Two Essays On International Business Cycles
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Two Essays On International Business Cycles
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Author : Sunghyun Henry Kim
language : en
Publisher:
Release Date : 1997
Two Essays On International Business Cycles written by Sunghyun Henry Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Essays On International Business Cycles
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Author : Keita Oikawa
language : en
Publisher:
Release Date : 2015
Essays On International Business Cycles written by Keita Oikawa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
In this dissertation, I present three essays on international business cycles. In the first essay, I document the empirical regularities of international business cycles using the OECD Quarterly Data, and review the existing literatures in this field. By checking the data, I point out 1) net exports-output ratios both in nominal and real terms are countercyclical before 1990 for most of the OECD countries, 2) but the ratios changes their signs from negative to positive after 1990 for some of the countries, and 3) the main reason for the sign changes is that there are changes in the relationship between exports and output: exports were weakly correlated with output or were lagged with output before 1990, but exports become strongly correlated with output and also coincident. In the literature review part, I suggest that many of the properties of international real business cycles can be accounted for by benchmark international real business cycle models, such as Backus, Kehoe and Kydland (1992) and subsequent literatures, but those models cannot account for the coexistence of procyclical and countercyclical net exports. Further, incorporating Bansal and Yaron (2004)-style multi-factor productivity with short-run (trend-stationary transitory) shocks and long-run (difference-stationary growth) shocks are promising in order to account for the new observation about the trade variables. In the second essay, I document that the correlation between net exports and output has not always been negative after 1960. For the G6 countries, most of the countries experienced countercyclical net exports before 1990. However, some of these countries, including Germany and Japan, experienced procyclical net exports after 1990 even though they experienced countercyclical net exports before that. I also show that a simple one-good two-country business cycle model with a multi-factor productivity process can explain the phenomena. A positive transitory shocks to productivity leads to a positive response in net exports because its consumption risk-sharing effect, which causes a international resource flow from Home to Foreign country, is larger than its efficiency effect, which causes an increase in investments in Home country by importing goods form Foreign country. On the other hand, a positive growth shocks to productivity lead to a negative response in net exports because its consumption risk-sharing effect is smaller than its efficiency effect. I estimate the stochastic productivity processes for the G6 countries by using the simulated method of moments, and the simulation results of the model based on the estimated parameters are able to account for the changes in net export dynamics from pre-1990 to post-1990 for Germany and Japan. In the third essay, I document that there are changes in the correlations about trade variables and capital flows for the G7 countries: 1) the magnitude of the contemporaneous correlation of exports with output is a half of that of imports with output for pre-1990, but the former is almost the same value as the latter for post-1990, 2) the magnitude of the contemporaneous correlation of real net exports-output ratio with output is significantly negative for pre-1990, but it becomes almost zero or weakly positive for post-1990. I present two types of two-country two-good real business cycle models, one of which is with complete financial markets and the other one is with incomplete financial markets model in a sense that only risk-free one-period bonds are traded. I also add two types of shocks, transitory and growth shocks, to these two models in the spirit of Aguiar and Gopinath (2007). Firstly, the standard complete financial markets model has a strong correlation of exports with output and a weak correlation of imports with output. Secondly, the standard incomplete financial markets model has a weak correlation of exports with output and a strong correlation of imports with output. Finally, with reasonable changes in model parameter values, both the complete and incomplete market models can account for the two empirical regularities above, but only the incomplete market model can account for the empirical regularities for pre-1990. I evaluate these models in light of cross-country correlation properties based on actual data, especially the cross-country consumption correlation anomaly. I show that the incomplete financial markets model is still better than the complete market model because the cross-country consumption correlation in the incomplete financial markets model is still larger than but closer to the cross-country output correlation compared with the case of the complete financial markets model.
Essays On International Trade And Business Cycles
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Author : Daisoon Kim
language : en
Publisher:
Release Date : 2019
Essays On International Trade And Business Cycles written by Daisoon Kim 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.
