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

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Research ranking of top ten Canadian universities in economics

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2009
Abstract: 

In this paper, I have provided a research ranking of ten top Canadian economics departments. The ranking is based on journal publications in a core set of 63 journals between1997 and 2007. The result shows that the top three departments in Canada are in the University of Toronto, University of British Columbia and University of Montreal. Comparisons of my results with rankings from other literature or rankings based on different criteria suggest that the relative positions of the top three Canadian universities have remained remarkably stable. There are only minor shifts in the relative positions of bottom-ranked universities. More deviations occur for the mid-ranked schools in the baseline ranking. While rankings remain quite stable the actual performance is changing with some moving up quickly and others moving down even amongst top departments. Moreover, it seems that higher ranked departments also have more evenly distributed research performance across all faculty members.

Document type: 
Thesis
File(s): 
Senior supervisor: 
G
Department: 
Dept. of Economics - Simon Fraser University
Thesis type: 
Project (M.A.)

Does foreign direct investment affect the growth rate in developing countries? The empirical evidence for the period 1970-2004

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2009
Abstract: 

This paper examines whether foreign direct investment (FDI) affects economic growth in developing countries within the standard neoclassical growth framework, based on data for 127 developing countries over the period 1970-2004. Both Ordinary Least Squares (OLS) and dynamic panel data estimation with fixed effects are used to assess this relationship. The results suggest that FDI does have direct positive effects on economic growth, and the effects of FDI are not contingent on the “absorptive capacity” of recipient countries.

Document type: 
Thesis
File(s): 
Senior supervisor: 
B
Department: 
Dept. of Economics - Simon Fraser University
Thesis type: 
Project (M.A.)

Integrated tax reform in economies with an endogenous informal sector

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2009
Abstract: 

In light of the existence of an informal sector in most developing countries, economists are beginning to reconsider the integrated tax reform consisting of a reduction in tari®s with an increase in VAT that has been advocated by the IMF in recent years. This paper explores the welfare change of such a reform in an economy in which the size of the informal sector is endogenously determined. Assuming that products are nontraded, the levy of VAT distorts the aggregate output; allowing the size of the informal sector to be determined endogenously worsens the situation. This leads to a conclusion which tends to favor an integrated tax reform toward tari®s under some plausible conditions. This result may help to explain the slow adoption of VAT in many developing countries.

Document type: 
Thesis
File(s): 
Senior supervisor: 
S
Department: 
Dept. of Economics - Simon Fraser University
Thesis type: 
Project (M.A.)

Three essays on monetary economics

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2009
Abstract: 

The thesis consists of three essays on monetary economics. In particular, I focus on using modern monetary theory with explicit microfoundations to address issues in macroeconomics concerning the effects of inflation and the coexistence of multiple assets. The first essay is motivated by the observation that economies undergoing high inflation often experience a reduction of variety in the marketplace. Existing models study how inflation affects quantity, but few have studied how inflation affects variety. In a monetary model with explicit microfoundations, I analyze how inflation affects variety and quantity. I consider bargaining and price posting with directed search. I show that inflation reduces both quantity and variety under both pricing mechanisms. Quantitatively, the model implies that the total welfare cost of 10% inflation ranges from 4.77% to 8.4% under bargaining and is 1.52% under price posting. In the second essay, I study an economy in which money and credit coexist as means of payment and the settlement of credit requires money. The model extends recent developments in microfounded monetary theory to address the choice of payment methods and the effects of inflation. Whether a buyer uses money or credit depends on the fixed cost of credit and the inflation rate. Based on quantitative analysis, the model suggests that the relationship between inflation and credit exhibits an inverse U-shape which is broadly consistent with the evidence. Compared to an economy without credit, allowing credit as a means of payment affects the economy's money demand, welfare and the welfare cost of inflation. In modern monetary theory, money is viewed as a substitute for the record-keeping technology. In the third essay, my coauthor and I investigate whether one money constitutes a perfect substitute for the record-keeping technology in a quasi-linear environment, where private information and limited commitment are present. We adopt the mechanism design approach and solve a planner's problem subject to various constraints. The result is that when money is divisible, concealable and in variable supply, one money may not be sufficient to replace the record-keeping technology. We further show that two monies are a perfect substitute for the record-keeping technology.

