Dissertations / Theses on the topic 'Policy markets'

Are there policy markets in Australia, and if so, how do they operate? This is the core question for this dissertation. Beginning with a focus on this simple formulation of the problem, the thesis explores the idea of policy markets, breaking it down into its constituent parts��policy� and �markets��and develops four different ways in which policy markets (i.e. markets for policy analysis, research and advice) might be modeled: 1. the dimensions of knowledge, values and competition in policy development systems and processes; 2. a hierarchy of policy markets according to strategic, programmatic and operational concerns; 3. policy markets in the context of cyclical process models of policy-making, especially the variant posited by Bridgman and Davis (1998); and 4. a typology of policy markets ranging from �pseudo� forms through to a form of full (or �pure�) policy market. Against the background of this theory-building, the empirical evidence�which was gathered through a combination of documentary investigation and some 77 interviews with senior public servants, consultants and ministers�is addressed through three interrelated approaches: an analysis of the (relatively limited) government-wide data; a comparison of this material with experience in New Zealand; and a set of three extended case studies. The three case studies address the idea and experience of policy markets from the point of view of: � the supplier�in this case, the economic forecasting and analysis firm, Access Economics; � ministers-as-buyers�through a study of the Coalition Government�s 1998 efforts to reform the waterfront; and � the bureaucracy as implementers of an extensive program of outsourcing�through a detailed examination of the outsourcing of corporate services (especially human resource management) by the Department of Finance and Administration. Several conclusions are drawn as to the character, extent and theoretical and practical significance of policy markets in Australia. While various elements of actual markets (e.g. contracts, price and service competition, multiple sources of supply, etc.) can be detected in the Australian approach to policy-making, policy markets are not as prevalent or as consistent as the rhetoric might suggest. In particular, while the language of the market is a common feature throughout the Australian policy-making system, it tends to mask a complex, �mixed economy�, whereby there is a continued preference for many of the mechanisms of bureaucratic ways of organising for policy analysis, combined with a growing challenge from various forms of networks, which are sometimes �dressed� as markets but retain the essential elements of policy (or, perhaps more particularly, political) networks. Nevertheless, the growing use of the language and some of the forms of the market in Australia�s policy-making system suggests that practitioners and researchers need to take this form into account when considering ways of organising (in the case of practitioners) or ways of studying (for researchers) policy development in Australia.

This thesis examines the reaction of monetary policy to income inequality and the effect of asset price changes and financial sector development on income inequality. The actions of monetary authorities in the U.S and elsewhere during the financial crisis period have had a major impact on financial markets. Given that financial asset prices respond quickly to new information about monetary policy shifts, the Fed’s low interest rate policy stance that started in August 2007 led to a significant increase in asset prices, particularly stock prices. Stock prices appreciation transfers wealth to those households who already own stocks; generally speaking, the wealthier American households. Consequently, it is important to examine empirically the dynamics of monetary policy, asset prices and financial development on income inequality. First, we examined the response of monetary policy to income inequality. We tried to provide empirical answers to the following questions; is there any evidence that monetary policy responds to income inequality? If there is evidence of such a response, what is the nature symmetric or asymmetric? Secondly, is there any significant relationship between changes in stock prices and income inequality? Thirdly, what are the implications of financial sector development on income inequality? This area of literature draws from monetary economics, financial economics and welfare economics disciplines, and has become increasingly important given the massive levels of income inequality that is witnessed around the world. Chapter 2 of this thesis looks at the reaction of monetary policy to income inequality using data from the U.S. We provided evidence of a positive and significant reaction of monetary policy to income inequality measured using the income share accruing to the top 1 percent income earners. We also found evidence of asymmetric reaction of monetary policy to the income of the top 1 percent between 1960 and 2009. In chapter 3 we focused on the role of asset prices on income inequality using data from the U.S. We found that stock market developments and income of the top 1 percent wage earners are well integrated with the direction of causality running from stock returns to top 1 percent income share. One of the practical policy implications of this finding is that monetary policy stance that is directed towards the propping up of asset prices will have a concomitant effect on the income of the top 1 percent income earners. Also in chapter 3 we used the Generalized Methods of Moment GMM to examine the reaction of inequality measured using the income share of the top 1 percent, the bottom 90 percent and the lowest fifth percent households to changes in asset prices. Our task here is to examine whether changes in both financial and nonfinancial assets affects everyone in the top and bottom of the income distribution the same way, or if there are remarkable differences on how these variables affect individuals within the top and bottom income percentiles. Our results detected widespread and subtle effects of asset prices on income at the selected percentiles of the income distribution. These findings hold practical implications for policy makers because the distribution of stocks and homes has important consequences on who benefits from asset prices appreciation and who is hurt by its depreciation. Finally in chapter 4 we analysed the distributional consequences of financial sector development on income inequality using a large unbalanced dataset of 91 countries, classified according to World Bank’s income categories. The results in almost all the models suggested that increasing access to credit for households will reduce income inequality. This finding is important in the light of the potential for using financial development as a policy tool to reduce the widening income inequality around the world.

The present dissertation evaluates specific labour market policies and investigates individual saving behaviour in economies characterized by search and matching frictions in the labour market. The first chapter investigates the optimality of state provided unemployment insurance in a search theoretic framework with saving and borrowing constraints. The model is solved numerically, since an analytic solution is not possible, and then calibrated using features of the US economy. The results demonstrate that when individuals have access to saving, the importance of unemployment benefits provision diminishes significantly. Ex post heterogeneity among agents, matters however. Individuals that were unlucky not to accumulate enough assets to buffer the unemployment risk, would still prefer to receive non-trivial amounts of state provided benefits during their unemployment spell. The second chapter of the thesis is concerned with the interaction between saving, consumption and search. It starts by documenting that the excess sensitivity of consumption growth to lagged labor income growth conceals a negative sensitivity of consumption growth to lagged unemployment growth. To understand this empirical regularity, we embed search frictions in a heterogeneous agent, precautionary savings model and study the implications for unemployment and consumption dynamics both at the microeconomic and macroeconomic level. The third and final chapter employs a standard search and matching model with no saving, in order to study the effects of firing taxes on the job destruction rate, when probation period - or temporary contract - policies are implemented. It is shown that, contrary to conventional wisdom, firing taxes can amplify the job turnover rate by providing incentives to destroy surviving matches at the end of the probation period. Moreover, low skill workers are shown to be more severely affected while wage inequality across different productivity groups may increase.

