Economics

Permanent URI for this collection

https://hdl.handle.net/10315/28604

Browse

Now showing 1 - 20 of 33

Open Access
Essays On Productivity and Resource Reallocation
(2015-01-26) Sadeghzadeh Biglari, Javad; Adamopoulos, Anastasios T.
My thesis consists of four chapters that examine how productivity is affected by government policies and market regulations. In particular, I study the impact of policy reforms on productivity through their effect on: (a) the allocation of resources across heterogeneous establishments, and (b) productivity at the establishment-level via technology adoption. In chapter one, I develop a theoretical model to analyze the effect of environmental policies on industry productivity and market competition. In my model, environmental regulations affect not only the allocation of resources across incumbent firms but also the incentive of firms to invest in pollution-abatement technologies. My findings imply that environmental regulations raise both environmental quality (by incentivizing the adoption of “cleaner” technologies), and industry productivity (by reallocating resources to more productive firms). In chapters two and three, using micro-level data from Indian manufacturing plants, I study total factor productivity (TFP) growth, and the contribution of firm-level subsidies to overall TFP growth. My analysis recognizes that while size-dependent subsidies may induce technology adoption for recipient firms, they also generate misallocation of resources across firms. I focus on the India subsidy program initiated in 2005 in Iron and Steel Industry. In chapter two, my growth accounting provides evidence of an acceleration of TFP growth after 2005 but primarily among plants that adopted more productive technologies. In chapter three, using a general equilibrium model with heterogeneous firms and a technology choice at the firm-level, I examine the impact of size-dependent subsidies on industry productivity. I show that while the induced misallocation tends to reduce productivity, technology adoption raises it. In the context of this model, the policy contributed about 20% to the observed productivity growth. In chapter four, I assess the effect of labor market reforms on measures of productivity across Indian states. Using a state-level labor reform index, and plant-level data, I show that large plants, in labor intensive industries, operating in the states with flexible labor market are more likely to gain from labor market reforms through an improvement in TFP and labor productivity.
Open Access
Culture and Redistribution
(2015-08-28) Quattrociocchi, Jeff; Esteve-Volart, Berta
My dissertation empirically examines whether characteristics of one's social groups influence an individual's preferences for redistribution. I begin by focusing on the socioeconomic status of the ethnic and religious groups one belongs to. First, I develop a theoretical framework where an individual's identity is strengthened by the status of their group. Then, utilizing data from the US General Social Survey, I find evidence that the average incomes of one's ethnic and religious groups are negatively correlated with one's preferences for redistribution. Controlling for household income, and a number of other individual-level characteristics and additional controls, I find that a standard deviation increase in the average income of one's social groups correlates to a weakening of an individual's preferences for redistribution by seven to eight percentage points. This result is robust to the inclusion of rich controls and alternate measures of group status, as well as a number of robustness checks, such as sample restrictions and the use of additional data. I then examine the relative importance a culture places on individualism vs. collectivism. Utilizing data from the European Social Survey, I find evidence that immigrants who were born in countries with a more individualistic culture tend to have weaker preferences for redistribution in their residence country. A standard deviation increase in the individualism of one's home country culture correlates to a weakening of an individual's preferences for redistribution by twelve percentage points. This relationship appears to be as strong as that between household income and preferences for redistribution (eleven percentage points). This result is robust to the inclusion of rich controls and the use of sample restrictions. The relationship appears to be stronger among immigrants who vote, belong to an ethnic minority and live in a country with a relatively high number of ethnic minorities. I also find that the relationship between preferences for redistribution and i) household income and ii) education is stronger among immigrants born in a country with an individualistic culture. Moreover, my analysis suggests that this trait is transmitted across generations, and bears some influence on the preferences for redistribution of second-generation immigrants as well.
Open Access
Essays in International Economics and Political Economy of Trade Policy
(2015-08-28) Mai, Joseph Jiacong; Stoyanov, Andrey
My primary areas of research interest are international economics, political economy of trade policy, and protection of intellectual property rights (IPR). I focus the first chapter of my PhD dissertation on cross-boarder IPR protection. I use a mixture of theory and empirical analysis to study the economic incentive that drives dual standards in IPR protections in a country's legal system. The second and third chapters of my dissertation focuses on trade policies of regional trade agreements (RTA), and particularly on identifying political and economic incentives for tariff cooperation between governments in free trade areas and its implications for the world trade system.
