Essays on business cycle analysis and demography [Elektronische Ressource] / von Samad Sarferaz

Essays on Business Cycle Analysis and DemographyDISSERTATIONzur Erlangung des akademischen Gradesdoctor rerum politicarum(Dr. rer. pol.)eingereicht an derWirtschaftswissenschaftlichen Fakultätder Humboldt-Universität zu BerlinvonDipl.-Vw. Samad Sarferazgeboren am 26.05.1979 in Kabul/AfghanistanPräsident der der Humboldt-Universität zu Berlin:Prof. Dr. Christoph MarkschiesDekan der Wirtschaftswissenschaftlichen Fakultät:Prof. Oliver Günther, Ph.D.Gutachter:1. Prof. Dr. Albrecht Ritschl2. Prof. Bartosz Maćkowiak, Ph.D.eingereicht am: 08. Juni 2009Tag der mündlichen Prüfung: 09. Juli 2009iiAbstractThe thesis consists of four essays, which make empirical and methodological con-tributions to the fields of business cycle analysis and demography. The first essaypresents insights on U.S. business cycle volatility since 1867 derived from a Bayesiandynamic factor model. The essay finds that volatility increased in the interwar pe-riods, which is reversed after World War II. While evidence can be generated ofpostwar moderation relative to pre-1914, this evidence is not robust to structuralchange, implemented by time-varying factor loadings. The second essay scruti-nizes Bayesian features in dynamic index models. The essay shows that large-scaledatasets can be used in levels throughout the whole analysis, without any pre-assumption on the persistence. Furthermore, the essay shows how to determinethe number of factors accurately by computing the Bayes factor.