Essays on International Finance and Macroeconomics
MetadataShow full item record
CitationLilley, Andrew. 2020. Essays on International Finance and Macroeconomics. Doctoral dissertation, Harvard University Graduate School of Arts and Sciences.
AbstractThis dissertation is composed of three essays on international macroeconomics and finance. The essays center on the interrelationship between asset prices, risk premia, and financial purchases. The first documents a stark change in correlation between exchange rates and equity market returns at the start of the Great Recession, and proposes the zero lower bound as a cause of the break. The second examines the markups paid by the Federal Reserve for the intermediation of large-scale Treasury Bond purchases during the four iterations of Quantitative Easing over the last decade. The third demonstrates that U.S. purchases of foreign bonds began to strongly comove with the US dollar from 2007.
Citable link to this pagehttps://nrs.harvard.edu/URN-3:HUL.INSTREPOS:37368938
- FAS Theses and Dissertations