Dissertations / Theses on the topic 'Monetary Macroeconomics'
To see the other types of publications on this topic, follow the link: Monetary Macroeconomics.
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Monetary Macroeconomics.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Almosova, Anna. "Essays on monetary macroeconomics." Doctoral thesis, Humboldt-Universität zu Berlin, 2019. http://dx.doi.org/10.18452/19978.
Abstract:
Diese Dissertation beschäftigt sich mit drei relevanten Aufgabebereichen einer Zentralbank und untersucht die makroökonomische Prognose, die Analyse der Geldpolitik in einem makroökonomischen Modell und die Analyse des Währungssystems. Jedes dieser Phänomene wird mit Hilfe des passenden Modells nach Nichtlinearitäten untersucht. Der erste Teil der Dissertation zeigt, dass nichtlineare rekurrente neuronale Netze, eine Methode aus dem Bereich Maschinelles Lernen, die Standard-Methoden übertreffen können und präzise Vorhersagen der Inflation in 1 bis 12 Monaten liefern können. Der zweiter Teil analysiert eine nichtlineare Formulierung der monetären Taylor-Regel. Anhand der Schätzung eines nichtlinearen DSGE Modells wird gezeigt, dass die Taylor-Regel in den USA asymmetrisch ist. Die Zentralbank ergreift stärkere Maßnahmen, wenn die Inflation höher ist als die Zielinflation, und reagiert weniger wenn die Inflation niedriger als die Zielinflation ist. Gleicherweise ist die Reaktion der monetären Politik stärker bei zu geringem Produktionswachstum als bei zu hohem. Der dritte Teil der Dissertation formuliert ein theoretisches Modell, das für eine Analyse der digitalen dezentralen Währungen verwendet werden kann. Es werden die Bedingungen bestimmt, unter denen der Wettbewerb zwischen der Währung der Zentralbank und den digitalen Währungen einige Beschränkungen für die Geldpolitik darstellt.This thesis addresses three topics that are relevant for the central bank policy design. It analyzes forecasting of the macroeconomic time series, accurate monetary policy formulation in a general equilibrium macroeconomic model and monitoring of the novel developments in the monetary system. All these issues are analyzed in a nonlinear framework with the help of a macroeconomic model. The first part of the thesis shows that nonlinear recurrent neural networks – a method from the machine learning literature – outperforms the usual benchmark forecasting models and delivers accurate inflation predictions for 1 to 12 months ahead. The second part of the thesis analyzes a nonlinear formulation of the Taylor rule. With the help of the nonlinear Bayesian estimation of a DSGE model it shows that the Taylor rule in the US is asymmetric. The central bank reacts stronger to inflation when it is above the target than when it is below the target. Similarly, the reaction to the output growth rate is stronger when the output growth is too weak than when it is too strong. The last part of the thesis develops a theoretical model that is suitable for the analysis of decentralized digital currencies. The model is used to derive the conditions, under which the competition between digital and fiat currencies imposes restrictions on the monetary policy design.
2
CASTRO, PEDRO HENRIQUE DA SILVA. "ESSAYS ON MACROECONOMICS AND MONETARY POLICY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2018. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34852@1.
Abstract:
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROEsta tese é composta de três ensaios. Os dois primeiros investigam a relação entre a potência da política monetária e a prevalência do crédito direcionado (concedido à taxas de juros insensíveis ao ciclo monetário) na economia. O primeiro mostra que a evidência microeconométrica disponível não é necessariamente informativa sobre o fenômeno macroeconômico de interessee ilustra esse resultado com um modelo Novo-Keynesiano simples com financiamento de capital de giro. Dando sequência, o segundo ensaio estende a análise usando um modelo DSGE de médio porte no qual crédito direcionado é utilizado pelas firmas para financiar a aquisição de capital. O modelo é estimado para o Brasil usando técnicas Bayesianas. Sob a distribuição priori mostra-se que a presença de crédito direcionado não reduz necessariamente a potência da política monetária sobre a inflação. Sob a distribuição posteriori mostra-se que a redução de potência é provável, mas pequena. Finalmente, o terceiro ensaio estuda em que medida o efeito de fluxos de capitais sobre o ciclo de negócios depende do tipo do influxo (e.g., se para títulos ou para ações, se um fluxo de ativo ou de passivo), construindo para tanto um modelo Novo-Keynesiano de economia aberta com fricções financeiras. Identifica-se mecanismos diretos através dos quais o influxo pode ter efeito diferenciado dependendo do seu tipo. Conclui-se, usando uma versão calibrada do modelo, que as diferenças são provavelmente pouco significativas.
This thesis is comprised of three essays. The first two investigate the relationship between monetary policy power and the prevalence of earmarked credit (featuring interest rates that are insensitive to the monetary cycle) in the economy. The first shows that the available microeconometric evidence is not necessarily informative about the macroeconomic phenomenon of interest, and illustrates this result with a simples New-Keynesian model with working capital credit. Giving sequence, the second essay extends the analysis with a medium-sized DSGE model where earmarked credit is used to finance the acquisition of physical capital by firms. The model is estimated to Brazil using Bayesian techniques. Under the prior distribution it is shown that the presence of earmarked credit does not necessarily reduces monetary policy power over inflation. Under the posterior it is shown that a reduction of power is likely, but small. Finally, the third essay studies to what extent the effects of capital flows on a small open economy s business cycle depend on the type of the inflow (e.g., whether a bond or a stock inflow, a liability or an asset flow), and for such it build an open economy New-Keynesian model with financial frictions. Direct mechanisms through which inflows may have differentiated effects depending or their type are identified. Using a calibrated version of the model it concludes that the differences are probably of little significance.
3
MARINKOV, Viktor. "Essays in macroeconomics." Doctoral thesis, European University Institute, 2019. http://hdl.handle.net/1814/64747.
Abstract:
Defence date: 23 October 2019Examining Board: Prof. Ramon Marimon, European University Institute, (Supervisor); Prof. Juan Dolado, Universidad Carlos III; Prof. Gaetano Gaballo, HEC, Paris; Prof. Thomas Sampson, LSE
This thesis contains three chapters. The first two consider deviations from rational expectations for understanding the unprecedentedly long period of a binding zero lower bound (ZLB) since the Great Recession. There I show that if agents are adaptively learning, Central Banks can use forward guidance to guide them through the novel economic environment. In the third chapter I take a more long-run structural outlook to study the interplay of skills, technologies and complementarities for understanding differences in labour market outcomes across OECD countries. The first chapter studies the effects of forward guidance (FG) from a novel perspective. Instead of considering FG as a promise for future actions or providing better forecasting, the Central Bank (CB) in the model is giving a signal about its own reaction function. The CB uses FG as a communication device to signal a policy change. The main findings are that clear communication increases welfare compared to no communication, yet vague messages prove ineffective. The second chapter considers the ZLB as an informational curtain for adaptively learning agents as they cannot observe the path of the interest rate. In a model I show that this results in expectations disagreement between the agents and the CB, consistent with the data. The disagreement coupled with the learning of the agents results in explosive dynamics. Forward guidance is shown to restore stability at the ZLB by preventing spurious expectational drift. The third chapter studies the relationship between returns to skill and assortative matching. Using the PIAAC cognitive skills dataset I show that: returns to skill are systematically related to industrial sorting; high-skilled industries have more assortative matching of workers from all occupations; and more developed countries have less mismatch. I further build a model to illuminate the mechanism. I find that rich countries experience a trade-off of lower overall mismatch but higher crosssectoral mismatch, yet due to higher search frictions poorer ones end up being more mismatched overall.
4
De, Leo Pierre. "Essays in Macroeconomics:." Thesis, Boston College, 2019. http://hdl.handle.net/2345/bc-ir:108480.
Abstract:
Thesis advisor: Susanto BasuThesis advisor: Ryan Chahrour
This dissertation consists of three independent chapters analyzing the sources of business cycles and the role of monetary policy. Taking both closed- and open-economy perspectives, I study the importance of expectations for the empirical identification of economic and policy shocks, the nature of business cycle fluctuations, and the optimal conduct of monetary policy. The first chapter is titled ``International Spillovers and the Exchange Rate Channel of Monetary Policy,'' and is joint work with Vito Cormun. Motivated by the observation that exchange rate fluctuations largely influence small open economies, we propose a novel approach to separately identify the effects of domestic and external shocks on exchange rates and other macroeconomic variables, thereby uncovering a set of new empirical findings. A first finding is that external shocks account for most of exchange rate fluctuations. Relatedly, the bulk of external shocks is strongly correlated with measures of global risk aversion and uncertainty (e.g. the VIX), and a country’s net foreign asset position largely explains the exposure of its exchange rate to external disturbances. A second finding is that domestic and external disturbances generate very different comovement patterns between interest rates and exchange rates. In particular, unlike domestic shocks, external shocks are associated with large and significant deviations from uncovered interest parity. As a result, an econometrician that fails to properly distinguish between sources of exchange rate fluctuations is bound to obtain puzzling estimates of the exchange rate effects of domestic monetary policy shocks. These empirical findings have profound implications for models of small open economy and exchange rate determination. In particular, they favor theories in which exchange rates are jointly determined by the risk-bearing capacity in financial markets as well as the extent of a country’s financial imbalances. For this reason, we develop a model of the international financial sector that satisfies these features, and embed it in an otherwise standard general equilibrium two-country small open economy model. The key mechanism of the model consists of risk averse traders in the foreign exchange markets that require a premium to hold the currency risk of the small open economy. We show that the proposed model is able to reproduce all the empirical findings documented in the empirical analysis, including the cross-country differences in exposure to external shocks, the role of a country’s net foreign asset position, the different responses of interest rates, exchange rates, and currency excess returns across different shocks, as well as the emergence and resolution of the so-called exchange rate response puzzle across different identification approaches. The second chapter is titled ``Should Central Banks Target Investment Prices?'' and is joint work with Susanto Basu. The question posed in the title is motivated by the observation that central banks nearly always state explicit or implicit inflation targets in terms of consumer price inflation. To address the question, we develop an otherwise standard dynamic general equilibrium model with two production sectors. One sector produces consumption goods, while the other produces investment goods. In this context, we show that if there are nominal rigidities in the pricing of both consumption and investment goods and if the shocks to the two sectors are not identical, then monetary policy faces a tradeoff between targeting consumption price inflation and investment price inflation. In a model calibrated to replicate the estimated processes of sectoral total factor productivities as well as a set of unconditional business cycle moments, ignoring investment prices typically leads to substantial welfare losses because the intertemporal elasticity of substitution in investment is much higher than in consumption. Based on the model's predictions, we argue that a shift in monetary policy to targeting a weighted average of consumer and investment price inflation may produce significant welfare gains, although this would constitute a major change in current central banking practice. The third chapter is titled ``Information Acquisition and Self-Fulfilling Business Cycles,'' and is sole-authored work. To study the implications of imperfect information on economic fluctuations, I develop an otherwise standard Real Business Cycle model with endogenous information acquisition, which generates countecyclical firm-level uncertainty and endogenously procyclical productivity, as empirically documented in the literature. The main contribution of this chapter is the observation that this model displays aggregate increasing returns to scale and, potentially, an indeterminate dynamic equilibrium. In fact, an aggregate representation of the model is observationally equivalent to earlier theories of endogenous fluctuations based on increasing returns to scale, but its microeconomic foundations are consistent with empirically observed firm-level returns to scale. In a model calibrated to replicate a set of moments of the empirical distribution of firm-level productivity, self-fulfilling fluctuations are possible. In addition, a Bayesian estimation of the model suggests that non-fundamental shocks explain a significant fraction of aggregate fluctuations
Thesis (PhD) — Boston College, 2019
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
5
Zhang, Donghai. "Essays on monetary economics and applied macroeconomics." Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/662937.