This thesis sheds light on several macroeconomic aspects of the labor market and economic policy. Chapter 1 analyzes whether the presence of human capital depreciation during unemployment calls for policy intervention. I argue that the latter is required because human capital depreciation during unemployment generates an externality in job creation. Chapter 2 looks at whether the prescription for conducting monetary policy changes once it is taken into account that workers’ human capital depreciates during periods of unemployment. In a New Keynesian framework, I find that optimal monetary policy stays close to strict inflation targeting. Chapter 3 investigates how the effect of an increase in government spend- ing on labor market outcomes depends on the strength of the short-run wealth effect on labor supply. I show that the role of the latter crucially depends on the degree of price and wage stickiness.
Aquesta tesi estudia diversos aspectes macroeconòmics del mercat laboral i la política econòmica. El capítol 1 analitza si la presència de depreciació del capital humà durant els períodes d’atur requereix una intervenció política. Sostinc que aquesta última és necessaria degut a que la depreciació del capital humà durant els períodes d’atur, genera una externalitat en la creació de llocs de treball. El capítol 2 analitza si la prescripció de certes polítiques monetàries canvia un cop es té en compte que el capital humà dels treballadors es deprecia durant els períodes d’atur. En un marc neokeynesià, mostro que la política monetària òptima es manté prop de l’objectiu d’inflació estricte. El capítol 3 estudia com l’efecte d’un augment de la despesa pública en el mercat de treball depèn de la força de l’efecte riquesa a curt termini sobre l’oferta de treball. Mostro que el paper d’aquest últim depèn fonamentalment del grau de rigidesa de preus i salaris

This thesis consists of three self-contained essays. The first chapter investigates the redistributive role minimum wages can play over the cycle and the implied effects on macroeconomic stability. To this end, I develop a two-agent model fea-turing idiosyncratic uncertainty and limited asset markets participation. I find that the minimum wage has the potential to redistribute against the minimum wage earners during an economic decline due to employment losses it originates. In ad-dition to its detrimental effects on low income individuals’ welfare, redistribution can have a quantitatively relevant impact on spending, and hence, on the severity of recessions. The second chapter explores the optimal design of monetary policy in a multisector model where agents’ preferences are characterized by sector spe-cific minimum consumption requirements. We find that this specification of pref-erences alters the optimal measure of inflation that the monetary authority should target. The third chapter studies wage flexibility as a means to absorb adverse shocks. Our focus is on economies with unequal access to financial markets and where the monetary authority is constrained by the zero lower bound. We show that in this particular setting the economy becomes more volatile when wages are less rigid, and hence, the usual recommendation of making labor markets more flexible to restore high output levels is misleading.
Esta tesis se compone de tres ensayos independientes. El primer capítulo investiga el papel redistributivo que pueden desempeñnar los salarios mínimos durante el ciclo y los consecuentes efectos sobre la estabilidad macroeconómica. Con este fin, desarrollo un modelo de dos agentes que incorpora riesgo idiosincrásico y participación limitada en los mercados financieros. Encuentro que el salario mínimo tiene el potencial de redistribuir en contra de quienes lo perciben durante un declive económico debido a las pérdidas de empleo que ocasiona. Adicionalmente a sus efectos negativos sobre el bienestar de trabajadores de bajos ingresos, la redistribución de ingresos puede tener un impacto cuantitativamente relevante sobre el gasto y, por lo tanto, sobre la severidad de las recesiones. El segundo capítulo explora el diseño óptimo de la política monetaria en un modelo multisectorial donde las preferencias de los agentes se caracterizan por incorporar requisitos mínimos de consumo específicos para cada sector. Encontramos que esta especificación de las preferencias altera la medida óptima de inflación que la autoridad monetaria debe estabilizar. El tercer capítulo estudia la flexibilidad salarial como un medio para absorber shocks adversos. Nos enfocamos en economías con acceso limitado a los mercados financieros y donde la autoridad monetaria está limitada por encontrarse la tasa de política en cero. Mostramos que en este contexto la economía se torna más volátil cuando los salarios son menos rígidos y, por lo tanto, la recomendación habitual de flexibilizar mercados laborales para restaurar los altos niveles de producción resulta inadecuada.

This thesis consists of three papers that analyse the conduct of monetary policy in emerging markets, highlighting firstly the implications of government liability dollarisation and secondly the existence of excess liquidity in the commercial banking system. In the first two papers, the impact of foreign currency government debt on the welfare implications of alternative monetary policy rules is analysed using a small open-economy general equilibrium model. In a version of this model calibrated to represent a typical emerging market economy we find that even in the presence of significant liability dollarisation, CPI inflation targeting welfare dominates an exchange rate peg.

This thesis investigates distortions in credit and equity markets. It provides insight into sources of volatility in these markets and their implications for monetary policy. Chapter 2 analyses optimal monetary policy in an economy with a credit friction and capital. A central bank implementing policy optimally will face a trade-off in stabilising inflation, the composition of output, and the net worth of borrowers. The importance of net worth is a new finding in the literature, and reflects the central bank's concern that distortions in credit markets can reduce welfare if ignored. In addition, it is shown that some tolerance of inflation can be optimal in response to shocks that reduce borrowers' net worth. Chapter 3 considers distortions in equity markets and their implications for economic decision-making. It analyses whether changes in the distribution of technology, coupled with optimal expectations on the part of investment-firm managers, can induce endogenous optimism or pessimism. And whether this optimism or pessimism can in turn lead to equity mispricing, and distorted economic decisions. Using a simple general equilibrium model, it is shown that a favourable change in the distribution of technology can induce endogenous optimism leading to over-valued equity prices and over-investment, when compared with an economy in which rational expectations are used. Chapter 4 focuses on identifying the effects of mispriced equity. I find that equity mispricing has statistically significant effects on household consumption and portfolio allocation decisions. These effects are estimated to be non-trivial when allowing for episodes of significant mispricing such as an equity price bubble. Taken together, these chapters suggest that distortions in credit and equity markets can be important, and should be taken into consideration by policymakers to the extent that they affect real economic decisions.

