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Huber, Florian, Tamás Krisztin, and Philipp Piribauer. "Forecasting Global Equity Indices Using Large Bayesian VARs." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4318/1/wp184.pdf.
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This paper proposes a large Bayesian Vector Autoregressive (BVAR) model with common stochastic volatility to forecast global equity indices. Using a dataset consisting of monthly data on global stock indices the BVAR model inherently incorporates co-movements in the stock markets. The time-varying specification of the covariance structure moreover accounts for sudden shifts in the level of volatility. In an out-of-sample forecasting application we show that the BVAR model with stochastic volatility significantly outperforms the random walk both in terms of root mean squared errors as well as Bayesian log
predictive scores. The BVAR model without stochastic volatility, on the other hand, underperforms relative to the random walk. In a portfolio allocation exercise we moreover show that it is possible to use the forecasts obtained from our BVAR model with common stochastic volatility to set up simple investment strategies. Our results indicate that these simple investment schemes outperform a naive buy-and-hold strategy. (authors' abstract)<br>Series: Department of Economics Working Paper Series
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Houghton, Adrian James. "Variational Bayesian inference for comparison Var(1) models." Thesis, University of Newcastle Upon Tyne, 2009. http://hdl.handle.net/10443/790.
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Suppose that we wish to determine which models in a candidate set are most likely to have given rise to a set of observed data. Then, it is well-established that, from a Bayesian viewpoint, evaluation of the marginal likelihood for each candidate is a crucial step to this end. For the purposes of model comparison, this will enable subsequent computation of both Bayes’ factors and posterior model probabilities. Given its evident significance in this area, it is thus regrettable that analytic calculation of the marginal likelihood is often not possible. To tackle this problem, one recent addition to the literature is the variational Bayesian approach. In this thesis, it is seen that variational Bayes provides efficient, accurate approximations to both the marginal likelihood and the parameter posterior distribution, conditioned on each model. In particular, the theory is applied to ranking sparse, vector autoregressive graphical models of order 1 in both the zero and non-zero mean case. That is, our primary aim is to estimate the unknown sparsity structure of the autoregressive matrix in the process. Moreover, approximate, marginal posterior information about the coefficients of this matrix is also of interest. To enable rapid exploration of higher-dimensional graphical spaces, a Metropolis-Hastings algorithm is presented so that a random walk can be made between neighbouring graphs. The scheme is then tested on both simulated and real datasets of varying dimension.
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Siu, Wai-shing. "On a subjective modelling of VaR fa Bayesian approach /." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk/hkuto/record.jsp?B22823785.
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Lanteri, Luis. "Modelos de VAR alternativos para pronósticos (VAR bayesianos y FAVAR): el caso de las exportaciones argentinas." Economía, 2012. http://repositorio.pucp.edu.pe/index/handle/123456789/117477.
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Exports are one of the key aggregates in the Argentina’s economy, both because to its links with thedomestic demand and by its influence on the behaviour of the trade balance and current account.Have adequate forecasts for this variable is useful to design policies to keep surpluses in the externalsector and prevent recurring crises seen in the past. In this work, we considered some modelsfor forecasting the performance of this aggregate, which could be an alternative to the estimationof structural econometric models. For this purpose, we used two approaches: the first is based instandard and Bayesian VARs (Minnesota prior, Gibbs sampler, partial BVAR and BVAR-Kalman). Thelatter combines the evidence in the data with any prior information that may also be available. Thesecond approach considers the FAVAR (Factor-augmented VAR) models, which combines the standardVAR with factor analysis. Finally, we evaluated the forecasting ability of different models.<br>Las exportaciones representan uno de los agregados más importantes de la economía argentina,tanto por su vinculación con la demanda doméstica como por su influencia en el comportamientode la balanza comercial y de la cuenta corriente. Disponer de adecuados pronósticos deesta variable resulta útil a fin de diseñar políticas que permitan mantener superávit en el sectorexterno y evitar las recurrentes crisis observadas en el pasado. En este trabajo, se consideran algunosmodelos destinados a la realización de pronósticos de dicho agregado, los cuales podrían seruna alternativa a la estimación de sistemas econométricos estructurales. A tal efecto, se utilizandos propuestas: la primera se basa en modelos de VAR sin restricciones y Bayesianos (‘Minnesota’prior, ‘Gibbs sampler’, parcial BVAR y BVAR-Kalman). Estos últimos consideran supuestos a priori(‘prior’) e información histórica de las series de tiempo empleadas. La segunda propuesta descansaen modelos FAVAR (Factor-aumentado VAR), que combinan los VAR con el análisis de factores.Finalmente, se evalúa la capacidad de pronóstico de los distintos modelos.
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Kim, Jae-yoon. "Essays on DSGE Models and Bayesian Estimation." Diss., Virginia Tech, 2018. http://hdl.handle.net/10919/83515.
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This thesis explores the theory and practice of sovereignty. I begin with a conceptual analysis of sovereignty, examining its theological roots in contrast with its later influence in contestations over political authority. Theological debates surrounding God’s sovereignty dealt not with the question of legitimacy, which would become important for political sovereignty, but instead with the limits of his ability. Read as an ontological capacity, sovereignty is coterminous with an existent’s activity in the world. As lived, this capacity is regularly limited by the ways in which space is produced via its representations, its symbols, and its practices. All collective appropriations of space have a nomos that characterizes their practice. Foucault’s account of “biopolitics” provides an account of how contemporary materiality is distributed, an account that can be supplemented by sociological typologies of how city space is typically produced. The collective biopolitical distribution of space expands the range of practices that representationally legibilize activity in the world, thereby expanding the conceptual limits of existents and what it means for them to act up to the borders of their capacity, i.e., to practice sovereignty. The desire for total authorial capacity expresses itself in relations of domination and subordination that never erase the fundamental precarity of subjects, even as these expressions seek to disguise it. I conclude with a close reading of narratives recounting the lives of residents in Chicago’s Englewood, reading their activity as practices of sovereignty which manifest variously as they master and produce space.<br>Ph. D.
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Hauer, Mariana. "Os modelos VAR e VEC espaciais : uma abordagem bayesiana." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2007. http://hdl.handle.net/10183/12585.
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O objetivo deste trabalho é apresentar o Modelo Vetorial Autorregressivo (VAR) e uma das suas variações, o Modelo Vetorial de Correções de Erros (VEC), segundo uma abordagem Bayesiana, considerando componentes regionais, que serão inseridos nos modelos apresentados através de informações a priori que levam em consideração a localização dos dados. Para formar tais informações a priori são utilizados conceitos referentes à econometria espacial, como por exemplo, as relações de contigüidade e as implicações que estas trazem. Como exemplo ilustrativo, o modelo em questão será aplicado a um conjunto de dados regionais, coletados por estados brasileiros. Este conjunto de dados consiste em observações da variável produção industrial para oito estados, no período de janeiro de 1991 a setembro de 2006. Em função da escolha do modelo adequado, a questão central foi descobrir em que medida a incorporação destas informações a priori no modelo VEC Bayesiano é coerente quando estimamos modelos que consideram informações localizacionais.<br>The main goal of this work is to present the Vector Autoregressive Model (VAR) and one of its variations, the Vector Error Correction Model (VEC), according to a Bayesian variant, considering regional components that will be inserted in the models presented through prior information, which takes in consideration the data localization. To form such prior information, spatial econometrics is used, as for example the contiguity relations and the implications that these bring to the modeling. As illustrative example, the model in question will be applied to a regional data set, collected for Brazilian states. This data set consists of industrial production for eight states, in the period between January 1991 and September 2006. The central question is to uncover whether the incorporation of these prior informations in the Bayesian VEC Model is coherent when we use models that consider contiguity information.
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Contino, Christian. "A Bayesian Approach to Risk Management in a World of High-Frequency Data." Thesis, The University of Sydney, 2015. http://hdl.handle.net/2123/14728.
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A Realised Volatility GARCH model using high-frequency data is developed within a Bayesian framework for the purpose of forecasting Value at Risk and Conditional Value at Risk. A Skewed Student-t return distribution is combined with a Student-t distribution in the measurement equation in a GARCH framework. Realised Volatility GARCH models show a marked improvement compared to ordinary GARCH. A Skewed Student-t Realised DCC copula model using Realised Volatility GARCH marginal functions is developed within a Bayesian framework for the purpose of forecasting portfolio tail risk. The use of copulas is implemented so that the marginal distributions can be separated from the dependence structure to produce tail forecasts. This is compared to using traditional GARCH-copula models, and GARCH on an aggregated portfolio. Copula models implementing a Realised Volatility GARCH framework show an improvement over traditional GARCH models. A Bayesian detection of regime changes utilizing high-frequency data is developed, once again for the purpose of forecasting portfolio tail risk. The use of high-frequency data improves the accuracy of regime change detection compared to daily data. Monte Carlo sampling schemes are employed for the estimation of these models.
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蕭偉成 and Wai-shing Siu. "On a subjective modelling of VaR: fa Bayesianapproach." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31225159.
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Samuel, Marco Antonio Castelo Branco. "Mudanças de Estado e Multiplicadores Fiscais no Brasil entre 1999-2012." Universidade do Estado do Rio de Janeiro, 2014. http://www.bdtd.uerj.br/tde_busca/arquivo.php?codArquivo=9006.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>Este trabalho avalia o comportamento dos multiplicadores fiscais no Brasil entre 1999-2012. Para tanto, utiliza a metodologia desenvolvida por Sims, Waggoner e Zha (2008), que é um procedimento Bayesiano de estimação no qual os parâmetros do modelo mudam com alterações no estado da economia e os estados (regimes) seguem um processo de mudança de regime markoviano. Ou seja, foi estimado um modelo VAR Estrutural Bayesiano com mudança de regimes Markoviana (Markov Switching Structural Bayesian Vector Autoregression - MS-SBVAR). A base de dados é composta pelo consumo da administração pública, pela formação bruta de capital fixo da administração pública, pela carga tributária líquida e pelo Produto Interno Bruto (PIB), das três esferas do governo (federal, estadual, incluindo o Distrito Federal, e municipal). O software MATLAB/Dynare foi utilizado na estimação dos modelos e os resultados sugerem a ocorrência de 2 ou 3 regimes nos dois modelos que melhor se ajustaram aos dados. Os multiplicadores estimados apresentaram os sinais esperados e os diferentes tipos de multiplicadores fiscais calculados apresentaram valores maiores para a resposta do PIB a choques na formação bruta de capital fixo da administração pública que são eficazes, uma vez que possuem valores maiores do que um e impacto de longo prazo no PIB - quando comparado aos choques no consumo da administração pública, que possuem pouca persistência e são ineficazes (menores do que um), além de uma resposta negativa e persistente do PIB a choques na carga tributária líquida. Os resultados obtidos não indicam, ainda, multiplicadores fiscais maiores em regimes com maior variância nos resíduos do modelo.<br>This dissertation evaluates the behavior of fiscal multipliers in Brazil from 1999 to 2012. It uses a methodology developed by Sims, Waggoner e Zha (2008), which is a Bayesian estimation procedure that allows for state (regime) dependent endogenous change in models parameters and the states follow a markovian process of regime change. It estimates a Structural Bayesian VAR model with Markov Switching regimes (MS-SBVAR). The database comprises the consumption of public administration, the fixed capital gross formation of the public administration, the net tax burden and the Gross Domestic Product (GDP) of the three levels of government (federal, state, including the Federal District, and municipalities). The software MATLAB / Dynare was used to estimate the model and the results suggest the occurrence of 2 or 3 regimes in the two best data fitting models. The different estimated multipliers show the correct signs and, as expected, they are higher for exogenous shocks to public administrations fixed capital gross formation which are effective, since they have values higher than one and long-term impact on GDP - when compared with exogenous shocks to public administrations consumption, which have a small persistence and are ineffective (less than one), and a negative and persistence response of GDP to shocks in net tax burden. The results do not also show a higher fiscal multiplier in regimes with higher models residuals variance.
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Unosson, Måns. "A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297406.
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This thesis suggests a Bayesian vector autoregressive (VAR) model which allows for explicit parametrization of the unconditional mean for data measured at different frequencies, without the need to aggregate data to the lowest common frequency. Using a normal prior for the steady-state and a normal-inverse Wishart prior for the dynamics and error covariance, a Gibbs sampler is proposed to sample the posterior distribution. A forecast study is performed using monthly and quarterly data for the US macroeconomy between 1964 and 2008. The proposed model is compared to a steady-state Bayesian VAR model estimated on data aggregated to quarterly frequency and a quarterly least squares VAR with standard parametrization. Forecasts are evaluated using root mean squared errors and the log-determinant of the forecast error covariance matrix. The results indicate that the inclusion of monthly data improves the accuracy of quarterly forecasts of monthly variables for horizons up to a year. For quarterly variables the one and two quarter forecasts are improved when using monthly data.
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Higa, Flores Kenji Alonso. "Predicción de tipos de cambio reales utilizando modelos VAR Bayesianos." Master's thesis, Universidad del Pacífico, 2016. http://hdl.handle.net/11354/1201.
