Three Essays In Macro Finance International Economics And Macro Econometrics
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Three Essays In Macro Finance International Economics And Macro Econometrics
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Author : Laurent Kemoe
language : en
Publisher:
Release Date : 2017
Three Essays In Macro Finance International Economics And Macro Econometrics written by Laurent Kemoe and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This thesis brings new evidence on different strands of the literature in macro-finance, international economics and macroeconometrics. The first two chapters combine both theoretical models and empirical techniques to deepen the analysis of important economic phenomena such as the effects of economic policy uncertainty on financial markets, and convergence between emerging market economies and advanced economies on these markets. The third chapter of the thesis, which is co-authored with Hafedh Bouakez, contributes to the literature on the identification of news shocks about future productivity. In the first chapter, I study the effect of monetary and fiscal policy uncertainty on nominal U.S. government bond yields and premiums. I use a New-Keynesian Dynamic Stochastic General Equilibrium model featuring recursive preferences, and both real and nominal rigidities. Policy uncertainty in the DSGE model is defined as a mean-preserving spread of the policy shock distributions. My results show that: (i) When the economy is subject to unpredictable shocks to the volatility of policy instruments, the level of the median yield curve is lower, its slope increases and risk premiums decrease relative to an economy with no stochastic volatility. This negative effect on the level of yields and premiums is due to the asymmetric impact of positive versus negative shocks; (ii) A typical policy risk shock increases yields at all maturities. This is because the fall in yields triggered by higher demand for bonds by households, in order to hedge against higher predicted consumption volatility, is outweighed by the increase in yields due to higher inflation risk premiums. Finally, I use several empirical measures economic policy uncertainty in a structural VAR model to show that the above effects of policy risk shocks on yields are consistent empirical evidence. Chapter 2 looks at the market for government bonds in 12 advanced economies and 8 emerging market economies, during the period 1999-2012, and consider the question of whether or not there has been any convergence of risk between emerging market and advanced economies. I distinguish between default risk and other types of risk, such as inflation, liquidity and exchange rate risk. I make the theoretical case that forward risk premium differentials can be used to distinguish default risk and other risks. I then construct forward risk premium differentials and use these to make the empirical case that there has been little convergence associated with the other types of risk. I also show that differences in countries' macroeconomic fundamentals and political risk play an important role in explaining the large "non-default" risk differentials observed between emerging and advanced economies. Chapter 3 proposes a novel strategy to identify anticipated and unanticipated technology shocks, which leads to results that are consistent with the predictions of conventional new-Keynesian models. It shows that the failure of many empirical studies to generate consistent responses to these shocks is due to impurities in the available TFP series, which lead to an incorrect identification of unanticipated technology shocks---whose estimated effects are inconsistent with the interpretation of these disturbances as supply shocks. This, in turn, contaminates the identification of news shocks. My co-author, Hafedh Bouakez, and I propose an agnostic identification strategy that allows TFP to be affected by both technological and non-technological shocks, and identifies unanticipated technology shocks via sign restrictions on the response of inflation. The results show that the effects of both surprise TFP shocks and news shocks are generally consistent with the predictions of standard new-Keynesian models. In particular, the inflation puzzle documented in previous studies vanishes under the novel empirical strategy.
Essays In International Finance And Macroeconomics
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Author : Eiji Fujii
language : en
Publisher:
Release Date : 1999
Essays In International Finance And Macroeconomics written by Eiji Fujii and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with International finance categories.
Each of the three essays composing this dissertation investigates important economic and econometric issues in international finance and macroeconomics. The first essay, “Market Structure and the Persistence of Sectoral Deviations from Purchasing Power Parity,” examines the relationship between market structure and the persistence of the dollar-based sectoral real exchange rates for fourteen OECD countries. The empirical results based on disaggregated data suggest that differences in market structure significantly determine the rates at which deviations from sectoral purchasing power parity decay. Based on the findings, I argue that an imperfectly competitive market structure is an important source of the well-documented persistence in real exchange rates.
Three Essays In International Macroeconomics And Finance
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Author : Enrique Martinez-Garcia
language : en
Publisher:
Release Date : 2007
Three Essays In International Macroeconomics And Finance written by Enrique Martinez-Garcia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
The Global Macro Economy And Finance
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Author : Franklin Allen
language : en
Publisher: Springer
Release Date : 2016-04-30
The Global Macro Economy And Finance written by Franklin Allen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-30 with Business & Economics categories.
This volume explores the measurement of economic and social progress in our societies, and proposes new frameworks to integrate economic dimensions with other aspects of human well-being. Leading economists analyse the light that the recent crisis has shed on the global economic architecture, and the policies needed to address these systemic risks.
Essays In Financial Economics And Macro Finance
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Author : Jonathan-Julian Federle
language : en
Publisher:
Release Date : 2024
Essays In Financial Economics And Macro Finance written by Jonathan-Julian Federle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024 with categories.
Three Essays In International Finance And Econometrics
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Author : Chien Nan Wang
language : en
Publisher:
Release Date : 1987
Three Essays In International Finance And Econometrics written by Chien Nan Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Econometrics categories.
Three Essays In Macro Finance
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Author : Xing Guo
language : en
Publisher:
Release Date : 2019
Three Essays In Macro Finance written by Xing Guo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Three Empirical Essays In Financial Economics And International Finance
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Author : Marek Kolar
language : en
Publisher:
Release Date : 2008
Three Empirical Essays In Financial Economics And International Finance written by Marek Kolar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Banks and banking, Central categories.