This thesis provides a contribution to the analysis of the link between monetary policy and financial markets. It does so by combining elements from the finance and economics literature and developing areas of intersection which, to some extent, have been evolving in a rather autonomous manner. The thesis takes an empirical perspective and examines three main issues. The first regards the modelling of the short-term interest rate where models are presented that integrate finance contributions with the literature on monetary policy rules. The chapter concludes that there are non-linearities in the short-rate process and these are related to macroeconomic factors in a way consistent with a monetary policy rule. A second essay deals with the effect of monetary policy announcements, improving on previous contributions by extending the investigation to a broader set of instruments and using multivariate models of volatility to capture in a better way the complex interactions between monetary policy and financial markets. The issue of the endogeneity of monetary policy is also a main concern in the final essay of the thesis which examines the contribution of monetary policy shocks in explaining fluctuations in real stock prices in the G7. In this chapter, it is argued that previous approaches may suffer from an omitted variables problem. By including a minimum set of variables both for identifying monetary policy shocks and explaining real stock prices, the study concludes that monetary policy may make a stronger contribution to stock price fluctuations than what is usually found in similar studies.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2008.
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references.
This dissertation consists of three essays studying the impact of tax policy on housing markets and elderly homeowners. Chapter One examines the potential lock-in effect of capital gains taxation on home sales, using the Taxpayer Relief Act of 1997 (TRA97) as a policy instrument. Before 1997, homeowners were subject to capital gains taxation when they sold their houses unless they purchased replacement homes of equal or greater value. Since 1997, homeowners can exclude $500,000 of capital gains when they sell their houses. Using zip-code level housing price indices and sales data from 1982 to 2006 on single-family houses in 16 affluent towns within the Boston metropolitan area, I find that TRA97 reversed the lock-in effect for houses with low and moderate capital gains. However, the semiannual home sale rate of houses with capital gains above $500,000 declined after TRA97, suggesting that TRA97 generated an unintended lock-in effect for houses with capital gains over the maximum exclusion amount. Chapter Two studies the relationship between property taxes and elderly mobility. This is the first study using an instrumental variable approach to address the endogeneity problem associated with property taxes in analyzing elderly mobility. Using household-level panel data from the Health and Retirement Study (HRS) and a newly-collected dataset on state-provided property tax relief programs, I find evidence suggesting that higher property taxes raise mobility rates among elderly homeowners. Eligibility for relief programs lowers mobility rates, and the impact of these programs appears to vary with program types, program generosity, and implementation strategy.
(cont.) Chapter Three investigates the effect of property taxes on elderly homeowners labor supply decisions, using similar data and empirical strategy employed in Chapter Two. I examine both the extensive margin - whether elderly homeowners' delay retirement or reenter the labor force in the face of rising property taxes, and the intensive margin - whether elderly homeowners work longer hours when property taxes increase. I find little evidence that property taxes have a significant impact on elderly labor supply.
Hui Shan.
Ph.D.

Thesis advisor: Fabio Ghironi
Thesis advisor: Matteo Iacoviello
This dissertation studies the implications of housing market heterogeneity for the trans- mission of shocks, welfare and the conduct of monetary policy. In the first chapter I focus on mortgage contract heterogeneity (fixed vs. variable-rate mortgages). I develop and solve a New Keynesian dynamic stochastic general equilibrium model that features a housing market and a group of constrained individuals who need housing collateral to obtain loans. A given proportion of constrained households borrows at a variable rate, while the rest borrows at a fixed rate. The model predicts that in an economy with mostly variable-rate mortgages, an exogenous interest rate shock has larger effects on borrowers than in a fixed-rate economy. For plausible parametrizations, aggregate differences are muted by wealth effects on labor supply and by the presence of savers. More persistent shocks cause larger aggregate differences. From a normative perspective I find that, in the presence of collateral constraints, the optimal Taylor rule is less aggressive against inflation than in the standard sticky-price model. Furthermore, for given monetary policy, a high proportion of fixed-rate mortgages is welfare enhancing. Then, I develop a two-country version of the model to study the implications of housing market heterogeneity for a monetary union as well as costs and benefits of being in a monetary union when there are asymmetric shocks. Results show that consumption reacts more strongly to common shocks in countries with high loan-to-value ratios (LTVs), a high proportion of borrowers or variable-rate mortgages. I also find that country-specific housing price shocks increase consumption not only in the country where the shock takes place. Welfare analysis shows that housing-market homogeneization is not beneficial per se, only when it is towards low LTVs or predominantly fixed-rate mortgages. As for costs and benefits of monetary unions, when there is a technology shock in one of the countries and they are symmetric, the monetary union regime is welfare worsening. However, results are dependent on whether or not countries are symmetric and on the source of the asymmetry
Thesis (PhD) — Boston College, 2008
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

This dissertation consists of three essays on housing markets and monetary policy. The first essay focuses on the impact of monetary policy on U.S. local housing markets and finds that monetary policy has uneven impacts on local housing markets, and that the magnitude of the impacts are correlated with housing supply regulations. The second essay studies the optimal interest rate rule in a DSGE model with housing market spillovers and finds that the optimal interest rate rule responds to house price inflation even when the stabilization of house price is not among the objectives of the policymaker. The third essay is the core of this dissertation. I construct a dynamic stochastic general equilibrium (DSGE) model in this paper to study the fluctuations in the U.S. housing markets. The model features a market for newly built houses, a secondary market for old houses, and an endogenous term structure of nominal interest rates. Negative technological progress in the housing sector explains the upward trend in house prices over the past four decades. Housing preference and technology innovations explain about 80% of the volatility of housing investment, real price of new houses, and the old-to-new house price ratio. Monetary factors explain about 15% of the volatility of housing investment, but do not significantly contribute to the price fluctuations of either new or old houses. The preference innovation to old houses is the leading determinant of the run-up in the price of old houses relative to the price of new houses during the 10-year period before the Great Recession. The term structure is endogenous in this paper, and the intertemporal preference innovation makes a non-negligible contribution to the variations in nominal interest rates. Housing market conditions do not contribute much to the fluctuations of interest rates, but significantly affect the shape of the yield curve.
Ph. D.

This thesis studies the interactions between financial markets, monetary policy, and the real economy. It analyses the role of financial markets in business cycle fluctuations and explores issues concerning systemic financial stability. Chapter One develops a dynamic general equilibrium model in which firms and banks face financial frictions in obtaining external funds. The model exhibits an unconventional bank capital channel as monetary policy affects the economy partly via its effect on bank capital. We show that the dynamic interactions between bank capital, firm net worth and asset price amplify and propagate the effect of a monetary shock in the macroeconomy. Chapter Two empirically investigates the importance of financial markets in the monetary transmission. The analysis is based on the argument that the real money stock serves as a proxy for the relative yields of various non-money assets that matter for aggregate demand. Using Thailand data, we find that the two-asset assumption is biased and that this problem can be ameliorated by introducing an explicit role for money into standard macroeconomic models. Chapter Three develops a numerically-solvable version of our general model [Goodhart, Suni-rand, and Tsomocos (2003)] to analyse financial fragility. The model incorporates heterogeneous agents and therefore leads to different simulation results from those obtained when using standard representative agent models; the effect of a shock depends on the part of the economy on which it falls and can generally shift the distribution of income and welfare between agents. Chapter Four proposes a general equilibrium model incorporating three heterogeneous banks. This allows us to study not only the interactions between any two individual banks, but also their inter-relationship with the rest of the banking sector. The model is calibrated against real UK banking data and therefore can be implemented as a risk assessment tool for financial regulators and central banks.

