supervisor(s): 
Simon Woodcock
Krishna Pendakur
Department: 
Arts & Social Sciences: Department of Economics
Thesis type: 
(Thesis) Ph.D.

Asset valuation operators with diffusion processes

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
1981
Abstract: 

Heaney and Garman develop a linear valuation operator which prices risky income streams when arbitrage profits are precluded. Both study the case where the states of nature are presumed to follow a diffusion process over the real line; each developing a differential equation involving the values (prices) of assets, as a function of the underlying states and time, dividends to these assets and the valuation operator.

It is shown that the differences in the developments of these two equations - arising partially from different definitions of diffusion processes - are more apparent than real. These differences in derivation are only changes in the order that the steps are performed, not the application of different assumptions.

Further, Heaney's differential equation, which governs the valuation operator for all times and states, is shown to hold only when a certain consistency condition is satisfied. Requiring this condition to be satisfied restricts the class of accepted no-arbitrage economies, but allows the valuation operator to be obtained from Heaney's equation.

Lastly the effect of barriers to the diffusion process is investigated. 

File(s): 
Supervisor(s): 
Robert Grauer
Department: 
Arts & Social Sciences: Department of Economics
Thesis type: 
(Project) M.A.

Essays on Market Microstructure and Foreign Exchange Market

Date created: 
2015-08-04
Abstract: 

High frequency trading (HFT) has become a predominant feature of financial markets. Thisthesis studies different aspects of the HFT in the Electronic Broking Services (EBS) interbank foreign exchange (FX) market.The first paper of this Thesis (Chapter 1) studies changes in the spread, market depth anddegree of adverse selection due to the lower minimum tick size. The main conclusion is that thereduction in the spread was mostly absorbed by the HFTs, whereas the manual traders were pushedback from the top of the order book and experienced longer execution times. Manual marketmakers were willing to cross the spread and act as market takers changing the informationalcontent of the order flow. Market depth was reduced significantly following the introduction ofdecimal pip pricing. The second paper of this Thesis (Chapter 2) presents the effect of the tick size change onthe adverse selection problem in the EBS market. Econometric analysis of serial correlationproperties of jumps in exchange rates, and of the spread leads to the conclusion that adverseselection is reduced by tick size change. Similar cleavage occurs before and after tick size changein an empirical adverse selection proxy. This chapter sheds light on trading behavior of marketparticipants. The third paper of this thesis (Chapter 3) discusses the properties of triangular arbitrageopportunity in the EBS market. The results cast into question current understanding of triangulararbitrage in the literature, specifically in relation to algorithmic trading. The increasingpresence of algorithmic traders does not offer significant improvement in speed of price discoveryby quickly consuming the triangular arbitrage opportunities. Rather, algorithmic tradinginfluences the creation of triangular arbitrage by two countervailing effects.

Document type: 
Thesis
File(s): 
Supervisor(s): 
Ramazan Gencay
Robert Jones, Alain Chaboud
Department: 
Arts & Social Sciences: Department of Economics
Thesis type: 
(Thesis) Ph.D.

Papers in Economic Theory and the Biological Foundations of Economics

Date created: 
2015-11-06
Abstract: 

Chapter 1 gives the introduction to this thesis, describing the three essays that are contained herein. Chapter 2 is joint work with Erik Kimbrough and Arthur Robson. The article investigates the evolutionary foundation for our capacity to attribute preferences to others. It develops a theoretical model of this ability that the authors call “Theory of Preferences” (ToP), and then shows that ToP yields a sharp, unambiguous advantage over less sophisticated approaches to strategic interaction. The advantage to ToP arises because agents with this ability can extrapolate to novel circumstances information about opponents’ preferences that was learned previously. The chapter reports on experiments investigating ToP in a simpler version of the theoretical model. It finds highly significant learning of opponents’ preferences, providing strong evidence for the presence of ToP as in the model among subjects. Moreover, scores on standard measures of autism-spectrum behaviors are significant determinants of individual speeds of learning in experiments, so the notion of ToP is significantly correlated with theory of mind as in psychology. Chapter 3 studies the third party provision of information in a dynamic reputation model. Information is sold to consumers by a profit maximizing intermediary with monopoly access to information about a long run firm. The paper characterizes the optimal disclosure rule from the point of view of the intermediary, and shows that if consumers act as price takers in the market for information, then in every equilibrium the intermediary extracts from consumers the highest price possible for information. The resulting equilibrium is inefficient. Chapter 4 extends a matching and bargaining model of decentralized trade first developed by Gale and Sabourian (2005). The extension considers a market in which sellers bring to market several units rather than just one. The article then studies the effect on efficiency of an aversion to complexity among the agents. It shows that complexity aversion can preclude efficient exchange in contrast to the original model by Gale and Sabourian (2005). Allowing an agent to trade several times introduces an important strategic aspect that does not arise when each seller has only one unit for sale. In particular, a several-unit seller must consider, not only the price at which he currently trades, but also the effect of his exchange on future market conditions. A seller with several units thus attempts to manipulate the price in the future by engaging in inefficient trades currently.

