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Essays on Monetary Policy and Time S...

Park, Jongwook.

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Essays on Monetary Policy and Time Series Analysis.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Monetary Policy and Time Series Analysis./
作者:	Park, Jongwook.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:	117 p.
附註:	Source: Dissertation Abstracts International, Volume: 78-10(E), Section: A.
Contained By:	Dissertation Abstracts International78-10A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10610281
ISBN:	9781369840902

Essays on Monetary Policy and Time Series Analysis.
Park, Jongwook.

Essays on Monetary Policy and Time Series Analysis. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 117 p.

Source: Dissertation Abstracts International, Volume: 78-10(E), Section: A.

Thesis (Ph.D.)--The Ohio State University, 2016.

My dissertation explores the effect of monetary policy and weak dependence conditions for nonlinear time series models. The first chapter analyzes the asymmetric effects of contractionary and expansionary monetary policy shocks on income inequality. Using the Consumer Expenditure Survey we calculate the adjusted Gini coefficients suggested by Chen et al. (1982) and Berrebi and Silber (1985) for five types of incomes such as total, wage, business, financial, and other incomes. We then adopt the Kilian and Vigfusson (2011) model to examine the existence of asymmetry in the responses of inequality for each type of income to monetary policy shocks. The main finding is that monetary policy shocks have asymmetric effects on total, wage, and financial income inequalities during about two years after a shock. The responses of total and wage income inequalities to contractionary shocks are much larger than those to expansionary shocks. The degree of asymmetric response of financial income inequality is modest even though it is significant. We also find that these considerable asymmetric responses of total and wage income inequalities are due to the asymmetric responses of the bottom income bracket. The responses of total and wage income inequalities in the bottom to contractionary shocks are larger than those to expansionary shocks while the responses in the top to contractionary and expansionary shocks are not much different.

ISBN: 9781369840902Subjects--Topical Terms:

1556984
Economic theory.

Essays on Monetary Policy and Time Series Analysis.
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245 1 0 $a Essays on Monetary Policy and Time Series Analysis.
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300 $a 117 p.
500 $a Source: Dissertation Abstracts International, Volume: 78-10(E), Section: A.
500 $a Adviser: Robert de Jong.
502 $a Thesis (Ph.D.)--The Ohio State University, 2016.
520 $a My dissertation explores the effect of monetary policy and weak dependence conditions for nonlinear time series models. The first chapter analyzes the asymmetric effects of contractionary and expansionary monetary policy shocks on income inequality. Using the Consumer Expenditure Survey we calculate the adjusted Gini coefficients suggested by Chen et al. (1982) and Berrebi and Silber (1985) for five types of incomes such as total, wage, business, financial, and other incomes. We then adopt the Kilian and Vigfusson (2011) model to examine the existence of asymmetry in the responses of inequality for each type of income to monetary policy shocks. The main finding is that monetary policy shocks have asymmetric effects on total, wage, and financial income inequalities during about two years after a shock. The responses of total and wage income inequalities to contractionary shocks are much larger than those to expansionary shocks. The degree of asymmetric response of financial income inequality is modest even though it is significant. We also find that these considerable asymmetric responses of total and wage income inequalities are due to the asymmetric responses of the bottom income bracket. The responses of total and wage income inequalities in the bottom to contractionary shocks are larger than those to expansionary shocks while the responses in the top to contractionary and expansionary shocks are not much different.
520 $a The second chapter examines the conditions for the near epoch dependence in nonlinear dynamic time series models and applies them to the Kilian and Vigfusson (2011) model.
520 $a The last chapter investigates the validity of sign restrictions for identifying the monetary policy shocks in a VAR model. A simple version of new Keynesian DSGE model is estimated using Bayesian techniques. Then the artificial data set is generated from the estimated model and are then used in a sign-restriction VAR model to estimate the effect of monetary policy. The result shows that the sign restrictions does not well identify the monetary policy shocks: after a contractionary monetary policy shock, the sign-restriction VAR estimation shows that output increases even though it decreases in the estimated model where the artificial data set is generated. The sign restrictions seems to well identify the monetary policy shocks only when the shocks are extremely volatile. On the other hand, the recursive assumption captures the negative response of output after a contractionary monetary policy shock.
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790 $a 0168
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793 $a English
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