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Essays on International Macroeconomi...

Park, Byung Goog.

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Essays on International Macroeconomics and Empirical Macroeconomics.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on International Macroeconomics and Empirical Macroeconomics./
Author:	Park, Byung Goog.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2024,
Description:	182 p.
Notes:	Source: Dissertations Abstracts International, Volume: 85-11, Section: A.
Contained By:	Dissertations Abstracts International85-11A.
Subject:	Asian history. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31244330
ISBN:	9798382731933

Essays on International Macroeconomics and Empirical Macroeconomics.
Park, Byung Goog.

Essays on International Macroeconomics and Empirical Macroeconomics. - Ann Arbor : ProQuest Dissertations & Theses, 2024 - 182 p.

Source: Dissertations Abstracts International, Volume: 85-11, Section: A.

Thesis (Ph.D.)--Indiana University, 2024.

The first chapter explores the distributional impacts of the U.S. monetary policy shock on households in emerging economies, with a particular focus on the South Korea economy. By analyzing microdata from household surveys in South Korea, I find distinct consumption patterns across different income groups. My empirical analysis, employing Bayesian SVAR models, shows that the U.S. monetary policy shock has distributional effects across income groups, with lower-income groups facing higher inflation and more significant declines in consumption and income growth. Further exploration through a quantitative model highlights the critical roles of consumption basket heterogeneity and the effect of the domestic currency depreciation in the distributional spillovers of the U.S. monetary policy shock.The second chapter investigates the Fed information shock as a critical channel for the international spillover effects of U.S. monetary policy. Utilizing a country-specific Bayesian VAR model inspired by Jarocinski and Karadi (2020), this study demonstrates that a positive Fed information shock significantly affects Asian economies, leading to increased capital inflows, currency appreciation, and a rise in stock prices across most countries. Additionally, I construct a two-country New Keynesian model to quantitatively assess the spillover effects of the Fed information shock. The findings underscore the contrasting impacts between the pure US monetary policy shock and the Fed information shock on the emerging economy.In the third chapter, we present a method for extracting natural rates from long historical time series of macroeconomic variables. Our approach involves building a prior for a time-varying parameter VAR model with stochastic volatility, which leverages prior information on natural rates. Our method explicitly accommodates measurement errors and outliers, making it suitable for analyzing historical data and studying the COVID-19 pandemic, as well as the substantial increase in inflation that followed.

ISBN: 9798382731933Subjects--Topical Terms:

1099323
Asian history.
Subjects--Index Terms:

U.S. monetary policy

Essays on International Macroeconomics and Empirical Macroeconomics.
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300 $a 182 p.
500 $a Source: Dissertations Abstracts International, Volume: 85-11, Section: A.
500 $a Advisor: Matthes, Christian.
502 $a Thesis (Ph.D.)--Indiana University, 2024.
520 $a The first chapter explores the distributional impacts of the U.S. monetary policy shock on households in emerging economies, with a particular focus on the South Korea economy. By analyzing microdata from household surveys in South Korea, I find distinct consumption patterns across different income groups. My empirical analysis, employing Bayesian SVAR models, shows that the U.S. monetary policy shock has distributional effects across income groups, with lower-income groups facing higher inflation and more significant declines in consumption and income growth. Further exploration through a quantitative model highlights the critical roles of consumption basket heterogeneity and the effect of the domestic currency depreciation in the distributional spillovers of the U.S. monetary policy shock.The second chapter investigates the Fed information shock as a critical channel for the international spillover effects of U.S. monetary policy. Utilizing a country-specific Bayesian VAR model inspired by Jarocinski and Karadi (2020), this study demonstrates that a positive Fed information shock significantly affects Asian economies, leading to increased capital inflows, currency appreciation, and a rise in stock prices across most countries. Additionally, I construct a two-country New Keynesian model to quantitatively assess the spillover effects of the Fed information shock. The findings underscore the contrasting impacts between the pure US monetary policy shock and the Fed information shock on the emerging economy.In the third chapter, we present a method for extracting natural rates from long historical time series of macroeconomic variables. Our approach involves building a prior for a time-varying parameter VAR model with stochastic volatility, which leverages prior information on natural rates. Our method explicitly accommodates measurement errors and outliers, making it suitable for analyzing historical data and studying the COVID-19 pandemic, as well as the substantial increase in inflation that followed.
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650 4 $a American studies. $3 2122720
650 4 $a Finance. $3 542899
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653 $a South Korea economy
653 $a Fed information shock
653 $a Bayesian SVAR model
653 $a Stochastic volatility
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856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31244330