Abstract:
This thesis consists three chapters on topics in monetary economics and applied macroeconomics. In the first chapter, I consider a framework where the central bank has private information about future economic conditions. Agents update their beliefs according to Bayes’ theorem. Policy actions play a signaling role, and may therefore have an impact on both short and long-term interest rates. I discuss the implications of information frictions for the design of optimal simple rule. In the second chapter, I explore the role of market power for the optimal choice of infla-tion index for a central bank to stabilize In a framework with cross-sector heterogeneities in both nominal rigidity and market power. The optimal weight attached to inflation in a sector is increasing in this sector’s: i)price stickiness (stickiness channel) and ii) degree of market competition (competition channel). Moreover, if firms in a more competitive sector adjust their price more frequently as predicted by costly price adjustment models, the competition channel offsets the stickiness channel. In the third chapter, I show that for short horizon exchange rate predictability, the simple random walk model outperforms professional forecasts. A new puzzle arises: why do professional forecasters not adopt the simple random walk model to provide a more accurate estimate? I provide an explanation based on ambiguity averse forecasters.Aquesta tesi està compresa per tres capítols que tracten temes en economia monetària i macroeconomia aplicada. En el primer capítol considero un marc teòric en el qual el banc central té informació privada respecte les condicions econòmiques futures. Els agents econòmics actualitzen les seves creences en base al teorema de Bayes. Les accions del banc tenen un paper senyalador, i poden tenir un impacte en els tipus d’interès a curt i llarg termini. En aquest marc, discuteixo el paper de les friccions de la informació a l’hora de dissenyar una regla monetària simple. En el segon capitol exploro el paper del poder de mercat en l’elecció òptima de l’índex de preus a ser estabilitzat. En aquest cas considero un marc teòric en el qual les rigideses nominals i el poder de mercat difereixen entre sectors. El pes òptim assignat a la inflació d’un sector és creixent en la rigidesa dels preus (efecte rigidesa) i en el nivell de competició (efecte competició) d’aquest sector. Si les empreses en un sector competitiu ajusten els preus més freqüentment, tal com prediuen els models que consideren un ajust de preus costós, l’efecte competició contrarestarà` l’efecte rigidesa. Finalment, en el tercer capítol , demostro que per a predir els tipus de canvi a curt termini, un simple model random walk supera les prediccions professionals. D’aquesta observació sorgeix una nova incògnita: per què els professionals no adopten un model random walk per oferir unes prediccions mées encertades? En aquest capítol mostro com tal incògnita es pot explicar en base a l’aversió a l’ambigïitat dels professionals.
6
Orjasniemi, S. (Seppo). "Studies on the macroeconomics of monetary union." Doctoral thesis, Oulun yliopisto, 2012. http://urn.fi/urn:isbn:9789514298110.
Abstract:
Abstract The euro area consists of several small open, fairly heterogeneous economies. The establishment of this common currency area greatly changed the macroeconomic interdependency between its member countries. This thesis examines the fundamental macroeconomic linkages and spillover effects between the monetary union member countries with the focus on the phenomena associated with the countries’ openness to international trade. This doctoral thesis consists of three essays. The first essay examines the impact of the implementation of a monetary union on international economic fluctuations. The essay finds that the implementation reverses the expenditure-switching effects between goods produced inside the monetary union, and helps to stabilize economic fluctuations. The second essay examines the effects of openness to international trade on a small monetary union. The essay shows howmovements in the monetary union’s exchange rate stabilize output fluctuations inside the monetary union and reduce the need for fiscal stabilization. The third essay argues that, under a non-coordinated optimal fiscal policy, government spending should focus on the stabilization of a local output gap and inflation, while union-wide aggregate fluctuations should be stabilized by a common independent monetary policy. The essay also shows how a suboptimal monetary policy increases the spillover effects of countryspecific shocksTiivistelmä Tässä väitöskirjassa tutkitaan rahaliiton maiden välisiä makrotaloudellisia riippuvuussuhteita. Tutkimuksessa keskitytään erityisesti kansainvälisen kaupan ilmiöihin. Väitöskirja koostuu kolmesta erillisestä esseestä. Ensimmäisessä esseessä käsitellään rahaliiton perustamisen vaikutuksia kansainvälisen talouden dynamiikkaan. Tulosten mukaan rahaliiton perustaminen muuttaa vaihtosuhteen dynamiikkaa rahaliiton sisällä. Lisäksi rahaliiton muodostaminen vaimentaa jäsenmaiden makrotaloudellisia heilahteluita. Toisessa esseessä tutkitaan kansainvälisen kaupan merkitystä pienen rahaliiton tapauksessa. Havaitaan, että yhteisvaluutan kurssimuutokset tasapainottavat rahaliiton sisäisiä reaalitalouden muutoksia ja vähentävät tarvetta tasapainottaa taloutta finanssipolitiikan avulla. Kolmannessa esseessä osoitetaan, että rahaliiton jäsenvaltioiden harjoittaman itsenäisen finanssipolitiikan tulisi keskittyä kotimaisen inflaation ja tuotannon tasapainottamiseen. Yhteisen rahapolitiikan tulisi puolestaan tasapainottaa rahaliiton keskimääräisiä muutoksia. Tulosten mukaan epäoptimaalinen rahapolitiikka voimistaa maakohtaisten reaalitaloudellisten muutosten välittymistä muihin rahaliiton maihin
7
Grjebine, Thomas. "Essays in international macroeconomics and monetary theory." Thesis, Paris, Institut d'études politiques, 2013. http://www.theses.fr/2013IEPP0065/document.
Abstract:
Cette thèse comprend quatre essais en macroéconomie internationale et théorie monétaire. Elle est constituée de deux parties. Les deux premiers chapitres, coécrits avec François Geerolf, étudient les conséquences macroéconomiques des cycles immobiliers sur les comptes courants (chapitre 1) et sur les dynamiques de l'emploi (chapitre 2). La seconde partie de cette thèse s'intéresse aux conséquences des récentes transformations intervenues dans les systèmes bancaires sur les mécanismes de la création monétaire. Ces transformations semblent en effet conduire à une privatisation de la monnaie. Le chapitre 3 étudie empiriquement la réalité d'une telle privatisation. Je développe dans le chapitre 4 un modèle pour analyser les conséquences de ces transformations sur la création monétaire et sur les mécanismes de propagation du risqueThis thesis includes four essays in international macroeconomics and monetary theory. It is divided into two parts. The two first chapters, coauthored with François Geerolf, investigate the macroeconomic consequences of housing cycles on current accounts (chapter 1) and employment dynamics (chapter 2). The second part of this thesis studies the consequences of modern banking features on money creation mechanisms, notably with the development of private payment arrangements and the globalization of banking. Chapter 3 looks at the issue empirically. In chapter 4, I develop a model to investigate the consequences of these modern banking features for the provision of money and for risk propagation mechanisms
8
Welz, Peter. "Quantitative New Keynesian Macroeconomics and Monetary Policy." Doctoral thesis, Uppsala : Department of Economics, Uppsala University, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-5978.
9
Darku, Alexander Bilson. "Essays in monetary economics and international macroeconomics." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=100344.
Abstract:
This thesis consists of three essays in monetary economics and international macroeconomics.Chapter one uses Canadian data to evaluate the performance of money growth targeting and inflation targeting policy rules, especially when they react to asset price changes. There are three important findings. First, estimates of the policy rules consistent with both regimes provide evidence that the Bank of Canada has systematically reacted to stock price bubbles and exchange rate changes. Second, a counterfactual experiment reveals that, the high inflation of the 1970s and early 1980s could have been avoided if the Bank of Canada had responded more strongly to inflation and growth in aggregate demand. Third, simulation experiments yielded two important results: For both the money growth targeting and inflation targeting policy rules, it is always desirable to react to changes in exchange rates and stock price bubbles: Contrary to established findings, the results indicate that the money growth targeting policy rules are more efficient than the inflation targeting policy rules.
Chapter two uses data on Ghana to test the validity of the intertemporal model of current account that allows for external shocks in the form of variable interest rates and exchange rates, and the existence of capital controls. We find that, irrespective of the degree of capital control, the basic model fails to predict the dynamics of the actual current account. However, we find that extending the model to capture variations in interest rates and exchange rates better explains the path of the actual current account balances only during the liberalized regime. When the model was adjusted to allow for credit constraints, there was some support for the proposition that the presence of capital controls prevented economic agents in Ghana to smooth their consumption path during the control regime.
Chapter three investigates the effect of trading block on Tanzania's bilateral trade. Using a fixed effects estimation technique, the results revealed that the East African Community (EAC) and the European Union (EU) have had significant positive effects on Tanzania's bilateral trade. We also find that there is a significant intra-trade relationship between Tanzania and its major trading partners in the manufacturing sector.
10
Dufournaud-Labelle, Maxime. "Essays in Monetary Economics." Thesis, Université d'Ottawa / University of Ottawa, 2018. http://hdl.handle.net/10393/38408.
