Essays on Business Cycles and Monetary Policy in Open Economics PDF Download

Author: Eurilton Alves Araujo
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Jing Han
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 95

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Abstract: Both technology shocks and monetary policy shocks are important sources of economic fluctuations. My dissertation studies how these shocks affect the economy and how these shocks are propagated in the economy. A main theme is to detect the main propagation mechanisms of these shocks via both statistical approach and structural estimation approach.

Author: Kihyun Park
Publisher:
ISBN:
Category :
Languages : en
Pages : 147

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This dissertation studies the dynamic effects of various economic shocks in a two-sector small open economy. It is divided into three essays. Essays 1 and 2 have a theoretical focus; they involve the developing of intertemporal optimizing models of a small open economy. In these essays, we use the representative-agent framework to derive dynamic macroeconomic effects. Specifically, in the first essay we examine the effects of monetary policy targeted at an inflation rate in a small open economy. We adopt a two-sector dependent economy where money is introduced through various cash-in-advance (CIA) constraints. Results are very significant and sensitive to various CIA constraints as well as relative capital intensities. Higher inflation will generate more investment in the economy leading to a higher level of capital stock and a lower level of net foreign assets in the long-run when the nontraded sector is more capital intensive and households need cash for purchasing tradable goods. However, the long-run effects are completely opposite if households need real balances for purchasing nontradable goods instead. In the second essay we examine the effects and the associated dynamics of an increase in international oil prices and domestic inflation. We show that an increase in oil prices or higher domestic inflation lowers the level of investment, production, and consumption in the long-run. The economy experiences a current account surplus along with a fall in capital stock by holding more foreign traded bonds. Transitional dynamics significantly depend on sectoral capital intensity as well. In essay 3 we investigate the explanatory power of yield spread in predicting economic activities in developing economies. We employ both the Markov regime switching model (MS) and the probit model to estimate the probability of recessions during the Asian financial crisis. We find that three-regime MS model is better predictor of recessions than tworegime MS model. The MS results are also compared with that of the standard probit model for comparison. The MS model does not significantly improve the forecasting ability of the yield spread in forecasting business cycles.

Author: Emrehan Aktuğ
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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My dissertation investigates the nonlinear dynamics in business cycles and the transmission of monetary policy using both empirical and theoretical frameworks. Chapter 1 examines the impact of macroeconomic asymmetry on the welfare cost of business cycles. I investigate the welfare cost of business cycles due to asymmetries generated by two occasionally binding constraints (OBCs): downward nominal wage rigidity (DNWR) and zero lower bound (ZLB). Although business cycle volatility has declined recently as the Great Moderation literature suggests, I find that the welfare cost of business cycles has doubled due to the increased skewness of business cycles over time that is apparent in the data. In a quantitative dynamic equilibrium model that accounts for volatility and skewness changes in pre and postVolcker periods, I estimate that the welfare cost of business cycles has increased from 0.57% (in terms of consumption equivalence) in the pre-Volcker period to 0.97% in the post-Volcker period. Counterfactual analysis shows that while both OBCs play a role, the binding ZLB explains most of the welfare effects in the post-Volcker period. Policy counterfactuals indicate that increasing the inflation target from 2% to 4% reduces the skewness of business cycles and the binding rates of both OBCs, thereby leading to a significant decrease in the welfare cost, from 0.97% to 0.67%. In Chapter 2, I investigate the welfare maximizing steady-state inflation rate in a heterogeneousagent New Keynesian model with Downward Nominal Wage Rigidity (DNWR). After matching the annual wage change distribution in the U.S., I show that DNWR has a very significant impact on the economy when the inflation target is low. Considering the effect of the zero lower bound, price dispersion due to sticky prices, declining natural rate of interest, and lower trend productivity, I find that the optimal inflation target should be much higher than 2%, close to 7%. This result holds taking transition dynamics into account and is robust to a wide range of parameterizations. Lastly, Chapter 3 analyzes the impact of heterogeneity in wage and price stickiness on the transmission of monetary policy. Using the price and wage rigidity estimates of previous studies, I find a slightly negative correlation between wage and price rigidity at the industry level. After categorizing 3-digit industries as rigid and flexible, I analyze the impulse responses of real variables to a monetary policy shock. I document a significant response of industrial production in price-rigid industries, whereas in wage-rigid industries the response is still significant but weaker. Consistent with the theory, the response in price- and wage-flexible industries is not significant. The empirical results suggest that due to relatively lower variation in wage stickiness at the industry level, price stickiness plays a more important role in the differential response of industries to a monetary policy shock. Besides, I develop a multi-sector model incorporating sector-level heterogeneity both in wage and price rigidity into an otherwise standard New Keynesian model and analyze the monetary non-neutrality for different specifications. The results of the model verify the empirical findings

