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Essays in empirical macroeconomics.

Shamloo, Maral (2009) Essays in empirical macroeconomics. PhD thesis, London School of Economics and Political Science.

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This thesis contains three chapters. The first two chapters are essays on monetary economics. The last chapter is an essay on general equilibrium asset pricing. In chapter 1, I study the behavior of disaggregated prices in response to economic shocks. I suggest a production chain model with nominal rigidities to replicate some stylized facts about data. I argue, first, that the input-output linkages in production can create heterogeneity in the response of sectoral prices to aggregate shocks. Second, a realistic calibration of this multi-sector model to the US data can create 5 times more real rigidities in response to nominal shocks, compared to an equivalent homogeneous economy with intermediate inputs. Finally, the model implies that upstream industries would respond faster to aggregate shocks than downstream industries. In chapter 2, I study the effect of imperfect commitment of a central bank on inflationary outcomes. I present a model in which monetary authority is a committee with churning of members who have finite terms. Older and younger generations of Monetary Policy Committee (MPC) members decide on policy by engaging in a bargaining process. I show that this set-up gives rise to a continuous measure of the degree of monetary authority's commitment. The model suggests that lowering the churning rate or increasing the tenure time improves welfare. Chapter 3 (joint work with Aytek Malkhozov) focuses on the asset pricing implications of a real-business-cycle model with recursive preferences and a general shock structure that allows for news shocks. We show that introducing recursive preferences and anticipated shocks into a canonical DSGE model can produce large premia and low risk-free rates without compromising the model's ability to fit the key macroeconomic variables. We illustrate how this class of dynamic stochastic general equilibrium (DSGE) models can be solved using higher order perturbation methods.

Item Type: Thesis (PhD)
Uncontrolled Keywords: Economics, General
Sets: Collections > ProQuest Etheses
Departments > Economics

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