This study provides an empirical analysis of the 2008 short sale ban. The evidence suggests that the presence of tradable options plays a crucial role in determining the effect of a short sale ban. Results show that if there are no traded options on a stock, the short sale ban brought abnormal returns of roughly +8%. However if there are traded options on a stock, the market maker exemptions nullify the positive effects of the ban. Furthermore, for the banned stocks that do experience positive abnormal returns during the ban, the lifting of the ban causes a prompt reversal of these returns. Findings suggest short sale bans cause an underrepresentation of negative opinions for as long as the ban lasts and that the presence of tradable options eliminates that underrepresentation by providing an alternative for pessimistic investors.

This dissertation consists of three independent essays in macroeconomics. The first essay studies the transition to a low carbon economy using an extension of the neoclassical growth model featuring endogenous energy efficiency, exhaustible energy and explicit climate-economy interaction. I derive the properties of the laissez faire equilibrium and compare them to the optimal allocations of a social planner who internalizes the climate change externality. Three main results emerge. First, the exhaustibility of energy generates strong market based incentives to improve energy efficiency and reduce CO2 emissions without any government intervention. Second, the market and optimal allocations are substantially different suggesting a role for the government. Third, high and persistent taxes are required to implement the optimal allocations as a competitive equilibrium with taxes. The second essay focuses on coal fired power plants (CFPP) - one of the largest sources of CO2 emissions globally - and their generation efficiency using a macroeconomic model with an embedded CFPP sector. A key feature of the model is the endogenous choice of production technologies which differ in their energy efficiency. After establishing four empirical facts about the CFPP sector, I analyze the long run quantitative effects of energy taxes. Using the calibrated model, I find that sector-specific coal taxes have large effects on generation efficiency by inducing the use of more efficient technologies. Moreover, such taxes achieve large CO2 emissions reductions with relatively small effects on consumption and output. The final essay studies the procyclicality of fiscal policy in developing countries, which is a well-documented empirical observation seemingly at odds with Neoclassical and Keynesian policy prescriptions. I examine this issue by solving the optimal fiscal policy problem of a small open economy government when the interest rates on external debt are endogenous. Given an incomplete asset market, endogeneity is achieved by removing the government's ability to commit to repaying its external obligations. When calibrated to Argentina, the model generates procyclical government spending and countercyclical labor income tax rates. Simultaneously, the model's implications for key business cycle moments align well with the data.

Recent spikes in oil prices have thrown light on how economic activity in emerging markets may be impacted by oil price shocks. This paper conducts an empirical analysis of the effect of oil price shocks on emerging markets. It tests for the existence of an asymmetrical relationship between oil prices and economic activity using a model developed by James Hamilton. It also assesses the impact of structural shocks to the real price of oil on output as proposed by Lutz Kilian. While our models find no consistent pattern within emerging markets, they do suggest that oil price shocks have a greater significance in 2000-2009 than in the full sample of 1974-2009. We also find that emerging economies are impacted by changes in oil specific demand but unaffected by changes in aggregate demand for industrial commodities.

The paper investigates the relation between effective demand, income distribution and unemployment empirically. Its aim is to evaluate Keynesian, Kaldorian and neoclassical hypotheses about the determination of labor market variables. To do so, a vector autoregression model consisting of capital accumulation, capacity utilization, the profit share, unemployment and the growth of labor productivity is estimated. A general post-Keynesian model following the lines of Kalecki and Kaldor is presented and provides the specification for a structural VAR. The model is estimated for the USA, UK and France. (authors' abstract) / Series: Working Papers Series "Growth and Employment in Europe: Sustainability and Competitiveness"

<p>This dissertation asks whether frequency misspecification of a New Keynesian model</p><p>results in temporal aggregation bias of the Calvo parameter. First, when a</p><p>New Keynesian model is estimated at a quarterly frequency while the true</p><p>data generating process is the same but at a monthly frequency, the Calvo</p><p>parameter is upward biased and hence implies longer average price duration.</p><p>This suggests estimating a New Keynesian model at a monthly frequency may</p><p>yield different results. However, due to mixed frequency datasets in macro</p><p>time series recorded at quarterly and monthly intervals, an estimation</p><p>methodology is not straightforward. To accommodate mixed frequency datasets,</p><p>this paper proposes a data augmentation method borrowed from Bayesian</p><p>estimation literature by extending MCMC algorithm with</p><p>"Rao-Blackwellization" of the posterior density. Compared to two alternative</p><p>estimation methods in context of Bayesian estimation of DSGE models, this</p><p>augmentation method delivers lower root mean squared errors for parameters</p><p>of interest in New Keynesian model. Lastly, a medium scale New Keynesian</p><p>model is brought to the actual data, and the benchmark estimation, i.e. the</p><p>data augmentation method, finds that the average price duration implied by</p><p>the monthly model is 5 months while that by the quarterly model is 20.7</p><p>months.</p> / Dissertation

<p>This dissertation presents two essays on Markov-Switching dynamic stochastic general equilibrium models.</p><p>The first essay is "Perturbation Methods for Markov-Switching Models," which is co-authored with Juan Rubio-Ramirez, Dan Waggoner, and Tao Zha. This essay develops an perturbation-based approach to solving dynamic stochastic general equilibrium models with Markov-Switching, which implies that parameters governing policies or the environment evolve over time in a discrete manner. Our approach has the advantages that it introduces regime switching from first principles, allows for higher-order approximations, shows non-certainty equivalence of first-order approximations, and allows checking the solution for determinacy. We explain the model setup, introduce an iterative procedure to solve the model, and illustrate it using a real business cycle example.</p><p>The second essay considers a model with financial frictions and studies the role of expectations and unconventional monetary policy during financial crises. During a financial crisis, the financial sector has</p><p>reduced ability to provide credit to productive firms, and the central bank may help lessen the magnitude of the downturn by using unconventional monetary policy to inject liquidity into credit markets. The model allows agents in the economy to expect policy changes by allowing parameters to change according to a Markov process, so agents have expectations about the probability of the central bank intervening during a crisis, and also have expectations about the central bank's exit strategy post-crisis. </p><p>Using this Markov Regime Switching specification, the paper addresses three issues. First, it considers the effects of different exit strategies, and shows that, after a crisis, if the central bank sells off its accumulated assets too quickly, the economy can experience a double-dip recession. Second, it analyzes the effects of expectations of intervention policy on pre-crisis behavior. In particular, if the central bank commits to always intervening during crises, there is a loss of output in pre-crisis times relative to if the central bank commits to never intervening. Finally, it considers the welfare implications of committing to intervening during crises, and shows that committing can raise or lower welfare depending upon the exit strategy used, and that committing before a crisis can be welfare decreasing but then welfare increasing once a crisis occurs.</p> / Dissertation

Thesis (Ph.D.)--University of Wollongong, 2009. / Typescript. Includes bibliographical references: leaf 172-197.

Thesis (Ph. D.)--University of Oregon, 2003. / Typescript. Includes vita and abstract. Includes bibliographical references (leaves 139-142). Also available for download via the World Wide Web; free to University of Oregon users.

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