Abstract
This thesis consists of three independent chapters on the macroeconomic effects of structural shocks. Chapter 1 studies the effects of US technology shock identified by the instrumental variables (IVs) on the US labour market variables. Our structural VAR (vector autoregressive) models and LP (local projections) confirm the contractionary effects of a positive technology shock on the labour market variable when we identify the shocks by
using the external instrumental variables.
Chapter 2 investigates the international spillover effects of two types US fiscal policy shocks — spending or tax — identified by various IVs. We find that both shocks are contractionary in general, leading to a mild decline in GDP for the three recipient countries; the UK, Canada, and Japan. We also find that financial channels play a significant role in the transmission mechanism. The main findings are broadly consistent across structural VARs and LPs, both using IVs.
Chapter 3 examines the sign-dependent effects of uncertainty shocks on the unemployment rate in the US. This chapter uses a FAIR (functional approximation of impulse responses) model to estimate the sign-dependent impulse responses. Our FAIR results suggest asymmetric effects of uncertainty shocks. In particular, the unemployment rate responds more sharply to an increase in uncertainty, and the contractionary effects of the
shock are more persistent, compared to its impulse responses to a decrease in uncertainty.