Essays in the Study of Aggregate Fluctuations

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Total Pages : 236 pages
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Book Synopsis Essays in the Study of Aggregate Fluctuations by : Dou Jiang

Download or read book Essays in the Study of Aggregate Fluctuations written by Dou Jiang and published by . This book was released on 2015 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis consists of three self-contained papers on business cycle fluctuations in the context of the dynamic stochastic general equilibrium framework. The first paper examines how maintenance expenditures affect the occurrence of indeterminacy in a two-sector model economy, motivated by the empirical fact that equipment and structures are maintained and repaired. McGrattan and Schmitz's (1999) survey on `Capital and Repair Expenditures' in Canada indicates that maintenance expenditures account for a substantial fraction of output and new investment. It is shown that the endogenous maintenance expenditures reduce the requirement of the degree of increasing returns to scale to generate sunspot equilibria. In fact, the minimum level of the returns to scale required could be as low as 1.0179. This aspect is important since empirical works such as Basu and Fernald (1997) suggests that returns to scale is close to constant. The second paper addresses the following questions in the context of a neoclassical model of the business cycle: what caused the 1890s and 1907 recessions in the U.S.? In particular, we apply the Business Cycle Accounting method to decompose the economic fluctuation into its sources: productivity, the labour wedge, the investment wedge and the government consumption wedge. Our results suggest that the economy downturn is primarily attributed to frictions that reduce productivity and the wedge capturing distortions in labour-leisure decision. The financial market frictions would have accounted for the drop of the efficiency wedge. A contractionary monetary shock could generate a gap between the marginal rate of substitution and the marginal product of labour. The third paper applies the accounting method proposed by Chari, Kehoe and McGrattan (2007) to identify the primary sources of economic slumps in South Australia from 1990 to 2014. We focus on three major stages: the recession in the early-1990s, the Asian Financial Crisis and the 2008-2012 South Australian slump. Our results show that the efficiency wedge is the primary transmission channel through which the primitive shocks hit the South Australian economy. Shocks such as structural transformation, collapse of motor vehicle industry might have affected the efficiency wedge. Moreover, it is illustrated that infrastructural expenditures are important in increasing the efficiency wedge. This is conformity with the fact that South Australian government is keen to support its development through the Economic Stimulus Plan. Trade openness might also be a contributor." -- abstract, leaves vii-viii.

Two Essays on Aggregate Fluctuations

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Total Pages : 166 pages
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Book Synopsis Two Essays on Aggregate Fluctuations by : Francesc Obiols Homs

Download or read book Two Essays on Aggregate Fluctuations written by Francesc Obiols Homs and published by . This book was released on 1996 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on the Origins of Aggregate Fluctuations

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ISBN 13 :
Total Pages : 246 pages
Book Rating : 4.:/5 (953 download)

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Book Synopsis Essays on the Origins of Aggregate Fluctuations by : By Kai Yan

Download or read book Essays on the Origins of Aggregate Fluctuations written by By Kai Yan and published by . This book was released on 2015 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Heterogeneity, Learning Dynamics, and Aggregate Fluctuations

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ISBN 13 :
Total Pages : 284 pages
Book Rating : 4.:/5 (549 download)

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Book Synopsis Essays on Heterogeneity, Learning Dynamics, and Aggregate Fluctuations by : Eran Alan Guse

Download or read book Essays on Heterogeneity, Learning Dynamics, and Aggregate Fluctuations written by Eran Alan Guse and published by . This book was released on 2003 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Aggregate Fluctuations with Micro-heterogeneity

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Total Pages : 135 pages
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Book Synopsis Essays on Aggregate Fluctuations with Micro-heterogeneity by : Tatsuro Senga

Download or read book Essays on Aggregate Fluctuations with Micro-heterogeneity written by Tatsuro Senga and published by . This book was released on 2015 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the second chapter, "Default Risk and Aggregate Fluctuations in an Economy with Production Heterogeneity," with Aubhik Khan and Julia K. Thomas, I study an economy where firms have persistent differences in productivities, capital, and debt or financial assets. Investment is funded by retained earnings and non-contingent debt. Because firms may default on their loans, the unit cost of borrowing rises with the debt a firm undertakes and falls with its collateral. This drives an inefficient allocation of capital; on average, large firms with more collateral invest more than do small firms with less collateral. In response to a credit shock worsening firms' cash positions, the model predicts a sharp response consistent with several aspects of the 2007 U.S. recession. Measured TFP falls over several periods, as do employment, investment and GDP. The subsequent recovery is gradual given slow recoveries in TFP, aggregate capital, and the measure and distribution of firms. In the third chapter, "Uncertainty Shocks and Liquidity Crisis with Adverse Selection," I study the impact of uncertainty shocks in an economy with asymmetric information in the asset market. Firms are heterogeneous in productivity, and they finance investment by issuing long-term, non-contingent loans. Each lender underwrites and securitizes loans in a market where households participate as buyers without knowing the quality of underlying assets. This adverse selection problem worsens following a shock to the dispersion of firm productivity. Trading volumes and the prices for securitized loans fall, and this in turn adversely affects investment at the firm level.