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El presente trabajo busca documentar el potencial de los modelos VAR Bayesianos (BVAR) para la predicción de índices de tipos de cambio reales efectivos. Para esto, se prueban distintas especificaciones de modelos predictivos utilizando la base angosta de índices de tipos de cambio reales efectivos de BIS que incluye datos para 27 economías. En primera instancia se prueban modelos univariados simples para realizar las predicciones y tener un punto de referencia para las estimaciones BVAR.
El análisis de los resultados de las predicciones de los modelos BVAR tradicionales muestran que estos por sí solos no tienen un mejor desempeño que los modelos univariados. Estos resultados son robustos a la ventana de estimación, y a la especificación de los priors del BVAR.
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Sun, Lixin. "Monetary transmission mechanisms and the macroeconomy in China : VAR/VECM approach and Bayesian DSGE model simulation." Thesis, University of Birmingham, 2011. http://etheses.bham.ac.uk//id/eprint/2900/.
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In this thesis, by employing VAR/VECM approach and Bayesian Dynamic Stochastic General Equilibrium (DSGE) Model we have studied and tested the transmission mechanisms of China’s monetary policy and measured the effects of the monetary policy shocks and other exogenous macro shocks on the real macro economy to uncover the attributes of China’s business cycle. On the basis of the specified VAR/VEC Models, a bank lending channel, an interest rate channel and an asset price channel have been identified by using the time series (monthly) data of banks balance sheet variables (deposits, loans, securitises) across bank categories (aggregate banks, state banks, non-state banks) and the macroeconomic variables (output, CPI inflation, exports, imports, foreign exchange reserves) from 1996 to 2006. We’ve estimated a benchmark Bayesian DSGE Model with Taylor’s Rule and a modified Smets-Wouters Model with money growth rule by using China’s quarterly data from 1996 to 2006 to simulate the business cycle. The estimated values of the parameters demonstrate many unique features of China’s economy and policies operations. We find that investment and preference shocks drive the forecasted GDP variance in the long run in Taylor’s rule model, but in the money growth rule model, the main contributions to the variations of the output are government expenditure, preference and productive shocks.
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Souza, Elder Tiago da Costa. "Os efeitos da interação entre as políticas fiscal e monetária sobre variáveis macroeconomicas da economia brasileira." Universidade Federal de Juiz de Fora (UFJF), 2016. https://repositorio.ufjf.br/jspui/handle/ufjf/2334.
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Previous issue date: 2016-03-03<br>CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>O principal objetivo desta dissertação é estudar os efeitos da interação entre as políticas fiscal e monetária sobre as variáveis macroeconômicas da economia brasileira. Para tal analisou-se a significância dos diferentes modelos de DSGE, por meio da metodologia DSGE-VAR, que implica na estimação do parâmetro de ajustamento do modelo (lambda), conforme Del Negro e Schorfheide (2004, 2006, 2009). Os resultados mostram que o modelo DSGE Bayesiano, com preços rígidos, setor externo e com a interação entre as políticas, é aquele que tem a melhor aderência aos dados reais. Destarte, foram estimadas as funções impulso-resposta, que corroboram a importância da inter-relação entre as políticas fiscal e monetária. A partir daí, avaliou-se o regime de dominância praticado no Brasil, sob a metodologia proposta por Leeper (1991). A combinação dos valores dos parâmetros resulta na proposição de dominância monetária, no período que compreende o primeiro trimestre de 2002 e o terceiro trimestre de 2015. Ademais, estudou-se o regime de dominância, relacionado ao período anterior e posterior à crise do subprime. Os resultados mostram que o regime de dominância não foi alterado. No entanto, a política fiscal tem se tornado mais ativa.Verificou-se que no período pós crise, tanto os choque de política fiscal quanto os de política monetária foram maiores, ou seja, intensificou-se o uso dos instrumentos fiscais.<br>The main aim of this dissertation is to study the effects of the interaction between fiscal and monetary policies on the macroeconomic variables of the Brazilian economy. Therefore we analyzed the significance of different DSGE models through the DSGE-VAR method, which involves the estimation of lambda model fitting parameter, as Del Negro and Schorfheide (2004, 2006, 2009). The results show that Bayesian DSGE models with sticky prices, external sector and the interaction between policies, is one that has the best grip to the actual data. Thus, were estimated the impulse response functions, which confirm the importance of the interrelationship between fiscal and monetary policies. From there, we evaluated the dominance regime practiced in Brazil, under the method proposed by Leeper (1991). The parameter values combination results in monetary dominance proposition in the period from the first quarter of 2002 and the third quarter of 2015. Besides, we estudied the dominance regime related to period prior and posterior to the subprime crisis. The results show that the dominance regime has not change. However, fiscal policy has became more active. It was found that in the post crisis period, both the shock fiscal policy as the monetary policy were higher, i.e., intensified the use of fiscal instruments.
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Ciccarelli, Matteo. "Bayesian interference in heterogeneous dynamic panel data models: three essays." Doctoral thesis, Universitat Pompeu Fabra, 2001. http://hdl.handle.net/10803/31792.
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The task of this work is to discuss issues conceming the specification, estimation, inference and forecasting in multivariate dynamic heterogeneous panel data models from a Bayesian perspective. Three essays linked by a few conraion ideas compose the work.
Multivariate dynamic models (mainly VARs) based on micro or macro panel data sets have
become increasingly popular in macroeconomics, especially to study the transmission
of real and monetary shocks across economies. This great use of the panel VAR approach
is largely justified by the fact that it allows the docimientation of the dynamic impact
of shocks on key macroeconomic variables in a framework that simultaneously considers shocks emanating from the global enviromnent (world interest rate, terms of trade, common
monetary shock) and those of domestic origin (supply shocks, fiscal and monetary policy,
etc.).
Despite this empirical interest, the theory for panel VAR is somewhat underdeveloped.
The aim of the thesis is to shed more light on the possible applications of the Bayesian framework in discussing estimation, inference, and forecasting using multivariate dynamic models where, beside the time series dimensión we can also use the information contained in
the cross sectional dimensión. The Bayesian point of view provides a natural environment for the models dlscussed in this work, due to its flexibility in combining diíferent sources of information. Moreover, it has been recently shown that Bayes estimates of hierachical dynamic panel data models have a reduced small sample bias, and help in improving the forecasting performance of these models.
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Solcan, Mihaela. "Essays on Macroeconomic Price Adjustments." Thesis, Lyon 2, 2013. http://www.theses.fr/2013LYO22014.
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Au cours de la dernière décennie, les prix des logements ont augmenté de façon spectaculaire dans plusieurs pays à travers le monde. Par exemple, les prix des logements aux États-Unis, en Espagne et en Irlande ont été marqués par des cycles d'expansion et de récession les plus marquants de leur histoire. L'augmentation concomitante des prix des logements (et dans certains cas l’occurrence des épisodes d'expansion - récession) dans de nombreuses économies avancées soulève quelques questions importantes. Y a t-il eu une bulle immobilière dans les pays avancés? Quels sont les principaux déterminants de l'évolution des prix des logements dans ces pays? Est-ce que les marchés immobiliers des pays avancés sont-ils interdépendants? Le premier chapitre propose une modélisation structurelle des modèles VAR Bayésiens pour les États-Unis, la France, l'Espagne et la Grèce qui examinent les effets relatifs de l'évolution du secteur réel de production, du secteur financier et des flux internationaux de capitaux sur les marchés du logement. Un deuxième exercice tente d'identifier la présence de régimes de bulles immobilières à partir d’une modélisation Markovienne à deux états. Les principaux résultats liés au marche américain montrent que les entrées de capitaux étrangers, mesurées par le solde de la balance courante en pourcentage du PIB, comptent pour plus de 30 % de la variance des chocs qui frappent les prix des logements, tandis que les taux d’intérêt contribuent pour environ 38 %. En France, la politique monétaire a le plus grand pouvoir explicatif des évolutions du marché du logement, tandis qu'en Espagne et en Grèce, les taux hypothécaires variables et les investissements dans le logement exercent la plus grande influence sur le marché du logement. Tous les pays ont connu un régime de bulle immobilière sur la majeure partie des années 2000.Le deuxième chapitre utilise une approche de type Global VAR (ou GVAR) qui porte sur la modélisation des interdépendances internationales des prix immobiliers. Le modèle GVAR a été estimé empiriquement en utilisant des données trimestrielles de sept pays, pour la période 1987-2011. Les résultats montrent que les chocs des prix immobiliers originaires des États-Unis ont de fortes répercussions sur tous les pays, avec les plus fortes magnitudes observées pour l'Irlande. Ce résultat suggère que les marchés immobiliers pourraient être soumis à des effets de contagion du comportement des marchés financiers et que le secteur immobilier peut être analysé comme un actif spéculatif. Les liens entre les taux d'intérêt réels à long terme sont positifs et statistiquement significatifs dans tous les pays, même si ils ont un rôle limité sur l'évolution des prix immobiliers. Les chocs négatifs sur les prix immobiliers aux États-Unis ont des effets négatifs et statistiquement significatifs sur le PIB réel aux États-Unis, le Canada et l'Irlande.Le troisième chapitre est consacré au financement de la première guerre mondiale par les Etats-Unis et le rôle de la War Finance Corporation (WFC). Plus spécifiquement, on s’intéresse aux fluctuations des rendements des bons du Trésor américain émis entre novembre 1917 et décembre 1920. L’analyse économétrique est basée sur des techniques de séries temporelles Bayésiennes. Les principaux résultats montrent que les chocs positifs sur les achats de la WFC engendrent une réponse négative et statistiquement significative sur tous les types de rendements des bons de guerre. En outre, les achats de la WFC des bons Liberty et Victory, à l'exception du premier prêt des bons Liberty, ont eu un effet statistiquement significatif sur l'évolution des taux à court terme. Les achats de la WFC de la deuxième et de la quatrième émission des bons Liberty ont eu des effets significatifs et positifs sur les taux à court terme, ce qui suggère une déformation de la courbe des taux<br>During the last decade, housing prices have increased dramatically in several countries around the world. For instance, housing prices in the United States, Spain, and Ireland have been marked by one of the most striking boom-bust cycles in their history. The concomitant increase in housing prices (and in some cases boom-bust episodes) across many advanced economies raises the following important questions. Was there a housing bubble across advanced countries? What are the main determinants of the housing price movements in these countries? Are the advanced countries' housing markets interrelated? The first chapter of the dissertation estimates a set of structural Bayesian VAR models for the U.S., France, Spain, and Greece that examine the relative effects of developments in the real production sector, the financial sector, and international capital flows on the housing market. A second exercise attempts to identify the presence of housing price bubble regimes by estimating a set of two state Markov-switching Bayesian VAR models. The main results for the U.S. show that foreign capital inflows, measured by the current account balance as a percentage of GDP, account for more than 30\% of the variance of the shocks hitting housing prices, while adjustable mortgage rates contribute about 38\%. In France, monetary policy has the largest explanatory power for the housing market evolutions, while in Spain and Greece, the variable mortgage rates and housing investments exert the largest influence on the housing market. All the countries experienced a bubble regime over most of the 2000s. The second chapter uses a Global VAR model estimated using quarterly data from seven countries, for the period 1987-2011, to analyze the interdependencies that exist between domestic and international factors in housing markets. We find that housing price shocks originating in the U.S. have large spillover effects on all the countries, with the largest magnitudes on Ireland. This result suggests that housing markets may be subject to contagion effects and that housing can be analyzed as a speculative asset, based on international data spanning the past two decades. Linkages in long-run real interest rates are positive and statistically significant across all the countries, although they have a limited role on the evolution of housing prices. Negative shocks to the U.S. housing prices have negative and statistically significant effects on real GDP in the U.S., Canada, and Ireland. The third chapter studies the price fluctuations of war bonds issued by the U.S Treasury in order to finance the World War I between November 1917 and December 1920. Bayesian time series techniques are used to carry out the analyses. We are focusing on the effects that the bond-purchasing program of the War Finance Corporation (WFC) had on the evolution of war bond yields. Our main results show that positive shocks to WFC purchases display a negative and statistically significant effect on all types of war bond yields. Furthermore, WFC purchases of Liberty and Victory Bonds, except the First Liberty Loan, had a statistically significant effect on the evolution of commercial paper rates. WFC purchases of the Second and Fourth Liberty Bonds had significant and positive effects on commercial paper rates, suggesting a twist in the bond yield curve
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Feldkircher, Martin, Florian Huber, and Gregor Kastner. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?" WU Vienna University of Economics and Business, 2018. http://epub.wu.ac.at/6021/1/wp260.pdf.
