Date of Completion
International Macroeconomics, Equity Home Bias, Consumption Risk Sharing, Exchange Rate Pass-Through
Field of Study
Doctor of Philosophy
My dissertation first studies the implication of household asset cross-holdings for consumption risk sharing of US and Japanese households. Given the previous evidence that finds income as a strong predictor of US households’ foreign stock holdings, I use income level to divide households into groups with different probabilities to hold foreign stocks and compare the groups’ consumption sensitivity to the deviation of their country’s GDP growth from a global average, as a measure of consumption risk sharing. My result for the two countries does not suggest that higher income households have a higher level of international risk sharing.
Income is shown in the literature to be a positive predictor of US households' stock holdings, but there is no previous evidence that establishes the same relationship for Japanese households. In Chapter 2, I further investigate Japanese households’ portfolio choice by performing a logit regression. I show that income is a weak predictor of asset cross-holdings, but total asset value, savings deposit, and business ownership are strong predictors of Japanese households’ foreign stock market participation.
Chapter 3 focuses on a puzzle in previous studies on exporters’ pricing-to-market behavior which have significant estimates that are out of the reasonable range. Based on the latest theoretical development in the exchange rate pass-through literature, I test if the estimates are improved when competition from exporters from competing countries is controlled for. With imperfect measure in the control for competition, many out-of-range estimates disappear. Exporters in different industries respond to competitor's exchange rate shocks differently, with those who produce more homogeneous goods more likely to have a negative estimate.
Zheng, Chao, "Three Essays on International Macroeconomics" (2017). Doctoral Dissertations. 1614.