经济信息和货币政策对商业周期的影响及其传染分析
发布时间：2022-12-17 10:47
本文的研究目的有以下几个方面:首先使用1960:Q1-2007:Q3和1960:Q1-2015:Q4两段美国全要素生产率的样本数据,研究经济信息对商业周期波动的影响（冲击）;其次研究货币政策在商业周期不同阶段对主要经济和金融变量的影响（冲击）;第三,利用各种计量经济模型,包括最新的时间序列宏观经济分析方法识别发达国家（美国）在最近的经济危机中对新兴的亚洲国家的金融相互依赖和危机传染效应。类似于75年前大萧条,当前的经济波动及其传导引发的金融动荡也激起了激烈的辩论。在现代商业周期模型中,商业周期波动是由基本面变化产生的,比如货币政策、技术、偏好和政府政策的变化。经济信息和货币政策信息可能是经济波动的根源的假设在过去得到了很好的认可。总的来说,在经济信息方面,大量的文献已经将经济信息视为商业周期波动的主要来源。然而,关于能够识别数据修正作用及其对商业周期波动的影响的经济信息研究方面的文献还比较缺乏,事实上,由于经济信息的存在,消费者信心、股票价格数据或期限结构数据已经成为预测全要素生产率和经济产出误差方差的重要方面。关于货币政策对经济周期和资本市场的影响方面。有许多有待解决问题,例如,货币...
【文章页数】：165 页
【学位级别】：博士
【文章目录】：
ACKNOWLEDGEMENT ABSTRACT 摘要 Chapter 1: Introduction
1.1 General introduction
1.2 Basic theories of news shocks and business cycle
1.2.1 Theories analyze news shocks and business cycle
1.2.2 Role of news shocks in business cycle
1.2.3 Approaches used to measure news shocks in the literature
1.3 Basic theories of monetary policy and business cycle
1.3.1 Theories analyze monetary policy and business cycle
1.3.2 Role of monetary policy in business cycle and global imbalances
1.3.3 Approaches used to measure monetary policy transmission mechanisms in theliterature
1.4 Basic theories of contagion
1.4.1 Theories analyze contagion
1.4.2 Approaches used to test contagion in the literature
1.5 Objectives and plan of this dissertation
1.6 Innovation of this dissertation
1.7 Flowchart of this dissertation Chapter 2: New Evidence on the Identification of News Shocks on Business Cycle
2.1 Description of problems
2.2 Empirical model
2.3 Data
2.4 Results and discussion
2.4.1 How might our conclusion regarding the impact of news shock on businesscycle fluctuations change by using different vintages of TFP series?
2.4.2 Which forward-looking variables account for major share of forecast errorvariance of TFP and output due to news shock?
2.5 Robustness
2.6 Conclusion Chapter 3: Assessing the Effect of Monetary Policy on Business Cycle
3.1 Description of problems
3.2 Empirical model
3.3 Data and description
3.4 Results and discussion
3.5 Conclusion Chapter 4: Monetary Policy and Contagion of the Business Cycle
4.1 Description of problems
4.2 Empirical model
4.3 Data and descriptive statistics
4.3.1 Data
4.3.2 Descriptive statistics
4.4 Results and discussion
4.4.1 Emerging money market
4.4.2 Stock market
4.4.3 Emerging sovereign bond market
4.4.4 Implications
4.5 Conclusion
4.6 Annexure Chapter 5: Conclusion and Recommendations
5.1 Conclusion
5.2 Policy implications and recommendations
5.3 Future research possibilities References Glossary List of Publications Work in Progress
本文编号：3719792
【文章页数】：165 页
【学位级别】：博士
【文章目录】：
ACKNOWLEDGEMENT ABSTRACT 摘要 Chapter 1: Introduction
1.1 General introduction
1.2 Basic theories of news shocks and business cycle
1.2.1 Theories analyze news shocks and business cycle
1.2.2 Role of news shocks in business cycle
1.2.3 Approaches used to measure news shocks in the literature
1.3 Basic theories of monetary policy and business cycle
1.3.1 Theories analyze monetary policy and business cycle
1.3.2 Role of monetary policy in business cycle and global imbalances
1.3.3 Approaches used to measure monetary policy transmission mechanisms in theliterature
1.4 Basic theories of contagion
1.4.1 Theories analyze contagion
1.4.2 Approaches used to test contagion in the literature
1.5 Objectives and plan of this dissertation
1.6 Innovation of this dissertation
1.7 Flowchart of this dissertation Chapter 2: New Evidence on the Identification of News Shocks on Business Cycle
2.1 Description of problems
2.2 Empirical model
2.3 Data
2.4 Results and discussion
2.4.1 How might our conclusion regarding the impact of news shock on businesscycle fluctuations change by using different vintages of TFP series?
2.4.2 Which forward-looking variables account for major share of forecast errorvariance of TFP and output due to news shock?
2.5 Robustness
2.6 Conclusion Chapter 3: Assessing the Effect of Monetary Policy on Business Cycle
3.1 Description of problems
3.2 Empirical model
3.3 Data and description
3.4 Results and discussion
3.5 Conclusion Chapter 4: Monetary Policy and Contagion of the Business Cycle
4.1 Description of problems
4.2 Empirical model
4.3 Data and descriptive statistics
4.3.1 Data
4.3.2 Descriptive statistics
4.4 Results and discussion
4.4.1 Emerging money market
4.4.2 Stock market
4.4.3 Emerging sovereign bond market
4.4.4 Implications
4.5 Conclusion
4.6 Annexure Chapter 5: Conclusion and Recommendations
5.1 Conclusion
5.2 Policy implications and recommendations
5.3 Future research possibilities References Glossary List of Publications Work in Progress
本文编号：3719792
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