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Essays in the Application of Linear and Non-Linear Bayesian VAR Models to the Macroeconomic Impacts of Energy Price Shocks

Nguyen, Bao


This thesis is a collection of five self contained empirical macroeconomic papers on the asymmetric effects of energy price shocks on various economies. Chapter 1 formally determines the number of regime changes in the US natural gas market by employing a MS-VAR model. Estimated using Bayesian methods, three regimes are identified for the period 1980 - 2016, namely, before the Decontrol Act, after the Decontrol Act and the Recession. The results show...[Show more]

CollectionsOpen Access Theses
Date published: 2017
Type: Thesis (PhD)
DOI: 10.25911/5d70f16abf6ec


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