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

Receive updates for this collection

Essays on artificial stock market methods

Author: 
Date created: 
2005
Abstract: 

This dissertation proposes a two-risky-asset Artificial Stock Market Model and investigates its applications in financial markets. In the first essay, this model is applied to the stock market. Simulation results show that within some range of the parameters, the model can replicate many stylized facts of real financial data and some financial anomalies. This essay also finds that the dynamics of the model and the simulated results can be explained well by two approximation equations: the bubble pricing equation and the mean difference equation of the market share. The second essay applies the noise trader version of this model to the foreign exchange market and aims at solving the equilibria selection dilemma in the context of Kareken and Wallace (1981). The simulation results show that if agents have full memory, the average portfolio fraction will converge and the initial equilibrium that it converges to is history dependent. However under the lasting evolutionary pressure brought by the noise trader, the asymptotical outcome will be history independent. The model will converge to the neighborhood of an equilibrium with agents equally putting their savings into two currencies. If the agents do not have full memory, the foreign exchange market will show periodic crises. Before and after a market crisis, the exchange rate will converge to different stationary equilibria. A mean difference equation of the average portfolio fraction is also given to describe the dynamics of the model. The third essay aims at revealing the role played by the self-referential process inside the artificial stock models, and studying how it is related to the model performance. Three potential dangers that can make a GA learning model degenerate to a pure numerical optimization process are identified. It is also found that although the strength of the self-referential process may not change the convergence property of a GA model, it may lead to substantial differences in the model dynamics before the convergence is achieved.

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

Educational inequalities across social groups in India

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No, item is not peer reviewed.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

School enrolment and educational attainment of primary and secondary school-going children in India are estimated by social group, using the India Human Development Survey, 2005. The main findings of this paper are that Muslims as a social group has by far the lowest probability of enrolment and attainment of education as measured by current enrolment and completed years of education, followed by Scheduled Tribes and Scheduled Castes. The ‘social group effect’ is smaller in magnitude for enrolment of children of primary schooling age than for secondary school-aged children; bigger in magnitude for educational attainment of female as compared to male children.

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

Visible minorities` educational choices in Canada

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

Paper investigates educational choices of visible minorities in Canada, educational attainment and choices over fields of study. Using 2001 Canada Census data and multinomial logistic regression, research finds that choices over level of education and field of study significantly differ among visible minorities. The choices of visible minorities’ males and females differentiate substantially; insights into visible minorities` culture and role of education might explain those differences. Mathematics, computer and physical sciences, engineering, medicine and business are among the most likely choices of Chinese, and South Asians men visible minorities. Compared to Chinese and South Asian visible minority, Black visible minority does not display the same propensity to achieve superior educational outcomes. Paper argues that research on visible minorities` culture and values could illuminate choices over education.

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

Are people inherently corrupt? cross country comparison: Paraguay versus Canada

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

The paper studies the behaviour of Canadian and Paraguayan citizens regarding corruption. This paper presents an experiment that was carried out in both countries. Results show that attitude toward corruption differs from one country to another. Participants in Canada showed a higher tolerance to corruption compared to participants in Paraguay. The paper concludes that the reason behind the difference in behaviour is due to the negative implications corruption have in Paraguay compared to Canada. Participants from Canada believe corruption is not a problem for the country while Paraguayans ranked corruption as the main problem the country faces.

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

Three essays in applied financial econometrics

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

Efficiency is perhaps one of the most important concepts associated with the functioning of markets in modern economies. When markets are efficient, economic theory suggests that the prices we observe reflect the relative scarcity of resources; and hence, effectively channel those resources to their most productive use. The primary objective of this dissertation is to investigate the efficiency property of the U.S. housing market for single-family homes and the stock market. It does so through the application of advanced techniques in financial and time series econometrics. In relation to the housing market, the empirical evidence is consistent with the version of the efficiency market hypothesis which suggests that asset prices follow a random walk. However, in relation in relation to the stock market, the empirical evidence is inconsistent with the version of the efficient market hypothesis that attributes price changes to the random arrival of new information. For both markets, however, we do not find the empirical evidence to be definitive. In the context of the crisis that emerged in the subprime mortgage segment of U.S. housing market in 2006, this dissertation also investigates the interdependency structure of the housing market as a secondary objective. The main result suggests that home prices do not comove systematically over time.

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

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): 
Supervisor(s): 
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): 
Supervisor(s): 
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): 
Supervisor(s): 
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): 
Supervisor(s): 
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): 
Supervisor(s): 
R
Department: 
Dept. of Economics - Simon Fraser University
Thesis type: 
Thesis (Ph.D.)