Open Access
Essays On International Capitol Mobility
(2016-09-20) Vafa, Shervan; Jasiak, Joann
Unequal quality of fundamental institutions induces different patterns of international capital flows in terms of both direction and magnitude. This dissertation examines, theoretically and empirically, the link between the financial intermediation sector and capital flows by highlighting the role of institutions and the technological level that financial intermediaries have access to. The theoretical section employs a model with endogenous labour input in monitoring loans by the financial intermediary. Numerical exercises reveal that this modification improves the traditional exogenous model by replicating the stylized facts, in particular, the model is able to replicate and explain the non-monotonic relationship between institutional quality and international net bank flows. Furthermore, contrary to the exogenous model, the model with endogenous labour input is able to reproduce a loan interest rate profile which decreases as institutional quality improves. The empirical section uses a panel of 56 rich and middle-income countries and cross-border bank flows and reveals that, firstly, institutional quality matters slightly more for the mid-income countries in explaining the net bank flows, while for high-income countries it is the market fundamentals which are significant explanatory forces. Secondly, while for both income groups the rule of law and voice & accountability indices are significant, for mid-income countries government effectiveness is also of significance.
Open Access
Misallocation and Productivity: Micro Evidence from Bangladesh
(2016-09-20) Jalil, Ferdous Bin; Adamopoulos, Anastasios T.
An important determinant of aggregate measured productivity is how resources are allocated across heterogeneous production units. Idiosyncratic distortions from institutional policies and factors can be a source for resource misallocation resulting in lower total factor productivity and aggregate output. Distortions create heterogeneity in production units: cause before-tax marginal revenue products to be higher in production units that face disincentives, and to be lower in production units that receive incentives. In the absence of distortions, production units equate marginal products with their corresponding factor prices, making resource allocations efficient because the more productive units proportionately use more resources. In the presence of distortions, they are equated with both factor prices and distortions, making equilibrium allocations dependent on both individual TFPs and distortions and resulting in aggregate output and TFP losses. Using detailed household farm-level data from Bangladesh, I measure the observed gross TFP of Bangladesh's agriculture. I find that capital and intermediate inputs are misallocated in Bangladesh. If resources were hypothetically reallocated across farms, then aggregate TFP could increase by more than 120% relative to the observed TFP. Using firm-level manufacturing data from Bangladesh, I develop a model to measure industry-level and aggregate TFP. If allocations were efficient, then aggregate TFP could increase by 95%. Capital is more misallocated than labor in manufacturing. I develop a two-sector model of agriculture and non-agriculture, each with an endogenous distribution of production units. Sector-wise, the distribution of active production units depends on the productivity of the unit operation and idiosyncratic distortions that the unit faces in that sector. I capture idiosyncratic distortions as a producer-sector-specific output tax that stands in as a catch-all for the policies and institutions that alter the relative prices faced by producers within each sector. I use micro-level data on manufacturing plants and farms and a quantitative framework to measure the distortions. I calibrate my model to the micro data from Bangladesh with observed distortions. I find that eliminating distortions in each sector raises productivity in that sector, but at the aggregate level it is only improvements in agricultural labor productivity that generate substantial structural change in the economy.
Open Access
Essays on Preferential Trade Agreements Under Uncertainty
(2016-09-20) Ali, Shafkat; Anam, Mahmudul
This dissertation studies the formation of preferential trade agreements using a coalition formation approach in both certain and uncertain frameworks. It is at the intersection of international trade and cooperative game theory. In chapter 2 we consider a three-country model of oligopoly and trade under demand uncertainty. We endogenize the coalition structure that forms in a three stage game. We find that for small volatilities countries prefer global free trade. The more positively correlated two countries are the more likely they are to form a customs union. We also find that countries may wish to stand alone under certain variance-covariance configurations. In chapter 3 we add exogenous trade costs under both certainty and uncertainty. We find that trade costs critically affect choice of output by firms and choice of tariffs and coalitions by governments. With symmetric trade costs as trade costs vary we find different coalitions forming in equilibrium. The introduction of demand uncertainty affects coalition choices by changing the cutoff trade costs at which a country may be indifferent between two different coalitions. Further, coalitions that may form under certainty or low uncertainty may not form with high uncertainty. On the other hand under different configuration of trade costs coalitions that may not be feasible under certainty may be shown to be possible under uncertainty. In both cases, as long as trade costs are not prohibitive, as volatility in every market increases without bound, we get global free trade with probability one. As a special case we show that under certain conditions two geographically distant countries may choose to form a coalition excluding a nearby country if the market volatility and correlation between partner countries is high enough. .
