Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.580929
Title: Essays in financial stability under financial frictions
Author: Martínez Sepulveda, Juan Francisco
Awarding Body: University of Oxford
Current Institution: University of Oxford
Date of Award: 2012
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Abstract:
This thesis is a collection of essays where I explore and extend the study of the role of financial frictions for the determination of asset prices, financial stability, and economic resilience. The frictions included in the analysis are individual and aggregate uncertainty, agent heterogeneity, money, liquidity and default. The first essay is an empirical study that motivates my research objectives. This work starts with the exploration of the role of liquidity on asset prices, specifically on sovereign bonds of emerging countries. I present a comprehensive model where I developed a novel methodology for finding the role of liquidity in the determination of asset prices during the financial crisis. In the second essay, illuminated by the empirical findings, I apply and expand the general equilibrium theory of money, default and financial stability. The contributions at the theoretical level are the extension of two-period model with discrete state space to the infinite horizon dynamic stochastic setting, and the inclusion of liquidity restrictions. In the third essay, I further extend this framework, allowing for production technology and endogenous market liquidity. Given the theoretical setting, I have analyzed the responses of financial stability and economic performance variables to real and financial shocks. Finally, in the fourth essay I produce an empirical application of this work. I apply a novel semi-parametric financial stability metric, and evaluate its relevance for the determination of asset prices, in the presence of liquidity restrictions. As a result, this thesis suggest plausible explanations for financial and economic issues that conventional models have not dealt with adequately.
Supervisor: Tsomocos, Dimitrios Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.580929  DOI: Not available
Keywords: Financial economics ; financial stability ; general equilibrium ; liquidity ; emerging markets
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