Date of Graduation

2017

Document Type

Dissertation

Degree Type

PhD

College

College of Business and Economics

Department

Finance

Committee Chair

Alexander Kurov

Committee Co-Chair

Arabinda Basistha

Committee Member

Ann Marie Hibbert

Committee Member

Costanza Meneghetti

Committee Member

Gulnara Zaynutdinova

Abstract

In the following essays I examine the effects of two unique macro-financial conditions---tight credit and unconventional monetary policy---in an investment and a price discovery setting. I address two major questions from the macro-finance literature: (1) what are the states of nature in which excess returns are mostly affected? And, (2) does unconventional monetary policy influence the term structure of interest rates?;Results from my first essay show a differential effect of the credit cycle on firms in the cross-section. Firm's excess returns are particularly affected in periods of tight credit conditions and the effect of the credit cycle is heterogeneous across firm types. Overall I concluded that tight credit conditions have a more severe impact on opaque firms and that opacity includes both smallness and access to credit sensitivity measures.;In my second essay I find quantitative easing and days of macroeconomic announcements are not a significant driver of price discovery when examining the impact of unconventional monetary policy along the yield curve. I argue that the unexpected result is due to the presence of a time-varying risk premium component which significantly influenced the yield curve during the period of quantitative easing examined.

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