Open Access
Asymptotic Likelihood Inference for Sharpe Ratio
(2016-11-25) Qi, Ji; Wong, Augustine C.M.; Jasiak, Joann
The Sharpe ratio is one of the most widely used measures of the performance of an investment with respect to its return and risk. Since William Sharpe (1966) defined the ratio, as the funds excess return per unit of risk measured by standard deviation, investments have been often ranked and evaluated on the basis of Sharpe ratio by both private as well as institutional investors. Our study on Sharpe ratio estimator is focused on its finite sample statistical properties which have being given less attention in practice. Approximations aimed at improving the accuracy of likelihood method have been proposed over the past three decades. Among them, Lugannani and Rice (1980) and Barndorff-Nielsen (1986) introduced two widely used tail area approximations with third order of convergence. Furthermore, Fraser(1988; 1990), Fraser and Reid (1995), Fraser, Reid and Wu (1999) improved their methods and developed a general tail probability methodology, based on the tangent exponential model. The objective of this paper is to use the third order asymptotic likelihood-based statistical method to obtain highly accurate inference on Sharpe ratio. Since the methodology is demonstrated to work well generally for any parametric distribution, our study will assume the market log returns are independent identically distributed (IID) normal, or follow an autoregressive process of order one (AR(1)) with Gaussian white noise. While most literature address large sample properties of the Sharpe ratio statistic (Lo 2002, Mertens 2002, Christie 2005, Bailey and Lopez de Prado 2012); it is important to compare the performance of investments when only small sample observations are available, especially before and after markets change direction. Our research would address this issue. New tests are developed for testing hypothesis on the Sharpe ratio calculated from one sample and on the difference of two Sharpe ratios. Comparison between our method and the currently existing methods in the literature are conducted by simulations. The p-values and confidence intervals for Sharpe ratio are calculated and various applications are illustrated.
Open Access
Three Essays in Development Economics
(2017-07-27) Rubel, Ashfakuddin; Esteve-Volart, Berta
This dissertation focuses on certain policies and programmes that could help achieve four of the seventeen Sustainable Development Goals (SDGs) endorsed by the United Nations (UN) to be achieved by 2030: ensure sustainable consumption and production patterns, achieve gender equality and empower all women and girls, ensure access to water and sanitation for all. The three chapters build upon existing related literature in the field of development economics, with the first chapter offering a theoretical analysis from an environmental perspective and the other two chapters providing empirical contributions to the questions on women empowerment and quality of housing, water and sanitation. Most of the literature on trade and the environment has focused on production-generated pollution and ignored pollution emitted at the consumption stage such as municipal waste and exhaust from automobiles and home heating. The first chapter explores the importance of life-cycle environmental considerations in an oligopoly model of international trade with three countries (two exporters and one importer) and one traded good. It considers the implications of accounting for consumption-generated pollution on the optimal choice of environmental policy and welfare level in the exporting country with the lower marginal abatement cost relative to the other exporting country as well as on the optimal tariff, both when production-generated pollution is perfectly local and when it is a pure public bad. Whereas chapters two and three use data from the 1996 Matlab Health and Socioeconomic Survey (MHSS) to study the effects of an intense outreach family planning program implemented in half of the 141 villages of rural Matlab, Bangladesh, from 1977 to 1996, on women's empowerment and on the quality of housing and general sanitation. To be able to capture the multidimensional nature of women's empowerment, we assess the program according to its impacts on different dimensions of women's empowerment: socio-economic and socio-cultural. Our findings support the idea that the family planning program enhanced women's empowerment in the treatment area in the socio-economic dimension and contributed, in some key aspects, to improvements in the quality of housing and sanitary conditions in the treatment area.
