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dc.contributor.authorYankov, Vladimir Lyudmiloven_US
dc.date.accessioned2015-08-07T03:43:24Z
dc.date.available2015-08-07T03:43:24Z
dc.date.issued2013
dc.date.submitted2013
dc.identifier.other(ALMA)contemp
dc.identifier.urihttps://hdl.handle.net/2144/12895
dc.descriptionThesis (Ph.D.)--Boston Universityen_US
dc.description.abstractThis dissertation consists of three essays that examine the information contained in the pricing of a set of financial contracts for identifying mechanisms important for shaping aggregate outcomes. The first chapter documents a large time-varying dispersion in the yields posted on insured time deposits over 1997-2011. The yield dispersion uncovers the presence of monopoly power over a homogeneous financial product that commercial banks have managed to consistently exploit throughout this period. I build and estimate a structural asset pricing model with heterogeneous search cost investors to characterize the implied search cost distribution that rationalizes the observed price dispersion. A large fraction of investors had high search costs ranging from 10 to 20 basis points per deposit offer. I further relate the observed price dispersion with the price rigidity of deposit yields and their asymmetric response to aggregate shocks within the theoretical framework of costly search. Extending the time deposit dataset to the pricing of non-insured time deposits, the second chapter studies the liability side of FDIC insured commercial banks as a unique laboratory for testing the importance of the government supply of safe and liquid assets for determining asset prices and allocations. An increase in the level of government debt and shortening of its maturity have a contractionary effect on the banks' balance sheets. The effect increases with the share of insured deposits in the total funding. The results provide evidence for a strong crowding-out effect of government debt on the banking system's capacity to attract cheap sources of funding in the form of deposits and hence its ability to extend loans. The third chapter identifies disruptions in credit markets using a broad array of credit spreads constructed directly from the secondary bond prices on outstanding senior unsecured debt issued by a large panel of nonfinancial firms. The portfolio-based bond spreads contain substantial predictive power for economic activity and outperform standard default-risk indicators. According to impulse responses from a structural factor-augmented vector autoregression, identified credit shocks lead to large and persistent contractions in economic activity and account for more than 30 percent of the forecast error variance in economic activity at the two- to four-year horizon during the 1990-2008 period.en_US
dc.language.isoen_USen_US
dc.publisherBoston Universityen_US
dc.rightsThis work is being made available in OpenBU by permission of its author, and is available for research purposes only. All rights are reserved to the author.
dc.titleEssays on banking, finance, and macroeconomicsen_US
dc.typeThesis/Dissertationen_US
etd.degree.nameDoctor of Philosophyen_US
etd.degree.leveldoctoralen_US
etd.degree.disciplineEconomicsen_US
etd.degree.grantorBoston Universityen_US


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