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We assess the relationship between model size and complexity in the time-varying parameter VAR framework via thorough predictive exercises for the Euro Area, the United Kingdom and the United States. It turns out that sophisticated dynamics through drifting coefficients are important in small data sets while simpler models tend to perform better in sizeable data sets. To combine best of both worlds, novel shrinkage priors help to mitigate the curse of dimensionality, resulting in competitive forecasts for all scenarios considered. Furthermore, we discuss dynamic model selection to improve upon the best performing individual model for each point in time.<br>Series: Department of Economics Working Paper Series
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Ribeiro, Ramos Francisco Fernando, and fr1960@clix pt. "Essays in time series econometrics and forecasting with applications in marketing." RMIT University. Economics, Finance and Marketing, 2007. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20071220.144516.
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This dissertation is composed of two parts, an integrative essay and a set of published papers. The essay and the collection of papers are placed in the context of development and application of time series econometric models in a temporal-axis from 1970s through 2005, with particular focus in the Marketing discipline. The main aim of the integrative essay is on modelling the effects of marketing actions on performance variables, such as sales and market share in competitive markets. Such research required the estimation of two kinds of time series econometric models: multivariate and multiple time series models. I use Autoregressive Integrated Moving Average (ARIMA) intervention models and the Pierce and Haugh statistical test to model the impact of a single marketing instrument, mainly price promotions, to measure own and cross-short term sales effects, and to study asymmetric marketing competition. I develop and apply Vector AutoRegressive (VAR) and Bayesian Vector AutoRegressive (BVAR) models to estimate dynamic relationships in the market and to forecast market share. Especially, BVAR models are advantageous because they contain all relevant dynamic and interactive effects. They accommodate not only classical competitive reaction effects, but also own and cross-market share brand feedback effects and internal decision rules and provided substantively useful insights into the dynamics of demand. The integrative essay is structured in four main parts. The introduction sets the basic ideas behind the published papers, with particular focus on the motivation of the essay, the types of competitive reaction effects analysed, an overview of the time series econometric models in marketing, a short discussion of the basic methodology used in the research and a brief description of the inter-relationships across the published papers and structure of the essay. The discussion is centred on how to model the effects of marketing actions at the selective demand or brand level and at the primary demand or product level. At the brand level I discuss the research contribution of my work on (i) modelling promotional short-term effects of price and non-price actions on sales and market share for consumer packaged goods, with no competition, (ii) how to measure own and cross short-term sales effects of advertising and price, in particular, cross-lead and lag effects, asymmetric sales behaviour and competition without retaliatory actions, in an automobile market, (iii) how to model the marketing-mix effectiveness at the short and long-term on market shares in a car market, (iv) what is the best method to forecast market share, and (v) the study of causal linkages at different time horizons between sales and marketing activity for a particular brand. At the product or commodity level, I propose a way to model the flows of tourists that come from different origins (countries) to the same country-destination as market segments defining the primary demand of a commodity - the product
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Jarocinski, Marek. "Essays on bayesian and classical econometrics with small samples." Doctoral thesis, Universitat Pompeu Fabra, 2006. http://hdl.handle.net/10803/7339.
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Esta tesis se ocupa de los problemas de la estimación econométrica con muestras pequeñas, en los contextos del los VARs monetarios y de la investigación empírica del crecimiento. Primero, demuestra cómo mejorar el análisis con VAR estructural en presencia de muestra pequeña. El primer capítulo adapta la especificación con prior intercambiable (exchangeable prior) al contexto del VAR y obtiene nuevos resultados sobre la transmisión monetaria en nuevos miembros de la Unión Europea. El segundo capítulo propone un prior sobre las tasas de crecimiento iniciales de las variables modeladas. Este prior resulta en la corrección del sesgo clásico de la muestra pequeña en series temporales y reconcilia puntos de vista Bayesiano y clásico sobre la estimación de modelos de series temporales. El tercer capítulo estudia el efecto del error de medición de la renta nacional sobre resultados empíricos de crecimiento económico, y demuestra que los procedimientos econométricos robustos a incertidumbre acerca del modelo son muy sensibles al error de medición en los datos.<br>This thesis deals with the problems of econometric estimation with small samples, in the contexts of monetary VARs and growth empirics. First, it shows how to improve structural VAR analysis on short datasets. The first chapter adapts the exchangeable prior specification to the VAR context, and obtains new findings about monetary transmission in New Member States. The second chapter proposes a prior on initial growth rates of modeled variables, which tackles the Classical small-sample bias in time series, and reconciles Bayesian and Classical points of view on time series estimation. The third chapter studies the effect of measurement error in income data on growth empirics, and shows that econometric procedures which are robust to model uncertainty are very sensitive to measurement error of the plausible size and properties.
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Ahmadi, Pooyan Amir. "Essays in empirical macroeconomics with application to monetary policy in a data-rich environment." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2010. http://dx.doi.org/10.18452/16153.
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Diese Dissertation besteht aus vier eigenständigen Aufsätzen. Das erste Kapitel liefert eine Einleitung uns einen Literaturüberblick. Im zweiten Kapitel schätzen wir die Effekte eines geldpolitischen Schocks in einer Bayesianischen faktorerweiterten Vektorautoregression. Als ein Identifikationsschema schlagen wir theoretisch fundierte Vorzeichenrestriktionen vor, welche auf die angemessenen Impuls-Antwortfolgen auferlegt werden können. Der Vorteil der faktorbasierten Vorzeichenrestriktion liegt in der Möglichkeit sehr viele theoretische fundierte Restriktionen zu setzen um so exakter zu identifizieren. Im dritten Kapitel untersuchen wir die Rolle der Geldpolitik während der Weltwirtschaftskrise in den USA. Die besondere Rolle der Geldpolitik gilt seit Friedman and Schwartz [1963] als gängige Meinung. In diesem Papier versuchen wir die entscheidenden Dynamiken der Zwischenkriegszeit mit dem BFAVAR Modell abzubilden und die Effekte geldpolitischer Schocks zu analysieren. Weiterhin schauen wir uns die Effekte der systematischen Komponente der Geldpolitik an. Wir finden heraus, dass der Anteil der Geldpolitik insgesamt zwar präsent allerdings recht gemäßigt vorhanden. Im vierten Kapitel werden die makroökonomischen Dynamiken innerhalb des Euroraumes untersucht. Hierbei schlage ich einen neuen Ansatz vor um die vielen relevanten Interrelationen effizient und sparsam zu vereinbaren. Ein faktorbasiertes DSGE Modell wird gemeinsam mit einem dynamischen Faktormodell geschätzt. Hierbei wird explizit ökonomische Theorie zur Datenanalyse verwendet. Zur Identifikation makroökonomischer Schocks verwende ich sowohl Vorzeichenrestriktionen wie auch die DSGE Rotation.<br>This thesis consists of four self-contained chapters. The first chapter provides an introduction with a literature overview. In Chapter 2 we estimate the effects of monetary policy shocks in a Bayesian Factor- Augmented vector autoregression (BFAVAR). We propose to employ as an identification strategy sign restrictions on the impulse response function of pertinent variables according to conventional wisdom. The key strength of our factor based approach is that sign restrictions can be imposed on many variables in order to pin down the impact of monetary policy shocks. Thus an exact identification of shocks can be approximated and monitored. In chapter 3 the role of monetary policy during the interwar Great Depression is analyzed. The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper attempts to capture the pertinent dynamics through a BFAVAR methodology of the previous chapter. We find the effects of monetary policy shocks and the systematic component to have been moderate. Our results caution against a predominantly monetary interpretation of the Great Depression. This final chapter 4 analyzes macroeconomic dynamics within the Euro area. To tackle the questions at hand I propose a novel approach to jointly estimate a factor-based DSGE model and a structural dynamic factor model that simultaneously captures the rich interrelations in a parsimonious way and explicitly involves economic theory in the estimation procedure. To identify shocks I employ both sign restrictions derived from the estimated DSGE model and the implied restrictions from the DSGE model rotation. I find a high degree of comovement across the member countries, homogeneity in the monetary transmission mechanism and heterogeneity in transmission of technology shocks. The suggested approach results in a factor generalization of the DSGE-VAR methodology of Del Negro and Schorfheide [2004].
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Senst, Martin Verfasser], Gerd [Akademischer Betreuer] [Ascheid, and Peter [Akademischer Betreuer] Vary. "On the design of iterative wireless receivers : the divergence minimization approach to approximate Bayesian inference / Martin Senst ; Gerd Ascheid, Peter Vary." Aachen : Universitätsbibliothek der RWTH Aachen, 2016. http://d-nb.info/1162498137/34.
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Senst, Martin [Verfasser], Gerd [Akademischer Betreuer] Ascheid, and Peter [Akademischer Betreuer] Vary. "On the design of iterative wireless receivers : the divergence minimization approach to approximate Bayesian inference / Martin Senst ; Gerd Ascheid, Peter Vary." Aachen : Universitätsbibliothek der RWTH Aachen, 2016. http://d-nb.info/1162498137/34.
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Tran, Lien. "InSb semiconductors and (In,Mn)Sb diluted magnetic semiconductors." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät I, 2011. http://dx.doi.org/10.18452/16334.
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Im Rahmen dieser Arbeit wurden InSb- und verdünnt-magnetische In_{1-x}Mn_xSb Filme mittels Gasquellen-Molekularstrahlepitaxie hergestellt und deren strukturelle und elektronische Eigenschaften untersucht. Die 2 μm InSb-Dünnschichten wurden sowohl auf GaAs(001)-Substrat als auch um 4° in Richtung [110] fehlgeschnittenem Si(001)-Substrat hergestellt. Optimierte InSb-Schichten direkt auf GaAs zeigen eine hohe kristalline Qualität, niedriges Rauschen und eine Elektronenbeweglichkeit von 41100 cm^2/Vs bei 300 K. Die Ladungsträgerkonzentration beträgt etwa 2,9e16 cm^{-3}. Um InSb-Dünnschichten guter Qualität auf Si-Substrat zu realisieren, wurden fehlgeschnittene Substrate benutzt. Zur Reduzierung der Gitterfehlanpassung wurden Pufferschichten gewachsen. Eine Elektronenmobilität von 24000 cm^2/Vs und Ladungsträgerkonzentration von 2,6e16 cm^{-3} wurden bei 300 K nachgewiesen. Diese Probe enthält ein 0,06 μm GaAs/AlSb-Supergitter als Pufferschicht (Wachstumstemperatur war 340°C). Diese Probe zeigt der höheren Dichte der Microtwins und Stapelfehler als auch den Threading-Versetzungen in der schnittstellennahen Region geschuldet. Die Deep-Level Rauschspektren zeigen die Existenz von Deep-Levels sowohl in GaAs- als auch in Si-basierten Proben. Die InSb-Filme auf Si-Substrat zeigen einen kleineren Hooge-Faktor im Vergleich zu Schichten auf GaAs (300 K). Unter Anwendung der optimierten Wachstumsbedingungen für InSb/GaAs wurden verdünnt-magnetische In_{1-x}Mn_xSb-Schichten (bis zum 1% Mangan) auf GaAs (001)-realisiert. Mn verringert die Gitterkonstante und damit den Grad der Relaxation von (In,Mn)Sb-Filmen. In den Proben befindet sich Mn in zwei magnetischen Formen, sowohl als verdünnt-magnetischer Halbleiter (In,Mn)Sb, als auch als MnSb-Cluster. Die Cluster dominieren auf der Oberfläche. Die Curie-Temperatur, Tc, unterscheidet sich für die beiden Formen. Für (In,Mn)Sb ist Tc kleiner als 50 K. Die MnSb-Cluster zeigen dagegen ein Tc über 300 K.<br>This dissertation describes the growth by molecular beam epitaxy and the characterization of the semiconductor InSb and the diluted magnetic semiconductor (DMS) In_{1-x}Mn_xSb. The 2 µm-thick InSb films were grown on GaAs (001) substrate and Si (001) offcut by 4° toward (110) substrate. After optimizing the growth conditions, the best InSb films grown directly on GaAs results in a high crystal quality, low noise, and an electron mobility of 41100 cm^2/V s Vs with associated electron concentration of 2.9e16 cm^{-3} at 300 K. In order to successfully grow InSb on Si, tilted substrates and the insertion of buffer layers were used. An electron mobility of 24000 cm^2/V s measured at 300 K, with an associated carrier concentration of 2.6e16 cm^{-3} is found for the best sample that was grown at 340°C with a 0.06 μm-thick GaSb/AlSb superlattice buffer layer. The sample reveals a density of microtwins and stacking faults as well as threading dislocations in the near-interface. Deep level noise spectra indicate the existence of deep levels in both GaAs and Si-based samples. The Si-based samples exhibit the lowest Hooge factor at 300 K, lower than the GaAs-based samples. Taking the optimized growth conditions of InSb/GaAs, the DMS In_{1-x}Mn_xSb/GaAs is prepared by adding Mn (x < 1%) into the InSb during growth. Mn decreases the lattice constant as well as the degree of relaxation of (In,Mn)Sb films. Mn also distributes itself to result in two different and distinct magnetic materials: the DMS (In,Mn)Sb and clusters MnSb. The MnSb clusters dominate only on the surface. For the DMS alloy (In,Mn)Sb, the measured values of Curie temperature Tc appears to be smaller than 50 K, whereas it is greater than 300 K for the MnSb clusters.