Open Access
Essays on Inequality and Productivity Growth Decomposition
(2017-07-27) Akbar, Rushde Elahi; Stoyanov, Andrey
In this dissertation I analyze the effect of globalization on income inequality and aggregate productivity growth. In the first two chapters I develop a theoretical model to study the effect of international trade and foreign direct investments (FDI) on income inequality. In the model firms with heterogeneous productivity levels hire homogenous workers. The central feature of the model is the rent-sharing mechanism, by which firms share part of their profits with employees. As a result, income varies across workers because more productive firms pay more to their workers. In the first chapter, I focus on the case when all countries are symmetric in their aggregate productivity levels. I find that increased openness to trade increases welfare and at the same time reduces income inequality. At the same time, policies that facilitate FDI, although increase welfare, also lead to greater inequality. I also find that technological progress can result in higher inequality. In the second chapter I extend the model to asymmetric countries, in which one country (North) has greater aggregate productivity than the other country (South). As the two countries liberalize trade, both countries would observe a reduction in inequality, although the reduction is greater in the North and the income inequality differential between the two countries decreases. A unilateral tariff reduction by the South has a similar effect, but North is better off setting lower tariff as it observes lowest inequality compare to other cases. The third chapter analyzes aggregate productivity growth in Chilean manufacturing industry during 1979-96. I first decompose the aggregate growth into three major components: the inter-industry effect, whereby aggregate productivity increases due to expansion of the most productive industries; the intra-industry effect, whereby aggregate productivity increase due to expansion of the most productive firms within an industry; the technological effect, which reflects a symmetric increase in aggregate productivity across all firms and industries. I then estimate the contribution of each of these channels to Chilean aggregate productivity growth and find that technological progress was the major factor of the rapid aggregate productivity growth in Chile, while the contribution of inter-industry and intra-industry effects was minimal.
Open Access
Essays on Migration, Remittance and Households Consumption, Production and Investment Decision: Evidence from Bangladesh
(2017-07-27) Kabir, Mir Ahasan; Anam, Mahmudul
This dissertation consists of three related essays on the motivation of migration, remittance, and the effect of remittance on households. For the empirical analysis, we use Household Income Expenditure Survey (HIES-2010) data sets from Bangladesh, managed and developed by Bangladesh Bureau of Statistics (BBS). Chapter one gives an introduction to the essays. In chapter two, we employ multinomial conditional logit estimation to study the risk diversification motive of migration using household level data from Bangladesh. The household as a whole takes migration decisions to maximize expected utility. Risk-averse household allocates its members to rural agricultural, urban formal or urban informal sectors to maximize the expected utility of the household. The rural agricultural and the urban informal sector incomes are assumed to be stochastic and potentially correlated. Families send members to the urban informal sector to reduce the volatility of aggregate income as in the portfolio choice model in finance. Empirical results support the predictions of the model. Rural households are more likely to send a member to an urban destination with a higher average monthly income and lower income volatility. Households are also more likely to send a member to a destination that has a low-income correlation with the location of origin. The multinomial conditional logit model also admits the use of both alternative specific and household specific variables that are of interest in migration analysis. In chapter three, we examine the motivation for sending remittance by migrant members. International and internal remittances contribute a significant amount to the disposable income for many households in developing countries like Bangladesh. We discuss a simple theory of remittance where insurance is a particular case of the altruistic model. Our results show that the number of migrants and total household income per-capita are inversely related to the amount of remittance sent by a migrant, thus supporting the altruistic motive for remittances. We find that the Heckman selection estimation is asymptotically consistent for the sample and insurance model is nested in the altruistic model of remittance. In chapter four, we use the Heckman selection, multinomial logit, and three-stage least square estimations to analyze the effects of internal and international remittances on the recipient households consumption structure, human capital investment, choice of school and crop production in Bangladesh. First, for both internal and international remittances have a positive and significant impact on all expenditure categories. Second, controlling both endogeneity and selection issues, results show that both domestic and international remittance increases households investments in human capital. Third, foreign remittance has a positive effect on children regarding their choice of private schools with and without government grant and other schools. Internal remittance has a positive effect on attendance in institutions other than public and private schools. Finally, domestic and international remittances increase households crop production. These findings support the growing view that remittances improve households living standards through a variety of channels.
