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Essays on Empirical Macroeconomics

出版	University of Wisconsin--Madison, 2018
URL	http://books.google.com.hk/books?id=7WzltwEACAAJ&hl=&source=gbs_api

註釋This dissertation is a collection of three unrelated essays. All of the three essays are in the area of empirical macroeconomics. Chapter 1 finds that households with different income levels show heterogeneous consumption response to monetary policy, and investigates what mechanism causes this. Firstly, this paper empirically shows that high income households' consumption is more responsive to monetary policy shocks than low income households' consumption. Secondly, this paper uses a heterogeneous agent model to quantify the importance of the two channels to explain the empirical facts: illiquid assets and heterogeneous income source. We find that introducing illiquid assets is the key, which makes the high income households liquidity constrained and more responsive to monetary policy shocks. Chapter 2 introduces the goods-level real exchange rate volatility curve as a function of the degree of price stickiness to investigate the sources of its volatility, as suggested by Crucini et al. (2013). In particular, our model has several key elements not considered in existing literature: adding the Taylor rule monetary policy, adding persistence of shocks, and assuming a more general form of household preferences. From the empirical analysis, we find that the contribution of monetary policy shocks is smaller compared to the previous research. Moreover, we find that the contribution of good-specific productivity shocks is dominant over that of country-level productivity shocks. Chapter 3 discusses the characteristics of trade of global value chains by comparing the coefficients of the gravity model of trade with conventional gross trade statistics and those with trade in value added (TiVA) statistics. We have two main findings. Firstly, the coefficient of distance is lower in gross trade than that of TiVA, which indicates that the volume of gross trade including intermediates is more decreasing in distance compared to that of TiVA. Secondly, the coefficient of common language dummy is higher in gross trade than that of TiVA. This is because firms choose countries for the production to minimize their costs, choosing ones which are closer and use the same language as other stages of production.