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THE SHADOW RATE AND ITS RELATIONSHIP WITH LENDER AND BORROWER VARIABLES
Title
THE SHADOW RATE AND ITS RELATIONSHIP WITH LENDER AND BORROWER VARIABLES.
Creator
Irimia, Andrei, Aysun, Uluc, University of Central Florida
Abstract / Description
Since the federal funds rate reached the zero lower bound in late 2008, economists have been struggling to adapt their models to a long-term zero rate. Wu and Xia built upon previous research by Fischer Black to create a model for how the federal funds rate behaves during the ZLB period. In their model, the rate actually dips into the negative digits, which the actual federal funds rate does not do. The logic behind the model is that a negative shadow rate is a much better indicator of true...
Show moreSince the federal funds rate reached the zero lower bound in late 2008, economists have been struggling to adapt their models to a long-term zero rate. Wu and Xia built upon previous research by Fischer Black to create a model for how the federal funds rate behaves during the ZLB period. In their model, the rate actually dips into the negative digits, which the actual federal funds rate does not do. The logic behind the model is that a negative shadow rate is a much better indicator of true economic conditions while the current zero rate merely masks the actual economic reality. It is also easier to use the shadow rate for trend analysis purposes, since the shadow rate is flexible and changes while the federal funds rate remains artificially fixed at zero. Thus, this paper seeks to provide a comparison between the Shadow Rate, as defined by Wu and Xia, and how three key banking variables (leverage, profitability, and non-performing loans to total loans) react in response to the shadow rate, along with three control variables: real GDP growth, inflation, and the current account to GDP ratio. Regression will also be used to determine how three key borrower variables (S&P 500 Index, Credibility Consumer Distress Index, and the ratio of nonfinancial corporate business debt securities to total assets) interact with the shadow rate and the three control variables previously mentioned.
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Date Issued
2016
Identifier
CFH2000052, ucf:45528
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFH2000052
MACROECONOMIC INDICATORS AS DETERMINANTS OF THE U.S. DOLLAR AS A PRIMARY RESERVE CURRENCY
Title
MACROECONOMIC INDICATORS AS DETERMINANTS OF THE U.S. DOLLAR AS A PRIMARY RESERVE CURRENCY.
Creator
Salgado, Joel, Aysun, Uluc, University of Central Florida
Abstract / Description
Several currencies have arisen as credible competitors for the dollar's primary reserve currency position in central banks around the globe, and many wonder how long the dollar can maintain its position. Reserve currency usage is dependent relative to the size of the home economy, openness to trade, and prosperous and stable growth, including an inertial bias. This paper utilizes econometric methods to examine the significance of macroeconomic indicators of the U.S. dollar's reserve currency...
Show moreSeveral currencies have arisen as credible competitors for the dollar's primary reserve currency position in central banks around the globe, and many wonder how long the dollar can maintain its position. Reserve currency usage is dependent relative to the size of the home economy, openness to trade, and prosperous and stable growth, including an inertial bias. This paper utilizes econometric methods to examine the significance of macroeconomic indicators of the U.S. dollar's reserve currency status. The dataset is gathered from the IMF's COFER database using a time period from 2000 to 2013 in order to capture the most relevant reserve levels post-euro adoption. The estimated coefficient values indicate a significant inertial bias. This result implies that we can expect the dollar to hold the primary reserve currency position for the near future.
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Date Issued
2015
Identifier
CFH0004803, ucf:45470
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFH0004803
THE OPTIMUM CURRENCY AREA THEORY: AN ANALYSIS OF THE PACIFIC ALLIANCE
Title
THE OPTIMUM CURRENCY AREA THEORY: AN ANALYSIS OF THE PACIFIC ALLIANCE.
Creator
Mira, Andres, Aysun, Uluc, University of Central Florida
Abstract / Description
This thesis is intended to consider whether the South American members of the trade bloc, the Pacific Alliance, namely Chile, Colombia, Peru, form an optimum currency area (OCA). An in-depth review into the progression of OCA theory is done to formulate a proper econometric analysis. An empirical investigation is conducted by using main macroeconomic indicators from the time period 2001 to the third quarter of 2014 to examine if the aforementioned countries are within the definition of an OCA...
Show moreThis thesis is intended to consider whether the South American members of the trade bloc, the Pacific Alliance, namely Chile, Colombia, Peru, form an optimum currency area (OCA). An in-depth review into the progression of OCA theory is done to formulate a proper econometric analysis. An empirical investigation is conducted by using main macroeconomic indicators from the time period 2001 to the third quarter of 2014 to examine if the aforementioned countries are within the definition of an OCA. An ordinary least squares regression is done on three major economic indicators to test the causes of the deviation from one another. Evidence suggests the group is currently not an OCA and extensive integration efforts would be needed before the group is within the bounds of forming an OCA.
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Date Issued
2015
Identifier
CFH0004800, ucf:45483
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFH0004800
GDP GROWTH DIFFERENCES AND FINANCIAL CONTAGION: EVIDENCE FROM THE 2008-2009 SUBPRIME CRISIS
Title
GDP GROWTH DIFFERENCES AND FINANCIAL CONTAGION: EVIDENCE FROM THE 2008-2009 SUBPRIME CRISIS.
Creator
Marquez, Jose, Aysun, Uluc, University of Central Florida
Abstract / Description
Trend and panel data analyses are used to determine the role of financial variables in GDP growth differences during the last global recession. Real variables are implemented in order to absorb real shocks and give a better (less biased) estimation of the effects of those nominal (financial) shocks. Results indicate an important role of Stock Market correlations.
Date Issued
2013
Identifier
CFH0004462, ucf:45084
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFH0004462
STOCK MARKET CORRELATIONS AND CROSS-EQUITY HOLDINGS
Title
STOCK MARKET CORRELATIONS AND CROSS-EQUITY HOLDINGS.
Creator
ILIEV, RADOSLAV, Aysun, Uluc, University of Central Florida
Abstract / Description
The objective of this research is to find how world stock markets correlate with each other and what causes that correlation. Multiple dependent variables that may have a high impact on correlations are tested, with a particular focus on cross-equity holdings. All the variables but one tested significant at the accepted 90% confidence level. The model showed a negative relationship between equity holdings and stock market correlation. The results may inspire further research with more in...
Show moreThe objective of this research is to find how world stock markets correlate with each other and what causes that correlation. Multiple dependent variables that may have a high impact on correlations are tested, with a particular focus on cross-equity holdings. All the variables but one tested significant at the accepted 90% confidence level. The model showed a negative relationship between equity holdings and stock market correlation. The results may inspire further research with more in depth analysis of international equity holdings and investor behavior in world stock markets.
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Date Issued
2012
Identifier
CFH0004248, ucf:44919
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFH0004248