Thèses sur le sujet « Fiscal polices »

In Tanzania, fiscal adjustment policies emphasized an increase in tax revenue and cuts in public spending to correct the fiscal deficit. However, adjustment policies restricted the impact of fiscal policies in correcting fiscal deficit because they led to a low GDP growth and narrowed the tax base. The government overlooked the need to have an alternative tax base that could compensate for the fall in GDP growth. In that respect, the main purpose of this study is to examine the impact of fiscal adjustment policies in correcting the fiscal deficit in Tanzania in different adjustment periods in the 1973-2000 period. The thesis adopts a country study approach to analyse the effect of changes in the tax structure on the fiscal position using the primary balance as a proxy. The study also uses time series econometric methods to examine the impact of economic policy regime changes on public spending and GDP growth and the implications for fiscal policy in Tanzania. The study finds that changes in macroeconomic conditions either temporarily expanded or narrowed the tax bases and influenced the correction of the fiscal deficit in different years. Fiscal adjustment policies were pro-cyclical, thus leading to low GDP growth. This limited the effect of changes in the tax structure in reducing the fiscal deficit. Lastly, policy regime changes led to public spending instability and a structural break in the GDP data series. This signified that economic policy reforms caused fundamental changes in the economy, with implications for macroeconomic and fiscal policies in Tanzania. In sum, the results suggest that pro-cyclical policies are harmful for countries pursuing fiscal adjustment policies to correct a fiscal deficit.

In Tanzania, fiscal adjustment policies emphasized an increase in tax revenue and cuts in public spending to correct the fiscal deficit. However, adjustment policies restricted the impact of fiscal policies in correcting fiscal deficit because they led to a low GDP growth and narrowed the tax base. The government overlooked the need to have an alternative tax base that could compensate for the fall in GDP growth. In that respect, the main purpose of this study is to examine the impact of fiscal adjustment policies in correcting the fiscal deficit in Tanzania in different adjustment periods in the 1973-2000 period. The thesis adopts a country study approach to analyse the effect of changes in the tax structure on the fiscal position using the primary balance as a proxy. The study also uses time series econometric methods to examine the impact of economic policy regime changes on public spending and GDP growth and the implications for fiscal policy in Tanzania. The study finds that changes in macroeconomic conditions either temporarily expanded or narrowed the tax bases and influenced the correction of the fiscal deficit in different years. Fiscal adjustment policies were pro-cyclical, thus leading to low GDP growth. This limited the effect of changes in the tax structure in reducing the fiscal deficit. Lastly, policy regime changes led to public spending instability and a structural break in the GDP data series. This signified that economic policy reforms caused fundamental changes in the economy, with implications for macroeconomic and fiscal policies in Tanzania. In sum, the results suggest that pro-cyclical policies are harmful for countries pursuing fiscal adjustment policies to correct a fiscal deficit.

