Quantitative studies in Irish financial and macroeconomic history

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Title: Quantitative studies in Irish financial and macroeconomic history
Authors: Stuart, Rebecca
metadata.dc.contributor.advisor: Kelly, Morgan
Permanent link: http://hdl.handle.net/10197/8590
Date: 2016
Abstract: This thesis comprises four quantitative studies of Irish financial and macroeconomic history using long time span of data. The first Chapter examines the joint behaviour of monthly stock market returns in the UK, the US and Ireland in a multivariate DCC-GARCH framework. The results indicate that UK equity returns influence local (Irish) returns, but not global (US) returns. Estimated correlations between returns in the UK and Ireland and between returns in the UK and US converge over time, pointing to increasing financial integration.The second Chapter provides a comparative study of stock price movements in Belgium, France, Germany, Ireland, the UK and US during the classical gold standard era. Principal component analysis is used to identify a global shock to equity returns, and the responses it elicits from national equity returns are studied in a VAR. The global shock had a significant effect on all markets, indicating that they were integrated. Greater exposure to the shock is compensated for by higher returns.The third Chapter studies the effect of UK and Irish aggregate demand and supply shocks on Irish GDP and CPI over the period 1922-1979 in a VAR framework. Impulse responses show that UK aggregate demand and supply shocks have large and significant effects on Irish CPI, but smaller effects on real GDP. The important role of UK shocks in the evolution of CPI is illustrated by a historical decomposition, which also indicates that real GDP was driven by idiosyncratic domestic shocks.The fourth Chapter compiles consumption and income data for Ireland from 1944 to 2014, and studies the relationship between the two series. Having established that the series are cointegrated, an error-correction model is estimated which is stable over the entire 70-year period. The model is extended to include financial and macroeconomic variables, and the results are discussed.
Type of material: Doctoral Thesis
Publisher: University College Dublin. School of Economics
Advisor: Ph.D.
Copyright (published version): 2016 the author
Keywords: Business cycle transmission;Consumption theory;Long time series;Personal consumption and disposable income;Stock market co-movement;Stock returns
Language: en
Status of Item: Peer reviewed
Appears in Collections:Economics Theses

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