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Feldkircher, Martin, and Florian Huber. "Unconventional US Monetary Policy: New Tools, Same Channels?" WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/4934/1/wp222.pdf.
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In this paper we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a conventional monetary policy shock affects real output growth via a broad credit / bank
lending channel. Second, both shocks exhibit a distinct pattern over our sample period. More specifically, we find small output effects of a conventional monetary policy shock during the period of the global financial crisis and stronger effects in its aftermath. This might imply that when the central bank has left the policy rate unaltered for an extended period of time, a policy surprise might boost output particularly strongly. By contrast, the
spread shock has affected output growth most strongly during the period of the global financial crisis and less so thereafter. This might point to diminishing
effects of large scale asset purchase programs. (authors' abstrct)<br>Series: Department of Economics Working Paper Series
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Farfan, Silva Jerson David. "Choques de incertidumbre en una economia pequeña y abierta en un contexto de metas de inflación: Perú 2002-2016, enfoque Var Bayesiano." Master's thesis, Pontificia Universidad Católica del Perú, 2018. http://tesis.pucp.edu.pe/repositorio/handle/123456789/13291.
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Recientemente, los académicos y los encargados de formular políticas económicas se han centrado en los choques de incertidumbre y sus efectos en la macroeconomía. La evidencia muestra que la incertidumbre genera ciclos económicos. La mayor parte de la investigación se ha realizado para economías desarrolladas, que concluye que los choques de incertidumbre se comportan como un choque negativo de demanda agregada que reduce el PIB y la inflación. En el caso de economías en desarrollo, la investigación ha sido escasa y sólo por el lado de la demanda agregada; estos concluyen que también reducen la inversión, el consumo y el PIB. A diferencia de las economías desarrolladas, los efectos para las economías en desarrollo son más profundos. Este documento investiga los efectos de los choques de incertidumbre para una economía pequeña y abierta como Perú en contexto de metas de inflación. Los resultados muestran que los choques de incertidumbre no solo actúan como un choque de demanda agregada negativa,sino también como un choque de oferta agregada negativo que aumenta la inflación. Se estima un VAR Bayesiano con “training sample” como prior. Se proporcionan conclusiones y recomendaciones.<br>Tesis
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Pacifico, Antonio. "Heterogeneity, Commonality, and Interdependence in the Euro Area: Size and Dynamics of Fiscal Spillover Effects in Macroeconomic-Financial Linkages." Doctoral thesis, Luiss Guido Carli, 2014. http://hdl.handle.net/11393/287365.
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The paper develops empirical measures to estimate the strength and dymanic of fiscal spillover effects in the Euro Area. It moves for estimating a Bayesian VAR model of real and financial variables in order to examine in depth economic policy coordination and policy making, with a strong attention on the current financial crisis. Spillovers are estimated recursively with weakly-exogenous common factors. The aim of the project accounts for interdependencies across countries within the Euro Area and derives impulse response functions and conditional forecasts with the output of a Monte Carlo Marco Chain routine. However, the paper attempts to estimate the systemic contribution and cross-country transmission of unexpected shocks on the productivity in the Eurozone between June 1995 and March 2014. Overall, the positive impact on outputs in the financial dimension indicates the importance of coordinated fiscal actions among euro area members. Shocks overflow in a heterogeneous way across countries. Moreover, financial variables show higher amplification of spillover effects which can be seen as a result of increased interdependence between variables. Finally, the analysis is consistent and robust with the more recent literature on business cycles, which recognizes the importance of both group-specific and global factors in evaluating cross-country spillovers and responses to an unexpected shocks.
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Mazelis, Falk Henry. "The Role of Shadow Banking in the Monetary Transmission Mechanism." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19251.
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Diese Doktorarbeit besteht aus drei Aufsätzen, in welchen die Reaktion von Finanzinstitutionen auf Geldpolitik analysiert wird. In dem ersten Aufsatz finde ich anhand eines Bayesian VAR, dass eine Erhöhung des Leitzinses zu einer zusätzlichen Kreditvergabe in Nichtbanken (NBFI) führt. Banken verleihen wie bereits bekannt weniger. Der Grund für die gegensätzliche Bewegung liegt in der unterschiedliche Art der Finanzierung. Dieser Befund legt nahe, dass die Existenz von NBFI die Volatilität der aggregierten Kreditvergabe zu geldpolitischen Schocks verringern könnte. Zusätzlich bietet die Analyse einen Erklärungsansatz für die Beobachtung, dass sich die Kreditvergabe seit der Finanzkrise stockend entwickelt hat.
Im zweiten Aufsatz knüpfe ich an diese empirische Untersuchung an, indem ich ein theoretisches Modell mit unterschiedlichen Arten von Firmenfinanzierung entwerfe. Haushalte müssen sich zwischen festverzinsichlichen und erfolgsbedingten Sparmöglichkeiten entscheiden. Auf Grundlage des Modells von Bernanke, Gertler und Gilchrist (1999) mikrofundiere ich die Entscheidung über Unternehmensgründung in Form von Eigenkapitalinvestitionen.
Im dritten Aufsatz entwickele ich ein geschätztes DSGE Modell mit Finanzierungsfriktionen, welches in der Lage ist, die empirischen Ergebnisse zu replizieren. Ich untersuche, wie sich die Regulierung von Schattenbanken auf eine Volkswirtschaft am ZLB auswirkt. Konsumvolatilität wird reduziert, wenn Schattenbankenkredite stattdessen von Banken vergeben werden. Alternativ dazu führt die Behandlung von Schattenbanken wie Investment Fonds dazu, dass eine Volkswirtschaft am ZLB eine mildere Rezession und einen schnelleren Austritt erlebt. Der Grund liegt darin, dass ein Nachfrageschock, der die Volkswirtschaft zum ZLB bringt, eine Reaktion hervorruft, die vergleichbar mit geldpolitischen Schocks ist, da am ZLB keine Möglichkeit der Leitzinsverringerung besteht.<br>This thesis consists of three essays that analyze the reaction of financial institutions to monetary policy. In the first essay, I use a Bayesian VAR to show that an increase in the monetary policy rate raises credit intermediation by non-bank financial institutions (NBFI). As is well known, credit intermediation by banks is reduced. The movement in opposite directions is explained by the difference in funding. This finding suggests that the existence of NBFI may decrease aggregate volatility following monetary policy shocks.
Following this evidence, I construct a theoretical model that includes different types of funding in the second essay. Households face a savings choice between state contingent (equity) and non-state contingent (debt) assets. I use the financial accelerator model of Bernanke, Gertler and Gilchrist (1999) as a basis and microfound the decision by which new net worth in entrepreneurs is created. A Bayesian estimation suggests a change in the survival rate of entrepreneurs, affecting impulse responses. The analysis suggests that models that use the financial accelerator should include endogenous firm entry if variables regarding household portfolios or shocks directly affecting firm net worth are considered.
In the third essay, I develop an estimated monetary DSGE model with funding market frictions that is able to replicate the empirical facts. In a counterfactual exercise I study how the regulation of shadow banks affects an economy at the ZLB. Consumption volatility is reduced when shadow bank assets are directly held by commercial banks. Alternatively, regulating shadow banks like investment funds results in a milder recession during, and a quicker escape from, the ZLB. The reason is that a recessionary demand shock that moves the economy to the ZLB has similar effects to a monetary tightening due to the inability to reduce the policy rate below zero.
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Portilla, Goicochea Jhonatan Josue. "Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model." Bachelor's thesis, Pontificia Universidad Católica del Perú, 2020. http://hdl.handle.net/20.500.12404/17992.
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This paper investigates the evolution of the monetary policy in Peru between 1996Q1 and
2016Q4 using a mixture innovation time-varying parameter vector autoregressive model
with stochastic volatility (TVP-VAR-SV)model proposed by Koopetal.(2009).The
main empirical results are:(i)VARcoe¢cients and volatilities change more gradually than
covariance errors overtime;(ii)the volatility of monetary policy shocks is higher during
pre-In ation Targeting (IT) regime;(iii)a surprise increase in the interest rate produces
GDP growth falls and reduces in ation in the longrun;(iv)the interest rate reacts more
quickly against aggregate supply shocks than aggregate demand shocks;(v)monetary
policy shocks explain a high percentage of domestic variables during pre-IT regime and
then,their contribution decrease during IT-regime.
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Bañbura, Marta. "Essays in dynamic macroeconometrics." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210294.
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The thesis contains four essays covering topics in the field of macroeconomic forecasting.<p><p>The first two chapters consider factor models in the context of real-time forecasting with many indicators. Using a large number of predictors offers an opportunity to exploit a rich information set and is also considered to be a more robust approach in the presence of instabilities. On the other hand, it poses a challenge of how to extract the relevant information in a parsimonious way. Recent research shows that factor models provide an answer to this problem. The fundamental assumption underlying those models is that most of the co-movement of the variables in a given dataset can be summarized by only few latent variables, the factors. This assumption seems to be warranted in the case of macroeconomic and financial data. Important theoretical foundations for large factor models were laid by Forni, Hallin, Lippi and Reichlin (2000) and Stock and Watson (2002). Since then, different versions of factor models have been applied for forecasting, structural analysis or construction of economic activity indicators. Recently, Giannone, Reichlin and Small (2008) have used a factor model to produce projections of the U.S GDP in the presence of a real-time data flow. They propose a framework that can cope with large datasets characterised by staggered and nonsynchronous data releases (sometimes referred to as “ragged edge”). This is relevant as, in practice, important indicators like GDP are released with a substantial delay and, in the meantime, more timely variables can be used to assess the current state of the economy.<p><p>The first chapter of the thesis entitled “A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP” is based on joint work with Gerhard Rünstler and applies the framework of Giannone, Reichlin and Small (2008) to the case of euro area. In particular, we are interested in the role of “soft” and “hard” data in the GDP forecast and how it is related to their timeliness.<p>The soft data include surveys and financial indicators and reflect market expectations. They are usually promptly available. In contrast, the hard indicators on real activity measure directly certain components of GDP (e.g. industrial production) and are published with a significant delay. We propose several measures in order to assess the role of individual or groups of series in the forecast while taking into account their respective publication lags. We find that surveys and financial data contain important information beyond the monthly real activity measures for the GDP forecasts, once their timeliness is properly accounted for.<p><p>The second chapter entitled “Maximum likelihood estimation of large factor model on datasets with arbitrary pattern of missing data” is based on joint work with Michele Modugno. It proposes a methodology for the estimation of factor models on large cross-sections with a general pattern of missing data. In contrast to Giannone, Reichlin and Small (2008), we can handle datasets that are not only characterised by a “ragged edge”, but can include e.g. mixed frequency or short history indicators. The latter is particularly relevant for the euro area or other young economies, for which many series have been compiled only since recently. We adopt the maximum likelihood approach which, apart from the flexibility with regard to the pattern of missing data, is also more efficient and allows imposing restrictions on the parameters. Applied for small factor models by e.g. Geweke (1977), Sargent and Sims (1977) or Watson and Engle (1983), it has been shown by Doz, Giannone and Reichlin (2006) to be consistent, robust and computationally feasible also in the case of large cross-sections. To circumvent the computational complexity of a direct likelihood maximisation in the case of large cross-section, Doz, Giannone and Reichlin (2006) propose to use the iterative Expectation-Maximisation (EM) algorithm (used for the small model by Watson and Engle, 1983). Our contribution is to modify the EM steps to the case of missing data and to show how to augment the model, in order to account for the serial correlation of the idiosyncratic component. In addition, we derive the link between the unexpected part of a data release and the forecast revision and illustrate how this can be used to understand the sources of the<p>latter in the case of simultaneous releases. We use this methodology for short-term forecasting and backdating of the euro area GDP on the basis of a large panel of monthly and quarterly data. In particular, we are able to examine the effect of quarterly variables and short history monthly series like the Purchasing Managers' surveys on the forecast.<p><p>The third chapter is entitled “Large Bayesian VARs” and is based on joint work with Domenico Giannone and Lucrezia Reichlin. It proposes an alternative approach to factor models for dealing with the curse of dimensionality, namely Bayesian shrinkage. We study Vector Autoregressions (VARs) which have the advantage over factor models in that they allow structural analysis in a natural way. We consider systems including more than 100 variables. This is the first application in the literature to estimate a VAR of this size. Apart from the forecast considerations, as argued above, the size of the information set can be also relevant for the structural analysis, see e.g. Bernanke, Boivin and Eliasz (2005), Giannone and Reichlin (2006) or Christiano, Eichenbaum and Evans (1999) for a discussion. In addition, many problems may require the study of the dynamics of many variables: many countries, sectors or regions. While we use standard priors as proposed by Litterman (1986), an<p>important novelty of the work is that we set the overall tightness of the prior in relation to the model size. In this we follow the recommendation by De Mol, Giannone and Reichlin (2008) who study the case of Bayesian regressions. They show that with increasing size of the model one should shrink more to avoid overfitting, but when data are collinear one is still able to extract the relevant sample information. We apply this principle in the case of VARs. We compare the large model with smaller systems in terms of forecasting performance and structural analysis of the effect of monetary policy shock. The results show that a standard Bayesian VAR model is an appropriate tool for large panels of data once the degree of shrinkage is set in relation to the model size. <p><p>The fourth chapter entitled “Forecasting euro area inflation with wavelets: extracting information from real activity and money at different scales” proposes a framework for exploiting relationships between variables at different frequency bands in the context of forecasting. This work is motivated by the on-going debate whether money provides a reliable signal for the future price developments. The empirical evidence on the leading role of money for inflation in an out-of-sample forecast framework is not very strong, see e.g. Lenza (2006) or Fisher, Lenza, Pill and Reichlin (2008). At the same time, e.g. Gerlach (2003) or Assenmacher-Wesche and Gerlach (2007, 2008) argue that money and output could affect prices at different frequencies, however their analysis is performed in-sample. In this Chapter, it is investigated empirically which frequency bands and for which variables are the most relevant for the out-of-sample forecast of inflation when the information from prices, money and real activity is considered. To extract different frequency components from a series a wavelet transform is applied. It provides a simple and intuitive framework for band-pass filtering and allows a decomposition of series into different frequency bands. Its application in the multivariate out-of-sample forecast is novel in the literature. The results indicate that, indeed, different scales of money, prices and GDP can be relevant for the inflation forecast.<p><br>Doctorat en Sciences économiques et de gestion<br>info:eu-repo/semantics/nonPublished
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Caruso, Alberto. "Essays on Empirical Macroeconomics." Doctoral thesis, Universite Libre de Bruxelles, 2020. https://dipot.ulb.ac.be/dspace/bitstream/2013/308164/4/TOC.pdf.
