This thesis is structured around three main essays. The first focused on the sources of current account (CA) fluctuations in industrialized countries. Using a SVAR model with minimal long-run identifying restrictions, we identified external productivity shocks, domestic permanent and temporary output shocks, and demand or preferences shocks. We have found that the present value model (PVM) of the CA is consistent with the behaviour of the data for all countries except for France and the UK, where permanent domestic shocks have a long-run impact on the CA. Preferences shocks and, mostly, external supply shocks appear to play an important role in explaining CA fluctuations. Our model also reduces the degree of excess response of the CA to temporary output shocks found in previous literature. The second essay provides descriptive evidence at a disaggregate level on the behaviour of a large set of developed and emerging markets around recession dates. Using sectoral value added (VA), employment and productivity data, we unveiled a set of regularities for both sets of countries, while grouping industries according their level of productivity and external financial dependence. Also, we distinguished financial from normal recessions. Most importantly, results show that recessions tend to be more industry-specific events in emerging markets and economy-wide phenomena in developed countries. Moreover, the amplitude of the cycle for VA and productivity growth is larger -for emerging markets. Also industries with high dependence on external finance generally face higher contractions in V A, especially in the case of financial recessions. The third and final essay examined the importance of sector-specific factors in explaining business cycles (BC) co-movement, by analyzing international co- movements of VA growth in a multi-sector dynamic factor model. The model contains a World, country-specific, and sector-specific factors, and idiosyncratic components. We estimated the model using Bayesian methods for 30 sectors in the G7 economies for the 1974-2004 period. Our findings show that although there is a substantial role for sector-specific factors, fluctuations are dominated by country- factors. Also, the World factor appears to play a minimal role. Finally, our results suggest that, contrary to the convergence hypothesis, BC at a disaggregate level have not on average become more synchronized at the international level.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:580374 |
| Date | January 2012 |
| Creators | Karadimitropoulou, Aikaterini E. |
| Publisher | University of Kent |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
Page generated in 0.0021 seconds