Essays on Applied Macro- and Micro-Econometrics

Simple item page
atmire.migration.oldid3936
dc.contributor.advisorSerletis, Apostolos
dc.contributor.authorJadidzadeh, Ali
dc.contributor.committeememberEmery, Herbert
dc.contributor.committeememberWalls, David
dc.date.accessioned2015-12-18T18:05:07Z
dc.date.available2015-12-18T18:05:07Z
dc.date.issued2015-12-18
dc.date.submitted2015en
dc.description.abstractThis 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.en_US
dc.identifier.citationJadidzadeh, 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/25941en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/25941
dc.identifier.urihttp://hdl.handle.net/11023/2689
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectEconomics
dc.subject.classificationOil priceen_US
dc.subject.classificationStructural VARen_US
dc.subject.classificationFlexible functional formsen_US
dc.subject.classificationNormalized quadratic formen_US
dc.subject.classificationDemand for moneyen_US
dc.subject.classificationSeparabilityen_US
dc.titleEssays on Applied Macro- and Micro-Econometrics
dc.typedoctoral thesis
thesis.degree.disciplineEconomics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameDoctor of Philosophy (PhD)
ucalgary.item.requestcopytrue
Files
Collections
Open Theses and Dissertations