The general objective of the doctoral thesis is to evaluate the effects of macroeconomic policies on the economy and the environment. Chapter 2 examines the composition of fiscal policy and its transmission mechanisms on various macroeconomic aggregates in open economies. Chapter 3 examines the transmission mechanisms of conventional and unconventional monetary policies on the macroeconomic aggregates in open economies. Chapter 4 explores the interactions among macroeconomic policies, the energy market and environmental quality. The analysis of the effects of fiscal and monetary policies on the economy and the environment is conducted using the structural vector autoregressive (VAR) methodology. This procedure is suitable when the variables of interest are endogenous, which is typically the case with macroeconomic and environmental variables. Structural VAR models allow to examine the dynamic interactions among the variables and feedback effects, through the impulse response functions and the variance decomposition. Chapter 2 provides a detailed examination on the composition of fiscal policy and its transmission mechanisms on various macroeconomic aggregates for two Anglo-Saxon countries, the United States and the United Kingdom, over the period 1964-2017. While research on fiscal policy has been substantial, the study of the transmission mechanisms and effects of tax revenue and government spending components in an open economy framework has received less attention. This chapter contributes to the literature on the disaggregated analysis of fiscal policy in open economies. We examine the composition of fiscal policy by asking whether government spending disaggregation matters for the transmission of fiscal policy on the macroeconomic aggregates. In addition, the chapter explores the role of the exchange rate and the trade balance in the transmission of shocks to tax revenue and government spending components. We estimate the effects of disaggregated fiscal policy shocks on the macroeconomic aggregates. Using the recursive approach, we identify a tax revenue and a government spending component shock that rotates between (i) government non-wage consumption (ii) government wage consumption (iii) public investment. The conducted analysis reveals that the disaggregation of fiscal policy matters since each fiscal instrument implies different transmission channels and effects on the real economy. It therefore seems essential to disaggregate government spending into its main components to uncover significant and different patterns that an aggregated analysis cannot reveal. However, as expected, the effects of government spending components on certain economic variables are weak and insignificant. In addition, our findings suggest that fiscal policy can be operative, besides the interest rate channel, via an exchange rate and trade balance channels. Considering an open economy framework is therefore essential since a part of the fiscal stimulus propagates abroad through external channels. The results occurring from this chapter have several policy implications. First, government non-wage consumption increases could have contractionary effects on the real economy as observed in the countries and the period considered in our analysis. Our findings also indicate that, as expected, public wage policies have a greater impact on the labor market than changes in the other components of government spending, while they have a relatively small effect on the output. Moreover, government efforts to stimulate the real economy through the increase in public investment should be accompanied by other types of macroeconomic policy instruments in order to offset the crowding out effect on private activity. Besides, the examination of tax revenue reveals different implications. In the United States, tax revenue cuts can stimulate economic activity and increase prices in the short run. In contrast, tax revenue cuts do not seem to be effective in stimulating the United Kingdom economy. Chapter 3 examines the transmission mechanisms of conventional and unconventional monetary policies on the macroeconomic aggregates in open economies. While research on monetary policy has been substantial, less attention was given to the study of the role of stock prices and consumer expectations in the transmission of monetary policy. In addition, very few studies have analysed the effects of monetary policy in open economies outside the euro area. Taking this into account, the analysis is carried out for two non-EMU countries, Switzerland and the United Kingdom, over the period 1990-2017. First, we examine whether conventional monetary policy is operative, besides other well-known channels, via a stock price and consumer confidence channels. We then explore the role of long-term interest rates, exchange rates and stock prices in the transmission of unconventional monetary policy. The chapter proposes two distinct structural VAR models based on a novel specification. The baseline model for the case of conventional monetary policy covers the pre-2009 period and is estimated using quarterly data, while the baseline model for the case of unconventional monetary policy covers the post-2009 period and is estimated using monthly data. The official bank policy rate and central bank’s reserve assets are used as instruments for conventional and unconventional monetary policy. Considering stock prices is of key importance since monetary policy decisions have an impact on financing conditions and market expectations, thus leading to adjustments of asset prices. If central banks are forward looking, the monetary policy instrument cannot be properly identified unless expectations are taken into account. Our modelling approach consists in augmenting the structural VAR model with a forward-looking informational variable of near-term development in economic activity and several foreign exogenous variables to control for international spillovers. For the case of conventional monetary policy, the consumer confidence indicator is used since it contains important information used by central banks about consumer expectations as regards future economic conditions. For the case of unconventional monetary policy, the long-term government bond yields are used to capture consumer expectations about future short-term interest rates. The conducted analysis reveals that the inclusion of a forward-looking informational variable of near-term development in economic activity and a financial variable such as the stock prices are of key importance for the monetary policy assessment. We provide evidence for the existence of a consumer confidence channel in the transmission mechanism of conventional monetary policy. An expansionary policy enhances households’ perception with regards future economic conditions, which may result in a tendency to consumer more and save less. Thus, changes in consumer confidence can potentially amplify the effects of monetary policy on the real economy. Moreover, the results indicate that the long-term government bond yields have an important role in the transmission mechanism of unconventional monetary policy. Although these results have limited policy implications, they reveal the importance of considering these specific transmission channels and controlling for global supply and demand shocks in order to provide a comprehensive analysis of the effects of monetary policy. Overall, our findings indicate that conventional and unconventional monetary policies were effective in providing temporary stimulus to the economies of Switzerland and the United Kingdom during the considered periods. Chapter 4 examines the interactions among macroeconomic policies, the energy market and environmental quality. These interactions and channels among them are studied through structural VAR models based on a macroeconomic framework including the energy market. This chapter builds on the growing literature analysing the links between macroeconomic policies and environmental variables. It examines for the first time how the implementation of macroeconomic policies, that aim to stimulate the economy, may also affect the quality of the environment along the business cycle and the specific role of energy markets as transmission channels. On the one hand, the chapter evaluates the implications of macroeconomic policies on the price of non-renewable energy and the use of both renewable and non-renewable energy. On the other hand, it assesses the influence of fiscal policy components, conventional and unconventional monetary policies on greenhouse gas emissions generated by the energy sector. The empirical analysis is conducted for Switzerland and the United Kingdom over the period 1990-2016. The geographical and physical characteristics of these two countries make them particularly vulnerable to global warming. For the case of monetary policy, the analysis is explicitly made on sub-periods since the implementation of quantitative easing can be viewed as a new monetary policy regime. The results occurring from Chapter 4 reveals several policy implications. Fiscal policy, besides its primary role in stabilizing economic activity, can contribute to the achievement of environmental sustainability. Our findings indicate that public investment is more efficient than government consumption in reducing non-renewable energy consumption and greenhouse gas emissions. The analysis of the composition of government spending seems crucial to establish how the different spending categories can complement the efforts to conserve natural resources, promote the use of clean energy and enhance environmental quality. On the other hand, the examination of monetary policy reveals that central banks should investigate the impact of their interventions on environmental quality through the renewable and non-renewable energy markets. In the United Kingdom, conventional monetary policy proves to be effective in promoting the deployment of renewable energies and reducing emissions. In Switzerland, central bank’s efforts to stimulate the real economy through the decrease in interest rates should be accompanied by more strict environmental regulations in order to offset the rise in emissions. Moreover, the conducted analysis reveals that unconventional monetary policy can lead to enhancements of environmental quality. However, as expected, quantitative easing is not by itself capable of substantially reducing emissions and other types of environmental policies need to be implemented jointly. Although monetary policy cannot yet be considered as a policy instrument for climate change and energy, central banks should incorporate environmental issues in their welfare maximization problem.

This study seeks to analyse and quantify cross-border effects of discretionary fiscal policies from two major points of view. The aggregate approach rests on the use of the structural vector autoregression model (SVAR) and its extension, the global vector autoregression model (GVAR). The discretionary fiscal impulse itself is then defined as a change in cyclically adjusted balance of the government sector, calculated at quarterly frequencies. This section is then complemented by a case study of a single measure: the German car scrapping scheme during 2009 and its effects on the Czech economy. It was found that cross-border effects of discretionary fiscal policies may be indeed present, in case certain conditions are met. Importantly, a fiscal impulse has to originate from a sufficiently large economy and there needs to be a tight trade linkage between examined countries. In most cases, cross-border effects have also been found of lesser magnitude than direct impacts of fiscal policies on the domestic country. Finally, as demonstrated on the German-Czech case, even a single fiscal measure can trigger substantial cross-border spillovers. It was estimated that this measure positively contributed to real GDP growth in 2009 in the Czech Republic by 0.44 pp.