Abstract:
Chapter 1.—This chapter addresses model specification uncertainty using the Bayesian Generalized Method of Moments (GMM). Employing Canadian data, I estimate 64 hybrid New Keynesian models which differ in their lag specification, and use a modified GMM quadratic function to produce model posteriors. I compute optimal discretionary policies for each model and then derive a posterior-weighted policy and loss. My results show that i) policy should respond more to the output gap than inflation, ii) a more aggressive policy is prescribed for the period of stagflation in the 1970s and early 1980s and iii) a relatively light-touch policy is recommended during the Great Moderation, and produces better outcomes. This last result supports the hypothesis of ‘good luck’ over ‘good policy’.
Chapter 2.—In this chapter I develop an inverse control procedure to recover the under- lying preferences of a monetary authority engaged in discretionary policymaking. I adjoin the first-order condition (FOC) of the optimal interest rate rule-setting derived under discretion to the usual least squares moment conditions during the GMM procedure. Using Monte Carlo simulations, I show that the preferences on output gap stabilization and interest rate smoothing may be recovered. Robustness reveals that recovering the preference on the output gap is dependent upon policy actions having sufficient effect on the macroeconomy. Further testing indicates that the procedure functions for alternative starting values, may be adapted to different lag specifications of the underlying model, and is able to recover different sets of policy preferences.
Chapter 3.—This chapter tests the hypothesis that the monetary authorities of Canada, the United States and the United Kingdom have exhibited similar preferences over stabilizing the output gap and smoothing the interest rate, by way of an inverse control algorithm (FOC- based GMM) for a discretionary policymaker. For the sample period covering 1968:1-2006:4, the FOC-based provides comparable structural estimates to a benchmark specification using an instrument-based GMM. The data suggest no role for output stabilization in any country, but a large and significant concern for interest rate smoothing is observed in Canada. Measures of fit reject optimality in the United States for baseline specification sample, but do not preclude it in any country when sample periods are restricted to the current man- dates. Policymakers’ reaction functions are shown to be sensitive to the underlying policy preferences, though decreasingly so at high levels of interest rate smoothing. Robustness is seen with respect to starting values and fixed policy coefficients.
11
Catenaro, Marco. "Macroeconomics policy interactions in the European Monetary Union." Thesis, University of Surrey, 2000. http://epubs.surrey.ac.uk/804936/.
12
Bae, Jinho. "Essays in empirical finance and macroeconomics /." Thesis, Connect to this title online; UW restricted, 2003. http://hdl.handle.net/1773/7397.
13
ROTTNER, Matthias Christian. "Essays in macroeconomics and nonlinear dynamics." Doctoral thesis, European University Institute, 2021. https://hdl.handle.net/1814/71501.
Abstract:
Defence date: 21 May 2021Examining Board: Professor Evi Pappa (Universidad Carlos III Madrid); Professor Leonardo Melosi (European University Institute and Federal Reserve Bank of Chicago); Professor Galo Nuño (Bank of Spain); Professor Andrea Prestipino (Federal Reserve Board)
This thesis investigates topics in macroeconomics with nonlinear dynamics as their inherent feature. It aims to further the understanding of the connection between the financial sector and economic fluctuations, challenges of monetary policy in a low interest rate environment and how to mitigate the macroeconomic consequences of a pandemic. The first chapter investigates the connection between the shadow banking sector and the vulnerability of the economy to a financial crisis. Motivated by the build-up of shadow bank leverage prior to the Great Recession, I develop a nonlinear macroeconomic model that features excessive leverage accumulation and show how this can cause a run. Introducing risk-shifting incentives to account for fluctuations in shadow bank leverage, I use the model to illustrate that extensive leverage makes the shadow banking system runnable, thereby raising the vulnerability of the economy to future financial crises. The model is taken to U.S. data with the objective of estimating the probability of a run in the years preceding the financial crisis of 2007-2008. The second chapter, joint with Francesco Bianchi and Leonardo Melosi, is motivated by the observation that the Federal Reserve Bank has been systematically undershooting its 2% inflation target in the past twenty years. This deflationary bias is a predictable consequence of the current symmetric monetary policy strategy that fails to recognize the risk of encountering the zero-lower-bound. An asymmetric rule according to which the central bank responds less aggressively to above-target inflation corrects the bias, improves welfare, and reduces the risk of deflationary spirals. The third chapter, joint with Matthieu Darracq Paries and Christoffer Kok, analyses the risk that an intended monetary policy accommodation might actually have contractionary effects in a low interest rate environment. We demonstrate that the risk of hitting the rate at which the effect reverses depends on the capitalization of the banking sector by using a nonlinear macroeconomic model. The framework suggests that the reversal interest rate is around −1% p.a. in the Euro Area. We show that the possibility of the reversal interest rate creates a novel motive for macroprudential policy. The fourth chapter, joint with Leonardo Melosi, studies contact tracing in a new macro-epidemiological model with asymptomatic spreaders. Contact tracing is a testing strategy that aims to reconstruct the infection chain of newly symptomatic agents. We show that contact tracing may be insufficient to stem the spread of infections because agents fail to internalize that their decisions increase the number of traceable contacts to be tested in the future. We provide theoretical underpinnings to the risk of becoming infected in macro-epidemiological models.
-- Part 1 Financial Crises and Shadow Banks: A Quantitative Analysis -- 1.1 Introduction -- 1.2 Model -- 1.3 Multiple Equilibria, Bank Runs and Leverage -- 1.4 Model Evaluation -- 1.5 Quantitative Assessment: Financial Crisis of 2007 - 2009 -- 1.6 Leverage Tax -- 1.7 Reduced Form Evidence: Quantile Regressions -- 1.8 Conclusion -- Part 2 Hitting the Elusive Inflation Target -- 2.1 Introduction -- 2.2 The Model -- 2.3 Deflationary Bias and Deflationary Spirals -- 2.4 ZLB Risk and Macroeconomic Biases -- 2.5 The Asymmetric Rule -- 2.6 Target Ranges -- 2.7 Conclusions -- Part 3 Reversal Interest Rate and Macroprudential Policy -- 3.1 Introduction -- 3.2 The Model -- 3.3 Calibration -- 3.4 Non-Linear Transmission, Reversal Interest Rate and Optimal Lower Bound -- 3.5 Macroprudential Policy -- 3.6 Conclusion -- Part 4 Pandemic Recessions and Contact Tracing -- 4.1 Introduction -- 4.2 The Model -- 4.3 Contact Tracing and Testing -- 4.4 Model Solution and Calibration -- 4.5 Quantitative Analysis of Contact Tracing -- 4.6 Extensions -- 4.7 Concluding Remarks -- References -- A Appendix to Chapter 1 -- B Appendix to Chapter 2 -- C Appendix to Chapter 3 -- D Appendix to Chapter 4
Chapter 1 ‘Financial Crises and Shadow Banks: A Quantitative Analysis' of the PhD thesis draws upon an earlier version published as EUI ECO 2021/02
Chapter 2 ‘Hitting the Elusive Inflation Target' of the PhD thesis draws upon an earlier version published as NBER Working Paper series, 2019/26279
Chapter 3 ‘Reversal Interest Rate and Macroprudential Policy' of the PhD thesis draws upon an earlier version published as ECB Working Paper;, 2020/2487.
Chapter 4 'Pandemic Recessions and Contact Tracing' of the PhD thesis draws upon an earlier version published as CEPR Discussion Paper, 2020/DP15482.
14
Bustamante, Amaya Christian D. "Essays in Heterogeneous Agent Monetary Economics." The Ohio State University, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu155447579616523.
15
Rella, Giacomo. "Essays in Applied Macroeconomics." Doctoral thesis, Università di Siena, 2021. http://hdl.handle.net/11365/1143951.
Abstract:
This dissertation consists of three chapters in applied macroeconomics. The chapter, though independent and self-contained, are linked by the common goal of shedding light on the macroeconomic implications of household and non-financial corporate debt. The first chapter surveys the vast literature on the macroeconomic implications of household debt in the aftermath of the global financial crisis. The second chapter addresses the question of whether monetary policy has affected the housing sector and household debt differently over time in the United States in the last six decades using a medium-scaled vector autoregression model with the-varying parameters. The third chapter explores the macroeconomic effects of borrowing by non-financial corporations.
16
Wilson, Matthew. "Monetary Sunspots, Preference Discovery Costs, and the Equity Premium." Thesis, University of Oregon, 2015. http://hdl.handle.net/1794/19299.
Abstract:
This dissertation investigates whether criticisms of standard economic models can be addressed with only minimal modifications to the assumptions. In the first essay, the Real Business Cycle (RBC) model is studied, though it is well known that it cannot match the data on money. My solution is to retain the RBC framework but add money as a sunspot variable. This leaves all the main elements of the RBC model intact and successfully replicates many features of the monetary data. The second essay examines rational choice, the foundation of economics. Laboratory experiments have exposed small violations of the theory. I introduce preference discovery costs as a way to accommodate minor violations of revealed preference while retaining rationality and optimization. An experiment tested my idea. For several subjects, my model explained their behavior while standard theory could not. However, there were many other subjects whose behavior was incompatible with both theories. The last essay is about the equity premium puzzle. The standard framework in macroeconomics predicts that the equity premium will be quite small, but this prediction is off by an order of magnitude. However, I demonstrate that the problem can be resolved if there is no market for insurance against idiosyncratic income shocks. Though it is very realistic to relax the complete markets assumption and this suffices to solve the puzzle, it is debatable if this modification is truly minimal, given the prevalence of models that rely on market completeness.10000-01-01
17
Rossi, Sergio. "Price indices, monetary analysis and inflation : a macro-economic theoretical explanation." Thesis, University College London (University of London), 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.368025.
18
Liu, Dandan. "Essays on macroeconomics and forecasting." Texas A&M University, 2005. http://hdl.handle.net/1969.1/4271.
Abstract:
This dissertation consists of three essays. Chapter II uses the method of structural
factor analysis to study the effects of monetary policy on key macroeconomic variables
in a data rich environment. I propose two structural factor models. One is the structural
factor augmented vector autoregressive (SFAVAR) model and the other is the structural
factor vector autoregressive (SFVAR) model. Compared to the traditional vector
autogression (VAR) model, both models incorporate far more information from
hundreds of data series, series that can be and are monitored by the Central Bank.
Moreover, the factors used are structurally meaningful, a feature that adds to the
understanding of the âÂÂblack boxâ of the monetary transmission mechanism. Both models
generate qualitatively reasonable impulse response functions. Using the SFVAR model,
both the âÂÂprice puzzleâ and the âÂÂliquidity puzzleâ are eliminated.
