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Essays on International Macroeconomics /

Liu, Chang,

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Essays on International Macroeconomics /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on International Macroeconomics // Chang Liu.
Author:	Liu, Chang,
Description:	1 electronic resource (204 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 86-02, Section: A.
Contained By:	Dissertations Abstracts International86-02A.
Subject:	Finance. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31491030
ISBN:	9798384013761

Essays on International Macroeconomics /
Liu, Chang,

Essays on International Macroeconomics /Chang Liu. - 1 electronic resource (204 pages)

Source: Dissertations Abstracts International, Volume: 86-02, Section: A.

This thesis comprises three essays in international macroeconomics, studying the impact of financial frictions on trade, firm dynamics, and their aggregate implications.Chapter 1 studies the interaction between firms' exports and their currency of financing. Using Indian firm-level data, I find that exporters, particularly large ones, have a higher probability and intensity of foreign currency borrowing compared to non-exporting firms. To explain these correlations, I develop a heterogeneous firm model with endogenous choices of export and currency of financing. In the model, foreign currency revenues can directly repay or collateralize foreign currency borrowing. Besides, exporters that borrow in foreign currency could face 35% lower total fixed costs. Without accounting for these correlations, the impact of capital control policies would be underestimated by 27% of the output losses. Chapter 2 measures the output and TFP losses from sovereign risk, considering firm-level intangible investment. Using Italian firm-level data, we show that firms, especially small and high-leverage ones, reallocated from intangible to tangible assets during the sovereign debt crisis. To explain this reallocation and quantify the losses, we build a sovereign default model incorporating firm intangible investment. In our model, sovereign risk disproportionately affects firms reliant on external financing by impacting their banks' balance sheets. Consequently, financially constrained firms shift resources to tangibles for collateral. Using the estimated model, we find that elevated sovereign risk explains 45% of the observed output losses and 31% of TFP losses during the Italian sovereign debt crisis. Finally, Chapter 3 studies the interaction between trade friction and sovereign default risk. We construct a general equilibrium sovereign default model incorporating trade and decompose the trade barriers into two components: a conventional trade wedge from trade friction and a financial friction component. Trade friction exacerbates sovereign default risk, increasing private sector borrowing costs and further magnifying trade barriers. Our model reproduces the co-movements between trade and financial friction observed in the data. We find that the financial friction component accounts for 47% of the measured trade barriers.

English

ISBN: 9798384013761Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

International macroeconomics

Essays on International Macroeconomics /
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100 1 $a Liu, Chang, $e author. $0 (orcid)0000-0003-4987-3921 $3 3818334
245 1 0 $a Essays on International Macroeconomics / $c Chang Liu.
264 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2024
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500 $a Source: Dissertations Abstracts International, Volume: 86-02, Section: A.
500 $a Advisors: Bai, Yan Committee members: Alessandria, George; Priest, Alex; Moreira, Alan.
502 $b Ph.D. $c University of Rochester $d 2024.
520 $a This thesis comprises three essays in international macroeconomics, studying the impact of financial frictions on trade, firm dynamics, and their aggregate implications.Chapter 1 studies the interaction between firms' exports and their currency of financing. Using Indian firm-level data, I find that exporters, particularly large ones, have a higher probability and intensity of foreign currency borrowing compared to non-exporting firms. To explain these correlations, I develop a heterogeneous firm model with endogenous choices of export and currency of financing. In the model, foreign currency revenues can directly repay or collateralize foreign currency borrowing. Besides, exporters that borrow in foreign currency could face 35% lower total fixed costs. Without accounting for these correlations, the impact of capital control policies would be underestimated by 27% of the output losses. Chapter 2 measures the output and TFP losses from sovereign risk, considering firm-level intangible investment. Using Italian firm-level data, we show that firms, especially small and high-leverage ones, reallocated from intangible to tangible assets during the sovereign debt crisis. To explain this reallocation and quantify the losses, we build a sovereign default model incorporating firm intangible investment. In our model, sovereign risk disproportionately affects firms reliant on external financing by impacting their banks' balance sheets. Consequently, financially constrained firms shift resources to tangibles for collateral. Using the estimated model, we find that elevated sovereign risk explains 45% of the observed output losses and 31% of TFP losses during the Italian sovereign debt crisis. Finally, Chapter 3 studies the interaction between trade friction and sovereign default risk. We construct a general equilibrium sovereign default model incorporating trade and decompose the trade barriers into two components: a conventional trade wedge from trade friction and a financial friction component. Trade friction exacerbates sovereign default risk, increasing private sector borrowing costs and further magnifying trade barriers. Our model reproduces the co-movements between trade and financial friction observed in the data. We find that the financial friction component accounts for 47% of the measured trade barriers.
546 $a English
590 $a School code: 0188
650 4 $a Finance. $3 542899
653 $a International macroeconomics
653 $a Financial frictions
653 $a Firm-level data
653 $a Sovereign risk
653 $a Trade barriers
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690 $a 0601
690 $a 0508
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710 2 $a University of Rochester. $b School of Arts and Sciences. $e degree granting institution. $3 3816231
720 1 $a Bai, Yan $e degree supervisor.
773 0 $t Dissertations Abstracts International $g 86-02A.
790 $a 0188
791 $a Ph.D.
792 $a 2024
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31491030