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See detailEssays on Market Microstructure and Financial Markets Stability
Levin, Vladimir UL

Doctoral thesis (2022)

The present doctoral thesis consists of three main chapters. The chapters of the thesis can be considered independently. Each of the three chapters raises a research question, reviews the related ... [more ▼]

The present doctoral thesis consists of three main chapters. The chapters of the thesis can be considered independently. Each of the three chapters raises a research question, reviews the related literature, proposes a method for the analysis, and, finally, reports results and conclusions. Chapter 1 is entitled Dark Trading and Financial Markets Stability and it is based on a working paper co-authored with Prof. Dr. Jorge Goncalves and Prof. Dr. Roman Kraussl. This paper examines how the implementation of a new dark order -- Midpoint Extended Life Order (M-ELO) on Nasdaq -- impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to estimate the effect of dark order trading activity on market stability and liquidity provision. The results suggest a predominance of a speed bump effect of M-ELO rather than a darkness effect. We find that the introduction of M-ELO increases market stability by reducing the average number of mini-flash crashes, but its impact on market quality is mixed. Chapter 2 is entitled Dark Pools and Price Discovery in Limit Order Markets and it is a single-authored work. This paper examines how the introduction of a dark pool impacts price discovery, market quality, and aggregate welfare of traders. I use a four-period model where rational and risk-neutral agents choose the order type and the venue and obtain the equilibrium numerically. The comparative statics on the order submission probability suggests a U-shaped order migration to the dark pool. The overall effect of dark trading on market quality and aggregate welfare was found to be positive but limited in size and depended on market conditions. I find mixed results for the process of price discovery. Depending on the immediacy need of traders, price discovery may change due to the presence of the dark venue. Chapter 3 is entitled Machine Learning and Market Microstructure Predictability and it is another single-authored piece of work. This paper illustrates the application of machine learning to market microstructure research. I outline the most insightful microstructure measures, that possess the highest predictive power and are useful for the out-of-sample predictions of such features of the market as liquidity volatility and general market stability. By comparing the models' performance during the normal time versus the crisis time, I come to the conclusion that financial markets remain efficient during both periods. Additionally, I find that high-frequency traders activity is not able to forecast accurately neither of the market features. [less ▲]

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See detailEssays in Financial Economics
Ignashkina, Anna UL

Doctoral thesis (2022)

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See detailEssays on the Economics of Migration, Inequalities, and Culture
Maleeva, Victoria UL

Doctoral thesis (2022)

The present doctoral thesis consists of three chapters of self-contained works about the economics of migration, inequalities, and culture. In the first chapter, I introduce the thesis outline and discuss ... [more ▼]

The present doctoral thesis consists of three chapters of self-contained works about the economics of migration, inequalities, and culture. In the first chapter, I introduce the thesis outline and discuss each chapter's research questions. The second chapter explores the effects of mass migration on individual attitudes towards migrants. Using several data sources for the mass migration of Ukrainians in Poland between 2014-2016, this chapter is focused on how a massive exogenous increase in the stock of migrant residents and migrant co-workers affects the perception of migrants. Using both an IV methodology and a difference-in-difference analysis, I test two hypotheses: the labor market competition and contact theory, and find some evidence favoring the second. First, difference-in-difference analysis shows that Poles become more welcoming to migrants in regions with more job opportunities for migrants. Second, I find that an increase in the size of the migrant group affects attitudes towards migrants positively, inside a group of natives with similar demographic and job skills characteristics. The third chapter explores how poverty can be explained by marital status and gender, using the RLMS-HSE household survey. This research shows that divorced women exhibit lower poverty levels than divorced men by employing longitudinal data from the Russian National Survey (RLMS-HSE) from 2004 to 2019. The result remains qualitatively invariant when considering a theoretical probability to divorce for married couples that take into account the age of the partners, labor force participation, and education. A higher probability to divorce impacts positively only men's poverty level. Investigating an inter-related dynamic model of poverty and labor market participation, we find that divorced women work more than divorced men, which is why divorce hits harder on husbands than on wives. In the fourth chapter of the thesis, we study the effect of past exposure to communist indoctrination during early age (9-14 years) on a set of crucial attitudes in the communist ideology aiming to create the \emph{new communist man/woman}. We focus on the indoctrination received by children during their pioneering years. School pupils automatically became pioneers when they reached 3rd or 4th grade. The purpose of the pioneer years was to educate soviet children to be loyal to the ideals of communism and the Party. We use a regression discontinuity design exploiting the discontinuity in the exposure to pioneering years due to the fall of the USSR in 1991, implying a strong association that hints to causality. We find robust evidence that has been a pioneer has long-lasting effects on interpersonal trust, life satisfaction, fertility, income, and perception of own economic rank. Overall, these results suggest that past pioneers show a higher level of optimism than non-pioneers. Finally, we look for gender differences because various forms of emulation campaigns were used to promote the desired virtues of the new communist woman. However, we find no evidence of the effect of exposure to communism on women. The indoctrination seems to have left more substantial effects on men. [less ▲]

