Thesis (Ph. D.)--University of Missouri-Columbia, 1999. / Typescript. Vita. Includes bibliographical references (leaves 75-77). Also available on the Internet.

published_or_final_version / abstract / toc / Statistics and Actuarial Science / Master / Master of Philosophy

This thesis consists of four essays in empirical macroeconomics. What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative Analysis The literature using structural vector autoregressions (SVARs) to assess the effects of fiscal policy shocks strongly disagrees on the qualitative and quantitative response of key macroeconomic variables. We find that controlling for differences in specification of the reduced-form model, all identification approaches used in the literature yield similar results regarding the effects of government spending shocks, but diverging results regarding the effects of tax shocks. The Analytics of SVARs. A Unified Framework to Measure Fiscal Multipliers Does fiscal policy stimulate output? SVARs have been used to address this question, but no stylized facts have emerged. I show that different priors about the output elasticities of tax revenue and government expenditures implied by the identification schemes generate a large dispersion in the estimates of tax and spending multipliers. I estimate fiscal multipliers consistent with prior distributions of the elasticities computed by a variety of empirical strategies. I document that in the U.S. spending multipliers are larger than the tax multipliers. Computing DSGE Models with Recursive Preferences and Stochastic Volatility This paper compares solution methods for computing the equilibrium of dynamic stochastic general equilibrium models with recursive preferences and stochastic volatility. The main finding is that a third-order perturbation is competitive in terms of accuracy with Chebyshev polynomials and value function iteration, while being an order of magnitude faster to run. Business Cycle Accounting and Misspecified DSGE Models This paper investigates how insights from the literature on business cycle accounting can be used to trace out the implications of missing channels in a baseline estimated dynamic stochastic general equilibrium model used for forecast and policy analysis.

Modelling and forecasting stock market volatility is a critical issue in various fields of finance and economics. Forecasting volatility in stock markets find extensive use in portfolio management, risk management and option pricing. The primary objective of this study was to describe the volatility in the Johannesburg Stock Exchange (JSE) index using univariate and multivariate GARCH models. We used daily log-returns of the JSE index over the period 6 June 1995 to 30 June 2012. In the univariate GARCH modelling, both asymmetric and symmetric GARCH models were employed. We investigated volatility in the market using the simple GARCH, GJR-GARCH, EGARCH and APARCH models assuming di erent distributional assumptions in the error terms. The study indicated that the volatility in the residuals and the leverage effect was present in the JSE index returns. Secondly, we explored the dynamics of the correlation between the JSE index, FTSE-100 and NASDAQ-100 index on the basis of weekly returns over the period 6 June 1995 to 30 June 2012. The DCC-GARCH (1,1) model was employed to study the correlation dynamics. These results suggested that the correlation between the JSE index and the other two indices varied over time. / Thesis (M.Sc.)-University of KwaZulu-Natal, Pietermaritzburg, 2013.

The Swedish households’ debt relative to income has increased for some time now, with the Riksbanks’ executive board expressing its concern for the risk it brings. It has been debated whether or not to take the high indebtedness into account when setting the policy rate. There is at the same time no consensus about the relationship between the repo rate and household debt. This study aims to examine the effect of a change in the repo rate on household debt-to-income ratio, using a VAR-model. The result is that a 1 percentage point shock to the repo rate for one quarter will have a negative impact on the household debt-to-income ratio by 1.75 percentage points after about 8 quarters. However this may not decrease the risk associated with the debt due to higher unemployment.

There are four chapters in my dissertation. Chapter one gives a brief introduction of the three essays. Chapter two empirically analyzes the interaction among conventional monetary policy, foreign exchange intervention and the exchange rate in a unifying model for Japan. I have several findings. First, the results lend support to the leaning-against-the-wind hypothesis. Second, conventional monetary policy has as great influence on the exchange rate as foreign exchange intervention in Japan. Third, intervention in Japan is ineffective or may be counter-effective, so escaping liquidity trap by intervention alone may not be a feasible way. Chapter three empirically identifies the sources of exchange rate movements of Japan vis--vis the US, and investigates the role of the exchange rate in the macro economy adjustment. It finds that real shocks dominate nominal shocks in explaining the exchange rate movements, with relative real demand shocks as the major contributor. And the exchange rate market does not create many shocks. The overall result supports that the bilateral exchange rate in Japan is a shock-absorber rather than a source of shock. Chapter four provides cross-country and time-series evidence on the extent of exchange rate pass-through at different stages of distribution - import prices, producer prices and consumer prices - for eight major industrial countries: United States, Japan, Canada, Italy, UK, Finland, Sweden and Spain. I find exchange rate pass-through incomplete in many horizons, though complete pass-through is observed occasionally. The degree of pass-through declines and time needed for complete pass-through lengthens along the distribution chain. Furthermore, I find that a greater pass-through coefficient is associated with an economy that is smaller in size with higher import shares, more persistent and less volatile exchange rate shocks, more volatile monetary shocks, higher inflation rate, and less volatile GDP.

Thesis (M.S.)--Ohio University, November, 2002. / Title from PDF t.p. Includes bibliographical references (leaves 46-48).

Thesis (Ph.D.)--University of Nebraska-Lincoln, 2008. / Title from title screen (site viewed Oct. 31, 2008). PDF text: 134 p. : col. ill. ; 2 Mb. UMI publication number: AAT 3307115. Includes bibliographical references. Also available in microfilm and microfiche formats.

Thesis (Ph. D.)--University of California, San Diego, 1999. / Vita. Includes bibliographical references.

Thesis (Ph. D.)--University of Missouri-Columbia, 2002. / Typescript. Vita. Includes bibliographical references (leaves 128-131). Also available on the Internet.