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The thesis contains four essays, covering topics in the field of real-time macroeconometrics, forecasting and applied macroeconomics. In the first two chapters, I use recent techniques developed in the "nowcasting" literature in order to analyse and interpret the macroeconomic news flow. I use them either to assess current macroeconomic conditions, showing the importance of foreign indicators dealing with small open economies, or linking macroeconomic news to asset prices, through a model that help us interpret macroeconomic data and explaining the linkages between macro variables and financial indicators. In the third chapter, I analyse the link between macroeconomic data in real-time and the yield curve of interest rates, constructing a forecasting model which takes into account the peculiar characteristics of the macroeconomic data flow. In the last chapter, I present a Bayesian Vector Autoregression model built in order to analyse the last two crisis in the Eurozone (2008-09, and 2011-12) identifying their unique characteristics with respect to historical regularities, an issue of great importance from a policy perspective.<br>Doctorat en Sciences économiques et de gestion<br>info:eu-repo/semantics/nonPublished
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MIGLIARDO, CARLO. "Saggi su Politica Monetaria, Persistenza dell'Inflazione e Rigidità dei Prezzi." Doctoral thesis, Università Cattolica del Sacro Cuore, 2010. http://hdl.handle.net/10280/829.
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La tesi è organizzata in tre parti. Ognuna delle quali tratta un aspetto cruciale per la trasmissione della politica monetaria. Nella prima parte si impiega un modello Neo Keynesiano per adattarlo all’economia Italiana. A tal fine, Si stimano le risposte dinamiche, sia simulando il modello e sia utilizzando le serie storiche, impiegando la metodologia SMM. Nella seconda parte sono riportate le nuove evidenze sulla persistenza dell’inflazione, attraverso l’utilizzo di una nuova tecnica di identificazione di un modello “Bayesian VAR”; con l’obiettivo di analizzare gli effetti di vari shock di policy sulle variabili macroeconomiche. La terza parte si propone di fornire le evidenze microeconomiche sull’eterogeneità nelle strategie di determinazione dei prezzi tra le imprese italiane sulla base di un nuovo database longitudinale predisposto dalla Banca d’Italia. L’analisi così articolata si propone di identificare le eterogeneità a livello settoriale e/o territoriale tra le imprese, per trarne importanti implicazioni di policy per l’autorità monetaria.<br>The thesis is structured in three parts. Each part deals with a crucial aspect for monetary policy transmission. In the first one, I set up a New Keynesian model with to Italian economy. To this end, I estimate the dynamic responses both for the theoretical model and for the data using the SMM technique. Chapter 2 presents new evidence about inflation persistence through a novel technique to identify a Bayesian VAR model, and it analyzes the effects of several policy shocks on the macroeconomic variables. Chapter 3 provides the new micro-evidence on price setting and heterogeneity among Italian companies by using a new longitudinal data provided by the Bank of Italy. This allowed an analysis that captures the regional and sectoral disparities among firms’ price setting. This micro-evidence has a very important policy implication for the monetary authority.
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MIGLIARDO, CARLO. "Saggi su Politica Monetaria, Persistenza dell'Inflazione e Rigidità dei Prezzi." Doctoral thesis, Università Cattolica del Sacro Cuore, 2010. http://hdl.handle.net/10280/829.
Full textAbstract:
La tesi è organizzata in tre parti. Ognuna delle quali tratta un aspetto cruciale per la trasmissione della politica monetaria. Nella prima parte si impiega un modello Neo Keynesiano per adattarlo all’economia Italiana. A tal fine, Si stimano le risposte dinamiche, sia simulando il modello e sia utilizzando le serie storiche, impiegando la metodologia SMM. Nella seconda parte sono riportate le nuove evidenze sulla persistenza dell’inflazione, attraverso l’utilizzo di una nuova tecnica di identificazione di un modello “Bayesian VAR”; con l’obiettivo di analizzare gli effetti di vari shock di policy sulle variabili macroeconomiche. La terza parte si propone di fornire le evidenze microeconomiche sull’eterogeneità nelle strategie di determinazione dei prezzi tra le imprese italiane sulla base di un nuovo database longitudinale predisposto dalla Banca d’Italia. L’analisi così articolata si propone di identificare le eterogeneità a livello settoriale e/o territoriale tra le imprese, per trarne importanti implicazioni di policy per l’autorità monetaria.<br>The thesis is structured in three parts. Each part deals with a crucial aspect for monetary policy transmission. In the first one, I set up a New Keynesian model with to Italian economy. To this end, I estimate the dynamic responses both for the theoretical model and for the data using the SMM technique. Chapter 2 presents new evidence about inflation persistence through a novel technique to identify a Bayesian VAR model, and it analyzes the effects of several policy shocks on the macroeconomic variables. Chapter 3 provides the new micro-evidence on price setting and heterogeneity among Italian companies by using a new longitudinal data provided by the Bank of Italy. This allowed an analysis that captures the regional and sectoral disparities among firms’ price setting. This micro-evidence has a very important policy implication for the monetary authority.
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Conti, Antoniomaria. "Essays on Monetary Policy, Low Inflation and the Business Cycle." Doctoral thesis, Universite Libre de Bruxelles, 2017. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/260933.
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The last ten years have been extremely challenging for both researchers in monetary economics and policymakers.The Global Financial Crisis of 2007-2009, in spite of its size and severity, was initially widely perceived in the Euro Area (EA) as an imported and transitory crisis: it was frequently predicted that the EA economy would recover once the US and the World Economy rebounded. Instead, after a brief period of recovery, the Euro Area was hit by the Sovereign Debt Crisis of 2011-12, a domestic crisis which widened the divide already existing between core and peripheral countries up to the point of threatening a break-up of the euro. Thanks to the bold monetary policy response of the ECB this fear gradually vanished, but the sudden fall in oil price and the uncertain economic outlook led to the low inflation period, particularly severe in the EA, in which inflation, both in terms of headline and core measures, is well below the ECB target of 2%. This prompted the ECB to launch its Quantitative Easing program, at the beginning of 2015, much later than what the FED implemented to offset the impact of the 2007-09 crisis.This dissertation consists of two different but interlinked parts, which contribute to the empirical literature on monetary policy, low inflation and the business cycle. The first part is composed by Chapters I and II, and it is devoted to analyse the EA economy, both before the Global Financial Crisis and during the most recent low inflation period. The second one, composed by Chapters III and IV, focuses on the US economy to evaluate the possible negative consequences of the extraordinary monetary stimulus undertaken by the FED. In particular, we study the risks for both price and financial stability of the effects of the so called lift-off, i.e. the gradual normalization of monetary stance. In the first Chapter, we provide novel evidence on the different effects of the ECB common monetary policy on euro-area core and peripheral countries even before the eruption of the crisis.We estimate a structural dynamic factor model on a large panel of Euro Area quarterly variables to take into account both the comovement and the heterogeneity in the EA business cycle, and we then simulate the model to investigate the possible existence of asymmetric effects of ECB monetary policy on member states' economies. Data stop before the eruption of the Global Financial Crisis in order to only assess conventional monetary shocks, which are identified by means of sign restrictions. Although the introduction of the euro has changed the monetary transmission mechanism in the individual countries towards a more homogeneous response, we find that differences still remain between North and South Europe in terms of prices and unemployment. These results are the consequence of country-specific structures, rather than of European Central Bank policies.In the second Chapter we use a Bayesian VAR model to analyse the transmission of global and domestic shocks in the euro area, with a particular focus on the drivers of inflation, especiallyin the recent period labeled as low inflation. We identify several shocks by means of sign restrictions, and we account for the role of ECB unconventional monetary policies by using a shadow interest rate. We document that the recent low inflation phase was not entirely attributable to falling oil prices, but also to slack in economic activity and to insufficiently expansionary monetary policy, because of the Zero Lower Bound of interest rates. Interestingly, we show that the launch of the ECB Quantitative Easing turned the monetary stance into more accommodative, preventing deflationary outcomes. In the third Chapter we provide an empirical evaluation of the existence of a "dark side" of monetary policy, i.e. the possibility that credit spreads abruptly rise following a monetary tightening, after being compressed by an extraordinary period of monetary easing. This would create a problematic trade--off for the central bank, as temporary monetary expansions might at once stimulate the economy and sow the seeds of abrupt and costly financial market corrections in the future in terms of risks for financial stability (Stein, 2014).We investigate this possibility using data for the US by exploiting non-linear methods to examine the propagation of monetary shocks through US corporate bond markets. Across different methodologies, we find that the transmission of monetary shocks is mostly symmetric. What is asymmetric is instead the impact of macroeconomic data releases: spreads respond more to bad news. Crucially, these responses anticipate economic slowdowns rather than causing them directly.However, empirical evidence points to the possibility of larger effects of expansionary monetary shocks depending on (i) the type of non-linear estimation technique (ii) the identification of the shock and (iii) the inclusion of unconventional measures in the analysis. Finally, in the fourth Chapter, we ask whether the FED has riskily delayed the exit from its large monetary easing, increasing the probability of a future inflationary burst. We do so by means of medium and larger scale Bayesian VAR, which we use for both structural analysis, i.e. the evaluation of monetary policy shocks, and forecasting, i.e. the running of counterfactuals and scenario analysis.We show that expansionary monetary policy did not trigger a large deviation of inflation from its steady state. Furthermore, the FED monetary stance is totally in line with the concurrent macroeconomic dynamics. Last, our model predicts that US core inflation will lie well below its 2% target in 2017, a finding only recently acknowledged by the FOMC projections.<br>Doctorat en Sciences économiques et de gestion<br>info:eu-repo/semantics/nonPublished
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Pacifico, Antonio. "Heterogeneity, commonality and interdependence in the euro area: size and dynamics of fiscal spillover effects in macroeconomic-financial linkages." Doctoral thesis, Luiss Guido Carli, 2014. http://hdl.handle.net/11385/201004.
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The paper develops empirical measures to estimate the strength and dymanic of fiscal
spillover effects in the Euro Area. It moves for estimating a Bayesian VAR model of real
and financial variables in order to examine in depth economic policy coordination and policy
making, with a strong attention on the current financial crisis. Spillovers are estimated
recursively with weakly-exogenous common factors. The aim of the project accounts for interdependencies
across countries within the Euro Area and derives impulse response functions
and conditional forecasts with the output of an Monte Carlo Marco Chain (MCMC) routine.
However, the paper attempts to estimate the systemic contribution and cross-country
transmission of unexpected shocks on the productivity in the EA between June 1995 and
March 2014. Overall, the positive impact on outputs in the financial dimension indicates the
importance of coordinated fiscal actions in the EA. Shocks overflow in a heterogeneous way
across countries. Moreover, financial variables show higher amplification of spillover effects
which can be seen as a result of increased interdependence between variables. Finally, the
analysis is consistent and robust with the more recent literature on business cycles, which recognizes
the importance of both group-specific and global factors in evaluating cross-country
spillovers and responses to an unexpected shocks.
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Sahloul, Ahmed. "Study of Egyptian macroeconomic fluctuations (1974-2010)." Thesis, Rennes 1, 2015. http://www.theses.fr/2015REN1G002.
