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Open economics: Inflation, exchange rate contagion and economic growth.

机译：开放经济学：通货膨胀，汇率传染和经济增长。

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摘要

Romer (1993) shows that openness and inflation are negatively related. In his empirical findings, the relationship is stronger for subsamples of countries with higher levels of inflation. In Chapter 1, we extend the literature by introducing a theoretical model justifying such differences across levels of inflation (and money growth rates). Exchange rate ‘pass-through’ plays a key role in the model by allowing for different exchange rate adjusted inflation rates. Furthermore, exchange rate ‘pass-through’ has been documented extensively as an empirically significant phenomenon. Our empirical findings lend partial support to our theoretical results—money growth and inflation are affected differently at high and low quantiles by openness and exchange rate ‘pass-through.’; Empirical work on economic growth typically uses mean regression estimation on an equation that relates average growth rate and initial income for a cross-section of countries. Although, this methodology is popular, it has been criticized. Friedman (1992) and Quah (1993) analyze the ‘regression fallacy’ first discussed by Hotelling (1933). Koenker and Machado (1999) point out that the model underlying mean regression is too restrictive in terms of distributional assumptions (pure location shift). In Chapter 2, we propose to estimate the growth equations using quantile regression. Empirically, we find evidence of unconditional convergence for the top 35% fastest growing countries. Our estimates also suggest that there is ample evidence of conditional convergence. Tests of the location-scale shift hypothesis indicate that the initial income per capita may affect the location and the scale of the distribution of the GDP growth rates.; Estimation of spatial limited dependent models in Chapter 3 allows us to overcome several of the shortcomings inherent, in particular, to the approach of Glick and Rose (1998) and, in general, to the contagious currency crises literature. Our results confirm previous findings: (i) we do support the idea of contagious currency crises through trade channels, even when other channels, e.g. political, are present; (ii) we find some evidence of political membership contagion, although the evidence is dependent upon the definition of political interactions. Monte Carlo experiments are conducted on test statistics and estimation procedures specific to spatial probit models. Since these have only recently been purposed, small sample properties were not yet well studied and understood.
机译：Romer（1993）表明，开放性和通货膨胀是负相关的。在他的经验发现中，通货膨胀水平较高的国家的子样本之间的关系更强。在第一章中，我们通过引入一种理论模型来扩展文献，该模型证明了通货膨胀水平（和货币增长率）之间的这种差异是合理的。汇率“传递”在模型中起着关键作用，它允许采用不同的汇率调整后的通货膨胀率。此外，汇率“通过”已被广泛记录为经验上重要的现象。我们的经验发现为我们的理论结果提供了部分支持-开放度和汇率“传递”对高和低分位数的货币增长和通货膨胀产生不同的影响。有关经济增长的实证研究通常使用均值回归估计来计算方程式，该方程式将各个国家的平均增长率和初始收入联系起来。尽管这种方法很流行，但已受到批评。 Friedman（1992）和Quah（1993）分析了Hotelling（1933）首次讨论的“回归谬误”。 Koenker和Machado（1999）指出，均值回归基础的模型在分布假设（纯位置偏移）方面过于严格。在第二章中，我们建议使用分位数回归来估计增长方程。根据经验，我们发现增长最快的35％的国家无条件趋同的证据。我们的估计还表明，有足够的证据表明条件收敛。地点规模转移假说的检验表明，人均初始收入可能会影响GDP增长率的地点和规模。第3章中对空间有限依赖模型的估计使我们能够克服一些固有的缺点，特别是Glick和Rose（1998）的方法，以及总体上具有传染性的货币危机文献。我们的结果证实了先前的发现：（i）我们确实支持通过贸易渠道传播传染性货币危机的想法，即使在其他渠道（例如政治的，存在的； （ii）我们找到了一些政治上蔓延的证据，尽管这些证据取决于政治互动的定义。蒙特卡洛（Monte Carlo）实验针对特定于空间概率模型的测试统计信息和估计程序进行。由于这些只是最近才有针对性，因此尚未很好地研究和理解小样品的性能。

著录项

  • 作者

    Novo, Alvaro Antonio da Costa.;

  • 作者单位

    University of Illinois at Urbana-Champaign.;

  • 授予单位 University of Illinois at Urbana-Champaign.;
  • 学科 Economics General.; Economics Finance.
  • 学位 Ph.D.
  • 年度 2001
  • 页码 76 p.
  • 总页数 76
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 经济学;财政、金融;
  • 关键词

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