Chapter III employs the method of structural factor analysis to conduct a
forecasting exercise in a data rich environment. I simulate out-of-sample real time
forecasting using a structural dynamic factor forecasting model and its variations. I use
several structural factors to summarize the information from a large set of candidate
explanatory variables. Compared to Stock and Watson (2002)âÂÂs models, the models proposed in this chapter can further allow me to select the factors structurally for each
variable to be forecasted. I find advantages to using the structural dynamic factor
forecasting models compared to alternatives that include univariate autoregression (AR)
model, the VAR model and Stock and WatsonâÂÂs (2002) models, especially when
forecasting real variables.
In chapter IV, we measure U.S. technology shocks by implementing a dual
approach, which is based on more reliable price data instead of aggregate quantity data.
By doing so, we find the relative volatility of technology shocks and the correlation
between output fluctuation and technology shocks to be much smaller than those
revealed in most real-business-cycle (RBC) studies. Our results support the findings of
Burnside, Eichenbaum and Rebelo (1996), who showed that the correlation between
technology shocks and output is exaggerated in the RBC literature. This suggests that
one should examine other sources of fluctuations for a better understanding of the
business cycle phenomena.
19
CANIZARES, MARTINEZ CARLOS. "Essays on empirical macroeconomics." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2022. http://hdl.handle.net/10281/359807.
Abstract:
Motivated by the desire to inform macroeconomic policy-makers in order to make decisions, this dissertation consists of a compilation of three essays devoted to three different economic questions using three different econometric methods. In particular, Chapter 1 proposes a Markov-switching model to estimate the probability of being in a state characterized by a housing boom fueled by credit (HBFC). This state can be understood as the one potentially previous to a housing bubble, so that it informs policymakers about a dangerous macrofinancial risk at a time in which it might still be possible to avoid the housing bubble and its likely consequential turmoil. Estimated with US data, such model proved consistency in identifying HBFC preceding housing bubbles as estimated in the literature. Chapter 2 is devoted to a thick modeling tool to forecast residential investment. Housing investment is known to be an important leading indicator of economic activity, so its forecast seems key for policymaking. Estimated with euro area (EA) and EA largest five countries data, this tool proved successful in beating benchmark models, while also highlighting the importance of including building permits in housing investment models. Finally, Chapter 3 estimates the effects of monetary policy shocks in the EA and EA largest four economies by means of a factor-augmented Bayesian VAR model identified by sign and narrative sign restrictions. Results show that such shock has significantly negative effects on euro area economic activity, while also show a high degree of heterogeneity in the euro area countries. Looking forward, the methodologies used in this PhD dissertation have proved to be very flexible, so that they could be applied also to other interesting applications.Motivated by the desire to inform macroeconomic policy-makers in order to make decisions, this dissertation consists of a compilation of three essays devoted to three different economic questions using three different econometric methods. In particular, Chapter 1 proposes a Markov-switching model to estimate the probability of being in a state characterized by a housing boom fueled by credit (HBFC). This state can be understood as the one potentially previous to a housing bubble, so that it informs policymakers about a dangerous macrofinancial risk at a time in which it might still be possible to avoid the housing bubble and its likely consequential turmoil. Estimated with US data, such model proved consistency in identifying HBFC preceding housing bubbles as estimated in the literature. Chapter 2 is devoted to a thick modeling tool to forecast residential investment. Housing investment is known to be an important leading indicator of economic activity, so its forecast seems key for policymaking. Estimated with euro area (EA) and EA largest five countries data, this tool proved successful in beating benchmark models, while also highlighting the importance of including building permits in housing investment models. Finally, Chapter 3 estimates the effects of monetary policy shocks in the EA and EA largest four economies by means of a factor-augmented Bayesian VAR model identified by sign and narrative sign restrictions. Results show that such shock has significantly negative effects on euro area economic activity, while also show a high degree of heterogeneity in the euro area countries. Looking forward, the methodologies used in this PhD dissertation have proved to be very flexible, so that they could be applied also to other interesting applications.
20
Liu, Shuaiyi. "Three essays on general macroeconomics." HKBU Institutional Repository, 2020. https://repository.hkbu.edu.hk/etd_oa/777.
Abstract:
The thesis is made up of three chapters that work on three distinct topics in macroeconomics. The first chapter is a theoretical work on monetary policy, in which a coherent and intuitive large-scale Dynamic Stochastic General Equilibrium (DSGE) model matching with particulars of the Chinese economy is established to understand how and why Reserve Requirement Ratio (RRR) works within Chinese monetary policy regime. The second chapter reveals the relationship between phenomenon of inequality and secular stagnation with a three-period Overlapping Generations (OLG) model built within a heterogeneous agent framework. It also points out workable ways of conducting macroprudential policy given the aforesaid two phenomena. The third chapter both theoretically and empirically examines effectiveness of the currency board system in Hong Kong using an advanced macroeconomic modeling toolbox as well as a workhorse model used by a mass of central banks that is further modified to be in line with reality of the Hong Kong economy.
21
Monteiro, Mário Augusto Siqueira. "Decomposição dos mecanismos de transmissão de política monetária e canal de crédito no Brasil." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-18022013-180918/.
Abstract:
Este trabalho tem como objetivo analisar a relevância do chamado canal de crédito na transmissão da política monetária para a economia brasileira a partir da adoção do regime de metas de inflação. Para tanto se estende o modelo semi-estrutural de tamanho médio estimado por Minella e Souza-Sobrinho (2009), a fim de introduzir o canal de crédito como mecanismo adicional de transmissão de política monetária, o que é feito através da escolha do spread bancário como variável chave para capturar o efeito do canal de crédito para firmas e consumidores. E em seguida aplica-se a metodologia de Altissimo et al. (2002) ao modelo estendido. As evidências encontradas mostram a importância do canal de crédito na economia brasileira. Este canal é responsável (combinando o efeito sobre firmas e consumidores) por 19,9% da queda acumulada do produto e por 22,9% da queda acumulada da inflação no horizonte de dois anos após um choque de 100 pontos-base na taxa básica de juros.This dissertation aims to assess the importance of the credit channel in the transmission mechanism of the monetary policy for the Brazilian economy since the adoption of inflation targeting regime. To achieve this goal, an extension of the medium-size, semi-structural model for the Brazilian economy by Minella and Souza-Sobrinho (2009) was estimated after the introduction of the credit channel, which is assumed to operate through bank spreads to consumers and firms. The methodology of Altissimo, Locarno and Siviero (2002) for decomposing the transmission of the monetary policy in its different channels was then applied to the extended model. The evidence points to an important role for the credit channel in the Brazilian economy. This channel is responsible (through the combination of the effect on firms and consumers) for 19.9% of the cumulative decline in GDP and for 22.9% of the cumulative decline in inflation on a two-year horizon after a 100 basis-point shock in the policy rate.
22
Sanematsu, Flávio Cysneiros. "Política monetária e indicadores macroeconômicos da região metropolitana de São Paulo." Universidade de São Paulo, 2006. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-31012007-220221/.
Abstract:
Este estudo investiga as possíveis relações entre a política monetária brasileira e variáveis macroeconômicas que abrangem apenas a Região Metropolitana de São Paulo (RMSP) durante o período de janeiro de 2000 a agosto de 2005, período esse caracterizado pelo regime de metas inflacionárias. O objetivo dessa investigação é tentar compreender se, dadas as diferenças entre a economia brasileira e a economia da RMSP, a dinâmica dos indicadores dessa região segue a trajetória esperada pela autoridade monetária ao formular a política monetária. Com base em modelos de vetores auto-regressivos (VAR), são encontrados indícios de que a atividade econômica da RMSP é sensível a choques na política monetária. Ao longo do regime de metas inflacionárias, a dinâmica das taxas de inflação corrente para os índices de preços dessa região, o IPC-FIPE e o IPCA-RMSP, não dá evidências claras de que são afetadas pela política monetária, mas as encontradas para a trajetória das expectativas de inflação de 12 meses indicam que as expectativas respondem a choques na política monetária. Por outro lado, a política monetária nacional não se mostrou sensível a choques na atividade econômica da RMSP, mas se mostrou sensível a choques inflacionários nos preços da região. Em relação ao pass-trough do câmbio sobre os preços da RMSP, os índices de preços cheios absorvem o impacto mais rapidamente do que os preços livres. No entanto, os últimos respondem a choques na taxa de câmbio de forma mais distribuída ao longo do tempo do que os primeiros.This work investigates the relationships between Brazilian monetary policy and macroeconomic variables covering only the São Paulo Metropolitan Area (SPMA) during the inflation targeting regime (2000:01 to 2005:08). This investigation seeks to comprehend if, given the differences between the Brazilian and SPMA economy, the dynamic of macroeconomic indicators of this region complies with the trajectory expected by the monetary authority when it formulates its policy. Based on vector autoregressive (VAR) estimations, it was found pieces of evidence that economic activity in SPMA is sensitive to shocks to monetary policy. During the inflation targeting regime, current inflation-rates dynamic, namely IPC-FIPE and IPCA-RMSP, does not seem to be affected by monetary policy, but 12-month expected inflation-rates seem to be responsive to shocks to monetary policy. On the other hand, national monetary policy does not seem responsive to shocks to economic activity of SPMA, but it is sensitive to inflationary shocks to price indexes of SPMA. Regarding the exchange-rate pass-through, it was found that headline price indexes absorb exchange-rates shocks more rapidly than market price indexes. However, the latter respond to exchange-rates shocks more smoothly than the former.
23
Umezú, Fernando Augusto da Cruz Paião. "Ensaios sobre mercado de reservas e política monetária." Universidade de São Paulo, 2010. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-17122010-103647/.
