Three Essays in Macroeconometrics

The research in this paper consists of three essays 1. Financial Structure and Economic Growth 2. Oil Price Uncertainty and Industrial Production, and 3. Money, Velocity, and the Stock Market. In the rst essay, we use Bayesian classi cation and nite mixture models to extract information from Levine 's (2002) cross-country database and reconsider the relationship between nancial structure and long-run economic growth. Our methods, based on statistical similarities and multi-dimensional structures, al- low for parameter heterogeneity across the countries in Levine s database and yield substantially di¤erent ndings than Levine s regarding the relationship between nancial structure and economic performance. In the second essay, we estimate a bivariate GARCH-in-Mean VAR with a BEKK variance speci cation, to investigate whether oil price volatility a¤ects real economic activity. We use the same data set of thirty-seven, aggregate and disaggregate, industrial production indices used by Herrera et al. (2011) as a proxy for real output and a post-1973 data sample. We check the robustness of our results by using two proxies for the price of oil, the West Texas Intermediate (WTI) oil price and the Re ners Acquisition Cost (RAC) of crude oil, and by testing for both nominal and real e¤ects. We nd signi cant evidence of non-lin- earities for both aggregate and disaggregate indices. Our research highlights the importance of nominal prices and extreme events such as the Great Contraction in the transmission of nonlinearities. In our third essay, we provide a study of the relationship between money growth variability, velocity, and the stock market using recent advances in nancial econometrics. We estimate a trivariate VARMA, GARCH-in-Mean, BEKK model to quantify the e¤ects of nancial market and money supply instability. We investigate the robustness of the results to di¤erent de nitions of money using monthly Divisia indices for the United States from the Center for Financial Stability (CFS). Empirical evidence supports signi cance of nancial market and money supply volatility, and we conclude that Friedman s money supply volatility hypothesis is alive and well. 1

Name thesis:degree_name

Doctor of Philosophy (PhD)

Discipline thesis:degree_discipline

Economics

Grantor dc:publisher.institution

Graduate Studies

Year dc:date.issued

2016

Author dc:creator

• Pinno, Karl

Advisor dc:contributor.advisor

• Serletis, Apostolos

Committee members dc:contributor.committeemember

• Gordon, Daniel
• Emery, Herbert
• Walls, David
• Coe, Patrick

• Banking
• Economics--Finance
• Economics--Theory

Statement dc:rights

• University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.

Language dc:language.iso

eng

DOI

http://dx.doi.org/10.11575/PRISM/28441

OAI identifier oai:identifier

oai:ucalgary.scholaris.ca:11023/3038