Empirical essays on uncertainty and economic behavior

Show simple item record

dc.contributor Lee, Junsoo
dc.contributor Cover, James P.
dc.contributor Gray, J. Brian
dc.contributor Brooks, Robert Edwin
dc.contributor Olson, Eric David
dc.contributor.advisor Enders, Walter
dc.contributor.author Jones, Paul
dc.date.accessioned 2017-03-01T16:58:34Z
dc.date.available 2017-03-01T16:58:34Z
dc.date.issued 2014
dc.identifier.other u0015_0000001_0001507
dc.identifier.other Jones_alatus_0004D_11833
dc.identifier.uri https://ir.ua.edu/handle/123456789/1967
dc.description Electronic Thesis or Dissertation
dc.description.abstract My dissertation looks at the new and growing field of macroeconomic uncertainty. It consists of three empirical essays on different measures of macroeconomic uncertainty and how uncertainty affects macroeconomic behavior. The first essay uses a new uncertainty index from Baker et al. (2012). We evaluate the time-varying correlation between macroeconomic uncertainty, inflation, and output. Estimation results from a multivariate DCC-GARCH model reveal that the sign of the correlation between macroeconomic uncertainty and inflation changed from negative to positive during the late 1990s, whereas the correlation between uncertainty and output is consistently negative. In the second essay, we propose domestic uncertainty shocks may serve as a channel through which business cycles are transmitted internationally. To quantify uncertainty, we use two measures from the current literature and estimate structural vector autoregressions to evaluate the effects U.S. uncertainty shocks have on the Japanese and British economies. Our results suggest U.S. uncertainty shocks have international effects consistent with a demand shock in the context of an open-economy IS/LM model with sticky prices. For the final essay we estimate a number of macroeconomic variables as logistic smooth transition autoregressive (LSTAR) processes with uncertainty as the transition variable. Nonlinear estimation allows us to answer several interesting questions left unanswered by a linear model. For a number of important macroeconomic variables, we show (i) a positive shock to uncertainty has a greater effect than a negative shock, and (ii) the effect of the uncertainty shock is highly dependent on the state of the economy. Hence, the usual linear estimates concerning the consequences of uncertainty are underestimated in circumstances such as the recent financial crisis.
dc.format.extent 85 p.
dc.format.medium electronic
dc.format.mimetype application/pdf
dc.language English
dc.language.iso en_US
dc.publisher University of Alabama Libraries
dc.relation.ispartof The University of Alabama Electronic Theses and Dissertations
dc.relation.ispartof The University of Alabama Libraries Digital Collections
dc.relation.hasversion born digital
dc.rights All rights reserved by the author unless otherwise indicated.
dc.subject.other Economics
dc.title Empirical essays on uncertainty and economic behavior
dc.type thesis
dc.type text
etdms.degree.department University of Alabama. Dept. of Economics, Finance, and Legal Studies
etdms.degree.discipline Economics (Business)
etdms.degree.grantor The University of Alabama
etdms.degree.level doctoral
etdms.degree.name Ph.D.

Files in this item

This item appears in the following Collection(s)

Show simple item record

Search DSpace


My Account