Ph.D. theses (FI)http://hdl.handle.net/10398/722016-09-30T10:08:11Z2016-09-30T10:08:11ZEssays on Market DesignLiu, Yunhttp://hdl.handle.net/10398/93632016-09-27T08:09:58Z2016-09-27T00:00:00ZEssays on Market Design
Liu, Yun
This Ph.D. thesis is composed of four independent research papers in the field of Market
Design. It begins with a general introduction for all four papers and ends with a brief
conclusion. In this thesis, I study the impact of heterogeneous market participants on
allocation outcomes in different market mechanisms; in addition, how to design alternative
mechanisms that can more effectively allocate scarce resources with diverse economic and
social goals.
Chapter 1 studies the impact of affirmative action policies in the context of school
choice. It addresses the following two questions: what are the causes of possible perverse
consequence of affirmative action policies, and when the designer can effectively implement
affirmative actions without unsatisfactory outcomes. Using the minority reserve
policy in the student optimal stable mechanism as an example, I show that two acyclicity
conditions, type-specific acyclicity and strongly type-specific acyclicity, are crucial for
effective affirmative action policies. However, these two cycle conditions are almost impossible
to be satisfied in any finite market in practice. Given the limitation of the point-wise
effectiveness in finite markets, I further illustrate that the minority reserve policy is approximately
effective in the sense that the probability of a random market containing
type-specific cycles converges to zero when the copies of schools grow to infinite.
Chapter 2 addresses the question of how ex ante asymmetry affects bidders’ equilibrium
strategies in two popular multi-unit auction rules: uniform-price auction (UPA)
and discriminatory-price auction (DPA). I characterize the set of asymmetric monotone
Bayes–Nash equilibria in a simple multi-unit auction game in which two units of a homogeneous
object are auctioned among a set of bidders. I argue that bidders’ strategic
behavior essentially comes from their diverse market positions (i.e., the winning probability
and the probability of deciding the market-clearing price). That is, if a bidder
has a relatively strong market position, she has less incentive to shade her bid for the second unit in a UPA, whereas in a DPA, weaker bidders tend to bid more aggressively
on both of two units. Following Chapter 2, Chapter 3 further analyzes and contrasts
bidders’ collusion incentives at the ex ante stage. My results indicate that the UPA is
more vulnerable to collusion than the DPA in term of the expected per-member payoff and
the core-stability.
In the last chapter, I show that a variant of the Vickrey-Clarke-Groves auction,
Ausubel’s clinching auction, is vulnerable to collusion in the sense that it always has a nonempty
core. I further discuss an isomorphism relation between group strategy-proofness
and non-bossiness in allocation, and the incompatibility between efficient allocation and
non-bossiness in finite auction markets.
2016-09-27T00:00:00ZUnderstanding Interest Rate VolatilityVolker, Desihttp://hdl.handle.net/10398/93402016-08-23T07:54:59Z2016-08-23T00:00:00ZUnderstanding Interest Rate Volatility
Volker, Desi
This thesis is the result of my Ph.D. studies at the Department of Finance of the
Copenhagen Business School. It consists of three essays covering topics related to
the term structure of interest rates, monetary policy and interest rate volatility.
The rst essay, \Monetary Policy Uncertainty and Interest Rates", examines the
role of monetary policy uncertainty on the term structure of interest rates. The
second essay, \A Regime-Switching A ne Term Structure Model with Stochastic
Volatility" (co-authored with Sebastian Fux), investigates the ability of the class
of regime switching models with and without stochastic volatility to capture the
main stylized features of U.S. interest rates. The third essay, \Variance Risk Premia
in the Interest Rate Swap Market", investigates the time-series and cross-sectional
properties of the compensation demanded for holding interest rate variance risk. The
essays are self-contained and can be read independently. There is however a common
thread in the themes covered as all essays focus on the understanding of interest rate
volatility, its time-variation and main determinants.
2016-08-23T00:00:00ZPayments and Central Bank PolicyKorsgaard, Sørenhttp://hdl.handle.net/10398/93132016-06-09T06:45:00Z2016-06-09T00:00:00ZPayments and Central Bank Policy
Korsgaard, Søren
This thesis consists of three chapters. The rst, "Paying for Payments", examines the role of
interchange fees in payment card networks. The second, "Bank Liquidity and the Interbank
Market" (co-authored with Mikael Reimer Jensen), investigates how banks' liquidity holdings at
the central bank a ect outcomes in the money market. The third, "Collateralized Lending and
Central Bank Collateral Policy", considers the emergence of credit constraints under collateralized
lending, and how central banks use collateral policy to mitigate these constraints. While the
chapters can be read independently, they share common themes. Each chapter is concerned with
payments in one way or another, each is concerned with the e ciency of market outcomes, and,
to the extent that there is scope for improving these outcomes, each discusses the appropriate role
for policy, in particular central bank policy.
2016-06-09T00:00:00ZMeasuring and Pricing the Risk of Corporate FailuresMedhat, Mamdouhhttp://hdl.handle.net/10398/91372015-05-20T11:42:50Z2015-05-20T00:00:00ZMeasuring and Pricing the Risk of Corporate Failures
Medhat, Mamdouh
These writings constitute my PhD dissertation in financial economics. The dissertation consists of three
chapters. Each chapter can be read independently of the others, but all three chapters share the dissertation’s
overall topic: Measuring and pricing the risk of corporate failures.
The ability to adequately measure and price the risk of corporate failures is vital for creditors, shareholders,
and regulators of financial institutions. Whenever a firm uses debt instruments such as loans or bonds to
finance its operations, the firm may fail to meet the debt’s contractual obligations. Typically, a failure is in
the form of a default on a payment of interest or principle, but can also be a violation of a covenant attached
to the debt or a bankruptcy filing by the firm or by the creditors on behalf of the firm. If a firm fails, it may
be forced to temporarily or permanently halt its operations, which can entail losses: Creditors may realize a
loss on their promised payments, while shareholders may see their entire equity stake wiped out. Therefore,
creditors and shareholders need to adequately measure the risk of a failure, so that this risk can be reflected
in the prices they are willing to pay—and the returns they require—for holding a firm’s financial securities.
At the same time, regulators must be able to verify that a financial institution is adequately cushioned against
this risk, so that losses do not destabilize an important institution or even the financial system itself.
2015-05-20T00:00:00Z