Three Essays in Macroeconometrics

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atmire.migration.oldid4474
dc.contributor.advisorSerletis, Apostolos
dc.contributor.authorPinno, Karl
dc.contributor.committeememberGordon, Daniel
dc.contributor.committeememberEmery, Herbert
dc.contributor.committeememberWalls, David
dc.contributor.committeememberCoe, Patrick
dc.date.accessioned2016-05-31T15:14:17Z
dc.date.available2016-05-31T15:14:17Z
dc.date.issued2016
dc.date.submitted2016en
dc.description.abstractThe 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. 1en_US
dc.identifier.citationPinno, K. (2016). Three Essays in Macroeconometrics (Doctoral thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/28441en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/28441
dc.identifier.urihttp://hdl.handle.net/11023/3038
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.subjectBanking
dc.subjectEconomics--Finance
dc.subjectEconomics--Theory
dc.subject.classificationBankingen_US
dc.subject.classificationGrowthen_US
dc.subject.classificationInstituionsen_US
dc.subject.classificationVelocityen_US
dc.subject.classificationMoneyen_US
dc.subject.classificationOilen_US
dc.titleThree Essays in Macroeconometrics
dc.typedoctoral thesis
thesis.degree.disciplineEconomics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameDoctor of Philosophy (PhD)
ucalgary.item.requestcopytrue
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