On market sentiments and government policies.

摘要

The first two chapters focus on the evolution of market sentiments during financial crisis. Chapter1 formalizes a complementary channel of transmission of contagious financial market crisis—one driven by investor speculation and learning. It shows that for a group of countries characterized by a common, unobserved risk-factor, default by one raises investors' perception about the assessed riskiness of all, thereby increasing the probability of default among remaining countries within the group. The increase in probability of default, formally termed contagion, transforms into a full-blown crisis only in countries with weak fundamentals.; Upon establishing a learning-driven model for selective shifts in investor psychology in chapter 1—where, adverse sentiment shifts are limited to one group of countries chapter 2 undertakes an empirical search for selective contagion.; Chapter 2 studies the dynamics of asset price spillovers from bond markets in Hong Kong to twelve emerging countries during the October 1997 crisis and investigates whether there is evidence of selective spillover of sovereign bond spreads; whether the spillover is temporary—driven by herding and sunspots, or persistent—driven by learning; whether the observed persistence patterns arise due to perceived worsening of credit-risk sentiment of bond traders. Daily correlation-based tests reveal evidence of selectivity across markets in Argentina, Colombia, Korea, Mexico, Philippines, Russia and South Africa in the short-run. However, a closer look reveals that the turbulence in Argentina, Colombia and Mexico was temporary (herding). Furthermore, recursive coefficients tests show that selectivity in persistent contagion, particularly in Indonesia, Russia and South Africa was associated with gradual changes in investor beliefs (learning), not just sluggish shifts in fundamentals.; Chapter 3 analyses the impact of pay-as-you-go (PAYG) system on national savings. The results show that the expansion of PAYG system had a significant negative impact on savings in the former Federal Republic of Germany (FRG). This result was particularly strong for a high (expected) growth economy which exhibited a long-run negative relationship between social security and personal savings and showed that social security taxes eroded approximately two percent of private savings in the former FRG, reducing capital stock and national income over the 1960–1990 period.