Abstract:
Esta Tese é composta por dois ensaios sobre Política Monetária. O primeiro ensaio trata da demanda por recursos intradiários e over. Com base no comportamento intradiário, são realizadas simulações para estimar a distribuição do saldo em reservas bancárias ao final do dia. A hipótese principal é de que o saldo em reservas ao longo do dia é um Processo de Levy composto por três componentes: um movimento browniano, um processo de Poisson composto com intensidade negativa e outro com intensidade positiva. Para determinar os parâmetros das simulações foram consideradas as situações em que processo é apenas um movimento browniano, ou apenas um processo de Poisson composto, ou ambos. Os parâmetros foram estimados pelos métodos convencionais e pelo modelo Tweedie, sendo feitas algumas ressalvas com relação às correlações entre defasagens. Além dos procedimentos de simulação tradicionais, foi utilizado o Bootstrap e sugerida uma forma alternativa. O modelo que apresentou melhor desempenho foi o que considera que o processo é um processo de Poisson composto. O segundo ensaio tem como tema a taxa natural de juros. Foram implementados três modelos e duas formas de estimá-los (Filtro de Kalman e estimação bayesiana). O modelo com melhor desempenho foi o modelo sugerido em Kirker (2008) estimado por procedimentos bayesianos. Como resultado, a taxa natural de juros está menor do que a taxa de juros real de curto prazo desde junho de 2009, o que sugere uma política monetária contracionistaThis Thesis is composed of two essays on Monetary Policy. The first is about intraday and over reserve balances demand. Based on reserves intraday behavior, simulations are made to estimate reseve balances distribution at the end of the day. The main hypothesis is that reserve balaces along the day are Levy processes, with three components: a Brownian motion and two compound Poisson processes, one with negative and the other with a positive intensity. To determine simulation parameters, the process was alternatively considered a brownian motion, a compound Poisson process, or both. The parameters were estimeted by conventional methods and by the Tweedie model, when there is no autocorrelation. After these procedures of traditional simulation, a Bootstrap was used and an alternative procedure was proposed. The model with the best performance is the compound Poisson Process. The second essay is about natural interest rate. Three models are implementated and estimated by two methods (Kalman Filter e bayesian estimation). The best performance was obtained by the model based on Kirker (2008) and estimated through Kalman Filter. As a result, the natural interest rate was found to be above short run real interest rate since June 2009, sugesting expansionary Monetary Policy.
24
Pang, Ke. "Essays in open-economy macroeconomics." Thesis, University of British Columbia, 2008. http://hdl.handle.net/2429/2862.
Abstract:
This dissertation addresses three issues in international macroeconomics. The first chapter examines optimal portfolio decisions in a monetary open economy DSGE model. In a complete market environment, Engel and Matsumoto (2005) find that sticky price can generate equity home bias. However, their result is sensitive to the structure of the financial market. In an incomplete market environment, we find “super home bias” in the equilibrium equity portfolio, which casts doubt on the ability of sticky price in describing the observed equity portfolios. We further show that introducing sticky wages helps to match the data. The second chapter analyzes the welfare impact of financial integration in a standard monetary open-economy model. Financial integration may have negative effects on welfare if integration occurs in the presence of nominal price rigidities and constraints on the efficient use of monetary policy. The reason is that financial integration leads to excessive terms of trade volatilities. From a policy perspective, the model implies that developing economies that are experiencing financial integration may attempt to alleviate the welfare cost of integration by stabilizing the exchange rate. This prediction is consistent with the widespread reluctance to following freely floating exchange rates among these economies. On the other hand, for advanced economies that have the ability to operate efficient inflation targeting monetary policies, financial integration is always beneficial. Thus, the model accounts for the observed acceleration in cross-border asset trade among advanced economies in the early 1990s as it was mainly the industrial countries that switched to an inflation targeting regime at the time. The third chapter uses an open-economy neoclassical growth model to explain the saving and investment behavior of the U.S. and a group of other OECD countries. We find that while the model explains investment quite well, it tends to overpredict U.S saving and underpredict saving in the rest of the world. We show that the closed-economy version of the model also predicts saving accurately but that is only because it imposes equality between saving and investment. In effect, the model explains investment not saving behavior.
25
Österholm, Pär. "Time series and macroeconomics : studies in demography and monetary policy /." Uppsala : Dept. of Economics [Nationalekonomiska institutionen], Univ, 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-4137.
26
Severe, Sean P. "Monetary Policy Issues Arising From Bank Competition." Thesis, University of Oregon, 2011. http://hdl.handle.net/1794/11554.
Abstract:
xii, 114 p. : ill.The banking sector has been extensively analyzed in economics. On the microeconomic side, research has advanced our understanding of banks and the inverse relationship between market power and bank production. The macroeconomic side of research has focused on the transmission of monetary policy, and it is understood that the financial system, including banks, plays an integral role in transmitting monetary policy decisions to economic variables such as investment, consumption, and GDP. There is limited understanding, however, about how market power and bank concentration affects the transmission of monetary policy. The main focus of this dissertation is to address this gap in the literature and is achieved by three contributions. First, I develop a theory of banking behavior that accounts for competition and monetary policy. I empirically test the theory and show that banking concentration dampens the impact of monetary policy on lending activity in the short-run. My second contribution involves building a theoretical model with these short-run lending effects incorporated into an endogenous growth model that allows agents, banks, and the central bank to interact. This model shows how short-run lending is tied to growth. Again, monetary policy is less effective in markets with higher concentration. The last contribution is made by empirically testing the second contribution. The empirical findings are consistent with both the first and second contributions; banking markets with less competition adversely affect growth and also diminish the long-run impact of monetary policy.
Committee in charge: Dr. Mark Thoma, Co-Chair; Dr. Wesley Wilson, Co-Chair; Dr. Shankha Chakraborty, Member; Dr. Larry Dann, Outside Member
27
Connolly, Michael Fethes. "Essays in Empirical Finance and Macroeconomics:." Thesis, Boston College, 2019. http://hdl.handle.net/2345/bc-ir:108476.
Abstract:
Thesis advisor: Fabio SchiantarelliIn the wake of the financial crisis of 2007-2009, academics and policymakers have worked to empirically quantify macro-financial linkages. This dissertation contributes to this debate by covering two broad themes. First, substantial changes in bank regulation and supervision typically follow financial crises. Quantifying the impact of these new policies is of paramount importance to academics and policymakers. To this end, my research in this area sheds light on the ways in which changes in financial stability policy ultimately affect the economy. Bank stress testing has become a major tool of supervisory policy in the past decade. The first chapter, The Real Effects of Stress Testing, uses the introduction of annual stress testing of large U.S. banks in 2009 as a quasi-experiment to examine whether bank supervisory policies affect real economic activity. While stress-tested banks reduced their risk exposure to large corporate loans, foreign banks mostly offset this shock and enabled firms to continue borrowing after the test. However, speculative grade firms that were highly exposed to stress-tested banks borrowed on worse terms after the test, and subsequently reduced fixed investment and employment. In contrast, highly exposed investment grade firms received new loans and expanded intangible investment. This paper provides insights into the effects of stress testing on the reallocation of risks in the financial system and the consequences for real economic activity. The structure of the U.S. mortgage market has experienced dramatic changes in recent years, as Fannie Mae and Freddie Mac (the major government-sponsored enterprises or GSEs) faced substantial reforms to their business practices. An important feature of regulatory reform included changing the pricing of loan guarantees on mortgage-backed securities insured by the GSEs, in particular removing the subsidy paid by small lenders to large lenders in 2012. The second chapter of this dissertation, Lender Cross-Subsidization and Credit Supply in the Fannie Mae MBS Market (co-authored with Igor Karagodsky), shows that the removal of this subsidy resulted in a relative increase in mortgage lending by small lenders. However, states with relatively higher concentrations of large lenders experienced relative reductions in credit following the removal of these subsidies. This research underscores an important link between lender market power and credit supply. Understanding the drivers of the fluctuations in bond returns is a central question in finance. Theoretically, unexpected bond returns should reflect either changes in expectations of future short-term rates or future compensation for risk. The third chapter of this dissertation, Survey Forecasts and Bond Return Decompositions, revisits this question using survey forecasts of professional economists to measure expectations of interest rates and returns, rather than with a statistical model. Two main results emerged from this analysis: (1) News about future short-term interest rates explains relatively more of the variation in unexpected excess bond returns for short-maturity bonds relative to long-maturity bonds. (2) The share of news explained by future short-term interest rates increases with horizon for all maturities. This analysis contributes to the recent academic literature that highlights the importance of subjective expectations in understanding asset-price movements
Thesis (PhD) — Boston College, 2019
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
28
HAWITIBO, ALEMU LAMBAMO. "ESSAYS IN MACROECONOMICS." Doctoral thesis, Università degli Studi di Milano, 2020. http://hdl.handle.net/2434/712615.
Abstract:
Abstract: Chapter one
The aim of this paper is to examine the role of monetary and fiscal policies in explaining
macroeconomic fluctuations in Ethiopia using a structural VAR approach, over the period
1997/1998:1 to 2016/17:4. Its mains results can be presented as follows: first, an increase in
government spending has an expansionary effect on output, while an increase in tax revenue
has a contractionary effect, with spending multipliers larger than net tax revenue multipliers;
second, contractionary monetary policy is associated with a fall in output; third, monetary policy
contributes to very small fluctuations in output and it is one of the responsible sources of the
high and persistence inflation in the country; fourth, the contributions of fiscal policy shocks are
larger than that of monetary policy shocks in explaining movements in output, with roughly
equivalent contributions coming from shocks in fiscal policy components. Furthermore, the
effects of fiscal and monetary policy shocks on output and inflation have improved qualitatively
and quantitatively when both policy variables are jointly examined than estimating a separate
model; suggesting the role of a joint analysis of fiscal and monetary policy shocks.Abstract: Chapter two This paper explores the international spillovers of the U.S, the Euro Area (EA hereafter), Chinese and Japanese monetary policy shocks on a number of macroeconomic variables in 17 Emerging Market Economies (EMEs). After expansionary monetary policy in these four big economies, industrial production increases in typical emerging markets. These results are robust to most countries considered in the analysis over the sample period. The short-term interest rates also fall in the typical emerging markets regardless of where the shock is originated. However, the response of the real trade-weighted exchange rates in the typical emerging market economies is strong and short-lived after monetary expansion in the Euro Area, but persistent after monetary expansion from the U.S, Japan, and China. Moreover, the size of the responses of the industrial production in emerging Europe and Asia respond more to the monetary innovations in the Euro Area and China, respectively. There is also a substantial cross country heterogeneity in the responses of the macroeconomic aggregates in the emerging markets, where the size of the spillovers vary with the country-specific characteristics. Countries with higher trade openness and higher financial integration display stronger spillover in production as compared to other counterparts after the U.S. and the Japanese M3 innovations. Moreover, the degree of debt burden matters for the transmission of the U.S, the Euro Area and Japan monetary policy shocks and does not seem to matter for monetary expansions in China.
29
Christensen, M. "Theoretical and empirical evaluation of credibility and reputation in macroeconomics." Thesis, University of Southampton, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.382781.
30
Lombardo, Giovanni. "Monopolistics distortion and the real effects of monetary shocks." Thesis, University of York, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.323504.