Essays on Stochastic Volatility and Aggregate Fluctuations

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Total Pages : 0 pages
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Book Synopsis Essays on Stochastic Volatility and Aggregate Fluctuations by : Guanliang Hu

Download or read book Essays on Stochastic Volatility and Aggregate Fluctuations written by Guanliang Hu and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent papers have pointed to the role of fluctuation in the second-moment of firm productivity (or demand) in generating aggregate fluctuations. However, the commonly used model which assumes an AR(1) process of productivity has two implications that are inconsistent with data: (i) the economy recovers from a downturn induced by an increase in the second-moment much faster in the model than in SVAR; and (ii) in the model, a large increase in the second-moment leads to an increase in investment rate dispersion, which is not observed in the data. To address these inconsistencies, I propose a general information structure which allows for a rich specification of second-moment shocks and find one of them that can resolve these inconsistencies. In chapter 1, using data on US publicly traded firms, I document the stylized facts that firms experience larger changes in productivity will have larger uncertainty in future and that this association decreases over time. Motivated by these facts, I propose a general information structure, which incorporates a learning process, and embed it into a heterogeneous-firm RBC model. I then consider an economy without aggregate shocks and show that this information structure can explain well these facts both qualitatively and quantitatively. In chapter 2, based on the model framework developed in chapter 1, I study four types of second-moment shocks: shocks to the second-moment of persistent productivity (i.e., the standard formation in the literature), shocks to frequency of persistent productivity change, shocks to the second-moment of transitory productivity, and shocks to the second-moment of signal noises. Specifically, I estimate four models, each of which has one type of second-moment shocks. I find that the model that best fits data on firm-level and aggregate uncertainty is the one that has shocks to the second-moment of transitory productivity. In chapter 3, I explore the quantitative implications of each model estimated in chapter 2. I find the model with the best fit solves the aforementioned inconsistencies with the data. This result suggests a new reasonable way to model fluctuation in uncertainty.

Essays on Aggregate Fluctuations, Network Dynamics and Statistical Regularities in Economics

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Total Pages : pages
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Book Synopsis Essays on Aggregate Fluctuations, Network Dynamics and Statistical Regularities in Economics by : Alexander Hempfing

Download or read book Essays on Aggregate Fluctuations, Network Dynamics and Statistical Regularities in Economics written by Alexander Hempfing and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Imperfect Information, Macroeconomic Fluctuations, and Nominal Rigidities

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ISBN 13 :
Total Pages : 83 pages
Book Rating : 4.:/5 (655 download)

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Book Synopsis Essays on Imperfect Information, Macroeconomic Fluctuations, and Nominal Rigidities by : Jean-Paul L'Huillier