The aim of this thesis is to investigate the influence of climate and health policies on personal well-being and the environment or both as well as how household behaviour influences the sustainability of health goals – prevalence of obesity. The most important contribution of this thesis is the application of new methods, use of experimental data and incorporation of national climate and health policy goals into our analysis. The thesis has six chapters, the first chapter deals with the introduction of the thesis whilst the last chapter summarizes the conclusion from the four main chapters comprising of four papers. The second Chapter investigates the effectiveness of carbon tax to promote climate-friendly food demand, welfare and diet quality in Spain. Tax policy scenarios were based on EU alternative social cost of emissions. Own- and cross-price elasticities of sixteen food groups were calculated from incomplete Exact Affine Stone Index (EASI) food demand system. Results show that price increases due to the tax reform reduces the consumption of the food products associated with higher CO2 equivalent emissions but improves diet quality. Even though the tax reform simultaneously improved both the environment and health, the tax was more regressive on low-income citizen’s welfare. The third Chapter investigates the effectiveness of a health tax reform on consumer welfare and diet quality. In this case, the tax policy scenario was based on internalizing the social cost of obesity in Spain. Using the 2012 Kantar homescan data, the EASI demand model was used to estimate nutrient price and expenditure elasticities. Results suggest marginal improvement in the quality of diet, although not in the very short term. Moreover, the consumption of health damaging nutrients such as saturated fatty acid, sodium, and cholesterol decreased tremendously. From the welfare perspective, all household segments had expenditure savings. In Chapter four the thesis took a behavioural perspective due to the marginal impact of the taxes on reducing the consumption of both environmental and health damaging foods. As a result, this chapter assessed the link between psychological attitudes such as risk attitudes, time inconsistencies and body mass index (to account for the prevalence of obesity) in Catalonia. Experimental data on consumer attitudes towards risk, time inconsistencies and sociodemographic characteristics were collated from a section of Catalonian households in 2014. Econometric approaches based on prospect theory and time discounting were used to estimate the risk and time parameters, respectively. The results support a strong influence of risk aversion on the development of body mass index. Furthermore, time inconsistencies significantly influence individuals propensity to increase body mass index. The fifth Chapter brings together all the covariates that influence the development of obesity by investigating the psychological, behavioural and socioeconomic drivers of obesity in Catalonia using path model analysis. Experimental data that elicited risk preferences, time inconsistencies, believes about obese persons, attitudes towards obesity, body perception, body image dissatisfaction and body mass index consumers were used. A multivariate path model was used to estimate the path parameters linking the covariates. Results suggest significant direct and indirect relationships between obesity and most variables. Obesity is also directly influenced by believe that obesity is controllable, correct body image and body image dissatisfaction. Second, significant indirect relationship was found between obesity and attitudes towards persons with obesity. Socioeconomic factors that have significant influence of obesity include age and gender. Risk attitudes did not have any direct or indirect effects on obesity.
El objetivo de esta tesis doctoral es investigar la influencia de políticas climáticas y de salud sobre el bienestar personal y el medioambiente, así como, la forma en que el comportamiento de los hogares influye en la sostenibilidad de los objetivos de salud. La contribución principal de esta tesis es la aplicación de nuevas metodologías, el uso de datos experimentales y la incorporación de los objetivos de políticas nacionales de clima y salud en nuestro análisis. El presente documento se divide en seis capítulos, el primero consiste en una introducción a la temática, los cuatro siguientes, donde se desarrollan los contenidos, corresponden a las publicaciones científicas, mientras que el último recoge las conclusiones de los capítulos anteriores. El segundo capítulo investiga la efectividad del impuesto sobre las emisiones de carbono en la promoción de la demanda de alimentos medioambientalmente sostenibles, bienestar social y calidad de la dieta en España. Se han diseñado diferentes escenarios de políticas de impuestos basados en las alternativas de costes de emisiones de la Unión Europea. Las elasticidades propias y cruzadas de los precios de dieciséis grupos de alimentos se han calculado a partir del sistema de demanda de alimentos - EASI. Los resultados obtenidos muestran que el aumento de precios producido por la reforma de impuestos conlleva a una reducción del consumo de alimentos asociados con mayores emisiones de CO2 equivalente, a la vez que mejora la calidad de la dieta. Aunque se observa que la reforma de los impuestos mejora simultáneamente la salud y el medioambiente, esta parece afectar en mayor grado a segmentos de población con bajos recursos y niveles de bienestar. El tercer capítulo investiga la efectividad de la reforma de los impuestos en el bienestar y la calidad de la dieta de los consumidores. El escenario de política de impuestos se basa en internalizar el coste social de la obesidad en España. Para estimar el precio de los nutrientes y las elasticidades de gasto de la compra de los hogares se utilizan los datos del panel de hogares de Cataluña recolectados en el 2012. Los resultados sugieren una mejora marginal de la calidad de la dieta, aunque ésta no se observa a corto plazo. Además, el consumo de nutrientes dañinos para la salud como ácidos grasos saturados, sodio y colesterol, disminuyen enormemente. Desde el punto de vista de bienestar, el régimen neutral de los impuestos afecta a hogares de todas las clases sociales. En el cuarto capítulo evalúa el vínculo entre las actitudes psicológicas como las actitudes de riesgo, las inconsistencias temporales y el índice de masa corporal (para tener en cuenta la prevalencia de la obesidad) en Cataluña en 2014. El enfoque econométrico se basa en la teoría de la perspectiva y el descuento de tiempo- ambos se utilizan para estimar los parámetros de riesgo y tiempo, respectivamente. Los resultados apoyan una fuerte influencia de la aversión al riesgo en el desarrollo del índice de masa corporal. Además, las inconsistencias de tiempo influyen significativamente en la propensión de los individuos a aumentar el índice de masa corporal. El quinto capítulo reúne a todas las covariables que influyen en el desarrollo de la obesidad mediante la investigación de los factores psicológicos, de comportamiento y socioeconómicos de la obesidad en Cataluña mediante el análisis de modelos de diagramas causales. Los resultados sugieren que existen relaciones significativas directas e indirectas entre la obesidad y la mayoría de las variables. Se observó que la obesidad está directamente influenciada por la creencia que está bajo el control de la gente que la padece, que tiene una imagen corporal correcta y la gente que sufren insatisfacción de su imagen corporal. Además, se encontró una relación indirecta significativa entre la obesidad y las actitudes hacia las personas obesas, edad y el género. En cambio, las actitudes de riesgo no tuvieron ningún efecto directo o indirecto sobre la obesidad. El gobierno debe considerar las interacciones que existen entre los diversos determinantes de la obesidad al formular políticas relacionadas con la esta.

Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, May, 2020
Cataloged from the official PDF of thesis.
Includes bibliographical references (pages 223-227).
This thesis consists of three chapters. Chapters 1 and 2 study redistributive fiscal policies. Chapter 3 analyzes the role of asymmetric information in frictional labor markets. Fiscal stimulus during the Great Recession consisted mainly of transfers, rather than government purchases. Chapter 1 analyzes the role of marginal propensities to consume (MPCs) in shaping the effect of such policies. I construct a continuous-time New Keynesian model with heterogeneous overlapping generations which allows for arbitrary MPC heterogeneity. I characterize the output multipliers of fiscal transfers, and show that the role of MPCs is mainly to determine the timing of the fiscal stimulus. The relation between this timing and the cumulative effect on output is, however, ambiguous. Indeed, I show that transfers to low-MPC consumers may generate a higher cumulative effect on output.
From a normative perspective, however, there is no ambiguity: with larger differences in MPCs, optimal policy can obtain macro stabilization with smaller welfare losses. In Chapter 2, I analyze redistributive policies when households are heterogeneous with respect to both their MPCs and their risk aversion. I characterize transfer multipliers in a model in which capital is subject to uninsurable idiosyncratic risk. Based on survey data, I assume that MPCs and risk aversion are positively correlated in the population. A redistribution from low-MPC, low-risk aversion households to high-MPC, high-risk aversion households creates two opposing effects: a higher mean MPC tends to stimulate aggregate demand, but an increase in the mean risk aversion tends to depress asset prices, generating a negative income effect on consumption. In Chapter 3, I study a frictional labor market with horizontally differentiated workers.
Firms have incomplete information about the skills of workers who apply to their vacancies. Workers self-insure against unemployment risk by applying to jobs for which their skills are not well suited. This decreases firms' incentives to create vacancies by deteriorating the quality of the average applicant. Workers thus impose a negative externality on each other, which makes the equilibrium inefficient. However, although workers apply to too many jobs, I show that unemployment can be too low or too high. Welfare-improving government policies are considered.
by Mariano Eduardo Spector.
Ph. D.
Ph.D. Massachusetts Institute of Technology, Department of Economics