This research investigates how international trade and business cycles vary with characteristics of industries. The first chapter documents cost side industry heterogeneity across narrowly defined industries. The second and third chapters study the short run (international business cycle) and long run (home market effect) phenomenon, respectively. The research contributes to a better understanding of how the supply side industry heterogeneity plays a vital role in international trade and macroeconomics. The first chapter provides a method to estimate the cost structure. The approach relies on cost minimization and free entry condition with frictions, which allows decomposing sources of economies of scale into a sloping marginal cost curve and fixed cost. The US manufacturing industry data show that industry-level economies of scale are more strongly associated with marginal costs than fixed costs. The second chapter shows that the industry's international business cycle patterns vary systemically by the slopes. In industries with decreasing marginal costs, output, imports, and exports are all more correlated with aggregate GDP than in industries with increasing marginal costs. To rationalize the observed patterns, this chapter introduces sloping marginal cost curves and their variations across industries in an open economy macroeconomic model. It delivers endogenous export gains/losses and within-firm links between domestic and export markets which generate two attractive features of the model: (i) it raises model-implied cross-country aggregate GDP comovements which are close to the data, and (ii) it reproduces observed industrial international business cycle patterns. The results suggest that sloping marginal cost curves and their heterogeneity are informative to understand the international business cycle. The third chapter studies how industry characteristics determine the home market effect: the impact of country size on trade surplus and the location of industries. This chapter constructs a two-country multi-industry new trade model that allows for various supply- and demand-side industry characteristics. A novel feature of the model is that economies of scale arise not just from fixed costs, but also from sloping marginal cost curves. The model predicts that large countries have a higher concentration of industries in which (i) marginal costs are an important source of economies of scale, and (ii) products are more differentiated. This chapter tests these theoretical predictions using a gravity-based specification and introduces instrumental variables to fix measurement error and proxy problems. The empirical results are consistent with the main predictions of the model. The results show that the primary building blocks of new trade theory, economies of scale and product differentiation, are central to understanding international trade patterns in narrowly defined industries. The research supposes that a non-linear cost function and variations in cost structure across industries improve our understanding of international trade and business cycles.
Essays On International Real Business Cycle Models And Bayesian Estimation
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Author : Kan Chen
language : en
Publisher:
Release Date : 2013
Essays On International Real Business Cycle Models And Bayesian Estimation written by Kan Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Bayesian statistical decision theory categories.
Essays On International Business Cycles
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Author : Robert Miguel Walter Kurt Kollmann
language : en
Publisher:
Release Date : 1991
Essays On International Business Cycles written by Robert Miguel Walter Kurt Kollmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Business cycles categories.
Essays On International Macroeconomics And Trade
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Author : Paul Ko
language : en
Publisher:
Release Date : 2021
Essays On International Macroeconomics And Trade written by Paul Ko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
This dissertation consists of four chapters. The first chapter introduces the global business cycle synchronization and empirically explores relationships between various shocks and the cross-country business cycle co-movement. The second chapter provides a multi-country, international real business cycle model that incorporates a comprehensive set of shocks that are mentioned in the first chapter. Then, the third chapter connects the model to the data and discusses how various shocks are backed out, by matching various data moments with the endogenous outcomes of the model. Then, the chapter answers the question of which set of shocks primarily affect the synchronization of cross-country business cycles. The fourth chapter explores the implications of the results in the previous chapters to the trade co-movement puzzle. In the first chapter, I empirically show that international business cycles have become highly synchronized across countries in the past three decades. Then, I document that there is a lack of consensus on whether this is due to an increase in the correlation of country-specific shocks or due to increased economic integration in the previous literature. In the second chapter, to understand this empirical phenomenon, I develop a multi-country real business cycle model with international trade that captures several potential explanations: shocks to productivity, demand, leisure, investment, sectoral expenditures, and trade-linkages. The third chapter describes the accounting procedure and the main results. In the first portion of the third chapter, I show a detailed accounting procedure: I match the data exactly with the endogenous outcomes of the model so that shocks fully account for the data. The data moments that I match are GDP, consumption expenditure, labor hours, PPI, CPI, and bilateral trade shares. Then, I calibrate the model to a panel of developed (G7) countries and the rest of the world (ROW). In the second portion of the third chapter, I discuss the main findings. During 1992--2014, I find that trade-linkage shocks, which capture increased economic integration and the volatility of bilateral trade flows, are essential in synchronizing international business cycles. In contrast, correlated country-specific shocks play relatively minor roles. This suggests that trade shocks due to economic integration have been the primary driver of the co-movement of international business cycles. Furthermore, I find that the sources of variation in trade-linkage shocks is predominantly driven by the rest of the world, followed by the United States and Germany -- which shows that the larger the presence of a country in global trade, the larger the impact of the country on international business cycle co-movement. In the fourth chapter, I use my model to address the \textit{trade co-movement puzzle}, which states that international real business cycle models should be predicting a much stronger positive link between trade and cross-country GDP correlations. When I do not account for the trade-linkage shocks in my counterfactuals, I find that the model does not exhibit positive relationship between trade and business cycle co-movement. On the other hand, the other sets of shocks are not sufficient enough to explain the positive relationship between trade and cross-country business cycles. This finding suggests that incorporating the dynamics of trade shocks is crucial when studying the trade co-movement puzzle.
