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Dissertation/Thesis Abstract

Essays in international economics
by Antoniades, Alexis, Ph.D., Columbia University, 2008, 78; 3317648
Abstract (Summary)

This thesis analyzes a topic in each of the three areas of international economics, namely international macroeconomics, international trade, and international finance. In the first chapter I investigate the pricing behavior of firms. Using the introduction of the euro as a natural experiment, I find that import price volatility among Eurozone members dropped dramatically after the introduction of the euro. Additionally, I show that the magnitude of the drop commensurate with the drop in exchange rate volatility. On the other hand, when looking at exports, I find that the introduction of the euro had no impact on export price volatility. The results support the presence of pricing in the currency of the producer.

In the second chapter I present a model of heterogeneous firms with endogenous choice of quality upgrades. The model yields three types of firms: the firms at the lower end of the productivity distribution that exit the market, the firms in the middle that produce quantity and choose no quality upgrades, and the firms at the high end of the distribution that produce and choose quality upgrades. For rich and/or large countries, the share of firms producing quality is higher than in poor and/or small countries. Furthermore, the amount of quality upgrade chosen by a quality producing firm is higher in rich and/or large countries.

In the third chapter I investigate whether forecasting in data-rich environments can yield better out-of-sample forecasts. Following the work of Stock and Watson (2002), Bernanke and Boivin (2003) and Bernanke, Boivin and Eliasz (2005), I construct factor-augmented autoregressive models and use them to perform out-of-sample forecasts for five dollar-denominated exchange rates (JPY, CAD, GDM, GBP, and FFR). I find that factor-augmented models estimated in a data-rich environment still fail to outperform the random walk.

Indexing (document details)
Advisor: Weinstein, David
School: Columbia University
School Location: United States -- New York
Source: DAI-A 69/05, Dissertation Abstracts International
Subjects: Economics, Economic theory
Keywords: Heterogeneous firms, International macroeconomics, International trade, Local currency pricing, Producer currency pricing, Quality
Publication Number: 3317648
ISBN: 978-0-549-65741-5
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