Thesis
Three essays in empirical banking and finance
- Creator
- Rights statement
- Awarding institution
- University of Strathclyde
- Date of award
- 2026
- Thesis identifier
- T18193
- Person Identifier (Local)
- 202268524
- Qualification Level
- Qualification Name
- Department, School or Faculty
- Abstract
- This thesis consists of three essays examining key issues in empirical macroeconomics and finance, with particular focus on interest rate transmission, financial stability, and inflation expectations. The first essay investigates the relationship between net interest margins (NIM) and interest rates across the conditional distribution. Using Bayesian dynamic panel quantile regression, I document increased sensitivity to interest rates in the tails of the conditional NIM distribution during the post-2020 period, partly a result of bank interest expenses constrained by the zero lower bound. These findings have implications for measurement of interest rate risk and financial stability. The second essay examines macroeconomic instability and credit risk transitions in auto loans using a discrete-time Markov transition framework. Using loan-level data, we document persistent declines in the sensitivity of default probabilities to unemployment shocks during both the Global Financial Crisis and Covid recessions. The findings have important implications for stress testing models and loss forecasting practices. The third essay develops a probabilistic measure of ination expectations anchoring that extends beyond testing whether mean expectations equal the target. Using risk-neutral densities from inflation options and Bayesian functional regression methods, we show that anchoring across the probabilistic distribution deteriorated in two waves with fundamentally different characteristics. We find that the 2024-2025 wave, reflecting elevated high-inflation tail probabilities, would be missed entirely by more traditional point-forecast methods.
- Advisor / supervisor
- Koop, Gary
- McIntyre, Stuart
- Resource Type
- DOI
Relations
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PDF of thesis T18193 | 2026-10-06 | Public | Download |