Download or read book Essays on Imperfect Information, Macroeconomic Fluctuations, and Nominal Rigidities written by Jean-Paul L'Huillier and published by . This book was released on 2010 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay empirically models of aggregate fluctuations with two basic ingredients: agents form anticipations about the future based on noisy sources of information; these anticipations affect spending and output in the short run. Our objective is to separate fluctuations due to actual changes in fundamentals (news) from those due to temporary errors in the private sector's estimates of these fundamentals (noise). Using a simple model where the consumption random walk hypothesis holds exactly, we address some basic methodological issues and take a first pass at the data. First, we show that if the econometrician has no informational advantage over the agents in the model, structural VARs cannot be used to identify news and noise shocks. Next, we develop a structural Maximum Likelihood approach which allows us to identify the model's parameters and to evaluate the role of news and noise shocks. Applied to postwar U.S. data, this approach suggests that noise shocks play an important role in short-run fluctuations. The second essay experimentally examines whether looking at other people's pricing decisions is a type of heuristic, a decision rule that people over-apply even when it is not applicable. such as in the case of clearly private value goods. We find evidence that this is indeed the case. individual valuation of a purely subjective experience under full information, elicited using incentive compatible mechanism, is highly influenced by values of others. As the third essay shows, this result can shed light on price rigidities. Inspired by the experimental results of the second essay, the third essay develops a model of slow macroeconomic adjustment to monetary shocks. The model exploits the idea that buyers are imperfectly informed about their nominal valuation. I proceed in three steps. First, I develop a mechanism for price rigidities. My mechanism captures the notion that firms are reluctant to increase prices after an increase in demand or costs because it creates a disproportionate adverse reaction among consumers. These reactions arise endogenously for purely informational reasons. The key assumption is that some consumers are better informed than others about monetary shocks. If few consumers are informed, equilibria with nominal rigidity exist. In these equilibria firms do not change prices even though they are arbitrarily well informed, and have no menu costs. Moreover, if the proportion of informed consumers is low enough, these equilibria dominate equilibria with flexible prices. Second, I show that when firms do not change prices they inflict an informational externality on other firms. Consumers buy goods sequentially, one after the other, and change their beliefs about shocks when they see prices change. Therefore, when firms do not change prices, consumers do not learn. This hurts both firms and consumers. Third, I study the dynamic responses of output and inflation to shocks. Because of the informational externality learning is initially slow, the responses are delayed and hump-shaped. The responses are also asymmetric - prices increase faster than they decrease, and therefore negative shocks trigger larger output responses than positive shocks.

Essays on Macroeconomics and Cyclical Fluctuations

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Total Pages : 101 pages
Book Rating : 4.:/5 (873 download)

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Book Synopsis Essays on Macroeconomics and Cyclical Fluctuations by : Wei Shi

Download or read book Essays on Macroeconomics and Cyclical Fluctuations written by Wei Shi and published by . This book was released on 2013 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: This series of essays studies the observed fluctuations in the aggregate economy and the factors behind. I first examine the cyclical behaviors of the aggregate productivity shocks, as measured by the aggregate Solow residual and how it relates to the technology adoption decision done by individual firms. Then I divert my attention to the labor market, and enquire into (i) why workers with different skills show such significant differences as observed in the U.S. in terms of their unemployment rates and wages; and (ii) what the so-called labor wedge might reflect. The first chapter of my dissertation formalizes Schumpeter's idea that the firm level technological changes are what cause changes in the aggregate Solow residual. The analysis starts with a characterization about how new firms make their technology adoption decision, taking into account both the average productivity of the candidate technology and the risk associated with its adoption. Then through the creative destruction process, these newly adopted technologies gradually prevail in the market, and eventually manifest themselves in the aggregate Solow residual. The quantitative experiments confirm that the Schumpeterian story told in this chapter is able to amplify the traditional aggregate productivity shock, as well as to transform other shocks to the economy into variations in the Solow residual, and thus generating significant business cycle fluctuations. The model also has a few reasonable firm-level implications. The second chapter develops a framework for the study of the labor market dynamics when workers differ in their production efficiency, which I call skills in the chapter, and when there are search frictions. Compared to the standard business cycle model with frictional labor market, skill heterogeneity in my model creates dispersion in the match surpluses between the workers and the firms, and thus necessitates a screening process that results in the termination of the unprofitable matches in equilibrium. This endogenous separation mechanism disproportionately influences the employment status of the less-skilled workers and not only exposes them to larger layoff risks, but also inflicts on them greater difficulties in terms of reestablishing their employment relationship with the firms. Quantitatively, the model has cross-sectional implications for the unemployment rates and the wages that are consistent with the observed differences across skill groups in the U.S. labor market. The last chapter carefully studies the hypothesis that the empirical labor wedge as defined by Robert Shimer may reflect the existence of a household production sector that is largely uncounted by the standard macroeconomic framework. By enriching an otherwise standard real business cycle model with a household production sector, I find that if the hours worked at home and the utility obtained from the home-produced goods are not included in the calculation, the model generates a wedge between the marginal product of labor (MPL) and the household's marginal rate of substitution between consumption and leisure (MRS) that assembles the empirical labor wedge. With reasonable parameter values, the quantitative properties of the model-predicted labor wedge also match those of their empirical counterpart.