Open Access
Essays of the Pollution Effects on Sustainable Economic Development
(2017-08-08) Wang, Liang; Kong, Ying
Since the arouse of Environmental Kuznets Curve (EKC) hypothesis rst established by Simon Kuznets in 1950s, the analysis of the relationship between economic growth and environmental degradation have become popular among different economic researchers. Some studies tested this relationship by making similar theoretical models (Baldwin(1995), Lieb (2004), Palivos and Varvarigo (2010),etc), while others tested this relationship empirically (Grossman and Krueger (1991), Panayotou (1993), Shak and Bandyopadhyay (1992),etc). The motivation of my study is to analyze the long-run economic relationship between economic growth and pollution pressures with both theoretical and empirical methods. Pollution is a key indicator of economic growth, but on the other hand it hurts our environment quality as well as the people's health condition. Therefore, Both developed and developing countries need to deliberately deal with this conflict relationship between economic growth and pollution pressures. The results and findings will help us to understand about this relationship better and help the policy makers to make their decisions about solving this conflict situation in a cost efficient way. In addition, not only does this thesis provide a suitable way for policy makers to choose an optimal choice between choosing pollution and economic growth, but also it teaches people how to choose their pollution abatement in order to for them to live longer under pollution.
Open Access
Essays on the Economics of Ethnolinguistic Differences
(2018-03-01) Dickens, Andrew Colin; Lagerlof, Nils-Petter
In this dissertation, I study the origins and economic consequences of ethnolinguistic differences. To quantify these differences, I construct a lexicostatistical measure of linguistic distance. I use this measure to study two different outcomes: ethnic politics and cross-country idea flows. I then take the economic importance of ethnolinguistic differences as given, and explore the geographic foundation of these differences. In chapter 1, I document evidence of ethnic favoritism in 35 sub-Saharan countries. I use lexicostatistical distance to quantify the similarity between an ethnic group and the national leader's ethnic identity. I find that a one standard deviation increase in similarity yields a 2 percent increase in group-level GDP per capita. I then use the continuity of lexicostatistical similarity to show that favoritism exists among groups that are not coethnic to the leader, where the mean effect of non-coethnic similarity is one quarter the size of the coethnic effect. I relate these results to the literature on coalition building, and provide evidence that ethnicity is a guiding principle behind high-level government appointments. In chapter 2, I use book translations data to capture cross-country idea flows. It has been conjectured that income gaps are smaller between ancestrally related countries because they communicate more ideas. I provide empirical support for this link and a deeper understanding of the hypothesized mechanism: population differences do exhibit a negative relationship with the diffusion of ideas, with the caveat that this negative relationship operates across linguistic lines. After accounting for the linguistic distance between two countries, I find that dissimilar populations communicate more ideas. In chapter 3, I study the geographic origins of ethnolinguistic differences. I construct a novel dataset to examine the border regions of neighbouring ethnolinguistic groups, together with variation in the set of potentially cultivatable crops at the onset of the Columbian Exchange, to estimate how agricultural diversity impacts linguistic differences between neighbouring groups. I find that ethnic groups separated across agriculturally diverse regions are more similar in language than groups separated across homogeneous agricultural regions. I propose that historical trade in agriculturally diverse regions is the mechanism by which group similarities are preserved.
Open Access
Three Essays on Monetary Macroeconomics An Empirical Examination of the Soundness Of the Alternative Monetary Model and Monetary Policy in Canada
(2018-08-27) Collis, Reed Benjamin; Smithin, John N.
This series of essays explores the soundness of the Alternative Monetary Model (AMM) of Smithin (2013, 2018) via an examination of the monetary policy and monetary transmission mechanism in Canada. The AMM has assumptions that are more consistent with the real world than other approaches to macroeconomics and monetary theory, and the reliability of the AMM through the business cycle will be examined. The model was tested using abduction and numerical methods. The results were also tested econometrically, and the predictions of the directional change of the variables were found to have an accuracy of 91%. Historical simulations were conducted to examine the ability of the AMM to mimic the time profiles of actual economic events. The simulations indicate that if the central bank were to have implemented a real interest rate rule during these historical periods, there would have been better economic outcomes. The monetary transmission mechanism between the Bank of Canada and commercial banks is examined. Evidence suggests this relationship has changed over the period of study and that monetary policy changes have affected commercial bank activities more swiftly since the 1980s. Additional evidence supporting the endogeneity of the money supply was found. Debt dynamics were examined, and certain convergence conditions for debt-to-GDP ratios were established. In almost all cases balanced budgets are not necessary to maintain a stable debt-to-GDP ratio. In much of the existing theoretical literature, it is assumed that interest rates are greater than the growth rate to maintain the assumptions of the transversality conditions, the no-Ponzi constraint, and Ricardian equivalence. However, it was found that in half of the periods studied, Canadas real interest rates were less than the real growth rate violating these assumptions. Monetary policy was found to have a significant effect on government interest rates, whereas fiscal policy was only found to have a marginal effect. This lends credence to the idea that monetary policy should play a critical supporting role in government debt sustainability, through a real interest rate rule, as this has a strong effect on both interest rates at commercial banks and bond yields throughout the economy.