Le analisi incluse in questa tesi contribuiscono alla letteratura sulle politiche fiscali e sulla crescita economica da diverse angolazioni, dove si sfruttano principalmente i) serie storiche fiscali più lunghe che coprono in gran parte anche il periodo successivo alla Grande Recessione; ii) dati di interesse che coinvolgono una quota maggiore di paesi in via di sviluppo rispetto alla maggior parte degli studi precedenti; iii) la disponibilità di nuove tecniche econometriche per dati macro-panel. Questa dissertazione si compone di quattro capitoli che affrontano fenomeni diversi, sebbene correlati. Le analisi empiriche sono condotte a livello di panel all'interno di tutti i capitoli. Il primo capitolo esamina l'impatto del rapporto debito/PIL sulla crescita aggregata, sulla produttività e sull'accumulazione di capitale. Le stime sono condotte a livello annuale e quinquennale (overlapping and non-overlapping) all'interno di un quadro dinamico. Rispetto alla maggior parte degli studi precedenti, in questa tesi viene utilizzato un set di dati panel più ampio sia in N che in T, con conseguenti vantaggi inferenziali. Gli episodi di crescita sovrapposti e non sovrapposti sono calcolati con un nuovo metodo che massimizza il numero di osservazioni. Infine, affrontiamo il problema dei missing values attraverso tecniche di deviazione ortogonale in avanti (FOD). La presenza di missing values può rappresentare un problema quando i dataset contengono paesi in via di sviluppo, poiché molte serie temporali sono relativamente brevi rispetto a quelle per le economie avanzate. Il secondo capitolo indaga gli effetti a breve e lungo termine del debito pubblico per lavoratore sull’output per lavoratore, tenendo conto dell'eterogeneità tra le unità, della non stazionarietà, dell'endogeneità e della cross-sectional dependence attraverso nuove tecniche econometriche. Deriviamo un'equazione stimabile da una funzione di produzione Cobb-Douglas estesa con il debito e in cui i parametri possono variare tra i paesi. Consideriamo il debito pubblico lordo e netto. Inoltre, stimiamo modelli asimmetrici per esaminare se i processi di accumulazione e riduzione del debito seguono un percorso non lineare. Il terzo capitolo studia gli effetti a lungo termine sul settore privato della spesa pubblica corrente all'interno di un quadro dinamico eterogeneo in cui si presume che gli errori dipendano trasversalmente. Consideriamo sia la spesa pubblica aggregata che la sua bipartizione in produttiva e improduttiva. Inoltre, isoliamo anche gli effetti dell'investimento privato della mera riallocazione delle risorse pubbliche verso ciascuna delle categorie di spesa mantenendo costante la spesa pubblica totale. Infine, costruiamo un vincolo di bilancio pubblico (GBC) per esaminare se il modo in cui la spesa pubblica è finanziata è importante per le dinamiche di lungo periodo degli investimenti privati. Il quarto capitolo stabilisce un rapporto di cointegrazione tra gli investimenti privati e le singole componenti della spesa pubblica – classificate secondo gli obiettivi socioeconomici – dove, come nel secondo e nel terzo capitolo, si tiene conto degli effetti eterogenei degli shock globali e delle ricadute locali. In alternativa, consideriamo le componenti della spesa pubblica sia come quota del PIL che come quota della spesa pubblica totale. Questa distinzione è importante perché l'effetto delle singole componenti sulla quota della spesa pubblica totale va considerato come l'effetto di una riallocazione delle risorse verso una determinata componente di spesa, in quanto la spesa pubblica totale non si aggiusta nel modello. Inoltre, anche questo capitolo include il GBC nelle regressioni al fine di ottenere stime della risposta degli investimenti privati alle diverse combinazioni di componenti di spesa e modalità di finanziamento.
The analyses included in this thesis contribute to the literature on fiscal policies and economic growth through different angles, where we mainly take advantage of i) the longer fiscal time series that largely also cover the post Great Recession period; ii) data of interest that involve a larger share of developing countries compared to most of the previous studies; iii) the availability of novel econometric techniques for macro panel data. This dissertation is made up of four chapters who address different, though related, phenomena. The empirical analyses are conducted at panel level within all the chapters. The first chapter examines the impact of the debt-to-GDP ratio on aggregate growth, productivity and capital accumulation. Estimates are conducted at annual and 5-years (overlapping and non-overlapping) levels within a dynamic framework. Compared to most of the previous studies, we use a panel dataset that is larger both in N and in T, with consequently benefits for the inference. The overlapping and non-overlapping growth episodes are computed in a new way that maximizes the number of observations. Lastly, we address the problem of missing values through forward orthogonal deviation (FOD) techniques. The issue of gaps in the sample represents a concern when datasets contain developing countries – as many time series are relatively short compared to those of advanced economy. As a result, such a problem may threaten the inference when estimation techniques are based on the employment of internal instruments. The second chapter investigates the short-run and long-run effects of public debt per worker on output per worker while accounting for country-heterogeneity, nonstationarity, endogeneity and cross-sectional dependence through novel econometric techniques. We derive an estimable equation from a Cobb-Douglas output function augmented with debt where the parameters are allowed to vary across countries. We consider both gross and net public debt. Moreover, we estimate asymmetric models to examine whether the processes of debt accumulation and relief follow a nonlinear path. The third chapter studies the long-run effects on the private sector of the current government expenditure within a dynamic heterogenous framework where errors are assumed to be cross-sectionally dependent. We consider both the aggregate government expenditure and its bipartition into productive and unproductive. Moreover, we also isolate the private investment effects of the mere reallocation of public resources towards each of the spending categories by holding constant the size of the government intervention. Finally, we build a government budget constraint (GBC) in order to examine whether the way government expenditure is financed matters for the long-run dynamics of private investments. The fourth chapter establishes a cointegrating relationship between private investments and the single components of government expenditure – categorized according to the socioeconomic objectives – where, as in the second and third chapters, the heterogenous effects of global shocks and local spillovers are accounted for. We alternatively consider the components of government expenditure both as share of GDP and as share of total government expenditure. This distinction matters because the effect of the single components as share of total government expenditure should be considered as the effect of a reallocation of resources towards a given spending component, since the size of government intervention does not adjust. In addition, also this chapter includes the GBC in the regressions in order to obtain estimates of the response of private investments to the various combinations of spending components and methods of financing.