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See detailStochastic Models of Critical Operations
Drent, Melvin UL

Doctoral thesis (2021)

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See detailESSAYS ON THE ECONOMICS OF INTERNATIONAL MIGRATION
Montes Viñas, Ana Cecilia UL

Doctoral thesis (2021)

The present dissertation consists of three main chapters of self-contained works about international human migration and migrant's integration in the host society. The first chapter introduces the general ... [more ▼]

The present dissertation consists of three main chapters of self-contained works about international human migration and migrant's integration in the host society. The first chapter introduces the general outline of the dissertation and briefly explains the research questions explored in each chapter. The second chapter studies the effect of migration networks and long-term cultural distance on migration flows. The main research question is whether the diaspora effect on migration flows is larger when the cultural distance between the country of origin and destination is large. We use an unbalanced panel database of bilateral migration flows data from 1960 to 2009 for about 175 sending countries to 32 destination countries. We proxy long-term cultural distance using ancestral distance, also called genetic distance. Based on the micro-founded gravity model for migration, we estimate the interaction between the diaspora size and ancestral distance using the Poisson Pseudo Maximum Likelihood (Santos Silva \& Tenreyro, 2006). We find evidence of a positive and significant interaction effect between the network effect and ancestral distance on international migration flows, however, this effect is small once we control for omitted unobserved determinants of migration flows. The third chapter studies the educational performance of the children of migrants in the United States of America. It pushes forward the hypothesis that misalignment between expectations and aspirations crucially affects the educational outcomes of immigrant young adults. It shows that the difference in school performance between migrant children and natives lies within the aspirations and expectations that migrant children form. This chapter uses the National Longitudinal Study of Adolescent to Adult Health (Add Health), a longitudinal database representative of American high schools that surveys adolescents between the grades 7-12 collected by the Carolina Population Center. The chapter shows that a positive difference between aspirations and expectations is a driving force for higher effort and better education outcomes of immigrant teenagers. This force resolves the well-known immigrant paradox. This result is specific to migrant children and does not hold for second-generation migrant pupils who appear quite acculturated to the USA context. In the fourth chapter, the relationship between financial aid and foreign education at the postgraduate level is evaluated. I use a sample of Colombian graduates who applied to a financial aid program that sponsors the completion of master's degrees abroad. It studies the case of a Scholarship-Loan program provided by the Colfuturo Foundation and the Administrative Department of Science, Technology, and Innovation (Colciencias). Students with an undergraduate degree can apply to receipt a fund of 50000 dollars to finance their post-graduate studies in any country in the world, with the condition to come back to Columbia. The characteristics of the selection process of the program allow the implementation of a Regression Discontinuity Design (RDD) to estimate the causal effect of the scholarship-loan program on the probability of completing studies abroad. Given Colfuturo’s selection process, the assignment of the fund is expected to be distributed quasi-randomly for the applicants around the vicinity of a cut-off point. This methodology allows for the estimation of the local average treatment effect (LATE) of the program. I employ the administrative records from the scholarship provider combined with internet sources. The results show that the scholarship-loan program is an effective tool to increase the probability of completing studies abroad by approximately 30 percentage points. The results are extremely robust across estimation methods. [less ▲]

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See detailEssays on Human Capital, Inequality, and Income
Menta, Giorgia UL

Doctoral thesis (2021)

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See detailThree Essays on the Role of Institutions in Labor Market Polarization
Pettinger, Maxime Dominique Eric UL

Doctoral thesis (2021)

This dissertation examines the impact of institutions on the distribution of jobs and wages, with a special focus on European countries. We are more specifically interested in labor market polarization, a ... [more ▼]

