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Silvestre, Joao Alexandre Parreira. "Agent-Based models in macroeconomics." Doctoral thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20604.
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Doutoramento em EconomiaA crise financeira de 2007/2008 desencadeou uma onda de críticas à teoria económica. Ataques baseados em quatro críticas principais: os economistas não terem previsto a maior crise desde a Grande Depressão; as autoridades deixarem formar bolhas sem controlo; o falhanço da supervisão bancária; e os modelos usados serem desfasados da realidade. No caso dos modelos, o alvo principal são os modelos DSGE (dinâmicos, estocásticos e de equilíbrio geral) e duas das suas hipóteses simplificadoras: o agente representativo e a racionalidade. As economias são realidades complexas, não-lineares e heterogéneas, e o recurso a métodos computacionais pode ser uma alternativa para ultrapassar as limitações dos modelos tradicionais. O objectivo desta tese é alargar a aplicação dos modelos de agentes em Macroeconomia com três exemplos distintos. O primeiro é um modelo de crescimento endógeno, de gerações sobrepostas, em que a decisão dos agentes sobre estudar é baseada na satisfação e na influência dos seus pares. É usado para testar os efeitos de longo prazo do paradoxo de Easterlin, que sugere que a satisfação e o rendimento não têm uma relação linear. Verifica-se que, no cenário de Easterlin, o crescimento é menor do que no cenário base onde os agentes atribuem igual importância ao rendimento absoluto e relativo. O segundo modelo visa avaliar o contágio dos defaults da dívida pública e a forma como as estratégias dos governos afetam o seu aparecimento e propagação. As simulações mostram que os países mais gastadores e com menor aversão ao risco tendem a entrar mais vezes em default e que políticas monetárias muito expansionistas podem originar fenómenos de risco moral. No terceiro modelo, estudamos o fenómeno da ‘fuga de cérebros’ e as consequências no crescimento económico. Concluímos que o efeito positivo do brain drain na acumulação de capital humano depende fortemente da probabilidade de emigrar.
The 2007/2008 financial crisis triggered a wave of criticism of the economic theory. These attacks are based in four main critics: economists had not foreseen the biggest crisis since the Great Depression; authorities let bubbles form without control; weak banking supervision; and the models used in macroeconomic policy being out of touch with reality. In the particular case of the macroeconomic models, the target are the DSGE models (dynamic, stochastic and general equilibrium) and their two simplifying hypotheses: the representative agent and rationality. Economies are complex realities, with nonlinearities and heterogeneities, and computational economics can be an advantageous alternative to overcome the shortcomings of the traditional models. The aim of this thesis is to extend the application of agent-based models to macroeconomic topics in three distinct models. The first one is an endogenous growth model, in an overlapping generations environment, in which the agents' individual decision to study is based on the satisfaction of their peers. It is used to evaluate the long-term effects of the Easterlin paradox, which states that satisfaction and income have a non-linear relation. The second model is used to study sovereign default contagion in order to assess how different government strategies affect default and propagation across countries. Simulations showed that high spending and low risk aversion levels are associated to a high prevalence of default and that monetary stimulus can create moral hazard problems. In the third model, we study the brain drain phenomenon and its economic growth effects. We conclude that beneficial brain hypothesis depend heavily on emigration probability.
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Dmitriev, Mikhail. "Essays in International Macroeconomics." Thesis, Boston College, 2014. http://hdl.handle.net/2345/bc-ir:103536.
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Thesis advisor: Fabio GhironiThesis advisor: Susanto Basu
My dissertation develops a set of tools for thinking about heterogeneity in economic models in an analytically tractable way. Many models use the representative agent framework, which greatly simplifies macroeconomic aggregation but abstracts from the heterogeneity we see in the real world. Models with heterogeneity in general equilibrium have too many moving parts, so that it is hard to disentangle cause and effect. First, my work in international macroeconomics incorporates heterogeneity via idiosyncratic shocks across countries in a simple and analytical way. Second, my work on financial frictions helps to understand the role of asymmetric information between lenders and borrowers in different contractual environments. Crucially, these insights can be incorporated into the models currently used by academics and central banks for policy analysis
Thesis (PhD) — Boston College, 2014
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Steinbach, Max Rudibert. "Essays on dynamic macroeconomics." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/86196.
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Thesis (PhD)--Stellenbosch University, 2014.ENGLISH ABSTRACT: In the first essay of this thesis, a medium scale DSGE model is developed and estimated for the South African economy. When used for forecasting, the model is found to outperform private sector economists when forecasting CPI inflation, GDP growth and the policy rate over certain horizons. In the second essay, the benchmark DSGE model is extended to include the yield on South African 10-year government bonds. The model is then used to decompose the 10-year yield spread into (1) the structural shocks that contributed to its evolution during the inflation targeting regime of the South African Reserve Bank, as well as (2) an expected yield and a term premium. In addition, it is found that changes in the South African term premium may predict future real economic activity. Finally, the need for DSGE models to take account of financial frictions became apparent during the recent global financial crisis. As a result, the final essay incorporates a stylised banking sector into the benchmark DSGE model described above. The optimal response of the South African Reserve Bank to financial shocks is then analysed within the context of this structural model.
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De, Antonio Liedo David. "Structural models for macroeconomics and forecasting." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210142.
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This Thesis is composed by three independent papers that investigatecentral debates in empirical macroeconomic modeling.
Chapter 1, entitled “A Model for Real-Time Data Assessment with an Application to GDP Growth Rates”, provides a model for the data
revisions of macroeconomic variables that distinguishes between rational expectation updates and noise corrections. Thus, the model encompasses the two polar views regarding the publication process of statistical agencies: noise versus news. Most of the studies previous studies that analyze data revisions are based
on the classical noise and news regression approach introduced by Mankiew, Runkle and Shapiro (1984). The problem is that the statistical tests available do not formulate both extreme hypotheses as collectively exhaustive, as recognized by Aruoba (2008). That is, it would be possible to reject or accept both of them simultaneously. In turn, the model for the
DPP presented here allows for the simultaneous presence of both noise and news. While the “regression approach” followed by Faust et al. (2005), along the lines of Mankiew et al. (1984), identifies noise in the preliminary
figures, it is not possible for them to quantify it, as done by our model.
The second and third chapters acknowledge the possibility that macroeconomic data is measured with errors, but the approach followed to model the missmeasurement is extremely stylized and does not capture the complexity of the revision process that we describe in the first chapter.
Chapter 2, entitled “Revisiting the Success of the RBC model”, proposes the use of dynamic factor models as an alternative to the VAR based tools for the empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed by Forni et al. (2007) as a competitive benchmark that is able to capture weak statistical restrictions that DSGE models impose on the data. Our empirical illustration compares the out-of-sample forecasting performance of a simple RBC model augmented with a serially correlated noise component against several specifications belonging to classes of dynamic factor and VAR models. Although the performance of the RBC model is comparable
to that of the reduced form models, a formal test of predictive accuracy reveals that the weak restrictions are more useful at forecasting than the strong behavioral assumptions imposed by the microfoundations in the model economy.
The last chapter, “What are Shocks Capturing in DSGE modeling”, contributes to current debates on the use and interpretation of larger DSGE
models. Recent tendency in academic work and at central banks is to develop and estimate large DSGE models for policy analysis and forecasting. These models typically have many shocks (e.g. Smets and Wouters, 2003 and Adolfson, Laseen, Linde and Villani, 2005). On the other hand, empirical studies point out that few large shocks are sufficient to capture the covariance structure of macro data (Giannone, Reichlin and
Sala, 2005, Uhlig, 2004). In this Chapter, we propose to reconcile both views by considering an alternative DSGE estimation approach which
models explicitly the statistical agency along the lines of Sargent (1989). This enables us to distinguish whether the exogenous shocks in DSGE
modeling are structural or instead serve the purpose of fitting the data in presence of misspecification and measurement problems. When applied to the original Smets and Wouters (2007) model, we find that the explanatory power of the structural shocks decreases at high frequencies. This allows us to back out a smoother measure of the natural output gap than that
resulting from the original specification.
Doctorat en Sciences économiques et de gestion
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Silva, Thiago Cordeiro da. "Exploiting diversity in macroeconomic modeling : a comparative study between Agent-Based and DSGE macroeconomic models /." Araraquara, 2019. http://hdl.handle.net/11449/180819.
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Orientador: Mario Augusto BertellaBanca: Alexandre Sartoris Neto
Banca: Roseli da Silva
Resumo: A modelagem macroeconômica tem estado sob intenso escrutínio desde a Crise Financeira de 2007-2008, quando graves deficiências foram expostas na metodologia DSGE. Embora muitas dessas críticas tenham sido injustas ou desinformadas, elas enfatizaram a necessidade de considerar formas alternativas de modelagem macroeconômica e aprimorar abordagens estabelecidas, a fim de torná-las mais úteis para a compreensão de um mundo em recessão. Nesse sentido, argumentamos que explorar a diversidade na modelagem macroeconômica pode beneficiar a profissão e produzir resultados importantes em relação à formulação de políticas macroeconômicas. Uma maneira de explorar a diversidade na macroeconomia é investigar sistematicamente tanto os modelos DSGE quanto os modelos baseados em agentes, revelando suas forças e limitações relativas, e combinando essas duas abordagens diferentes, a fim de que possamos aprender uma com a outra e talvez produzir um modelo híbrido. Este trabalho dá o primeiro passo rumo a esse desafio. Acreditamos que uma abordagem interdisciplinar pode ajudar não só toda a agenda da pesquisa macroeconômica, mas também beneficiar a sociedade como um todo, permitindo a implementação de medidas políticas mais eficazes e aumentando a capacidade dos economistas em modelar a heterogeneidade social em um mundo complexo e em constante evolução.
Abstract: Macroeconomic modelling has been under intense scrutiny since the Financial Crisis of 2007-2008, when serious shortcomings were exposed in the DSGE methodology. Although many of these criticisms were unfair or uninformed, they did highlight the need of considering alternative forms of macroeconomic modelling and enhancing established approaches in order to make them more useful for understanding a world in recession. In this sense, we argue that exploiting diversity in macroeconomic modelling can benefit the profession and yield more fruitful developments regarding the formulation of macroeconomic policy. One way of exploring diversity in macroeconomics is by investigating systematically both the DSGE and the Agent-Based models, revealing their relative strengths and limitations, and combining these two different approaches, so that we can explore what one can learn from the other and perhaps yield a hybrid model. This work takes the first step towards this ultimate achievement. We believe that an interdisciplinary approach may help not only the entire macroeconomic research agenda, but also benefit society as a whole, allowing the implementation of more effective policy measures and by increasing the ability of economists to model social heterogeneity in a complex-evolving world.
