In chapter 1, I show that since the Fall of 2008, out-of-the money puts on high interest rate currencies have become significantly more expensive than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, I propose a parsimonious structural model that includes both Gaussian and disaster risks. I find that global disaster risk accounts for more than a third of the carry trade risk premium in advanced countries over the 1996 to 2014 sample period. I show that global disaster risk is an important factor in the cross-sectional and time-series variation of exchange rates, interest rates, and equity tail risk.
In chapter 2, I present a new macroeconomic forecasting methodology which uses sentiment extracted from news articles. I construct a sentiment index by measuring the net amount of positive expressions in a exhaustive panel of Reuters news articles for 16 countries over the period 1988 to 2013. Sharp drops in the index correspond to major economic crisis both at the country level (the 2001 Argentinian debt crisis) and at the regional and global level (the 1997 Asian financial crisis, the 2008 great recession). Preliminary results show that the index improves GDP and unemployment forecasts compared to standard forecasting methods, consensus forecasts and the WEO forecast.
In chapter 3, I develop a new dynamic model of peer-to-peer Internet-enabled rental markets for durable goods in which consumers may also trade their durable assets in (traditional) secondary markets, transaction costs and depreciation rates may vary with usage intensity, and consumers are heterogeneous in their price sensitivity and asset utilization rates. I characterize the stationary equilibrium of the model. I analyze the welfare and distributional effects of introducing these rental markets by calibrating our model with US automobile industry data and 2 years of transaction-level data I have obtained from Getaround, a large peer-to-peer car rental marketplace. Our counterfactual analyses vary marketplace access levels and matching frictions, showing that peer-to-peer rental markets change the allocation of goods significantly, substituting rental for ownership and lowering used-good prices while increasing consumer surplus. Consumption shifts are significantly more pronounced for below-median income users, who also provide a majority of rental supply. Our results also suggest that these below-median income consumers will enjoy a disproportionate fraction of eventual welfare gains from this kind of 'sharing economy' through broader inclusion, higher quality rental-based consumption, and new ownership facilitated by rental supply revenues.
|Advisor:||Gabaix, Xavier, Lizzeri, Alessandro|
|Commitee:||Caplin, Andrew, Ranciere, Romain|
|School:||New York University|
|School Location:||United States -- New York|
|Source:||DAI-A 76/12(E), Dissertation Abstracts International|
|Keywords:||Behavioral economics, Finance, Industrial organization, Interest rates|
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