This thesis examines two key areas where macroeconomic policy and stability in international financial markets intersect. Part one examines the extent to which economic policy can limit the development of misalignments in exchange rates, without sacrificing policy tools that are needed to maintain internal macroeconomic balance. This issue is addressed in a model where endogenous exchange rate fluctuations are generated by traders selecting alternative forecasting strategies on the basis of an ‘evolutionary fitness rule’, in the spirit of work by Brock and Hommes (1997, 1998). In this setting it is shown how, by changing the relative profitability of available strategies, sterilized intervention can coordinate traders onto strategies based on macroeconomic fundamentals. Empirical evidence in support of the model is provided based on data from interventions by the Japanese authorities in the 1990’s. In addition, simulations of the estimated model are used to calculate confidence intervals for the ex ante probability that interventions of a given size will be effective in pricking bubbles in the exchange rate. Part two moves on to examine the implications for macroeconomic policy of the exponential growth in recent years of the use of financial derivatives. A theoretical model is developed which demonstrates how firms’ use of derivatives for risk management purposes, while increasing the robustness of the financial system to shocks, at the same time reduces the impact of monetary policy on the macroeconomy. This effect arises because the agency costs, which enhance the impact of monetary policy through the credit channel, are reduced by firms’ usage of hedging instruments, in particular interest rate swaps. Using quarterly data on total outstanding swap contracts from 1990, empirical evidence is then presented to show how increased usage of derivatives may have influenced the impact of monetary policy in the United States.

This Thesis consists of three chapters examining the interaction and comovement between different financial assets in terms of their price, liquidity and volatility, and analysing the impact of the central bank's monetary policy stance on this interaction. ''The interaction of the Stock, Bond and CDS markets: An empirical analysis'' examines the price co-movements between the stock, bond, and CDS markets finding differences in the timing with which information is reflected in these asset-markets. It further identifies the factors that generate order flow in these markets focusing on the instruments controlled closely by the central bank. The examination of those instruments includes a comparison between standard and non-standard monetary policy measures and the identification of the monetary transmission channel. ''Sovereign Bond and CDS Market Liquidity. Arbitrage Activities and Central Bank Interventions'' analyses the joint dynamics of sovereign bond and CDS market liquidity taking into account the no-arbitrage relationship between them, i.e., the CDS-bond basis, and provides evidence of asymmetric liquidity interaction between the two asset-markets. The examination of central bank interventions and regulatory changes reveals that the ECB's open market purchases and the EU's naked CDS ban managed to limit the mispricing in the sovereign bond and CDS markets and improved the bond-CDS liquidity interaction. ''Volatility and Integration in the European Sovereign Bond and CDS Markets'' studies the strength and direction of volatility linkages between European sovereign bond yields and CDS spreads and assesses whether volatility linkages lead to stronger cross-asset integration. The analysis points to the existence of two blocs within the EMU according to the level of bond-CDS integration, a level which in the EMU South is inversely related to the CDS-bond basis. It additionally lends support to the implementation of non-standard monetary policy measures, since an easing in the ECB's policy stance improves the level of cross-asset integration.

The economic reforms in Jordan during the last two decades have highlighted and promoted the role that non-financial firms play within the Jordanian economy. The ability of firms to play this role is in major part determined by the structure of the financial system in which they operate, and in particular whether this financial system is able to make capital available efficiently to those firms that need it. Whether this is the case can be investigated by analysing the impact of firm characteristics on some of the most important financial decisions taken by these firms, and how these decisions are influenced by the presence of market imperfections. The thesis examines the relation between the financing and investment decisions, where the effect of financial constraints on the firm’s investment decision is investigated. In particular, this thesis focuses on how financial constraints affect different firms by investigating the extent to which the reliance on internal cash flow is affected by firm characteristics such as size, age, dividend payout ratio, and market listing. We find that Jordanian firms are financially constrained, but that these constraints do not appear to be related to firm characteristics. Further, results show that Jordanian firms use debt rather than equity to finance their investment. The second empirical chapter focuses on the main determinants of firms’ capital structure. Here the results show that Jordanian firms follow the pecking order theory, where profitability and liquidity have a negative impact on the level of debt. Size and market to book value have a positive impact, supporting the view that there are significant constraints on debt financing since indicators of the financial health of the firms affect their capital structure ratio. There is also evidence that ownership structure affects the firm’s access to debt. The final empirical chapter examines the impact of firm characteristics on dividend policy, and shows that profitability and market to book value have a positive impact on dividend policy, implying that firms with better access to capital or credit pay dividends. This implies that firms retain earnings in order to ensure that they have sufficient capital to invest, confirming the initial result that Jordanian firms are financially constrained. There is also evidence of the impact of ownership structure, consistent with the predictions of agency cost theory, while institutional investors appear to follow the prudent-man restrictions, being positively associated with firms that pay dividends. This thesis confirms the presence of market imperfections that have a significant influence on the financial decisions taken by Jordanian firms. The consistent evidence of the importance of retained earnings shows that these firms face substantial constraints in terms of their access to external funds, despite the reforms to the Jordanian financial system over the last two decades.

This thesis comprises three chapters which share an emphasis on the importance of agent heterogeneity in different areas of macroeconomics. The first chapter shows that the introduction of heterogeneous risk aversion into a consumption based asset pricing model with Epstein-Zin preferences allows to replicate several features of stock markets such as the counter-cyclical variation in the equity premium and its predictability from the price dividend ratio. The second chapter complements a Mortensen-Pissarides matching model with individual savings for precautionary reasons in order to analyze the welfare effects of reforming unemployment insurance. Our fully dynamic analysis reveals significant transition costs that static comparisons miss. The third chapter is concerned with optimal capital and labor taxation when agents differ in their wage-wealth ratio. We find that if all agents are to benefit from a reform (vis-à-vis the status quo) capital taxes are abolished only after a long period.
Esta tesis se compone de tres capítulos que enfatizan en la importancia de la heterogeneidad de agentes económicos en distintas áreas de la macroeconomía. El primer capítulo demuestra que la introducción de heterogeneidad en la aversión al riesgo en un modelo de consumption based asset pricing con utilidad de tipo Epstein-Zin permite reproducir algunas regularidades empíricas de los mercados financieros como por ejemplo la variación anticíclica de la prima de riesgo y su previsibilidad a través del cociente precio-dividendos. El segundo capítulo introduce en un modelo de matching tipo Mortensen-Pissarides ahorros precaucionarios con el objetivo de analizar los efectos sobre el bienestar de reformas del seguro de desempleo. Nuestro análisis dinámico revela costes significativos de transición no presentes en comparaciones estáticas. El tercer capítulo investiga la imposición óptima de capital y trabajo cuando los agentes son heterogéneos con respecto a su cociente sueldo-patrimonio. Encontramos que, para que todos los agentes se beneficien de la reforma (respecto al status quo), el impuesto del capital debería eliminarse sólo después de un periodo largo.