Mestre
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Rua, Sandra Cristina Camacho Gomes. "Essays in macroeconomics with general equilibrium models." Doctoral thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7543.
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Doutoramento em EconomiaModelos de equilíbrio geral são largamente usados na academia e em instituições internacionais. Aqui, questões relacionadas com reformas estruturais, o limite inferior das taxas de juro e sua relação com opções de política são analisadas com um modelo de larga escala. Os principais resultados são: reformas estruturais unilaterais são benéficas e coordenação nacional tem vantagens; com as taxas de juro no limite inferior, políticas orçamentais e estruturais podem aliviar uma recessão e reduzir o tempo em que esse limite é activo. Mas a eficácia depende do instrumento orçamental e das características das reformas. Seguidamente, modelos estimados de media-escala são usados para avaliar a importância de choques antecipados nos EUA. Primeiro, avalia-se o papel destes choques na dinâmica do mercado habitacional e conclui-se que são importantes nas flutuações deste mercado e em particular nos ciclos de boom-bust. Expectativas de inquéritos sao usadas como validação externa do modelo. Depois, o papel de choques antecipados de politica monetária e analisado num modelo de ciclo económico. Conclui-se que melhoram a desempenho do modelo sem causar problemas de identificação; explicam uma percentagem maior das flutuações das variáveis observadas que choques não antecipados de politica monetária; e ajudam a melhor replicar covariâncias de algumas variáveis.
General equilibrium models are widely used in academia and policy institutions. Here, issues related to structural reforms, the zero lower bound and its interaction with policy options are analysed with a large-scale calibrated model of the euro area. The main find- ings are: unilateral structural reforms are beneficial and cross-country coordination has advantages; at the zero bound, fiscal and structural policies can alleviate a recession and reduce the time spent at the bound but their effectiveness depends on the fiscal instrument and the design of the reforms. Then, medium-scale estimated models are used to assess the importance of news shocks in the US. First, the role of news in housing market dynamics is investigated. Results show that news shocks are important for housing market fiuctua- tions, and in particular boom-busts cycles. Survey-based expectations are used as external validation of the model. Then, the role of monetary policy news shocks is analysed in a business cycle model. Results show they improve the performance of the model without leading to identification problems; they account for a larger fraction of the fiuctuations in observables than the unanticipated monetary policy shock; and they help to achieve a better matching of the covariances of some observables.
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Dallari, Pietro. "DSGEs and PVARs: applications to macroeconomics." Doctoral thesis, Universitat Pompeu Fabra, 2014. http://hdl.handle.net/10803/146249.
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This thesis adopts DSGE and PVAR models to examine three questions in macroeconomics. The first chapter singles out some pitfalls that DSGE models face when a fraction of rule-of-thumb consumers is assumed in order to replicate the positive response of consumption to government spending shocks observed in SVAR models. The second chapter quantifies the importance of the tourism channel for the international transmission of cyclical fluctuations to the Mediterranean basin. We show that, absent tourism flows, the output effects in a typical destination country would be one-fourth smaller. The third chapter examines the impact of austerity shocks on labor markets in the euro area. We find that the cross-country responses of labor market variables differ, notwithstanding similar output multipliers, as institutional reforms and dedicated policy plans foster the link between fiscal impulses and the domestic labor market.Esta tesis adopta modelos DSGE y PVAR para examinar tres preguntas de macroeconomía. El primer capítulo identifica algunas dificultades que enfrentan los modelos DSGE cuando se supone que una fracción de consumidores sea de tipo rule-of-thumb con el fin de replicar la respuesta positiva del consumo a los shocks de gasto público que se observa en los modelos SVAR. El segundo capítulo cuantifica la importancia del canal de turismo para la transmisión internacional de las fluctuaciones cíclicas en la cuenca mediterránea. Se demuestra que, ausentes los flujos de turismo, los efectos sobre el producto en un país mediterráneo sería un cuarto menor. El tercer capítulo examina el impacto de los shocks de austeridad en los mercados laborales de la zona Euro. Encontramos que las respuestas de las variables del mercado laboral difieren entre los países, no obstante multiplicadores de producción similares. Las cuasas parecen estar relacionadas con reformas institucionales y planes de política económica dedicados que fomentan el vínculo entre los impulsos fiscales y del mercado laboral nacional.
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Faustino, Rui Alexandre Rodrigues Veloso. "Essays in macroeconomics." Doctoral thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20576.
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Doutoramento em EconomiaThis thesis has as its object of study the way consumer preferences affect structure and market power, measured through the markups of the firms that compete in it. By modifying the way consumer preferences are defined, it is possible to generate endogenous markups that significantly alter the responses of macroeconomic variables generated by different shocks. The thesis consists of three essays, the first of which analyzes the dynamics of markups in durable and nondurable consumption over the economic cycle and their response to shocks. For this, I take a New Keynesian model with durable goods and modified to include the habit formation at both types of goods. Depending on how the habit formation over durable consumption is defined, the model is able to replicate the responses of consumption variables, markups and prices observed in the data.The second essay deals with the effort made by consumers to compare prices between various sellers over the economic cycle. From microdata for the US, it is shown that increases in individuals’ hourly compensation translate into reductions in time spent comparing prices. From this, a mechanism is presented to generate countercyclical responses of the time spent in price comparison by consumers. When incorporated into general equilibrium models, this mechanism is capable of generating an amplifying effect on the responses of the main macroeconomic variables. Finally, a general equilibrium model is presented where the number of firms, varieties and quality of the consumed products are determined endogenously. Through the model, it is possible to analyze the dynamics of product creation and destruction, as well as the changes in their quality during the economic cycle, and their impact on the dynamics of the main macroeconomic variables.
Esta tese tem como objeto de estudo a forma como as preferências dos consumidores afetam a estrutura e o poder de mercado, medido através de markups, das empresas que nele concorrem. Modificando a forma como são definidas as preferências dos consumidores, é possível gerar markups endógenos e alterar significativamente as respostas de variáveis macroeconómicas a diferentes choques. A tese é composta por três ensaios, sendo que no primeiro são analisadas as dinâmicas dos markups nos bens de consumo duradouros e não duradouros ao longo do ciclo económico e a sua resposta a choques. Para isso, é apresentado um modelo Novo-Keynesiano com bens duradouros e não duradouros, modificado de forma a incluir a formação de hábitos nos dois tipos de bens. Dependendo da forma como é definida a formação de hábitos de consumo de bens duradouros, o modelo permite replicar as respostas observadas para o consumo, markups e preços. O segundo ensaio aborda o esforço despendido pelos consumidores na comparação de preços ao longo do ciclo económico. Partindo de microdados para os EUA, demonstro que aumentos da remuneração horária dos indivíduos traduzem-se em reduções no tempo despendido na comparação de preços. Em seguida, é apresentado um mecanismo capaz de gerar respostas contracíclicas do tempo despendido pelos consumidores na comparação de preços. Quando incorporado em modelos DSGE, é capaz de gerar um efeito amplificador das repostas das principais variáveis dos modelos. Por fim, é apresentado um modelo DSGE onde o número de empresas e a qualidade dos produtos consumidos são determinados de forma endógena. Através do modelo, é possível analisar as dinâmicas de criação e destruição de variedades, bem como das variações na sua qualidade durante o ciclo económico, e o seu impacto na dinâmica das principais variáveis macroeconómicas.
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Emiris, Marina. "Essays on macroeconomics and finance." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210764.
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Walker, Sébastien. "Essays in development macroeconomics." Thesis, University of Oxford, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712398.
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Neri, Stefano. "Structural VARs and DSGE models: applications to macroeconomics." Doctoral thesis, Universitat Pompeu Fabra, 2003. http://hdl.handle.net/10803/7334.
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Los argumentos de la tesis son los modelos VAR estructurales y los modelos dinámicos de equilibrio general ambos aplicados a la macroeconomía.El primer capítulo analiza, por medio de modelos VAR, los efectos de la políticas monetaria y fiscal sobre el producto interior bruto (PIB) y
el nivel de los precios en la economía norteamericana a partir de los años sesenta. Ambas políticas producen efectos pequeños. El capítulo demuestra que si en un modelo VAR para el análisis solo de la política monetaria se incluyen variables fiscales, sus efectos se educen de la mitad.
El segundo capítulo analiza los efectos de aumentos de los tipos de interés a corto plazo sobre los índices de bolsas en los países que forman el G-7 y en España. Los efectos, en general negativos y transitorios, son diferentes en termino de reducción de los índices entre los países analizados. Variaciones exógenas de los tipos de interés no parecen ser responsables de los principales movimientos en los índices de bolsa.
El tercer capítulo presenta un modelo de equilibrio económico general en el cual las familias consumidoras pueden invertir en acciones y en depósitos bancarios. El modelo, calibrado sobre los datos de la economía norteamericana es capaz de reproducir, desde un punto de vista cualitativo, los efectos de la política monetaria sobre el índice de la bolsa.
El ultimo capítulo confronta tres modelos de equilibrio económico general alternativos del ciclo económico. En el primero las fricciones financieras determinan endógenamente costes para variar el nivel de capital. En los otros dos estos costes son exógenos. Los modelos son estimados mediante el método de la máxima verosimilitud utilizando datos sobre la economía norteamericana de 1966 hasta el 2001. El resultado principal es que el primer modelo no parece explicar mejor que los modelos alternativos las dinámicas de las principales variables del modelo.
Chapter 1 investigates if and how the standard results of the VAR literature on the macroeconomic effects of monetary policy, which typically overlooks fiscal policy, are affected when monetary and fiscal policy are jointly considered. To this end, structural VAR models are set up using U.S. post-war data. It is found that the magnitude of the responses of output and price to a monetary policy shock are halved once fiscal policy is considered. Both monetary and fiscal policy shocks have small effects on output and the prices.
Chapter 2 evaluates the effects of monetary policy shocks on stock market indices in the G-7 countries and Spain using structural VARs. A contractionary shock has a negative and transitory effect on stock market indices.
In Chapter 3 a limited participation model with households trading in stocks is set up and validated by means of impulse responses using U.S. data.
The model is able to account for the empirical response of stock prices to monetary policy shocks.
