Essays on Macroeconomic Uncertainty and Monetary Policy

Subjective Uncertainty;Volatility;Economic Fluctuations;Monetary Shocks;Developing Economies;Crude Oil Options;Risk Neutral Measure;Economics

Karaca, EmekWright, Jonathan H. ;

Johns Hopkins University

关键词: Subjective Uncertainty;    Volatility;    Economic Fluctuations;    Monetary Shocks;    Developing Economies;    Crude Oil Options;    Risk Neutral Measure;    Economics;   

Others  :  https://jscholarship.library.jhu.edu/bitstream/handle/1774.2/44613/KARACA-DISSERTATION-2015.pdf?sequence=1&isAllowed=y

瑞士|英语

来源: JOHNS HOPKINS DSpace Repository

【 摘 要 】

This dissertation is composed of three chapters. In the first chapter, I introduce subjective and model-free measures of macroeconomic uncertainty, which are based on belief distributions for future inflation and output growth from the Survey of Professional Forecasters. I find that quantitatively important uncertainty episodes are rare, but persistent. My estimates of macroeconomic uncertainty exhibit strikingly different dynamics compared to existing uncertainty measures, suggesting that much of the variation in these measures is not driven by macroeconomic uncertainty. By re-examining recent empirical work on the relationship between macroeconomic uncertainty and real economic activity, I find that macroeconomic uncertainty shocks have a large and persistent effect on real activity, without an evidence of subsequent overshooting. Due to its model-free and subjective nature, I believe that my measure of uncertainty provides a natural benchmark to distinguish among several competing hypotheses about the association between macroeconomic uncertainty and economic activity. The second chapter investigates the effects of an expansionary monetary policy shock that results in a 1\% long-run increase in the price level on output, the bilateral real exchange rate with the United States and the price level in developing economies with inflation targeting. With an empirical panel-VAR model, we show that such a shock leads to a temporary increase in output, a temporary depreciation in the real exchange rate with the United States and a half percent contemporaneous increase in the price level. A multi-sector model with a staggered wage-setting mechanism and asymmetries among sectors with respect to the frequency of price changes is capable of explaining these aggregate dynamics. The third, and the last, chapter uses quotes on options written on crude oil futures to construct nonparametric risk-neutral probability distribution functions (pdfs) for crude oil prices. Based on these pdfs, first, I show that the skewness and the extreme percentiles of these distributions are affected by U.S. macroeconomic news surprises, but the mean is not. Second, I find that these pdfs perform significantly better than density forecasts generated by popular time-series models at 1 to 3 months horizons. Finally, I show that options-implied volatility and skewness help with point prediction of future oil prices.