Show simple item record

dc.contributor.advisorJansen, Dennis W.en_US
dc.creatorChiang, Hui-Chuen_US
dc.date.accessioned2010-01-15T00:06:04Zen_US
dc.date.accessioned2010-01-16T00:50:53Z
dc.date.available2010-01-15T00:06:04Zen_US
dc.date.available2010-01-16T00:50:53Z
dc.date.created2008-05en_US
dc.date.issued2009-05-15en_US
dc.identifier.urihttp://hdl.handle.net/1969.1/ETD-TAMU-2697
dc.description.abstractThe dissertation consists of three essays. Chapter II examines the asymmetric effects of monetary policy on stock prices by using an unobserved components model with Markov-switching. My results show that monetary policy has negative effects on stock prices, which is consistent with the most recent literature. When the transitory component is in the low volatility state, a contractionary monetary policy significantly reduces stock prices. When the transitory component is in the high volatility state, the negative effect of monetary policy becomes larger, but the difference of the monetary policy effects between two states is not significant. Besides, a contractionary monetary policy will lower the probability of stock prices staying in the low volatility state. Monetary policy also reduces the total volatility of stock prices and the volatility of the transitory component of stock prices. Chapter III employs the smooth transition autoregressive (STAR) models to investigate the nonlinear effect of monetary policy on stock returns. The change in the Federal funds rate is used as an endogenous measure of monetary policy and the growth rate of industrial production is also considered in the model. My empirical results show that excess stock returns, the change in the Federal funds rate, and the growth rate of industrial production all can be expressed in the nonlinear STAR models. The estimated coefficients and the impulse response functions show that the effect of monetary policy on excess returns of stock prices is significantly negative and nonlinear. The change in the Federal funds rate has a larger negative effect on excess returns in the extreme low excess returns regime and the effect becomes smaller when the excess returns are greater than the threshold value. In chapter IV, I use a panel data approach to investigate the impact of exchange rate volatility on bilateral exports of the U.S. to the thirteen major trading partners. I further test the possibility of nonlinear effects of exchange rate volatility on exports by using threshold regression methods for non-dynamic panels with individual-specific fixed effects proposed by Hansen (1999). The results indicate that the effect of exchange rate volatility on bilateral exports is nonlinear. When the relative real GDP per capita of the exporting partner is lower than the threshold value, the response of bilateral U.S. exports to exchange rate volatility is positive. But, exchange rate volatility decreases bilateral exports of the U.S. to the exporting partners when their relative real GDP per capita surpass the threshold value.en_US
dc.format.mediumelectronicen_US
dc.format.mimetypeapplication/pdfen_US
dc.language.isoen_USen_US
dc.subjectmonetary policyen_US
dc.subjectstock marketen_US
dc.subjectexchange rate volatilityen_US
dc.subjectexportsen_US
dc.titleEssays on monetary policy and international tradeen_US
dc.typeBooken
dc.typeThesisen
thesis.degree.departmentEconomicsen_US
thesis.degree.disciplineEconomicsen_US
thesis.degree.grantorTexas A&M Universityen_US
thesis.degree.nameDoctor of Philosophyen_US
thesis.degree.levelDoctoralen_US
dc.contributor.committeeMemberBessler, Daviden_US
dc.contributor.committeeMemberGan, Lien_US
dc.contributor.committeeMemberHernandez-Verme, Paulaen_US
dc.type.genreElectronic Dissertationen_US
dc.type.materialtexten_US
dc.format.digitalOriginborn digitalen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record