Chapter 4 compares three alternative models of the business cycle that rely on sticky prices and real rigidities in the form of adjustment costs for investment. In the first model these costs arise endogenously as the result of asymmetric information and agency costs. In the second model the costs for adjusting the level of investment are exogenously imposed while in the last model these costs are imposed on the changes in investment. The models are estimated with maximum likelihood using U.S. post-war data. The model with exogenous adjustment costs on the level of investment seems to provide the best representation of the U.S. business cycle and the responses to technology and monetary policy shocks.
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Ganelli, Giovanni. "Fiscal policy in new open economy macroeconomics models." Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269119.
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Caldara, Dario. "Essays on Empirical Macroeconomics." Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-55463.
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This thesis consists of four essays in empirical macroeconomics. What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative Analysis The literature using structural vector autoregressions (SVARs) to assess the effects of fiscal policy shocks strongly disagrees on the qualitative and quantitative response of key macroeconomic variables. We find that controlling for differences in specification of the reduced-form model, all identification approaches used in the literature yield similar results regarding the effects of government spending shocks, but diverging results regarding the effects of tax shocks. The Analytics of SVARs. A Unified Framework to Measure Fiscal Multipliers Does fiscal policy stimulate output? SVARs have been used to address this question, but no stylized facts have emerged. I show that different priors about the output elasticities of tax revenue and government expenditures implied by the identification schemes generate a large dispersion in the estimates of tax and spending multipliers. I estimate fiscal multipliers consistent with prior distributions of the elasticities computed by a variety of empirical strategies. I document that in the U.S. spending multipliers are larger than the tax multipliers. Computing DSGE Models with Recursive Preferences and Stochastic Volatility This paper compares solution methods for computing the equilibrium of dynamic stochastic general equilibrium models with recursive preferences and stochastic volatility. The main finding is that a third-order perturbation is competitive in terms of accuracy with Chebyshev polynomials and value function iteration, while being an order of magnitude faster to run. Business Cycle Accounting and Misspecified DSGE Models This paper investigates how insights from the literature on business cycle accounting can be used to trace out the implications of missing channels in a baseline estimated dynamic stochastic general equilibrium model used for forecast and policy analysis.
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TETTAMANZI, MICHELE. "EXPECTATIONS IN MACROECONOMICS: PERSPECTIVES, LABORATORY EXPERIMENTS AND AB MODELS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2017. http://hdl.handle.net/10280/36156.
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La presente tesi studia le aspettative in macroeconomia contribuendo alla letteratura esistente sia indagando circa il meccanismo di formazione delle aspettative, sia analizzando come le aspettative a razionalità limitata influenzino la dinamica economica.
Nel primo capitolo viene presentato un esperimento nel quale ai soggetti viene chiesto di predire il valore futuro dell'inflazione: a seconda del trattamento, i soggetti possono venire esposti ad un segnale, che mira a stabilizzare l'economia, che fungendo quindi da indicazione prospettica (Forward Guidance). I risultati vengono poi studiati sottolineando il meccanismo di formazione delle aspettative soprattutto in funzione della credibilità del segnale; inoltre viene studiata l'efficacia dello strumento di politica monetaria nella stabilizzazione del sistema economico: si evidenzia come un segnale informativo permetta una sensibile stabilizzazione dell'economia, prevenendo spirali deflazionistiche.
Nel secondo capitolo viene sviluppato un modello ad agenti il quale incorpora un meccanismo di formazione delle aspettative a razionalità limitata, derivato da esperimenti precedenti. Inoltre, grazie ad un peculiare processo di aggregazione, viene derivato un modello analiticamente trattabile che permette di studiare il meccanismo di trasmissione di uno shock, isolando gli effetti dovuti all'eterogeneità fra gli agenti e alle aspettative: entrambi gli effetti sono considerevoli ed aiutano nello spiegare la dinamica economica.The present dissertation analyses expectations in macroeconomics, contributing to the existing literature both studying the expectation formation process, and inquiring how economic dynamic is influenced by boundedly rational expectations. The first chapter presents a learn to forecast experiment in which subject are asked to form expectation regarding the future value of inflation: depending on the treatment, subjects might be exposed to a signal, which possibly aim at stabilizing economy, mimicking the non conventional monetary policy instrument called Delphic Forward Guidance. The collected data are studied trying to recover the underlying expectation formation process highlighting especially the role of credibility of the signal; moreover from the data emerges that informative Forward Guidance helps in stabilizing economy, drastically reducing the probability of deflationary spirals. The second chapter develops an agent-based model, encapsulating a boundedly rational expectation formation process, which had been extrapolated in previous experiments. Moreover benefiting from a specific aggregation procedure, we derive a model characterized by high analytical tractability, allowing hence to study the transmission mechanisms of a shock by insulating the effects due to the heterogeneity among agents and due to expectations: both the effects are sizable and help in understanding the dynamics of the economic system.
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TETTAMANZI, MICHELE. "EXPECTATIONS IN MACROECONOMICS: PERSPECTIVES, LABORATORY EXPERIMENTS AND AB MODELS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2017. http://hdl.handle.net/10280/36156.
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La presente tesi studia le aspettative in macroeconomia contribuendo alla letteratura esistente sia indagando circa il meccanismo di formazione delle aspettative, sia analizzando come le aspettative a razionalità limitata influenzino la dinamica economica.
Nel primo capitolo viene presentato un esperimento nel quale ai soggetti viene chiesto di predire il valore futuro dell'inflazione: a seconda del trattamento, i soggetti possono venire esposti ad un segnale, che mira a stabilizzare l'economia, che fungendo quindi da indicazione prospettica (Forward Guidance). I risultati vengono poi studiati sottolineando il meccanismo di formazione delle aspettative soprattutto in funzione della credibilità del segnale; inoltre viene studiata l'efficacia dello strumento di politica monetaria nella stabilizzazione del sistema economico: si evidenzia come un segnale informativo permetta una sensibile stabilizzazione dell'economia, prevenendo spirali deflazionistiche.
Nel secondo capitolo viene sviluppato un modello ad agenti il quale incorpora un meccanismo di formazione delle aspettative a razionalità limitata, derivato da esperimenti precedenti. Inoltre, grazie ad un peculiare processo di aggregazione, viene derivato un modello analiticamente trattabile che permette di studiare il meccanismo di trasmissione di uno shock, isolando gli effetti dovuti all'eterogeneità fra gli agenti e alle aspettative: entrambi gli effetti sono considerevoli ed aiutano nello spiegare la dinamica economica.The present dissertation analyses expectations in macroeconomics, contributing to the existing literature both studying the expectation formation process, and inquiring how economic dynamic is influenced by boundedly rational expectations. The first chapter presents a learn to forecast experiment in which subject are asked to form expectation regarding the future value of inflation: depending on the treatment, subjects might be exposed to a signal, which possibly aim at stabilizing economy, mimicking the non conventional monetary policy instrument called Delphic Forward Guidance. The collected data are studied trying to recover the underlying expectation formation process highlighting especially the role of credibility of the signal; moreover from the data emerges that informative Forward Guidance helps in stabilizing economy, drastically reducing the probability of deflationary spirals. The second chapter develops an agent-based model, encapsulating a boundedly rational expectation formation process, which had been extrapolated in previous experiments. Moreover benefiting from a specific aggregation procedure, we derive a model characterized by high analytical tractability, allowing hence to study the transmission mechanisms of a shock by insulating the effects due to the heterogeneity among agents and due to expectations: both the effects are sizable and help in understanding the dynamics of the economic system.
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Raciborski, Rafal. "Topics in macroeconomics and finance." Doctoral thesis, Universite Libre de Bruxelles, 2014. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209211.
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The thesis consists of four chapters. The introductory chapter clarifies different notions of rationality used by economists and gives a summary of the remainder of the thesis. Chapter 2 proposes an explanation for the common empirical observation of the coexistence of infrequently-changing regular price ceilings and promotion-like price patterns. The results derive from enriching an otherwise standard, albeit stylized, general equilibrium model with two elements. First, the consumer-producer interaction is modeled in the spirit of the price dispersion literature, by introducing oligopolistic markets, consumer search costs and heterogeneity. Second, consumers are assumed to be boundedly-rational: In order to incorporate new information about the general price level, they have to incur a small cognitive cost. The decision whether to re-optimize or act according to the obsolete knowledge about prices is itself a result of optimization. It is shown that in this economy, individual retail prices are capped below the monopoly price, but are otherwise flexible. Moreover, they have the following three properties: 1) An individual price has a positive probability of being equal to the ceiling. 2) Prices have a tendency to fall below the ceiling and then be reset back to the cap value. 3) The ceiling remains constant for extended time intervals even when the mean rate of inflation is positive. Properties 1) and 2) can be associated with promotions and properties 1) and 3) imply the emergence of nominal price rigidity. The results do not rely on any type of direct costs of price adjustment. Instead, price stickiness derives from frictions on the consumers’ side of the market, in line with the results of several managerial surveys. It is shown that the developed theory, compared to the classic menu costs-based approach, does better in matching the stylized facts about the reaction of individual prices to inflation. In terms of quantitative assessment, the model, when calibrated to realistic parameter values, produces median price ceiling durations that match values reported in empirical studies.The starting point of the essay in Chapter 3 is the observation that the baseline New-Keynesian model, which relies solely on the notion of infrequent price adjustment, cannot account for the observed degree of inflation sluggishness. Therefore, it is a common practice among macro- modelers to introduce an ad hoc additional source of persistence to their models, by assuming that price setters, when adjusting a price of their product, do not set it equal to its unobserved individual optimal level, but instead catch up with the optimal price only gradually. In the paper, a model of incomplete adjustment is built which allows for explicitly testing whether price-setters adjust to the shocks to the unobserved optimal price only gradually and, if so, measure the speed of the catching up process. According to the author, a similar test has not been performed before. It is found that new prices do not generally match their estimated optimal level. However, only in some sectors, e.g. for some industrial goods and services, prices adjust to this level gradually, which should add to the aggregate inflation sluggishness. In other sectors, particularly food, price-setters seem to overreact to shocks, with new prices overshooting the optimal level. These sectors are likely to contribute to decreasing the aggregate inflation sluggishness. Overall, these findings are consistent with the view that price-setters are boundedly-rational. However, they do not provide clear-cut support for the existence of an additional source of inflation persistence due to gradual individual price adjustment. Instead, they suggest that general equilibrium macroeconomic models may need to include at least two types of production sectors, characterized by a contrasting behavior of price-setters. An additional finding stemming from this work is that the idiosyncratic component of the optimal individual price is well approximated by a random walk. This is in line with the assumptions maintained in most of the theoretical literature.
