Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/134425
Title: THREE ESSAYS ON INTERNATIONAL TRANSMISSION OF SHOCKS
Authors: SHEN YIFAN
Keywords: Trade-linked SVAR, Dynamic Factor Model, International Transmission Mechanism, World Business Cycle, Indirect Multiplier Effect, Oil Impact
Issue Date: 18-Aug-2016
Source: SHEN YIFAN (2016-08-18). THREE ESSAYS ON INTERNATIONAL TRANSMISSION OF SHOCKS. ScholarBank@NUS Repository.
Abstract: This thesis consists of three independent chapters: One on international finance and two on international economics. The first chapter investigates the international risk transmission mechanism between the U.S. and Asian major stock markets. In the second chapter, we utilize a trade-linked SVAR model with a realistic identification scheme to capture the transmission mechanism, covering 60 major economies and the rest of the world. We show that the SVAR structure provides a meaningful economic foundation to factor-model-based statistical analyses. Using a large-scale structural vector autoregression (SVAR) model that allows for an evolving parameter structure and that covers 60 oil importing and exporting economies, the third chapter disentangles the direct and indirect effects of oil price shocks on an economy.
URI: http://scholarbank.nus.edu.sg/handle/10635/134425
Appears in Collections:Ph.D Theses (Open)

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