Three Essays in Macroeconometrics
Abstract
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
Description
Keywords
Banking, Economics--Finance, Economics--Theory
Citation
Pinno, K. (2016). Three Essays in Macroeconometrics (Doctoral thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/28441