Essays in international finance and open economy macroeconomics.
Item
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Title
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Essays in international finance and open economy macroeconomics.
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Identifier
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AAI9405544
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identifier
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9405544
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Creator
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Kontogiannis, Dimitris.
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Contributor
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Salih Nefchi
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Date
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1993
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, General | Economics, Finance
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Abstract
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This dissertation is made up of four essays. The first essay tests the first-order condition of consumption derived from a two-sector stochastic model with variable interest rate for Greece, Ireland and Portugal using annual data from 1948-1992. Although the over-identifying restrictions cannot be rejected for all three countries, the GMM estimates of the relative deep, structural parameters are economically meaningful only for Ireland.;The second essay performs a test on the feasibility of public financial policy for the same three European nations used in the first essay. The empirical results indicate that Portugal is satisfying the necessary condition for balancing its budget intertemporally but not the other two countries. Also, there is conflicting evidence as to whether there is a long-run relationship between the budgetary variables with some multivariate unit root tests favoring it while others rejecting it.;The third essay performs unit root tests, looks at the limit of the impulse-response functions and estimates the shape parameter of the generalized extreme-value distribution via ML for the DM exchange rates vis-a-vis the other European currencies having participated or participating in the ERM of the EMS. The data are daily London closing bid prices for the period August 20, 1992 to February 20, 1993. The results show that the distribution of the DM/pound is non-normal but there is inconclusive evidence as to the presence of unit roots in the log level representation of the exchange rate series. The well known stylized facts with regard to unit roots hold for the first differences of each series.;The last essay provides evidence that the changes in the log of the daily opening prices of twelve FINEX U.S. Dollar Index contracts exhibit long swings rather than a random walk according to the Wald test suggested by Engle and Hamilton (1990). The Markov switching model with Hamilton's EM algorithm is used for computational purposes.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
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Program
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Economics
