Asset pricing from the fundamentals

Το πόρισμα της διατριβής είναι μία πρωτότυπη ερμηνεία των οικονομικών κρίσεων. Σύμφωνα με αυτή η κατάρρευση των χρηματιστηρίων και των χρηματοπιστωτικών αγορών δεν είναι η αιτία αλλά ο μηχανισμός πυροδότησης των κρίσεων. Είναι ένα συμπέρασμα που εξηγεί σημαντικές πλευρές της κρίσης που ξεκίνησε το 2008 αλλά και τη χρησιμότητα και τα όρια των πολιτικών ρύθμισης των χρηματαγορών. Για να φτάσει σε αυτό το συμπέρασμα η διατριβή ξεκινά με την κριτική επισκόπηση της σύγχρονης "ορθόδοξης" θεωρίας της χρηματοοικονομικής σφαίρας. Σε αυτό το πλαίσιο επισημαίνει τα αναλυτικά προβλήματα της θεωρίας. Τα τελευταία εξηγούν την αδυναμία της να εξηγήσει εμπειρικά τα χρηματοοικονομικά φαινόμενα και ιδιαίτερα την αποτίμηση κεφαλαιακών τίτλων. Σημαντικοί ορθόδοξοι οικονομολόγοι όπως ο Robert Shiller και ο Edward Prescott έχουν επισημάνει τις αδυναμίες αυτές οδηγώντας στην εγκατάλειψη από το επάγγελμα της "υπόθεσης των αποτελεσματικών αγορών". Αλλά και οι προσεγγίσεις που ακολούθησαν τις "αποτελεσματικές αγορές" από τη σκοπιά της νεοκλασικής θεωρίας (behavioural finance, υπόδειγμα των "τριών παραγόντων", ορθολογικές φούσκες, αποκλίσεις ατομικού και συλλογικού συμφέροντος, θεωρίες συλλογικής δράσης και χρηματοπιστωτικού πανικού και, market frictions με χαρακτηριστικότερες τις θεωρίες ασύμμετρης πληροφόρησης) περισσότερο ασχολούνται με το γιατί αποτυγχάνει η θεωρία στην αρχική της μορφή παρά με τη διατύπωση μιας αξιόπιστης θεωρίας αποτίμησης κεφλαιακών τίτλων. Η διατριβή προτείνει μια εναλλακτική θεωρία βασισμένη στην Πραγματική Οικονομική Ανάλυση (Real Economic Analysis), δηλ., στην κλασική πολιτική οικονομία και στην μαρξιστική θεωρία, και ιδιαίτερα στο έργο του καθηγητή Anwar Shaikh. Η θεωρία αυτή εστιάζει στον ρόλο του ποσοστού κέρδους στις νέες επενδύσεις, στην ορολογία της θεωρίας "incremental rate of profit", ως βασικής ερμηνευτικής μεταβλητής των χρηματοοικονομικών φαινομένων. Αυτό σημαίνει ότι οι αποδόσεις των χρηματοπιστωτικών τίτλων τείνουν να εξισωθούν με εκείνες τις "πραγματικής οικονομίας" μέσω της κινητικότητας κεφαλαίου ανάμεσα στον παραγωγικό και χρηματοπιστωτικό τομέα. Η διατριβή επεκτείνει, και εν μέρει διαφοροποιεί τη θεωρία του καθηγητή Anwar Shaikh και την διερευνά εμπειρικά επεκτείνοντας την χρονική περίοδο ελέγχου μέχρι το 2020. Για την εμπειρική διερεύνηση εισάγει νέες μεθόδους δανεισμένες από τη φυσική και ειδικότερα τη θεωρία της "εντροπίας μεταφοράς" (transfer entropy). Αυτές οι μέθοδοι μπορεί να χρησιμεύσουν και για μελλοντική έρευνα.

