Browsing by Author "Emery, Herbert"

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    Essays on Applied Macro- and Micro-Econometrics
    (2015-12-18) Jadidzadeh, Ali; Serletis, Apostolos; Emery, Herbert; Walls, David
    This thesis consists of three essays on applied macro- and micro-econometrics. The first essay examines the interactions and comovements between the crude oil and natural gas markets with multivariate time series analysis. The second essay investigates interfuel substitution and the demand for a limited number of energy goods with proper microeconomic foundations. The last essay augments the approach used in the second essay for a large number of goods and services in the market for money. An abstract of each essay follows. In essay 1, I employ a structural Vector AutoRegressive model to disentangle demand and supply shocks in the global crude oil market and investigate their effects on the real price of natural gas in the United States. I identify the model by assuming that innovations to the real price of crude oil are predetermined with respect to the natural gas market and show that close to 45\% of the variation in the real price of natural gas can be attributed to structural supply and demand shocks in the global crude oil market. Essay 2 focuses on the aggregate demand for electricity, natural gas, and light fuel oil in Canada as a whole and six of its provinces in the residential, commercial, and industrial sectors. I employ the locally flexible normalized quadratic (NQ) expenditure and cost functions and provide evidence consistent with neoclassical microeconomic theory. My results indicate limited substitutability between electricity and natural gas, but strong substitutability between light fuel oil and each of electricity and natural gas in most cases. Essay 3 uses a highly-disaggregated demand system to estimate the degree of substitutability among monetary assets and to address the issue of optimal monetary aggregation in the United States. I address the problems of dimensionality and nonlinearity, estimating a very detailed monetary asset demand system encompassing the full range of assets based on the NQ expenditure function. I believe that our estimates of disaggregated monetary demand responses are of importance in resolving paradoxes associated with the measurement of money, in solving the Barnett critique, and in understanding the effects of potential monetary policy actions.
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    Three Essays in Macroeconometrics
    (2016) Pinno, Karl; Serletis, Apostolos; Gordon, Daniel; Emery, Herbert; Walls, David; Coe, Patrick
    The research in this paper consists of three essays 1. Financial Structure and Economic Growth 2. Oil Price Uncertainty and Industrial Production, and 3. Money, Velocity, and the Stock Market. In the rst essay, we use Bayesian classi cation and nite mixture models to extract information from Levine 's (2002) cross-country database and reconsider the relationship between nancial structure and long-run economic growth. Our methods, based on statistical similarities and multi-dimensional structures, al- low for parameter heterogeneity across the countries in Levine s database and yield substantially di¤erent ndings than Levine s regarding the relationship between nancial structure and economic performance. In the second essay, we estimate a bivariate GARCH-in-Mean VAR with a BEKK variance speci cation, to investigate whether oil price volatility a¤ects real economic activity. We use the same data set of thirty-seven, aggregate and disaggregate, industrial production indices used by Herrera et al. (2011) as a proxy for real output and a post-1973 data sample. We check the robustness of our results by using two proxies for the price of oil, the West Texas Intermediate (WTI) oil price and the Re ners Acquisition Cost (RAC) of crude oil, and by testing for both nominal and real e¤ects. We nd signi cant evidence of non-lin- earities for both aggregate and disaggregate indices. Our research highlights the importance of nominal prices and extreme events such as the Great Contraction in the transmission of nonlinearities. In our third essay, we provide a study of the relationship between money growth variability, velocity, and the stock market using recent advances in nancial econometrics. We estimate a trivariate VARMA, GARCH-in-Mean, BEKK model to quantify the e¤ects of nancial market and money supply instability. We investigate the robustness of the results to di¤erent de nitions of money using monthly Divisia indices for the United States from the Center for Financial Stability (CFS). Empirical evidence supports signi cance of nancial market and money supply volatility, and we conclude that Friedman s money supply volatility hypothesis is alive and well. 1