31
MOTYOVSZKI, Gergo. "Essays on macroeconomic policies and household heterogeneity." Doctoral thesis, European University Institute, 2021. https://hdl.handle.net/1814/72599.
Abstract:
Defence date: 24 September 2021; Examining Board: Prof. Evi Pappa, Universidad Carlos III Madrid, Supervisor Prof. Alessia Campolmi, University of Verona, Co-Supervisor Prof. Jordi Galí, CREI, UPF and Barcelona GSE Prof. Tommaso Monacelli, Bocconi UniversityThis thesis is composed of three independent chapters, but all centered around the broader topic of how macroeconomic policies interact with various aspects of household heterogeneity. Monetary policy and inequality under labor market frictions and capital-skill complementarity We provide a new channel trough which monetary policy has distributional consequences at business cycle frequencies. We show that an unexpected monetary easing increases labor income inequality between high and less-skilled workers. In particular, this effect is prominent in sectors intensive in less-skilled labor, that exhibit high degree of capital-skill complementarity (CSC) and are subject to matching inefficiencies. To rationalize these findings we build a New Keynesian DSGE model with asymmetric search and matching (SAM) frictions across the two types of workers and CSC in the production function. We show that CSC on its own introduces a dynamic demand amplification mechanism: the increase in high-skilled employment after a monetary expansion makes complementary capital more productive, encouraging a further rise in investment demand and creating a multiplier effect. SAM asymmetries magnify this channel. Monetary-fiscal interactions and redistribution in small open economies Ballooning public debts in the wake of the covid-19 pandemic can present monetary-fiscal policies with a dilemma if and when neutral real interest rates rise, which might arrive sooner in emerging markets: policymakers can stabilize debts either by relying on fiscal adjustments (AM-PF) or by tolerating higher inflation (PM-AF). The choice between these policy mixes affects the efficacy of the fiscal expansion already today and can interact with the distributive properties of the stimulus across heterogeneous households. To study this, I build a two agent New Keynesian (TANK) small open economy model with monetary-fiscal interactions. Targeting fiscal transfers more towards high-MPC agents increases the output multiplier of a fiscal stimulus, while raising the degree of deficit financing for these transfers also helps. However, precise targeting is much more important under the AM-PF regime than the question of financing, while the opposite is the case with a PM-AF policy mix: then deficit-spending is crucial for the size of the multiplier, and targeting matters less. Under the PM-AF regime fiscal stimulus entails a real exchange rate depreciation which might offset "import leakage" by stimulating net exports, if the share of hand-to-mouth households is low and trade is price elastic enough. Therefore, a PM-AF policy mix might break the Mundell-Fleming prediction that open economies have smaller fiscal multipliers relative to closed economies. Weak wage recovery and precautionary motives after a Credit Crunch During the economic recovery following the financial crisis many advanced economies saw subdued wage dynamics, in spite of falling unemployment and an increasingly tight labour market. We propose a mechanism which can account for this puzzle and work against usual aggregate demand channels. In a heterogeneous agent model with incomplete markets we endogenize uninsurable idiosyncratic risk through search-and-matching (SAM) frictions in the labour market. In this setting, apart from the usual precautionary saving behaviour, households can self-insure also by settling for lower wages in order to secure a job and thereby avoid becoming borrowing constrained. This channel is especially pronounced for asset-poor agents, already close to the constraint. We introduce a credit crunch into this framework modelled as a gradual tightening of the borrowing constraint (and utilizing a continuous time approach, known as HACT). The perfect foresight transition dynamics feature falling wages despite a tightening labour market and expanding employment. As households suddenly find themselves closer to the borrowing constraint, the increased precautionary motive drives them to accept lower wages in the bargaining process, while firms respond to this by posting more vacancies, leading to a tighter labour market and falling unemployment. If the household deleveraging pressure is persistent enough after the credit crunch, it can explain the weak wage recovery in spite of already stronger aggregate demand.
1 Monetary policy and inequality under labor market frictions and capital-skill complementarity 2 Monetary-fiscal interactions and redistribution in small open economies 3 Weakwage recovery and precautionary motives after a credit crunch
Chapter 1 ´Monetary policy and inequality under labor market frictions and capital-skill complementarity' of the PhD thesis draws upon an earlier version published as an article 'Monetary policy and inequality under labor market frictions and capital-skill complementarity' (2021) in the journal ‘American Economic Association’
32
BRAITHWAITE, SAMUEL. "THREE ESSAYS ON THE PROPOSED CARIBBEAN MONETARY UNION." Diss., Temple University Libraries, 2014. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/255121.
Abstract:
EconomicsPh.D.
This thesis asks the question, is there economic justification for two CARICOM countries forming a currency union? There is a theoretical component consisting of a dynamic stochastic general equilibrium (DSGE) model, and an empirical component utilizing vector autoregressions and cointegration analyses. More specifically, the reactions of two, small, open economies, to symmetric and asymmetric shocks, with and without a currency union, are investigated. Secondly, the demand and supply shocks between country pairs are examined to determine whether positive correlations exist. Thirdly, the thesis looks at the issue of economic convergence, especially given the coordinated efforts of CARICOM member states towards an environment conducive for a currency union. The theoretical results support the traditional view that countries with symmetric shocks are better candidates for a currency union, while those with asymmetric shocks are not. The empirical work supports the formation of currency unions for the following country pairs, Grenada-St. Kitts, Grenada-St. Vincent, Trinidad-Grenada, and Trinidad-St. Vincent.
Temple University--Theses
33
Alexandrov, Andrey [Verfasser], and Klaus [Akademischer Betreuer] Adam. "Essays in monetary and financial macroeconomics / Andrey Alexandrov ; Betreuer: Klaus Adam." Mannheim : Universitätsbibliothek Mannheim, 2021. http://d-nb.info/1240146108/34.
34
ROSSI, LORENZA. "Essays in new-keynesian macroeconomics and monetary policy with heterogeneous agents." Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2009. http://hdl.handle.net/2108/936.
35
Fielding, David. "The macroeconomics of developing countries : an analysis of the Co-operation Financiere Africaine." Thesis, University of Oxford, 1993. http://ora.ox.ac.uk/objects/uuid:b2b1f940-d4c0-4562-8a72-6455c0681ad9.
Abstract:
The CFA consists several African economies adhering to one of two common currencies, and one of two central banks. The rules of the monetary union provide for the pooling of foreign assets, and the regulation of monetary expansion in each country. The French treasury guarantees the convertibility of CFA Francs into French Francs at a fixed rate. The thesis examines the impact of CFA membership on the macroeconomic performance of member states, assessing the claim that CFA institutions have influenced capital and labour markets, and have modified short run adjustment to external shocks. There are a number of reasons why CFA membership could facilitate higher investment, (i) The rules governing money creation may lead to greater monetary prudence, and so lower inflation and price variability, and less uncertainty for investors, (ii) Guaranteed convertibility means that firms will never be prevented from importing capital goods by a lack of foreign exchange, (iii) Convertibility may encourage a greater degree of integration between French and CFA capital markets, so that domestic investment is not entirely dependant on domestic saving. A model of investment is constructed to incorporate these effects, and tested using time series and cross-sectional data. Support is found for (i) and (ii), but not for (iii). If African labour markets are characterised by nominal wage inertia, the enforced low inflation may lead to excessive real wages, and CFA membership may impair efficient allocation of labour. However, evidence suggests this characterisation is usually inappropriate. The pegged exchange rate may lead to persistent external imbalances: devaluation is not an option in response to a negative trade shock. This will not be a problem as long as an effective substitute for devaluation is found. A CGE model is constructed to examine the viability of various devaluation substitutes, none of which are found to be adequate.
36
Schellekens, Philip. "Making monetary policy : caution, conservatism and the public supply of liquidity." Thesis, London School of Economics and Political Science (University of London), 2000. http://etheses.lse.ac.uk/1583/.
Abstract:
This dissertation offers two perspectives on the making of monetary policy under uncertainty. The first two chapters examine the consequences of uncertainty for the macroeconomic function of the central bank - the stabilisation of macroeconomic variables of interest around socially desirable targets. The third chapter examines the consequences of uncertainty for the central bank's microeconomic function - the public supply of liquidity. The first chapter asks whether society benefits from the delegation of monetary policy to cautious and conservative central bankers. We offer a critical view on the delegation literature and relax seemingly innocuous assumptions about uncertainty and preferences. First, caution improves credibility but does not obviate the need for central-bank conservatism. Second, previous models of delegation have focused on suboptimal forms of conservatism. We derive optimal concepts of conservatism that mitigate, or eliminate, any residual problem of credibility. Third, we rationalize why credible monetary policy may be conducive to stable inflation and output. The second chapter examines the implications of instrument uncertainty for optimal monetary policy following the introduction of non-quadratic preferences. We investigate both symmetric and asymmetric preferences and discuss the consequences for caution, gradualism and the optimal delegation of monetary policy. The third chapter examines the microeconomic role of the central bank. We develop a rationale for the provision of public liquidity based on an incomplete contracting framework. The model illustrates to what extent wealth-constrained entrepreneurs are leveraged by collateralized debt contracts and examines the consequences of costly collateral liquidation and aggregate asset price uncertainty for the provision of external finance.
37
Beyer, Andreas H. "Monetary transmission mechanisms and central bank policy : essays in econometric modelling." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262907.
38
GUERRIERI, CINZIA. "Essays in applied macroeconomics." Doctoral thesis, Luiss Guido Carli, 2017. http://hdl.handle.net/11385/201125.
Abstract:
In Chapter 1, written jointly with Maddalena Galardo, we propose a new indicator of
central bank’s verbal guidance, which measures the communication about future based on the
frequency of future verbs in monetary policy statements. We consider the press conferences
of the European Central Bank as testing case. First, we analyze the main determinants of
our index and estimate the unexpected component. Second, we investigate the effects of
the identified innovation of verbal guidance on daily changes of forward money markets
rates between September 2007 and December 2015. Our results show that financial markets’
expectations on future short-term interest rates react to a shock of communication about future:
the effect is negative and larger for longer horizons, after controlling for the standard policy
rate shock and the announcement of unconventional monetary policies. This suggests that
the verbal guidance has been an effective policy instrument to signal further accommodative
monetary policy stance.
