Semester

Summer

Date of Graduation

2023

Document Type

Dissertation

Degree Type

PhD

College

Chambers College of Business and Economics

Department

Economics

Committee Chair

Feng Yao

Committee Member

Bebonchu Atems

Committee Member

Arabinda Basistha

Committee Member

Scott Schuh

Abstract

The title of this work, "Applications in Macroeconometrics," reflects the unifying theme of my essays: new, and original research in applied macroeconomics, and applied econometrics. This dissertation consists of three chapters specifically looking at producer price inflation pass-through, technical progress, and moral hazard in United States critical banking markets.

My first chapter seeks to quantify the pass-through (PT) and causal direction of producer to consumer prices. We further disaggregate PPI down to commodity-specific indices to quantify disaggregated PPI PT coefficients. By estimating an augmented Phillips Curve, we find short-run PT of aggregate PPI to be around 7 percent. Using a VARX framework, we conduct Toda-Yamamoto tests that show evidence of bidirectional causality between CPI and PPI inflation. When disaggregating down to commodity-specific indices, we find several PPI series that exhibit unidirectional causality and express stronger pass-through coefficients than aggregate PPI.

My second chapter (coauthored with Scott Schuh and Brad Humphreys) expands a niche literature that argues how technical progress and productivity growth--which are ordinarily arduous to measure--can be expressed in athletic outcomes. In particular, we formalize the link between race outcomes, and total factor productivity (TFP) using deterministic and stochastic trend econometric models. A bivariate error-correction model reveals evidence that race outcomes and TFP share a common trend, and that race outcomes adjust to TFP but not vice versa. These results suggest aggregate technological progress partially diffuses to firms and industries, and motivates further investigation of the underlying structural relationships.

My third chapter contributes new evidence to the literatures on banking performance, and too-big-to-fail (TBTF) in US banking. We estimate a restricted translog semiparametric smooth coefficient seemingly unrelated regressions model (SPSC SUR), wherein model elasticities are functions of nonperforming assets, a proxy for moral hazard, to derive nonperformance-adjusted returns-to-scale estimates for critical market banks from 2001 through 2021. Over our full sample, the median critical market bank tends to operate under increasing returns-to-scale while half of all critical market banks exhibit slight decreasing returns-to-scale. Results taken over the past two decades suggest that most TBTF banks have exhausted their economies of scale concurrent with the shrinking competitive landscape.

Comments

Page number suppressed on abstract page. Removed the "by" before my name. Added "Department of Economics" after my committee members.

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