The effects of interplanetary shock impact angles have the potential to have far reaching consequences. By their nature, interplanetary shocks are a direct consequence of a variety of solar events including both Coronal Mass Ejections (CMEs) and Co-rotating Interaction Regions (CIRs). They have the ability to move the magnetopause, the boundary between the Earth's magnetosphere and the surrounding plasma, leading to ionospheric current systems and an enhanced ring current. Their association with a time-varying EMF also makes them potentially dangerous at a human level. This EMF can couple to electrical currents in technological infrastructure that can overload transformers, communication cables, and power grids. As IP shocks have the potential to have a large impact on our society, research to further our understanding of these events is prudent. We know that shocks can couple to currents and ULF waves in the magnetosphere-ionosphere system. Much of the current research into their behaviors has been focused on models and simulations and has indicated that the shock impact angle should affect the properties of the waves. To investigate the potential influence of the impact angle, data from a series of Antarctic magnetometers was collected and compared to a database of known interplanetary shocks to determine when the response to different shocks was detected at the magnetometer. For this investigation, we were concerned with determining what impact if any, the impact angle of the IP shock had on the generation of Pc5 waves. To that end, the power spectra both before and after the shock was calculated. This information was then combined with the shock impact angle to determine what effects if any, the shock impact angle had on Pc5 wave occurrence rates. From our research, it was determined that the impact angle of the interplanetary shock had a significant impact on the occurrence rate and properties of Pc5 waves observed by high-latitude ground magnetometers. / Master of Science / Interplanetary shocks, drive interactions between the solar wind and the Earth’s atmosphere, and they have the potential to have far reaching consequences. Caused by a variety of solar events including both Coronal Mass Ejections (CMEs) and Co-rotating Interaction Regions (CIRs), they have the ability to physically move the locations of regional boundaries of the ionized part of Earth’s atmosphere, leading to a variety of electromagnetic effects. They also pose a danger at the human level by generating electrical currents in technological infrastructure that can overload transformers, communication cables, and power grids. As they pose a danger to our society, understanding them is prudent. A large portion of the current research into their behaviors has been focused on models and simulations and has shown that the shock impact angle should affect the properties of the waves. For this investigation, data from a series of Antarctic sensors was collected and compared to a database of known interplanetary shocks to determine when different shocks were detected. Specifically, for our investigation, we were concerned with determining what impact if any, the impact angle of the IP shock had on the generation of Pc5 waves, a specific type of ULF wave. This was accomplished by calculating the power level at different frequencies both before and after the shock. This information was then combined with the shock impact angle to determine what effects if any, the shock impact angle had on Pc5 wave occurrence rates. From our research we found that the impact angle of the interplanetary shock had a significant impact on the generation of Pc5 waves.

No / This paper shows that the presence of persistent uninsurable risk concentrated in economic depressions has the potential to resolve two well¿known asset pricing puzzles. It is also shown that the presence of such risk in more normal economic expansions and recessions is likely to be much less relevant in determining equilibrium asset prices.

Doctor of Philosophy / Department of Economics / Lance J. Bachmeier / This dissertation consists of three essays in nonlinear macroeconomic modeling and econometrics. In the first essay, we decompose oil price movements into oil demand (stock market) shocks and oil supply (oil-market) shocks, and examine the response of the stock market to these shocks. We find that when oil prices are “net-increasing”, a stock market shock that causes the S&P 500 to rise by one percentage point will cause the price of oil to rise approximately 0.2 percentage points, with a statistically significant positive effect one day after the stock market shock. On the other hand, the response of the stock market to an oil market shock is a decline of 6.8 percent when the price of oil doubles. For other days, the initial response of the oil market to a stock market shock is the same as in the net oil price increase case (by construction). We then analyze the response of monetary policy to the identified stock market and oil market shocks and find that short-term interest rates respond to the stock market shocks but not the oil market shocks. Finally, we evaluate the predictive power of the decomposed stock market and oil shocks relative to the change in the price of oil. We find statistically significant gains in both the in-sample fit and out-of-sample forecast accuracy when using the identified stock market and oil market shocks rather than the change in the price of oil. The second essay revisits the statistical specification of near-multicollinearity in the logistic regression model using the Probabilistic Reduction approach. We argue that the ceteris paribus clause invoked with near-multicollinearity is rather misleading. This assumption states that one can assess the impact of near-multicollinearity by holding the parameters of the logistic regression model constant, while examining the impact on their standard errors and t-ratios as the correlation (\rho) between the regressors increases. Using the Probabilistic Reduction approach, we derive the parameters (and related statisitics) of the logistic regression model and show that they are functions of \rho , indicating the ceteris paribus clause in the traditional account of near multicollinearity is unattainable. Monte carlo simulations in the paper confirm these findings. We also show that traditional near-multicollinearity diagnostics, such as the variance inflation factor and condition number can fail to detect near-multicollinearity. Overall, the paper finds that near-multicollinearity in the logistic model is highly variable and may not lead to the problems indicated by the traditional account. Therefore, unexpected, unreliable or unstable estimates and inferences should not be blamed on near-multicollinearity. Rather the modeler should return to economic theory or statistical respecification of their model to address these problems. The third essay examines the correlations between income inequality and economic growth using a panel of income distribution data for 3,109 counties of the U.S. We examine the non-spatial dynamic correlations between county inequality and growth using a System GMM approach, and find significant negative relationships between changes in inequality in one period and growth in the subsequent period. We show that this finding is robust across different sample sizes. We further argue that because the space-specific time-invariant variables that affect economic growth and inequality can differ significantly across counties, failure to incorporate spatial effects into a model of growth and inequality may lead to biased results.We assume that dependence among counties only arises from the disturbance process, hence the estimation of a spatial error model. Our results indicate that the bias in the parameter for inequality amounts to about 2.66 percent, while that for initial income amounts to about 21.51 percent.