In Chapter 2, written jointly with Caterina Mendicino, we investigate the relevance of
the wealth channel, i.e. whether and the extent to which wealth changes affect households’
consumption. To address these questions, we use newly available harmonized euro area wealth
data and the methodology in Carroll, Otsuka and Slacalek (2011). We find that the marginal
propensity to consume out of total wealth averaged across the largest euro area economies
is around 3 cents per euro, with a marginal propensity to consume out of financial wealth
significantly larger than that of housing wealth. Country-groups estimates document no
significant differences between the largest economies and the rest of the sample. In contrast,
remarkable differences emerge between periphery and core countries. Total and financial
wealth effects are about 2 and 4 times larger in periphery economies.
39
Struby, Ethan. "Essays on Information in Macroeconomics and Finance:." Thesis, Boston College, 2017. http://hdl.handle.net/2345/bc-ir:107371.
Abstract:
Thesis advisor: Ryan ChahrourExpectations formation is central to macroeconomics. Households, firms, and policymakers must form expectations not only about fundamentals, but about what other agents’ beliefs are, because others’ beliefs will determine their actions. The three essays in this dissertation examine empirically and theoretically how agents use both public and private information to form expectations. The first two essays combine a models of optimizing behavior and forecasting with data on the macroeconomy, financial prices, and macroeconomic forecasts to examine the extent to which economic agents learn about the macroeconomy from financial prices and monetary policy actions. The third essay examines theoretically how members of a committee use public and private information to form beliefs when they care both about having accurate forecasts and coordinating actions with others. All three essays emphasize that frictions in expectations formation are a salient feature of the world, and understanding the extent and importance of those frictions is important for both positive and normative questions in macroeconomics and finance. Beliefs about the future determine the willingness of financial market participants to save and invest, and theory suggests they should value more highly assets which are expected to pay higher returns during recessionary periods when consumption is otherwise low. Hence, financial prices reflect macroeconomic expectations. In the first essay, titled "Macroeconomic Disagreement in Treasury Yields," I explore how agents with idiosyncratic, private information form beliefs about both the macroeconomy and the beliefs of other agents. Using data on United States Treasury debt, the macroeconomy, and individual inflation forecasts, I estimate the precision of bond traders’ information about the macroeconomy and how much they disagree with each other. I allow for traders to learn both from private signals and from asset prices, which aggregate the beliefs of all the traders in the market. I find that bond prices are moderately informative about macroeconomic variables, but are the source of most of the information traders have about monetary policy and the beliefs of others. In contrast to studies which assume full information, risk premia are much less important than slow-adjusting interest rate expectations for explaining the behavior of long-run yields. The most important signal for bond traders appears to be the Federal Reserve’s short-run rate, which encodes information about the macroeconomy and the central bank’s intended future policy. Nevertheless, the fact that traders held disparate beliefs about the macroeconomy, and especially about the long-run inflation target of the Federal Reserve, elevated long-term yields on average. The first essay demonstrates empirically that financial market participants learn about the macroeconomy from monetary policy actions. However, it is silent on how monetary policymakers form beliefs about the macroeconomy, or how the information in monetary policy rates endogenously affects macroeconomic outcomes. In the second essay "Your Guess is as Good as Mine: Central Bank Information and Monetary Policy," I use data on private sector forecasts and forecasts from the Federal Reserve Board staff to examine the typical assumption of common information between firms and monetary policymakers. Using forecasts from a survey of professional forecasters and from the Federal Reserve Board staff, I show evidence against the typical assumption of common information between monetary policymakers and the private sector, and also that policymakers are, at best, only weakly better at forecasting than private forecasters. Based on this evidence, I augment an otherwise standard monetary policy model by relaxing the common information assumption. Instead, I assume there is idiosyncratic, private information among price-setting firms, and between firms and the central banker. Firms combine private information about aggregate conditions with the observed monetary policy rate to form expectations about fundamentals and the beliefs of rival firms. The central banker must form expectations about firms’ beliefs because those beliefs will determine inflation and overall economic activity. But as a result of their differences in information sets, firms must form expectations about other firms’ expectations, and what the central banks’ expectations of their expectations are. I examine the ability of this model to fit the data and find that the model can capture features of both firm and central bank inflation expectations, but in the absence of imperfect information among households, it is difficult to simultaneously match the forecast data and data on real activity. This result points to the sensitivity of models with dispersed information to the underlying assumptions about how central bankers will respond to exogenous shocks. The second chapter emphasized how the assumptions economists make regarding monetary policymakers’ information is critical for understanding their actions. Motivated by this example, my third chapter "Information Investment in a Coordination Game" explores theoretically how members of a committee who are uncertain about others’ beliefs decide on a binary action, and how their decision to pay close attention to public or private signals is related to their desire to accurately forecast versus coordinating their behavior with others. I show that when it is assumed that information decisions among committee members are symmetric - everyone pays the same amount of attention to the same things - there is a unique outcome of the coordination game. However, I further show that it is difficult to guarantee that committee members will all choose a symmetric allocation of information. Aside from the direct cost of acquiring better information, allocating attention to more accurate signals can harm welfare when coordination motives are dominant. In a set of numerical exercises, however, I show that it is possible for a unique equilibrium to exist, and that actions that do not have a large impact on the payoffs of committee members (such as changing the size of the committee) may nevertheless have large impacts on the accuracy of the committee’s forecasts. This suggests a possible tension between the welfare of the committee, which benefits from consensus, and the welfare of those affected by the committee’s actions, which likely depends on whether the committee takes the objectively correct action. My dissertation has important implications for both academic economists and policymakers. Understanding the sources of business cycle fluctuations and the determinants of asset prices requires grappling with the fact that people have differences in beliefs. Empirical evidence suggests that agents’ beliefs are shaped by both idiosyncratic forces and by public announcements and policy decisions, and economists’ models need to reflect these features of the world. Policy, too, is affected by the information available to policymakers, and to understand how policymakers have acted in the past and should act in the future, it is necessary to take seriously the ways their belief formation deviates from the full information rational expectations benchmark
40
Hoddenbagh, Jonathan. "Essays in International Macroeconomics and Finance." Thesis, Boston College, 2014. http://hdl.handle.net/2345/bc-ir:103620.
Abstract:
Thesis advisor: Fabio GhironiMy dissertation develops a set of tools for introducing heterogeneity into 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. In my research, I move away from the representative agent framework in two key ways. First, my work in international macroeconomics incorporates heterogeneity via idiosyncratic shocks across countries. Second, my work on financial frictions employs asymmetric information between lenders and borrowers. In both of these areas, my goal is to examine the implications of heterogeneity in the most tractable way possible. Crucially, these insights can be incorporated into the models currently used by academics and central banks for policy analysis. The first chapter of my dissertation, "Price Stability in Small Open Economies," joint work with Mikhail Dmitriev, studies the conduct of optimal monetary policy in a continuum of small open economies. We obtain a novel closed-form solution that does not restrict the elasticity of substitution between home and foreign goods to one. Using this global closed-form solution, we give an exact characterization of optimal monetary policy and welfare with and without international policy cooperation. We consider the cases of internationally complete asset markets and financial autarky, producer currency pricing and local currency pricing. Under producer currency pricing, it is always optimal to mimic the flexible-price equilibrium through a policy of price stability. Under local currency pricing, policy should fix the exchange rate. Even though countries have monopoly power, the continuum of small open economies implies that policymakers cannot affect world income. This inability to influence world income removes the incentive to deviate from price stability under producer currency pricing or a fixed exchange rate under local currency pricing, and prevents gains from international monetary cooperation in all cases examined. Our results contrast with those for large open economies, where interactions between home policy and world income drive optimal policy away from price stability or fixed exchange rates, and gains from cooperation are present. The second chapter of my dissertation, "The Optimal Design of a Fiscal Union'', joint work with Mikhail Dmitriev, examines the role of fiscal policy cooperation and financial market integration in an open economy setting, motivated by the recent crisis in the euro area. I show that the optimal design of a fiscal union is governed by the degree of substitutability between the export goods of different countries. When countries produce goods that are imperfect substitutes they should harmonize their income taxes to prevent large terms of trade externalities. On the other hand, when countries produce goods that are close substitutes, they should organize a contingent fiscal transfer scheme to insure against idiosyncratic shocks. The welfare gains from the optimal fiscal union are as high as 5\% of permanent consumption when countries are able to trade safe government bonds, and approach 20\% of permanent consumption when countries lose access to international financial markets. These gains are especially large for countries like Greece that produce highly substitutable export goods and who cannot raise funds on international financial markets to insure against downside risk. The results illustrate why federal currency unions such as the U.S., Canada and Australia, with income tax harmonization and built-in fiscal transfer arrangements, withstand asymmetric shocks across regions much better than the euro area, which lacks these ingredients at the moment. The third chapter of my dissertation, joint work with Mikhail Dmitriev, studies macro-financial linkages and the impact of financial frictions on real economic activity in some of my other work. Beginning with the Bernanke-Gertler-Gilchrist (1999) financial accelerator model, a large literature has shown that financial frictions amplify business cycles. Using this framework, Christiano, Motto and Rostagno (AER, 2013) show that shocks to financial frictions can explain business cycle fluctuations quite well. However, this literature relies on two ad hoc assumptions. When these assumptions are relaxed and agents have access to a broader set of lending contracts, the financial accelerator disappears, and shocks to financial frictions have little to no impact on the economy. In addition, under the ad hoc lending contract inflation targeting eliminates the financial accelerator. These results provide guidance for monetary policymakers and present a puzzle for macroeconomic theory
Thesis (PhD) — Boston College, 2014
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
41
Wong, Man Chiu. "Essays on learning dynamics, monetary policy and macroeconomic outcomes /." view abstract or download file of text, 2002. http://wwwlib.umi.com/cr/uoregon/fullcit?p3055723.
Abstract:
Thesis (Ph. D.)--University of Oregon, 2002.Typescript. Includes vita and abstract. Includes bibliographical references (leaves 161-169). Also available for download via the World Wide Web; free to University of Oregon users.
42
Santos, Fernando Genta dos. "Ensaios sobre macroeconometria bayesiana aplicada." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-04042012-201945/.
