Essays in applied macroeconometrics
Florence, European University Institute, 2007 , EUI PhD theses, Department of Economics
WATZKA, Sebastian, Essays in applied macroeconometrics, Florence, European University Institute, 2007 , EUI PhD theses, Department of Economics - http://hdl.handle.net/1814/7008
Retrieved from Cadmus, EUI Research Repository
My thesis consists of three independent chapters. Each of them is an empirical study using time series techniques to learn something about the macroeconomy. Hence the title "Essays in Applied Macroeconometrics". Whilst the first chapter is a rather descriptive analysis of the functioning of European bond markets when public news come out, the second and third chapters are guided by business cycle theory and use this theory in the estimation of the models. The next section gives a very brief overview of the thesis. The first chapter. "Macroeconomic News and the European Bond Market", is an empirical analysis of how the European bond market reacts to macroeconomic announcements and in particular to news in those announcements. The second and third chapters study the causes of the US business cycle and the functioning of the US labor market. The second chapter, "Shocks and Adjustment Costs in an estimated BBC model for the US", takes the simple RBC model and asks which real shocks and which factor adjustment costs matter for the US business cycle in such a model. The third chapter, "Dynamic Beveridge and Phillips curves: A macroeconoinetric analysis of the US labor market", investigates in more detail the frictions in the IJS labor market. Although chapters two and three are empirical in nature, they are firmly grounded in dynamic stochastic general equilibrium (DSGE) theory and make heavy use of this theory in the empirical analysis. The rest of this introduction summarizes each chapter in some more detail.
Defence date: 11 May 2007; Examining board: Prof. Helmut Lütkepohl, (EUI); Prof. Morten Ravn, (EUI); Prof. Gerhard Illing, (University of Munich) ; Prof. Fabrice Collard, (GREQAM); First made available online on 24 June 2015.
Cadmus permanent link: http://hdl.handle.net/1814/7008
Full-text via DOI: 10.2870/242470
Series/Number: EUI PhD theses; Department of Economics
LC Subject Heading: Macroeconomics -- Methodology