Chapter 4 of the thesis has been co-authored by Julia Lendvai. In this paper a full-fledged production economy model with Kahneman and Tversky’s Prospect Theory features is constructed. The agents’ objective function is assumed to be a weighted sum of the usual utility over consumption and leisure and the utility over relative changes of agents’ wealth. It is also assumed that agents are loss-averse: They are more sensitive to wealth losses than to gains. Apart from the changes in the utility, the model is set-up in a standard Real Business Cycle framework. The authors study prices of stocks and risk-free bonds in this economy. Their work shows that under plausible parameterizations of the objective function, the model is able to explain a wide set of unconditional asset return moments, including the mean return on risk-free bonds, equity premium and the Sharpe Ratio. When the degree of loss aversion in the model is additionally assumed to be state-dependent, the model also produces countercyclical risk premia. This helps it match an array of conditional moments and in particular the predictability pattern of stock returns.
Doctorat en Sciences économiques et de gestion
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POSCHKE, Markus. "Firm heterogeneity and macroeconomic performance." Doctoral thesis, European University Institute, 2007. http://hdl.handle.net/1814/10310.
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Defence date: 7 December 2007Examining Board: Prof. Omar Licandro, (EUI) ; Prof. Salvador Ortigueira, (EUI) ; Prof. Russell Cooper, (University of Texas at Austin) ; Prof. Jaume Ventura, (CREI, Universitat Pompeu Fabra)
PDF of thesis uploaded from the Library digital archive of EUI PhD theses
The regulation of entry and aggregate productivity Euro Area economies have lower firm turnover rates, lower total factor and labor productivity, and higher capital intensity than the Unites States. I argue that differences in entry cost contribute to this pattern by affecting firms' technology choice. Introducing technology choice into a standard heterogeneous firm model, small differences in administrative entry cost suffice to explain 10-20% of differences in total factor productivity and the capital-output ratio. The productivity difference arises because higher equilibrium capital intensity acts as an entry barrier and protects low-productivity incumbents. Both firm heterogeneity and technology choice are crucial for strengthening results compared to previous studies. 2 Employment protection, firm selection, and growth This paper analyzes the effect of ring costs on aggregate productivity growth. For this purpose, a model of endogenous growth through selection and imitation is developed. It is consistent with recent evidence on firm dynamics and on the importance of reallocation for productivity growth. In the model, growth is driven by selection among heterogeneous incumbent firms, and is sustained as entrants imitate the best incumbents. In this framework, firing costs not only induce misallocation of labor, but also affect growth by affecting firms' exit decisions. Importantly, charging firing costs only to continuing firms raises growth by promoting selection. Also charging them to exiting firms is akin to an exit tax, hampers selection, and reduces growth { by 0.1 percentage points in a calibrated version of the model. With job turnover very similar in the two settings, this implies that the treatment of exiting firms matters for welfare. In addition, the impact on growth rates is larger in sectors where firms face larger idiosyncratic shocks, as in services. This fits evidence that recent EU-US growth rate differences are largest in these sectors and implies that firing costs can play a role here. A brief empirical analysis of the impact of firing costs on the size of exiting firms supports the model's conclusions. 3 The labor market, the decision to become an entrepreneur, and the firm size distribution Why do some people become entrepreneurs, and how do labor markets affect this choice? This paper addresses this question using a matching model with occupational choice and heterogeneity in both ability as a worker and ex ante unknown productivity of firm start-ups. Key effects are the following: labor market conditions affect incentives to start firms differently for workers and the unemployed, with repercussions on aggregate productivity; and they affect the expected value of firm creation due to the possibility of failure. These effects go beyond the standard impact of labor market conditions on firms' employment policy and value. The correlation of observed productive ability and potential productivity significantly shapes the firm size distribution, suggesting that the empirical correlation is positive but far from perfect. Finally, the model allows for a comparatively flexible lower tail of the firm size distribution and can explain the existence and persistence of small, lowproductivity firms with low profits: their owners have low outside options in the labor market.
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KAVTARADZE, LASHA. "DINAMICS AND LATENT VARIABLES IN APPLIED MACROECONOMICS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2016. http://hdl.handle.net/10280/16793.
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La tesi di dottorato, composta da tre capitoli, si concentra sulla valutazione delle dinamiche di inflazione in Georgia e sulla previsione dei tassi di cambio nominali per i Paesi della European Eastern Partnership attraverso l’utilizzo di moderne tecniche econometriche. Nel primo capitolo, abbiamo svolto un’indagine sui modelli di previsione dei tassi di cambio e dell’inflazione. Questa indagine rivela che i modelli “factor-based and time-varying parameter” generano migliori previsioni rispetto ad altri modelli.
Nel secondo capitolo, abbiamo approfondito le dinamiche di inflazione in Georgia utilizzando la New Keynesian Phillips Curve ibrida, inserita all’interno di un quadro di un modello “time-varying parameter (TVP)”. Una stima del modello TVP con volatilità stocastica mostra la persistenza di un’inflazione bassa durante il periodo 1996-2012. Un’analisi più approfondita dal 2003 mostra una volatilità crescente dell’inflazione. Inoltre, le stime del parametro evidenziano che la componente forward-looking del modello è importante a seguito dell’adozione di inflation targeting da parte della NBG a partire dal 2009.
Nel terzo capitolo, abbiamo costruito dei modelli fattoriali, “Factor Vector Autoregressive” per prevedere i tassi di cambio nominali per i Paesi dell’European Eastern Partnership. Questi modelli prevedono meglio i tassi di cambio nominali rispetto ad un processo naïve come il random walk.The Ph.D. thesis consist of three chapters on evaluating inflation dynamics in Georgia and modeling and forecasting nominal exchange rates for the European Eastern Partnership (EaP) countries using modern applied econometric techniques. In the first chapter, we survey of models those produce high predictive powers for forecasting exchange rates and inflation. This survey reveals that the factor-based and time-varying parameter (TVP) models generate superior forecasts relative to all other models. In the second chapter, we study inflation dynamics in Georgia using a hybrid New Keynesian Phillips Curve (NKPC) nested within a time-varying parameter (TVP) framework. Estimation of a TVP model with stochastic volatility shows low inflation persistence over the entire time span (1996-2012), while revealing increasing volatility of inflation shocks since 2003. Moreover, parameter estimates point to the forward-looking component of the model gaining importance following the National Bank of Georgia (NBG) adoption of inflation targeting in 2009. In the third chapter, we construct Factor Vector Autoregressive (FVAR) models to forecast nominal exchange rates for the EaP countries. This study provides better forecasts of nominal exchange rates than those produced by the random walk process.
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KAVTARADZE, LASHA. "DINAMICS AND LATENT VARIABLES IN APPLIED MACROECONOMICS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2016. http://hdl.handle.net/10280/16793.
Full textAbstract:
La tesi di dottorato, composta da tre capitoli, si concentra sulla valutazione delle dinamiche di inflazione in Georgia e sulla previsione dei tassi di cambio nominali per i Paesi della European Eastern Partnership attraverso l’utilizzo di moderne tecniche econometriche. Nel primo capitolo, abbiamo svolto un’indagine sui modelli di previsione dei tassi di cambio e dell’inflazione. Questa indagine rivela che i modelli “factor-based and time-varying parameter” generano migliori previsioni rispetto ad altri modelli.
Nel secondo capitolo, abbiamo approfondito le dinamiche di inflazione in Georgia utilizzando la New Keynesian Phillips Curve ibrida, inserita all’interno di un quadro di un modello “time-varying parameter (TVP)”. Una stima del modello TVP con volatilità stocastica mostra la persistenza di un’inflazione bassa durante il periodo 1996-2012. Un’analisi più approfondita dal 2003 mostra una volatilità crescente dell’inflazione. Inoltre, le stime del parametro evidenziano che la componente forward-looking del modello è importante a seguito dell’adozione di inflation targeting da parte della NBG a partire dal 2009.
Nel terzo capitolo, abbiamo costruito dei modelli fattoriali, “Factor Vector Autoregressive” per prevedere i tassi di cambio nominali per i Paesi dell’European Eastern Partnership. Questi modelli prevedono meglio i tassi di cambio nominali rispetto ad un processo naïve come il random walk.The Ph.D. thesis consist of three chapters on evaluating inflation dynamics in Georgia and modeling and forecasting nominal exchange rates for the European Eastern Partnership (EaP) countries using modern applied econometric techniques. In the first chapter, we survey of models those produce high predictive powers for forecasting exchange rates and inflation. This survey reveals that the factor-based and time-varying parameter (TVP) models generate superior forecasts relative to all other models. In the second chapter, we study inflation dynamics in Georgia using a hybrid New Keynesian Phillips Curve (NKPC) nested within a time-varying parameter (TVP) framework. Estimation of a TVP model with stochastic volatility shows low inflation persistence over the entire time span (1996-2012), while revealing increasing volatility of inflation shocks since 2003. Moreover, parameter estimates point to the forward-looking component of the model gaining importance following the National Bank of Georgia (NBG) adoption of inflation targeting in 2009. In the third chapter, we construct Factor Vector Autoregressive (FVAR) models to forecast nominal exchange rates for the EaP countries. This study provides better forecasts of nominal exchange rates than those produced by the random walk process.
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Ma, Jun. "Essays on inference in weakly identified models in macroeconomics and finance /." Thesis, Connect to this title online; UW restricted, 2007. http://hdl.handle.net/1773/7502.
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Chauvel, Thierry. "Essays on Open Economy Macroeconomics." Thesis, Université de Lorraine, 2018. http://www.theses.fr/2018LORR0119.
