Essays in Financial Economics Public Deposited

Analytics

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  • March 20, 2019
Creator
  • Park, Sunjin
    • Affiliation: Kenan-Flagler Business School
Abstract
  • In the first chapter, titled "Global Macroeconomic Conditional Skewness and the Carry Risk Premium," I show that the time-variation in measures of global growth prospects constructed from the cross-section of individual macroeconomic forecasts can help explain currency markets. I show that conditional expectation and skewness of global economic growth have predictive ability in explaining the quarterly returns to carry trade and that the global skewness measure is particularly important in explaining a large cross-section of currencies. I provide the economic mechanism for the role of cross-sectional skewness in forecasts using a consumption-based asset pricing model with heterogeneous agents. In the second chapter, which is titled "Risk and Return Trade-off in the U.S. Treasury Market," we characterize the risk-return trade-off in the U.S. Treasury market through the lens of a discrete-time term structure model in which the conditional variances of bond yields feature a short-run component and a long-run component. Using Treasury yields data from January 1962 to August 2007, we find that the short-run volatility component of bond yields commands a positive risk premium whereas the long-run volatility component does not. In addition, for short-dated bonds, most of the variations in risk premiums are attributable to investors' changing attitudes toward risks. For longer-dated bonds, risk premiums reflect both the amount of risks bond investors face as well as their tolerance for risks over time.
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Rights statement
  • In Copyright
Advisor
  • Ghysels, Eric
  • Le, Anh
  • Colacito, Riccardo
  • Croce, Mariano
  • Lundblad, Christian
Degree
  • Doctor of Philosophy
Degree granting institution
  • University of North Carolina at Chapel Hill Graduate School
Graduation year
  • 2017
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