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Title page for ETD etd-04012005-143023


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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