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Cette thèse étudie les fluctuations macroéconomiques égyptiennes et compare leurs sources avec celles de certains pays du Moyen-Orient et Afrique du Nord (MENA). Un large éventail de méthodes économétriques sont utilisées pour examiner la synchronisation entre les cycles classiques et de croissance égyptiens et ceux de la région MENA, et de quantifier leurs sources de fluctuations ainsi que leurs réponses à ces sources de chocs. Nous ne trouvons aucune preuve de la synchronisation entre les cycles égyptiens et ceux de la région MENA et des pays développés. Les sources des fluctuations égyptiennes sont presque également réparties entre les chocs internes et étrangers, et les chocs du prix du pétrole semblent être le principal moteur de fluctuations de la production. En outre, la capacité de l'économie à contenir l'impact domestique des chocs externes négatifs à travers les chocs domestiques de l'offre et la demande est positive<br>This thesis studies Egyptian macroeconomic fluctuations and compares their sources to those of some Middle East and North African (MENA) countries. A wide range of econometric methods are used to investigate the synchronization among Egyptian and MENA classical and growth cycles, and to quantify their sources of fluctuations along with their responses to these sources of shocks. We find no evidence of synchronization between Egyptian cycles and those of MENA and of developed countries. The sources of Egyptian macroeconomic fluctuations are almost equally divided among domestic and foreign shocks, and oil prices shocks appear to be the main driver behind output fluctuations. Moreover, domestic supply and demand shocks play a positive role in moderating negative foreign shocks affecting the economy
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Traore, Mohamed. "Fiscal policy, income inequality and inclusive growth in developing countries." Thesis, Université Clermont Auvergne (2017-2020), 2019. http://www.theses.fr/2019CLFAD001/document.
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La question du développement inclusif dans les pays en développement est au cœur de cette thèse. Cette dernière s'articule autour de quatre chapitres sur les questions de politique fiscale et les questions liées à la croissance inclusive. Le chapitre 1 explore comment la politique fiscale de l’Etat affecte l'inclusivité de la croissance dans les pays en développement. Nous observons que la politique fiscale affecte la croissance inclusive de manière significative si et seulement si les pays ont de fortes qualités institutionnelles. En outre, notre résultat montre qu'il existe un seuil optimal au-delà duquel toute augmentation du taux d'imposition négativement la croissance inclusive. Le chapitre 2 examine les effets des composantes des dépenses publiques sur l'équité et la croissance dans les pays d’Afrique subsaharienne, notamment s'il est possible de concevoir des dépenses publiques en vue de promouvoir une société plus équitable sans sacrifier la croissance économique. Notre étude a permis de montrer que l’investissement en infrastructure a contribué à une croissance plus inclusive en Afrique subsaharienne que d'autres dépenses publiques. Ces résultats suggèrent que des programmes temporaires et bien ciblés devraient être mis en place pour aider ceux qui sont laissés pour compte par le processus de croissance. Le chapitre 3 cherche à savoir si les problèmes d’inégalités de revenus se sont posés ou non dans les périodes d'ajustement budgétaire en Côte d'Ivoire au cours de la période 1980-2014. Nos résultats montrent une amélioration de la performance de croissance après les épisodes de consolidation budgétaire, mais aussi des diminutions de l'écart de revenu dans les périodes suivantes les années d’ajustements budgétaires. Enfin, le chapitre 4 évalue la crédibilité des prévisions budgétaires et leurs effets sur le bien-être social dans les pays de la CEMAC et de l'UEMOA. Nous sommes aboutis aux résultats que l'inefficacité des prévisions budgétaires se produit dans la plupart des cas parce que les erreurs de prévisions sont proportionnelles à la prévision elle-même, mais aussi parce que les erreurs passées sont répétées dans le temps. En outre, une partie des erreurs de prévision des recettes peut s'expliquer par des chocs aléatoires survenus dans l'économie. Par conséquent, ces erreurs dans les prévisions de revenus considérées comme des chocs de politique budgétaire ont un effet négatif sur la croissance inclusive<br>The issue of inclusive development in developing countries is at the heart of this thesis. The latter revolves around four chapters on fiscal policy issues and inclusive growth-related matters. Chapter 1 explores how government tax policy affects the inclusiveness of growth in developing countries. Evidence is shown that tax policy affects significantly inclusive growth if and only if the countries have a strong institution quality like low corruption and a good bureaucratic policy. In addition, our result shows that there is an optimal tax beyond which, any increase in the personal income tax rate should have negative impact on inclusive growth. The Chapter 2 examines the effects of government expenditure components on both equity and growth in sub-Saharan countries, especially whether it is possible to design public spending to promote a more equitable society without sacrificing economic growth. We find that investment in infrastructure contributed to more inclusive growth in Sub-sub Saharan African economies than others government spending. These results suggest that temporary and well-targeted programs should be implemented to help those being left out by the growth process. The Chapter 3 investigates whether income inequality matters in the periods of fiscal adjustments in Côte d’Ivoire over the period 1980-2014. The results show an improvement in growth performance after fiscal consolidations episodes, but also income gap decreases in the periods ahead fiscal adjustments. Lastly, Chapter 4 assesses the credibility of fiscal forecasts and their social effects in CEMAC and WAEMU countries. We obtain evidence that the inefficiency of fiscal forecast occurs in most time because the forecast deviation is proportional to the forecast itself, but also because the past errors are repeated in the present. Furthermore, a part of revenue forecast errors can be explained by random shocks to the economy. Therefore, these errors in revenue forecast considered as fiscal policy shocks has a detrimental effect on inclusive growth
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Sun, Qi. "Four essays in dynamic macroeconomics." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/941.
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Zhutova, Anastasia. "Essays in quantitative macroeconomics : assessment of structural models with financial and labor market frictions and policy implications." Thesis, Paris 1, 2016. http://www.theses.fr/2016PA01E044.
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Dans cette thèse, je fournis une évaluation empirique des relations entre les principales variables macroéconomiques qui animent le cycle économique. Nous traitons dans chacun des trois chapitres une question empirique en utilisant une approche économétrique bayésienne. Dans le premier chapitre nous étudions la contribution conditionnelle des taux de transition du marché du travail (le taux de retour en emploi et le taux de séparation). La littérature n'est pas parvenue à un consensus sur lequel des taux dominent la dynamique du marché du travail. Alors que Blanchard et Diamond (1990) ont conclu que la baisse de l'emploi en période de récession résulte d'un taux de séparation plus élevé, Shimer (2012), ainsi que Hall (2005), expliquent que les variations du chômage sont principalement expliqués par la variation du taux de retour en emploi. Notre résultat, obtenu grâce à une estimation d'un modèle VAR structurel, montre que l'importance de chaque taux de transition dépend des chocs qui ont frappé le marché du travail et de l'importance des institutions du marché du travail. Dans le second chapitre, nous évaluons l'impact de la réforme du marché du travail réalisée par le Président des États-Unis H. Hoover au début de la Grande Dépression. Nous montrons que ces politiques ont permis à l'économie américaine d'échapper à une grande spirale déflationniste. L'estimation d'un modèle DSGE à l'échelle agrégée, nous permet de comparer deux effets opposés que ces politiques impliquent : effet négatif dû à une baisse de l'emploi et l'effet positif dû aux anticipations inflationnistes qui sont expansionnistes quand l'économie est dans la trappe à liquidité. Les résultats dépendent de la règle de politique monétaire que nous supposons : le principe de Taylor ou le ciblage du niveau de prix. Le troisième chapitre est consacré à la relation entre le taux d'intérêt réel et l'activité économique qui dépend du nombre des participants aux marchés financiers. En utilisant un modèle DSGE et en permettant à la proportion de ces agents d'être stochastiques en suivant une chaîne de Markov, nous identifions les périodes historiques où la proportion était assez faible pour inverser la courbe IS. Pour le cas des États-Unis, nous montrons que cette relation est positive pendant la période de la Grande Inflation et pendant une courte période au début de la Grande Récession. Dans l'union européenne, la proportion de non-participants a été augmentée pendant les années 2009-2015 mais seulement pour amplifier la corrélation négative entre le taux d'intérêt réel et la croissance de la production<br>In this thesis I provide an empirical assessment of the relations between the main macroeconomic variables that drive the Business Cycle. We treat the empirical question that arises in each chapter using Bayesian estimation. In the first chapter we investigate conditional contribution of the labor market transition rates (the job finding rate and the separation rate) to unemployment. The literature did not have a consensus on which rate dominates in explaining the labor market dynamics. While Blanchard and Diamond (1990) concluded that the fall in employment during slumps resulted from a higher separation rate, Shimer (2012), as well as Hall (2005), explain unemployment variations by mainly the job finding rate. Our result, obtained through an estimation of a structural VAR model, shows that the importance of the transition rated depends on the shocks that hit an economy and hence the importance of the labor market institutions. In the second chapter, we assess the impact of the labor market reform of the US president H. Hoover implemented at the beginning of the Great Depression. We show that these policies prevented the US economy to enter a big deflationary spiral. Estimating a medium scale DSGE model, we also compare two opposite effects these policies lead to: negative effect through a fall in employment and positive effect though inflationary expectations which are expansionary when monetary policy is irresponsive to the rise in prices. The results depend on the monetary policy rule we assume: The Taylor principle or price level targeting. The third chapter is devoted to the relation between the real interest rate and the economic activity which depends on the number of asset market participants. Using a DSGE model and allowing to the proportion of these agents to be stochastic and to follow a Markov chain, we identify the historical sub-periods where this proportion was low enough to reverse the IS curve. For the US case, we report the studied relation to be positive during the Great Inflation period and for a short period at the edge of the Great Recession. In the EA, the proportion of non-participants has been increased during 2009-2015, but only to amplify the negative correlation between the real interest rate and output growth
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Charleroy, Rémy. "External shocks and monetary policy in emerging countries." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010031.
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Chocs externes et politique monétaire dans les pays émergents<br>We investigate the conditional correlation between exchange rate and inflation by using a multivariate BEKK GARCH model. This framework is tested on 20 emerging countries independently of each other and it allows one to consider the macroeconomic variables as having a nonlinear relationship over time. We show that the less credible a country is in applying an IT framework because of its monetary objectives or its interventions in the foreign exchange rate markets, the higher the interactions between both variables are. We also show that the adoption of an inflation target allows the decoupling of variables when the inflation volatility increases, and that the estimated central bank’s reaction function explains the diminution in conditional correlation when the exchange rate or both variables volatility augments. By analyzing the evolution of exchange rate pass-through we investigate the degree of vulnerability of macroeconomic variables in BRICS since the mid-1990s when they experience an external shock. Wefocus our study on the two main theories that explain the reduction of macroeconomic variables volatility: the ”good policy” theory with the adoption by central banks of an inflation targeting framework coupled with a flexible exchange rate regime and the ”good luck” theory with the reduction of external shock persistence. The distinction between the theories is made by testing several time-varying parameters vector autoregressive models with different priors on VAR parameters for the structural changes and on the variance-covariance matrix for the stochastic volatility. Among other results, we conclude that the ”good luck” theory seems to be the dominant factor that explain the reduction in the vulnerabilities of BRICS to an external shock and that the 2008 financial crisis does not lead to a significant increase in the ERPT compared to previous crisis. The recent financial crisis has heightened the interest in the impact of financial sector developments on the macroeconomic condition of countries. By employing a rolling-window Vector Auto-Regressive method based on monthly data for a time span between January 2001 and March 2013, this article sets up a comprehensive financial conditions index for a set of major emerging countries. The index sheds light on the various triggers of financial crises during this period and captures both domestic developments as well as global spillover effects. Index dynamics exhibit an overall abrupt slowdown due to the 2007-2008 financial crisis, precipitated primarily through a global liquidity squeeze and overall financial sector strain. In some countries, rising volatility of financial conditions thereafter has substantially been sparked by nominal effective exchange rate movements. Tested on its forecasting applicability, the inclusion of macroeconomic and financial variables enables the index to also perform well as a leading indicator for business cycles
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WEI, YI-RONG, and 魏懿容. "Excess Stock Return Forecasting with VAR and Bayesian VAR." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/h4tup4.
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碩士<br>國立中正大學<br>財務金融系研究所<br>105<br>Campbell and Thompson (2008) found several restrictions are useful in improving the predictability of forecasting variables. In this paper, I imposes some of the restrictions proposed by Campbell and Thompson (2008) and found that the positive forecast value restriction is very powerful in improving the predictability for both VAR and Bayesian VAR. Nonetheless, the positive slopes restriction does not always perform well. The Bayesian analysis performs better in evaluating the indicators with longer impact on excess returns.
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陳志揚. "Bayesian Threshold VAR-DCC Models with Financial Applications." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/75991754245622507236.
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Janhuba, Radek. "Přelévání volatility v nově členských státech Evropské unie: Bayesovský model." Master's thesis, 2012. http://www.nusl.cz/ntk/nusl-304783.
