Detail Essays in monetary and international economics Bibliografi Author: Kong, Qingying Janet ; Diba, Behzad (Advisor) Topik: ECONOMICS; GENERAL Bahasa: (EN )    ISBN: 0-599-15038-6     Penerbit: Georgetown University     Tahun Terbit: 1998     Jenis: Theses - Dissertation Fulltext: 9916224.pdf (0.0B; 0 download) Abstract A lot of empirical work has been conducted to validate some very important and useful macroeconomics models. Purchasing Power Parity is one of the models of exchange rate determination that has attracted lots of attention from economists. The transmission mechanism of monetary shocks also received substantial empirical studies. In the first chapter, the impact of a monetary shock based on the nominal Federal Funds Rate on the long term real interest rates are tested and quantified. The results indicate that there exists a statistically significant relationship between the proxies for policy and expected long-term real rates. The VAR estimates, which are easiest to interpret, suggest that a 100 basis point innovation in the Federal funds rate increases the expected real interest rate by about 19 basis points for five-year bonds, and by about 22 basis points for ten-year bonds. The second essay examines PPP for from 1954 to 1996. Most of the empirical work in the literature produce mixed results on PPP. This paper using export price indexes or wholesale price indexes as proxies for prices of traded goods, finds that the Yen/DM exchange rate exhibits reversion to long-run PPP in quarterly data. The error-correction regressions reported in this paper detect considerable predictability in changes of the Yen/DM nominal exchange rate. Besides statistically significant adjustment-to-equilibrium coefficients, the regressions also point to considerable autocorrelation in changes of the nominal exchange rate. Estimated univariate autoregressions confirm the presence of such autocorrelation. Also the error-correction model implied by such a long-run relationship can be demonstrated to outperform the random walk with drift model in out-of-sample forecasting of the nominal exchange rate both in terms of their mean-squared errors and in terms of their directional accuracy. The final essay produces a thorough sector level study on the law of one price for the subsectors under manufacturing for 13 OECD countries and 9 subsectors. Using panel Unit Root test developed by Im, Pesaran and Shin in 1995, the paper is able to confirm the observation in the literature that PPP tends to hold more often for DM denominated studies than for US dollar denominated cases. And PPP is more likely to hold when using all the data from a panel than when tested univariately. However, it is also showed that the panel unit root test will produce different results on PPP from a simple plotting and t-test, due to probably the design of the unit root test. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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