This dissertation examines the impact of institutions on the distribution of jobs and wages, with a special focus on European countries. We are more specifically interested in labor market polarization, a phenomenon which has notably been observed in the US between the 1980s and the 2010s. While wage polarization describes an increase in wages at both ends of the distribution relative to the middle, job polarization refers to an increase in the employment share of both low- and high-skill jobs relative to middle-skill jobs. A now standard explanation of this phenomenon is routine-biased technical change (RBTC). According to this approach, technical progress favors the substitution of machines --- and, indirectly, of high-skill workers --- for middle-skill labor, which leads in fine to the polarization of the distribution of earnings and jobs. While labor market polarization has also been observed in Europe, the intensity of this phenomenon depends on the country considered. Since developed economies have a similar access to technology, other determinants of the distribution of jobs and wages have to be considered to explain these cross-country differences. This dissertation considers institutions and demonstrates that a highly institutionalized labor market mitigates the twofold phenomenon of polarization. Institutions --- which are typically country-specific --- can thus partially explain cross-country differences in labor market polarization. This dissertation consists of three essays. In the first essay, we implement decomposition methods to show the impact of institutions on the wage structure. Our strategy makes use of the difference between the public and the private sector in terms of institutionalization of the wage-setting process. Decomposing the change in wage quantiles for both sectors and operating a between-sector comparison of the results for a set of European countries, we reach the conclusion that institutions are able to mitigate the RBTC-induced polarization of the wage structure. In the second essay, we develop a theoretical model based on the Acemoglu and Autor (2011) task-based framework. We contribute to this framework by including, in a Ricardian model of the labor market à la Acemoglu and Autor, an institutional device which mitigates wage polarization, based on the results of the first essay of this dissertation. While this device can be thought as unions operating in a centralized and coordinated bargaining regime, it is not restricted to this interpretation. Our model predicts that the institutions we consider, by mitigating wage polarization, have an anti-polarizing impact on the change in employment: while job polarization still follows skill-biased technical change, it is less pronounced in a highly institutionalized labor market. In the third and last essay, we test the predictions of the model presented in the second essay by empirically assessing the impact of institutions on job polarization. For each country studied in the first essay and for each year of the period 1992-2017, we build a measure of job polarization, based on the employment levels observed in selected, ranked and aggregated occupational categories. We then build a composite index of institutionalization and use panel cointegration techniques to estimate the long-run relationship between this index and each component of job polarization. Finally, we take into account both the reverse-causality problem implied by such a study and the potential delayed response of the variables by resorting on panel vector autoregressive models and structural impulse response analysis. Our results indicate that de-institutionalization fosters both components of job polarization, confirming the structural interpretation of the model introduced in the second essay. By combining different approaches and methods, this dissertation thus shows that the impact of technical change on the wage and occupational structure is mediated by country-specific institutional settings. Institutions do have an impact on labor market polarization, and can clearly be used to foster or inhibit this phenomenon. [less ▲]

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See detailEssays on the Economics of Forced Displacement and Conflict
Cömertpay, Rana UL

Doctoral thesis (2021)

In Chapter 1, we analyze the determinants of the internal mobility of refugees in Turkey. We track down this mobility relying on geolocalized mobile phone calls data and bring these measures to a micro ... [more ▼]

