M.Com. (Econometrics) / The main objective of this study was to formulate and evaluate a set of equations that adequately represents the South African monetary system. The analytical framework of the study is based on a theoretical examination of the process of formulating monetary policy. The main objectives of monetary policy was identified as price stability, a high rate of economic growth, exchange rate stability and an acceptable balance of payments situation. The achievement of these goals is dependent on the central bank's choice of target variables and policy instruments. The monetary system of South Africa was analysed by examining the various goals, target variables and policy instruments that constitute the South African Reserve Bank's monetary policy. The nature and impact of the new banking legislation which was introduced in South Africa on 1 February 1991 when the Deposit-taking Institutions Act of 1990 came into effect, was also discussed in the study. As a result of the high level of abstraction of the monetary phenomenon and the dynamic and interdependent nature of monetary policy, econometric and statistical techniques and criteria were used to evaluate certain aspects of the South African monetary system.

Tam Chak Yue, Ben. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 49-51). / Chapter 1. --- Introduction --- p.3 / Chapter 2. --- Money and Growth in the neoclassical production function --- p.7 / Chapter 2.1 --- The Real Competitive Equilibrium --- p.8 / Chapter 2.2 --- The Monetary Competitive Equilibrium with the Cash-in-Advance approach --- p.11 / Chapter 2.3 --- Alternative Approach: Money-in-Utility-Function --- p.16 / Chapter 2.4 --- Alternative Approach: Transaction Cost --- p.20 / Chapter 3. --- Three Approaches with Endogenous Leisure --- p.25 / Chapter 3.1 --- The Real Competitive Equilibrium --- p.26 / Chapter 3.2 --- The Alternative Approaches to Interest Rate Smoothing --- p.28 / Chapter 3.2.1 --- The Cash-in-Advance Approach --- p.28 / Chapter 3.2.2 --- The Money-in-Utility-Function Approach --- p.29 / Chapter 3.2.3 --- The Transaction Cost Approach --- p.30 / Chapter 4. --- Money and Growth in an Economy with Endogenous Growth --- p.35 / Chapter 4.1 --- The Real Competitive Equilibrium of Ak Model --- p.36 / Chapter 4.2 --- The Alternative Approaches --- p.37 / Chapter 4.2.1 --- The Cash-in-Advance Approach --- p.37 / Chapter 4.2.2 --- The Money-in-Utility-Function Approach --- p.39 / Chapter 4.2.3 --- The Transaction Cost Approach --- p.40 / Chapter 5. --- Concluding Remark --- p.44 / Appendix --- p.46 / Chapter A1. --- The First Order Condition of The MIUF Approach with Endogenous Leisure --- p.46 / Chapter A2. --- The First Order Condition of The TC Approach with Endogenous Leisure --- p.46 / Chapter A3. --- The Transitional Dynamics of Ak Model with The money-in-utility-function Approach --- p.47 / Literature Cited --- p.50

This thesis develops empirical econometric models of the private sector aggregate demand for real and financial assets in Kenya over the period 1973 to 1990. Single-equation error-correction models of the demand for money are estimated using systems cointegration methods developed by Johansen (1988). The models are found to be statistically stable functions throughout the period, and are capable of encompassing existing studies. Across a range of monetary aggregates, including a Divisia index aggregate for broad money, the models describe demand for money functions in which inflation and illegal foreign currency substitution are significant determinants of money holdings, and where the private sector adjusts rapidly to deviations from its stable longrun equilibrium real money demand. The demand for money is then integrated within a neo-classical model of asset demands, which examines the behaviour of the aggregate private sector asset portfolio in response to changes in relative prices between assets and to external shocks to the economy, principally the 1976-77 coffee boom. A variant of the Almost Ideal Demand System model developed by Deaton and Muellbauer (1980) is estimated for a class of six assets: base money, banking system deposits, government securities, tradable capital, nontradable capital and inventories. The asset substitution model, which also takes an errorcorrection form, and which allows for credit rationing, generates results which are consistent with the earlier demand for money models, where private agents are also denied access to foreign-denominated assets. Using this model, the maintenance of policies of financial repression are shown to cause the private sector to offset inflationary shocks through the accumulation of real assets, principally in the form of non-tradable capital in the construction and property sectors. The evidence from the two models is used to analyze the fiscal effects of the inflation tax and financial repression measures. Policies of financial liberalization are shown to reduce the revenue maximizing rate of inflation (estimated to be 14% per annum) and the implicit tax on domestic holders of government liabilities. This dampens asset substitution in response to inflationary shocks and offsets the adverse effects of "construction-boom" investment on non-tradable capital prices.