Essays On International Business Cycles
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Author : Jan-Philipp Dueber
language : en
Publisher:
Release Date : 2019
Essays On International Business Cycles written by Jan-Philipp Dueber 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.
Essays In International Business Cycles
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Author : Andrea Raffo
language : en
Publisher:
Release Date : 2005
Essays In International Business Cycles written by Andrea Raffo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business cycles categories.
Three Essays In International Macroeconomics
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Author : Adam Hubert Gulan
language : en
Publisher:
Release Date : 2011
Three Essays In International Macroeconomics written by Adam Hubert Gulan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Macroeconomics categories.
This dissertation consists of three separate essays in the field of international macroeconomics. The objective of the first and third chapters is to add to the understanding of some of the aspects of international business cycle fluctuations, both of developed economies, as well as developing ones. The second chapter sheds some new light on the behavior of current account positions in advanced economies. In the first chapter, I revisit the consumption correlation as well as the Backus--Smith puzzles by inspecting the role of financial markets. Relative to the existing literature, I introduce explicit international trade in stocks and bonds in an otherwise standard model of international business cycles. The results show that markets with symmetric trade in stocks allow for a high degree of risk sharing and closely mimic the Arrow--Debreu economy despite being formally incomplete. Risk sharing decreases in asymmetric stock and nominal bond markets, but is still higher than in a single commodity bond economy. The results, therefore, cast doubt on the explanation of the two puzzles based on highly restricted asset trade and large degree of market incompleteness. I also provide empirical evidence that output net of investment and government spending tends to be less correlated across countries than consumption, much less than output itself. This constitutes a new form of the consumption correlation puzzle. The puzzle can be accounted for in the presence of high home bias and low elasticities of substitution between domestic and foreign baskets. In the second chapter, I apply the weak axiom of revealed preference theory (WARP) in the context of a 2-period model of the current account. According to this argument, certain changes in current account positions should be precluded. In particular, a country which initially ran a current account deficit, should remain in deficit after the exogenously given interest rate drops. Similarly, a country running a surplus should remain a lender if the interest rate goes up. The argument holds for both an endowment economy as well as for a model with production. To check whether the changes in CA positions are in line with WARP I employ econometric models of binary choice on a panel of 22 developed economies. The results suggest that the axiom is largely at work, i.e. I find no statistical evidence of violations of the revealed preference axiom in all but one regression. In the third chapter, I turn the attention to the peculiarities of business cycle fluctuations in developing countries. Countercyclical country interest rates have been shown to be both a distinctive characteristic and an important driving force of business cycles in emerging markets. In order to capture this, most business cycle models of emerging economies have nonetheless relied on ad hoc and exogenous countercyclical interest rate processes. I offer a solution to this shortcoming by embedding a financial contract a la citet{bgg1999} into a standard real business cycle model of a small open economy. Because of the existence of agency problems between foreign lenders and domestic borrowers, this financial structure allows me to fully endogenize the existence of an external finance premium that drives country interest rates. I then take the model to data from emerging economies and show that this modification allows to properly account for many of the stylized facts of business cycles in emerging economies, particularly the strong volatility and countercyclicality of interest rates. I also fit the model to data from developed small open economies and find that the estimated parameters that define the financial contract differ in nontrivial ways from those estimated to emerging economies.
