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Author: Sheri M. Markrose
Publisher:
ISBN:
Category :
Languages : en
Pages : 406
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Author: Sheri M. Markrose
Publisher:
ISBN:
Category :
Languages : en
Pages : 406
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Author: Sheri M. Markose
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 140
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Author: Jeffrey A. Levy
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 90
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In this dissertation I examine economic uncertainty, particularly from the perspective of disaggregation below the national level. In part one I outline the building of news-based uncertainty measures for all 50 US states plus Washington DC. I analyze different search specifications, finding that the simplest set of terms involving one group for "economy" and one group for "uncertainty" has the highest resolution, while yielding similar results to more focused news searches, including one similar to the ubiquitous policy search from Baker et al. (2016), and an alternative specification designed to eliminate false positives. I also explore the differences between two other national uncertainty measures - the VIX stock market volatility index from the Chicago Board Options Exchange, and the unforecastable macroeconomic factors from Jurado et al. (2015). In part two, I build upon the analysis of the state uncertainty measures begun in part one. I show that analyzing uncertainty at the national level obscures significant state-level variation, with state-to-national uncertainty correlations ranging from 0.124 to 0.913, while some inter-state uncertainty correlations even turn negative. I then show that VAR analysis using state-level unemployment figures yields impulse response functions that are remarkably similar to existing national-level uncertainty research, with 92% of states exhibiting a rise in unemployment that peaks near 12 months after an uncertainty shock, then overshoots the starting point for a time. Finally, in part three I attempt to get at the causal effects of an uncertainty shock, as VAR analysis is unable to do, by applying a difference-in-difference framework to the natural experiment of military base closures. I look at the 1991, 1993, 1995, and 2005 rounds of the Base Realignment and Closure (BRAC) process, whereby the government moves military jobs in and out of bases through a process that is, at least initially, heavily insulated from confounding economic indicators and political influence. This creates asymmetric and exogenous uncertainty shocks in places with different military employment, which I use to show that a one-percentage point higher military share of employment causes a tenth of a percentage point higher unemployment rate in a given Metropolitan Statistical Area (MSA) during a BRAC round.
Author: Congyan Tan
Publisher:
ISBN:
Category :
Languages : en
Pages : 129
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For the past two decades, economists have focused intensive effort on building Macroeconomics on a firm Microeconomic foundation. As Macroeconomic research are more integrated with Microeconomics, more and better micro evidence has been examined to verify Macroeconomic theories. One recent development in this line of research uses detailed firm-level evidence to modify current Macroeconomic theories. In this dissertation extensive firm-level evidence are studied to shed light on important macro issues such as investment dynamics, financial frictions, regulations and productivity growth. In this study firm behaviors are studied and modeled by utilizing theories from a variety of fields in Corporate Finance, Public Finance, International Economics, Macroeconomic Dynamics etc. Implications of these evidence on the economic theory are carefully examined and subsequent extension of existing models are proposed. This dissertation consists of three chapters. All chapters study firm behaviors and their implications on macroeconomics, however, the focus of each is different. The first chapter studies issues of credit conditions, uncertainty and investment; the second chapter (co- authored with Zhiyong An) engages the issues of taxation and international corporate finance; the third chapter show how regulations are likely impact foreign investment. The first chapter explores the heterogeneity in firms' response to high economic uncertainty. I show that the effect of high economic uncertainty on firms' investment varies significantly with the degree of financial constraints. Firm decisions are studied in a model of non-convex adjustment costs and time-varying second moment shocks, with financial constraints. In my model, uncertainty makes financially-constrained firms cautious in capital spending and creates long periods of under-investment for these firms. Estimates from firm-level data show that publicly-traded companies' investment-to-capital ratio falls by an average of around 15% in response to a one standard deviation increase in uncertainty. Firms with easier access to credit are found to be much less responsive to uncertainty, consistent with the model's predictions. This implies that the effectiveness of stimulus policy may largely depend on firms' accessibility to credit in episodes of high uncertainty. The second chapter (co-authored with Zhiyong An) studies how firms respond to a quasi-experiment in China. China's new Corporate income Tax Law was passed in March 2007 and took effect on January 1, 2008. It increases the effective corporate income tax rate from about 15% to 25% for foreign investment enterprises (FIEs), while keeps that unchanged at 25% for domestic enterprises (DEs). This study uses a difference-in-differences approach to investigate FIEs' response to the law. Employing the Chinese Industrial Enterprises Database (2002-2008) to implement the analysis, we find evidence that FIEs are responding to the law by shifting their income out of China. Second, the magnitude of the estimated response is larger for enterprises larger in size, which suggests the greater capability of shifting income across countries for larger enterprises. In addition, the response is more acute for investment enterprises from Hong Kong, Macau, or Taiwan (HMT) than that for other FIEs, which is consistent with the tax haven status of Hong Kong and Macau. The third chapter studies productivity spillovers to domestic firms from foreign direct investment (FDI). Such productivity gain from FDI is considered to be the basis of policies that promote FDI in many countries. In this chapter, firm-level panel data from six European countries are examined to test a number of hypotheses regarding the impact of FDI on the productivity of domestic firms. I find evidence for the backward linkage channel of the FDI spillovers. Using a new dataset, Investing Across Borders 2010 that documents and scores regulations for FDI in 87 countries, this study goes further to explore how FDI-specific policies and institutions impact the spillovers from FDI inflows. Empirical evidence shows that good investment climate is associated with productivity gains, either by direct productivity contribution or by productivity increase in upstream industries. Higher ownership limit is shown to be significantly and positively correlated with productivity. However, productivity impact varies greatly across different investment climate measures.