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Volatility spillovers in stock markets have become an important phenomenon, especially in times of crises. Mechanisms of shock transmission from one mar- ket to another are important for the international portfolio diversification. Our thesis examines impulse responses and variance decomposition of main stock in- dices in emerging Central European markets (Czech Republic, Poland, Slovakia and Hungary) in the period of January 2007 to August 2009. Two models are used: A vector autoregression (VAR) model with constant variance of resid- uals and a time varying parameter vector autoregression (TVP-VAR) model with a stochastic volatility. Opposingly of other comparable studies, Bayesian methods are used in both models. Our results confirm the presence of volatility spillovers among all markets. Interestingly, we find significant opposite trans- mission of shocks from Czech Republic to Poland and Hungary, suggesting that investors see the Central European exchanges as separate markets. Bibliographic Record Janhuba, R. (2012): Volatility Spillovers in New Member States: A Bayesian Model. Master thesis, Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: doc. Roman Horváth Ph.D. JEL Classification C11, C32, C58, G01, G11, G14 Keywords Volatility spillovers,...
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Livingston, Jr Glen. "A Bayesian analysis of a regime switching volatility model." Thesis, 2017. http://hdl.handle.net/1959.13/1342483.
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Research Doctorate - Doctor of Philosophy (PhD)<br>Non-linear time series data is often generated by complex systems. While linear models provide a good first approximation of a system, often a more sophisticated non-linear model is required to properly account for the features of such data. Correctly accounting for these features should lead to the fitting of a more appropriate model. Determining the features exhibited by a particular data set is a difficult task, particularly for inexperienced modellers. Therefore, it is important to move towards a modelling paradigm where little to no user input is required, in order to open statistical modelling to users less experienced in MCMC. This sort of modelling process requires a general class of models that is able to account for the features found in most linear and non-linear data sets. One such class is the STAR-GARCH class of models. These are reasonably general models that permit regime changes in the conditional mean and allow for changes in the conditional covariance. In this thesis, we develop original algorithms that combine the tasks of parameter estimation and model selection for univariate and multivariate STAR-GARCH models. The model order of the conditional mean and the model index of the conditional covariance equation are included as parameters for the model requiring estimation. Combining the tasks of parameter estimation and model selection is facilitated through the Reversible Jump MCMC methodology. Other MCMC algorithms employed for the posterior distribution simulators are the Gibbs sampler, Metropolis-Hastings, Multiple-Try Metropolis and Delayed Rejection Metropolis-Hastings algorithms. The posterior simulation algorithms are successfully implemented in the statistical software program R, and their performance is tested in both extensive simulation studies and practical applications to real world data. The current literature on multivariate extensions of STAR, GARCH, and STAR-GARCH models is quite limited from a Bayesian perspective. The implementation of a set of estimation algorithms that not only provide parameter estimates but is also able to automatically fit the model with highest posterior probability is a significant and original contribution. The impact of such a contribution will hopefully be a step forward on the path towards the automation of time series modelling.
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Nguyen, Bao. "Essays in the Application of Linear and Non-Linear Bayesian VAR Models to the Macroeconomic Impacts of Energy Price Shocks." Phd thesis, 2017. http://hdl.handle.net/1885/133350.
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This thesis is a collection of five self contained empirical
macroeconomic papers on the asymmetric effects of energy price
shocks on various economies.
Chapter 1 formally determines the number of regime changes in the
US natural gas market by employing a MS-VAR model. Estimated
using Bayesian methods, three regimes are identified for the
period 1980 - 2016, namely, before the Decontrol Act, after the
Decontrol Act and the Recession. The results show that the
natural gas market tends to be much more sensitive to market
fundamental shocks occurring in a Recession regime than in the
other regimes. Augmenting the model by incorporating the price of
crude oil, the results reveal that the impacts of oil price
shocks on natural gas prices are relatively small.
Chapter 2 provides new empirical evidence on the asymmetric
reactions of the U.S. natural gas market and the U.S. economy to
its market fundamental shocks in different phases of the business
cycle. To this end, we employ a ST-VAR model to capture the
asymmetric responses depending on economic conditions. Our
results indicate that in contrast to the prediction made by a
linear VAR model, the STVAR model provides a plausible
explanation to the behavior of the U.S. natural gas market, which
asymmetrically reacts in bad times and good times.
Chapter 3 examines the relationship between China's economic
growth and global oil market fluctuations between 1992Q1 and
2015Q3. We find that: (1) the time varying parameter VAR with
stochastic volatility provides a better fit as compared to it's
constant counterparts; (2) the impacts of intertemporal global
oil price shocks on China's output are often small and temporary
in nature; (3) oil supply and specific oil demand shocks
generally produce negative movements in China's GDP growth whilst
oil demand shocks tend to have positive effects; (4) domestic
output shocks have no significant impact on price or quantity
movements within the global oil market.
Chapter 4 examines the effects of world energy price shocks on
China's macroeconomy. We propose a new index of primary commodity
energy prices which accurately reflects both the structure of
China's energy expenditure shares, as well as intertemporal
fluctuations in international energy prices. The index is then in
employed a sufficiently rich set of time varying BVARs,
identified by a new set of agnostic sign restrictions. Uniformly
sized positive energy price shocks are shown to consistently
generate economic stagflation over the past two decades.
Chapter 5 compares the macroeconomic effects of global oil and
iron ore price shocks on the Australian economy. The main results
suggest that, over the period 1990Q1 to 2014Q4, the oil shock has
a relative larger impact than that of the iron ore shock on
output and inflation while the iron ore shock is the dominant
source of interest and exchange rate movements. The effects
crucially depend on the underlying sources of oil or iron ore
price shifts.
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Son, Jong Chil. "Essays on monetary policy and asset prices." 2008. http://hdl.handle.net/1969.1/ETD-TAMU-2008-12-176.
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The recent financial and economic turmoil driven by housing market has led the economists to refocus on the issue about monetary policy and asset price, especially housing price. In this dissertation I investigate the various relationships between monetary policy and asset prices in U.S. economy through steady state Bayesian VAR (SS BVAR) and revised Taylor-typed interest rate rule (Forward-looking rule) based on Generalized Method of Moments (GMM) methodology.
In chapter II, steady state Bayesian VAR (SS BVAR) methodology is introduced and multi step-ahead forecasts are executed. Upon usual squared error loss methodology the forecasting performances of SS BVAR are evaluated in comparison with standard BVAR and conventional VAR. Equal predictive ability tests following Giacomini and White (2006) verify that the SS BVAR is superior in forecasting power especially in long-horizons.
In chapter III, identification issue involving housing sector is explored through two different ways: economic theory-based approach and algorithms of inductive causations. Despite the different approaches the housing sector’s specifications are somewhat similar. Impulse response analyses demonstrate that monetary shock to housing price is relatively smaller, less significant, and less lasting when compared to Choleski identification. Also historical decomposition and conditional forecast analyses indicate that the housing price shock itself is crucial in accounting the sharp increase and sudden drop of housing price since 2003. Upon the estimated evidences I conjecture that there are much uncertainty between monetary policy and housing price, recalling the consideration of institutional factors when trying to accounting housing sectors.
In chapter IV, following Dupor and Conley (2004), I explore how Fed responds to stock price and inflation movements differently across high and low inflation sub-periods. Replicated linear estimation results of Dupor and Conley (2004)’s indicate that Fed raises its target interest rate responding to stock price gap with statistical significance. Linear estimation results, however, are not robust to small change of chosen breakpoint especially in inflation coefficient. So I construct nonlinear model as an alternative way to relax this problem and carry out test of structural change with the nonlinear framework. Consequently both nonlinearity and structural change matter in explanation of Fed’s behavior in this type of reaction function analysis. Given structural change, inflation coefficients movement shows that Fed has responded to expected inflation pressure nonlinearly across sub-period, while stock price gap coefficient shows explicit break around early ’90 in line with Dupor and Conley (2004)’s finding.
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Ramos, Filipe Roberto de Jesus 1981. "Cointegração, modelos VAR e BVAR: estudo comparativo entre a abordagem clássica e bayesiana no contexto dos mercados financeiros europeus." Master's thesis, 2012. http://hdl.handle.net/10451/8822.
Full textAbstract:
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2012<br>Tendo em vista o desenvolvimento de um estudo compreendendo modelação econométrica, o objectivo central deste trabalho consiste na análise comparativa de resultados obtidos na estimação de um sistema cointegrado de vectores auto-regressivos e da respectiva ordem de cointegração, sob o ponto de vista dos pressupostos das abordagens clássica (VAR) e bayesiana (BVAR). Para o efeito, considerou-se uma amostra de variáveis provenientes de índices bolsistas de seis países da zona Euro.
Antecedendo à implementação prática dos modelos econométricos, é apresentado, um referencial teórico que visa fornecer, de forma gradual, informações consideradas indispensáveis à compreensão dos modelos econométricos em causa. Assim, além dos aspectos inerentes à abordagem clássica, são analisados os métodos de simulação de Monte Carlo via Cadeias de Markov (MCMC), apresentando-se o algoritmo de Metropolis-Hastings e o método de amostragem de Gibbs, cujos fundamentos foram discutidos com base na teoria de Cadeias de Markov.
Estes métodos, baseados em simulação estocástica iterativa, constituem a base da inferência bayesiana, a qual se fundamenta no conhecimento da distribuição a posteriori dos parâmetros e na possibilidade de construção de intervalos de confiança exactos para as estimativas dos parâmetros considerados. Precisamente, sendo o problema na implementação desta abordagem a integração numérica (no espaço do parâmetro) da fdp a posteriori, a opção para resumir a informação descrita na distribuição a posteriori foram os métodos MCMC.
As vantagens reconhecidas na implementação das técnicas bayesianas têm sido claramente identificadas em estudos ulteriores, daí o recurso bastante comum às mesmas, pois problemas anteriormente intratáveis foram solucionados e modelos mais flexíveis foram introduzidos com elevado sucesso.<br>Given the development of an econometric modeling study, the main objective of this work consists in the comparative analysis of results obtained in the estimation of a cointegrated vector autoregressive model and its cointegration rank, from the point of view of the assumptions of the classical (VAR) and Bayesian (BVAR) approaches. For this purpose a sample of variables of stock indices from six countries of the Euro area, were taken into account.
Preceding to the practical implementation of the econometric models, we present a theoretical framework that aims to provide, in a gradual manner, information deemed necessary for the understanding of the econometric models in question. Thus, besides the inherent aspects of the classical approach, the Markov Chains Monte Carlo (MCMC) simulation methods are analyzed, by presenting in particular the Metropolis-Hastings algorithm and Gibbs sampling method, whose foundations were discussed based on Markov Chains theory.
These methods, based on iterative stochastic simulation form the basis of bayesian inference, relying on the knowledge of the posterior distribution of parameters and on the possibility of constructing exact confidence intervals to estimate the considered parameters. Precisely, since the main tool of the implementation of this approach consists the numerical integration (in the parameter space) of the posterior fdp, the option to summarize the information described in the posteriori distribution are based on the MCMC methods.
The advantages in the implementation of Bayesian techniques have been clearly identified in further studies (observe the quite common appeal to them) hence previously intractable problems have been resolved and more flexible models were introduced with great success.
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"The effects of monetary policy adjustments on consumer inflation and other macro variables in South Africa." Thesis, 2012. http://hdl.handle.net/10210/5091.
Full textAbstract:
M. Comm.<br>Although there has been several work done on monetary policy and inflation in South Africa, this dissertation is intended to add and expand on the existing literature on the subject with data dating back to 1970. The dissertation was inspired by recent international research that has indentified that a large Bayesian VAR model normally performs better than the normal SVAR model. Given that there has already been differing conclusions in literature on whether interest rates are effective as a tool to control inflation, there is therefore an opportunity to assess monetary policy using a different and more robust modelling framework. The choice of a sample is informed by the fact that prior to inflation targeting and within the period under consideration; interest rates remained a core factor in monetary policy management. Some of the literature will be discussed in detail in chapter 2. This dissertation will introduce the large BVAR model with 14 variables in the South African economy. In comparison, the SVAR model suffers from the curse of dimensionality that is eliminated by using more variables with the Large Bayesian VAR with the response functions of all 14 variables. The objective is therefore to determine whether interest rate changes in South Africa have a meaningful and desired effect on inflation. A substantial amount of recent literature was done within the environment of inflation targeting; however, our study intends to measure more the responsiveness of interest rates and other macro variables to monetary policy. The period of inflation targeting in South Africa provides more useful data and evidence on the responsiveness of the macro variables given the direct policy approach it represents versus the previous regime and hence it is covered in more detail in the dissertation. We also assess, in the process, the main drivers behind inflation in South Africa, in an effort to establish whether the country suffers from cost- push or demandpush. The type of inflation should also assist in providing recommendations on the appropriate response to inflation.
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Poon, Aubrey. "Three Applications of Time-Varying Parameter and Stochastic Volatility Models to the Malaysian and Australian Economy." Phd thesis, 2017. http://hdl.handle.net/1885/118728.
Full textAbstract:
After the introductory chapter, this thesis comprises of three
chapters that examines the application of time-varying parameter
and stochastic volatility models to the Malaysian and Australian
economy.