This thesis aims to add empirical evidence to the corporate finance literature by looking at two main financing issues, namely firms’ payout policies and capital structure decisions, in the context of emerging markets. The thesis consists of seven chapters, including five main standalone research papers. After an introductory chapter, the first research paper reviews the existing literature on the dividend policy controversy with an emphasis on recent empirical work. The following two chapters consist of two research papers which look separately at the dividend and capital structure decisions of firms in India and in Mauritius. In the second research paper an agency model of dividend policy is estimated and tested on a sample of Indian firms using Weighted Least Squares methodology. The third research paper applies panel data procedures to estimate and test a model of the determinants of leverage, using the entire population of non-financial quoted firms in Mauritius. The last two empirical papers investigate how affiliation with an Indian Business House impacts on the dividend and capital structure decisions of firms. The impact of group-affiliation on the payout decision is tested by Maximum Likelihood qualitative and limited dependent variable techniques. The analysis of the impact of group-affiliation on the capital structure decision is conducted using Ordinary Least Squares methods and incorporates group-level characteristics as explanatory variables. While the main findings of these papers are on the whole consistent with the theory, there are new major insights that represent the special case of emerging markets. These main insights, as well as the main conclusions of the study, are summarised in Chapter 7, including some promising ideas for future research.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, September 2011.
"September 2011." Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis explores three aspects of the coexistence of governments and markets from an optimal policy point of view. In chapter 1, I study how the presence of financial markets shapes the government's ability to redistribute. Individuals do not, constrain consumption to equal their net-of- tax income every period, but instead use markets to allocate their resources over time. This restricts the set of policy instruments available to the government. At the same time, however, markets enable agents to enter long-term consumption commitments. Changing these contracts is costly. These potential default costs mitigate the government's ex-post incentives to renege on the promised tax schedule, and therefore provide a coninitment device for the government. In that sense, financial markets may facilitate rather than hinder redistribution. In chapter 2, I present a rationale for corporate income taxes to discriminate between debt and equity financing. For risk-averse entrepreneurs, equity generates more surplus than debt, because it provides financing and insurance. A government seeking to extract surplus from entrepreneurs would naturally tax equity-generated income more than debt-generated income. Moreover, in the presence of private information, the government can use taxes to discriminate between different types of entrepreneurs. This degree of freedom allows a manipulation of the relevant incentive constraints, and an increase in overall efficiency. The optimal non-linear tax schedule to achieve the desired discrimination is isomorphic to one that taxes debt-generated income at a lower rate than equity-generated income. In chapter 3, I explore how fast people adapt to institutional change. I study the differential reaction of former East and West Germans to a series of health care reforms. Along with the decrease in coverage under the public health insurance, former East Germans were significantly less likely to sign complementary insurance contracts in the private market. I show that the differential uptake rates of additional insurance are consistent with a model in which agents learn over time that institutions have changed and they are now responsible for optimizing their coverage. Thus, I provide evidence for the existence of a substantial transition period in the individual adaptation to new institutions.
by Jenny Simon.
Ph.D.

Competitive power markets from different countries exhibit a common market design, especially because of the nature of electricity (lack of storage, inelastic load, and strong seasonal effects on multiple time scales). For example, a majority of countries have created a spot market where electricity is traded hourly. The design of the spot markets reflected an ambition of providing strong incentives for efficient and least-cost production. Subsequently, the spot market price has been considered as a reference price for other existing electricity markets such as the contract market or the real-time market. However, empirical studies on electricity markets find some evidence of abnormally high markups. The literature on the electricity spot market mainly focuses on the producers' pricing decisions. The present thesis argues that quantity choices, both in terms of available as well as contracted quantities, are crucial for understanding market power in electricity markets.
Diss. Stockholm : Handelshögskolan, 2003 [4], iii, [1] s., s. 1-6: sammanfattning, s. 7-119, [5] s.: 4 uppsatser

The need for a vibrant and sustainable agricultural sector in Africa was recognised by the African Union in its Maputo declaration on agriculture and food security in 2003. Member states committed to allocating at least 10% of national budgetary expenditure towards implementation of the Comprehensive African Agricultural Development Program (CAADP). Despite these efforts, Africa remains the largest recipient of food aid in the world and over the coming decade, population growth in Sub-Saharan Africa is projected to exceed any other region globally. Consequently, the need for efficient policies that promote growth in the agricultural sector has been reaffirmed in the recent Malabo declaration presented by the African Union in 2014. Pledging to end hunger in Africa by 2025, it outlines ambitious targets such as doubling productivity and tripling intra-regional trade in agricultural products. Maize represents the principal staple in Eastern and Southern Africa (ESA) and consequently it has been prioritised in much of the historic agricultural policy initiatives. Despite international pressure to liberalise markets, the need to stabilise prices at tolerable levels has been offered as justification for continued intervention in the sector. Contrary to these objectives however, observed volatility over the past decade has often been higher in markets where governments intervene most actively and with few exceptions, maize prices in the region remain high in the global context. As such, literature evaluating policies in the region has questioned the efficiency of historic interventions in achieving stated objectives. Most of the policy analysis in the region to date has been retrospective in nature and focused in specific countries where policies have been employed. As the region moves toward implementation of the ambitious targets outlined in the Malabo declaration, this study presents a partial equilibrium simulation model as a tool for forward looking, region-wide analysis of policy options prior to implementation. After evaluating price transmission between different markets in the region, it raised concern regarding the mismatch between the structure of maize markets in ESA and the traditional structure of partial equilibrium models. Underpinned by the law of one price, such models are typically non-spatial, relying on pooled net trade with a single representative world price transmitted to domestic markets through price transmission elasticities. This implies that trade elasticities are infinitely large, while a number of factors such as the time required to exploit arbitrage conditions, policy implementation, infrastructural restraints and imperfect information point to the need for finite elasticities. Maize markets in the region remain isolated from the global market and, with the exception of yellow maize in South Africa, the bulk of trade occurs within the region. This results in complex interactions between multiple regional markets, but limited interaction with the world reference price. Prices in any one country are influenced not only by domestic supply and demand dynamics, but also by availability of tradable product (mainly non-GM white maize) in a number of potential trading partners. Hence any model utilised for forward looking policy analysis should incorporate this combination of factors. The model outlined in this study specified a system of behavioural trade flow equations based on spatial arbitrage conditions and includes threshold variables that render trade-flow more elastic when breached. Hence it accounts for non-linearity and multiple regimes identified in price transmission analysis, which have largely remained absent from simulation models with the ability to project trade flow into the future under alternative assumption. The model applied in this study was shown to provide a more accurate representation of prices in ESA through a number of validation tests. Firstly, a range of statistical measures related to goodness of fit suggested that it improved the accuracy of simulating historic prices from 2013 – 2016 relative to a traditional price linkage approach. It was also shown to simulate a plausible outlook for maize prices in ESA over a ten-year horizon and provided responses to simple fluctuations in world prices and domestic supply that are more in line with literature and prior expectation. Furthermore, application of historic volatility in domestic yield levels and world prices resulted in an improved replication of past price volatility in the trade-linkage model relative to traditional price linkage approaches. Application of the modelling framework to the simulation of two different policy related future scenarios provided a final validation of its usefulness to answer relevant questions. In a situation where domestic supply is reduced by climatic variation, imposition of export controls in Zambia were shown to have the desired effect of reducing domestic prices for consumers, but the loss to producers outweighed the gain to consumers resulting in a net loss to society. Conversely, accelerated productivity gains in Tanzania were shown to provide a net benefit by reducing the price of maize for consumers. While the negative impact of lower prices on producers was noted, it was partially offset by higher output volumes and outweighed by consumer gains. The study’s contribution is therefore twofold: Firstly, it provided empirical evidence of the benefits attained from prioritising long-term productivity gains over short term reactions to inherently volatile prices. Secondly, it validated a tool for future policy analysis that can be applied in support of strategic decision making. The model structure essentially allows pricing to switch not only between import parity, export parity and autarkic regimes, but also between different markets as trade fluctuates. As such, it resembles actual market conditions more closely and contributes to narrowing the gap between retrospective econometric analysis of price transmission and the simplified structure of simulation models often used for ex ante analysis.
Thesis (PhD)--University of Pretoria, 2017.
Agricultural Economics, Extension and Rural Development
PhD
Unrestricted