ESSAYS ON UNDERSTANDING MACROECONOMIC FLUCTUATIONS

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Total Pages : 0 pages
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Book Synopsis ESSAYS ON UNDERSTANDING MACROECONOMIC FLUCTUATIONS by : Shuoshuo Hou

Download or read book ESSAYS ON UNDERSTANDING MACROECONOMIC FLUCTUATIONS written by Shuoshuo Hou and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three chapters. The first chapter studies the impact of financial shocks and financial frictions on business cycle dynamics in China's economy. The second and third chapters focus on the driving force of structural change and its impact on aggregate fluctuations using an input-output network approach. In the second chapter, I study two questions: (i) How has the U.S. production network structure changed from 1970 to 2017? (ii) What impact does that have on aggregate fluctuations? This paper shows that a few industries, like Finance and Insurance and Professional Services, have become much more central input suppliers over time, while others, like Paper Manufacturing, have become far less important. Therefore, the third chapter considers the driving force behind such structural change. In particular, I study the question of what determines the size of an industry in a production network. China has been one of the world's fastest-growing economies over the past several decades and emerged quickly from the global financial crisis of 2008. Chapter 1, titled DO FINANCIAL SHOCKS DRIVE REAL BUSINESS FLUCTUATIONS IN CHINA, investigates to what extent financial shocks can shape business cycle fluctuations in China. Specifically, I document the cyclical properties of China's macroeconomy and financial market and show the procyclicality of dividend payout and the countercyclicality of debt repurchases with real GDP. To account for these features, I use the real business cycle model incorporating debt and equity financing developed by Jermann and Quadrini (2012) to study how the dynamics of macroeconomic and financial variables are affected by financial shocks in China. This paper finds that financial shocks contribute significantly to business cycle fluctuations in China and can account for over 60% of the variations in the growth rate of output, investment, hours worked, and debt repurchases. Hulton's Theorem states that the impact of an industry-specific shock on the aggregate economy is entirely captured by the size of this industry, regardless of its position in the production network. Chapter 2, titled THE IMPORTANCE OF INPUT-OUTPUT NETWORK STRUCTURE IN THE US ECONOMY, proposes the idea that the network structure in isolation plays an essential role in shaping GDP growth and growth volatility. First, I introduce a new measure of network structure named centrality dispersion and document that the U.S. production network has become sparsely connected from 1970 to 2017, where many industries relied on a few central input suppliers for production. Such changes are associated with slower GDP growth and higher volatility. To account for this evidence, I embed input-output linkages into a multisector real business cycle model and provide a nonlinear characterization of the impact of network structure quantified using centrality dispersion on the macroeconomy. Finally, I study model-implied relationships between production network structure, GDP growth, and growth volatility. The calibrated model accounts for approximately one-quarter of the variation in real GDP growth and 40% of GDP volatility, as observed in the data. Chapter 3, titled THE NETWORK ORIGIN OF INDUSTRY SIZE VARIATIONS, quantifies the origin of industry size variations using the features of a production network. In the analysis, I perform an exact variance decomposition of industry total sales into the supplier, buyer, and final demand components. The findings suggest that matching with many buyers in the network, especially many large buyers is essential in understanding industry size variations. More importantly, these buyer characteristics have become increasingly important in contributing to industry size variations over the 1967-2012 period. Finally, I provide new empirical evidence related to the decomposition results. The evidence reveals a strengthening negative correlation between industry size and the concentration of customer networks in the long run.

Essays on Macroeconomics with Heterogeneous Regions

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Book Synopsis Essays on Macroeconomics with Heterogeneous Regions by : Chang Liu

Download or read book Essays on Macroeconomics with Heterogeneous Regions written by Chang Liu and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies macroeconomics with regional heterogeneity in three general dimensions. First, it documents some novel empirical patterns of regional heterogeneity (in Chapter 1, 2, 3). Second, these empirical facts are used to identify key economic forces underlying theoretical models (in Chapter 1 and 3). Third, aggregate implications of regional heterogeneity are also studied (in Chapter 1). In the first chapter of this dissertation, I highlight time-varying regional risk and federal fiscal transfer policy as two competing forces driving regional risk sharing over the business cycle and in turn quantify their impacts on aggregate fluctuations. I find that during an economic downturn, increased regional risk worsens risk sharing and amplifies the impact of aggregate productivity shocks. However, state-contingent federal government transfers provide additional risk sharing and help stabilize the aggregate economy, by providing insurance to the regions that need it the most. In the second chapter (joint with Noah Williams), we first estimate a quarterly dataset for state-level aggregates by building a novel empirical framework that allows for mixed-frequency raw data with measurement errors. We then apply this dataset to study the monetary policy effects at the state levels. We find that states behave remarkably homogeneous with each other in their responses of output and price to an unanticipated monetary policy shock. In the third chapter (joint with Noah Williams), we use the state-level quarterly dataset to analyze the impact of unexpected changes in federal personal and corporate income taxes. We find substantial heterogeneity in the impact of federal fiscal policy across states, with more than half having no significant response to the tax cuts. In addition, less capital-intensive states have larger responses to corporate tax cuts. Although puzzling in standard models, a model with corporate and non-corporate sectors is consistent with this evidence. Overall, our results suggest the importance of variation and reallocation across states in evaluating federal policy.

