Ebook Three Essays In Macroeconomics and Monetary Economics Using Bayesian Multivariate Smooth Transition Approaches
The study of international business cycle linkages is of special importance to macroeconomic policy research. Numerous studies have sought to identify a common business cycle across countries [see for instance, Artis and Zhang (1997), Wynne and Koo (2000), Inklaar and Haan (2001)]. In recent years, nonlinear multivariate models have become more popular among researchers for such models can effectively capture the cross-country asymmetric inter dependencies [Smith and Summers (2005), Artis, Galvâo and Marcellino (2007), Chen and Shen (2007), to mention a few].
The present chapter examines the impacts of international business cycles on the UK economy within the framework of a logistic smooth transition vector autoregression (LSTVAR) model. In particular, we attempt to characterize the behaviour of the UK output growth under the influence of the booms and busts in the US, France, and Germany, respectively.
Business cycle linkages between the UK and the three afore mentioned countries have been examined previously by, for example, Artis and Zhang (1997), Inklaar and Haan (2001), and Perez, Osborn and Artis (2006). However, most of the literature focuses on exploring the business cycles synchronization rather than investigating the propagation of different types of shocks (such as positive and negative or large and small shock) across countries. Although the US’ effects on the UK economy are investigated in several studies [for example, Artis, Krolzig and Toro (2004), Osborn, Perez and Sen-sier (2005), Artis, Galvâo and Marcellino (2007)], to our best knowledge, no evidence on how France and Germany, the two largest continental European economies, influence the UK business cycles has been documented, except for Artis, Galvâo and Marcellino (2007), which look into Germany’s impact on the UK business cycles at one point.
Contents
Summary of Thesis
1 Impacts of International Business Cycles on the UK a Bayesian Smooth Transition VAR Approach
- 1.1 Introduction
1.2 Logistic Smooth Transition VAR Model
- 1.2.1 Likelihood Function
1.2.2 Priors
1.2.3 Posteriors Computations
1.2.4 Posterior Model Probabilities
1.3 Empirical Application
- 1.3.1 Posterior Evidence on Alternative Models
1.3.2 Impulse Response Analysis
1.4 Conclusions
2 Investigating nonlinear purchasing power parity during the post-Bretton Woods era a Bayesian exponential smooth transition VECM approach
- 2.1 Introduction
2.2 Exponential Smooth Transition VECM
- 2.2.1 The Likelihood Function
2.2.2 Priors
2.2.3 Posterior Computation
2.3 Empirical Results
- 2.3.1 Model Comparison Results
2.3.2 Impulse Response Analysis
2.4 Conclusion
3 Money-output causality revisited A Bayesian logistic smooth transition VECM perspective
- 3.1 Introduction
3.2 LSTVECM Model and Bayesian Inference
- 3.2.1 Likelihood Function
3.2.2 Priors
3.2.3 Posterior Computation
3.3 Empirical Results
- 3.3.1 Model Comparison Results
3.3.2 Impulse Response Analysis
3.4 Conclusion
List of References
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