Essays in macroeconomics and macroeconometrics

Defence date: 12 June 2018Prof. Fabio Canova, EUI, Supervisor ; Prof. Juan Dolado, EUI ; Prof. Hilde Christiane Bjørnland, BI Norwegian Business School ; Prof. Luca Gambetti, Collegio Carlo Alberto and Universitat Autònoma de BarcelonaThis thesis investigates topics in macroeconomics and macroeconometrics. Chapter 1, joint with Knut Are Aastveit and Francesco Furlanetto, uses a structural VAR model with time-varying parameters and stochastic volatility to investigatewhether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, the interest rate equation in the VAR is interpreted as an extended monetary policy rule responding to inflation, the output gap, house prices and stock prices. Some time variation is found in the coeffcients for house prices and stock prices but fairly stable coefficients over time for inflation and the output gap. We find that the systematic component of monetary policy in the U.S. i) attached a positive weight to real house price growth but lowered it prior to the crisis and eventually raised it again and ii) only episodically took real stock price growth into account. Chapter 2, joint with Nicolás Castro Cienfuegos, constructs a New Keynesian model with production linkages to study how monopolistic competition, sticky prices and production networks influence aggregate productivity, measured as the Solow residual. We show that, in the presence of production networks, measured TFP is a function not only of pure technology shocks, but also of sectoral markups and of the production network itself. In this case, monetary shocks and cost-push shocks can have a negative short-run impact on TFP through their effect on individual markups, which is stronger the greater the price stickiness. Chapter 3 studies how large and small oil price shocks affect investments in the U.S., an oil producing country. I estimate a Bayesian Markov-switching VAR and compute regime dependent impulse responses. Small surprise increases in the oil price make investment decline while large oil price shocks have an ambiguous effect on total investment because non-oil investment falls while oil investment increases. A 25% oil price increase generates a 3% increase in aggregate investment and a 0.4% increase in GDP. A Markov-switching DSGE model is built to explain the empirical evidence I discover. If the ability to cover oil firms’ fixed costs depends on the size of the oil price shock, the model reproduces well the impulse responses present in the data. I show that agents’ expectations about switching oil price shock regime are crucial to deliver the outcome.--1. Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis --2. A New Keynesian Perspective on Total Factor Productivity via Production Networks --3. The EFFect of Oil Price Shocks on U.S. Investment: Size MattersChapter 1, jointly co-authored with Knut Are Aastveit and Francesco Furlanetto, draws upon two working papers Norges Bank 2017/01 and Banco de Espana 2017/171

Business Cycle Accounting: what have we learned so far?

What drives recessions and expansions? Since it was introduced in 2007, there have been hundreds of business cycle accounting (BCA) exercises, a procedure aimed at identifying classes of models that hold quantitative promise to explain a certain period of economic fluctuations. First, we exemplify the procedure by studying the U.S. recessions in 1973 and 1990 using and reflect upon the critiques BCA has been subject to. Second, we look into the many equivalence theorems that the literature has produced and that allow BCA practitioners to identify the theories that are quantitatively relevant for the economic period under study. Third, we describe the methodological extensions that have been brought forth since BCA’s original inception. We end by providing some broad conclusions regarding the relative contribution of each wedge: GDP and aggregate investment are usually driven by an efficiency wedge, hours of work are closely related to the labor wedge and, in an open economy, the investment wedge helps to explain country risk spreads on international bonds. Larger changes in interest rates and currency crises are usually associated with the investment and/or the labor wedge. Finally, we contribute with a graphical user interface that allows practitioners to perform business cycle accounting exercises with minimal effort

Business Cycle Accounting: what have we learned so far?

What drives recessions and expansions? Since it was introduced in 2007, there have been hundreds of business cycle accounting (BCA) exercises, a procedure aimed at identifying classes of models that hold quantitative promise to explain a certain period of economic fluctuations. First, we exemplify the procedure by studying the U.S. recessions in 1973 and 1990 using and reflect upon the critiques BCA has been subject to. Second, we look into the many equivalence theorems that the literature has produced and that allow BCA practitioners to identify the theories that are quantitatively relevant for the economic period under study. Third, we describe the methodological extensions that have been brought forth since BCA’s original inception. We end by providing some broad conclusions regarding the relative contribution of each wedge: GDP and aggregate investment are usually driven by an efficiency wedge, hours of work are closely related to the labor wedge and, in an open economy, the investment wedge helps to explain country risk spreads on international bonds. Larger changes in interest rates and currency crises are usually associated with the investment and/or the labor wedge. Finally, we contribute with a graphical user interface that allows practitioners to perform business cycle accounting exercises with minimal effort