Wang Chongying. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 66-69). / Abstracts in English and Chinese. / Chapter I. --- Endogenous Time Preference and Non-neutrality of Money --- p.1 / Chapter 1 --- Introduction --- p.2 / Chapter 2 --- The Model --- p.5 / Chapter 3 --- Non-neutrality of Money --- p.9 / Chapter 4 --- Equilibrium Dynamics --- p.13 / Chapter 5 --- Conclusion --- p.16 / Chapter II. --- Endogenous Time Preference and Interest Rate Feedback Rules --- p.18 / Chapter 1 --- Introduction --- p.19 / Chapter 2 --- Endowment Economy --- p.21 / Chapter 2.1 --- The Model --- p.21 / Chapter 2.2 --- Equilibrium Dynamics --- p.25 / Chapter 3 --- Extended Model with Capital --- p.28 / Chapter 3.1 --- The Model --- p.28 / Chapter 3.2 --- Equilibrium Dynamics --- p.32 / Chapter 4 --- Conclusion --- p.34 / Chapter III. --- Interest Rate Rules and Indeterminacy in a Discrete-Time Monetary Model --- p.37 / Chapter 1 --- Introduction --- p.38 / Chapter 2 --- The Model --- p.39 / Chapter 3 --- Equilibrium Dynamics --- p.42 / Chapter 4 --- Conclusion --- p.45 / Chapter IV. --- Backward-Looking Interest Rate Feedback Rules --- p.48 / Chapter 1 --- Introduction --- p.49 / Chapter 2 --- The Model --- p.51 / Chapter 3 --- Equilibrium Dynamics --- p.57 / Chapter 4 --- Conclusion --- p.61 / Chapter V. --- Appendix --- p.63 / Chapter VI. --- References --- p.66

Sun, Wu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 43-45). / Abstracts in English and Chinese. / Abstract --- p.I / 摘要 --- p.II / Acknowledgments --- p.III / Chapter Essay 1. --- The Effect of Impatience on Determinacy --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- The model --- p.2 / Chapter 1.3 --- Conclusion --- p.8 / Chapter Essay 2. --- Determinacy under Non-separable Utility --- p.9 / Chapter 2.1 --- Introduction --- p.9 / Chapter 2.2 --- The basic model --- p.10 / Chapter 2.3 --- Conclusion --- p.21 / Chapter Essay 3. --- Determinacy under Calvo-Style Sticky Price Model --- p.23 / Chapter 3.1 --- Introduction --- p.23 / Chapter 3.2 --- The model --- p.24 / Chapter 3.2.1 --- With staggered price only --- p.24 / Chapter 3.2.2 --- Incorporating firm-specific capital --- p.30 / Chapter 3.2.3 --- Incorporating staggered wages --- p.35 / Chapter 3.3 --- Conclusion --- p.41 / Reference --- p.43 / Appendix --- p.46 / Table 1: Baseline Calibration --- p.46 / Table 2: Baseline Calibration --- p.46

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This dissertation revolves around robustly measuring and using the information sets of the centralbank and financial markets in order to measure exogenous monetary policy. Modern central banks aggressively use all the available information at their disposal to effectively set monetary policy. This problem of “foresight” renders traditional time series methods ineffective; the information edge of central banks is too large. In the first chapter, I discuss refinements to existing narrative methods, which attempt to the central bank’s own forecasts to capture the information set of the central bank, thus removing their information edge over the econometrician. In the second chapter, I explore how the information sets of financial agents differ central banks and show that there is little direct information transfer between central banks and financial markets around monetary policy actions. Finally, the third chapter details how to use the information sets of financial sector actors to estimate exogenous monetary policy actions that is robust to financial sector revisions about the economy which can be due to the monetary policy actions.