In Chapter 1, we analyze the determinants of the internal mobility of refugees in Turkey. We track down this mobility relying on geolocalized mobile phone calls data and bring these measures to a micro-founded gravity model in order to estimate the main drivers of refugee mobility across 26 regions in 2017. Our results show that the movements of refugees are sensitive to income differentials and contribute therefore to a more efficient allocation of labor across space. Comparing these findings with those of individuals with a non-refugee status, we find that refugees are more sensitive to variations of income at origin and to distance, while less responsive to changes in income at destination. These findings are robust to the way mobility is inferred from phone data and to the choice of the geographical unit of investigation. Further, we provide evidence against some alternative explanations of mobility such as the propensity to leave refugee camps, transit through Turkey, social magnet effects and sensitivity to agricultural business cycles. In Chapter 2, we exploit annual variations in the presence of refugees to approximate the resulting changes in diversity in the refugee-hosting areas across 23 countries in sub-Saharan Africa. We then assess the relationship between the refugee-corrected diversity indices and the likelihood of conflict between 2005 and 2016. In line with our theoretical framework, the refugee-corrected polarization exacerbates the risk of conflict. A one standard deviation increase in the polarization index raises the incidence of violent conflict by 5 percentage points. Such an effect corresponds to a 10 percent increase, at the mean. The opposite effect is found for the fractionalization index. Our results should not be interpreted as evidence that refugees per se impact the likelihood of violence. Indeed, we do not find any significant correlation between the number of refugees and the occurrence of conflict. Instead, our results point to the risk of conflict when refugees exacerbate ethnic polarization in the hosting communities. On the contrary, a situation where refugee flows raises the level of ethnic fractionalization is likely to see an attenuated risk of violence. This certainly calls for specific interventions in refugee-hosting and polarized communities. We also conduct additional analysis based on individual data and recent COVID-related protests. Results tend to support aggregate results. Refugee-corrected polarization raises the likelihood of experiencing physical assault and interpersonal crime by 2.7 resp. 4.2 percentage points, while no effect can be found for ethnic attachment and trust. Finally, the relevance of our results in the context of the COVID-19 pandemic is explored. In Chapter 3, we study the impact of independent media networks on political accountability during the Arab Spring across the Middle East and North Africa region. The study focuses on two major media networks in the Arab world: Al Jazeera and Al Arabiya. Political accountability is proxied using principally a measure of protests. Data on both political accountability measures and the media networks derive from the Arab Barometer surveys. The regional-level analysis is based on Jordan, Lebanon and Palestine due to data availability. The study uses regional ruggedness as an instrumental variable for the non-random use of independent media among individuals. Results are estimated using a Two-Stage least Squares (2SLS) regression analysis and indicate a positive and significant impact of independent media on political accountability. Several extensions are performed. First, the analysis is replicated for the impact of state media networks and results suggest a significant negative impact on participation to protests. Second, the impact of using independent media for public sector workers' participation to protests is compared with non-public workers. While a significant positive impact of using independent media is found among non-public workers, independent media among public workers seem not to affect their participation to protests. Some channels are tested using additional outcomes such as governmental trust, political alignment, signing petitions and general trust as proxies for political accountability. [less ▲]

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See detailEfficient Estimation with Non-Standard Sampling or Missing Endogenous Variables, and Conditional Density Modelling with Unobserved Copula-Connected Shocks
Kostyrka, Andreï UL

Doctoral thesis (2021)

In Chapter 1, it is shown how to use a smoothed empirical likelihood approach to conduct efficient semi-parametric inference in models characterised as conditional moment equalities when data are ... [more ▼]

In Chapter 1, it is shown how to use a smoothed empirical likelihood approach to conduct efficient semi-parametric inference in models characterised as conditional moment equalities when data are collected by variable probability sampling. Results from a simulation experiment suggest that the smoothed-empirical-likelihood-based estimator can estimate the model parameters very well in small to moderately sized stratified samples. In Chapter 2, a novel univariate conditional density model is proposed to decompose asset returns into a sum of copula-connected unobserved ‘good’ and ‘bad’ shocks. The novelty of this approach comes from two factors: correlation between unobserved shocks is modelled explicitly, and the presence of copula-connected discrete jumps is allowed for. The proposed framework is very flexible and subsumes other models, such as ‘bad environments, good environments’. The proposed model shows certain hidden characteristics of returns, explains investors’ behaviour in greater detail, and yields better forecasts of risk measures. The in-sample and out-of-sample performance of the proposed model is better than that of 40 popular GARCH variants. A Monte Carlo simulation shows that the proposed model recovers the structural parameters of the unobserved dynamics. This model is estimated on S&P 500 data, and time-dependent non-negative covariance between ‘good’ and ‘bad’ shocks with a leverage-like effect is found to be an essential component of the total variance. Asymmetric reaction to shocks is present almost in all characteristics of returns. The conditional distribution of returns seems to be very time-dependent with skewness both in the centre and tails. Continuous shocks are more important than discrete jumps for return modelling, at least at the daily frequency. In Chapter 3, the semi-parametric efficiency bound is derived for estimating finite-dimensional parameters identified via a system of conditional moment equalities when at least one of the endogenous variables (which can either be endogenous outcomes, or endogenous explanatory variables, or both) is missing for some individuals in the sample. An interesting result is obtained that if there are no endogenous variables that are not missing, i.e. all the endogenous variables in the model are missing, then estimation using only the validation subsample (the sub-sample of observations for which the endogenous variables are non-missing) is asymptotically efficient. An estimator based on the full sample is proposed, and it is shown that it achieves the semi-parametric efficiency bound. A simulation study reveals that the proposed estimator can work well in medium-sized samples and that the resulting efficiency gains (measured as the ratio of the variance of an efficient estimator based on the validation sample and the variance of our estimator) are comparable with the maximum gain the simulation design can deliver. [less ▲]