Deviations from the covered interest parity: The role of fundamentals, financial and political turmoil, and market frictions

Recent studies of mature markets on covered interest parity suggest that deviations are mean-reverting, but persistent, particularly after the 2008 crisis (Du et al., 2018). Our study contributes to the literature by modeling the deviations from covered interest rate parity (CIP) of an important emerging-market economy. We focus on Brazilian data, given the importance of its derivative market. One of the strengths of our study is the use of an agnostic approach, based on an automatic model-selection technique that is robust to structural change, the Autometrics algorithm (Hendry and Doornik, 2014), to unveil the possible determinants of CIP deviations from a wide information data set. We show that CIP deviations are highly sensitive to changes in Brazilian federal government total debt, level of reserves, inflation, and degree of trade openness. We also document the existence of instability in the model due to financial and political turmoil. We reach these conclusions based on the algorithm’s intercept correction, which can be seen as a byproduct of our methodology. Finally, we find evidence that, even after correction for fundamentals and instability points, CIP deviations still have persistence, suggesting that market frictions play an important role in the dynamics of CIP deviations.

Informal Economies and International Trade

This dissertation studies the role of informal producers in determining the pattern of production and the trade structure of developing countries, and provides an understanding of the channels through which informal producers influence the outcome of trade. The second chapter examines the characteristics of informal workers in the Turkish export-oriented manufacturing industries using descriptive statistics and econometric analysis. We find that informality is highest among female workers with lower education levels who mainly operate from home, and report that the textile and clothing industries, which Turkey has a comparative advantage in the world market, have a share of informality. This finding inspires the third and fourth chapters. In the third chapter, informal producers directly export their products in the global market. We build a Ricardian model of trade with labour market frictions that justify the presence of informal producers. We find that the size of the informal sector is affected by not only a country's own labour market structure, but also by its trading partners' labour market frictions. We show that a decrease in trade costs results in an increase in the size of the informal sector in countries with relatively higher labour market rigidities, and a reduction of informality in their trading partners. The fourth chapter, which is joint work with professor Claustre Bajona, develops a theoretical framework with stages of production to investigate the role of informal producers in the supply chain. To quantify the changes in labour and trade policies on the trade structure of countries, we calibrate the model to the Turkish and German economies in 2003. In the model, informal producers may influence the comparative advantage of countries by supplying lower cost inputs to formal producers that compete in the global arena. In our calibrated model, second stage formal production is higher under a protectionist economy in a country with higher labour market frictions. This results in a larger informal sector due to the interlinkage between formal and informal producers in the production chain.

Informal Economies and International Trade

This dissertation studies the role of informal producers in determining the pattern of production and the trade structure of developing countries, and provides an understanding of the channels through which informal producers influence the outcome of trade. The second chapter examines the characteristics of informal workers in the Turkish export-oriented manufacturing industries using descriptive statistics and econometric analysis. We find that informality is highest among female workers with lower education levels who mainly operate from home, and report that the textile and clothing industries, which Turkey has a comparative advantage in the world market, have a share of informality. This finding inspires the third and fourth chapters. In the third chapter, informal producers directly export their products in the global market. We build a Ricardian model of trade with labour market frictions that justify the presence of informal producers. We find that the size of the informal sector is affected by not only a country's own labour market structure, but also by its trading partners' labour market frictions. We show that a decrease in trade costs results in an increase in the size of the informal sector in countries with relatively higher labour market rigidities, and a reduction of informality in their trading partners. The fourth chapter, which is joint work with professor Claustre Bajona, develops a theoretical framework with stages of production to investigate the role of informal producers in the supply chain. To quantify the changes in labour and trade policies on the trade structure of countries, we calibrate the model to the Turkish and German economies in 2003. In the model, informal producers may influence the comparative advantage of countries by supplying lower cost inputs to formal producers that compete in the global arena. In our calibrated model, second stage formal production is higher under a protectionist economy in a country with higher labour market frictions. This results in a larger informal sector due to the interlinkage between formal and informal producers in the production chain.