Le analisi incluse in questa tesi contribuiscono alla letteratura sulle politiche fiscali e sulla crescita economica da diverse angolazioni, dove si sfruttano principalmente i) serie storiche fiscali più lunghe che coprono in gran parte anche il periodo successivo alla Grande Recessione; ii) dati di interesse che coinvolgono una quota maggiore di paesi in via di sviluppo rispetto alla maggior parte degli studi precedenti; iii) la disponibilità di nuove tecniche econometriche per dati macro-panel. Questa dissertazione si compone di quattro capitoli che affrontano fenomeni diversi, sebbene correlati. Le analisi empiriche sono condotte a livello di panel all'interno di tutti i capitoli. Il primo capitolo esamina l'impatto del rapporto debito/PIL sulla crescita aggregata, sulla produttività e sull'accumulazione di capitale. Le stime sono condotte a livello annuale e quinquennale (overlapping and non-overlapping) all'interno di un quadro dinamico. Rispetto alla maggior parte degli studi precedenti, in questa tesi viene utilizzato un set di dati panel più ampio sia in N che in T, con conseguenti vantaggi inferenziali. Gli episodi di crescita sovrapposti e non sovrapposti sono calcolati con un nuovo metodo che massimizza il numero di osservazioni. Infine, affrontiamo il problema dei missing values attraverso tecniche di deviazione ortogonale in avanti (FOD). La presenza di missing values può rappresentare un problema quando i dataset contengono paesi in via di sviluppo, poiché molte serie temporali sono relativamente brevi rispetto a quelle per le economie avanzate. Il secondo capitolo indaga gli effetti a breve e lungo termine del debito pubblico per lavoratore sull’output per lavoratore, tenendo conto dell'eterogeneità tra le unità, della non stazionarietà, dell'endogeneità e della cross-sectional dependence attraverso nuove tecniche econometriche. Deriviamo un'equazione stimabile da una funzione di produzione Cobb-Douglas estesa con il debito e in cui i parametri possono variare tra i paesi. Consideriamo il debito pubblico lordo e netto. Inoltre, stimiamo modelli asimmetrici per esaminare se i processi di accumulazione e riduzione del debito seguono un percorso non lineare. Il terzo capitolo studia gli effetti a lungo termine sul settore privato della spesa pubblica corrente all'interno di un quadro dinamico eterogeneo in cui si presume che gli errori dipendano trasversalmente. Consideriamo sia la spesa pubblica aggregata che la sua bipartizione in produttiva e improduttiva. Inoltre, isoliamo anche gli effetti dell'investimento privato della mera riallocazione delle risorse pubbliche verso ciascuna delle categorie di spesa mantenendo costante la spesa pubblica totale. Infine, costruiamo un vincolo di bilancio pubblico (GBC) per esaminare se il modo in cui la spesa pubblica è finanziata è importante per le dinamiche di lungo periodo degli investimenti privati. Il quarto capitolo stabilisce un rapporto di cointegrazione tra gli investimenti privati e le singole componenti della spesa pubblica – classificate secondo gli obiettivi socioeconomici – dove, come nel secondo e nel terzo capitolo, si tiene conto degli effetti eterogenei degli shock globali e delle ricadute locali. In alternativa, consideriamo le componenti della spesa pubblica sia come quota del PIL che come quota della spesa pubblica totale. Questa distinzione è importante perché l'effetto delle singole componenti sulla quota della spesa pubblica totale va considerato come l'effetto di una riallocazione delle risorse verso una determinata componente di spesa, in quanto la spesa pubblica totale non si aggiusta nel modello. Inoltre, anche questo capitolo include il GBC nelle regressioni al fine di ottenere stime della risposta degli investimenti privati alle diverse combinazioni di componenti di spesa e modalità di finanziamento.
The analyses included in this thesis contribute to the literature on fiscal policies and economic growth through different angles, where we mainly take advantage of i) the longer fiscal time series that largely also cover the post Great Recession period; ii) data of interest that involve a larger share of developing countries compared to most of the previous studies; iii) the availability of novel econometric techniques for macro panel data. This dissertation is made up of four chapters who address different, though related, phenomena. The empirical analyses are conducted at panel level within all the chapters. The first chapter examines the impact of the debt-to-GDP ratio on aggregate growth, productivity and capital accumulation. Estimates are conducted at annual and 5-years (overlapping and non-overlapping) levels within a dynamic framework. Compared to most of the previous studies, we use a panel dataset that is larger both in N and in T, with consequently benefits for the inference. The overlapping and non-overlapping growth episodes are computed in a new way that maximizes the number of observations. Lastly, we address the problem of missing values through forward orthogonal deviation (FOD) techniques. The issue of gaps in the sample represents a concern when datasets contain developing countries – as many time series are relatively short compared to those of advanced economy. As a result, such a problem may threaten the inference when estimation techniques are based on the employment of internal instruments. The second chapter investigates the short-run and long-run effects of public debt per worker on output per worker while accounting for country-heterogeneity, nonstationarity, endogeneity and cross-sectional dependence through novel econometric techniques. We derive an estimable equation from a Cobb-Douglas output function augmented with debt where the parameters are allowed to vary across countries. We consider both gross and net public debt. Moreover, we estimate asymmetric models to examine whether the processes of debt accumulation and relief follow a nonlinear path. The third chapter studies the long-run effects on the private sector of the current government expenditure within a dynamic heterogenous framework where errors are assumed to be cross-sectionally dependent. We consider both the aggregate government expenditure and its bipartition into productive and unproductive. Moreover, we also isolate the private investment effects of the mere reallocation of public resources towards each of the spending categories by holding constant the size of the government intervention. Finally, we build a government budget constraint (GBC) in order to examine whether the way government expenditure is financed matters for the long-run dynamics of private investments. The fourth chapter establishes a cointegrating relationship between private investments and the single components of government expenditure – categorized according to the socioeconomic objectives – where, as in the second and third chapters, the heterogenous effects of global shocks and local spillovers are accounted for. We alternatively consider the components of government expenditure both as share of GDP and as share of total government expenditure. This distinction matters because the effect of the single components as share of total government expenditure should be considered as the effect of a reallocation of resources towards a given spending component, since the size of government intervention does not adjust. In addition, also this chapter includes the GBC in the regressions in order to obtain estimates of the response of private investments to the various combinations of spending components and methods of financing.