My dissertation within macroeconomics puts special emphasis on uncovering the effects of market power within product and labor markets. I conduct these studies using novel empirical techniques and detailed granular data sets at the firm- and household-levels.In the first chapter, coauthored with Shruti Mishra, we consider how firms’ price-setting decisions are affected by the properties of their markup. We start by designing a general oligopoly framework that accounts for firm heterogeneity, firm granularity, and the effects of market share distribution. We use this structural model to decompose the effect of price on the quantity demanded into a direct price effect and an indirect effect coming from the impact of the market-level aggregates, such as market-level price. This decomposition allows us to take care of all the degrees of heterogeneity in a flexible manner. Under plausible assumptions, the most crucial of which we test in the data, all the information about the distribution of shares within the market will be accounted for by the variation of the market aggregates. Under these conditions, we can estimate the structural parameters that do not depend on the distribution of shares within the market. We use the model to inform our empirical strategy and apply it to the ACNielsen Retail Scanner Data. We test the assumptions put forward by the theory, estimate structural parameters and then use the decomposition formulas to calculate the elasticity of the firm’s demand and other parameters important for the markup variation. We find that elasticity depends sharply on the firm’s market share and decreases significantly as market shares increase. There is a positive dependence of demand elasticities on relative prices (superelasticity), in line with Marshall’s second law of demand. Additionally, elasticity depends on the levels of competitiveness within the market. Even if a firm’s market share stays the same, its elasticity decreases if the market becomes less competitive. Lastly, we apply our estimates to calculate the optimal pass-through of marginal costs into prices and strategic complementarity. We find that an individual firm’s pass-through is contained between zero and one, but depends sharply on the firm’s market share. We find that strategic complementarity between two firms depends on both of their shares and is not symmetric so the degree of strategic complementarity between a small and a large firm, between two small firms, between two large firms, or between large and small firms would all be different. We then assess the non-linear effects of the marginal cost shock on the price and find that pass-through depends positively on the size of the marginal cost shock. This means that the total effect of marginal cost shock on prices is non-linear and that firm prices are more responsive to marginal cost increases than to marginal cost decreases. For market leaders, the pass-through of a large negative marginal cost shock would be close to zero, while the pass-through of a large positive marginal cost shock would approach that of small firms. In the second chapter, coauthored with Rui Mano, Yannick Timmer, and Anke Weber, we study the effect of the firm granularity in the labor market on their hiring decisions. We argue that prevalence of firms controlling large vacancy shares plays an important role in the transmission of monetary policy to labor demand and wage growth and can partially explain the flattening of the wage Philips curve after the GFC. Accommodative monetary policy raises the marginal product of labor, incentivizing all firms to hire more. However, since the wage elasticity of labor demand is lower for high vacancy share firms, they can hire more workers without raising wages disproportionately. We study this effect in the Burning Glass Technology vacancy microdata and, consistently with this mechanism, show that accommodative monetary policy increases labor demand more for high vacancy share firms and that this comes without a disproportionate response in wages. In aggregate, this implies that due to the presence of firms controlling large vacancy shares, accommodative monetary policy can lead to a decline in the unemployment rate that is decoupled from an increase in wage growth. Quantitatively, a firm at the 50th percentile of vacancy share distribution increases its labor demand by ≈ 7% in response to a 10 basis point surprise monetary loosening while a firm at the 95th percentile of the vacancy share distribution increases labor demand by ≈ 9%. Moreover, the effect of monetary policy shocks on firms with high vacancy share is much more persistent, with effects economically large and statistically significant at least for eight quarters. At the same time, there is no comparable differential response of wages, so even though firms with high vacancy shares hire more, they don’t have to increase their wages by more. In this case, more hiring does not result in a comparable increase in wage inflation. This channel can partly explain the flattening of the wage Phillips curve and the “wage-less” recovery after the Global Financial Crisis.In the third and last chapter, coauthored with Shruti Mishra, we study the impact of wealth heterogeneity on labor supply decisions. In the standard model, the positive wealth effect should decrease the willingness to supply labor. In the macroeconomic setting, this means that the direction and the magnitude of the wealth effect will determine whether people search for jobs more actively after a monetary intervention. For example, if unemployed consumers are indebted, they experience a negative wealth effect after a monetary contraction, search for jobs more actively and increase their probability of finding a job, therefore, reducing the total unemployment response. The sign and magnitude of the overall effect of monetary policy on unemployment will therefore depend on whether unemployed consumers are indebted and the magnitude of their debt. To study this mechanism, we develop a theoretical framework with heterogeneous consumers and employment search efforts and then decompose the effect of the monetary policy shock on aggregate unemployment. We test the prediction of the model in both micro and aggregate data. To test the prediction of the model in the aggregate, we estimate the coefficient of the interaction term between the debt-to-income ratio and Romer and Romer monetary policy shock. For the microdata, we use a similar regression with unemployment and mortgage variables for individual consumers from the PSID panel dataset. Consistently with the proposed mechanism, we find that the intuitive negative effect on employment of the monetary contraction is virtually non-existent or even reversed for indebted consumers. The three chapters together paint a complex picture of the impact of market power on macroeconomic variables. First, product market power impacts price-setting decisions of the firms and affects the dynamic of prices and inflation, effectively leading less concentrated economies to behave as if they have more flexible prices. Second, firms that control large share of vacancies in their labor market conduct hiring differently from their smaller counterparts leading to more quantity expansion. Lastly, labor markets exhibit complex supply dynamics as well, with labor supply potentially intensifying during recessions, which might lead the bargaining power of firms to become countercyclical. All these effects hold first-order significance for macroeconomic dynamics and influence our ability to project the future or asses the effects of monetary policy.

