All Theses and Dissertations
Degree
Doctor of Philosophy in Economics
Faculty / School
School of Economics and Social Sciences (SESS)
Department
Department of Economics
Date of Award
Winter 2024
Advisor
Dr. Waliullah, Professor, Department of Economics, School of Economics and Social Sciences (SESS)
Second Advisor
Dr. Ehsan U. Choudhri, Chancellor’s Professor Emeritus and Distinguished Research Professor, Department of Economics, Carleton University - Canada
Committee Member 1
Dr. Waliullah, Supervisor
Committee Member 2
Dr. Abdul Jalil, Examiner I, National Defense University, Islamabad
Committee Member 3
Dr. Jameel Ahmed, Examiner II, State Bank of Pakistan
Project Type
Dissertation
Access Type
Restricted Access
Document Version
Final
Pages
xiv, 240
Keywords
Macro policy analysis, fiscal policy, monetary policy, DSGE model, VAR model, quarterly projections model, forecasting and policy analysis system
Abstract
A small open economy dynamic stochastic general equilibrium (DSGE) model augmented by financial accelerator mechanism (Bernanke et al., 1999) and expenditure based fiscal policy is estimated using Bayesian Maximum Likelihood approach for Pakistan economy quarterly data from 2003Q1 to 2023Q2. Propagation mechanisms necessary to match macro data, such as habit persistence, investment adjustment costs, variable capacity utilization and sticky prices & wages are incorporated following Adolfson et al. (2007a). The framework allows for positive role of public infrastructure on private sector productivity while studying impact of government investment on macro economy following (Leeper et al., 2010). Estimation results show that inclusion of financial accelerator mechanism does not lead to improvement in data fit of the model. Fiscal multipliers related to government consumption expenditures is 0.10 after one year and almost zero after two years. The maximum estimated value of government investment multiplier is 0.32 which is realized under 4-quarters implementation delay setup of the model. Forecast evaluation exercise shows that the model is capable of producing forecasts of key macroeconomic variables that are comparable with Bayesian VAR models in the medium run.
Recommended Citation
Ahmad, S. (2024). Three Essays on Applied Macro Policy Analysis: The Case of a Developing Country (Unpublished doctoral dissertation). Institute of Business Administration, Pakistan. Retrieved from https://ir.iba.edu.pk/etd/90