Thesis: Ph. D., Massachusetts Institute of Technology, Department of Political Science, 2018.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 260-280).
Debt has become an essential part of families' daily lives in many countries. This dissertation examines under what circumstances credit markets replace the role of welfare states to address social risks and promote social mobility in advanced democracies. It sheds light on the socio-economic and political consequences of growing debt levels. I offer a theory that explains variation in household debt across and within countries by demonstrating that credit fills gaps between households' financial needs and demand for social services on the one hand and welfare states' supply of social services on the other-a gap I refer to as social policy shortfall. The transformation of stable Fordist economies into flexible knowledge economies led to increasingly fragmented employment patterns and life-course trajectories. Welfare states, however, have often not kept up with these disruptions and leave households with larger financial burdens. Households increasingly go into debt to address the financial consequences of social risk such as unemployment or sickness as well as to seize social opportunity by investing in childcare and family, education, and housing. Cross-nationally, two factors explain the variation in household debt: the size and type of social policy shortfall determine individuals' financial needs. But whether credit emerges as a private alternative to welfare states is contingent upon the structure of a country's credit regime, which shapes how easily individuals can borrow money. Drawing on full-population administrative records from Denmark and micro-level panel data from the U.S. and Germany, I show that the permissive credit regimes of the U.S. and Denmark grant households easy access to credit, but the distribution of debt across households differs because welfare states in both countries protect and support households differently. In Germany, the restrictive credit regime results in less borrowing even in light of social policy reforms. The findings have implications for how scholars and policymakers think about the role of financial markets and household debt in a world of changing labor markets and welfare states. It shows how credit markets and welfare states appear to fulfill similar functions but follow different underlying logics, each with its own socio-economic and distributional consequences that shape and amplify insecurity and inequality.
by Andreas Bernhard Wiedemann.
Ph. D.

L'objectif sous-jacent aux trois chapitres qui composent cette thèse est la compréhension du fonctionnement du marché du travail, afin d'établir un diagnostic quant au rôle de régulation potentiel d'une autorité publique dans ce marché. Dans le premier chapitre, j'analyse, d'un point de vue purement "positif", la capacité du modèle avec frictions d'appariement à répliquer les fluctuations de court terme de variables du marché du travail aux États-Unis. Je propose une nouvelle stratégie de calibration, dans le cadre d'analyse est celui d'un modèle de fluctuations avec rigidité de prix. Dans le deuxième chapitre (co-écrit avec F. Langot), nous étudions les déterminants des évolutions de l'offre de travail sur les cinquante dernières années. L'évolution du coin fiscal, ainsi que de deux variables reflétant le cadre institutionnel (la générosité du revenu en cas de "non-emploi" et le pouvoir de négociation des travailleurs), permettent d'expliquer les différentes trajectoires du taux d'emploi et des heures travaillées observées aux États-Unis et dans trois économies européennes (France, Allemagne et Royaume-Uni). Dans le troisième chapitre, j'analyse la performance de deux systèmes alternatifs de sécurité sociale, dans le cadre d'un modèle avec agents hétérogènes en termes de richesse. Les agents sont soumis à un risque de chômage, et le planificateur peut fournir de l'assurance à travers un système fiscal redistributif, basé sur une taxe progressive et/ou l'assurance chômage. Le système fiscal progressif est supérieur, en termes de bien-être agrégé, à l'assurance fournie à travers des allocations chômage, à travers son effet sur le fonctionnement du marché du travail
The objective underlying the three chapters of this thesis is the understanding of the functioning of the labor market to make a diagnosis about the potential regulatory role of a public authority in this market. ln the first chapter, I analyze, from a purely "positive" point of view, the ability of the model with search and matching frictions to reproduce short-term fluctuations of labor market variables in the United States. I propose a new calibration strategy, within a general equilibrium framework with sticky prices. In the second chapter (co-written with F. Langot), we study the determinants of changes in the labor supply over the last fifty years. Changes in the tax wedge, and two variables reflecting the institutional framework (the generosity of income in case of "non-employment" and workers' bargaining power), can explain the different trajectories of the rate employment and hours worked observed in the United States and three European economies (France, Germany and the United Kingdom). ln the third chapter, I analyze the performance of two alternative systems of social security, within the framework of a model with heterogeneous agents in terms of wealth. The agents are subject to a risk of unemployment, and the planner can provide insurance through a redistibutive tax system, based on a progressive tax and / or unemployment insurance. The progressive tax system is superior in terms of aggregate welfare to the insurance provided through unemployment benefits, through its effect on the functioning of the labor market

Thesis (Ph. D.) -- University of Maryland, College Park, 2006.
Thesis research directed by: Government and Politics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.