Essays In Macroeconomics And Finance
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Author : Congyan Tan
language : en
Publisher:
Release Date : 2011
Essays In Macroeconomics And Finance written by Congyan Tan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
For the past two decades, economists have focused intensive effort on building Macroeconomics on a firm Microeconomic foundation. As Macroeconomic research are more integrated with Microeconomics, more and better micro evidence has been examined to verify Macroeconomic theories. One recent development in this line of research uses detailed firm-level evidence to modify current Macroeconomic theories. In this dissertation extensive firm-level evidence are studied to shed light on important macro issues such as investment dynamics, financial frictions, regulations and productivity growth. In this study firm behaviors are studied and modeled by utilizing theories from a variety of fields in Corporate Finance, Public Finance, International Economics, Macroeconomic Dynamics etc. Implications of these evidence on the economic theory are carefully examined and subsequent extension of existing models are proposed. This dissertation consists of three chapters. All chapters study firm behaviors and their implications on macroeconomics, however, the focus of each is different. The first chapter studies issues of credit conditions, uncertainty and investment; the second chapter (co- authored with Zhiyong An) engages the issues of taxation and international corporate finance; the third chapter show how regulations are likely impact foreign investment. The first chapter explores the heterogeneity in firms' response to high economic uncertainty. I show that the effect of high economic uncertainty on firms' investment varies significantly with the degree of financial constraints. Firm decisions are studied in a model of non-convex adjustment costs and time-varying second moment shocks, with financial constraints. In my model, uncertainty makes financially-constrained firms cautious in capital spending and creates long periods of under-investment for these firms. Estimates from firm-level data show that publicly-traded companies' investment-to-capital ratio falls by an average of around 15% in response to a one standard deviation increase in uncertainty. Firms with easier access to credit are found to be much less responsive to uncertainty, consistent with the model's predictions. This implies that the effectiveness of stimulus policy may largely depend on firms' accessibility to credit in episodes of high uncertainty. The second chapter (co-authored with Zhiyong An) studies how firms respond to a quasi-experiment in China. China's new Corporate income Tax Law was passed in March 2007 and took effect on January 1, 2008. It increases the effective corporate income tax rate from about 15% to 25% for foreign investment enterprises (FIEs), while keeps that unchanged at 25% for domestic enterprises (DEs). This study uses a difference-in-differences approach to investigate FIEs' response to the law. Employing the Chinese Industrial Enterprises Database (2002-2008) to implement the analysis, we find evidence that FIEs are responding to the law by shifting their income out of China. Second, the magnitude of the estimated response is larger for enterprises larger in size, which suggests the greater capability of shifting income across countries for larger enterprises. In addition, the response is more acute for investment enterprises from Hong Kong, Macau, or Taiwan (HMT) than that for other FIEs, which is consistent with the tax haven status of Hong Kong and Macau. The third chapter studies productivity spillovers to domestic firms from foreign direct investment (FDI). Such productivity gain from FDI is considered to be the basis of policies that promote FDI in many countries. In this chapter, firm-level panel data from six European countries are examined to test a number of hypotheses regarding the impact of FDI on the productivity of domestic firms. I find evidence for the backward linkage channel of the FDI spillovers. Using a new dataset, Investing Across Borders 2010 that documents and scores regulations for FDI in 87 countries, this study goes further to explore how FDI-specific policies and institutions impact the spillovers from FDI inflows. Empirical evidence shows that good investment climate is associated with productivity gains, either by direct productivity contribution or by productivity increase in upstream industries. Higher ownership limit is shown to be significantly and positively correlated with productivity. However, productivity impact varies greatly across different investment climate measures.
Complexity Endogenous Money And Macroeconomic Theory
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Author : Mark Setterfield
language : en
Publisher: Edward Elgar Publishing
Release Date : 2006-01-01
Complexity Endogenous Money And Macroeconomic Theory written by Mark Setterfield and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-01 with Business & Economics categories.
That the chapters in the volume cover such a wide range of important, often fundamental, topics is a proper tribute to Basil Moore s influence and contributions over his working life. From the foreword by G.C. Harcourt, Jesus College, Cambridge, UK During a distinguished career, Basil Moore has made numerous important contributions to macroeconomics and monetary economics, and is renowned as the progenitor of the horizontalist analysis of endogenous money. More recently, he has embraced complexity theory as part of an ongoing effort to understand macroeconomics as an evolving, path-dependent process. This book celebrates and explores Basil Moore s interests in and contributions to monetary and macroeconomic theory. Complexity, Endogenous Money and Macroeconomic Theory features original essays by internationally acclaimed and expert authors. It comprises a selection of papers on five distinct but interrelated themes: economic concepts, tools and methodology; complexity, uncertainty and path dependence; the macroeconomics of endogenous money; the macroeconomics of exogenous interest rates; and unemployment, inflation and the determination of aggregate income. These papers combine to provide a comprehensive methodological and theoretical discussion of the macroeconomics of a monetary production economy. The book will be of interest to professionals and research students in the fields of macroeconomics and monetary economics especially those with an interest in the Post Keynesian approach to analyzing these fields, including the wide audience that has been reached by the contributions of Basil Moore himself.