VTechWorks staff will be away for the Thanksgiving holiday beginning at noon on Wednesday, November 27, through Friday, November 29. We will resume normal operations on Monday, December 2. Thank you for your patience.

Browsing by Author "Tserenjigmid, Gerelt"

Now showing 1 - 4 of 4
  • Thumbnail Image
    Asset Prices under Random Risk Preferences
    Tsang, Kwok Ping; Tserenjigmid, Gerelt (2016-12-05)
    We consider an overlapping-generations model with two types of investors: the stable investors have constant risk aversion, but the unstable investors have random levels of risk aversion across different generations. Investors are not sure about how risk averse future investors are. We show that i) a small amount of randomness in the risk aversion or ii) a small population of the unstable investors generates a large deviation from fundamental price and a high price volatility.
  • Thumbnail Image
    The Economics of Cryptocurrencies
    Yang, Zichao (Virginia Tech, 2021-04-26)
    This paper has four chapters. The first chapter serves as an introduction. The second chapter studies the transaction fees in the bitcoin system. The transaction fees and transaction volume in the bitcoin system increase whenever the network is congested and results from a simple VAR show that it is indeed the case. To account for the empirical findings, we build a model where users and miners together determine the transaction fee and transaction volume endogenously. Even though the fluctuating transaction fee mechanism in bitcoin introduces the extra cost of uncertainty to users, a back-of-envelope calculation shows that the cost of using the bitcoin network for transactions is still smaller than the cost of using the current conventional payment system with a fix transaction fee rate. The second chapter studies the time-varying price dispersion among different bitcoin exchanges. We identify the sources of price dispersion using a standard time-varying vector autoregression model with stochastic volatility. The results show that shocks to transaction fees and bitcoin price growth explain on average 20%, and sometimes more than 60%, of the variation of price dispersion. The third chapter studies the relationship between connections and returns in the bitcoin investor network. Using transaction data from the bitcoin blockchain, we reach three conclusions. First, on average, the annualized returns of connected addresses in the network are 20.75% above those of their unconnected peers. Second, returns also differ among those connected addresses. By dividing the connected ad- dresses into ten deciles based on their centrality, we find that addresses in the two most-connected deciles earn higher returns than the other connected addresses. Third, eigenvector centrality is more related than degree centrality to higher returns, implying that quality of connections matters.
  • Thumbnail Image
    Essays in Economic Theory
    Liu, Yaojun (Virginia Tech, 2022-05-18)
    In this study, I introduce the alternative-dependent focal Luce model (ADFLM), a random choice model generalizing the well-known Luce model (1959). In the ADFLM, focal alternatives are chosen more frequently relative to their utilities. I identify utilities, focal sets, and the magnitude of focal biases from choice data. Additionally, I axiomatically characterize the ADFLM by weakening the independence of irrelevant alternatives (IIA) axiom. This model can explain the well-known behavioral phenomena, the attraction and compromise effects. Furthermore, I also study the seller's profit maximization problem in the ADFLM. I also study an asymmetric dynamic patent race with a deadline under complete information. In my model, two firms decide whether to invest in RandD. The patent arrives randomly according to a Poisson process, and the large firm has a higher hazard rate than the small firm. I find the unique sub-game perfect Nash equilibrium strategy for this game. At the equilibrium, the large firm will stay longer in the race, while the small firm will quit earlier. The large firm's optimal stopping time is not affected by the competition, while the small firm's stopping time is reduced. Additionally, I find that companies will remain longer in the race if the investigation cost is lower, the winning premium is higher, the deadline is extended further, and the hazard rate is more prominent. Moreover, the market becomes more efficient with the competition since the patent is easier to realize.
  • Thumbnail Image
    Essays in Industrial Organization and Political Economy
    Nandy, Abhinaba (Virginia Tech, 2022-09-12)
    This dissertation comprises of three problems in the area of Political Economy and Industrial Organization. The first chapter concerns how ideologically-opposite media firms report a particular event to maximize their payoffs from advocating their ideology and strengthen reader trust which increases if the report is proximate to their beliefs. I use these facts to develop a Hotelling's linear city model of competition where the two media firms choose their respective locations which signify the impression they want to impart to its readers. I find partisan media provides accurate information while covering topics favorable to its ideology. However, for unfavourable topics, the media never provides an indifferent report, but either defends its own ideology or delivers a partially accurate report. For unfavourable issues, imparting an indifferent impression rewards a media with lowest equilibrium payoffs. I identify sufficiency conditions where readers give better assessment to news of a media located farther away from their ideology than one which is nearer. Increasing competition by the entry of a third firm does not necessarily alleviate the level of bias in the news economy. The second paper studies the pricing schedule of a monopolist while it sells a non-durable product over two time periods. The consumer's experience with the product is correlated with two possible states — good (bad) experience is more probable under a high (low) state. Given this, I study the monopolist's pricing scheme in the two periods when consumers are wishful — overly optimistic about the high state even after a bad experience. I provide a comparative study of prices in each periods when the monopolist announces prices with and without commitment when consumers are either naive or sophisticated. The final chapter provides an understanding of the efficacy of two types of trade sanctions (import and export) using a directed network model. Sanctions are common punitive measures taken by a sender player to discipline a target player. Empirical evidences in the realm of international trade show differences in the effectiveness between import and export sanctions. This paper shows that such differences can be explained by one specific centrality feature of the underlying trading network — betweenness-centrality. This measure lends insights to the trade spill-overs following sanctions underscoring why sanctions are ineffective. I highlight when a higher value of this centrality acts as a sufficient condition towards effective sanction. Based on this analysis, one can conclude whether import or export sanction will be more effective for a given trade network.