Essays on financial markets and the macroeconomy [Elektronische Ressource] / von Emanuel Mönch

Mönch Emanuel

Informations

• Publié par: humboldt-universitat_zu_berlin
• Publié le: 01 janvier 2006
• Nombre de lectures: 22
• Langue: English
• Poids de l'ouvrage: 2 Mo

Extrait

EssaysonFinancialMarketsandthe
Macroeconomy
DISSERTATION
zurErlangungdesakademischenGrades
doctorrerumpoliticarum
(Dr.rer.pol.)
imFachVolkswirtschaftslehre
eingereichtander
WirtschaftswissenschaftlichenFakultät
Humboldt UniversitätzuBerlin
von
HerrDipl. Vw.EmanuelMönch
geborenam11.02.1977inHalle/Saale
PräsidentderHumboldt UniversitätzuBerlin:
Prof.Dr.ChristophMarkschies
DekanderWirtschaftswissenschaftlichenFakultät:
Prof.OliverGünther,Ph.D.
Gutachter:
1. Prof.HaraldUhlig,Ph.D.
2. Prof.BartoszMackowiak,´ Ph.D.
eingereichtam: 28.Juni2006
TagdermündlichenPrüfung: 20.Oktober2006Abstract
This thesis consists of four essays of independent interest which make empirical
andmethodologicalcontributionstothefieldsoffinancialeconomicsandmacroe
conomics. The first essay deals with the proper specification of investors’ infor-
mation set in tests of conditional asset pricing models. In particular, it advances
the use of dynamic factors as conditioning variables. By construction, dynamic
factors summarize the information in a large number of variables and are there
fore intuitively appealing proxies for the information set available to investors.
The essay demonstrates that this approach substantially reduces the pricing er-
rors implied by conditional models with respect to traditional approaches that
use individual indicators as instruments. Following previous evidence that the
centralbankusesalargesetofconditioninginformationwhensettingshort term
interest rates, the second essay employs a similar insight in a model of the term
structure of interest rates. Precisely, the dynamics of the short term interest rate
aremodelledusingaFactor AugmentedVector Autoregression.Basedonthisdy
namic characterization of monetary policy, the term structure of interest rates is
derived under the assumption of no arbitrage. The resulting model is shown to
provide superior out of sample forecasts of US government bond yields with re
specttoanumberofbenchmarkmodels.Thethirdessayanalyzesthepredictive
information carried by the yield curve components level, slope, and curvature
within a joint dynamic factor model of macroeconomic and interest rate data.
ThemodelisestimatedusingaMetropolis within Gibbssamplingapproachand
unexpected changes of the yield curve components are identified employing a
combinationofzeroandsignrestrictions.Theanalysisrevealsthatthecurvature
factor is more informative about the future evolution of the yield curve and of
economicactivitythanhaspreviouslybeenacknowledged.Thefourthessaypro
videsamonthlybusinesscyclechronologyfortheEuroarea.Amonthlyseriesof
EuroarearealGDPisconstructedusinganinterpolationroutinethatnestsprevi
ouslysuggestedapproachesasspecialcases.Then,adatingroutineisappliedto
the interpolated series which excludes business cycle phases that are short and
flat.
Keywords:
Financialeconomics,macroeconomics,appliedeconometrics,assetpricing,term
structureofinterestrates,dynamicfactormodels,businesscycledatingZusammenfassung
DieseArbeitbestehtausvierEssays,dieempirischeundmethodischeBeiträgezu
den Gebieten der Finanzmarktökonomik und der Makroökonomik liefern. Der
erste Essay beschäftigt sich mit der Spezifikation der Investoren verfügbaren In
formationsmenge inTestsbedingter Kapitalmarktmodelle. ImSpeziellenschlägt
es die Verwendung dynamischer Faktoren als Instrumente vor. Diese fassen per
Konstruktion die Information in einer Vielzahl von Variablen zusammen und
stellen daher intuitive Maße für die Investoren zur Verfügung stehenden Infor-
mationen dar. Es wird gezeigt, dass so die Schätzfehler bedingter Modelle im
Vergleichzutraditionellen,aufeinzelnenIndikatorenberuhendenModellvarian
tensubstantiellverringertwerden.AusgehendvonErgebnissen,dassdieZentral
bank zur Festlegung des kurzfristigen Zinssatzes eine große Menge an Informa
tionenberücksichtigt,wirdimzweitenEssayimRahmeneinesaffinenZinsstruk
turmodellseineähnlicheIdeeverwandt.SpeziellwirddieDynamikdeskurzfris
tigen Zinses im Rahmen einer Faktor Vektorautoregression modelliert. Aufbau
end auf dieser dynamischen Charakterisierung der Geldpolitik wird dann die
Zinsstruktur unter der Annahme fehlender Arbitragemöglichkeiten hergeleitet.
Das resultierende Modell liefert bessere Vorhersagen US amerikanischer Anlei
henzinsenalseineReihevonVergleichsmodellen.DerdritteEssayanalysiertdie
Vorhersagekraft der Zinsstrukturkomponenten “level”, “slope” und “curvature”
