Type of Document	Dissertation
Author	Zhang, Jun
Author's Email Address	jun.zhang.1@vanderbilt.edu
URN	etd-04012005-143023
Title	MONEY AND FINANCE IN DYNAMIC MODELS WITH SEARCH FOR INFORMATIONAL FRICTIONS
Degree	PhD
Department	Economics
Advisory Committee	Advisor Name Title Ping Wang Committee Chair Craig M. Lewis Committee Member Gregory W. Huffman Committee Member Neville Nien-Huei Jiang Committee Member Yanqin Fan Committee Member
Keywords	money search technology choice asset pricing heterogeneous prior beliefs speculative manipulation wavelet stock market comovements
Date of Defense	2005-03-23
Availability	unrestricted
Abstract The presence of severe search frictions undermines technological development since the long waiting period for the subsequent trade would discourage the selectiveness of product qualities. The introduction of money will alleviate search frictions, and hence improve the technology choice. A new asset pricing formula is proposed for an economy with heterogeneous prior beliefs. It helps explain why stock prices may deviate from the expected fundamental values, and how speculators can make profits from stock price manipulations provided the presence of informational frictions. An empirical wavelet analysis of stock market comovements reveals some features of the informational spillovers from NASDAQ and S&P500 to some Eastern Asian markets.
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