[pt] Este trabalho estima a volatilidade de choques agregados e setoriais, bem como suas contribuições para flutuações econômicas, usando microdados de preços. A ideia central é que inovações setoriais estão associadas com a dinâmica de certas estatísticas, como tamanho médio de reajustes de preços, de um setor econômico específico, enquanto a volatilidade de choques agregados pode ser inferida pela correlação destas estatísticas entre setores diferentes. Portanto, microdados de preços contêm informação sobre a natureza dos ciclos econômicos. Emprega-se aqui um modelo de fixação de preços no qual firmas enfrentam não somente custos de menu, mas também fricções de natureza informacional. O modelo é estimado usando o Método dos Momentos Simulados e dados do Reino Unido. Encontra-se que choques setoriais são consideravelmente mais voláteis que choques agregados. / [en] We estimate the volatility of aggregate and sectoral shocks, as well as their contributions to business cycles fluctuations, using price setting data. The key idea is that sector-specific innovations are associated with the dynamics of price setting statistics, such as average size of price adjustments, within a single economic sector, while the volatility of aggregate disturbances can be inferred from the correlation of these statistics across different sectors. Therefore, price setting data provides useful information about the nature of economic fluctuations. We employ a rich price setting model in which firms face not only menu costs, but also informational frictions and estimate it using Simulated Method of Moments and data from the UK. We find that sectoral shocks are considerably more volatile than their aggregate counterparts.

This dissertation consists of three independent essays addressing several key issues related to the empirical application of optimum currency area. The first essay explores the features of the CFA franc zone by operationalizing Robert Mundell’s (1952) criteria for an optimum currency area. A vector autoregression method is used in modeling national outputs as determined by global, regional and country-specific shocks. It finds that domestic outputs of the CFA franc zone countries are strongly influenced by country-specific shocks. These results suggest that the CFA franc zone countries are structurally different from each other and the monetary union may have been a costly arrangement for the member countries. The second essay focuses on the Eastern Caribbean Currency Union (ECCU). A 2-vairable vector autoregressive model is estimated to investigate the extent of symmetric shocks in the small open economies of the ECCU. The paper finds that domestic outputs of the ECCU countries are strongly influenced by regional shocks. These results indicate that the ECCU countries are structurally similar to each other and exchange arrangements appear to have well served the region and the group of countries is more likely to be an optimum currency area. The third essay explores the possibility of a currency union in East Asia. In this essay, the extent of global and regional integration in East Asia is investigated using the stock price index as a measure of economic performance. A similar VAR model is employed to separate the underlying shocks into global, regional and country-specific shocks. The estimation results show that country-specific shocks play a dominant role in East Asia although their role appears to have declined over time, especially after the 1997 financial crisis. Global and regional shocks are responsible for small but increasing shares of stock price fluctuations in most countries. The results indicate that, despite years of liberalization and regional integration, economies in East Asia remain dissimilar and are subject to asymmetric shocks and it might be costly for East Asian countries to abandon monetary policy independence to form a monetary union and that a more flexible exchange rate regime might be desirable.

