Essays on financial markets and the macroeconomy [Elektronische Ressource] / von Emanuel Mönch

EssaysonFinancialMarketsandtheMacroeconomyDISSERTATIONzurErlangungdesakademischenGradesdoctorrerumpoliticarum(Dr.rer.pol.)imFachVolkswirtschaftslehreeingereichtanderWirtschaftswissenschaftlichenFakultätHumboldt UniversitätzuBerlinvonHerrDipl. Vw.EmanuelMönchgeborenam11.02.1977inHalle/SaalePräsidentderHumboldt UniversitätzuBerlin:Prof.Dr.ChristophMarkschiesDekanderWirtschaftswissenschaftlichenFakultät:Prof.OliverGünther,Ph.D.Gutachter:1. Prof.HaraldUhlig,Ph.D.2. Prof.BartoszMackowiak,´ Ph.D.eingereichtam: 28.Juni2006TagdermündlichenPrüfung: 20.Oktober2006AbstractThis thesis consists of four essays of independent interest which make empiricalandmethodologicalcontributionstothefieldsoffinancialeconomicsandmacroe conomics. The first essay deals with the proper specification of investors’ infor-mation set in tests of conditional asset pricing models. In particular, it advancesthe use of dynamic factors as conditioning variables. By construction, dynamicfactors summarize the information in a large number of variables and are there fore intuitively appealing proxies for the information set available to investors.The essay demonstrates that this approach substantially reduces the pricing er-rors implied by conditional models with respect to traditional approaches thatuse individual indicators as instruments.