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Title: Essays in macroeconomics
Author: Orazgani, Ali
ISNI:       0000 0004 8500 1992
Awarding Body: Royal Holloway, University of London
Current Institution: Royal Holloway, University of London
Date of Award: 2018
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This thesis consists of three chapters. Chapter 1 investigates the impact of quantitative easing (QE) on the UK housing market and macroeconomic variables employing FAVAR, using monthly data from 2009M03 to 2016M12. The policy instrument in this study is the size of government assets purchased relative to 2009Q1 GDP. The results suggest that QE supports economic recovery, contributes to GDP increase, and reduces unemployment, but significantly impacts house prices in the UK, particularly in England, and increases the house price to income ratio. Chapter 2 investigates whether a 'feedback effect' exists in UK bond and equity markets whereby increasing investment flows leads to an increase in price, leading to further increases in investment. We found no evidence of this in the UK bond market. However, when including monetary policy shock, we find some evidence of a reinforcing price-flow dynamic in the bond market. We extend the analysis to include the open economy and look at the impact of monetary policy shock. We find in particular that tightening monetary policy causes outflow from domestic bonds(corporate) while the impact on foreign bond flowsis uncertain. Furthermore, we examine whether investors choose bonds or equity due to monetary policy tightening. The result suggests a switch from equity to bonds. Chapter 3 analyses the impact of external demand, supply and oil price shocks on the UK economy using a rich dataset employing factor-augmented vector auto regression (FAVAR). Unlike previous studies, we distinguish shocks originating from emerging markets and advanced economies. The identification that has been used is based on sign restriction. The main result suggests that a positive demand shock in advanced economies increases inflation, GDP deflator and wages. The profile for emerging markets is the same, but with lower magnitude. A positive supply shock to both regions reduces the prices in the UK. Finally, the oil price shock pushes up inflation both in the UK and internationally. The result from this FAVAR is comparable to multi country large scale models such as NiGEM.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Quantitate easing ; Housing market ; House price ; Assets purchases ; Assets management ; Herding ; Emerging market ; monetary policy ; Macroeconomics