Open Access
Essays on Private Contributions for Public Goods
(2018-11-21) Zhang, Yi; Bucovetsky, Sam
In many circumstances, public goods are funded by both government revenue and private contributions. Private contributions to public goods could achieve the same social goals as the government-funded public goods. Certain financial aid from the voluntary sectors reduces the heavy fiscal burdens of the public sector by sharing the responsibilities of providing public goods and services. As an alternative to the public provision of public goods, social planners encourage private contributions by providing fiscal subsidies as part of the income tax policy. My dissertation addresses the questions of whether the private provision of public goods is welfare improving in various aspects of theory and how effective it is applied to the Canadian tax schedule in an empirical model. In the second chapter of this dissertation, I focus on a particular case of the consumer's utility to investigate the effect of a government transfer to the private donation of a public good. Unlike the classic conclusion, the influence of income redistribution is not always neutral when I take consideration of the substitute relationship between the private contributed public good and the public provision of a public good. Then in chapter 3, I build on the traditional income tax model in Part I and improve it to a two-stage non-cooperative game in which it encompasses both governments funded public goods and private contributions in the optimal income tax problem in Part II. Finally, in chapter 4, I apply my theoretical model in an empirical setting using Canadian family expenditure data. I exploit this rich data on charitable contribution in Canada to assess the effectiveness of Canadian tax incentive towards charitable giving from the private sector. The empirical analysis illustrates that individuals in Canada are quite responsive to the change of tax incentive for charitable donation since price elasticity, in general, exceeds 1 in absolute value.
Open Access
Essays in Immigration and Migration
(2019-03-05) Monteiro, Stein; Bucovetsky, Sam
This research explores the socio-structural features of the migration and assimilation decision. The socio-structural features explored are the impact of extended family members on the migration decision of individuals within a household, and productivity differences on the assimilation rate of new immigrants. Extended families are a common feature of developing country households. I generalize the Mincer (1978) model of husband-wife migration by including decision makers from the extended family. The model with extended families predicts that migration decisions may become freer than in the husband-wife model because spouses are not more likely to be tied to their partners than members of the extended family. That is, marital status is a smaller deterrent to migration in extended family settings relative to nuclear families. I provide justification for the implications of the model using data from Nepal. Immigrants from poorer source countries have lower assimilation rates compared to immigrants from richer countries. Theory suggests that new immigrants from poor countries are exposed to co-ethnics more often than comparable immigrants from richer countries, which lead to lower assimilation rates. However, many new immigrants come with pre-immigration experience with the local culture which decreases learning costs. I insert investment into the matching model of Konya (2007). All immigrants face a cost to assimilating by investing in a process of cultural assimilation, but some new immigrants with large pre-immigration experience have significantly lower costs to investing. I provide evidence from the Longitudinal Survey of Immigrants in Canada: Waves 1-3. Source country richness has a significant positive effect on assimilation rates. But conditional on pre-immigration experience with the local culture, the exposure channel through which source country richness affects assimilation rates becomes insignificant. However, exposure to co-ethnics is not random, new immigrants face location choices among neighbourhoods in the host country. These location choices determine the level of exposure to other immigrants and the costs of learning the local native-born culture. I expand the model to include neighbourhood choice. Among neighbourhoods with fewer co-ethnics, immigrants from richer source country groups will sort into assimilating neighbourhoods. And neighbourhoods with a relatively large number of co-ethnics will receive some non-assimilating types. Using data from the Longitudinal Survey of Immigrants in Canada: Waves 1-3, I show that sorting is an important component of the exposure channel through which productivity differences affect assimilation rates. However, controlling for sorting, source country richness still has a significant positive effect on assimilation rates. There appears to be an alternate channel through which productivity differences affect assimilation rates.