Thesis (S.M. in Technology and Policy)--Massachusetts Institute of Technology, Engineering Systems Division, 2012.
Cataloged from PDF version of thesis. Page 91 blank.
Includes bibliographical references (p. 87-90).
Speculation is not monolithic; it comes in many forms. A certain level of speculation is required for commodity futures markets to function. On the other hand, certain types of trading activities by speculators may damage a market's price discovery function and in turn its hedging function. However, there is great disagreement as to which types of speculation can distort commodity futures prices and the mechanisms for how a price distortion may occur. This thesis advances three distinct categories of speculative activities alleged to distort commodity prices and reviews evidence for each. Those three categories are: corner and squeeze manipulations, nonfundamental futures demand, and large speculative demand. Case studies are presented for each of the three categories. In addition, the effectiveness of speculative position limits in decreasing the occurrence of each category is analyzed. A question that arises, but is left unanswered, is whether the marginal benefits outweigh the possible costs of speculation once speculation rises above certain levels required for price discovery and hedging.
by Devin B. Helfrich.
S.M.in Technology and Policy

In this paper we propose a time-varying parameter VAR model for the housing market in the United States, the United Kingdom, Japan and the Euro Area. For these four economies, we answer the following research questions: (i) How can we evaluate the stance of monetary policy when the policy rate hits the zero lower bound? (ii) Can developments in the housing market still be explained by policy measures adopted by central banks? (iii) Did central banks succeed in mitigating the detrimental impact of the financial crisis on selected housing variables? We analyze the relationship between unconventional monetary policy and the housing markets by using the shadow interest rate estimated by Krippner (2013b). Our findings suggest that the monetary policy transmission mechanism to the housing market has not changed with the implementation of quantitative easing or forward guidance, and central banks can affect the composition of an investors portfolio through investment in housing. A counterfactual exercise provides some evidence that unconventional monetary policy has been particularly successful in dampening the consequences of the financial crisis on housing markets in the United States, while the effects are more muted in the other countries considered in this study. (authors' abstract)
Series: Department of Economics Working Paper Series

Thesis advisor: Peter Ireland
With interest rates stuck near zero for the foreseeable future, the Federal Reserve has had to employ numerous unconventional monetary policy measures in an attempt to stimulate an economy in the after math of the worst economic downturn since the Great Depression. I assess the usefulness of market-based measures of expectations in gauging the effects of these seemingly extreme policy actions undertaken in an environment of unprecedented fear and uncertainty. I use a principal component analysis to combine a number of asset prices that indicate different types of market expectations; by combining these variables into one single variable indicator, this principal component variable filters out the variance among these similar variables and focuses on the common movements among the variables that can be attributed to a specific market force such as investors’ inflation expectations, overall market risk appetite, and economic growth expectations
Thesis (BA) — Boston College, 2012
Submitted to: Boston College. College of Arts and Sciences
Discipline: College Honors Program
Discipline: Economics

Extant research within competitive dynamics recognizes a positive relationship between high levels of competitive activity and firm performance, but the cognitive and psychological antecedents to competitive activity are far less clearly understood. I explore the role of a specific psychological antecedent - status, in impacting firms’ motivations to launch competitive moves against rivals. The key question, which extant literature does not seem fully equipped to answer, is when and under exactly what circumstances lower-status firms become motivated to launch action against higher-status ones and vice-versa. I use the stimulus-response model in social cognition to build theory which helps to answer the question by considering structural properties of market engagement. The specific structural property of market engagement that I focus on is market commonality, or the extent to which a rival is a significant player in markets important to a focal firm. I predict that a rival’s market commonality with a focal firm and its status relative to the focal firm have independent and positive effects on the extent to which the focal firm pays attention to the rival, that a rival’s market commonality with a focal firm and its status relative to the focal firm interact negatively to predict the focal firm’s motivation to launch action against that rival, and that a rival’s relative status and market commonality with a focal firm interact positively to predict the extent to which the focal firm pays attention to the rival. I test theory through a field study on gourmet food trucks in Lexington and an experiment through Amazon’s Mechanical Turk tool. Results provide broad support for the hypotheses. Three consequences follow from my study – that high-status firms are likely to come under attack from lower-status firms with whom they do not compete in markets, that they are unlikely to be paying attention to those lower-status firms when first attacked, and that they are likely to become aware of and motivated to act against those lower-status firms only after the lower-status firms have occupied key markets. My study contributes to the literatures in competitive dynamics, status, multi-market contact, and entrepreneurial action.

We study the labor market impact of opening borders to low-wage countries. The analysis exploits time and regional variation provided by the 2004 EU enlargement in combination with transport links to Sweden from the new member states. The results suggest an adverse impact on earnings of present workers in the order of 1 percent in areas close to pre-existing ferry lines. The effects are present in most segments of the labor market but tend to be greater in groups with weaker positions. The impact is also clearer in industries which have received more workers from the new member states, and for which across-the-border work is likely to be more common. There is no robust evidence on an impact on employment or wages. At least part of the effects is likely due to channels other than the ones typically considered in the literature.