Chapter 2 aims to determine whether the propagation and
transmission mechanism of Malaysian monetary policy differed
during the Asian Financial Crisis of 1997/98 and the Global
Financial Crisis of 2007/08. The methodology employs a
time-varying vector-autoregression framework. The primary result
is that despite having no evidence of time-variation in the
propagation mechanism of Malaysian monetary policy the average
contribution of a monetary policy shock to the variability of
each macroeconomic variable-Real GDP, Inflation and the Nominal
Effective Exchange Rate-differs between the two crises. This
finding suggests that despite the propagation mechanism being
relatively constant, Malaysia's monetary policy transmission
mechanism evolves over time. We believe that the main mechanism
driving this evolution is the time-variation in the
variance-covariance matrix of the shocks of the model, not the
coefficients. We also find some evidence that the implementation
of capital controls reduced the influenceability of monetary
policy on the Malaysian economy.
Chapter 3 investigates whether incorporating time variation and
fat-tails into a suite of popular univariate and multivariate
Gaussian distributed models can improve the forecast performance
of key Australian macroeconomic variables: real GDP growth, CPI
inflation and a short-term interest rate. The forecast period is
from 1992Q1 to 2014Q4, thus replicating the central banks
forecasting responsibilities since adopting inflation targeting.
We show that time varying parameters and stochastic volatility
with Student's-t error distribution are important modeling
features of the data. More specifically, a vector autoregression
with the proposed features provides the best interest and
inflation forecasts over the entire sample. Remarkably, the full
sample results show that a simple rolling window autoregressive
model with Student's-t errors provides the most accurate GDP
forecasts.
Chapter 4 estimates a time-varying parameter Panel Bayesian
vector autoregression with a new feature: a common stochastic
volatility factor in the error structure, to assess the
synchronicity and the nature of Australian State business cycles.
The common stochastic volatility factor reveals that
macroeconomic volatility or uncertainty was more pronounced
during the Asian Financial Crisis as compared to the more recent
Global Financial Crisis. Next, the Panel VAR’s common, regional
and variable specific indicators capture several interesting
economic facts. In the first instance, the fluctuations of the
common indicator closely follow the trend line of the
Organisation for Economic Co-operation and Development composite
leading indicators for Australia making it a good proxy for
nationwide business cycle fluctuations. Next, despite significant
co-movements of Australian States and Territory business cycles
during times of economic contractions, the regional indicators
suggest that the average degree of synchronisation across the
Australian States and Territories cycles in the 2000s is only
half of that presented in the 1990s. Given that aggregate
macroeconomic activity is determined by cumulative activity of
each of the nation states, the results suggests that the Federal
Government should award state governments greater autonomy in
handling state specific cyclical fluctuations.
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Traverso, Raffaella. "Unconventional monetary policy." Master's thesis, 2014. http://hdl.handle.net/1822/30588.
Full textAbstract:
Dissertação de mestrado em Monetary, Banking and Financial Economics<br>In this work, I use data for the US at both quarterly and monthly frequencies and estimate
a Bayesian Structural Vector Autoregression (B-SVAR) to assess the macroeconomic impact and
the wealth effects of unconventional monetary policy. I show that neither a positive shock to the
interest rate spread, nor a positive shock to the central bank s reserves significantly affect the output
and the aggregate price level. However, both shocks give a strong boost to asset prices, which is
temporary in the case of stock prices and gradual and persistent in the case of housing prices.
Thus, the main channel via which unconventional monetary policy operates is through wealth re-
allocation: by expanding the size of its balance sheet and purchasing troubled assets, the central
bank releases money that economic agents use to increase their exposure to risk by investing in real
estate, stocks and long-term debt. Finally, I account for the three rounds of quantitative easing
put in place by the Federal Reserve. I show that, if anything, the magnitude and the persistence
of the effects are lower in the case of QE2 and QE3.<br>Neste trabalho, é estimado o impacto macroeconómico e os efeitos riqueza da política monetária
não convencional tendo por base dados trimestrais e mensais para os Estados Unidos da América e
um Vector Auto-Regressivo Estrutural Bayesiano. Mostra-se que um choque positivo sobre o spread
entre a taxa de juro de longo-prazo e a taxa de juro de curto-prazo ou um choque positivo sobre a
taxa de crescimento das reservas do banco central não tem um efeito significativo sobre o produto
e o índice de preços. Contudo, ambos os choques estimulam fortemente os preços dos activos,
sendo o efeito temporário no caso dos preços das acções e gradual e persistente no caso dos preços
da habitação. Logo, o principal mecanismo de transmissão da política monetária não convencional
opera por via do efeito riqueza: ao expandir o seu balanço e adquirir activos problemáticos, o banco
central gera a liquidez de que os agentes económicos necessitam para aumentar a sua exposição ao
risco, assim como o seu investimento em habitações, acções e dívida de longo-prazo. Finalmente, é
analisado o impacto à luz dos três programas de exibilização da política monetária levados a cabo
pela Reserva Federal Americana. Mostra-se que, quando muito, a magnitude e a persistência dos
efeitos são menores no caso do segundo e do terceiro programas.
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Mètoiolè, Somé Dommèbèiwin Juste. "Essays on oil price fluctuations and macroeconomic activity." Thèse, 2014. http://hdl.handle.net/1866/11604.
Full textAbstract:
Dans cette thèse, je me suis intéressé aux effets des fluctuations du prix de pétrole sur l'activité macroéconomique selon la cause sous-jacente ces fluctuations. Les modèles économiques utilisés dans cette thèse sont principalement les modèles d'équilibre général dynamique stochastique (de l'anglais Dynamic Stochastic General Equilibrium, DSGE) et les modèles Vecteurs Autorégressifs, VAR.
Plusieurs études ont examiné les effets des fluctuations du prix de pétrole sur les principaux variables macroéconomiques, mais très peu d'entre elles ont fait spécifiquement le lien entre les effets des fluctuations du prix du pétrole et la l'origine de ces fluctuations. Pourtant, il est largement admis dans les études plus récentes que les augmentations du prix du pétrole peuvent avoir des effets très différents en fonction de la cause sous-jacente de cette augmentation. Ma thèse, structurée en trois chapitres, porte une attention particulière aux sources de fluctuations du prix de pétrole et leurs impacts sur l'activité macroéconomique en général, et en particulier sur l'économie du Canada.
Le premier chapitre examine comment les chocs d'offre de pétrole, de demande agrégée, et de demande de précaution de pétrole affectent l'économie du Canada, dans un Modèle d'équilibre Général Dynamique Stochastique estimé. L'estimation est réalisée par la méthode Bayésienne, en utilisant des données trimestrielles canadiennes sur la période 1983Q1 à 2010Q4. Les résultats montrent que les effets dynamiques des fluctuations du prix du pétrole sur les principaux agrégats macro-économiques canadiens varient en fonction de leurs sources. En particulier, une augmentation de 10% du prix réel du pétrole causée par des chocs positifs sur la demande globale étrangère a un effet positif significatif de l'ordre de 0,4% sur le PIB réel du Canada au moment de l'impact et l'effet reste positif sur tous les horizons. En revanche, une augmentation du prix réel du pétrole causée par des chocs négatifs sur l'offre de pétrole ou par des chocs positifs de la demande de pétrole de précaution a un effet négligeable sur le PIB réel du Canada au moment de l'impact, mais provoque une baisse légèrement significative après l'impact. En outre, parmi les chocs pétroliers identifiés, les chocs sur la demande globale étrangère ont été relativement plus important pour expliquer la fluctuation des principaux agrégats macroéconomiques du Canada au cours de la période d'estimation.
Le deuxième chapitre utilise un modèle Structurel VAR en Panel pour examiner les liens entre les chocs de demande et d'offre de pétrole et les ajustements de la demande de travail et des salaires dans les industries manufacturières au Canada. Le modèle est estimé sur des données annuelles désagrégées au niveau industriel sur la période de 1975 à 2008. Les principaux résultats suggèrent qu'un choc positif de demande globale a un effet positif sur la demande de travail et les salaires, à court terme et à long terme. Un choc négatif sur l'offre de pétrole a un effet négatif relativement faible au moment de l'impact, mais l'effet devient positif après la première année. En revanche, un choc positif sur la demande précaution de pétrole a un impact négatif à tous les horizons. Les estimations industrie-par-industrie confirment les précédents résultats en panel. En outre, le papier examine comment les effets des différents chocs pétroliers sur la demande travail et les salaires varient en fonction du degré d'exposition commerciale et de l'intensité en énergie dans la production. Il ressort que les industries fortement exposées au commerce international et les industries fortement intensives en énergie sont plus vulnérables aux fluctuations du prix du pétrole causées par des chocs d'offre de pétrole ou des chocs de demande globale.
Le dernier chapitre examine les implications en terme de bien-être social de l'introduction des inventaires en pétrole sur le marché mondial à l'aide d'un modèle DSGE de trois pays dont deux pays importateurs de pétrole et un pays exportateur de pétrole. Les gains de bien-être sont mesurés par la variation compensatoire de la consommation sous deux règles de politique monétaire. Les principaux résultats montrent que l'introduction des inventaires en pétrole a des effets négatifs sur le bien-être des consommateurs dans chacun des deux pays importateurs de pétrole, alors qu'il a des effets positifs sur le bien-être des consommateurs dans le pays exportateur de pétrole, quelle que soit la règle de politique monétaire. Par ailleurs, l'inclusion de la dépréciation du taux de change dans les règles de politique monétaire permet de réduire les coûts sociaux pour les pays importateurs de pétrole. Enfin, l'ampleur des effets de bien-être dépend du niveau d'inventaire en pétrole à l'état stationnaire et est principalement expliquée par les chocs sur les inventaires en pétrole.<br>In this thesis, I am interested in the effects of fluctuations in oil prices on macroeconomic activity depending on the underlying cause of these fluctuations. The economic models used in this thesis include the Dynamic Stochastic General Equilibrium (DSGE) Models and Vector Autoregressive (VAR) Models.
Several studies have examined the effects of fluctuations in oil price on the main macroeconomic variables, but very few of theses studies have specifically made the link between the effects of fluctuations in oil prices and the origin of these fluctuations. However, it is widely accepted in more recent studies that oil price increases may have very different effects depending on the underlying cause of that increase. My thesis, structured in three chapters, is focused on the sources of fluctuations in oil price and their impacts on the macroeconomic activity in general, and in particular on the canadian economy.
The first chapter of the thesis investigates how oil supply shocks, aggregate demand shocks, and precautionary oil demand shocks affect Canada's economy, within an estimated Dynamic Stochastic General Equilibrium (DSGE) model. The estimation is conducted using Bayesian methods, with Canadian quarterly data from 1983Q1 to 2010Q4. The results suggest that the dynamic effects of oil price shocks on Canadian macroeconomic variables vary according to their sources. In particular, a 10% increase in the real price of oil driven by positive foreign aggregate demand shocks has a significant positive effect of about 0.4% on Canada's real GDP upon impact and the effect remains positive over time. In contrast, an increase in the real price of oil driven by negative foreign oil supply shocks or by positive precautionary oil demand shocks causes an insignificant effect on Canada's real GDP upon impact but causes a slightly significant decline afterwards. The intuition is that a positive innovation in aggregate demand tends to increase the demand for Canada's overall exports. Oil supply disruptions in foreign countries or positive precautionary oil demand shocks increase the uncertainty about future oil prices, which leads firms to postpone irreversible investment expenditures, and tends to reduce Canada's real GDP. Furthermore, among the identified oil shocks, foreign aggregate demand shocks have been relatively more important in explaining the variations of most of Canadian macroeconomic variables over the estimation period.
The second chapter examines the links between oil demand and supply shocks and labor market adjustments in Canadian manufacturing industries using a panel structural VAR model. The model is estimated with disaggregated annual data at the industry level from 1975 to 2008. The results show that a positive aggregate demand shock increases both labor and the price of labor over a 20-year period. A negative oil supply shock has a relatively small negative effect upon impact but the effect turns positive after the first year. In contrast, a positive precautionary oil demand shock has a negative impact over all horizons. The paper also examines how the responses to different types of oil shocks vary from industry to industry. The results suggest that industries with higher net trade exposure/oil-intensity are more vulnerable to oil price increases driven by oil supply shocks and aggregate demand shocks.
The third chapter examines the welfare implications of introducing competitive storage on the global oil market using a three country DSGE model characterized by two oil-importing countries and one oil-exporting country. The welfare gains are measured by consumption compensating variation under two alternative monetary policy rules. The main results indicate that the introduction of oil storage has negative welfare effects for each of the two oil importing countries, while it has positive welfare effects for the oil exporting country, whatever the monetary policy rule. I also found that including the exchange rate depreciation in the monetary policy rules allows to slightly reduce the welfare costs for both oil importing countries. Finally, the magnitude of the welfare effects depends on the steady state level of oil storage and is mainly driven by oil storage shocks.