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Three Essays on Macroeconomics and Business Cycles /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Three Essays on Macroeconomics and Business Cycles /Azharul Islam.
作者:	Islam, Azharul,
面頁冊數:	1 electronic resource (122 pages)
附註:	Source: Dissertations Abstracts International, Volume: 87-06, Section: A.
附註:	Advisors: Panovska, Irina; Love, Tony Committee members: Ramamurthy, Srikanth; Valcarcel, Victor; Granados, Camilo.
Contained By:	Dissertations Abstracts International87-06A.
標題:	Finance.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=32435059
ISBN:	9798265455567

Three Essays on Macroeconomics and Business Cycles /
Islam, Azharul,

Three Essays on Macroeconomics and Business Cycles /Azharul Islam. - 1 electronic resource (122 pages)

Source: Dissertations Abstracts International, Volume: 87-06, Section: A.

This dissertation comprises three chapters centered on the theme of how consumer beliefs about the overall state of the economy and inflation relate to real economic activity. Chapter 2 investigates the impact of consumer sentiment, specifically its cyclical component, reflecting over-optimism or pessimism, on key macroeconomic variables. I apply five widely used trend-cycle decomposition methods to identify cyclical sentiment and construct an average cycle to mitigate discrepancies to any one method. Using monthly U.S. data from 1978 to 2023, I find that positive cyclical sentiment significantly reduces unemployment and inflation expectations and increases industrial production, with mixed effects on core CPI and overall inflation. Additional variables related to income, consumption, financial markets, and labor market conditions also respond to sentiment shocks, though the effects are often short-lived. A residual-based sentiment measure, constructed via Principal Components Analysis to capture excess optimism or pessimism, yields qualitatively similar macroeconomic responses.Chapter 3, coauthored with Jose Barrales Ruiz, Mikidadu Mohammed, and Irina Panovska, examines how the distribution of inflation expectations affects realized inflation across its full distribution. We find that shocks to median inflation expectations raise the median inflation rate for up to three years and lead to persistent upside inflation risks lasting more than six years. Analyzing higher-order moments, specifically the standard deviation and skewness of expectations, we show that increased disagreement among agents has distinct effects on inflation outcomes. A rise in the standard deviation amplifies right-tail inflation risks and produces quantile-dependent effects at the 90th percentile, while a negative skewness shock temporarily shifts the inflation distribution without such quantile dependence. These findings underscore the importance of the distributional characteristics of inflation expectations in understanding inflation dynamics and highlight the value of maintaining well-anchored expectations for macroeconomic stability. Chapter 4 analyzes how various exogenous shocks affect household disagreement in inflation expectations, with a focus on nonlinear responses conditioned by the level of inflation and unemployment. Using monthly data from the University of Michigan's Survey of Consumers, I study disagreement measured by the interquartile range and standard deviation of one-year-ahead inflation expectations. The results show that disagreement responds significantly, but temporarily, to oil shocks and economic policy uncertainty shocks. Nonlinear local projections reveal that the magnitude of these responses varies with macroeconomic conditions: disagreement is more sensitive during periods of low inflation and low unemployment than during high-inflation or high-unemployment states. Robustness checks using a residualized disagreement measure, controlling for observable household characteristics, confirm the main patterns. Notably, economic policy uncertainty shocks have more persistent effects on disagreement in low-state regimes under the residualized model.

English

ISBN: 9798265455567Subjects--Topical Terms:

183252
Finance.
Subjects--Index Terms:

Business cycles

Three Essays on Macroeconomics and Business Cycles /
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502 $b Ph.D. $c The University of Texas at Dallas $d 2025.
520 $a This dissertation comprises three chapters centered on the theme of how consumer beliefs about the overall state of the economy and inflation relate to real economic activity. Chapter 2 investigates the impact of consumer sentiment, specifically its cyclical component, reflecting over-optimism or pessimism, on key macroeconomic variables. I apply five widely used trend-cycle decomposition methods to identify cyclical sentiment and construct an average cycle to mitigate discrepancies to any one method. Using monthly U.S. data from 1978 to 2023, I find that positive cyclical sentiment significantly reduces unemployment and inflation expectations and increases industrial production, with mixed effects on core CPI and overall inflation. Additional variables related to income, consumption, financial markets, and labor market conditions also respond to sentiment shocks, though the effects are often short-lived. A residual-based sentiment measure, constructed via Principal Components Analysis to capture excess optimism or pessimism, yields qualitatively similar macroeconomic responses.Chapter 3, coauthored with Jose Barrales Ruiz, Mikidadu Mohammed, and Irina Panovska, examines how the distribution of inflation expectations affects realized inflation across its full distribution. We find that shocks to median inflation expectations raise the median inflation rate for up to three years and lead to persistent upside inflation risks lasting more than six years. Analyzing higher-order moments, specifically the standard deviation and skewness of expectations, we show that increased disagreement among agents has distinct effects on inflation outcomes. A rise in the standard deviation amplifies right-tail inflation risks and produces quantile-dependent effects at the 90th percentile, while a negative skewness shock temporarily shifts the inflation distribution without such quantile dependence. These findings underscore the importance of the distributional characteristics of inflation expectations in understanding inflation dynamics and highlight the value of maintaining well-anchored expectations for macroeconomic stability. Chapter 4 analyzes how various exogenous shocks affect household disagreement in inflation expectations, with a focus on nonlinear responses conditioned by the level of inflation and unemployment. Using monthly data from the University of Michigan's Survey of Consumers, I study disagreement measured by the interquartile range and standard deviation of one-year-ahead inflation expectations. The results show that disagreement responds significantly, but temporarily, to oil shocks and economic policy uncertainty shocks. Nonlinear local projections reveal that the magnitude of these responses varies with macroeconomic conditions: disagreement is more sensitive during periods of low inflation and low unemployment than during high-inflation or high-unemployment states. Robustness checks using a residualized disagreement measure, controlling for observable household characteristics, confirm the main patterns. Notably, economic policy uncertainty shocks have more persistent effects on disagreement in low-state regimes under the residualized model.
546 $a English
590 $a School code: 0382
650 4 $a Finance. $3 183252
653 $a Business cycles
653 $a Macroeconomics
653 $a Consumer sentiment
653 $a Inflation
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690 $a 0501
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710 2 $a The University of Texas at Dallas. $b Economics. $e degree granting institution. $3 1010521
720 1 $a Panovska, Irina $e degree supervisor.
720 1 $a Love, Tony $e degree supervisor.
773 0 $t Dissertations Abstracts International $g 87-06A.
790 $a 0382
791 $a Ph.D.
792 $a 2025
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