Open Access
Health, Labour, and the Environment: A Social Economic Analysis
(2019-03-05) Tumpane, Sara Kathleen; Buckley, Neil J.
In this dissertation, I explore several social economic topics, including health, labour, and the environment. Although the chapters of this dissertation explore diverse subjects, the overall theme is to analyze important social issues and their policy implications. I made use of a variety of rich datasets, as well as employing various econometric analyses, often supported by a theoretical model, to examine the research topics identified in each chapter. In Chapter 1, I explore a 1997 policy change, which altered eligibility requirements for Disability Insurance (DI). While DI in Canada provides income support to millions, it has also been criticized for creating a disincentive for labour force participation. The 1997 change affected some Canadians, but not others, creating a natural experiment setting in which to explore this policy. I found that, following the tightening of eligibility requirements, relative labour force participation for women did increase, but their level of employment did not. There was little effect for men. This distinction between labour force participation and employment is a crucial one in this context: it indicates that what may appear to be individuals returning to work after not being eligible for DI may instead be individuals returning to the labour force, but unable to find suitable employment. In Chapter 2, I examine whether searching for health information on the internet acts as a complement or substitute for the demand for information from physicians (proxied by physician visits). I found that the effect on physician-based information hinged on an individuals prior trust in the formal medical sector: those with high prior trust tended to use health information searching on the internet as a complement for physician visits, whereas, those with low prior trust substituted away from physician visits in favour of information found online. The results were very similar when a telehealth program was examined instead of internet-based information. Further, those who were online health information searchers also tended to be more likely to use a telehealth program. This is a reassuring result, as it may mean that those who substituted out of the formal medical sector, in favour of health online information, may also be using the more quality-controlled telehealth programs. In Chapter 3, I explore how attitudes towards the environment affect behaviours in five key areas of environmental-related household consumption: waste generation and recycling, energy use, organic food consumption, personal transport, and water use. Prior studies have not examined these areas together, often due to data restrictions, and not in the context of environmental attitudes. Using a modelling procedure that allows for the errors in these five areas to be correlated, I found that attitudes were often a more significant predictor of ones behaviour than the financially driven policy implemented in the area.
Open Access
Time Series Analysis of Bitcoin
(2019-11-22) Hencic, Andrew; Jasiak, Joann
This thesis addresses the prediction problems associated with noncausal processes in cryptocurrency markets. Chapter one provides background on Bitcoin and cryptocurrencies in general. It begins by introducing four major cryptocurrencies. Then recent developments in economic research on Bitcoin are discussed. Chapter two introduces a noncausal autoregressive process with Cauchy errors in application to the exchange rates of the Bitcoin electronic currency against the US Dollar. The dynamics of the daily Bitcoin/USD exchange rate series display episodes of local trends, which are modelled and interpreted as speculative bubbles. The structure of the Bitcoin market is described to give context for the presence of multiple bubbles in the exchange rate. The bubbles may result from the speculative component in the on-line trading. The Bitcoin/USD exchange rates are modelled and predicted. The mixed causal-noncausal autoregressive model is shown to better fit the data than the traditional purely causal model. A forecasting exercise using the noncausal model is then presented. Chapter three examines the performance of nonlinear forecasts of noncausal processes from closed-form functional predictive density estimators. To examine the performance, time series are simulated with different conditional means and non-Gaussian distributions. The processes considered have the mixed causal-noncausal MAR(1,1)dynamics and both finite and infinite variance. The forecasts are assessed based on the forecast error behaviour and the goodness of fit of the estimated predictive density. The persistence in the noncausal component directly relates to the magnitude of the bubble effects in the time series and is found to have a meaningful impact on how forecastable the process is. To better predict bubbles the joint density of the forecast at horizon two is shown to be an effective graphical method to detect the outset of a bubble.
Open Access
Measuring the Effect of Low-Skilled Workers on Innovation
(2020-08-11) Harris, Rachel Ann; Salisbury, Laura
While the effects of high-skilled immigration and labour on an economy have been well studied, the effects of low-skilled immigrants have not. In particu- lar, this effect is presumed to be negative. This Dissertation seeks to examine the relationship between low-skilled immigration and innovation and in par- ticular, patenting behaviour. In the first study, I provide novel empirical evidence to show how the Mariel Boatlift, an exogenous influx of low-skilled labour to south Florida, had an economically and statistically significant im- pact on individual patenting behaviour. I argue that this is because following the influx of low-skilled immigration, high-skilled inventors are now able to hire these low-skilled immigrants to help them with domestic work. This allows the individual inventors to free up their time and spend more time inventing, and thus we see an increase in individual patenting. My second study aims to see if these results hold in difference circumstances. I chose to look to the share of low-skilled immigrants in a city and whether this share affects individual patenting levels across time. However, I do not find that there is an effect. Finally, my third study provides a theoretical backing for the mechanism I argue in my first study.
