Essays in International Macroeconomics [Elektronische Ressource] / Almira Buzaushina

Almira Buzaushina

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• Handel

Informations

• Publié par: rheinische_friedrich-wilhelms-universitat_bonn
• Publié le: 01 janvier 2011
• Nombre de lectures: 64
• Langue: Deutsch
• Poids de l'ouvrage: 2 Mo

Extrait

Essays in International Macroeconomics
Inaugural-Dissertation
zur Erlangung des Grades eines Doktors
der Wirtschafts- und Gesellschaftswissenschaften
durch die
Rechts- und Staatswissenschaftliche Fakultät
der Rheinischen Friedrich-Wilhelms-Universität
Bonn
vorgelegt von
Almira Buzaushina
aus Astana, Kasachstan
Bonn 2011Dekan: Prof. Dr. Klaus Sandmann
Erstreferent: Prof. Dr. Jürgen von Hagen
Zweitreferent: Prof. Dr. Jörg Breitung
Tag der mündlichen Prüfung: 29.07.2011posv waets moim roditel mContents
Introduction 1
1 International Financial Shocks in Latin America 9
1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.2 Systemic Shocks in Latin America . . . . . . . . . . . . . . . . . . . . . . . 12
1.3 The Theoretical Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
1.3.1 Households . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
1.3.2 Firms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
1.3.3 Financial Intermediary . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.3.4 Rest of the World . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
1.3.5 Market Clearing Conditions . . . . . . . . . . . . . . . . . . . . . . . 22
1.3.6 Equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
1.3.7 Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
1.3.8 The qualitative adjustment . . . . . . . . . . . . . . . . . . . . . . . 26
1.4 The Role of Monetary Policy . . . . . . . . . . . . . . . . . . . . . . . . . . 27
1.5 The Role of Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
1.6 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Appendix to Chapter 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
2 How important is China for
the US exchange rate and current account? 39
i2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
2.2 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.2.1 Market Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.2.2 Firm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
2.2.3 Household . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
2.2.4 Government and Monetary Authority . . . . . . . . . . . . . . . . . 49
2.2.5 Market Clearing Conditions . . . . . . . . . . . . . . . . . . . . . . . 50
2.2.6 Stochastic Shocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
2.3 Empirical Investigation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
2.3.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
2.3.2 Econometric Methods . . . . . . . . . . . . . . . . . . . . . . . . . . 53
2.3.3 Estimation Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Appendix to Chapter 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
3 Trade Elasticities in Transition Countries 79
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
3.2 Countries from CEE and the CIS . . . . . . . . . . . . . . . . . . . . . . . . 82
3.3 Trade Demand Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
3.3.1 Econometric Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
3.3.2 Empirical Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
3.4 Summary of Results and Implications for the Trade Balance . . . . . . . . . 102
3.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
Appendix to Chapter 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
iiList of Figures
1.1 Country spreads in Latin America . . . . . . . . . . . . . . . . . . . . . . . 10
1.2 Empirical impulse responses to country spread shocks . . . . . . . . . . . . 30
1.3 Empirical and theoretical impulse responses . . . . . . . . . . . . . . . . . . 31
1.4 Theoretical impulse responses . . . . . . . . . . . . . . . . . . . . . . . . . . 32
1.5 Monetary tightening versus monetary loosening . . . . . . . . . . . . . . . . 33
1.6 Theoretical impulse responses for different debt levels . . . . . . . . . . . . . 34
2.1 Impulse responses to a one standard deviation technology shock . . . . . . . 66
2.2 Impulse responses to a one standard deviation monetary policy shock . . . . 67
2.3 Impulse responses to a one standard deviation UIP shock . . . . . . . . . . 67
2.4 Impulse responses to a one standard deviation taste shock . . . . . . . . . . 68
2.5 Impulse responses to a one standard deviation home bias shock . . . . . . . 68
3.1 Real Effective Exchange Rates . . . . . . . . . . . . . . . . . . . . . . . . . . 109
3.2 Real Exports of Goods and Services . . . . . . . . . . . . . . . . . . . . . . 109
3.3 Real Imports of Goods and Services . . . . . . . . . . . . . . . . . . . . . . 110
3.4 Trade Balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
iiiivList of Tables
1.1 Description of the data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
1.2 Estimation results for the structural panel VAR . . . . . . . . . . . . . . . . 36
1.3 Structural parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
2.1 Annual trade weights of the US with its main trading partners . . . . . . . 69
2.2 Parameter restrictions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
2.3 Unconditional second moments . . . . . . . . . . . . . . . . . . . . . . . . . 70
2.4 Parameter estimates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
2.5 Variance decompositions (in percent) . . . . . . . . . . . . . . . . . . . . . . 72
3.1 Import Demand: Coefficient Estimates and Implied Elasticities . . . . . . . 90
3.2 Import Demand Elasticities from Error Correction Models . . . . . . . . . . 92
3.3 Import Demand Elasticities from DFE Model . . . . . . . . . . . . . . . . . 93
3.4 Total Export Demand: Coefficient Estimates and Implied Elasticities . . . . 96
3.5 Total Export Demand Elasticities from Error Correction Models I . . . . . . 99
3.6 Total Export Demand from Error Correction Models II . . . . . 100
3.7 Export Demand Elasticities from DFE Model . . . . . . . . . . . . . . . . . 101
3.8 Trade Balance Adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
3.9 Panel Unit Root Test Statistics for Variables Entering the Import Demand
Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
3.10 Panel Unit Root Test Statistics for Variables Entering the Export Demand
Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
v3.11 Import Demand: Differences in Estimated Elasticities . . . . . . . . . . . . 113
3.12 Export Demand: in Estimated Elasticities (System GMM) . . . 113
3.13 Export Demand: Differences in Estimated (DFE) . . . . . . . . 113
viIntroduction
Ongoing theoretical research on issues of international macroeconomics draws heavily on
new workhorse models known as New Open Economy Macroeconomic models. The new
theoretical framework was introduced by the seminal contribution by Obstfeld and Rogoff
(1995), while a previous study by Svensson and van Wijnbergen (1989) established some
features that became distinguishing for New Open Economy Macroeconomics. The com-
mon characteristic of these models is the introduction of nominal rigidities and imperfect
competition into a dynamic stochastic general equilibrium model, well-specified with mi-
croeconomic foundations. The comprehensive survey written by Lane (2001) provides a
detailed literature review and a discussion of controversial modeling issues and their im-
plications, while Corsetti (2007) presents a short literature survey of New Open Economy
Macroeconomics with an emphasis on aspects of international transmission mechanisms
and optimal policy designs.
New Open Economy Macroeconomics aims in its theoretical framework at offering
an advancement to the traditional Mundell-Fleming approach, providing the analytical
rationalityandrigoradaptedbymodelingoptimizingagents, utility-maximizingconsumers
and profit-maximizing firms. Furthermore, referring to the utility of the representative
agent, a stringent welfare analysis with respect to policy design and evaluation can be
directly conducted. Additionally, the optimizing behavior of economic agents make these
models immune to the Lucas (1976) critique. Nominal rigidities and imperfect competition
alter substantially transmission mechanisms of shocks, such that, e.g., short-run ‘real’
implications of monetary policy become relevant to explore. Imperfect competition, either
in goods or production-inputs markets, allows researchers to investigate explicitly pricing
decisionsand, incombinationwithstickyprices, impliesdemand-drivenoutputfluctuations
or factor demand responses in the short run. Embedding the mentioned features into a
general equilibrium context enriches the analysis with endogenous feedbacks from different
sectors of the economy and from other countries.
1