Essays on Applied Macro- and Micro-Econometrics

Date
2015-12-18
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Abstract
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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Economics
Citation
Jadidzadeh, A. (2015). Essays on Applied Macro- and Micro-Econometrics (Doctoral thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/25941