Theses Doctoral

Essays in International Finance

Keeratiwutthikul, Rittavee

This dissertation studies topics in the areas of international finance. In the first chapter, the Unintended Consequences of Financial Sanctions, I study the economic impact of the U.S. financial sanctions against Russian companies in the aftermath of Russia's annexation of Crimea in 2014. I show that this sanctions program, which primarily cut off access to international financial markets for sanctioned firms, produced an unintended consequence of strengthening the sanctions targets relative to their unsanctioned peers. Specifically, while the policy successfully halted new international borrowings by sanctioned companies, the spillover impact of the policy resulted in these targets shrinking in size by less than unsanctioned Russian firms. To explain these results, I argue that sanctions led to a reallocation of domestic resources in favor of sanctioned firms. In particular, sanctions precipitated capital crowding out and credit rationing, causing unsanctioned domestic borrowers to suffer more from the policy. The research highlights the limitation of "targeted sanctions" and also sheds light more broadly on the impact of international financial integration and capital flows on firm size dynamics.

In the second chapter, Quantitative Analysis of Sanctions Policy, I theoretically and quantitatively analyze the impact of financial sanctions on the target firms and the target economy. I introduce a heterogeneous firm model with segmented capital markets and financial frictions in which sanctions against international borrowers led to capital crowding out and credit rationing among domestic borrowers. I calibrate the model to the 2014 U.S. financial sanctions episode and use the model to estimate the impact of sanctions on firm sizes and macroeconomic variables. I also evaluate policy alternatives and identify factors for policymakers to consider in calibrating future sanctions programs. I conclude by discussing the 2022 sanctions program and inferring broader policy implications.

In the third chapter, the Impact of Monetary Policy on the Specialness of U.S. Treasuries, I estimate the causal effect of monetary policy on the specialness of U.S. Treasuries. Quantifying this specialness by the U.S. Treasury Premium, which is the difference in the convenience yield of U.S. Treasuries and that of government bonds of other developed countries measured as the deviation from covered interest parity between government bond yields, I find that monetary tightening by the Federal Reserve increases the specialness of U.S. Treasuries primarily by increasing the convenience yield of U.S. Treasuries. I also find that the magnitude of the impact varies across the term structure and across countries, especially after the Global Financial Crisis, and U.S. and foreign monetary policy shocks have asymmetric impacts on the specialness of U.S. Treasuries. These results provide evidence for the unique ability of the Federal Reserve to affect the specialness of U.S. Treasuries by altering the supply of dollar safe assets.


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More About This Work

Academic Units
Ph.D., Columbia University
Published Here
April 19, 2023