Has the Fed responded to house and stock prices? : a time-varying analysis

En este trabajo utilizamos un modelo VAR estructural con parámetros variables en el tiempo y volatilidad estocástica para investigar si la Reserva Federal ha respondido sistemáticamente a los precios de los activos y si esta respuesta ha cambiado con el tiempo. Para recuperar el componente sistemático de la política monetaria, interpretamos la ecuación de la tasa de interés en el VAR como una regla extendida de política monetaria que responde a la inflación, el output gap, los precios de la vivienda y los precios de las acciones. Detectamos variación temporal en los coeficientes de precios de la vivienda y precios de las acciones, mientras que los coeficientes de la inflación y el output gap son bastante estables en el tiempo. Nuestros resultados indican que el componente sistemático de la política monetaria en Estados Unidos i) tuvo un peso positivo sobre el crecimiento real de los precios de la vivienda, que disminuyó antes de la crisis y eventualmente volvió a aumentar, y ii) solo tuvo en cuenta el crecimiento real de los precios de las acciones en momentos concretos del tiempoIn this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to infl ation, the output gap, house prices and stock prices. We find some time variation in the coefficients for house prices and stock prices but fairly stable coefficients over time for inflation and the output gap. Our results indicate that the systematic component of monetary policy in the US, i) attached a positive weight to real house price growth but lowered it prior to the crisis and eventually raised it again, and ii) only episodically took real stock price growth into accoun

Myeloperoxidase: A New Biomarker of Inflammation in Ischemic Heart Disease and Acute Coronary Syndromes

Myeloperoxidase (MPO) is an enzyme stored in azurophilic granules of polymorphonuclear neutrophils and macrophages and released into extracellular fluid in the setting of inflammatory process. The observation that myeloperoxidase is involved in oxidative stress and inflammation has been a leading factor to study myeloperoxidase as a possible marker of plaque instability and a useful clinical tool in the evaluation of patients with coronary heart disease. The purpose of this review is to provide an overview of the pathophysiological, analytical, and clinical characteristics of MPO and to summarize the state of art about the possible clinical use of MPO as a marker for diagnosis and risk stratification of patients with acute coronary syndrome (ACS)

On Identification Issues in Business Cycle Accounting Models

Since its introduction by Chari et al. (2018), Business Cycle Accounting (BCA) exercises have become widespread. Much attention has been devoted to the results of such exercises and to methodological departures from the baseline methodology. Little attention has been paid to identification issues within these classes of models, despite the methodology typically involving estimating relatively large scale dynamic stochastic general equilibrium models. In this paper we investigate whether such issues are of concern in the original methodology and in an extension proposed by Sustek (2011) called Monetary BCA. We resort to two types of identification tests in population. One concerns strict identification as theorized by Komuner and Ng (2011), while the other deals both with strict and weak identification as in Iskrev (2015). As to the former, when restricting the estimation to the parameters governing the latent variable's laws of motion, we find that both in the BCA and MBCA framework, all parameters fulfill the requirements for strict identification. If instead we estimate all structural parameters of the model jointly, both frameworks show strict identification failures in several parameters. These results hold for both tests. We show that restricting estimation of some deep parameters can obviate such failures. When we explore weak identification issues, we find that they affect both models. They arise from the fact that many of the estimated parameters do not have a distinct effect on the likelihood. Most importantly, we explore the extent to which these weak identification problems affect the main economic takeaways and find that the identification deficiencies are not relevant for the standard BCA model. Finally, we compute some statistics of interest to practitioners of the BCA methodology

Has the fed responded to house and stock prices? : a time-varying analysis

Published: 8 March 2017In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to inflation, the output gap, house prices and stock prices. We find some time variation in the coefficients for house prices and stock prices but fairly stable coefficients over time for inflation and the output gap. Our results indicate that the systematic component of monetary policy in the US i) attached a positive weight to real house price growth but lowered it prior to the crisis and eventually raised it again and ii) only episodically took real stock price growth into account

Morphological and Immunohistochemical Examination of Lymphoproliferative Lesions Caused by Marek's Disease Virus in Breeder Chickens