Document type: 
Thesis
File(s): 
Senior supervisor: 
D
Department: 
Dept. of Economics - Simon Fraser University
Thesis type: 
Thesis (Ph.D.)

Three essays on market microstructure and financial econometrics

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2009
Abstract: 

This thesis consists of three essays that study three interdependent topics: microstructure foundation of volatility clustering, inefficiency of information diffusion and jump detection in high frequency financial time series data. Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. The first essay forms Chapter 1 which presents a market microstructure model that is able to generate volatility clustering with hyperbolic autocorrelations through traders with multiple trading frequencies using Bayesian information updating in an incomplete market. The model illustrates that signal extraction, which is induced by multiple trading frequency, can increase the persistence of the volatility of returns. Furthermore, it is shown that the local temporal memory of the underlying time series of returns and their volatility varies greatly with the number of traders in the market. The second essay, Chapter 2, presents a market microstructure model showing that an increasing number of information hierarchies among informed competitive traders leads to a slower information diffusion rate and informational inefficiency. The model illustrates that informed traders may prefer trading with each other rather than with noise traders in the presence of the information hierarchies. Furthermore, it is shown that momentum can be generated from the trend following behavior pattern of noise traders. I propose a new nonparametric test based on wavelets to detect jump arrivals in high frequency financial time series data, in the third essay, Chapter 3. It is demonstrated that the test is robust for different specifications of price processes and the presence of market microstructure noise and it has good size and power. Further, I examine the multi-scale jump dynamics in U.S. equity markets and the findings are as follows. First, the jump dynamics of equities are entirely different across different time scales. Second, although arrival densities of positive jumps and negative jumps are symmetric across different time scales, the magnitude of jumps is distributed asymmetrically at high frequencies. Third, only twenty percent of jumps occur in the trading session from 9:30AM to 4:00PM, suggesting that jumps are largely determined by news rather than liquidity shocks.

Document type: 
Thesis
File(s): 
Senior supervisor: 
R
Department: 
Dept. of Economics - Simon Fraser University
Thesis type: 
Thesis (Ph.D.)

Three essays on fiscal federalism

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2009
Abstract: 

This dissertation consists of three essays on fiscal federalism. The first essay takes a political economy approach to fiscal centralization, through federation formation. I analyze a simple two region model of federalism with interregional policy spillovers. Departing from a state of independence with decentralized provision of public policy we analyze the proposed formation of a federation to internalize the spillovers. A federation forms when the centralized outcomes satisfy participation constraints. With this restriction to rational federalism we then consider equilibrium allocations under alternative institutional environments involving; simple majority voting, restriction of uniform taxation, and regional bargaining through a bicameral legislature. The analysis illustrates the importance of these institutions on the allocation of policy authority in federations that form. The model produces clear results with regards to the feasible set of equilibrium centralization and the allocations of publicly provided goods therein. In the second essay local governments compete over a mobile business property tax base by adjusting their tax rates. This paper estimates the effect of neighboring tax rates on a local government's tax rate. This tax setting best response function is estimated with a difference-in-differences model. Endogeneity of neighboring tax rates is avoided by using election outcomes as an instrumental variable. The model is estimated using data from the municipalities of British Columbia, Canada. The findings indicate that tax competition is a determining factor of tax setting behavior. The results are discussed with reference to the local government institutions and the rising property values. The third essay studies intergovernmental transfers. Many intergovernmental transfers are said to serve political purposes. I augment a standard model of political career concerns allowing for multilevel governance, to investigate this assertion. When elections are staggered, an equilibrium exists with positive transfers. These transfers are motivated by two factors; sabotaging challengers and rent smoothing. These transfers are non-partisan and an artifact of the electoral dynamics as prescribed by an electoral calendar and politicians' career concerns. These results are discussed with reference to the growing literature on the partisan basis of intergovernmental transfers.

Document type: 
Thesis
File(s): 
Senior supervisor: 
A
Department: 
Dept. of Economics - Simon Fraser University
Thesis type: 
Dissertation (Ph.D.)