Essays On International Trade And International Macroeconomics
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Author : Ana Filipa Vieira Nadais
language : en
Publisher:
Release Date : 2017
Essays On International Trade And International Macroeconomics written by Ana Filipa Vieira Nadais and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Default (Finance) categories.
"This dissertation consists of three essays studying different aspects of international economics. The first two chapters focus on international trade, namely on estimating the size of trade barriers by looking at how firms manage their inventories, while Chapter 3 focus on international macroeconomics; in specific, the likelihood of a country to default on its debt when there is an informal sector. The first chapter provides evidence supporting the common assumption that international fixed ordering costs are higher than domestic fixed ordering costs. The canonical inventory model (the EOQ model) is extended to include two inputs sourced from different countries. Given the demand for each of the inputs, the fixed ordering costs and the inventory holding cost, the firm decides the optimal quantity to order each period. The model is estimated using firmlevel data on inventories of raw materials and inputs used from domestic and international sources. Assuming constant returns on inventory holding costs, the model reveals that it is between 20 and 60 times more expensive to place an order internationally than domestically, but yields an elasticity of inventories to demand much smaller than in the data. Allowing for a more general holding cost structure, that depends on the level of inventories in stock captures the variation of inventories' cost with firm's size. With this more general setup, foreign ordering costs are estimated to be between 3.5 and 5.2 times higher than domestic, suggesting that there are strong economies of scale in holding inventories. Those estimates are corroborated when I allow total fixed ordering costs to depend on total demand as this specification results in international fixed ordering costs between 4.1 and 7.2 times higher than domestic. The second chapter uses firm-level data on inventory holdings and source of inputs to estimate domestic and international trade barriers looking not only at fixed costs, but also at time lags and computing their tariff equivalents. It starts by documenting three features related to inventories, import decisions, and firm's size. First, inventories increase strongly in size, with an elasticity right below one. Second, importers hold more inventories than non-importers and third, inventories increase in import intensity. Given inventory carrying costs, the inventory holdings are used to infer relative domestic and international trade barriers. I develop a model of heterogeneous firms that produce using imperfectly substitutable domestic and imported intermediates and face demand and supply uncertainty. Given ordering costs and delivery lags that differ by source country, interest charges and inventory holding costs, producers use inventories to economize on trade costs. I find it is 5 times more costly to place an international than a domestic order but, when scaled by average shipment size, the international fixed ordering cost is just twice as large; the international time lag is 3 times larger than the domestic and there is complementarity in inputs, reflected in higher domestic inventories to domestic purchases ratio for importers than for non-importers. Overall, domestic and international trade frictions have a 17.3% tariff equivalent. I decompose these tariffs into their three components and observe that due to the substitutability between fixed ordering costs and inventory holding costs, these barriers have the same relevance while that of time lag is slightly smaller. This framework can then be used to evaluate the benefits of infrastructure investments and policy changes to reduce time delays, uncertainty or fixed ordering costs. The last chapter starts from the observation that, although emerging markets are often characterized by a large informal sector, frequent default and procyclical fiscal policies, sovereign default models proposing explanations for the high sovereign bonds interest rate spreads faced by developing economies have abstracted from the existence of the informal sector and its role. To address this concern, I propose a mechanism through which the size of the informal sector impacts a country's default decision. I extend a small open economy sovereign default model by including an informal and a formal sector and pro-cyclical fiscal policies, where a benevolent government makes default and tax decisions in order to maximize agent's utility and satisfy its level of public spending. I conclude that the taxable base decreases in the size of the informal sector leading to more distortions, which translate into higher tax rates, and more frequent defaults and that these results are magnified over the business cycle"--Pages vi-viii.