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See detailEssays on Tax Competition
Paulus, Nora UL

Doctoral thesis (2020)

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See detailESSAYS ON ASSET PRICING AND MARKET AUCTIONS
Kaiser, Gabriel UL

Doctoral thesis (2020)

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See detailEssays in risk and experimental finance
Xanalatou, Sotiria UL

Doctoral thesis (2020)

Detailed reference viewed: 197 (12 UL)
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See detailInvestigating the potential of investing in fine stringed instruments as an alternative investment asset
Ortiz-Munoz, Angela UL

Doctoral thesis (2020)

Often seen as a passion project or part of a philanthropic venture, rare and fine stringed instruments offer an exciting option to diversify one’s investment portfolio while providing an opportunity for ... [more ▼]

Often seen as a passion project or part of a philanthropic venture, rare and fine stringed instruments offer an exciting option to diversify one’s investment portfolio while providing an opportunity for an exceptional long-term investment. Though, historically rare violins have not been widely recognized as assets for investment, this category is gaining interest due to its steady increase in value, a lively international market and a finite and diminishing supply. This study demonstrates that fine stringed instruments offer a steady increase of approximately 3,7-6,9% return per annum with a dramatic percentage increase since the 80’s. In this thesis, the stringed instrument public auction and private dealer markets are reviewed, the price dynamics are studied, and some fundamental intra market specific limitations are tackled in order to observe the true underlying returns of this asset. In order to build solid conclusions, the largest fine stringed instrument auction database has been developed encompassing the period from 1850 until today, although for the analysis a focus is put in the period from the 1980’s until today, as it is when the demand and, consequently the market for violins boomed. [less ▲]

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See detailESSAYS ON AGGLOMERATION, RESILIENCE, AND REGIONAL INNOVATION
Kalash, Basheer UL

Doctoral thesis (2020)

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See detailUrban Green Amenity and City Structure
Tran, Thi Thu Huyen UL

Doctoral thesis (2020)

One of the main components that make cities attractive to their residents is their public park and garden systems. Green urban areas from a small community garden to famous areas such as `Jardin du ... [more ▼]

One of the main components that make cities attractive to their residents is their public park and garden systems. Green urban areas from a small community garden to famous areas such as `Jardin du Luxembourg' in Paris not only shape the face of the city but are a quintessential aspect of the quality of life for local inhabitants. They offer places for local recreation, beautiful views, cleaner air and many other advantages. Recent research has validated the connection between urban parks and the well-being of the city's inhabitants. Although green urban areas might seem to be meagre in comparison with other natural ecosystems such as wetlands or forests, the value of the environmental, recreational, and other services they offer is likely to be disproportionally high due to their strategic locations. This dissertation focuses on studying the optimal provision of green urban areas and the welfare effects of a substantial change in green provision policies in the presence of other types of land uses and adverse shocks. It comprises four papers (chapters). [less ▲]

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See detailEssays on market microstructure and banking
Jankovic, Sanja UL

Doctoral thesis (2020)

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See detailEssays on Networks, Information Economics, and Dynamic Games of Populism and Conflict
Hakobyan, Zaruhi UL

Doctoral thesis (2020)

This thesis focuses on developing tools and models for studying strategic interaction among agents in dynamics games. This dissertation consists of one pure theory paper and two applied theory papers. The ... [more ▼]

This thesis focuses on developing tools and models for studying strategic interaction among agents in dynamics games. This dissertation consists of one pure theory paper and two applied theory papers. The first chapter develops a general result in differential games. This is an area for studying strategic interactions when agents are forward-looking and calculate their future strategic interactions. The second and third chapters deal with the problem of strategic interactions under incomplete information, in the context of networks. In the second chapter, the analytical tools for linking up strategic actions with the evolution of a network are developed. The last chapter extends the second chapter by recommending network-manager strategies that can lead to welfare-improving network evolution under incomplete information. The thesis presents the first studies to propose a search and matching mechanism of network friends in an environment of incomplete information, higher-order beliefs, and evolutionary dynamics. [less ▲]

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