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

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Essays on the Interest Rate Model Specification, Estimation and Valuation of Defaultable Securities

Author: 
Date created: 
2002
Abstract: 

The first chapter compares two different panel-data estimation methods, the Kalman filter and the Chen and Scott methods, on the Cox, Ingersoll, and Ross (CIR, 1985) term structure model through Monte Carlo simulation. Both methods utilize all information available but have different assumptions on the structure of the variancecovariance matrix of the measurement errors, C. My main findings are that the Kalman filter method with a diagonal C assumption has the best performance with large samples and with both monthly and weekly data. For the small sample case, the Kalman filter with a non-diagonal C assumption dominates. The second chapter presents a re-examination of Chan, Karolyi, Longstaff, and Sanders (CKLS, 1992) based on a panel-data approach. It is assumed that all zerocoupon yields are observed with measurement errors but imposing linear restrictions on the errors. I find that by redefining the regime period, there is strong evidence of a structural break between the 1979-1 982 period. Furthermore, I find evidence that interest rate volatility is not as sensitive to level of the interest rates as stated in the CKLS paper. Finally, I find that the Brennan and Schwartz (1980) model is superior to others when the 1979-1982 period is included in the data, whereas the Cox, lngersoll and Ross (CIR, 1985) model is the best for data excluding the 1979-1982 period. This last finding suggests that the decision to allow or not to allow for a structural break can have a statistically and economically significant impact on the short-rate volatility estimation and model selection. The third chapter studies the valuation of defaultable, callable bonds and credit default swaps when both interest rates and default intensity are stochastic. The model I adopt in the paper follows the framework of Duffie and Singleton (1 999) and I determine the prices of these two defaultable securities numerically. I allow for non-zero correlation between the market and the credit risk risks and examine the effect of this correlation on valuation and term structures of callable bonds and on default spreads. In addition, for defaultable, callable bonds, I examine the effects of different assumptions regarding recovery rate and the notice period on the valuation of callable bonds.

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

Three essays in macroeconomics

Author: 
Date created: 
2004
Document type: 
Thesis
File(s): 
Department: 
Theses (Dept. of Economics) / Simon Fraser University
Thesis type: 
Thesis (Ph.D.)

Evidence on the bank lending channel in Ukraine

Author: 
Date created: 
2005
Abstract: 

The paper examines evidence for a bank lending channel in Ukraine. We use a panel of bank balance sheet data to estimate the response of bank lending to changes in monetary policy between 1998 and 2003. In particular, we segregate banks according to their asset size, capitalization and liquidity standing to test whether lending responses differ depending on the strength of a bank. The main result is that undercapitalized banks are more affected by a monetary policy change than is an average bank, which is consistent with the bank lending channel hypothesis, suggesting that monetary policy can affect deposits of commercial banks forcing them to change lending, which influences the amount of investment in the economy.

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

Are mobile and fixed line telephone services substitutes or complements? Evidence from transition economies

Author: 
Date created: 
2005
Abstract: 

This paper addresses the issue of whether mobile telephone and fixed line telephone services are substitutes or complements in transition economies. Some studies have found that they are complements in this region, which contrasts with findings for other regions where mobile telephones and fixed line services are found to be substitutes. This study finds evidence in the support of the conclusion that complementarity and substitutability are associated with the stage of the market's development regardless of geographic region. Apparently results of previous research are predetermined by the data sample selection. The study confirms that factors positively influencing mobile telephone penetration rates are national income levels and the intensity of competition in telecommunications markets. The results suggest that by encouraging competition in mobile telephony governments can accelerate mobile phone penetration rates to the benefit of consumers. Additionally, the development of mobile telephony can put competitive pressure on incumbent fixed lines operators.

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

Competition as a discovery procedure: Hayek in a model of innovation

Date created: 
2007
Abstract: 

I model a mechanism through which competition can encourage innovation and growth. Although the often-cited 'Schumpeterian effect' of competition is to decrease the expected rents from an innovation, the competitive process also acts to uncover better ways of satisfying consumers and lowering costs. When firms are uncertain about the best direction in which to innovate, more competition results in better innovations. By endogenizing the level of competition and introducing this uncertainty into a general equilibrium model of vertical innovation, I show how this Hayekian effect of competition works against the Schumpeterian effect, resulting simultaneously in a positive relationship between competition and growth, and an inverted-U relationship between competition and firm-level innovation.

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

Depreciation and welfare divergence: An empirical analysis of net domestic productivity growth

Author: 
Date created: 
2007
Abstract: 

In this paper, welfare growth is estimated according to net domestic product (NDP)-based labour productivity growth across industries and sectors in Canada and the United States for the period of 1987 to 2003. Analyses of the growth in aggregate and per hour gross output, depreciation, and net output are undertaken. The results indicate that welfare gains were overestimated by gross domestic product (GDP)-based labour productivity growth. Moreover, the rapid rise of depreciation limited welfare gains, as an increasing amount of gross output was allocated toward capital maintenance.

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

Disparity in the marginal return on education — another factor that discourages Canadian Aboriginal people from attending university?

Author: 
Date created: 
2007
Abstract: 

As a special population group, Canadian Aboriginal people are always of interest to scholars and policy makers since the well-being of Aboriginal people was and is lower than the overall national well-being level. To improve Aboriginal people’s well-being, improvement in education attainment is universally regarded as a prerequisite. From the 1600s onward, modern education and religious indoctrination has been imposed on Aboriginal societies by British governance, and later, the Government of Canada. For historical reasons, aboriginal people tend to keep themselves away from modern education, which has deferred their progress to a richer life. Also, government funding for Aboriginal post-secondary education has been insufficient. Under such a situation, Aboriginal people might still want to go to university in hopes of receiving a higher wage. But will Aboriginal people be discouraged when looking at the disparity in marginal return on education between different ethnic population groups?

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

The effects of globalization on developing countries, with particular attention to poverty levels – and – The effects of identity theft on society and the individual

Date created: 
2007
Abstract: 

This essay surveys scholarly literature on the effects of globalization on developing countries with attention to poverty. I first present evidence suggesting that globalization benefits the developing countries and the poor. A second opinion argues against globalization, linking it to financial crises and negative effects on the agricultural sector. Finally, some authors find both positive and negative outcomes of globalizing. Overall, I conclude that globalization unambiguously benefits the poor only together with complementary pro-poor policies. This extended essay examines the impacts of identity theft surveying previous studies focusing on the social harm caused and suggests possible ways to protect personal information and prevent identity theft. The majority of the articles show that policy changes have a positive influence on identity theft, although sometimes not as significant as the policy makers expect. The proposal is that legislation that would treat consumer protection as a public good would be beneficial.

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

1. Race not war: An economic analysis of the Olympic Games in ancient Greece. 2. War without shooting: An analysis of ambush marketing

Author: 
Date created: 
2007
Abstract: 

Essay 1: Ancient Greece provided many institutions that became the foundations of Western civilization. One of its most famous innovations was the Olympic Games. I provide an explanation for the existence of these games – namely that they acted as a mecha

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