Thongpruksa, Mingkwan. 2009. Three Essays In Financial Globalization. Doctoral Dissertation,
Cornell University.
Financial globalization has
many economic implications for countries. On one hand, it provides protection
against national shocks and more efficient global allocation of resources. On
the other hand, the financial inter linkage driven by globalization increases
the exposure of countries to the financial and real shocks and to the risk of
sudden capital reversals. This, in turn, has an impact on countries in various
aspects. This dissertation explains the three different roles of financial
globalization in individual countries and group of countries.
The first essay examines the
degree of regional consumption risk sharing of countries in ASEAN+3 and
investigates the extent to which financial integration determines the degree of
regional consumption risk sharing. There are three main questions that this
paper attempts to answer. First, the paper examines whether or not consumption
risk sharing exists in ASEAN+3. Second, the paper explores to what directions
they should contribute to the degree of regional consumption risk sharing.
Finally, this paper examines to what extent ASEAN+3 shares the risk within the
region vis-a-vis the rest of the world. According to the a empirical analysis,
there is a limited degree of regional and bilateral risk sharing among ASEAN+3
and the degree of such has not changed much during 2000-2007. However, despite
the limited degree of regional risk sharing, countries that invest in ASEAN+3
in moderate proportion, that is, Singapore, Korea, and Thailand, tend to have a
higher degree of regional consumption risk sharing than global risk sharing.
The second essay addresses
the major issues of inflation targeting in Thailand. An empirical study shows
there is no evidence that inflation targeting has contributed to economic
improvement since Thailand does not perform any better, and even worse in terms
of output stability, than non inflation targeting countries. Moreover, the
results show that exchange rate channel under the transmission mechanism plays
a major role which contradicts the traditional inflation targeting, and thus
does not fit Thailand's economy. In addition, SVAR indicates that the
disinflation is accompanied by declined and volatility in output, suggesting
that the adoption of inflation is not free from expenses. Regarding oil price
surge, results obtained from SVAR estimation suggest that any active interest
policy is able to help relieve the oil price shock and leaving other variables
unaffected while having an impact of shorter duration than does inflation
targeting.
The third essay presents an
analysis of the interrelation between financial institutions and the housing
sector in the United States. The evidence presented in the first and the second
section of the essay suggests that all economic sectors have increasingly
participated in financial investment and have been exposed to a higher degree
of volatility in financial investment, combining with changes of regulations,
and new available instruments, creating the unsustainable boom in U.S. housing
markets during the late 1990s to early 2000s, and later resulted in the subprime
crisis. The third section sheds light on the dynamics of house price by the
panel error correction formulation. The econometric estimation shows the slow
adjustment of housing prices towards long-run equilibrium. The last section
examines the spillover effects of housing markets to other economic sectors.
The estimated results from VECM indicates the strong and statistically
significant of all channels of wealth effect, credit effect, and balance sheet
effect.
No comments:
Post a Comment