Evolving macroeconomic dynamics and structural change: applications and policy implications
The present thesis is a collection of three separate essays, each corresponding to a chapter.Each essay represents an application of structural dynamic analysis within TVC-VARmodels. In the first chapter, coauthored with Fabio Canova, we investigate the relationshipbetween changes in output and infl...
| Autor: | |
|---|---|
| Tipo de recurso: | tesis doctoral |
| Estado: | Versión publicada |
| Fecha de publicación: | 2006 |
| País: | España |
| Institución: | CBUC, CESCA |
| Repositorio: | TDR. Tesis Doctorales en Red |
| OAI Identifier: | oai:www.tdx.cat:10803/7342 |
| Acceso en línea: | http://www.tdx.cat/TDX-1129106-115845 http://hdl.handle.net/10803/7342 |
| Access Level: | acceso abierto |
| Palabra clave: | economic policy production producción macroeconomics política económica macroeconomía producció política econòmica macroeconomia 334 338 |
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Evolving macroeconomic dynamics and structural change: applications and policy implications |
| title |
Evolving macroeconomic dynamics and structural change: applications and policy implications |
| spellingShingle |
Evolving macroeconomic dynamics and structural change: applications and policy implications Gambetti, Luca economic policy production producción macroeconomics política económica macroeconomía producció política econòmica macroeconomia 334 338 |
| title_short |
Evolving macroeconomic dynamics and structural change: applications and policy implications |
| title_full |
Evolving macroeconomic dynamics and structural change: applications and policy implications |
| title_fullStr |
Evolving macroeconomic dynamics and structural change: applications and policy implications |
| title_full_unstemmed |
Evolving macroeconomic dynamics and structural change: applications and policy implications |
| title_sort |
Evolving macroeconomic dynamics and structural change: applications and policy implications |
| dc.creator.none.fl_str_mv |
Gambetti, Luca |
| author |
Gambetti, Luca |
| author_facet |
Gambetti, Luca |
| author_role |
author |
| dc.contributor.none.fl_str_mv |
Canova, Fabio Universitat Pompeu Fabra. Departament d'Economia i Empresa |
| dc.subject.none.fl_str_mv |
economic policy production producción macroeconomics política económica macroeconomía producció política econòmica macroeconomia 334 338 |
| topic |
economic policy production producción macroeconomics política económica macroeconomía producció política econòmica macroeconomia 334 338 |
| description |
The present thesis is a collection of three separate essays, each corresponding to a chapter.Each essay represents an application of structural dynamic analysis within TVC-VARmodels. In the first chapter, coauthored with Fabio Canova, we investigate the relationshipbetween changes in output and inflation and monetary policy in the US. There are variationsin the structural coefficients and in the variance of the structural shocks but only the latterare synchronized across equations. The policy rules in the 1970s and 1990s are similar asis the transmission of policy disturbances. Changes in inflation persistence are only partlyexplained by monetary policy changes. Variations in the systematic component of policyhave limited effects on the dynamics of the system. Results are robust to alterations in theauxiliary assumptions.In the second chapter, coauthored with Fabio Canova and Evi Pappa, we examine thedynamics of US output and inflation. We show that there are changes in the volatility ofboth variables and in the persistence of inflation. Technology shocks explain changes inoutput volatility, while a combination of technology, demand and monetary shocks explainvariations in the persistence and volatility of inflation. We detect changes over time in thetransmission of technology shocks and in the variance of technology and of monetary policyshocks.In the third chapter we study whether hours worked rise or fall after a positive technologyshock. According to the existing evidence it depends on whether they enter the VAR in levels(hours rise) or growth rates (hours fall). We argue that conflicting results may ultimatelyarise because important structural time variations in the US economy are a priori ruledout by empirical models. We identify technology shocks as the only shocks driving long-runlabor productivity using postwar US quarterly data. We find that, under both specificationsfor hours (levels and growth rates), (i) hours fall, and (ii) technology shocks explain about11-23% of total aggregate fluctuations giving rise to positive but small correlations betweenoutput and hours. Differences with respect to fixed coefficients VAR are due to instabilitiesin the relationship between labor productivity and levels of hours.To conclude, the main contribution of the present research work as a whole is twofold.First, from an empirical perspective, we provide new evidence on some important macroeconomicissues of the US economy. In all the applications new interesting results, absentin standard VAR, emerge. Second, from a theoretical perspective, we contribute to developnew tools useful for policy analysis within the class of TVC-VAR models. |
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2006 |
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2006 2006 2006 2011 |
