Two Essays in Macroeconomics

Chapter 1 revisits the statistical relationship between the yield spread and the future economic growth rate in OECD countries. I confirm that the yield spread is a strong predictor of future economic growth in many countries, but show there is enormous heterogeneity in its predictive ability across countries. I observe that periods of generally declining volatility are associated with diminished forecasting capability. Chapter 2 analyzes how sovereign yield spreads of EMU member countries responded to different crisis resolution policies in the context of the 2007-2008 financial crisis. My analysis suggests that accommodating crisis responses policies which invite regulatory forbearance and delay the resolution of underlying banking system problems increase governments' borrowing costs, though markets seem to react more favorably to the same policy actions if they are undertaken by more credible (i.e. less-indebted) governments.

    Item Description
    Name(s)
    Thesis advisor: Imai, Masami
    Date
    May 23, 2013
    Extent
    153 pages
    Language
    eng
    Genre
    Physical Form
    electronic
    Discipline
    Rights and Use
    In Copyright – Non-Commercial Use Permitted
    Restrictions on Use

    Access limited to Wesleyan Community only. Please contact wesscholar@wesleyan.edu for more information.

    Digital Collection
    PID
    ir:2024