Author: Mallory Yeromonahos
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Bernard J. F. Lonergan
Publisher: University of Toronto Press
ISBN: 9780802081957
Category : Business & Economics
Languages : en
Pages : 308
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Book Description
Macroeconomic Dynamics represents the economic thought of Lonergan at the end of his career. His analysis breaks from centralist theory and practice towards a radically democratic perspective on surplus income and non-political control, and explores more fully the ideas introduced in For a New Political Economy.
Author: Julian Felix Ludwig
Publisher:
ISBN:
Category :
Languages : en
Pages : 274
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This dissertation examines how expectations are formed and how they interact with economic activities. Beliefs about economic outcomes vary with timing and accuracy of information, which have important implications for macroeconomic dynamics. The importance of expectations has long been emphasized in rational expectations (RE) models (see e.g. Lucas 1972, 1976; Kydland and Prescott 1982), and diffusion of information has been modeled in many ways (see e.g. Beaudry and Portier 2004, 2006; Mankiw and Reis 2002; Woodford 2003; Sims 2003). My work builds on this literature and aims to improve the understanding of information structure, formation of beliefs, and decision-making, and how they contribute to macro business cycles. In the first chapter, I point out how identification of full information rational expectations (FIRE) models suffers from Manski's (1993) reflection problem. I extend the standard rational expectations (RE) model to allow for a more general information structure and introduce a new framework to identify the generalized model with forecaster data. Identification is no longer subject to the reflection problem when two changes are made to the information structure: the addition of news shocks and imperfect information. News shocks provide additional variation in expectations about the future. Imperfect information provides changes in beliefs about past states, through which the feedback between expectations and decisions goes only in one direction. Expectations data are consistent with both. An application to Greenbook forecasts illustrates the importance of both news shocks and learning about the past. When I apply this framework to a Blanchard and Quah (1989) decomposition, I reach qualitatively new results. For example, expansionary supply shocks decrease unemployment. Supply shocks are also particularly subject to both news and information rigidities, so relaxing the information structure is key to correctly identifying these shocks. In the second chapter, I discover how both good and bad news shocks coincide with higher uncertainty on impact. This new stylized fact is robust to different empirical models of the news shocks literature and different proxies for U.S. macro uncertainty. The new stylized fact has implications in three fields. First, bad news shocks produce the dynamics discovered in the uncertainty literature: spikes in uncertainty are followed by drops in output. I show that there is indeed some overlap between bad news and uncertainty shocks, as the effect of an uncertainty shock gets weaker when controlling for bad news shocks. Second, I show that the close relationship between news shocks and uncertainty seems to be also responsible for the close relationship between quarterly stock returns and stock market volatility - a proxy for uncertainty. This contributes to the finance literature that works on this relationship. Third, introducing a non-linear empirical model, I find additional asymmetries in the responses to news shocks due to the asymmetric response of uncertainty. This contributes directly to the news shocks literature. An important conclusion of chapters one and two is that economic shocks vary with availability of information. The third chapter deals with such heterogeneity. I relax the assumption that economic shocks of the same type are homogeneous, respectively, always have the same effect. Instead, I argue that economists identify a shock that consists of a variety of heterogeneous components. For example, a technology shock is the sum of all disaggregate technology shocks, from innovations in marketing up to inventions in the manufacturing process, which all have different effects on the economy. I discuss how standard identification methods can identify the shocks of interest despite this heterogeneity. I find that the weights on the shock components depend on the identification strategy so that different identification strategies produce different effects. This could explain why different macro papers often identify different responses to the same shock, in the same country, and over the same time period
Author: William A. Brock
Publisher: Edward Elgar Publishing
ISBN: 9781858988146
Category : Econometric models
Languages : en
Pages : 0
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Essays by a leader in the field of economics, originally published as articles in various economic journals between 1972 and 1997, illustrate the power of dynamic modeling to shed light on the forces of stability and instability in economic systems. Themes are stochastic models and optimal growth, financial and macroeconomic modeling, nonlinearity in economics, and ecology, mechanism design, and regulation. Some subjects are asset prices in a production economy, the economics of regulatory tiering, and optimal economic growth and uncertainty. An introduction by Brock ties together the main aspects of his research to date. Brock teaches economics at the University of Wisconsin-Madison. Dechert teaches economics at the University of Houston. The book is not indexed by subject. Annotation copyrighted by Book News, Inc., Portland, OR
Author: Jesús Fernández-Villaverde Sánchez
Publisher:
ISBN:
Category :
Languages : en
Pages : 418
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Author: Kee-nam Cheung
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 236
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