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dc.contributor.authorYu, Sherry Xinruien_US
dc.date.accessioned2016-04-06T18:10:54Z
dc.date.available2016-04-06T18:10:54Z
dc.date.issued2015
dc.identifier.urihttps://hdl.handle.net/2144/15443
dc.description.abstractThis thesis consists of three chapters on macroeconomics and international economics. The first studies the effectiveness of macroprudential policies in a New Keynesian dynamic stochastic general equilibrium framework with financial frictions. Profit-maximizing banks with endogenous leverage ratio expand credit lending during economic booms and become increasingly vulnerable to unanticipated economic shocks. Countercyclical macroprudential instruments are found to be effective in dampening economic fluctuations and stabilizing the credit cycle. However, a policy regulating the loan-to-value ratio of the residential households causes a credit shift towards the business sector. Optimal simple rules are selected using welfare analysis to provide practical implications for the evaluation, estimation and future implementation of macroprudential policies in alleviating economic risk of financial intermediaries. The second chapter examines the impact of political risk on sovereign default. An economic model with endogenous default decisions shows that political instability increases the likelihood of sovereign default. A quantitative analysis using data from 68 countries in the period from 1970 to 2010 finds that both short and long-run aspects of the political environment have significant effects. The findings suggest that a country is more likely to experience default when i) it has a relatively younger political regime in place; ii) it faces a higher chance of political turnover; and iii) it has a less democratic political system. The third chapter investigates the bidirectional relationship between banking and sovereign debt crisis. An economic model with financial intermediaries and a government sector shows that sovereign default may cause a banking crisis as banks hold a large amount of government bonds. Nevertheless, a significant amount of bailouts or bank guarantees may constrain the short-term liquidity of the government sector and trigger a sovereign debt crisis. Empirical studies using the credit default swap spreads of the Eurozone support the two-way linkage. Quantitative results also show increasing spillover effects across borders as globalization leads to greater integration of financial markets.en_US
dc.language.isoen_US
dc.subjectEconomicsen_US
dc.subjectCDSen_US
dc.subjectDSGEen_US
dc.subjectFinancial crisisen_US
dc.subjectFinancial regulationen_US
dc.subjectMacroprudential policyen_US
dc.subjectSovereign debten_US
dc.titleThree essays on banking regulation, financial crisis and sovereign debten_US
dc.typeThesis/Dissertationen_US
dc.date.updated2016-03-12T07:13:26Z
etd.degree.nameDoctor of Philosophyen_US
etd.degree.leveldoctoralen_US
etd.degree.disciplineEconomicsen_US
etd.degree.grantorBoston Universityen_US


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