Abstract:
Os três artigos que compõe esta Tese possuem em comum a utilização de técnicas macroeconométricas bayesianas, aplicadas a modelos dinâmicos e estocásticos de equilíbrio geral, para a investigação de problemas específicos. Desta forma, esta Tese busca preencher importantes lacunas presentes na literatura nacional e internacional. No primeiro artigo, estimou-se a importância do canal de custo da política monetária por meio de um modelo novo-keynesiano dinâmico e estocástico de equilíbrio geral. Para tanto, alteramos o modelo convencional, assumindo que uma parcela das firmas precise contrair empréstimos para pagar sua folha salarial. Desta forma, a elevação da taxa nominal de juro impacta positivamente o custo unitário do trabalho efetivo, podendo acarretar em aumento da inflação. Este artigo analisa as condições necessárias para que o modelo gere esta resposta positiva da inflação ao aperto monetário, fenômeno esse que ficou conhecido como price puzzle. Devido ao uso da metodologia DSGE-VAR, os resultados aqui encontrados podem ser comparados tanto com a literatura que trata o puzzle como um problema de identificação dos modelos VAR como com a literatura que avalia o canal de custo por meio de modelos novo-keynesianos. No segundo artigo, avaliamos até que ponto as expectativas de inflação geradas por um modelo dinâmico e estocástico de equilíbrio geral são compatíveis com as expectativas coletadas pelo Banco Central do Brasil (BCB). Este procedimento nos permite analisar a racionalidade das expectativas dos agentes econômicos brasileiros, comparando-as não à inflação observada, mas sim à projeção de um modelo desenvolvido com a hipótese de expectativas racionais. Além disso, analisamos os impactos do uso das expectativas coletadas pelo BCB na estimação do nosso modelo, no que se refere aos parâmetros estruturais, função de resposta ao impulso e análise de decomposição da variância. Por fim, no terceiro artigo desta Tese, modificamos o modelo novo-keynesiano convencional, de forma a incluir a teoria do desemprego proposta pelo economista Jordi Galí. Com isso, procuramos preencher uma lacuna importante na literatura nacional, dominada por modelos que não contemplam a possibilidade de desequilíbrios no mercado de trabalho capazes de gerar desemprego involuntário. A interpretação alternativa do mercado de trabalho aqui utilizada permite superar os problemas de identificação notoriamente presentes na literatura, tornando o modelo resultante mais robusto. Desta forma, utilizamos o modelo resultante para, dentre outras coisas, avaliar os determinantes da taxa de desemprego ao longo da última década.The three articles that comprise this thesis have in common the use of macroeconometric bayesian techniques, applied to dynamic stochastic general equilibrium models, for the investigation of specific problems. Thus, this thesis seeks to fill important gaps present in the national and international literatures. In the first article, I estimated the importance of the cost-push channel of monetary policy through a new keynesian dynamic stochastic general equilibrium model. To this end, we changed the conventional model, assuming now that a share of firms needs to borrow to pay its payroll. Thus, an increase in the nominal interest rate positively impacts the effective unit labor cost and may result in an inflation hike. This article analyzes the necessary conditions for the model to exhibit a positive response of inflation to a monetary tightening, a phenomenon that became known as the price puzzle. Because I use the DSGE-VAR methodology, the present results can be compared both with the empirical literature dealing with the puzzle as an identification problem of VAR models and with the theoretical literature that evaluates the cost-push channel through new keynesian models. In the second article, we assess the extent to which inflation expectations generated by a dynamic stochastic general equilibrium model are consistent with expectations compiled by the Central Bank of Brazil (BCB). This procedure allows us to analyze the rationality of economic agents\' expectations in Brazil, comparing them not with the observed inflation, but with the forecasts of a model developed with the hypothesis of rational expectations. In addition, we analyze the impacts of using expectations compiled by the BCB in the estimation of our model, looking at the structural parameters, the impulse response function and variance decomposition analysis. Finally, the third article in this thesis, I modified the conventional new keynesian model, to include unemployment as proposed by the economist Jordi Galí. With that, I fill an important gap in the national literature, dominated by models that do not contemplate the possibility of disequilibrium in the labor market that can generate involuntary unemployment. The alternative interpretation of the labor market used here overcomes the identification problems notoriously present in the literature, making the resulting model more robust to the Lucas critique. Thus, I use the resulting model to assess the determinants of the unemployment rate over the last decade, among other points.
43
Mendis, Chandima. "Monetary consequences of terms of trade shocks and capital flows in small open economics." Thesis, University of Oxford, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.365576.
44
Sun, Qi. "Four essays in dynamic macroeconomics." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/941.
45
Eiermann, Alexander. "Essays on Macroeconomics and Asset Pricing:." Thesis, Boston College, 2017. http://hdl.handle.net/2345/bc-ir:107370.
Abstract:
Thesis advisor: Peter IrelandA significant theoretical literature suggests that the effects of open market operations and large scale asset purchases are limited when short-term interest rates are constrained by the zero-lower-bound (ZLB). This view is supported by a growing body of empirical evidence that points to the tepid response of the U.S. economy to extraordinary policy measures implemented by the Federal Reserve (Fed) during the past several years. In the first essay, Effective Monetary Policy at the Zero-Lower-Bound, I show that permanent open market operations (POMOs), defined as financial market interventions that permanently increase the supply of money, remain relevant at the ZLB and can increase output and inflation. Consequently, I argue that the limited success of Fed policy in recent years may be due in part to the fact that it failed to generate sufficient money creation to support economic recovery following the Great Recession. I then demonstrate that conducting POMOs at the ZLB may improve welfare when compared to a broad range of policy regimes, and conclude by conducting a robustness exercise to illustrate that money creation remains relevant at the ZLB when it is not necessarily permanent. With these results in hand, I explore the consequences of Fed QE more directly in a framework asset purchases are an independent instrument of monetary policy. In the second essay, Effective Quantitative Easing at the Zero-Lower-Bound, I show that the observed lack of transmission between U.S. monetary policy and output economic activity a consequence of the fact the Fed engaged in what I define as sterilized QE: temporary asset purchases that have a limited effect on the money supply. Conversely, I show that asset purchase programs geared towards generating sustained increases in the money supply may significantly attenuate output and inflation losses associated with adverse economic shocks and the ZLB constraint. Furthermore, these equilibrium outcomes may be achieved with a smaller volume of asset purchases. My results imply that Fed asset purchase programs designed to offset the observed declines in the U.S. money supply could have been a more effective and efficient means of providing economic stimulus during the recovery from the Great Recession. The third essay—which is joint work with Apollon Fragkiskos, Harold Spilker, and Russ Wermers— titled Buyout Gold: MIDAS Estimators and Private Equity, we develop a new approach to study private equity returns using a data set first introduced in Fragkiskos et al. (2017). Our innovation is that we adopt a mixed data sampling (MIDAS) framework and model quarterly private equity returns as a function of high frequency factor prices. This approach allows us to endogenize time aggregation and use within-period information that may be relevant to pricing private equity returns in a single, parsimonious framework. We find that our MIDAS framework offers superior performance in terms of generating economically meaningful factor loadings and in-sample and out-of-sample fit using index and vintage-level returns when compared with other methods from the literature. Results using fund-level data are mixed, but MIDAS does display a slight edge. Concerning appropriate time-aggregation, we show that there is significant heterogeneity at the vintage level. This implies highly aggregated private equity data may not properly reflect underlying performance in the cross section
46
ROMEI, FEDERICA. "Essays in macroeconomics of debt deleveraging." Doctoral thesis, Luiss Guido Carli, 2014. http://hdl.handle.net/11385/200962.
Abstract:
This dissertation analyzes, in two chapters, how monetary and fiscal authorities can
optimally manage debt reduction episodes.
In the first chapter I show how public debt deleveraging leads to a recession with different
effects on real interest rates according to the fiscal instruments the government
is using to reduce the debt. The fiscal authority should not depress much consumption
of the agents who hold savings to improve the welfare of the ones who do not
have access to financial markets. Moreover speed and timing of public deleveraging
depend crucially on the type of instrument the fiscal authority uses to enforce it.
Nominal rigidities, in this context, seem to be beneficial for the agents who cannot
insure themselves through financial markets.
In the second chapter, written together with Prof. Pierpaolo Benigno, we show how
deleveraging from high debt can provoke deep recession with significant international
side effects. Due the debt reduction process, real and nominal variables can be subject
to high uctuations. All these movements are inefficient and interesting trade-offs
emerge from the perspective of global welfare. Counterintuitively, we show that the
optimal adjustment to global imbalances should not necessarily require large movements
in the nominal exchange rate. Moreover we show that, whenever countries have
an high degree of openness to trade, Central Banks needs to create a global liquidity
trap to face the deleveraging shock.
47
Lee, Young Koo. "Macroeconomic effects of monetary policy and oil price changes /." free to MU campus, to others for purchase, 1996. http://wwwlib.umi.com/cr/mo/fullcit?p9841213.
48
Jones, Basil Morris. "Growth, convergence and economic integration in West Africa : the case of the Economic Community of West African States (ECOWAS)." Thesis, University of Hull, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.342964.
49
Doehr, Rachel M. "Adventures at the Zero Lower Bound: A Bayesian Time-Varying Parameter Vector Autoregressive Analysis of Monetary Policy Uncertainty Shocks." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1318.
Abstract:
Using survey-based measures of future interest rate expectations from the Blue Chip Economic Indicators and the Survey of Professional Forecasters, we examine the relationship between monetary policy uncertainty, captured as the dispersion of interest rate forecasts, and fluctuations in real economic activity and core inflation. We use a flexible time-varying parameter vector autoregression (TVP-VAR) model to clearly isolate the dynamic effects of shocks to monetary policy uncertainty. To further study possible a possible nonlinear relationship between monetary policy uncertainty and the macroeconomic aggregates, we extract the impulse-response functions (IRF’s) estimated at each quarter in the time series, and use a multi-variate regression with various measures of the shape of the IRF’s and the level of monetary policy uncertainty at that quarter in the TVP-VAR model to gauge the relationship between the effectiveness of traditional monetary policy (shocks to the Federal Funds rate), forward guidance (shocks to expected interest rates) and uncertainty. The results show that monetary policy uncertainty can have a quantitatively significant impact on output, with a one standard deviation shock to uncertainty associated with a 0.6% rise in unemployment. The indirect effects are more substantial, with a one standard deviation increase in monetary policy uncertainty associated with a 23% decrease in the maximum response of unemployment to a forward guidance episode (interest rate expectations shock). This evidence points to the importance of managing monetary policy uncertainty (clear and direct forward guidance) as a key policy tool in both stimulating economic activity as well as propagating other monetary policy through the macroeconomy.
50
Pérez, Laborda Alejandro. "Three essays on time series and macroeconomics." Doctoral thesis, Universidad de Alicante, 2012. http://hdl.handle.net/10045/25182.