Le analisi incluse in questa tesi contribuiscono alla letteratura sulle politiche fiscali e sulla crescita economica da diverse angolazioni, dove si sfruttano principalmente i) serie storiche fiscali più lunghe che coprono in gran parte anche il periodo successivo alla Grande Recessione; ii) dati di interesse che coinvolgono una quota maggiore di paesi in via di sviluppo rispetto alla maggior parte degli studi precedenti; iii) la disponibilità di nuove tecniche econometriche per dati macro-panel. Questa dissertazione si compone di quattro capitoli che affrontano fenomeni diversi, sebbene correlati. Le analisi empiriche sono condotte a livello di panel all'interno di tutti i capitoli. Il primo capitolo esamina l'impatto del rapporto debito/PIL sulla crescita aggregata, sulla produttività e sull'accumulazione di capitale. Le stime sono condotte a livello annuale e quinquennale (overlapping and non-overlapping) all'interno di un quadro dinamico. Rispetto alla maggior parte degli studi precedenti, in questa tesi viene utilizzato un set di dati panel più ampio sia in N che in T, con conseguenti vantaggi inferenziali. Gli episodi di crescita sovrapposti e non sovrapposti sono calcolati con un nuovo metodo che massimizza il numero di osservazioni. Infine, affrontiamo il problema dei missing values attraverso tecniche di deviazione ortogonale in avanti (FOD). La presenza di missing values può rappresentare un problema quando i dataset contengono paesi in via di sviluppo, poiché molte serie temporali sono relativamente brevi rispetto a quelle per le economie avanzate. Il secondo capitolo indaga gli effetti a breve e lungo termine del debito pubblico per lavoratore sull’output per lavoratore, tenendo conto dell'eterogeneità tra le unità, della non stazionarietà, dell'endogeneità e della cross-sectional dependence attraverso nuove tecniche econometriche. Deriviamo un'equazione stimabile da una funzione di produzione Cobb-Douglas estesa con il debito e in cui i parametri possono variare tra i paesi. Consideriamo il debito pubblico lordo e netto. Inoltre, stimiamo modelli asimmetrici per esaminare se i processi di accumulazione e riduzione del debito seguono un percorso non lineare. Il terzo capitolo studia gli effetti a lungo termine sul settore privato della spesa pubblica corrente all'interno di un quadro dinamico eterogeneo in cui si presume che gli errori dipendano trasversalmente. Consideriamo sia la spesa pubblica aggregata che la sua bipartizione in produttiva e improduttiva. Inoltre, isoliamo anche gli effetti dell'investimento privato della mera riallocazione delle risorse pubbliche verso ciascuna delle categorie di spesa mantenendo costante la spesa pubblica totale. Infine, costruiamo un vincolo di bilancio pubblico (GBC) per esaminare se il modo in cui la spesa pubblica è finanziata è importante per le dinamiche di lungo periodo degli investimenti privati. Il quarto capitolo stabilisce un rapporto di cointegrazione tra gli investimenti privati e le singole componenti della spesa pubblica – classificate secondo gli obiettivi socioeconomici – dove, come nel secondo e nel terzo capitolo, si tiene conto degli effetti eterogenei degli shock globali e delle ricadute locali. In alternativa, consideriamo le componenti della spesa pubblica sia come quota del PIL che come quota della spesa pubblica totale. Questa distinzione è importante perché l'effetto delle singole componenti sulla quota della spesa pubblica totale va considerato come l'effetto di una riallocazione delle risorse verso una determinata componente di spesa, in quanto la spesa pubblica totale non si aggiusta nel modello. Inoltre, anche questo capitolo include il GBC nelle regressioni al fine di ottenere stime della risposta degli investimenti privati alle diverse combinazioni di componenti di spesa e modalità di finanziamento.
The analyses included in this thesis contribute to the literature on fiscal policies and economic growth through different angles, where we mainly take advantage of i) the longer fiscal time series that largely also cover the post Great Recession period; ii) data of interest that involve a larger share of developing countries compared to most of the previous studies; iii) the availability of novel econometric techniques for macro panel data. This dissertation is made up of four chapters who address different, though related, phenomena. The empirical analyses are conducted at panel level within all the chapters. The first chapter examines the impact of the debt-to-GDP ratio on aggregate growth, productivity and capital accumulation. Estimates are conducted at annual and 5-years (overlapping and non-overlapping) levels within a dynamic framework. Compared to most of the previous studies, we use a panel dataset that is larger both in N and in T, with consequently benefits for the inference. The overlapping and non-overlapping growth episodes are computed in a new way that maximizes the number of observations. Lastly, we address the problem of missing values through forward orthogonal deviation (FOD) techniques. The issue of gaps in the sample represents a concern when datasets contain developing countries – as many time series are relatively short compared to those of advanced economy. As a result, such a problem may threaten the inference when estimation techniques are based on the employment of internal instruments. The second chapter investigates the short-run and long-run effects of public debt per worker on output per worker while accounting for country-heterogeneity, nonstationarity, endogeneity and cross-sectional dependence through novel econometric techniques. We derive an estimable equation from a Cobb-Douglas output function augmented with debt where the parameters are allowed to vary across countries. We consider both gross and net public debt. Moreover, we estimate asymmetric models to examine whether the processes of debt accumulation and relief follow a nonlinear path. The third chapter studies the long-run effects on the private sector of the current government expenditure within a dynamic heterogenous framework where errors are assumed to be cross-sectionally dependent. We consider both the aggregate government expenditure and its bipartition into productive and unproductive. Moreover, we also isolate the private investment effects of the mere reallocation of public resources towards each of the spending categories by holding constant the size of the government intervention. Finally, we build a government budget constraint (GBC) in order to examine whether the way government expenditure is financed matters for the long-run dynamics of private investments. The fourth chapter establishes a cointegrating relationship between private investments and the single components of government expenditure – categorized according to the socioeconomic objectives – where, as in the second and third chapters, the heterogenous effects of global shocks and local spillovers are accounted for. We alternatively consider the components of government expenditure both as share of GDP and as share of total government expenditure. This distinction matters because the effect of the single components as share of total government expenditure should be considered as the effect of a reallocation of resources towards a given spending component, since the size of government intervention does not adjust. In addition, also this chapter includes the GBC in the regressions in order to obtain estimates of the response of private investments to the various combinations of spending components and methods of financing.