La globalisation est probablement la caractéristique principale de l'économie mondiale du 21e siècle. Elle se traduit notamment par l'intégration par les canaux commerciaux, financiers et les marchés de matières premières. Si un tel contexte affecte de manière très significative tous les types d'économies, il convient de souligner que les petites économies ouvertes dépendantes des exportations de matières premières, et ouvertes aux marchés financiers globaux, sont en général les plus exposées. L'économie chilienne possède toutes ces caractéristiques. C’est dans ce contexte que cette thèse explore l'efficacité de la politique budgétaire chilienne et les effets des prix des matières premières et des chocs financiers internationaux sur le PIB chilien et d'autres variables macro-économiques importantes. A cette fin, on utilise une approche empirique basée sur des modèles vectoriels autorégressifs. / The economic globalization is probably the main feature of the 21st century world economy, with economic integration and interdependence of national economies across the world particularly common in commodity and financial markets. Such a context greatly affect all types of economies though those small, dependent on commodity exports, and open to global financial markets are usually the most exposed. Having in mind this scenario, in this Ph.D. dissertation we explore the effectiveness of the Chilean fiscal policy and the effects of commodity prices and foreign financial shocks, on the Chilean GDP and other macroeconomic fundamentals using an empirical approach based on alternative vector autoregressive models.To understand the effectiveness of the country’s fiscal policy aiming at guarantying macroeconomic stability, in the Chapter 1 of this Ph.D. dissertation we study the dynamic effects of fiscal policy on the Chilean macroeconomic fundamentals and the size of fiscal multipliers. Chapter 2 examines how shocks to commodity prices affect the Chilean economic output, fiscal accounts and private consumption, based on correlations analysis and vector autoregression models. In the Chapter 3 of this Ph.D. dissertation we study the effect of foreign financial shocks on the Chilean real economy.

The financial and exchange rate crisis observed in Argentine at the end of 2001 showed the importance of understanding the factors that explain the evolution of the balance of payments and, in particular, of the current account. The objective of this work is to show recent developments in the theory of the current account and its application to the Argentine case. In the first place, short and long term correlations between national saving and domestic investment is considered through a model of a mechanism of correction of errors. Later, the paper analyzes the main shocks that affect to the current account in agreement with different theories. Finally, the paper shows the intertemporary approach of the current account. In this case, the paper considers a standard version of this approach and a model that makes flexible some of its main basic assumptions. / La crisis financiera y cambiaria que tuvo lugar en la Argentina hacia fines del año 2001 puso de relieve la importancia de entender los factores que explican la evolución de la balanza de pagos y, en particular, de la cuenta corriente. El objetivo de este trabajo es mostrar algunos de los desarrollos relativamente recientes en la teoría de la cuenta corriente y su aplicación al caso argentino. En primer lugar, se estima la correlación de corto y de largo plazo entre las tasas de ahorro nacional y de inversión doméstica, a través de un modelo planteado en la forma de un mecanismo de corrección de errores. Posteriormente, se analizan los principales shocks que podrían afectar a la cuenta corriente, de acuerdo con diferentes teorías. Por último, se describe la propuesta intertemporal de la cuenta corriente. Para ello, se expone, en primer lugar, la versión estándar de esta propuesta y, posteriormente, un modelo que flexibiliza algunos de sus principales supuestos básicos.

The thesis analyses in detail the relationship between the money stock defined by money aggregates M1 and M2 and the real GDP in the Czech Republic for period between 1996 and 2015. A long-term relationship between the real GDP and the money aggregate is not found using quarterly time series data. These conclusions are in accordance with the economic theory which does not confirm that money affects level of the real GDP in the long run. Short-term relationship between given variables is also analysed. Results indicate that the growth rate of the money aggregate M1 statistically significantly affects the growth rate of the real GDP in the same direction which is in line with monetary theories of business cycle. On the other hand, any statistically significant relationship for the money aggregate M2 is not found which speaks in favour of the Real Business Cycle theory. The Policy Ineffectiveness Proposition accepted by New Classical Macroeconomists is also tested in the thesis. The issue is investigated for the whole period and subsequently for shorter time from 2000 to 2015 where the uniform monetary policy is applied. Results for the money aggregate M1 imply that expected changes in the growth rate of M1 play important role in the money-output relationship which is consistent with the New Keynesian Macroeconomic theory. Considering the shorter period of time, Lucas' theory seems to be more appropriate explanation. Outcomes for the aggregate M2 provide mixed conclusions which support rather the Real Business Cycle theory. At the end of the thesis, there is a section devoted to the quasi money (one of M2 aggregate components) as a possible source of mixed results.

The power distribution infrastructure in the United States is deteriorating at a rapid rate exposing infrastructure wiring and creating potential shock hazards. Periodic road and sidewalk maintenance projects can also expose wiring and create energized objects. In urban settings inadvertently energized objects include: lamp posts, bus shelters, metal street curbs, sign posts, transformer vaults, and manhole covers as well as concrete and asphalt pavement. Every year electric shocks occur when people and domestic animals (such as dogs and cats) make incidental contact with these energized objects. In very rare cases the shocks from these contacts are lethal. Through current personal research, a new handheld detector was developed. It uses the emissions of an energized object to pinpoint the location and further analyzes the emissions to determine the likely cause of the shock hazard. This thesis focuses on advancing detection technology and creating a more capable, production-ready unit.

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