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Essays in Labor and Financial Economics


This dissertation consists of three essays that encompass my primary and secondary research in labor economics and financial economics, respectively. The first two essays are about household economics, family structure, and labor supply, and the third essay applies time series analysis tn financial economics.

The first essay was motivated by needing to understand how urban household consumption is allocated and then developing targeted measures for poverty alleviation programs in China. To my knowledge, it is the first structural estimation of the level of resource shares and quantification of intra-household inequality in urban China. In nuclear and extended households with children, I find that females on average spend 26.7% less than males, and in households without children, females on average spend 35.2% more than males. In the same households, I find that 32% of households’ resource shares are spent on children. Using the estimated individual resource shares, I find that more adult females and female children fall below the World Bank’s international poverty line than using the per capita expenditure measure levels. By ignoring intra-household inequality, we risk underestimating consumption inequality by 20.5% in urban China.

The second essay was motivated by the fact that the population of unmarried heterosexual cohabiting women has nearly tripled in the US over the past two decades, and previous studies have tended to ignore these women, or treat them as single/married. I examine the labor supply responses of cohabiting women, single women, and married women from 1996 to 2016 using March-CPS (ASEC). A comparison of the three groups finds that cohabiting women have the lowest labor force participation elasticity with respect to after-tax wages. That cohabiting women would work more hours if their part-ners earned more annually and married women would not, points to another behavioral difference between the two groups. Results from ATUS-CPS 2003-2017 further imply that cohabiting women share some of the same characteristics of single and women. I conclude that unmarried heterosexual cohabiting women should be classified as a separate female group.

The third essay was motivated by needing to understand the linkage between returns and volatility transmissions in the U.S. and Chinese stock markets, and the global gold market. Co-author Robert McNown and I proposed a generalization of the prior VAR and EGARCH model to further unpack the relationships using data from July 10, 1996 to July 20, 2018. We found that past returns of the U.S. stock market can predict the current returns of the other two markets, and that significant reciprocal volatility transmission existed within and across all three markets. We further implemented average out-of-sample (OOS) forecasting to show that a risk-adjusted portfolio, such as mean-variance with sample estimator, does not outperform an equal-weighted portfolio, helps to explain the ongoing disagreement in the portfolio literature concerning the effectiveness of risk-adjusted portfolios and equal-weighted portfolios when the number of assets is small.

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