This dissertation consists of three main chapters which investigate the economic implications of monetary and fiscal policies on the macroeconomy. The first main chapter examines the effects of government spending and tax revenue shocks on various macroeconomic aggregates. There is a consensus among academics and practitioners that output reacts positively to fiscal stimulus, but the effects on private consumption, real wage, exchange rate and trade balance are still a matter of debate in both theoretical and empirical literature. In this study, I provide new empirical evidence that may rationalize these disagreements by estimating the effects of government spending and tax shocks on macroeconomic aggregates using vector autoregression model for two industrialized open economies, the United States and the United Kingdom. I show that the recursive and Blanchard-Perotti identification approaches yield similar responses for both economies, but the responses computed under the sign restriction method differs in the short-term. In addition, this study proposes a robust and novel identification specification for open economy variables, namely trade balance and exchange rate. As ancillary analysis, this study finds that (i) government spending yields higher output multiplier compared to tax cuts, and (ii) some of the fiscal stimulus for an open economy is leaked to its trading partners via the trade channel. Finally, I provide additional empirical evidence to the current literature by showing that the effects of government spending shocks on output have weakened in the post-1980s. The second chapter aims to examine the drivers of exchange rate movements and how it affects inflation by evaluating the temporal interrelations between real exchange rate and macroeconomic variables. Understanding what drives exchange rates dynamics is instrumental for both academics and policymakers as they significantly affect a country's trade competitiveness, influence exports, imports, and overall output growth. The exchange rate affects the prices of imported goods and services, which feeds through domestic consumer prices, ultimately determining consumer's purchasing power. Movements in the exchange rate can make it costly (or cheaper) to service foreign denominated debt and can have a substantial impact on foreign investments earnings. In this study, I provide empirical evidence - from a Bayesian time-varying parameter vector autoregression model with stochastic volatility - that real exchange rate movements and volatility increased over time following a monetary policy shock. The simulation results - from the standard two-country New Keynesian dynamic stochastic general equilibrium model -- suggest that price rigidities, exchange rate pass-through, degree of openness to trade, and monetary policy response to inflation and output growth drive most of the movements in the real exchange rate, whereas changes in its volatility can be mainly attributed to feasible calibrations of nominal rigidities and home bias. Finally, the third chapter focuses on the spillovers and spillbacks of monetary policy. On the onset of the Global Financial Crisis, central banks aimed to promote price stability and domestic economic growth by engaging in expansionary monetary policy, which led to significant interest rate differentials between advanced economies and emerging economies. Foreign policymakers, in particular in emerging countries, criticized the Federal Reserve of deliberately weakening the dollar to gain an advantage in trade. Despite a large body of literature in this field, the following question about monetary policy spillovers remain open: Is expansionary monetary policy beggar-thy-neighbor or boost-thy-neighbor? In this study, I show that international trade spillovers of monetary policy in the United States substantially change over time, with a monetary policy tightening leading to more adverse international spillovers during recessions. Using a combination of empirical and theoretical tools, this study documents these findings and explains that during economic downturns, a decline in the trade elasticity and a lower exchange rate pass-through to import prices cause the U.S. trade balance to increase following a monetary policy tightening, despite the appreciation of the U.S. dollar. This occurs through a reduction of the expenditure switching effect. In turn, this lowers foreign GDP. In good times, in contrast, the trade spillovers to the foreign economy following a monetary policy tightening in the United States tend to be favorable and support foreign economic growth. The degree in which countries trade and the extent to which exchange rate movements are reflected in import prices are therefore crucial for the international spillovers and spillbacks of monetary policy. Variation in these key spillovers parameters can explain more generally why the international transmission of monetary policy in the United States changes over time.

Cette thèse étudie l'impact déstabilisateur des politiques fiscales en présence d'une règle d'équilibre budgétaire dans les modèles de macroéconomie dynamique. Elle comporte trois essais dont l'objectif est d'éclairer de nouveaux mécanismes mettant en avant cet impact déstabilisateur. Dans le premier chapitre, nous étudions le lien entre préférences des ménages et instabilité agrégée. Le second et le troisième chapitre considèrent une approche multisectorielle et étendent la question de l'émergence de l'instabilité soit lorsque la politique fiscale est soit spécifique aux secteurs ou lorsque l'économie s'ouvre à l'échange international
This dissertation study the destabilizing impact of fiscal policies in presence of a balanced-budget rule in the model of dynamic macroeconomics. It consist of three essays aiming to highlight new mechanisms providing this destabilizing impact. In the first chapter, we study the link between households' preferences et aggregate instability. The second and third chapter consider a multisectorial approach and extend the issue of the emergence of aggregate instability either when the tax policy is sector-specific or when the economy opens to international trade

The active use of macroeconomic policies to smooth economic fluctuations and, as a

consequence, the stance that policymakers should adopt over the business cycle, remain

controversial issues in the economic literature.

In the light of the dramatic experience of the early 1930s’ Great Depression, Keynes (1936)

argued that the market mechanism could not be relied upon to spontaneously recover from

a slump, and advocated counter-cyclical public spending and monetary policy to stimulate

demand. Albeit the Keynesian doctrine had largely influenced policymaking during

the two decades following World War II, it began to be seriously challenged in several

directions since the start of the 1970s. The introduction of rational expectations within

macroeconomic models implied that aggregate demand management could not stabilize

the economy’s responses to shocks (see in particular Sargent and Wallace (1975)). According

to this view, in fact, rational agents foresee the effects of the implemented policies, and

wage and price expectations are revised upwards accordingly. Therefore, real wages and

money balances remain constant and so does output. Within such a conceptual framework,

only unexpected policy interventions would have some short-run effects upon the economy.