Document type: 
Thesis
File(s): 
Supervisor(s): 
Arthur Robson
Department: 
Arts & Social Sciences: Department of Economics
Thesis type: 
(Thesis) Ph.D.

Early Life Environments and Long Term Outcomes

Date created: 
2015-05-20
Abstract: 

A large literature has linked “in utero” environment to health and socio-economic outcomes in adulthood. We consider the effect of early life environments on health and skill formation outcomes. We first evaluate the impact of perinatal-neonatal level of technology at birth, which varies across delivery institutions, on the long-term neurodevelopmental outcomes of children with Cerebral Palsy. The level of technology at delivery determines the type of therapy newborns receive immediately after birth. The type of therapy is critical to prevent or treat adverse events around labor and delivery which determine later neurological and neurocognitive impairments such as CP. We evaluate the relationship between availability of neonatal technology, which is associated with levels of care at delivery hospitals, and CP nonambulatory status, using data from the Canadian Multi-Regional Cerebral Palsy Registry. In a follow-up paper we further explore the efficiency of neonatal transfers across Quebec neonatal system. We find robust evidence that there is no statistical significant relationship between level of neonatal care at birth and CP severity. This finding means that differences in levels of neonatal care and associated technology available at delivery are not associated at the margin with the risk of a non-ambulatory CP phenotype among children with CP. Overall we conclude that, in the Quebec regionalized neonatal care system, there is no gain to increasing the level of care assigned to mothers at risk of CP. We estimate the effect of mothers’ participation in the Supplementary Nutrition Assistance Program and the Special Supplemental Nutrition Program for Women, Infants, and Children on early cognitive and non-cognitive developmental outcomes as measured by the Bayley Scales of Infant Development. Our data are from a large, prospective, community-based panel study of mother-infant pairs. In this rich data set we can directly identify the change in neurodevelopmental outcomes associated with changes in food programs uptake. In a model where unobserved heterogeneity only affects the level of neurodevelopmental outcomes this can be interpreted as a causal effect. Our results suggest that brief prenatal investments may be more cost effective than traditional educational interventions in improving early childhood developmental outcome.

Document type: 
Thesis
File(s): 
Supervisor(s): 
Krishna Pendakur
Department: 
Arts & Social Sciences:
Thesis type: 
(Thesis) Ph.D.

Income Inequality in Brazil: Is Education Quality an Important Determinant?

Date created: 
2015-07-29
Abstract: 

This paper examines the contribution of education quality to income inequality in Brazil. More specifically, I look at the average income of municipalities in Brazil to observe how much the disparities in education quality across municipalities account for income inequality. Three commonly used methods to study income inequality are implemented: decomposition by population subgroups, a regression-based approach and the Oaxaca-Blinder decomposition. Using different measures for education quality, I find that the provision of a good measured education among public schools contributes little to the variation of average income across municipalities.

Document type: 
Graduating extended essay / Research project
File(s): 
Supervisor(s): 
Fernando Aragon
Department: 
Arts & Social Sciences:
Thesis type: 
(Project) M.A.

Is that where you work or what you do? Understanding job polarization in Brazil

Date created: 
2015-04-29
Abstract: 

Although relatively well documented and accepted in the US and Europe, the notion of labour market polarization is not so clear in the developing world. In this study, I aim to answer two questions: (i) Are the patterns of employment and wage polarization seen in the industrialized countries also found in Brazil? And (ii) has the occupational structure--what you do--gained importance over the sectoral structure--where you work--in explaining the dynamics of the labour market. By applying standardized and reproducible aggregations of occupations by task content, I found strong evidence of employment polarization but not of wage polarization. Moreover, this study corroborates the idea that the occupational structure is a key driving force behind the determination of employment and wage dynamics, although further investigation is required to understand the relationship between job polarization and the wage distribution. This study also contributes to the literature by adjusting the classification of occupations (CBO) and activities (CNAE) to make the categories compatible before and after the 2002 changes. Thus, I preserved all the National Household Survey Sample’s (PNAD-IBGE) valid responses between 1981 and 2013.

Document type: 
Graduating extended essay / Research project
File(s): 
Supervisor(s): 
John Knowles
Department: 
Arts & Social Sciences:
Thesis type: 
(Project) M.A.