Essays on Financial Frictions and Macroeconomic Dynamics with Heterogeneous Agents

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Total Pages : 102 pages
Book Rating : 4.:/5 (94 download)

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Book Synopsis Essays on Financial Frictions and Macroeconomic Dynamics with Heterogeneous Agents by : Lini Zhang

Download or read book Essays on Financial Frictions and Macroeconomic Dynamics with Heterogeneous Agents written by Lini Zhang and published by . This book was released on 2014 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation develops dynamic stochastic general equilibrium (DSGE) models in which financial frictions interact with rich household heterogeneity to study the implication of financial shocks for aggregate fluctuations.

Essays on Incomplete Market and Aggregate Fluctuation

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Total Pages : pages
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Book Synopsis Essays on Incomplete Market and Aggregate Fluctuation by : Seungcheol Lee

Download or read book Essays on Incomplete Market and Aggregate Fluctuation written by Seungcheol Lee and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on the Real Effects of Financial Market Fluctuations

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Total Pages : 104 pages
Book Rating : 4.:/5 (17 download)

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Book Synopsis Essays on the Real Effects of Financial Market Fluctuations by : Fernando Mauro Giuliano

Download or read book Essays on the Real Effects of Financial Market Fluctuations written by Fernando Mauro Giuliano and published by . This book was released on 2015 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the following essays I study the effects of disruptions in financial markets on aggregate outcomes. In the first two chapters, I study the transmission mechanisms from financial crises to the real economy in emerging countries, in environments where firms set heterogeneous markups. The introduction of heterogeneous markups is backed by data: I document that there is evidence of firms setting heterogeneous markups using microdata for Argentina and Colombia. As an endogenous source of resource misallocation across firms, markups can potentially be an important driver of aggregate productivity and output dynamics during large financial crises. The opening chapter is my first attempt to address the role of heterogeneous markups during financial crises. To investigate the extent to which this has a significant quantitative role, I adapt a model of imperfect competition where markups are a function of within-sector market shares. Using microdata from Argentina's annual manufacturing survey, I document that market shares become more disperse during the Argentine 2001-02 crisis. Through the lens of the model this results in increased variability of markups, which decreases aggregate productivity. I perform an accounting exercise and find that markup-induced misallocation can explain between 6.4$\%$ and 15.6$\%$ of the fall in aggregate productivity during the Argentine crisis, or up to one third of the overall effect of resource misallocation. In Chapter 2, joint with Gabriel Zaourak, we explicitly introduce financial frictions to analyze the interaction between credit constraints and variable markups during a credit crunch. Financial frictions take the form of a collateral constraint on working capital. A financial crisis in this framework is modeled as an exogenous shock to the maximum amount of working capital that can be financed externally. Using microdata from financial statements and manufacturing surveys, we calibrate the model to match salient features of the Colombian economy for the 1998-99 financial crisis, and evaluate the transition dynamics of aggregate variables. The model replicates the fall and subsequent recovery of aggregate output and productivity, as well as the concentration patterns observed in the data. We find that in this case variable markups partially offset the resource misallocation triggered by a credit crunch, dampening the response of aggregate variables. The reason is that under variable markups firms try not to change their price (hence quantities) as much as they would under constant markups. This is an example of the ambiguous effect of distortions in a second best world. The last chapter is an early empirical exploration of the link between price fluctuations in financial markets and aggregate labor market outcomes, using data from the United Kingdom. I build a quarterly wealth index from stock market prices and real estate prices for the 1971-2012 period. Using a VECM, I find a robust co-integrating relationship between the unemployment rate and the wealth index. Specifically, fluctuations in wealth Granger-cause the unemployment rate, but not the opposite. This relationship is true for both components of the wealth index individually, and is stable over time. This is consistent with a model where output is demand determined and fluctuations in asset prices affect the unemployment rate through changes in aggregate consumption.

