Essays in empirical macroeconomics with application to monetary policy in a data-rich environment [Elektronische Ressource] / von Pooyan Amir Ahmadi

Dipl.-Vw. Pooyan Amir Ahmadi

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• Publié par: humboldt-universitat_zu_berlin
• Publié le: 01 janvier 2009
• Nombre de lectures: 50
• Langue: English
• Poids de l'ouvrage: 2 Mo

Extrait

Essays in Empirical Macroeconomics with Application to
Monetary Policy in a Data-Rich Environment
DISSERTATION
zur Erlangung des akademischen Grades
Dr. rer. pol.
im Fach Volkswirtschaftslehre
eingereicht an der
Wirtschaftswissenschaftlichen Fakultät
Humboldt-Universität zu Berlin
von
Dipl.-Vw. Pooyan Amir Ahmadi
1. September 1980
Präsident der Humboldt-Universität zu Berlin:
Prof. Dr. Christoph Markschies
Dekan der Wirtschaftswissenschaftlichen Fakultät:
Prof. Oliver Günther, Ph.D.
Gutachter:
1. Prof. Harald Uhlig, Ph.D.
2. Prof. Bartosz Mack´ owiak, Ph.D.
eingereicht am: 23. April 2008
Tag der mündlichen Prüfung: 9. Juli 2009To Friederike...Acknowledgments
This thesis was written while I was working as a member of the Collaborative Research
Center 649 Economic Risk at Humboldt Universität zu Berlin. I have been supported
by many colleagues during the last two and a half years to whom I am grateful for
supporting me.
First and foremost I would like to thanks my supervisors Professor Harald Uhlig,
Professor Bartosz Mackowiak and Professor Albrecht Ritschl for continuous support,
guidance and mentorship. This thesis would not have come to exist without their sup-
port.
I would like to thank my thesis supervisor Professor Harald Uhlig to whom I am very
grateful for teaching me, providing valuable support, encouragement and comments.
He significantly contributed to my thesis also directly as a co-author in Chapter 2 Mea-
suring the Dynamic Effects of Monetary Policy Shocks: A Bayesian FAVAR Approach with Sign
Restriction. Furthermore he provided numerous valuable suggestions and comments to
all other chapters.
I would also like to express my gratitude to Professor Bartosz Mackowiak´ who has
been also supervising this thesis. I’m grateful to him for constant encouragement and
teaching me Bayesian time series econometrics which was the starting point of my
research interest in this field. During the last three years I have benefited enormously
discussing all kinds of different questions with him and working on a joint project.
Professor Albrecht Ritschl has been a major source of support already supporting
me as a student. He has always been a source of inspiration for conducting research. I
would like to express my gratitude to him for endless mentorship, support and encou-
ragement. I benefited from discussing all kinds of research questions and working with
him in a joint project resulting in chapter 3 Monetary Policy during the Great Depression.
He taught me a lot. Not only was I lucky to get academic support and advice he has al-
so always been exerted to provide funding and encouraging me to attend conferences
early on which was extremely helpful.
Parts of this thesis were written during my stay at Princeton University. I would like
to particularly thank Professor Chris Sims and Professor Mark Watson for inviting me
twice providing me with countless suggestions and comments. My thesis was shaped
and improved substantially during the years that I was able to spend there. Moreover,
I am highly indebted to Professor Harald Uhlig who strongly supported my research
stay.
I also benefited from comments during seminar and conference presentations in Ber-
lin, Princeton, Lund, Exeter, Budapest, Zurich and Prague. In particular Chapter 4 of
this thesis was greatly improved by suggestions from Professor Chris Sims, Professor
Mark Watson, Professor Nobuhiro Kiyotaki and seminar participants of the student
macro seminar at Princeton University.
I am also grateful to Samad Sarferaz for endless discussions over the years who sha-
res with me many research interests and therefore has always been an excellent scholar
vAcknowledgments
to discuss all kinds of questions. I would also like to thank Henning Weber who has
been a great office mate and I was lucky to share my office with and discuss all kinds
of thoughts and questions. Furthermore I would like to thank Holger Gerhardt, Martin
Kliem and Stefan Ried for helping me with all kinds of organizational issues.
