Yang, Siqiang
(2019)
ESSAYS ON SOVEREIGN DEFAULT AND HOUSEHOLD PORTFOLIO CHOICE.
Doctoral Dissertation, University of Pittsburgh.
(Unpublished)
Abstract
This dissertation analyzes portfolio choice problems in different contexts. In the first chapter, “Nominal Exchange Rate Volatility, Default Risk and Reserve Accumulation,” I investigate how nominal exchange rate volatility affects a sovereign's portfolio choice between how much debt to acquire and how much reserves to accumulate. First, I document a positive correlation between nominal exchange rate volatility and sovereign default risk and show that this relationship becomes stronger when more of the external debt is denominated in foreign currency. Then, I build a sovereign default model to rationalize these findings and to quantify the channels that contribute to the large reserve holdings among emerging countries.
In the second chapter, “Household Portfolio Accounting,” we document and analyze the substantial heterogeneity in household portfolio composition in the United States. We consider a standard life-cycle model with labor income risk and portfolio choice, augmented with a savings wedge that lowers the return on saving, and a risky wedge that lowers the relative return on risky assets. Using U.S. survey data (2004-2016), we compute the household-level wedges that rationalize the data. The chapter has two main contributions: first, it uses the wedges to guide plausible frictions that researchers should consider in their models. Second, it analyzes the extent to which household characteristics can account for the wedges.
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Details
| Item Type: |
University of Pittsburgh ETD
|
| Status: |
Unpublished |
| Creators/Authors: |
|
| ETD Committee: |
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| Date: |
20 June 2019 |
| Date Type: |
Publication |
| Defense Date: |
2 April 2019 |
| Approval Date: |
20 June 2019 |
| Submission Date: |
12 April 2019 |
| Access Restriction: |
No restriction; Release the ETD for access worldwide immediately. |
| Number of Pages: |
62 |
| Institution: |
University of Pittsburgh |
| Schools and Programs: |
Dietrich School of Arts and Sciences > Economics |
| Degree: |
PhD - Doctor of Philosophy |
| Thesis Type: |
Doctoral Dissertation |
| Refereed: |
Yes |
| Uncontrolled Keywords: |
Sovereign Default, Foreign Reserves, Portfolio Choice |
| Date Deposited: |
20 Jun 2019 18:01 |
| Last Modified: |
20 Jun 2019 18:01 |
| URI: |
http://d-scholarship.pitt.edu/id/eprint/36468 |
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