KUKU

KU ScholarWorks

  • myKU
  • Email
  • Enroll & Pay
  • KU Directory
    • Login
    View Item 
    •   KU ScholarWorks
    • Dissertations and Theses
    • Dissertations
    • View Item
    •   KU ScholarWorks
    • Dissertations and Theses
    • Dissertations
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Essays in Open Macroeconomic Dynamics

    Thumbnail
    View/Open
    Hu_ku_0099D_15817_DATA_1.pdf (3.114Mb)
    Issue Date
    2018-05-31
    Author
    Hu, Jingxian
    Publisher
    University of Kansas
    Format
    148 pages
    Type
    Dissertation
    Degree Level
    Ph.D.
    Discipline
    Economics
    Rights
    Copyright held by the author.
    Metadata
    Show full item record
    Abstract
    Will capital controls enhance macro economy stability? How will the results be influenced by the exchange rate regime and monetary policy reaction? Are the consequences of policy decisions involving capital controls easily predictable, or more complicated than may have been anticipated? The first chapter of this dissertation will answer the above questions by investigating the macroeconomic dynamics of a small open economy. In recent years, these matters have become particularly important to emerging market economies, which have often adopted capital controls. We especially investigate two dynamical characteristics: indeterminacy and bifurcation. Four cases are explored, based on different exchange rate regimes and monetary policy rules. Compared with flexible exchange rates, the fixed exchange rate regime should be a more careful policy choice due to the economic complexities. Firstly, more factors need to be considered for economic stability, such as the stickiness of prices and the elasticity of substitution between labor and consumption. Secondly, fixed exchange rate regimes with capital controls produce larger posterior probability of the indeterminate region than a flexible exchange rate regime. Thirdly, we prove the existence of Hopf bifurcation under capital controls with fixed exchange rates and current-looking monetary policy. Numerically, more types of bifurcation are detected under this policy combination. With capital controls in place, we find that indeterminacy depends upon how the interest rate feedback to inflation and to output gap coordinate with each other in the Taylor rule. When forward-looking, both passive and positive monetary policy feedback can lead to indeterminacy. We provide monetary policy suggestions on achieving macroeconomic stability through financial regulation and references for countries facing different choices on exchange rate regimes. As a complement for the first chapter, the second chapter of this dissertation examines the dynamics of exchange rate as a diffusion process under flexible exchange rate regimes. When exchange rates are free floating, they are known as highly volatile, nonstationary. They are also hard to be explained and predicted by fundamentals, such as output, price level and monetary supply. This chapter uses both nonparametric method and parametric method (MLE) to estimate exchange rate as a diffusion process. In line with previous literature’s finding, the nonparametric drift estimators show some nonlinearity. The result of parametric estimation shows that Geometric Brownian Motion process could be a quite good capture of the exchange rate dynamics.
    URI
    http://hdl.handle.net/1808/27883
    Collections
    • Dissertations [4475]
    • Economics Dissertations and Theses [169]

    Items in KU ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.


    We want to hear from you! Please share your stories about how Open Access to this item benefits YOU.


    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

    Browse

    All of KU ScholarWorksCommunities & CollectionsThis Collection

    My Account

    LoginRegister

    Statistics

    View Usage Statistics

    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

    The University of Kansas
      Contact KU ScholarWorks
    Lawrence, KS | Maps
     
    • Academics
    • Admission
    • Alumni
    • Athletics
    • Campuses
    • Giving
    • Jobs

    The University of Kansas prohibits discrimination on the basis of race, color, ethnicity, religion, sex, national origin, age, ancestry, disability, status as a veteran, sexual orientation, marital status, parental status, gender identity, gender expression and genetic information in the University’s programs and activities. The following person has been designated to handle inquiries regarding the non-discrimination policies: Director of the Office of Institutional Opportunity and Access, IOA@ku.edu, 1246 W. Campus Road, Room 153A, Lawrence, KS, 66045, (785)864-6414, 711 TTY.

     Contact KU
    Lawrence, KS | Maps