Open Access
Essays in Incomplete Information and Trade Policy
(2020-08-11) Ning, Haokai; Lo, Kin Chung
Strategic trade policy has been one of the most intensively researched areas in theory of industrial organization and international trade over the last three decades. The fundamental motivation is that governments adopt trade polices to confer strategic advantage to their respective domestic firms when firms are imperfectly competing with each other. However, most of existing literature focuses on markets with certainty and complete information among firms. This dissertation introduces incomplete information at industrial level into uncertainty markets in various trade models, and it also integrates the concept of option value from financial economics into equilibrium analysis. In Chapter 1, incomplete information at industrial level is introduced into an importing country model in which the domestic market demand is uncertain, and the policy is chosen before the uncertainty is resolved. Unlike the classical findings on the issue of equivalence of tariffs and quotas under certainty and complete information, it is shown that a tariff is superior to a quota regardless of the degree of uncertainty. Moreover, a prohibitive quota that results in autarky is always preferred to a quota at the free-trade level as long as quota is concerned. Chapter 2 studies the design of trade policies in an uncertain third market with incomplete information. It is shown that the country with firm having information disadvantage tends to choose the direct quantity control, while the country with well-informed firm would use export subsidy (export quota) when the degree of uncertainty is sufficiently high (low). Finally, Chapter 3 extends the conventional literature on strategic trade policy in reciprocal dumping model to the context that involves market demand uncertainty and incomplete information. Incomplete information at industrial level redistributes the option value associated with better information to the country with well-informed firm. As a result, both governments tend to choose tariffs over export subsidies in the Nash equilibrium of the simultaneous strategic trade policy games under complete and incomplete information. This yields a second best outcome. Moreover, Nash equilibrium outcome is shown to be inferior to free-trade outcome.
Open Access
Positional Momentum and Liquidity Portfolio Management
(2020-08-11) Panahidargahloo, Akram; Jasiak, Joann
This thesis introduces a new positional momentum management strategy based on the expected future ranks of asset returns and trade volume changes predicted by a bivariate Vector Autoregressive (VAR) model. Chapter one provides some facts about the relationship between return and trade volume changes and the way they have been computed in general. It begins by investigating the simple VAR model to see if we can use the past values of return and trade volume changes to predict their current values. Then recent developments in portfolio management research on momentum portfolios are discussed. Chapter two introduces a new method to build a positional momentum and liquidity portfolios based on the expected future ranks of asset returns and their trade volume changes. This method is applied to a data set of 1330 stocks traded on the NASDAQ between 2008 and 2016. It is shown that return ranks are correlated with their own past values, and the current and past ranks of trade volume changes. This result leads to a new expected positional momentum strategy providing portfolios of predicted winners, conditional on past ranks of returns and volume changes. This approach further extends to a new expected positional liquid strategy providing portfolios of predicted liquid stocks. The expected liquid positional strategy selects portfolios of stocks with the strongest realized or predicted increase in trading volume. These new positional management strategies outperform the standard momentum strategies and the equally weighted portfolio in terms of average returns and Sharpe ratio. Chapter three introduces new positional investment strategies that maximize investors positional utility from holding assets with high expected future return and liquidity ranks. The optimal allocation vectors provide new investment strategies, such as the optimal positional momentum portfolio, the optimal liquid portfolio and the optimal mixed portfolio that combines high return and liquidity ranks. The future ranks are predicted from a bivariate panel VAR model with time varying autoregressive parameters. We show that there exists a simple linear relationship between the time varying autoregressive parameters of the VAR model and the autoand cross-correlations at lag one of the return and volume change series of the SPDR. Therefore the autoregressive VAR parameters can be easily updated at each time, which simplifies the implementation of the proposed strategies. The new optimal allocation portfolios are shown to perform well in practice, both in terms of returns and liquidity.