im Rahmen eines dynamischen Faktormodells für makroökonomische und Zins
daten.DasModellwirdmiteinemMetropolis within GibbsSamplingVerfahren
geschätzt, und Überraschungsänderungen der drei Komponenten werden mit
Hilfe von Null und Vorzeichenrestriktionen identifiziert. Die Analyse offenbart,
dassder"curvatureFaktorinformativerinBezugaufdiezukünftigeEntwicklung
der Zinsstruktur und der gesamtwirtschaftlichen Aktivität ist als bislang vermu
tet. Der vierte Essay legt eine monatliche Chronologie der Konjunkturzyklen im
Euro Raum vor. Zunächst wird mit Hilfe einer verallgemeinerten Interpolations
methode eine monatliche Zeitreihe des europäischen BIP konstruiert. Anschlie
ßend wird auf diese Zeitreihe ein Datierungsverfahren angewandt, das kurze
undflacheKonjunkturphasenausschließt.
Schlagwörter:
Finanzmarktökonomik,Makroökonomik,angewandteÖkonometrie,
Aktienbewertungsmodelle,Zinstrukturmodelle,dynamischeFaktormodelle,
DatierungvonKonjunkturzykleniv
ACKNOWLEDGEMENTS
This thesis is the result of my work at the Institute of Economic Policy at Hum
boldt University Berlin over the last three and a half years. During this time, I
haveenjoyedsupportofmanydifferentpeopletoallofwhomIammuchobliged.
Somestandout,however,andtheircontributiondeservesindividualmention.
Firstofall,IwouldliketoexpressgreatgratitudetomythesissupervisorProfes
sor HARALD UHLIG. He significantly stimulated my interest in statistical meth
ods and their application to macroeconomics and finance. Not only has he di
rectlycontributedtothisthesisastheco authorof“TowardsaMonthlyBusiness
CycleChronologyfortheEuroArea”(Chapter5,publishedinJournalof
Cycle Measurement and Analysis 2(1), May 2005). He also had an impact on all
other chapters via numerous comments and suggestions that he pointed out to
me in seminars and personal discussions. Apart from the academic advice, I fur-
therthankhimforhissupportinfindingexternalfundingandforemployingme
intheSonderforschungsbereich649.
´Professor BARTOSZ MACKOWIAK has been co supervising this thesis. I was ex
tremely lucky to find with him someone at our department who shares my in
terest in factor models. I benefitted enormously from discussing with him all
differentkindsofquestionsandIstillenjoyworkingonajointproject.
I will remember the time of my thesis as an enjoyable and fruitful stage in my
life. MuchofthisisowedtomyofficematesandcolleagueswithwhomIshared
a lot of fun and many interesting discussions. In writing the final draft of this
thesis, I have benefitted from helpful comments and careful proofreading by
MARTINKLIEM,STEFANRIED,SAMADSARFERAZ,ALMUTHSCHOLL,ANDREAS
SCHRIMPF from ZEW Mannheim, and in particular CHRISTIAN STOLTENBERG.
My research requires good computational facilities. I am therefore grateful to
GEORG MAN who did a lot to make our UNIX machines run. A similar thanks
goes to HOLGER GERHARDT who moreover helped me with layout issues. For
the most part, however, the professional appearance of my thesis is the merit of
JENNY SIMON who helped me turning four papers into one document. I would
furtherliketothankoursecretarySUSANNROETHKEforsilentlyyetsoefficiently
doingalltheimportantadministrativeworkbehindthescenes.v
I did most of the work on Chapter 3 as a visitor to the European Central Bank.
Being at the ECB offered me the opportunity to discuss my work with outstand
ing researchers, and sharpened my understanding of which economic questions
areofinteresttopractitioners. Thepublicationofanearlierversionofchapter3in
theECBWorkingPaperSerieshasconsiderablyenhancedthereachofthisstudy.
AmongthemanynicepeopleImetattheECB,twohavebeenparticularlyimpor-
tant to me: PETER HÖRDAHL and MANFRED KREMER. I thank both of them for
theirsupportandadvice.
Much of my thesis deals with dynamic factor analysis for large cross sections
and therefore requires the availability of big datasets. I am highly indebted to
ROBERT BLISS, LUCREZIA REICHLIN, and MARK WATSON for generously shar-
ingtheirdatawithmeorforprovidingthemontheinternet.
The chapters of this thesis and earlier drafts have been presented at several oc
casions. In addition to various presentations in the Macro Brownbag Seminar at
Humboldt University, I have benefitted from comments received at the doctoral
workshops of the European Finance Association in Glasgow and the German
Finance Association in Mainz, the Française de Finance Meeting in
Paris, the “Macroeconomic Issues in the EMU” workshop in Brescia, the Spring
MeetingofYoungEconomistsinWarsaw,theEuropeanMeetingoftheFinancial
Management Association in Zurich, the Econometric Society European Meeting
in Madrid, research seminars at the ECB and the Bundesbank, the Econometric
Society