I thank the Deutsche Forschungsgemeinschaft for funding this research through
the Collaborative Research Center (CRC) 649. Furthermore I would like to thank the
DAAD (German Academic Exchange Service) for a Doctoral Scholarship. Maria Grith
has provided excellent research assistance in the course of time.
Last but not least I would like to thank my family and friends who have been a con-
stant source of support. I want to express my special gratitude to Friederike Westphal
for being an endless and reliable source of support for over eleven years.
viAcknowledgments
Abstract
This thesis consists of four self-contained chapters. The first chapter provides an
introduction with a literature overview.
In Chapter 2 we estimate the effects of monetary policy shocks in a Bayesian Factor-
Augmented vector autoregression (BFAVAR). We propose to employ as an identi-
fication strategy sign restrictions on the impulse response function of pertinent
variables according to conventional wisdom. The key strength of our factor based
approach is that sign restrictions can be imposed on many variables in order to pin
down the impact of monetary policy shocks. Thus an exact identification of shocks
can be approximated and monitored.
In chapter 3 the role of monetary policy during the interwar Great Depression is
analyzed. The prominent role of monetary policy in the U.S. interwar depression
has been conventional wisdom since Friedman and Schwartz [15]. This paper at-
tempts to capture the pertinent dynamics through a BFAVAR methodology of the
previous chapter. We find the effects of monetary policy shocks and the systematic
component to have been moderate. Our results caution against a predominantly
monetary interpretation of the Great Depression.
This final chapter 4 analyzes macroeconomic dynamics within the Euro area. To
tackle the questions at hand I propose a novel approach to jointly estimate a factor-
based DSGE model and a structural dynamic factor model that simultaneously
captures the rich interrelations in a parsimonious way and explicitly involves eco-
nomic theory in the estimation procedure. To identify shocks I employ both sign
restrictions derived from the estimated DSGE model and the implied restrictions
from the DSGE model rotation. I find a high degree of comovement across the
member countries, homogeneity in the monetary transmission mechanism and
heterogeneity in transmission of technology shocks. The suggested approach re-
sults in a factor generalization of the DSGE-VAR methodology of Del Negro and
Schorfheide [12].
viiAcknowledgments
Zusammenfassung
Diese Dissertation besteht aus vier eigenständigen Aufsätzen. Das erste Kapitel
liefert eine Einleitung uns einen Literaturüberblick.
Im zweiten Kapitel schätzen wir die Effekte eines geldpolitischen Schocks in ei-
ner Bayesianischen faktorerweiterten Vektorautoregression. Als ein Identifikati-
onsschema schlagen wir theoretisch fundierte Vorzeichenrestriktionen vor, welche
auf die angemessenen Impuls-Antwortfolgen auferlegt werden können. Der Vor-
teil der faktorbasierten Vorzeichenrestriktion liegt in der Möglichkeit sehr viele
theoretische fundierte Restriktionen zu setzen um so exakter zu identifizieren.
Im dritten Kapitel untersuchen wir die Rolle der Geldpolitik während der Welt-
wirtschaftskrise in den USA. Die besondere Rolle der gilt seit Fried-
man and Schwartz [15] als gängige Meinung. In diesem Papier versuchen wir die
entscheidenden Dynamiken der Zwischenkriegszeit mit dem BFAVAR Modell ab-
zubilden und die Effekte geldpolitischer Schocks zu analysieren. Weiterhin schau-
en wir uns die Effekte der systematischen Komponente der Geldpolitik an. Wir
finden heraus, dass der Anteil der Geldpolitik insgesamt zwar präsent allerdings
recht gemäßigt vorhanden.
Im vierten Kapitel werden die makroökonomischen Dynamiken innerhalb des Eu-
roraumes untersucht. Hierbei schlage ich einen neuen Ansatz vor um die vie-
len relevanten Interrelationen effizient und sparsam zu vereinbaren. Ein faktorba-
siertes DSGE Modell wird gemeinsam mit einem dynamischen Faktormodell ge-
schätzt. Hierbei wird explizit ökonomische Theorie zur Datenanalyse verwendet.
Zur Identifikation makroökonomischer Schocks verwende ich sowohl Vorzeichen-
restriktionen wie auch die DSGE Rotation.
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