The purpose of this thesis is to investigate the dynamics pertaining to emerging market business cycles, with special attention to the linkage between financial conditions and the behavior of the macroeconomic variables in such economies. Business cycles in emerging economies differ in many dimensions when compared with advanced economies: the former are characterized by much larger swings in real activity, financial markets, and policy driven variables. For example, when it comes to important macroeconomic variables, output tends to be twice as volatile in emerging economies compared to their developed counterparts. Another interesting discrepancy is related to the fiscal variables: while government consumption spending tends to be countercyclical in advanced economies, in many emerging economies, government spending is procyclical, which tends to reinforce the volatilities of the macro aggregates. The present work tries to shed some light on the role of financial instability in the emerging market business cycles and how the procyclicality of the fiscal policy can be attenuated by the introduction of fiscal debt-targeting rules. Chapter 1 starts by accessing the empirical implications of financial frictions for the business cycles and dynamics in emerging economies. Using a two-step procedure, the chapter first estimates unobservable financial stress indexes for 25 emerging markets to measure the evolution of the conditions of the financial markets in these countries over the period 1994Q1 to 2015Q4. With the financial indexes at hand, the chapter introduces a novel Hierarchical Bayesian Threshold VAR Model that uses Bayesian pooling to efficiently estimate the posteriors of the VAR parameters for each economy. The findings are summarized as follows: (a) stressful times occur with considerable frequency in the data (~ 30 % of the time); (b) second moments of the main macroeconomic variables are regime dependent, with consumption and investment being more correlated with GDP and with larger volatility for all variables considered under financial distress conditions; (c) consumption is more volatile that the GDP both in a regular financial condition and under a financial distress period; (d) the duration of the financial instability period is about 5.4 quarters; (e) nonlinear impulse responses show strong amplification effects related to the tightening of the credit conditions. In Chapter 2, a model in which financial instability emerges endogenously as an outcome of the presence of occasionally binding constraints is used to show that many of the nonlinearities documented in Chapter 1 can be understood as consequences of financial frictions. The chapter builds on a simplified version of the model introduced by Mendoza (2010) and features a Fisherian Debt-Deflation mechanism coupled with the presence of pecuniary externalities associated with the price of capital stock and wages. By using simulation techniques over fully nonlinear global solution methods, the channels through which financial friction affect the business cycles are disentangled. The Fisherian Debt-Deflation mechanism and the two pecuniary externalities magnify the volatility of the macro-variables whenever a crisis is expected in the future. In such a situation, uncertainty goes up and rational expectation agents increase precautionary savings to insure against the crisis. As extensions, two sources of financial frictions are added to the model: (i) a stochastic volatility in the process for the real interest rate - motivated by the results of the estimation of the time-varying parameters VAR (TVP-VAR) for 9 emerging economies; (ii) a financial shock affecting the collateral constraint. The results, conditioned on a specific regime, are consistent with those observed in Chapter 1. However, the additional sources of exogenous uncertainty pose a reduction in the likelihood of crises occurring because of the precautionary savings. This suggest that matching the observed frequency of regime switching is challenging for models with endogenous crises. Chapter 3 studies the implications of simple debt-dependent rules in emerging countries subject to endogenous financial crises with pecuniary externality. The analysis suggests that debt rules that account for the effects of debt accumulation on asset prices can be relatively more efficient in reducing the likelihood of financial crises, but can have substantial impacts on welfare whenever a crisis is likely to happen. Fiscal consolidations based on ad-hoc debt growth may be counterproductive during good times while having significant negative effects on welfare during crisis episodes. Simulated exercises suggest that, when carefully designed, fiscal rules based on debt target can result in welfare gains. Finally, it is worthwhile mentioning that, while solving the nonlinear models in Chapters 2 and 3, the thesis extends the algorithms developed in Maliar and Maliar (2013) and in Arellano et. al. (2016) of the so-called Envelop Condition Method to deal with occasionally binding constraints. This method, coupled with piece-wise linear interpolation/extrapolation techniques, is robust to the presence of the kinks in the policy function and capable of accounting for the distorted equilibrium and expectation effects.
O propósito desta tese é investigar a dinâmica dos ciclos reais em economias emergentes, com atenção especial à relação entre as condições financeiras e o comportamento das variáveis macroeconômicas em tais economias. Os ciclos de negócios nos mercados emergentes diferem-se sobremaneira relativamente aos das economias avançadas: nos primeiros, as oscilações são bastante mais pronunciadas em termos de variáveis reais, de mercados financeiros e de variáveis associadas às políticas macroeconômicas. Por exemplo, em se tratando de variáveis macroeconômicas, o produto tende a ser duas vezes mais volátil em países emergentes comparativamente aos países desenvolvidos. Outra diferença interessante relaciona-se às variáveis fiscais: enquanto o gasto do governo tende a ser anticíclico em economias avançadas, em muitos países emergentes tal variável é comumente pró-cíclica, o que tende a reforçar a volatilidade dos agregados macroeconômicos. O presente trabalho visa esclarecer o papel das instabilidades financeiras nos ciclos econômicos em países emergentes e como a pró-ciclicidade de variáveis fiscais pode ser atenuada pela introdução de regras fiscais dependentes de dívida. O Capítulo 1 busca acessar empiricamente as implicações de fricções financeiras para os ciclos e para a dinâmica dos países emergentes. Usando um procedimento de dois estágios, o capítulo inicialmente estima índices de estresse financeiro para uma amostra de 25 economias emergentes visando construir medidas de como as condições financeiras em tais países se comportaram no período de 1994T1 até 2015T4. Em um segundo estágio, o capítulo introduz um modelo vetorial auto-regressivo (VAR) hierárquico bayesiano com efeitos limiares que usa técnicas de pooling bayesiano para estimar eficientemente os parâmetros dos VARs em cada um dos países. Os resultados são resumidos da seguinte maneira: (a) períodos de estresse financeiro ocorrem com frequência considerável nos dados (aproximadamente 30% do tempo); (b) segundos momentos de importantes variáveis macroeconômicas são regime-dependentes, com consumo e investimento sendo mais correlacionado com o produto e com maior volatilidade sob condições financeiras mais restritas; (c) o consumo é mais volátil do que o produto tanto em regimes de liquidez normais quanto em regimes de estresse financeiro; (d) a duração de um período de estresse financeiro é, em média, de 5.4 trimestres; (e) funções de resposta impulso não lineares denotam grandes efeitos de amplificação associados ao aperto nas condições de crédito. No Capítulo 2, um modelo em que instabilidade financeira emerge endogenamente como resultado da presença de restrições ocasionalmente ativas é utilizado para mostrar que muitas das não linearidades documentadas no Capítulo 1 podem ser entendidas como consequências de fricções financeiras. O capítulo baseia-se numa versão simplificada do modelo introduzido por Mendoza (2010), que se caracteriza pela presença de um mecanismo de deflação de dívida à lá Fisher e pela presença de duas externalidades pecuniárias que amplificam a volatilidade macroeconômica caso os agentes formulem expectativas de crise no futuro. Em tal situação, a incerteza se eleva e agentes racionais elevam a poupança precaucionaria como um seguro contra crises. Como extensões, duas fontes adicionais de fricções financeiras são adicionadas ao modelo: (i) volatilidade estocástica no processo da taxa real de juros - motivada por resultados de estimações de VARs com parâmetros variantes no tempo para 9 países emergentes; (ii) um choque financeiro que afeta a restrição de colateral da economia. Os resultados, condicionando-se num regime específico, são consistentes com aqueles do Capítulo 1. Entretanto, fontes adicionais de incerteza induzem uma queda na probabilidade de crise devido ao aumento na poupança precaucionaria. Tal resultado sugere que replicar a frequência de mudança de regime observada nos dados é uma tarefa não trivial para modelos com crises financeiras endógenas. O Capítulo 3 estuda implicações de regras fiscais simples dependentes de dívida em pequenas economias abertas sujeitas a crises financeiras endógenas com externalidade pecuniária. A análise sugere que regras ficais que acomodam os efeitos da acumulação de dívida sobre os preços dos ativos tendem a ser relativamente eficientes em reduzir as consequências das crises, mas podem ter impactos substanciais sobre o bem-estar caso uma crise possa ocorrer. Consolidações fiscais baseadas em regras ad-hoc desenhadas sobre o crescimento da dívida podem ser contraprodutivas nos momentos normais dos ciclos, e podem ter efeitos negativos significantes nos momentos de crise. Exercícios de simulação sugerem que, caso desenhadas com certo cuidado, regras fiscais baseadas em metas para o montante de dívida podem resultar em ganhos de bem-estar. Ressalta-se que, ao resolver os modelos não lineares nos capítulos 2 e 3, a tese estende os algoritmos desenvolvidos em Maliar e Maliar (2013) e Arellano et. al. (2016) do chamado Método Das Condições de Envelope para lidar com restrições ocasionalmente ativas. Tal método, combinado a técnicas de interpolação lineares, é robusto à presença de kinks nas policy functions e capaz de acomodar equilíbrios com distorção e efeitos expectacionais.