Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.555880
Title: Macroeconomic volatility and growth
Author: Di, Jing
Awarding Body: University of Sheffield
Current Institution: University of Sheffield
Date of Award: 2011
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Abstract:
This PhD thesis mainly consists of 3 papers that generally focus on the link between macroeconomic volatilities and trade flows and growth, as well as behavior of prices. Chapter 1 gives the introduction. Chapter 2, the first paper, investigates the effect of real exchange rate volatility on sectoral trade flows between the United States and her top thirteen trading partners. :My investigation also considers those effects on trade flows that may arise through changes in income volatility, and the interaction between income and exchange rate volatilities. My results show that exchange rate uncertainty has little effect on sectoral trade flows, and income volatility has no significant effect on sectoral trade flows. The interaction term of exchange rate volatility with income volatility takes the opposite sign to that of exchange rate volatility, reversing the impact of exchange rate volatility on trade flows. Chapter 3 presents my second paper. This chapter investigates the effects of inflation uncertainty on the level of sectoral output growth rate and its cross-sectional dispersion by observing a panel of Japanese manufacturing sectors. Using an augmented profit model with a signal-extraction framework, I demonstrate that increasing inflation volatility will reduce the level of sectoral output growth rate, as well as narrowing its cross-sectional dispersion of output growth. Chapter 4 investigates the relationship between product specific inflation (PS-inflation) and relative price variability (RPV) in one of the top three ecoThis PhD thesis mainly consists of 3 papers that generally focus on the link between macroeconomic volatilities and trade flows and growth, as well as behavior of prices. Chapter 1 gives the introduction. Chapter 2, the first paper, investigates the effect of real exchange rate volatility on sectoral trade flows between the United States and her top thirteen trading partners. :My investigation also considers those effects on trade flows that may arise through changes in income volatility, and the interaction between income and exchange rate volatilities. My results show that exchange rate uncertainty has little effect on sectoral trade flows, and income volatility has no significant effect on sectoral trade flows. The interaction term of exchange rate volatility with income volatility takes the opposite sign to that of exchange rate volatility, reversing the impact of exchange rate volatility on trade flows. Chapter 3 presents my second paper. This chapter investigates the effects of inflation uncertainty on the level of sectoral output growth rate and its cross-sectional dispersion by observing a panel of Japanese manufacturing sectors. Using an augmented profit model with a signal-extraction framework, I demonstrate that increasing inflation volatility will reduce the level of sectoral output growth rate, as well as narrowing its cross-sectional dispersion of output growth. Chapter 4 investigates the relationship between product specific inflation (PS-inflation) and relative price variability (RPV) in one of the top three economic areas in China. My estimation model contains a broader framework, which combines both effects of expected and unexpected product specific inflation on RPV, and those effects on RPV across various inflation regimes. My empirical results suggest that the absolute value of expected PS-inflation negatively affects RPV, and this effect reverses to be positive under the region of negative inflation, which is consistent with "asymmetric price adjustment"· in literature. On the other hand, absolute value of unexpected PS-inflation positively affect RPV when inflation rate is negative. An economical recession has different impacts on the effect of PS-inflation on RPV across different inflation regimes. Also, Chinese New Year has shown to exaggerate the effect of either expected or unexpected PS-inflation on RPV.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.555880  DOI: Not available
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