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info:eu-repo/semantics/doctoralThesis info:eu-repo/semantics/publishedVersion |
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doctoralThesis |
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http://www.tdx.cat/TDX-1129106-115845 http://hdl.handle.net/10803/7342 |
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http://www.tdx.cat/TDX-1129106-115845 http://hdl.handle.net/10803/7342 |
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Inglés |
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Inglés |
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info:eu-repo/semantics/openAccess |
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application/pdf application/pdf |
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Universitat Pompeu Fabra |
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Universitat Pompeu Fabra |
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TDX (Tesis Doctorals en Xarxa) reponame:TDR. Tesis Doctorales en Red instname:CBUC, CESCA |
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Evolving macroeconomic dynamics and structural change: applications and policy implicationsGambetti, Lucaeconomic policyproductionproducciónmacroeconomicspolítica económicamacroeconomíaproducciópolítica econòmicamacroeconomia334338The present thesis is a collection of three separate essays, each corresponding to a chapter.Each essay represents an application of structural dynamic analysis within TVC-VARmodels. In the first chapter, coauthored with Fabio Canova, we investigate the relationshipbetween changes in output and inflation and monetary policy in the US. There are variationsin the structural coefficients and in the variance of the structural shocks but only the latterare synchronized across equations. The policy rules in the 1970s and 1990s are similar asis the transmission of policy disturbances. Changes in inflation persistence are only partlyexplained by monetary policy changes. Variations in the systematic component of policyhave limited effects on the dynamics of the system. Results are robust to alterations in theauxiliary assumptions.In the second chapter, coauthored with Fabio Canova and Evi Pappa, we examine thedynamics of US output and inflation. We show that there are changes in the volatility ofboth variables and in the persistence of inflation. Technology shocks explain changes inoutput volatility, while a combination of technology, demand and monetary shocks explainvariations in the persistence and volatility of inflation. We detect changes over time in thetransmission of technology shocks and in the variance of technology and of monetary policyshocks.In the third chapter we study whether hours worked rise or fall after a positive technologyshock. According to the existing evidence it depends on whether they enter the VAR in levels(hours rise) or growth rates (hours fall). We argue that conflicting results may ultimatelyarise because important structural time variations in the US economy are a priori ruledout by empirical models. We identify technology shocks as the only shocks driving long-runlabor productivity using postwar US quarterly data. We find that, under both specificationsfor hours (levels and growth rates), (i) hours fall, and (ii) technology shocks explain about11-23% of total aggregate fluctuations giving rise to positive but small correlations betweenoutput and hours. Differences with respect to fixed coefficients VAR are due to instabilitiesin the relationship between labor productivity and levels of hours.To conclude, the main contribution of the present research work as a whole is twofold.First, from an empirical perspective, we provide new evidence on some important macroeconomicissues of the US economy. In all the applications new interesting results, absentin standard VAR, emerge. Second, from a theoretical perspective, we contribute to developnew tools useful for policy analysis within the class of TVC-VAR models.Programa de doctorat en Economia, Finances i EmpresaUniversitat Pompeu FabraCanova, FabioUniversitat Pompeu Fabra. Departament d'Economia i Empresa2011200620062006info:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfhttp://www.tdx.cat/TDX-1129106-115845http://hdl.handle.net/10803/7342TDX (Tesis Doctorals en Xarxa)reponame:TDR. Tesis Doctorales en Redinstname:CBUC, CESCAInglésADVERTIMENT. L'accés als continguts d'aquesta tesi doctoral i la seva utilització ha de respectar els drets de la persona autora. Pot ser utilitzada per a consulta o estudi personal, així com en activitats o materials d'investigació i docència en els termes establerts a l'art. 32 del Text Refós de la Llei de Propietat Intel·lectual (RDL 1/1996). Per altres utilitzacions es requereix l'autorització prèvia i expressa de la persona autora. En qualsevol cas, en la utilització dels seus continguts caldrà indicar de forma clara el nom i cognoms de la persona autora i el títol de la tesi doctoral. No s'autoritza la seva reproducció o altres formes d'explotació efectuades amb finalitats de lucre ni la seva comunicació pública des d'un lloc aliè al servei TDX. Tampoc s'autoritza la presentació del seu contingut en una finestra o marc aliè a TDX (framing). Aquesta reserva de drets afecta tant als continguts de la tesi com als seus resums i índexs.info:eu-repo/semantics/openAccessoai:www.tdx.cat:10803/73422026-06-14T12:46:07Z |
| score |
15.30478 |