Three essays in applied macroeconomics and time series analysis

Alaa Abi Morshed

Research output: ThesisDoctoral ThesisScientific

326 Downloads (Pure)

Abstract

This dissertation revolves around topics in Applied Macroeconomics and Time series analysis. Generally speaking, we explore different forms of instability ranging from discrete sudden breaks to time varying parameter (TVP) models. In the second chapter, we study the time-varying impact of disagreement and forecast uncertainty about economic fundamentals on nominal yields, treasury-inflation protected securities and market-based inflation expectations. In the third chapter, we employ TVP news regressions to answer a relevant and pressing policy question: whether US long-run inflation expectations have become more firmly anchored in the aftermath of the crisis. In the fourth chapter, we enrich the toolkit of econometricians with structural break tests that are robust to regression misspecification.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Werker, Bas, Promotor
  • Boldea, Otilia, Co-promotor
Award date30 May 2017
Place of PublicationTilburg
Publisher
Print ISBNs9789056685140
Publication statusPublished - 2017

Fingerprint

Macroeconomics
Inflation expectations
Time series analysis
Economic fundamentals
Misspecification
Structural break tests
Toolkit
Uncertainty
Time-varying
Time-varying parameter model
News
Inflation
Time-varying parameters
Pressing

Cite this

Abi Morshed, A. (2017). Three essays in applied macroeconomics and time series analysis. Tilburg: CentER, Center for Economic Research.
Abi Morshed, Alaa. / Three essays in applied macroeconomics and time series analysis. Tilburg : CentER, Center for Economic Research, 2017. 130 p.
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Abi Morshed, A 2017, 'Three essays in applied macroeconomics and time series analysis', Doctor of Philosophy, Tilburg University, Tilburg.

Three essays in applied macroeconomics and time series analysis. / Abi Morshed, Alaa.

Tilburg : CentER, Center for Economic Research, 2017. 130 p.

Research output: ThesisDoctoral ThesisScientific

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AB - This dissertation revolves around topics in Applied Macroeconomics and Time series analysis. Generally speaking, we explore different forms of instability ranging from discrete sudden breaks to time varying parameter (TVP) models. In the second chapter, we study the time-varying impact of disagreement and forecast uncertainty about economic fundamentals on nominal yields, treasury-inflation protected securities and market-based inflation expectations. In the third chapter, we employ TVP news regressions to answer a relevant and pressing policy question: whether US long-run inflation expectations have become more firmly anchored in the aftermath of the crisis. In the fourth chapter, we enrich the toolkit of econometricians with structural break tests that are robust to regression misspecification.

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Abi Morshed A. Three essays in applied macroeconomics and time series analysis. Tilburg: CentER, Center for Economic Research, 2017. 130 p. (CentER Dissertation Series).