Read, Matthew;
(2022)
Essays on the Effects of Macroeconomic Shocks.
Doctoral thesis (Ph.D), UCL (University College London).
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Abstract
This thesis explores the effects of macroeconomic shocks in different contexts. In Chapter 2, I estimate the effects of monetary policy shocks on firm entry and exit rates, and develop a New Keynesian firm-dynamics model that qualitatively matches the empirical responses. I find that accounting for responses along the entry and exit margins does not appreciably change the predictions of the standard (representative-agent) New Keynesian model. Chapter 3 develops algorithms to facilitate Bayesian inference in structural vector autoregressions (SVARs) that have been identified using sign and zero restrictions. Chapter 4 reviews the literature on robust Bayesian inference as a tool for global sensitivity analysis and statistical decision-making under ambiguity. It also presents a self-contained discussion of three different approaches to conducting robust Bayesian inference in set-identified SVARs, along with an empirical example. Chapter 5 explains how to conduct ‘robust’ (multiple-prior) Bayesian inference in set-identified proxy SVARs, and explores the frequentist properties of this approach when the proxies are only weakly correlated with the structural shocks of interest. It illustrates the approach by estimating the effects of shocks to average income tax rates in the United States. Chapter 6 explores issues related to identification and inference in SVARs under ‘narrative restrictions’, which are restrictions on functions of the structural shocks in particular periods.
Type: | Thesis (Doctoral) |
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Qualification: | Ph.D |
Title: | Essays on the Effects of Macroeconomic Shocks |
Open access status: | An open access version is available from UCL Discovery |
Language: | English |
Additional information: | Copyright © The Author 2022. Original content in this thesis is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International (CC BY-NC 4.0) Licence (https://creativecommons.org/licenses/by-nc/4.0/). Any third-party copyright material present remains the property of its respective owner(s) and is licensed under its existing terms. Access may initially be restricted at the author’s request. |
UCL classification: | UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics UCL > Provost and Vice Provost Offices > UCL SLASH UCL |
URI: | https://discovery.ucl.ac.uk/id/eprint/10149064 |
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