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L'objectif de cette thèse est d'évaluer l'interdépendance macroéconomique entre pays développés sur les récentes décennies et, en particulier, à la suite de la crise financière de 2007-09 aux États-Unis. Pour cela, on utilise différentes hypothèses de modélisation dans les trois chapitres principaux que constituent la thèse permettant de capturer la dimension internationale des cycles économiques : modèle VAR en panel permettant de modéliser l'interdépendance entre les pays directement, modèle VAR simple en utilisant des variables domestiques et étrangères, et modèle DSGE à 2 pays permettant de modéliser directement les mécanismes réels et financiers qui lient les pays entre eux. Notre résultat principal est que la dimension internationale est importante pour expliquer la dynamique macroéconomique des pays développés sur les trois dernières décennies, que les variables soient réelles, nominales ou financières. Néanmoins, le rôle des facteurs étrangers ne croit pas dans le temps comme on pourrait le penser avec l'accentuation de la mondialisation de ces dernières décennies. Aussi, en regardant les crises économiques récentes aux États-Unis et de la zone euro, nous confirmons que la crise financière américaine de 2007-09 présente un choc plus important comparé aux standards historiques, qui s'est propagé à la zone euro à travers les liens financiers internationaux. Au contraire, la crise des dettes publiques de la zone euro de 2011 est un choc relativement standard, similaire aux chocs observés pendant la crise du Système Monétaire Européen (SME) de 1992-93, et affectant principalement les économies européennesThe aim of this thesis is to evaluate macroeconomic interdependence between developed economies over the recent decades and, in particular, following the 2007-09 US financial crisis. For that purpose, we use several modeling assumptions across the three main chapters of the thesis to capture the international dimension of business cycles across countries: panel VAR model to model countries interdependence directly, simple VAR model with both domestic and foreign variables, and two-country DSGE model to model the real and financial mechanisms that link countries together. Our main result is that international dimension is important to explain the macroeconomic dynamics of developed economies over the last three decades and for either real, nominal and financial variables. Nevertheless, the role of foreign factors does not grow over time as would be expected with the increase in globalization of the recent decades. Also, looking at the recent economic crises in the US and the euro area, we confirm that the 2007-09 US financial crisis features a bigger shock relative to historical standards, which propagated to euro area economies through international financial linkages. In contrast, the 2011 euro area sovereign debt crisis features a standard shock, comparable to those observed in previous European crises like the 1992-1993 ERM crisis, and affecting mostly European economies
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Thoenissen, Christoph. "Dynamic general equilibrium models of the real exchange rate." Thesis, University of York, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.321674.
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Ueda, Kōzō. "Macroeconomic models of the Japanese crisis." Thesis, University of Oxford, 2006. http://ora.ox.ac.uk/objects/uuid:94b10e1e-26d2-44a4-8182-6b26b06f59be.
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Japan has experienced a prolonged stagnation since bursting the asset market bubble early in the 1990's. It is very important to understand the underlying problems in order to find a remedy to escape this stagnation. This thesis aims to theoretically analyse the current Japanese economy, especially from the viewpoint of multiple equilibria. According to this view, the same fundamentals can yield a multiple outcome depending on history or expectations. This thesis argues that Japan's situation can be regarded as a bad equilibrium which has been provoked by wide-spread pessimism and a bubble collapse. Three chapters independently attempt to construct theoretical models describing the current Japanese situation. Chapter 2 demonstrates that demand externalities yield multiple equilibria. In a bad equilibrium, firms dare not participate in trade, which causes aggregate demand and welfare to decrease. A global games approach then illustrates how equilibrium is selected. Chapter 3, with the objective of seeing if Japan's depression was provoked by the misconduct of monetary policy, investigates the relation between indeterminacy and a monetary policy rule using a sticky price and firm-specific investment model. The standard Taylor principle is shown to be almost sufficient to eliminate indeterminacy, which suggests that the Bank of Japan did not exacerbate the economy while interest rate rules functioned, that is, until 1999. Chapter 4 focuses on a zero nominal interest rate bound, which has been observed since 1999. The ineffectiveness of the monetary policy yields a bad short-run outcome where real economic activity and asset prices become lower. There are long-run multiple equilibria in this story, and that is our explanation for the problem. Within this model, however, our .analysis does not justify a claim that a zero bound for the interest rate causes a long-run equilibrium to be a bad one.
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Marco, Cozzi. "Essays on macroeconomics models of crime and the labor market." Thesis, University College London (University of London), 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.498385.
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Flury, Thomas. "Econometrics of dynamic non-linear models in macroeconomics and finance." Thesis, University of Oxford, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.523095.
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Zeng, Songlin. "Nonlinear Time Series Models with Applications in Macroeconomics and Finance." Thesis, Cergy-Pontoise, 2013. http://www.theses.fr/2013CERG0638.
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Les trois chapitres suivants examinent: 1) si les taux de change réels d'Asie du Sud-Est sont nonlinéaire, 2) l'inférence bayésienne sur le modèle de série temporelle nonlinéaire avec des applications sur le taux de change réel,et 3) la cyclicité et effet de rebond dans le marché boursier.Depuis la fin des années nonante, les analyses théorique et empirique consacrée au taux de change réel suggèrent que la dynamique pourrait être bien estimés par les modèles non linéaires. Le premier chapitre examine cette possibilité utilisant les données mensuelles de l'ASEAN-5, et il s'étend la recherche existante dans deux directions. Tout d'abord, nous utilisons récemment mis au point des tests de racine unitaire ce qui permettra d'assouplir les modèles non linéaires stationnaires dans le cadre du d'autre alternative que l'couramment utilisés à SETAR ou ESTAR modèle. Deuxièmement, bien que différents modèles nonlinéaires survivre aux tests de mis-spécification, une expérience Monte Carlo à partir de généralisées fonctions de réponse impulsionnelle est utilisé pour comparer leur pertinence relative. Nos résultats i) soutenir l'hypothèse de retour nonlinéaire à la moyenne , et donc la parité de pouvoir d'achat, dans la moitié des cas et ii) indiquent MRLSTAR et ESTAR comme les plus probables processus générant des taux de change réels.Le deuxième chapitre analyse ACR modèle. Nous proposons une approche bayésienne complète d'inférence et une attention particulière est portée sur les paramètres des variables de seuil. Nous discutons le choix des distributions a priori et proposer une chaîne de Markov algorithme de Monte Carlo pour estimer les paramètres et les variables latentes. Une étude de simulation et de l'application à des données taux de change réelles illustrer l'analyse.Le troisième chapitre explore que les différentes formes de recouvrements dans les marchés financiers peuvent présenter dans un modèle de Markov Switching. Elle s'appuie sur les effets de rebond d'abord analysé par Kim, Morley et Piger [2005] dans le cycle des affaires et généralisé par Bec, Bouabdallah et Ferrara [2011] pour permettre une plus souple de type rebond.Nos résultats i) montrer que l'effet de rebond est statistiquement significative et importante dans tous les cas, mais l'Allemagne où la preuve est moins claire et ii) l'impact négatif permanent de marchés baissiers sur l'indice est notablement réduite lorsque le rebond est explicitement pris en compteThe following three chapters investigate: 1) whether Southeast Asian real exchange rates are nonlinear mean reverting, 2) bayesian inference on nonlinear time series model with applications in real exchange rate, and 3)cyclicality and bounce-back effect in stock market. Since the late nineties, both theoretical and empirical analyses devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions. First, we use recently developed unit root tests which allow for more flexible nonlinear stationary models under the alternative than the commonly used Self-Exciting Threshold or Exponential Smooth Transition AutoRegressions. Second, while different nonlinear models survive the mis-specification tests, a Monte Carlo experiment from generalized impulse response functions is used to compare their relative relevance. Our results support the nonlinear mean-reverting hypothesis, and hence the Purchasing Power Parity, in half the cases and point to the Multiple Regime-Logistic Smooth Transition and the Self-Exciting Threshold AutoRegressive models as the most likely data generating processes of these real exchange rates.Various nonlinear threshold models are employed to mimic the real exchange rate dynamics. A natural question arises: Which model does the best job of modeling the real exchange rate process? It is difficult and not straightforward to formally compare the nonlinear models within classic approach. In the second chapter, we propose to use Bayesian approach to address this issue. The second part of my dissertation actually uses a Bayesian method to estimate some nonlinear time series models, the ACR model, SETAR model, and MAR model. We propose a full Bayesian inference approach and particular attention is paid to the parameters of the threshold variables. We discuss the choice of the prior distributions and propose a Markov-chain Monte Carlo algorithm for estimating both the parameters and the latent variables. A simulation study and the application to real exchange rate data illustrate the analysis. Our empirical results of the second chapter show that i) Bayesian estimations closely match those of the Maximum likelihood for French real exchange rate vis-a-vis Deutsche Mark; ii)the speed of real exchange rate's adjustment to equilibrium level is overestimated if heterogeneous variances in two regimes is not taken into account; iii) ACR model is preferred to other nonlinear threshold models, SETAR and MAR; iv) within ACR class models, the suitable transition function form is selected based on Bayes factor.This paper proposes an empirical study of the shape of recoveries in financial markets from a bounce-back augmented Markov Switching model. It relies on models first applied by Kim, Morley et Piger [2005] to the business cycle analysis. These models are estimated for monthly stock market returns data of five developed countries for the post-1970 period. Focusing on a potential bounce-back effect in financial markets, its presence and shape are formally tested. Our results show that i) the bounce-back effect is statistically significant and large in all countries, but Germany where evidence is less clear-cut and ii) the negative permanent impact of bear markets on the stock price index is notably reduced when the rebound is explicitly taken into account
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Caruso, Alberto. "Essays on Empirical Macroeconomics." Doctoral thesis, Universite Libre de Bruxelles, 2020. https://dipot.ulb.ac.be/dspace/bitstream/2013/308164/4/TOC.pdf.
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The thesis contains four essays, covering topics in the field of real-time macroeconometrics, forecasting and applied macroeconomics. In the first two chapters, I use recent techniques developed in the "nowcasting" literature in order to analyse and interpret the macroeconomic news flow. I use them either to assess current macroeconomic conditions, showing the importance of foreign indicators dealing with small open economies, or linking macroeconomic news to asset prices, through a model that help us interpret macroeconomic data and explaining the linkages between macro variables and financial indicators. In the third chapter, I analyse the link between macroeconomic data in real-time and the yield curve of interest rates, constructing a forecasting model which takes into account the peculiar characteristics of the macroeconomic data flow. In the last chapter, I present a Bayesian Vector Autoregression model built in order to analyse the last two crisis in the Eurozone (2008-09, and 2011-12) identifying their unique characteristics with respect to historical regularities, an issue of great importance from a policy perspective.Doctorat en Sciences économiques et de gestion
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Santos, Monteiro Paulo. "Essays on uninsurable individual risk and heterogeneity in macroeconomics." Doctoral thesis, Universite Libre de Bruxelles, 2008. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210528.
