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Title page for ETD etd-06042015-064237

Type of Document Dissertation
Author Gao, Yuanzhi
Author's Email Address yuanzhi.gao.1@vanderbilt.edu
URN etd-06042015-064237
Title Essays in commodities and firms
Degree PhD
Department Economics
Advisory Committee
Advisor Name Title
Mario J. Crucini Committee Chair
Atsushi Inoue Committee Member
Joel Rodrigue Committee Member
Kevin X.D. Huang Committee Member
Miguel Palacios Committee Member
  • Uncertainty
  • Commodities
  • Forecasting
  • Oligopolistic Competition.
  • Long-Run Risk
Date of Defense 2015-05-14
Availability unrestricted
Microeconomic factors are getting more attention by macro economists as potential indicators and driving forces of macroeconomic conditions. In the first chapter, I employ a modified version of the long run risk model and am able to decompose both return premia and volatilities of individual commodities into three distinctive macro components. Results show that the long run risk component from economic fundamentals is the most dominant for most commodities, especially for resource commodities. Uncertainty from stochastic long run volatility is particularly important for worst performing commodities. Chapter 2 utilizes the decomposition results and proposes a new structural approach to better forecast individual commodity prices and returns in one unified framework. The LR can be forecasted by non-stationary latent dynamic factors estimated with information from equity markets and the SR is well predicted by the past performance. Combined forecast shows improvement in performance by reducing MSFE from about 10% to up to 60%. Chapter 3 looks at product differentiation in the aviation industry and tries to determine the importance of it on aggregate market shares. By using micro data from both legacy carriers as well as low-cost carriers in mid-sized US markets with a random-coefficient logit model setup, I find customers with Frequent Flier Program affiliations are less likely to switch to direct flight products offered by competitors, giving legacy carriers bigger market shares than predicted by similar studies.
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