Simple Summary The poultry industry is the most intensive and fastest growing among all livestock production systems, and, in the last decades, it has expanded exponentially due to an increasing demand for meat and eggs. Marek’s disease is a highly contagious and rapidly progressive lymphoproliferative disease. It is one of the most dangerous diseases of those affecting the sector because it causes important economic losses. Although widely controlled by vaccination programs, sometimes chickens are not totally protected, and the presence of virulent field strains can allow outbreaks. This case describes the occurrence of Marek’s disease observed in a breeder chicken flock that reported an increase in mortality rate (+0.4–0.6%) after the 32nd week. Histological analysis has highlighted severe lesions on visceral organs of chickens caused by Marek’s disease, especially in the intestinal tract of a hen that had a tumor mass in the distal part of the cloaca. Immunohistochemical staining confirmed the disease-associated tumor. The aim of this study was to underline the importance of vaccine administration related to the maintenance of proper biosecurity practice, especially in the first week of the raising cycle. In addition, monitoring for disease even after vaccination is crucial to minimize economic loss. Abstract Marek’s disease is widely controlled by vaccination programs; however, chickens are not totally protected, especially immediately after the vaccination when a strong challenge could interfere with the effectiveness of vaccination in the absence of proper biosecurity practice. This case report describes the occurrence of Marek’s disease (MD) observed in a breeder chicken flock reared southeast of Sicily. MD outbreak occurred from 32 to 47 weeks with an increase in weekly mortality rate (+0.4–0.6%). Overall, mortality rate related to Marek’s disease was about 6% at the end of the cycle. Carcasses of chickens found during the occurrence of disease underwent necropsy, and tissues were collected to confirm the infection. Gizzard, cecal tonsil, intestine, spleen and tumor mass were collected and analyzed from a carcass of one hen, 32 weeks old and apparently asymptomatic. Multiplex real-time PCR performed on spleen tissues detected the presence of MD virus pathogenic strain. Macroscopic and microscopic evaluation of the rest of the samples confirmed the neoplastic disease. Moreover, the immunophenotype of the tumor cells was identified as CD3 positive by immunohistochemical (IHC) staining. The vaccinated flock had become rapidly infected with the MD virus, which proves that the challenge of the MD virus was too strong in the rearing house at the beginning of the cycle, causing the outbreak

Relationship of Serum Fetuin-A Levels with Coronary Atherosclerotic Burden and NAFLD in Patients Undergoing Elective Coronary Angiography

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Effect of Pegbovigrastim on Hematological Profile of Simmental Dairy Cows during the Transition Period

Pegbovigrastim is a long-acting analog of recombinant bovine granulocyte colony-stimulating factor, that promotes and increases the count and functionality of polymorphonuclear cells in dairy cows. The present study aimed to explore, for the first time in Simmental cows, the clinical and hematological effect of pegbovigrastim during the transition period (TP). Cows were randomly assigned into two groups: treated group (PEG; n = 16) received pegbovigrastim at approximately 7 days before expected parturition and within 6 h after calving, and control group (CTR; n = 16) received saline solution. Blood samples were obtained at −7, 0, 1, 3, 7, 14, 21, and 30 days relative to calving. PEG group showed white blood cells (WBC) count consistently higher compared with CTR group (p < 0.001) until to 3 weeks after calving. Neutrophils remained higher in PEG group (p < 0.001) up to three weeks after calving, compared with CTR group, with slight increment of band cells. Moreover, PEG group displayed a lower index of myeloperoxidase at 1, 3, and 7 days after calving (p < 0.01) compared with CTR. Basophils and lymphocytes showed a similar trend to those observed for neutrophils at 1 day after calving in PEG group. Finally, monocytes remained markedly elevated until 3 days after calving in PEG compared to CTR group (p < 0.001), whereas in PEG group, eosinophils population showed lower percentage values at 1 and 3 days after calving but higher values at 30 days compared with CTR group. PEG group was characterized by lower red blood cells (RBCs) count compared with CTR group (p < 0.05) and higher % of red cell volume distribution width (RDW) from week 2 and mean corpuscular volume (MCV) at 30 days after calving. In addition, the mean platelet volume (MPV) was significantly higher in PEG group at calving, 1, 3, and 7 days after calving compared with CTR group (p < 0.05). For the first time, we described the effect of pegbovigrastim in a breed not specialized exclusively in milk production as Holstein, but with dual purpose (meat and milk), evaluating the complete hematological profile in cows during the transition period. These results provide evidence on the proliferative effect of pegbovigrastim on WBC in Simmental breed highlighting its possible side effect on RBCs