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This thesis examines empirical and theoretical issues related to the role of uninsurable individual risk and heterogeneity in macroeconomics. The thesis includes four chapters. The first chapter uses data from the Panel Study of Income Dynamics (PSID) to test full risk-sharing among North American households. The second chapter is a short essay where I use simulated data to show how the method applied in the previous chapter can be used to distinguish between partial risk sharing and imperfect credit markets. The third chapter develops a heterogeneous agent dynamic general equilibrium model which jointly models aggregate saving and employment. Finally, the fourth chapter investigates empirically the ability of financial market incompleteness to help explaining the equity premium puzzle. The central motivation throughout this dissertation is the recognition that the interaction between cross-sectional volatility and aggregate volatility is of fundamental importance to understand the way we should model macroeconomic aggregates such as aggregate consumption, asset prices and business cycle fluctuations.
Doctorat en Sciences économiques et de gestion
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Tilley, Luke Alan. "Dynamic Energy Models and Carbon Mitigation Policies." Diss., Temple University Libraries, 2012. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/201311.
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EconomicsPh.D.
In this dissertation I examine a specific class of energy models and their implications for carbon mitigation policies. The class of models includes a production function capable of reproducing the empirically observed phenomenon of short run rigidity of energy use in response to energy price changes and long run flexibility of energy use in response to energy price changes. I use a theoretical model, parameterized using empirical data, to simulate economic performance under several tax regimes where taxes are levied on capital income, investment, and energy. I also investigate transitions from one tax regime to another. I find that energy taxes intended to reduce energy use can successfully achieve those goals with minimal or even positive impacts on macroeconomic performance. But the transition paths to new steady states are lengthy, making political commitment to such policies very challenging.
Temple University--Theses
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Pundit, Madhavi. "Essays on Business Cycle Models." Thesis, Boston College, 2011. http://hdl.handle.net/2345/2170.
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Thesis advisor: Susanto BasuThesis advisor: Fabio Ghironi
Empirical studies highlight that countries that trade intermediate goods exhibit more synchronized business cycles. This positive correlation raises the question of causality. Traditional theoretical mechanisms propose the direction where higher bilateral trade in intermediate goods causes increased business cycle correlations. However, the data shows that trade is positively correlated with comovements in GDP as well as total factor productivity (TFP) and the current work in the literature explains only the first relation. I build a small open economy model that makes two contributions -- first, it predicts both positive correlations as seen in the data. Second, it explains potential causality in the reverse direction, i.e. countries might choose trade partners based on the properties of their business cycles. Specifically, the model predicts that when the elasticity of substitution between domestic capital and intermediate imports is low, i.e. the country is constrained by domestic technology, there is greater benefit from trading with a positively correlated source and self-insuring through capital accumulation. I provide empirical evidence of this condition in the data by estimating the elasticity of substitution between capital and intermediates by industry using a panel of countries. We use annual time series data and filtering methods to document the key statistics of the India business cycle. Output, consumption and investment are more volatile than in developed economies. Like in developed countries, consumption is less volatile and investment is more volatile than output in the Indian data. Unlike in the former, investment is not highly correlated with output. We test whether a standard real business cycle model with technology and fiscal shocks, with parameters calibrated for the Indian economy can replicate the features of the business cycle
Thesis (PhD) — Boston College, 2011
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Delle, Monache Davide. "Essays on state space models and macroeconomic modelling." Thesis, University of Cambridge, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.609745.
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ENDERS, Zeno. "Transmission mechanisms of shocks in open economy and new Keynesian DSGE models." Doctoral thesis, European University Institute, 2007. http://hdl.handle.net/1814/7010.
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Defence date : 25 May 2007Examining Board: Prof. Rick van der Ploeg, (EUI, Supervisor) ; Prof. Giancarlo Corsetti, (EUI) ; Prof. Michael Burda, (Humboldt University) ; Prof. Jordi Gali, (Universitat Pompeu Fabra)
PDF of thesis uploaded from the Library digital archive of EUI PhD theses
Defence date : 25 May 2007; Examining Board: Prof. Rick van der Ploeg, (EUI) ; Prof. Giancarlo Corsetti, (EUI) ; Prof. Michael Burda, (Humboldt University) ; Prof. Jordi Gali, (Universitat Pompeu Fabra); PDF of thesis uploaded from the Library digital archive of EUI PhD theses
This thesis deals with the transmission of shocks, i.e. how economics adjust to unforeseen changes in either exogenous circumstances or policy variables. It is divided in three parts, including this introduction. The second part, containing two chapters, is devoted to the transmission of monetary shocks in closed economies. Chapter 1 looks at frictions at the price-setters side and chapter 2 at frictions at the consumers' side. Both chapters are developing alternative, more micro-founded explanations to the nowadays standard model in New Keynesian Economics, in which price setters are exogenously forced to set prices only at random dates.
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Kim, Jinki. "Applications of non-linear time series models on finance and macroeconomics." Thesis, University of York, 2003. http://etheses.whiterose.ac.uk/10824/.
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Galvão, Ana Beatriz Camatari. "Non-linearities in macroeconomics : evaluation of non-linear time series models." Thesis, University of Warwick, 2001. http://wrap.warwick.ac.uk/89650/.
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This thesis evaluates different specifications of non-linear time series models applied to macroeconomic problems. The evaluations investigate whether linear models are a good representation of the data, and which non-linear specifications are comparatively better in three different applications. In addition, the implications of the evaluation to the understanding of macroeconomic problems and to economic predictions are analysed. The first evaluation concerns univariate non-linear time series models aimed at reproducing the asymmetries of the business cycles. Using business cycle stylised facts and conditional mean functions and surfaces, the results support the use of non-linear models that can generate a three-phase cycle as the specification that can reproduce all the business cycle features, including the asymmetries in the shape of the cycle. The second assessment is of models that characterise the non-linearities of the US term structure of interest rates. The forecast evaluation of different specifications of threshold vector equilibrium correction models, which are estimated for long- and short-term interest rates and their spread, shows that the inclusion of non-linearity improves short-horizon forecasts. However, when compared with AR models, the gains from nonlinearity only occur when the predictions for the spread are evaluated at long horizons. The third assessment concerns non-linear bivariate systems that account for the effect of non-linearities and/or structural breaks when the spread is employed as leading indicator. Different specifications are evaluated using their prediction of the probability of two definitions of recessions. Models with non-linearities and structural breaks perform better at predicting the probability of recession than linear models and models with only non-linearity or structural break. The results of the evaluation of univariate time series models improve the understanding of the connection between these models and business cycle asymmetries. The winner of the forecast competition of bivariate systems of interest rates and their spread indicates that the expectation theory of the term structure of interest only holds for the period in which the spread is negative, even though the spread can predict changes in the long-term rate in a specific state. In addition, the result that structural breaks and non-linearities are important to predict US recessions when the spread is the leading indicator changes the timing of a predicted recession for 2001.
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Cajner, Tomaz. "Essays on the macroeconomics of labor markets." Doctoral thesis, Universitat Pompeu Fabra, 2012. http://hdl.handle.net/10803/83821.
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This thesis investigates several macroeconomic aspects of labor markets. First chapter finds that in the
US more educated individuals experience lower and less volatile unemployment due to a lower hazard
rate of losing a job. A theoretical model with initial on-the-job training illustrates that accumulation of
match-specific human capital can explain this empirical pattern. Second chapter develops a theoretical
model with state-dependent wage setting. The model predicts that higher wage bargaining costs lead to
higher and more volatile unemployment, consistent with some cross-country empirical evidence. Third
chapter proposes a method to indirectly measure job-embodied technical change by using data on job
tenure. The results show that job-embodied technical change has increased substantially since the midnineties.Aquesta tesi investiga diversos aspectes dels mercats de treball. El primer capítol troba que, als Estats Units, els individus amb un nivell d'educació més elevat experimenten un nivell de desocupació més baix i menys volàtil, degut a una menor probabilitat de perdre el lloc de treball. Un model teòric que incorpora formació inicial al lloc de treball il·lustra que l'acumulació de capital humà específic pot explicar aquesta regularitat empírica. El segon capítol desenvolupa un model teòric amb un mecanisme de fixació de salaris que depèn de l'estat de l'economia. El model prediu que uns costos de negociació salarial més elevats comporten un nivell de desocupació més elevat i més volàtil, de forma consistent amb l'evidència empírica entre països. El tercer capítol proposa un mètode per mesurar, de forma indirecta, el canvi tecnològic incorporat als llocs de treball, mitjançant l'ús de dades sobre l'antiguitat al lloc de treball. Els resultats mostren que el canvi tecnològic incorporat als llocs de treball ha augmentat considerablement des de mitjans dels anys noranta.
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ROGANTINI, PICCO Anna. "Essays in macroeconomics : fiscal policy, hiring frictions, uncertainty, and risk sharing." Doctoral thesis, European University Institute, 2020. https://hdl.handle.net/1814/69000.
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Defence date: 24 November 2020Examining Board: Prof. Evi Pappa (University Carlos III of Madrid); Prof. Leonardo Melosi (European University Institute and Federal Reserve Bank of Chicago); Prof. John Fernald (INSEAD and Federal Reserve Bank of San Francisco); Prof. Antonella Trigari (Bocconi University)
The three chapters of this thesis are inspired by some aspects of the complex world where we live in. The first chapter uncovers the role of firms' hiring decisions as a key source of state dependence in the fiscal spending multiplier. When the hiring rate is high, a larger share of workers has to be relocated from production to recruitment and training of the new hires. This diversion of resources lowers firms' productivity and reduces the effect of government spending stimulus on output. I establish this result using local projections and I illustrate this mechanism building a non-linear dynamic general equilibrium model. The second chapter, joint with Joonseok Oh, shows how uninsurable unemployment risk is crucial to qualitatively and quantitatively match macro responses to uncertainty shocks. Empirically, uncertainty shocks i) generate deflationary pressure; ii) have considerably negative consequences on economic activity; iii) produce a drop in aggregate consumption, which is mainly driven by the response of the households in the bottom 60% of the income distribution. Standard representative-agent New Keynesian models have difficulty to deliver these effects. A heterogeneous-agent framework with search and matching frictions and Calvo pricing allows us to jointly attain these results. Uncertainty shocks induce households' precautionary saving and firms' precautionary pricing behaviors, triggering a fall in aggregate demand and supply. These precautionary behaviors increase the unemployment risk of the imperfectly insured households, who strengthen precautionary saving. When the feedback loop between unemployment risk and precautionary saving is strong enough, a rise in uncertainty leads to i) a drop in action; ii) amplified negative responses of macro variables; iii) heterogeneous consumption responses of households, which are consistent with the empirical evidence. The third chapter, joint with Alessandro Ferrari, empirically evaluates whether adopting a common currency has changed the ability of euro area member states to share risk. We construct a counterfactual dataset of macroeconomic variables through the synthetic control method. We then use the output variance decomposition of Asdrubali, Sorensen and Yosha (1996) on both the actual and the synthetic data to study if there has been a change in risk sharing and through which channels. We find that the euro has reduced consumption smoothing. We further show that this reduction is mainly driven by the periphery countries of the euro area who have experienced a decrease in risk sharing through private credit.