Existence of regionality within the BC housing market

Date created: 
2008
Abstract: 

This paper analyzes the dynamics of the British Columbia housing market from 2005 to April 2008. The dataset allows for an investigation into the differentiation in prices that occurs within housing type (single family homes and condominiums) between regions of the province using dynamic panel analysis. Further, the Kolmogorov-Smirnov two-sample test is used to investigate the possible differences in distributions across housing type, regions and time. Significant differences in the variation of housing prices is found across regions and housing types.

Document type: 
Thesis
File(s): 
Senior supervisor: 
G
Department: 
Dept. of Economics - Simon Fraser University
Thesis type: 
Project (M.A.)

Is the Fama-French three factor model better than the CAPM?

Author: 
Date created: 
2005
Abstract: 

This paper compares the performance of the Fama-French three-factor model and the Capital Asset Pricing Model (CAPM) using two data sets. One set of portfolios is formed on size and the book-to-market equity ratio and another set is formed on industry. Using these two sets of portfolios, time series and cross-sectional tests are conducted over two different periods. The tests cannot unambiguously conclude that the three-factor model is better than the CAPM. Moreover, different data sets and periods yield different test results.

Document type: 
Thesis
File(s): 
Department: 
Department of Economics - Simon Fraser University
Thesis type: 
Project (M.A.)

Three essays on income and wealth

Author: 
Date created: 
2008
Abstract: 

This thesis consists of three empirical essays that study two independent topics: income under-reporting and immigrants’ portfolio allocations. The first essay forms Chapter 2 where we use data from the Survey of Financial Security and the Survey of Household Spending to estimate the incidence and extent of income underreporting in Canada. We find that roughly 20% to 40% of households underreport income by, on average, roughly $6,000 in 1999. In contrast to the existing literature, we show that self-employment status is a poor indicator of income under-reporting. We find that roughly 26% of non self-employed households under-report income, regardless of how self-employment status for households is determined. We profile income under-reporters and find that income underreporting is pervasive. We propose a simple ratio method of identifying income-under-reporting households for our second essay, Chapter 3. Our method is a straight-forward application of the Permanent Income Hypothesis; that is, households make consumption decisions based on their expected lifetime income not their reported lifetime income implying that consumption-to-income ratios should be higher for under-reporting households. We argue for using housing costs as the consumption measure in our approach. Our results confirm that households that under-report their income have mortgage-to-income ratios (MIR) or rent-to-income ratios (RIR) well in excess of those households that do not under-report. Using this finding, we propose using a Receiver Operating Characteristic (ROC) curve to determine the optimum cutoff threshold for MIR/RIR to detect under-reporters. Our third essay, Chapter 4, uses data from the 1999 and 2005 Survey of Financial Security to investigate the differences in portfolio allocations and values between immigrants and Canadian-born households. In general, we find that immigrants hold more real estate and less pension assets relative to Canadian-born households. Limited cohort analysis suggests that settled immigrants’ portfolio allocations are similar to that of Canadian-born households in contrast to recent immigrants’ portfolios. We also find evidence that the length of time living in Canada has a positive effect on ownership rate, share and value of both real estate and pension assets.

Document type: 
Thesis
File(s): 
Senior supervisor: 
K
Department: 
Dept. of Economics - Simon Fraser University
Thesis type: 
Thesis (Ph.D.)

An ounce of loyalty for a pound of cleverness: Allegiance and competence in authoritarian regimes

Author: 
Date created: 
2005
Abstract: 

This paper presents a simple framework illustrating how loyalty considerations may affect the ruler's choice of an adviser or a minister. The model suggests that the optimal competence level of the adviser should decrease with the bribe offered by the opposition group and the most severe punishment available to the dictator. The reward offered by the dictator increases with the bribe but decreases in the size of the worst available punishment. Paradoxically, this implies that higher incomes could be paid to less competent advisers in regimes where bribes are more generous or plotting groups are more affluent. Also, more brutal despots would find it optimal to hire less competent advisers. This supports the widely held view that constraints on the executive can improve a country's economic performance.

Document type: 
Thesis
File(s): 
Department: 
Department of Economics - Simon Fraser University
Thesis type: 
Project (M.A.)