Two Essays in Applied Economics

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ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (95 download)

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Book Synopsis Two Essays in Applied Economics by : Jerome Segura (III)

Download or read book Two Essays in Applied Economics written by Jerome Segura (III) and published by . This book was released on 2013 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: I provide two exercises which attempt to arrive at consistent estimates through the utilization of various instrumental variable (IV) and general method of moments (GMM) estimation approaches. My first study asks: is social network formation pro-cyclical or counter-cyclical? While viewing social network formation as an investment concept at the individual level is well-established, how this mechanism is affected by aggregate fluctuations has not yet been studied. I use the General Social Survey (1972-2010) to empirically test the net effect of aggregate fluctuations on individual-level social network investment. In my estimation, I attempt to address the reflection problem through the application of the Lee (2007) linear-in-means model which is most recently applied in Bramoullé et al. (2009) and Boucher et al. (2012). I also attempt to address possible bias resulting from unobserved heterogeneity. My findings indicate that social network investment is counter-cyclical. I use alternative measures of business cycle fluctuations and ad-hoc reference group formations; the results remain robust to these alternative measures and specifications. My second study asks: what are the growth effects of state and local fiscal policy. In deriving my estimable equation I combine a partial adjustment process with a factor market approach for modeling regional output. I utilize dynamic panel data estimation procedures in an attempt to arrive at a more refined set of estimates for the growth effects associated with state and local fiscal policy. I use annual observations for 48 contiguous U.S. jurisdictions ranging from 1977-2008 to empirically test the net effect of government fiscal policy on the growth rate of gross state product (GSP). To my knowledge, this is the first study which attempts to address the potential endogeneity of state and local fiscal policy. My findings indicate a large degree of heterogeneity between regions in response to effective tax rate hikes by state and local government. Although these results are robust to an alternative sample and following a reduction in the number of instruments, I am unable to verify the robustness of the estimated coefficients after a number of other alternative specifications. I interpret the results as an indication that policymakers should err on the side of caution in extrapolating the results of empirical studies to their own states and time periods.

Essays on Investment Fluctuation and Market Volatility

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Book Rating : 4.:/5 (43 download)

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Book Synopsis Essays on Investment Fluctuation and Market Volatility by : Chaoqun Lai

Download or read book Essays on Investment Fluctuation and Market Volatility written by Chaoqun Lai and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes two different groups of objects in macroeconomics and financial economics. In macroeconomics, the aggregate investment fluctuation and its relation to an individual firm's behavior have been extensively studied for the past three decades. Most studies on the interdependence behavior of firms' investment focus on the key issue of separating a firm's reaction to others' behavior from reaction to common shocks. However, few researchers have addressed the issue of isolating this endogenous effect from a statistical and econometrical approach. The first essay starts with a comprehensive review of the investment fluctuation and firms' interdependence behavior, followed by an econometric model of lumpy investments and an analysis of the binary choice behavior of firms' investments. The last part of the first essay investigates the unique characteristics of the Italian economy and discusses the economic policy implications of our research findings. We ask a similar question in the field of financial economics: Where does stock market volatility come from? The literature on the sources of such volatility is abundant. As a result of the availability of high-frequency financial data, attention has been increasingly directed at the modeling of intraday volatility of asset prices and returns. However, no empirical research of intraday volatility analysis has been applied at both a single stock level and industry level in the food industry. The second essay is aimed at filling this gap by modeling and testing intraday volatility of asset prices and returns. It starts with a modified High Frequency Multiplicative Components GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model, which breaks daily volatility into three parts: daily volatility, deterministic intraday volatility, and stochastic intraday volatility. Then we apply this econometric model to a single firm as well as the whole food industry using the Trade and Quote Data and Center for Research in Security Prices data. This study finds that there is little connection between the intraday return and overnight return. There exists, however, strong evidence that the food recall announcements have negative impacts on asset returns of the associated publicly traded firms.

Essays in the Theory of Economic Fluctuations

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Book Rating : 4.:/5 (535 download)

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Book Synopsis Essays in the Theory of Economic Fluctuations by : Michał Kalecki

Download or read book Essays in the Theory of Economic Fluctuations written by Michał Kalecki and published by . This book was released on 1980 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: