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Essays on Empirical Macroeconomics

Johansson, Martin W LU (2003) In Lund Economic Studies 111.
Abstract (Swedish)
Popular Abstract in Swedish

Denna avhandling består av 5 fristående uppsatser i makroekonomi.



Den första uppsatsen behandlar agregerad privat konsumtion. Det har nyligen föreslagits att hushållens konsumtion av icke-varaktiga varor reagerar asymmetriskt på positiva och negativa inkomstförväntningar. I denna uppsats undersöker vi huruvida detta är beroende på hur hushållens förväntningar modelleras och periodiciteten på det statistiska urvalet. Efter att ha undersökt Svensk kvartalsdata med hjälp av s.k. ”survey data” och en panel bestående av årsdata från 15 OECD länder kan vi sluta oss till att de tidigare slutsatserna i litteraturen inte utan vidare kan generaliseras.



Den andra... (More)
Popular Abstract in Swedish

Denna avhandling består av 5 fristående uppsatser i makroekonomi.



Den första uppsatsen behandlar agregerad privat konsumtion. Det har nyligen föreslagits att hushållens konsumtion av icke-varaktiga varor reagerar asymmetriskt på positiva och negativa inkomstförväntningar. I denna uppsats undersöker vi huruvida detta är beroende på hur hushållens förväntningar modelleras och periodiciteten på det statistiska urvalet. Efter att ha undersökt Svensk kvartalsdata med hjälp av s.k. ”survey data” och en panel bestående av årsdata från 15 OECD länder kan vi sluta oss till att de tidigare slutsatserna i litteraturen inte utan vidare kan generaliseras.



Den andra uppsatsen berör icke-linjär växelkursdynamik. Ett av de mer kända nationalekonomiska teoremen är det om köpkraftsparitet (PPP). Om PPP håller skall två identiska varukorgar kosta lika mycket när man korrigerar för skillnader i nominell växelkurs. De flesta studier som undersökt detta har förkastat PPP. På senare tider har det emellertid föreslagits att PPP endast håller partiellt om transaktionskostnader är närvarande. Vi undersöker lämpligheten i att undersöka växelkursdynamik med en vanlig partiell justeringsmodell (Tröskel autoregression). Vi finner att denna modell i praktiken inte är speciellt lämpad för detta ändamål.



Den tredje uppsatsen undersöker permanensen i de finanspolitiska kontraktioner som genomfördes i Danmark och Irland under 1980-talet. För att utröna huruvida dessa kontraktioner hade någon bestående effekt på dessa länders budgetunderskott letar vi efter strukturella brott i jämviktsrelationen mellan skatter och offentliga utgifter. Vi finner att den irländska budgetsaneringen, till skillnad från Danmarks, hade permanenta effekter på budgetunderskottet.



Den fjärde uppsatsen är en s.k. Monte Carlo studie där vi försöker hitta ett optimalt tillvägagångssätt att bestämma vilka deterministiska komponenter som skall ingå i kointegrationsmodeller.



Den femte uppsatsen undersöker om det finns något eventuellt samband mellan inflation och konjunkturcykelamplitud i USA, Canada, Storbritannien, Sverige, Nya Zeeland och Australien. De flesta ekonomiska teorier förutspår att en politik som prioriterar prisstabilitet kommer att resultera i en mer volatil konjunkturcykel. Dock har senare empiriska studier indikerat att motsatsen kan gälla. Vi använder en s.k. Markov Regimskiftesmodell för att endogent lokalisera strukturella brott i konjunkturcykelamplitud. Sedan undersöker vi om dessa brott sammanfaller med tydliga förändringar i inflation. Vi finner att konjunkturcykeln tycks ha dämpats efter policyinitierade nedväxlingar i inflationen i USA, Storbritannien, Nya Zeeland och Kanada. I fallen Sverige och Australien kan vi inte påvisa något samband. (Less)
Abstract
The first essay reexamines the proposed presence of so-called loss aversion in aggregate consumption. Recent empirical and theoretical studies have suggested, that consumption growth reacts asymmetrically to positive and negative expected income growth. After investigating the case for Swedish consumption using survey data, and a panel of annual observations on 15 OECD countries, we conclude that previous results can not easily be generalized. The second essay deals with real exchange rate dynamics. The recent past has seen an increased interest in piecewise linear real exchange rate models. By invoking Heckscher's (1916) 'commodity points', it has been argued that a threshold autoregressive (TAR) model should be used to study movements in... (More)
The first essay reexamines the proposed presence of so-called loss aversion in aggregate consumption. Recent empirical and theoretical studies have suggested, that consumption growth reacts asymmetrically to positive and negative expected income growth. After investigating the case for Swedish consumption using survey data, and a panel of annual observations on 15 OECD countries, we conclude that previous results can not easily be generalized. The second essay deals with real exchange rate dynamics. The recent past has seen an increased interest in piecewise linear real exchange rate models. By invoking Heckscher's (1916) 'commodity points', it has been argued that a threshold autoregressive (TAR) model should be used to study movements in the real exchange rate. We find that the power of the tests for TAR behavior can be very low for realistic parameter settings. Moreover, the confidence intervals for the threshold parameter are too wide to be used for economic analysis. The third essay examines the permanence of fiscal contractions. Instead of relying on descriptive statistics to evaluate the permanence of a fiscal contraction, this paper suggests that this issue should be studied using tests for structural breaks in cointegrating relationships between taxes and spending. Applying Gregory and Hansen's (1996) test on Danish and Irish data and find that the fiscal contraction in Ireland (1987-1989) induced a structural change in fiscal policy, while the results from the Danish data do not imply such a regime shift. The forth essay deals with how to determine what deterministic components should be included in Vector Error Correction (VEC) models. More specifically, we examine, by means of Monte Carlo simulation, the properties of the so called 'Pantula principle'. Examining the five models contained within the Johansen methodology, we find that the 'Pantula principle' is heavily biased towards choosing model 3 (unrestricted constant) when model 4 (restricted trend) is the true one. We suggest a modification that reduces this bias to an important extent. The fifth essay deals with inflation and output volatility. Ceteris paribus, most economists would argue that a strict policy of price stability increases the volatility in output. In a recent study of U.S. data, however, it appears as if the decrease in output volatility has been matched by a corresponding decrease in the level of inflation and volatility of inflation. We appraise to what extent this holds in the U.K., Canada, Sweden, Australia and New Zealand. We also employ data on both the quarterly growth rates and the output gap to check how robust this finding is to how output volatility is measured. In the U.K., Canada, New Zealand and the U.S. we find that the recorded decrease in output volatility coincides with a sharp reduction in the level of inflation. In the Swedish case the analysis is unfortunately blurred by questions concerning the quality of the data. Australia does not conform to the anticipated picture in the sense that inflation is neither lower nor less volatile after the decrease in output volatility. (Less)
Please use this url to cite or link to this publication:
author
opponent
  • Professor Sarantis, Nicholas, London Guildhall University, U.K.
organization
publishing date
type
Thesis
publication status
published
subject
keywords
economic systems, economic theory, econometrics, Economics, structural breaks., output volatility, threshold autoregression, fiscal policy, real exchange rates, Aggregate consumption, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
in
Lund Economic Studies
volume
111
pages
111 pages
publisher
Department of Economics, Lund Universtiy
defense location
EC3:210
defense date
2003-06-06 10:15
ISSN
0460-0029
language
English
LU publication?
yes
id
a0c73091-a7e8-422e-9925-4e213414edaa (old id 465941)
date added to LUP
2007-09-27 11:39:46
date last changed
2018-05-29 09:30:02
@phdthesis{a0c73091-a7e8-422e-9925-4e213414edaa,
  abstract     = {The first essay reexamines the proposed presence of so-called loss aversion in aggregate consumption. Recent empirical and theoretical studies have suggested, that consumption growth reacts asymmetrically to positive and negative expected income growth. After investigating the case for Swedish consumption using survey data, and a panel of annual observations on 15 OECD countries, we conclude that previous results can not easily be generalized. The second essay deals with real exchange rate dynamics. The recent past has seen an increased interest in piecewise linear real exchange rate models. By invoking Heckscher's (1916) 'commodity points', it has been argued that a threshold autoregressive (TAR) model should be used to study movements in the real exchange rate. We find that the power of the tests for TAR behavior can be very low for realistic parameter settings. Moreover, the confidence intervals for the threshold parameter are too wide to be used for economic analysis. The third essay examines the permanence of fiscal contractions. Instead of relying on descriptive statistics to evaluate the permanence of a fiscal contraction, this paper suggests that this issue should be studied using tests for structural breaks in cointegrating relationships between taxes and spending. Applying Gregory and Hansen's (1996) test on Danish and Irish data and find that the fiscal contraction in Ireland (1987-1989) induced a structural change in fiscal policy, while the results from the Danish data do not imply such a regime shift. The forth essay deals with how to determine what deterministic components should be included in Vector Error Correction (VEC) models. More specifically, we examine, by means of Monte Carlo simulation, the properties of the so called 'Pantula principle'. Examining the five models contained within the Johansen methodology, we find that the 'Pantula principle' is heavily biased towards choosing model 3 (unrestricted constant) when model 4 (restricted trend) is the true one. We suggest a modification that reduces this bias to an important extent. The fifth essay deals with inflation and output volatility. Ceteris paribus, most economists would argue that a strict policy of price stability increases the volatility in output. In a recent study of U.S. data, however, it appears as if the decrease in output volatility has been matched by a corresponding decrease in the level of inflation and volatility of inflation. We appraise to what extent this holds in the U.K., Canada, Sweden, Australia and New Zealand. We also employ data on both the quarterly growth rates and the output gap to check how robust this finding is to how output volatility is measured. In the U.K., Canada, New Zealand and the U.S. we find that the recorded decrease in output volatility coincides with a sharp reduction in the level of inflation. In the Swedish case the analysis is unfortunately blurred by questions concerning the quality of the data. Australia does not conform to the anticipated picture in the sense that inflation is neither lower nor less volatile after the decrease in output volatility.},
  author       = {Johansson, Martin W},
  issn         = {0460-0029},
  keyword      = {economic systems,economic theory,econometrics,Economics,structural breaks.,output volatility,threshold autoregression,fiscal policy,real exchange rates,Aggregate consumption,economic policy,Nationalekonomi,ekonometri,ekonomisk teori,ekonomiska system,ekonomisk politik},
  language     = {eng},
  pages        = {111},
  publisher    = {Department of Economics, Lund Universtiy},
  school       = {Lund University},
  series       = {Lund Economic Studies},
  title        = {Essays on Empirical Macroeconomics},
  volume       = {111},
  year         = {2003},
}