-- 1. Fiscal multipliers : a tale from the labor market -- 2. Macro uncertainty and unemployment risk -- 3. Risk sharing and the adoption of the euro
Chapter 2 ‘Macro uncertainty and unemployment risk' of the PhD thesis draws upon an earlier version published as EUI ECO WP 2019/02 and Chapter 3 ‘Risk sharing and the adoption of the Euro' of the PhD thesis draws upon an earlier version published as ESM Working Paper Series 17/2016 and as ADEMU Working Paper Series 2017/055.
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Gupta, Nupur. "Risk Determination and Outcomes in Equilibrium Macroeconomic Models." The Ohio State University, 2021. http://rave.ohiolink.edu/etdc/view?acc_num=osu1618785125480503.
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Kim, Yunmi. "Essays on time series models with dynamic coefficients in macroeconomics and finance /." Thesis, Connect to this title online; UW restricted, 2008. http://hdl.handle.net/1773/7379.
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Mohaghegh, Mohsen. "Essays in Macroeconomic Models of Wealth Inequality." The Ohio State University, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu156086394181863.
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Holden, Thomas. "Three essays in dynamic macroeconomics." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:ffb57da3-c95b-47e2-b85f-453f1a902171.
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This thesis presents three papers within the field of dynamic macroeconomics. The first paper, entitled “Medium-frequency cycles and the remarkable near trend-stationarity of output”, presents a dynamic stochastic general equilibrium model with endogenous growth, capable of reconciling the observed large medium-frequency fluctuations in output, with its long run (near) trend-stationarity. This requires a model in which standard business cycle shocks lead to highly persistent movements around trend, without significantly altering the trend itself. The robustness of the trend also requires that scale effects are eliminated both in the long and short runs. In an estimated version of the model, a financial-type shock to the stock of ideas emerges as the key driver of the medium frequency cycle. The second paper, entitled “Learning from learners”, is an intervention into two long running debates: the first, on whether learnability may be used to rule out explosive paths for inflation in New Keynesian models, and the second, into whether Taylor rule parameters may be identified from observing the data. We find that in an economy populated with traditional macroeconomic learners, Taylor rule parameters can always be identified by sophisticated econometric techniques. Furthermore, when all agents in the economy use such sophisticated techniques, stationary sunspot solutions are readily learnable, and there is no guarantee of convergence to a stationary solution even in the “determinate” case. This implies that learnability cannot be used for equilibrium selection. Finally, in the third paper, “Efficient simulation of DSGE models with inequality constraints” (joint with Michael Paetz), we present a new algorithm for the simulation of models subject to inequality constraints, such as the zero lower bound on nominal interest rates. Our algorithm is shown to deliver higher accuracy than all other non-global algorithms, and leading speed. We go on to provide a number of applications of our algorithm.
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Leite, Fabricio Pitombo 1980. "Macrodinâmica à Keynesiana = uma travessia com consistência entre fluxos e estoques a partir do encadeamento de curtos períodos do multiplicador." [s.n.], 2008. http://repositorio.unicamp.br/jspui/handle/REPOSIP/286118.
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Orientador: Antonio Carlos Macedo e SilvaTese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia
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Resumo: Essa tese esta dividida em três partes. Na primeira, discute-se o curto período subjacente ao multiplicador tradicional dos gastos autonomos, de modo que estejam explicitados os grandes agregados macroeconômicos e as conexoes entre os mesmos, para que a separação entre as parcelas autonoma e induzida com relacao a renda e crucial. Em um segundo capitulo, integrante dessa primeira parte, procede-se a estimativas dos parâmetros envolvidos em uma dada especificação do multiplicador, para o Brasil, nas quais tenta-se ainda captar o período de tempo (cronológico) inerente ao período (teórico) do multiplicador. Na segunda parte, realiza-se a tarefa de justificar o tratamento dado ao investimento, considerado autônomo com relacao a renda, lançando Mao de uma explicação a partir das relações intersetoriais existentes num sistema econômico. Mais uma vez, efetua-se a divisão em dois capítulos, um explicitando a base teórica utilizada, a partir de um esquema multissetorial, e outro apresentando resultados empíricos, baseados em matrizes insumo-produto. Finalmente, na terceira parte, empregando modelos de consistência entre fluxos e estoques, são derivadas algumas implicações dinâmicas para alem do curto período do multiplicador, decorrentes de uma dada estrutura observada. Para tal, as estimativas dos parâmetros e do próprio período do multiplicador são utilizadas, passando-se de um modelo teórico de simulação a uma estratégia aplicada que incorpora o papel dos estoques em um arcabouço trivial de analise dos agregados macroeconômicos
Abstract: This thesis is divided into three parts. The first one discusses the short period behind the traditional autonomous expenditure multiplier, in a way that exposes the major macroeconomic aggregates and their interconnections; at this point the separation between the autonomous and induced parcels with respect to income is crucial. A second chapter, compounding the first part, presents estimations of the parameters involved in a given specification of the multiplier, for Brazil, trying also to capture the chronological period of time inherent to the theoretical period of the multiplier. Considering the presentation of the investment in the previous part as autonomous with respect to income, the second part explores this hypothesis arguing from the inter-sectoral relationships existent in a economic system. Once more, the division in two chapters was made, one outlining the theoretical basis, from a multi-sectoral scheme, and another featuring empirical results, based on input-output matrices. Finally, the third part employs stock-flow consistent models to derive some dynamical implications to beyond the short period of multiplier, resulting from a given observed structure. To this end, the estimations of the parameters and of the multiplier period are used, moving from a theoretical simulation model to an applied strategy that incorporates the role of stocks in a trivial framework of analysis of the macroeconomic aggregates
Doutorado
Teoria Economica
Doutor em Ciências Econômicas
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Tavares, Ivo Alberto Valente. "Uncertainty quantification with a Gaussian Process Prior : an example from macroeconomics." Doctoral thesis, Instituto Superior de Economia e Gestão, 2021. http://hdl.handle.net/10400.5/21444.
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Doutoramento em Matemática Aplicada à Economia e GestãoThis thesis may be broadly divided into 4 parts. In the first part, we do a literature review of the state of the art in misspecification in Macroeconomics, and what so far has been the contribution of a relatively new area of research called Uncertainty Quantification to the Macroeconomics subject. These reviews are essential to contextualize the contribution of this thesis in the furthering of research dedicated to correcting non-linear misspecifications, and to account for several other sources of uncertainty, when modelling from an economic perspective. In the next three parts, we give an example, using the same simple DSGE model from macroeconomic theory, of how researchers may quantify uncertainty in a State-Space Model using a discrepancy term with a Gaussian Process prior. The second part of the thesis, we used a full Gaussian Process (GP) prior on the discrepancy term. Our experiments showed that despite the heavy computational constraints of our full GP method, we still managed to obtain a very interesting forecasting performance with such a restricted sample size, when compared with similar uncorrected DSGE models, or corrected DSGE models using state of the art methods for time series, such as imposing a VAR on the observation error of the state-space model. In the third part of our work, we improved on the computational performance of our previous method, using what has been referred in the literature as Hilbert Reduced Rank GP. This method has close links to Functional Analysis, and the Spectral Theorem for Normal Operators, and Partial Differential Equations. It indeed improved the computational processing time, albeit just slightly, and was accompanied with a similarly slight decrease in the forecasting performance. The fourth part of our work delved into how our method would account for model uncertainty just prior, and during, the great financial crisis of 2007-2009. Our technique allowed us to capture the crisis, albeit at a reduced applicability possibly due to computational constraints. This latter part also was used to deepen the understanding of our model uncertainty quantification technique with a GP. Identifiability issues were also studied. One of our overall conclusions was that more research is needed until this uncertainty quantification technique may be used in as part of the toolbox of central bankers and researchers for forecasting economic fluctuations, specially regarding the computational performance of either method.
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Monti, Francesca. "Combining structural and reduced-form models for macroeconomic forecasting and policy analysis." Doctoral thesis, Universite Libre de Bruxelles, 2011. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209970.
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Can we fruitfully use the same macroeconomic model to forecast and to perform policy analysis? There is a tension between a model’s ability to forecast accurately and its ability to tell a theoretically consistent story. The aim of this dissertation is to propose ways to soothe this tension, combining structural and reduced-form models in order to have models that can effectively do both.Doctorat en Sciences économiques et de gestion
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Schetter, Ulrich. "Dynamic Factor Models in Macroeconomics with an Application to the Analysis of Technology Shocks." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01666130002/$FILE/01666130002.pdf.
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Jang, Tae-Seok [Verfasser]. "Moment-Based Estimation of Macroscopic Dynamic Models in Macroeconomics and Finance / Tae-Seok Jang." Kiel : Universitätsbibliothek Kiel, 2012. http://d-nb.info/1027488781/34.
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De, Neeve Eileen O'Brien. "Bernard Lonergan's "Circulation analysis" and macrodynamics." Thesis, McGill University, 1990. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=74336.
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Bernard Lonergan's economic writings have not been fully evaluated by economists although two recent papers by Burley (1989a, 1989b) show that work has begun. The purpose of this dissertation, therefore, is to situate Lonergan's (1944) economics essay, Circulation Analysis, in the history of economic thought of the period as well as to present a Lonerganian cycle model.Circulation Analysis examines fundamental macrodynamic processes to explain fluctuations. It was written in the early 1940s following a period of controversy and debate that led to the current paradigms of economic dynamics. The two sides of the debate are exemplified by Harrod (1936) and Hayek (1933 (1928), 1939), in particular. The controversy ended with World War II and the emerging hegemony of the Anglo-American approach, which separated macrodynamics into growth theory (long-run supply problems), and stabilization theory (short-run demand problems).