Author: Philip A. Klein
Publisher: Routledge
ISBN: 131549227X
Category : Business & Economics
Languages : en
Pages : 253

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This "Festschrift" honours Geoffrey H. Moore's life-long contribution to the study of business cycles. After some analysts had concluded that business cycles were dead, renewed economic turbulence in the 1970s and 1980s brought new life to the subject. The study of business cycles now encompasses the global economic system, and this work aims to push back the frontiers of knowledge.

Author: Tao Peng
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 206

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Author: Ruy Eduardo Lama
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 282

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Author: Mi Lu
Publisher:
ISBN: 9781303292293
Category : International finance
Languages : en
Pages : 145

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The world has witnessed that some countries have been benefiting substantially from economic and financial globalization and the expansion of world trade while others have not. At the same time, since economies are more interconnected shocks from one economy spread faster worldwide. With the increasing degree of integration of economies around the world, it seems crucial to study international transmission mechanisms of business cycles and policy designs in open economies. This dissertation addresses three interesting questions from the perspective of open economy macroeconomics: 1) What are the main factors to explain the secular change of the Hong Kong national saving rate? 2) What is the transmission mechanism of the U.S. monetary policy shock and other shocks to the Hong Kong economy under the Currency Board system? 3) What is the role of the banking sector and macroprudential policy in the propagation of national and international business cycles?

Author:
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Category :
Languages : en
Pages :

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This dissertation consists of three chapters about business cycles in open economies. The first chapter addresses the question of why housing investment is so volatile, especially in economies with developed mortgage markets. To this end, the chapter develops an augmented Real Business Cycle model with a housing collateral constraint. The collateral constraint creates a link between the housing market and borrowing capacity, a link that amplifies the response of housing demand to shocks and becomes stronger in economies with deeper mortgage markets. The second chapter examines an anomaly between international business cycle models and empirical evidence in cross-country employment correlation. It shows that the wealth effect on leisure plays a determining role in generating a negative employment comovement in the models, hence proposing a solution to the anomaly. The last chapter compares macroeconomic consequences of dollarized emerging countries under two alternative monetary policies: the inflation targeting rule and the fixed exchange rate regime. It shows that the floating exchange rate regime can be dominated by the fixed exchange rate regime in the role of cushioning shocks and in welfare terms.

Author: Gottfried Haberler
Publisher: Cambridge, Mass. : MIT Press
ISBN:
Category : Economics
Languages : en
Pages : 680

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Gottfried Haberler's contributions to the field of international trade and finance began in the 1920s with a seminal paper on comparative costs. His continuing contributions to open economy analysis, development, business cycles and inflation, the theory of money, and rational expections are highlighted in this selection of 27 essays spanning the years 1925 to 1980. The essays are divided into five major sections, representing the subdisciplines of Haberler's most significant work. The first section on international trade contains his work on comparative costs, comparative advantage, and the location of production and international trade. A section on international finance deals with the state of the international monetary system under conditions of world recession, control over international reserve, U.S. balance-of-payments policy, currency depreciation and the terms of trade, and transfer and price movements. The topic of inflation and business cycles is covered in the third section, with essays on income policies, stagflation, and the Great Depression, and the international transmission of inflation. Section four deals with economic development, and the concluding section contains essays on the theory of money and general macroeconomic theory. Several articles are translated here for the first time and there is a complete bibliography of Haberler's work up to 1980. Gottfried Haberler is Professor Emeritus of Economics, Harvard University, and Resident Scholar at the American Enterprise Institute. Anthony Koo is Professor of Economics at Michigan State University.