Three essays on macroeconomics
Date Issued
2009
Date
2009
Author(s)
Cheng, Han-Liang
Abstract
Abstractil Price and Monetary policy in the Business Cycle-A Welfare an Analysishis paper studies the utility-based welfare implications of monetary policy reacting to oil price shocks. We build a dynamic stochastic general equilibrium (DSGE) model with staggered price-setting and oil as an imported input in the production function. To precisely measure the level of welfare, we follow Schmitt-Grohe Uribe (2004) by evaluating the expected lifetime utility function of the households (condition welfare function) up to the second order approximation. We first show that welfare analysis based on inflation-output volatility stabilization and conditional welfare function may lead to drastically different policy implications from the welfare point view. We also find that welfare implications for the conditional welfare function are sensitive to specifications of model. Specifically, it is better of not to response to oil price shocks when the elasticity of substitution between consumption and real money balance is lower, the elasticity of substitution between oil and capital is larger, or the adjustment cost of capital relative to that of price is lower. orecasting the Booms and Busts of Housing Markethis paper studies the determination as well as predictability of house prices. We first construct a DSGE model and simulate the house price by different stochastic shocks. Monetary shock is able to capture the run up of housing returns in earlier 2000s. Next, we test the predictability of housing returns and the turning point of the housing market, using macro-variables from the equilibrium determination of house price implied by the model. Given US data 1970Q1-2008Q4, we find that the federal funds rate performs best for the out-of-sample forecasting on housing returns. Moreover, using Markov switching model, again the federal funds rate performs best for the out-of-sample prediction on the probability of the bust regime. Together with the simulate house price, our results support the view that monetary policy plays an important role in the boom-bust cycles of housing.n Estimation of the New Phillips Curve of Taiwan succession of opening reform policies and switching monetary policy in Taiwan after 1988 caused the whole of economic activity to experience a change. Therefore, we have attempted to discuss whether the New Keynesian Phillips curve of Taiwan has changed and what drives the business cycle in Taiwan. We built a dynamic stochastic general equilibrium (DSGE) model with staggered price setting and followed Ireland''s (2003) MLE method to estimate the structural parameters of model. The results indicate that, moderate monetary policy lowers trend inflation leading to more infrequent price resetting and hence flattening Phillips curve after 1988, but it is unclear whether globalization changes the New Phillips curve. We do three exercises to confirm the MLE results including the Kalman filter, AR model and GMM to construct the reduced form of the New Keynesian Phillips curve. All results obtained here confirm that stable monetary policy is more important leading to flattening Phillips curve than globalization.
Subjects
Oil Price
Welfare
Second Order
Sticky Price
House Price
Forecasting
Credit Constraint
New Phillips Curve
GMM
SDGs
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-98-D94323006-1.pdf
Size
23.53 KB
Format
Adobe PDF
Checksum
(MD5):4c73fbd495a32cf434a5b60be2e0e83d