Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.564200
Title: An empirical investigation of the U.S. GDP growth : a Markov switching approach
Author: Kandemir Kocaaslan, Ozge
Awarding Body: University of Sheffield
Current Institution: University of Sheffield
Date of Award: 2013
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Abstract:
This thesis is composed of three separate yet related empirical studies. In Chapter 2, we empirically investigate the effects of inflation uncertainty on output growth for the U.S. economy using both monthly and quarterly data over 1960-2009. Employing a Markov regime switching approach, we show that inflation uncertainty obtained from a Markov regime switching GARCH model exerts a negative and regime dependent impact on growth. We show that the negative impact of inflation uncertainty on growth is almost 2 times higher during the low growth regime than that during the high growth regime. We verify the robustness of our findings using quarterly data. In Chapter 3, we empirically examine whether there are asymmetries in the real effects of monetary policy shocks across business cycle and whether financial depth plays an important role in dampening the effects of monetary policy shocks on output growth using quarterly U.S. data over the period 1981:QI--2009:QII. Applying an instrumental variables estimation in Markov regime switching methodology, we document that the impact of monetary policy changes on growth is stronger during recessions. We also find that financial development is very prominent in dampening the real effects of monetary policy shocks especially during the periods of recession. In Chapter 4, we empirically search for the causal link between energy consumption and economic growth employing a Markov switching Granger causality analysis. We carry out our investigation using quarterly U.S. real GDP and total energy consumption data over the period 1975:QI--2009:QIV. We find that there are changes in the causal relation between energy consumption and economic growth. Our results show that energy consumption has predictive content for real economic activity. The causality running from energy consumption to output growth seems to be strongly apparent only during the periods of recession and energy crisis. We also reveal that output growth has predictive power for energy consumption and this power evidently arises during the periods of expansion.
Supervisor: Mustafa, Caglayan Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.564200  DOI: Not available
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