Essays in financial macroeconomics
Abstract
This dissertation delves into critical aspects of financial markets and intermediaries, shedding light on optimal portfolio rebalancing strategies in the presence of cash distributions and transaction costs, as well as the simultaneous determination of deposit and loan contracts within financial intermediaries. The first chapter concentrates on optimizing portfolio rebalancing by considering cash distributions and proportional transaction costs. It introduces sweep accounts as pivotal components, exploring their roles and demonstrating how transaction costs influence investment choices. This chapter also investigates the impact of asset cash distributions and investor investment horizons on asset demand, revealing shifts in liquidity premiums. In the second chapter, the research presents a comprehensive framework where deposit and loan contracts coexist in equilibrium, offering a deeper understanding of financial in- termediaries' dual roles. With a focus on managing repayment risk while having access to a safe yet lower-yielding asset, this chapter examines how varying collateral fractions influence loan terms and deposit contracts. The findings provide valuable insights into the correlation between borrowers' commitment and loan terms. Through its multifaceted exploration of portfolio management, transaction costs, deposit, and loan contracts, this dissertation enhances our comprehension of financial inter- mediation dynamics and contributes to the broader knowledge of financial markets.
Degree
Ph. D.