Essays in financial economics
Abstract/Contents
- Abstract
- This dissertation centers on the asset pricing and macro-finance implications of intermediation. In particular, I examine how demand and supply frictions affect asset prices, with well-identified empirical support from granular data and insights from applied theory. The first chapter, Monetary Transmission, and Portfolio Rebalancing: A Cross-sectional Approach, joint with Lingxuan Wu, addresses the puzzlingly significant stock market reactions to monetary shocks through a novel demand-based mechanism. This chapter unveils the crucial role of intermediaries' demand in monetary transmission through their preferences for a target share between equities and bonds. For example, given a one percent monetary shock, bond prices devaluate ten percent if the duration is ten. To maintain the pre-shock equity-bond ratios, institutions sell their equity holdings, creating downward price pressure. Such institutions serve as an amplifying mechanism for aggregate market returns. The rebalancing channel provides rich cross-sectional implications, and the chapter identifies empirical evidence in the cross-section unique to the mechanism. The second chapter, The Political Economy of China's Housing Boom, joint with Jiwei Zhang, uses transaction-level land sales data to understand how the Chinese Communist Party's cadre promotion system contributed to China's real estate boom. Promotions of China's city-level communist officials to higher ranks were largely based on local GDP performances. In turn, local officials were incentivized to sell more land to firms with higher GDP contributions instead of developing the local housing market, pushing up the housing prices locally. Analyzing a large dataset of Chinese Communist Party members' biographies, we identify exogenous variations in promotion chances caused by social connections between the local officials and their bosses and find that the shortage in land supply induced by promotion incentives played an important role in the Chinese housing boom.
Description
| Type of resource | text |
|---|---|
| Form | electronic resource; remote; computer; online resource |
| Extent | 1 online resource. |
| Place | California |
| Place | [Stanford, California] |
| Publisher | [Stanford University] |
| Copyright date | 2023; ©2023 |
| Publication date | 2023; 2023 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Author | Lu, Xu, (Researcher in finance) |
|---|---|
| Degree supervisor | Krishnamurthy, Arvind |
| Degree supervisor | Lustig, Hanno |
| Thesis advisor | Krishnamurthy, Arvind |
| Thesis advisor | Lustig, Hanno |
| Thesis advisor | Berk, Jonathan B, 1962- |
| Thesis advisor | Lee, Charles M. C |
| Thesis advisor | Maggiori, Matteo |
| Degree committee member | Berk, Jonathan B, 1962- |
| Degree committee member | Lee, Charles M. C |
| Degree committee member | Maggiori, Matteo |
| Associated with | Stanford University, Graduate School of Business |
Subjects
| Genre | Theses |
|---|---|
| Genre | Text |
Bibliographic information
| Statement of responsibility | Xu Lu. |
|---|---|
| Note | Submitted to the Graduate School of Business. |
| Thesis | Thesis Ph.D. Stanford University 2023. |
| Location | https://purl.stanford.edu/cf035yv6663 |
Access conditions
- Copyright
- © 2023 by Xu Lu
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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