This thesis aims to provide new and useful insights into the effects that various tax, labour and product market reforms have on the overall economic performance. Additionally, it aims also to provide insights about the optimal monetary and fiscal policy behaviour within the economy characterized with various real labour market frictions. We analyze the benefits of tax reforms and their effectiveness relative to product or other labour market reforms. A general equilibrium model with imperfect competition, wage bargaining and different forms of tax distortions is applied in order to analyze these issues. We find that structural reforms imply short run costs but long run gains; that the long run gains outweigh the short run costs; and that the financing of such reforms will be the main stumbling block. We also find that the effectiveness of various reform instruments depends on the policy maker's ultimate objective. More precisely, tax reforms are more effective for welfare gains, but market liberalization is more valuable for generating employment. In order to advance our understanding of the tax and product market reform processes, we then develop a dynamic stochastic general equilibrium model which incorporates search-matching frictions, costly ring and endogenous job destruction decisions, as well as a distortionary progressive wage and a at payroll tax. We confirm the negative effects of marginal tax distortions on the overall economic performance. We also find a positive effect of an increase in the wage tax progressivity and product market liberalization on employment, output and consumption. Following a positive technology shock, the volatility of employment, output and consumption turns out to be lower in the reformed economy, whereas the impact effect on inflation is more pronounced. Following a positive government spending shock the volatility of employment, output and consumption is again lower in the reformed economy, but the inflation response is stronger over the whole adjustment path. We also find detrimental effects on employment and output of a tax reform which keeps the marginal tax wedge unchanged by partially offsetting a decrease in the payroll tax by an increase in the wage tax rate. If this reform is anticipated one period in advance the negative effects remain all over the transition path. We investigate the optimal monetary and fiscal policy implication of the New-Keynesian setup enriched with search-matching frictions. We show that the optimal policy features deviation from strict price stability, and that the Ramsey planner uses both inflation and taxes in order to fully exploit the benefits of the productivity increase following a positive productivity shock. We also find that the optimal tax rate and government liabilities inherit the time series properties of the underlying shocks. Moreover, we identify a certain degree of overshooting in inflation and tax rates following a positive productivity shock, and a certain degree of undershooting following a positive government spending shock as a consequence of the assumed commitment of policy maker.

Ye, Guofeng. / "September 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 33-34). / Abstracts in English and Chinese. / ABSTRACT --- p.1 / 摘要 --- p.2 / Chapter 1 --- INTRODUCTION --- p.5 / Chapter 2 --- LITERATURE REVIEW ON MONETARY TRANSMISSION MECHANISM …… --- p.8 / Chapter 3 --- THE EFFECT OF SHORT-TERM INTEREST RATE ON THE ECONOMY …… --- p.13 / Chapter 4 --- METHODOLOGY --- p.16 / Chapter 4.1 --- The Structural Vector Autoregressive Model --- p.16 / Chapter 4.2 --- The Error Correction Model --- p.18 / Chapter 4.3 --- The Alternative Model --- p.19 / Chapter 5 --- DATA --- p.20 / Chapter 5.1 --- Data Description --- p.20 / Chapter 5.2 --- Data Source --- p.20 / Chapter 6 --- EMPIRICAL RESULTS --- p.21 / Chapter 6.1 --- The Structural Vector Autoregressive Model --- p.21 / Chapter 6.2 --- The Error Correction Model --- p.28 / Chapter 6.3 --- The Alternative Model --- p.30 / REFERENCES --- p.33 / APPENDIX --- p.35 / Table 1 --- p.35 / Table 2 (SVAR: 1-3 years) --- p.36 / Table 3 (SVAR: 3-5 years) --- p.37 / Table 4 (SVAR: 5-7 years) --- p.38 / Table 5 --- p.39 / Table 6 (Error Correction Model: 1-3 years) --- p.40 / Table 7 (Error Correction Model: 3-5 years) --- p.41 / Table 8 (Error Correction Model: 5-7 years) --- p.42 / Table 9 --- p.43 / Table 10 (Money Supply: M0) --- p.44 / Table 11 (Money Supply: M 1) --- p.46 / Table 12 (Money Supply: M2) --- p.48