This dissertation argues that this dichotomy is unsatisfactory and proposes Lonergan's pure cycle as an alternative paradigm. Lonergan's pure cycle restores the importance of supply-side dynamics in the short-run, without denying the primacy of demand issues in the analysis of deviations. A Lonerganian approach views demand shocks as essentially monetary, but also contends that the distribution of nominal income can cause shocks, if it is not synchronized with changes in real variables.
In this thesis a Lonerganian model is presented that uses a Kydland-Prescott (1982) type of "time-to-build" technology. The model is subjected to permanent productivity shocks to investment, which explain, with a lag, equilibrium output. The monetary and distributional shocks to demand, which are temporary, can then explain the deviation of actual output from its equilibrium value. The model uses a Beveridge and Nelson (1981) approach, which specifies changes in growth rates of variables as a function of permanent and temporary shocks. The shocks are identified because the model is recursive: first, the productivity shock determines investment and equilibrium output; then, the monetary shock determines prices and sales of consumer goods. Simulation results are presented.
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Sharma, Dhruv. "Macroeconomic agent-based models : a statistical physics perspective." Thesis, Université Paris sciences et lettres, 2020. http://www.theses.fr/2020UPSLE011.
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Les modèles à agents (Agent-Based Models ou ABMs) sont apparus comme un paradigme complémentaire pour la modélisation des phénomènes macro-économiques. Par rapport à d’autres modèles plus établis, tels que les modelés DSGE (Dynamic Stochastic General Equilibrium), les ABMs offrent un cadre flexible pour comprendre la complexité de la macroéconomie tout en prenant en compte la nature hétérogène des acteurs économiques, des institutions et des marchés, sans faire d’hypothèses trop restrictives. Ces modelés adoptent une approche “bottom-up” de la modélisation macro-économique en simulant le comportement de chaque agent individuel dans l’économie puis en s’agrégeant pour révéler des phénomènes émergents tels que les cycles économiques endogènes ou les crashs soudains. L’objet de cette thèse est de faire progresser une méthodologie communément utilisée en physique statistique et de l’appliquer à l’étude de deux modèles macro-économiques. Dans les deux modèles étudiés ici, nous déterminons d’abord le “diagramme de phase” du modèle pour identifier les régimes macroscopiques pertinents afin de développer une compréhension intuitive de la macro-dynamique en n’utilisant qu’un petit sous-ensemble de paramètres. Le premier modèle présenté ici s’appuie sur le paradigme des problèmes de satisfaction des contraintes (de l’anglais Constraint Satisfaction Problems, CSPs) et l’intègre dans le cadre des règles de comportement du modèle via les contraintes budgétaires des agents. Ces contraintes, similaires à celles du perceptron, un CSP bien-etudié, révèlent l’existence de trois régimes et soulignent l’importance de la dette pour la stabilité macro-économique : à un faible niveau d’endettement, l’économie reste sans structure et les faillites sont fréquentes, alors qu’à un niveau élevé la dette conduit à des cycles économiques endogènes. Entre ces deux extrêmes, l’on trouve un régime intermédiaire de stabilité relative avec de faibles niveaux des faillites tout le temps. Dans ce modèle, les préférences des agents, qui sont à l’origine du désordre dans le CSP, évoluent continuellement dans le temps. Nous étudions donc un schéma dynamique simple pour le perceptron et découvrons qu’un paysage rugueux peut en effet exister avec un désordre dynamique. Enfin, nous généralisons l’ABM Mark-0 pour simuler les chocs exogènes de consommation et de productivité dus à la pandémie de COVID. Alors que les approches standards élaborent un modèle pour comprendre un résultat particulier, ce modèle peut générer une variété de scénarios après un choc de type COVID. En outre, nous étudions également l’efficacité de plusieurs politiques, notamment la très controversée “monnaie hélicoptère”, pour éviter l’effondrement économique. Nous insistons donc sur l’importance des ABMs comme des “générateurs de scénarios” polyvalents, pour produire des résultats difficiles à prévoir en raison de la complexité intrinsèque de la dynamique macro-économiqueAgent-based models (ABMs) have emerged as a complementary paradigm for modeling macroeconomic phenomena. Compared to other, more established models such as DSGE (Dynamic Stochastic General Equilibrium) models, ABMs provide a flexible framework for understanding the complexity of the macroeconomy while at the same time taking into account the heterogeneous nature of economic actors, institutions and markets without making overly restrictive assumptions. ABMs take a “bottom-up” approach towards macroeconomic modeling by simulating the behavior of each individual agent in the economy and then aggregating to reveal emergent phenomena such as endogenous business cycles or flash crashes. The object of this thesis is to advance a methodology commonly used in statistical physics and apply it to the study of two macroeconomic agent-based models. In both models studied here, we first determine the “phase-diagram” of the model to identify the relevant macroscopic regimes to develop an intuitive understanding of the macro-dynamics using a small subset of parameters. The first ABM presented here builds upon the paradigm of constraint satisfaction problems (CSPs) and integrates it within the model’s behavioral rules via agents’ budgetary constraints. These constraints, similar to the well-studied perceptron CSP, reveal the existence of three regimes and underscore the importance of debt for macroeconomic stability: at lowlevels of debt, the economy remains structure-less with frequent bankruptcies while high debt leads to endogenous business cycles. Between these two extremes, an intermediate regime of relative stability is found with low levels of bankruptcies for all times. Within this ABM, agents’ preferences, serving as the source of disorder in the CSP, evolve continuously in time. We thus study a simple dynamical scheme for the perceptron and discover that a rugged landscape can indeed exist with dynamic, annealed disorder. Finally, we extend the Mark-0 ABM to simulate exogenous consumption and productivity shocks due to the Covid pandemic. Whereas standard approaches design a model to understand a particular outcome, this model can generate a variety of scenarios after a Covid-like shock. Furthermore, we also investigate the efficacy of several policies, including the much-debated “helicopter money” drop, in avoiding economic collapse. We thus highlight the importance of ABMs as multi-purpose “scenario generators”, for producing outcomes that are difficult to foresee due to the intrinsic complexity of macro-economic dynamics
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Torracchi, Federico. "Essays in empirical and theoretical labor market models." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:4703d768-3796-42ce-ae6c-75c1f582db67.
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This DPhil thesis is a collection of three theoretical and empirical papers studying labor markets in several advanced economies. Two chapters examine the relationship between the banking sector and the labor market in the US and the UK, while one evaluates a policy that has been proposed to help labor markets in the Euro Area adjust to economic shocks. In the first chapter, I develop a New Keynesian DSGE model that integrates a banking sector subject to moral hazard with a standard random search model of the labor market. I estimate the model using US data and study the role of the banking sector in determining labor market fluctuations. In the second chapter, I estimate a structural VAR model of the UK and US economies and identify bank lending shocks using a mix of sign and short-run exclusion restrictions. Consistent with the predictions of the DSGE model, an expansionary loan supply shock decreases job-destruction and increases job-creation, reducing the unemployment rate persistently. Bank lending shocks are also important drivers of labor market fluctuations, particularly during the Great Recession. Lastly, in the third chapter, I calibrate to the Euro Area a currency union DSGE model to evaluate the aggregate properties of European Unemployment Insurance (EUI). I find that EUI cannot contemporaneously stabilize the monetary union and achieve convergence in regional unemployment and inflation rates.
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Fortin, Nicole M. "Evaluating the aggregation biases in a production economy : a stochastic approach." Thesis, University of British Columbia, 1988. http://hdl.handle.net/2429/28779.
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This dissertation presents a theoretical framework to analyze and evaluate aggregation biases. These biases measure the information lost when macro relations evaluated in terms of aggregates do not capture all of the distributional properties of micro relations. The framework is developed in the context of producer theory, but it may be used to determine the biasedness of any representative agent model and to study general relationships between exact-aggregation macro parameters and their microfoundations.
The model is based on a stochastic interpretation of the production characteristics which encompasses that of previous stochastic aggregation models (Houthakker, 1955; Hildenbrand, 1981; Stoker, 1984; Lewbel, 1986a). It admits the construction of "true" aggregate relations which can be compared to pre-specifed macro relations. Many of Theil's (1954, 1971) statistical results concerning the relations between micro and macro parameters then can be formalized at the population level and generalized to non-linear functions. A moments decomposition of the "true" aggregate relation makes it possible to identify the sources and causes of potential aggregation biases. Thus, the functional-form restrictions of exact-aggregation models (Gorman, 1968a; Blackorby and Schworm, 1984, 1988) are found to be neither necessary nor sufficient conditions for consistent aggregation, if the aggregates are taken to be the usual totals or averages. Traditionally, similarity among firms, either as a maintained hypothesis or as the long-run outcome of perfect competition, has proved to ensure exact aggregation. Here, economic diversification may also provide an alternative set of circumstances under which the aggregation biases may be minimized.
In the case of an average-representative firm, the output aggregation bias is explicitly derived. Empirical analyses confirm that the magnitude of the bias increases as higher moment terms in the production characteristics increase in importance. Conditions under which exact-aggregation macro parameters possess stable microdefinitions are obtained; they explain Fisher's (1971) simulation results. Empirical results show that such macro parameters are relatively stable (within the estimated confidence intervals) when based on periods of relative economic stability. Finally, theoretical implications for macroeconometric modeling and policy evaluation are explored.Arts, Faculty of
Vancouver School of Economics
Graduate
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Strid, Ingvar. "Computational methods for Bayesian inference in macroeconomic models." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-1118.
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The New Macroeconometrics may succinctly be described as the application of Bayesian analysis to the class of macroeconomic models called Dynamic Stochastic General Equilibrium (DSGE) models. A prominent local example from this research area is the development and estimation of the RAMSES model, the main macroeconomic model in use at Sveriges Riksbank. Bayesian estimation of DSGE models is often computationally demanding. In this thesis fast algorithms for Bayesian inference are developed and tested in the context of the state space model framework implied by DSGE models. The algorithms discussed in the thesis deal with evaluation of the DSGE model likelihood function and sampling from the posterior distribution. Block Kalman filter algorithms are suggested for likelihood evaluation in large linearised DSGE models. Parallel particle filter algorithms are presented for likelihood evaluation in nonlinearly approximated DSGE models. Prefetching random walk Metropolis algorithms and adaptive hybrid sampling algorithms are suggested for posterior sampling. The generality of the algorithms, however, suggest that they should be of interest also outside the realm of macroeconometrics.