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Empirical Studies of Equilibrium-Correction Dynamics and Financial market Linkages in the Macroeconomy.

Sserwanja, Isaac (2015) Empirical Studies of Equilibrium-Correction Dynamics and Financial market Linkages in the Macroeconomy. Doctor of Philosophy (PhD) thesis, University of Kent. (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

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Abstract

We apply a general-to-specific modelling approach to estimate a six-dimensional parsimonious structural vector error-correction model of the US economy. We use graph theory methods to determine the instantaneous causal structure of the system from the data thus, overcoming the common problem of making ad-hoc assumptions about the order of causality. Model reduction procedures allow us to control for the curse-of-dimensionality inhibiting such high-dimensional vector autoregressive systems. The corporate-government bond yield risk premium is identified as one of five cointegration relations characterising the economy. Monetary policy reacts to the risk premium and

highest explanatory power and account for 54%-94% of the variation in returns.

Item Type: Thesis (Doctor of Philosophy (PhD))
Thesis advisor: Krolzig, Hans-Martin
Thesis advisor: Carruth, Alan
Uncontrolled keywords: bond yields, monetary policy, fiscal policy, deficit multiplier, balanced-budget multiplier, asset markets, spillovers, cointegration, VAR, Gets modelling
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: Users 1 not found.
Date Deposited: 31 Mar 2016 15:00 UTC
Last Modified: 06 Feb 2020 04:14 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/54767 (The current URI for this page, for reference purposes)
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