The aim of this thesis is to provide tools in order to simplify and extend the analysis of stock-flow consistent macroeconomic models. For models in continuous time, we will focus on stability and steady state solutions, considering constant exogenous parameters. For models in discrete time, we will derive systems with considerable reduction in complexity and size from rather big linear systems of equations set up by previous authors into much simpler systems of difference equations. These can then also be analyzed from a continuous perspective, if their limits are taken. We will also see how an alternative continuous layout of the models proposed by us, further reduces the number of dimensions with respect to their counterparts in discrete time, in some cases. / Thesis / Master of Science (MSc)

This paper estimates how changes in macroeconomic variables impact the monthly stock returns of the full service, quick service, and fast casual restaurant segments. Market-capitalization-weighted stock indices are created to measure these effects. I also analyze how these changes influence each segment’s share of total valuation in the industry. These are changes in total segment market capitalization relative to changes in total industry market capitalization. My results suggest that the full service segment index is impacted by macroeconomic changes to the greatest extent of the three segments. The quick service segment index is the least affected. Changes in inflation, food commodity prices, consumer sentiment, and the federal funds rate have impacts on stock returns across all three segments.

Thesis (Ph.D.)--Boston University / This dissertation comprises three chapters on the network structure of the economy and its macroeconomic consequences. In the first two chapters, I analyze the relationship between macroeconomic volatility of individual countries and the international trade network the countries are embedded in. In the third chapter, I study the international migration network. In the first chapter, I show a regularity that European countries occupying more central positions in the intra-Europe trade network exhibit lower macroeconomic volatility. Intuitively the trade network has a core-periphery structure and the core is more stable than the periphery. This is puzzling because the core country is also more open to shocks coming from all other countries, which increases volatility. This relationship is informative in the context of the unsettled, classic debate on whether trade openness increases or decreases country-level volatility. Rather than considering an aggregate measure like trade openness, the idea of centrality provides a more comprehensive measure of the nature and strength of trade linkages as well as the identity of the trade partners, all of which have important effects on volatility. I construct a multi-country, multi-sector model subject to idiosyncratic productivity and liquidity shocks, and fully characterize the trade network generated in equilibrium. I calibrate the model to the European Union and I show that it closely replicates the observed negative relationship. Next, I extend the theory presented to incorporate a general network structure and its effects on volatility. From an empirical perspective, I construct an instrument based on geographic distance to establish the finding. From a theoretical perspective, I consider the possibilities of missing linkages and stochastic weights in the trade networks. The third chapter studies the European immobility puzzle. A theory of cross-country migration is devised in the form of labor mobility based on regional and sectoral productivity shocks in a multi-country, multi-sector setting. Differences across countries in socio-cultural and institutional factors induce a friction on such labor reallocation process. The model explains interstate migration network within the U. S. (frictionless benchmark) well. When applied to Europe, the model predicts a sizeable missing mass of migrants. Our estimates show this to be due to socio-cultural barriers.

Three macroeconomic issues are examined in separate self-contained studies. The first study tests the business cycle theory with application of an enhanced Augmented Dickey-Fuller test on the U.S. time series of real gross national product. Unlike previous studies, the null hypothesis of a unit root is rejected. The second study tests for IS-LM conditions in the U.S. during the post-Bretton Woods era by combining the Johansen's approach to cointegration with bootstrap algorithms. The estimated model produces a dynamic version of the IS-LM that permits short-term evaluations of fiscal and monetary policies. The third study seeks to explain the observed persistence in the Bolivan dollarization process. It is found that dollarization is now an irreversible process, with the Bolivian economy in transition toward equalization with U.S. prices and interest rates.

Motivated by a period of time in which we face historically high oil prices, this thesis analyzes to what extent oil prices actually influence inflation. By constructing a simple chart, one can see that oil price and inflation seem to have a similar pattern. However, to draw any conclusions from that is impossible. We show with econometric methods the relationship between oil prices and inflation in the case of Sweden. Sweden, as a net importer of oil, spent approximately 43.3 billion SEK on crude oil during 2004. That is 414.200 barrels of crude oil each day. Taking this into account, what would happen if the oil price suddenly increased by 10%? Considering the fact that 43.3 billion SEK is a rather large amount of money, it seems obvious that such an oil price increase should have some impact on the Swedish economy and inflation. This would occur partly through higher prices of gasoline for example, but it would occur also due to the indirect effect that companies face through higher production costs and will most likely pass on some part of that cost to the consumers. We have gathered data for oil prices and inflation for Sweden since 1981 to 2004. Together with other variables that also affect the inflation, such as money supply and interest rates, we did econometric regressions to find evidence for the relationship. We reach the conclusion that if the oil prices increase by 10%, inflation is assumed to increase with about 0.15-0.20%.

No description available.

Abstract The study reported here was tring to examine the macroeconomic variables that determine the earnings multiple of the Taiwan stock market. For this study, monthly time-series data were used for each of the variables from 1991 through 2001. We used earnings to price ratio¡]E/P¡^as the dependent variable¡AM1B¡BGDP¡]lag¡^¡Bmarket return¡Bcapital increasing rate¡Blog of 5 years bond yield¡Binflation rate¡Blag of earning growth and market value to GNP ratio¡]MV/GNP¡^as the independent variables to construct a multiple-regression model. And we finded the maraket value to GNP ratio¡]MV/GNP¡^was the most powerful variable of the 5 significant variables. GDP¡]lag¡^was second, capaital incresing rate ranked third. Market return was fourth, and M1B was the fifth most explanatory variable. Both capaital increasing rate¡]supply side¡^and M1B¡]demand side¡^variables were signifinant¡Ameant the Law of Supply ¡® Demand remained unchanged in the Taiwan stock market.

<p>Motivated by a period of time in which we face historically high oil prices, this thesis analyzes to what extent oil prices actually influence inflation. By constructing a simple chart, one can see that oil price and inflation seem to have a similar pattern. However, to draw any conclusions from that is impossible. We show with econometric methods the relationship between oil prices and inflation in the case of Sweden.</p><p>Sweden, as a net importer of oil, spent approximately 43.3 billion SEK on crude oil during 2004. That is 414.200 barrels of crude oil each day. Taking this into account, what would happen if the oil price suddenly increased by 10%? Considering the fact that 43.3 billion SEK is a rather large amount of money, it seems obvious that such an oil price increase should have some impact on the Swedish economy and inflation. This would occur partly through higher prices of gasoline for example, but it would occur also due to the indirect effect that companies face through higher production costs and will most likely pass on some part of that cost to the consumers.</p><p>We have gathered data for oil prices and inflation for Sweden since 1981 to 2004. Together with other variables that also affect the inflation, such as money supply and interest rates, we did econometric regressions to find evidence for the relationship. We reach the conclusion that if the oil prices increase by 10%, inflation is assumed to increase with about 0.15-0.20%.</p>

No description available.

No description available.