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This thesis builds on the established body of research into the suitability of a country joining other countries in a monetary union by focusing on the potential costs resulting from the loss of monetary policy independence that is a corollary to forming a monetary union. We continue in the tradition of several other authors by extracting supply and demand shocks for a range of countries from VAR analysis and comparing the symmetry of these economic shocks between potential members of a monetary union. The theoretical contribution of this thesis is that we explicitly incorporate the size of each potential currency union member in the analysis. This contribution is motivated by the observation that a large country would be a more significant part of a given currency union than would a small country. Thus the monetary policy settings of a given currency union would to a larger extent reflect the economic dynamics of a given country the larger that country is relative to the size of the union overall. Previous authors have largely neglected this issue. We explicitly incorporate the size of each potential members' economy in our analytical framework and re-assess the merits of a range of regions forming a currency union. Using the framework developed, we also inquire into the optimality of current monetary regimes in two regions, the North American continent and in Australia. The first of these is motivated by Mundell's seminal article on currency unions where he asked in largely qualitative terms whether the US and Canada are better currency realms than a hypothetical north south divide of the continent. The second is motivated by the observation that Australia’s economy embodies (economically) very different sub-regions due to the difference importance of commodities production in different parts of the country. We ask whether these different regions experience symmetrical or largely idiosyncratic shocks and find support for the latter.

Net interest margin (NIM) is an important indicator of a bank's operational efficiency. Based on the balance sheet data of 189 major listed banks in Europe from 2010 to 2019, this thesis studies the bank's NIM mechanism in a negative interest rate environment. This thesis focuses on the system GMM method and the results show that the policy interest rate is positively related to NIM in the long run and negatively related in the short run, but the relationship between the two is not significant in the short run. Moreover, in a negative interest rate environment, bank NIM's sensitivity to policy interest rates has greatly increased, especially the policy of interest rate cuts. In addition, the sensitivity of NIMs of different banks to policy interest rates also differs significantly. Generally, the NIMs of banks with a high degree of internationalization and larger size are less sensitive to changes in policy interest rates, while the NIMs of banks with a higher share of retail business in their total business are more sensitive to changes in policy interest rates. Finally, through the value-at-risk analysis and stress test, this thesis concludes that the policy interest rate, net loan-to-asset ratio, non-performing loan ratio and inflation rate are sensitive factors of NIM. When NIM is subject to a...

This thesis analyzes the pass-through of external factors into consumer and producer prices in Turkey, with a special emphasis on import price pass-through. To this end, pricing along a distribution chain framework is utilized and it is estimated by Vector Auto Regression (VAR) in a sample period of April 2002 to March 2009. Results show that the pass-through of external shocks into producer prices is higher than it is for consumer prices. Compared with the results of previous studies, findings point out that the degree of pass-through has declined recently in Turkey. In addition, it is found that external factors had significant contribution to annual consumer inflation between 2006 and 2008. Nevertheless, even the contributions of external shocks are excluded, year-end inflation targets would not have been attained.

Doctor of Philosophy / Department of Economics / Lance J. Bachmeier / This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.

Die Dissertation entwickelt und untersucht Methoden für die Analyse dynamischer Mehrgleichungsmodelle (VAR Modelle). Zuerst wird ein allgemeines Konzept für die Einbindung statistischer Prozeduren in eine menügesteuerte Software entwickelt. Die resultierende Java--Bibliothek besteht aus konfigurierbaren Oberflächenkomponenten und Funktionen, die die Kommunikation zum statistischen Softwarepaket GAUSS ermöglichen. Diese Bibliothek ist die Grundlage für die Software JMulTi, einem menügeführten Programm zur Analyse univariater und multivariater Zeitreihen. Der Einsatz von JMulTi bei der Analyse von VAR Modellen wird anschließend dokumentiert. Dazu werden für den monetären Sektor in Deutschland unrestringierte und restringierte VAR Modelle geschätzt und unterschiedliche Bootstrapkonfidenzintervallen für Impulsantworten berechnet und verglichen. Diese Intervalle sind Gegenstand einer abschließenden und detaillierten Analyse. Es wird untersucht, ob die in JMulTi verwendeten Bootstrapverfahren (und weitergehende Vorschläge wie z.B. das Subsampling) in der Lage sind, die mögliche Inkonsistenz des standardasymptotischen Verfahrens bei der Berechnung von Konfidenzintervallen für Impulsantworten zu überwinden. Eine Monte-Carlo-Studie illustriert die Leistungsfähigkeit der untersuchten Methoden. / The thesis develops and examines tools for the analysis of dynamic multi-equation models (VAR models). First, a general concept for the integration of statistic procedures into a menu controlled software is developed. The resulting Java-library consists of configurable graphical user interface components and functions, which allow communication to the statistic software package GAUSS. This library is the basis for the software JMulTi, a menu-driven program for analyzing univariate and multivariate time series. The use of JMulTi for analyzing VAR models is documented next. Unrestricted and restricted VAR models for the monetary sector of Germany are estimated and different bootstrap confidence intervals for impulse responses are computed and compared. These intervals are subject of a concluding and detailed analysis. It is examined whether the bootstrap methods used in JMulTi (and further suggestions, e.g. the subsampling) are able to overcome the possible inconsistency of the standard asymptotic method when computing confidence intervals for impulse responses. A Monte-Carlo-study illustrates the performance of the examined methods.

This thesis investigates the nature of macroeconomic changes by focussing on the monetary policy changes in Turkey between 1990Q1-2011Q4 and assesses the variability of the economy via impulse response functions obtained from VAR analyses. The period of the analyses is characterized with changes of the definitions of monetary aggregates in 2002 and 2007. In order to have consistent monetary series, the new and old series are constructed according to new and old definitions and then analyses are carried out with each type of series and comparisons are given among the monetary series.

This dissertation thesis deals with relation between labour market and monetary policy referring to two fundamental theoretical concepts -- natural rate hypothesis (or NAIRU) and unemployment hysteresis hypothesis. The first chapter outlines the most frequent values of the Phillips curve, the fundamental model of macroeconomics theory in the relation between the labour market and the monetary policy. The following chapter deals with the exogenous NAIRU concept which works as natural unemployment rate approximation. The unemployment hysteresis deals with the NAIRU as endogenous variable which is dependent on preceding imbalanced situations on labour market. The thesis outlines the main causes of the hysteresis: capital scrapping effect, role of the long-term unemployment and the insider-outsider hypothesis. The third chapter also comprises simple econometric tests of both particular mechanisms and the hysteresis itself based on usual unit roots tests. The results show the hysteresis using data from both the Czech Republic and Central and Eastern Europe countries (CEEC). The fourth chapter deals with monetary-political implications of the unemployment hysteresis. The practical part of the thesis is based on two hypotheses of the relation between inflation (policy interest rate) and NAIRU. The last chapter based on the VAR model outlines short-term relations between the labour market and monetary policy variables. Long-term relations are tested by both the co-integration analysis and vector error correction model (VECM). These models are examined on the data from the Czech Republic and Poland (2000-2013). The thesis also applies pooled regression estimate for ten CEEC. The results show that the monetary policy does have impact on the labour market not only in the short-term but also in the long-term period and thus they confirm the hysteresis hypothesis