The "real business cycle (RBC) theory", pioneered by Kydland and Prescott (1982), offered

an alternative explanation on the nature of fluctuations in economic activity, viewed

as reflecting the efficient responses of optimizing agents to exogenous sources of fluctuations, outside the direct control of policymakers. The normative implication was that

there should be no role for economic policy activism: fiscal and monetary policy should be

acyclical. The latest generation of New Keynesian dynamic stochastic general equilibrium

(DSGE) models builds on rigorous foundations in intertemporal optimizing behavior by

consumers and firms inherited from the RBC literature, but incorporates some frictions

in the adjustment of nominal and real quantities in response to macroeconomic shocks

(see Woodford (2003)). In such a framework, not only policy "surprises" may have an

impact on the economic activity, but also the way policymakers "systematically" respond

to exogenous sources of fluctuation plays a fundamental role in affecting the economic

activity, thereby rekindling interest in the use of counter-cyclical stabilization policies to

fine tune the business cycle.

Yet, despite impressive advances in the economic theory and econometric techniques, there are no definitive answers on the systematic stance policymakers should follow, and on the

effects of macroeconomic policies upon the economy. Against this background, the present thesis attempts to inspect the interrelations between macroeconomic policies and the economic activity from novel angles. Three contributions

are proposed.

In the first Chapter, I show that relying on the information actually available to policymakers when budgetary decisions are taken is of fundamental importance for the assessment of the cyclical stance of governments. In the second, I explore whether the effectiveness of fiscal shocks in spurring the economic activity has declined since the beginning of the 1970s. In the third, the impact of systematic monetary policies over U.S. industrial sectors is investigated. In the existing literature, empirical assessments of the historical stance of policymakers over the economic cycle have been mainly drawn from the estimation of "reduced-form" policy reaction functions (see in particular Taylor (1993) and Galì and Perotti (2003)). Such rules typically relate a policy instrument (a reference short-term interest rate or an indicator of discretionary fiscal policy) to a set of explanatory variables (notably inflation, the output gap and the debt-GDP ratio, as long as fiscal policy is concerned). Although these policy rules can be seen as simple approximations of what derived from an explicit optimization problem solved by social planners (see Kollmann (2007)), they received considerable attention since they proved to track the behavior of central banks and fiscal

policymakers relatively well. Typically, revised data, i.e. observations available to the

econometrician when the study is carried out, are used in the estimation of such policy

reaction functions. However, data available in "real-time" to policymakers may end up

to be remarkably different from what it is observed ex-post. Orphanides (2001), in an

innovative and thought-provoking paper on the U.S. monetary policy, challenged the way

policy evaluation was conducted that far by showing that unrealistic assumptions about

the timeliness of data availability may yield misleading descriptions of historical policy.

In the spirit of Orphanides (2001), in the first Chapter of this thesis I reconsider how

the intentional cyclical stance of fiscal authorities should be assessed. Importantly, in

the framework of fiscal policy rules, not only variables such as potential output and the

output gap are subject to measurement errors, but also the main discretionary "operating

instrument" in the hands of governments: the structural budget balance, i.e. the headline

government balance net of the effects due to automatic stabilizers. In fact, the actual

realization of planned fiscal measures may depend on several factors (such as the growth

rate of GDP, the implementation lags that often follow the adoption of many policy

measures, and others more) outside the direct and full control of fiscal authorities. Hence,

there might be sizeable differences between discretionary fiscal measures as planned in the

past and what it is observed ex-post. To be noted, this does not apply to monetary policy

since central bankers can control their operating interest rates with great accuracy.

When the historical behavior of fiscal authorities is analyzed from a real-time perspective, it emerges that the intentional stance has been counter-cyclical, especially during expansions, in the main OECD countries throughout the last thirteen years. This is at

odds with findings based on revised data, generally pointing to pro-cyclicality (see for example Gavin and Perotti (1997)). It is shown that empirical correlations among revision

errors and other second-order moments allow to predict the size and the sign of the bias

incurred in estimating the intentional stance of the policy when revised data are (mistakenly)

used. It addition, formal tests, based on a refinement of Hansen (1999), do not reject

the hypothesis that the intentional reaction of fiscal policy to the cycle is characterized by

two regimes: one counter-cyclical, when output is above its potential level, and the other

acyclical, in the opposite case. On the contrary, the use of revised data does not allow to identify any threshold effect.

The second and third Chapters of this thesis are devoted to the exploration of the impact

of fiscal and monetary policies upon the economy.

Over the last years, two approaches have been mainly followed by practitioners for the

estimation of the effects of macroeconomic policies on the real activity. On the one hand,

calibrated and estimated DSGE models allow to trace out the economy’s responses to

policy disturbances within an analytical framework derived from solid microeconomic

foundations. On the other, vector autoregressive (VAR) models continue to be largely

used since they have proved to fit macro data particularly well, albeit they cannot fully

serve to inspect structural interrelations among economic variables.

Yet, the typical DSGE and VAR models are designed to handle a limited number of variables

and are not suitable to address economic questions potentially involving a large

amount of information. In a DSGE framework, in fact, identifying aggregate shocks and

their propagation mechanism under a plausible set of theoretical restrictions becomes a

thorny issue when many variables are considered. As for VARs, estimation problems may

arise when models are specified in a large number of indicators (although latest contributions suggest that large-scale Bayesian VARs perform surprisingly well in forecasting.

See in particular Banbura, Giannone and Reichlin (2007)). As a consequence, the growing

popularity of factor models as effective econometric tools allowing to summarize in

a parsimonious and flexible manner large amounts of information may be explained not

only by their usefulness in deriving business cycle indicators and forecasting (see for example

Reichlin (2002) and D’Agostino and Giannone (2006)), but also, due to recent

developments, by their ability in evaluating the response of economic systems to identified

structural shocks (see Giannone, Reichlin and Sala (2002) and Forni, Giannone, Lippi

and Reichlin (2007)). Parallelly, some attempts have been made to combine the rigor of

DSGE models and the tractability of VAR ones, with the advantages of factor analysis

(see Boivin and Giannoni (2006) and Bernanke, Boivin and Eliasz (2005)).

The second Chapter of this thesis, based on a joint work with Agnès Bénassy-Quéré, presents an original study combining factor and VAR analysis in an encompassing framework,

to investigate how "unexpected" and "unsystematic" variations in taxes and government

spending feed through the economy in the home country and abroad. The domestic

impact of fiscal shocks in Germany, the U.K. and the U.S. and cross-border fiscal spillovers

from Germany to seven European economies is analyzed. In addition, the time evolution of domestic and cross-border tax and spending multipliers is explored. In fact, the way fiscal policy impacts on domestic and foreign economies

depends on several factors, possibly changing over time. In particular, the presence of excess

capacity, accommodating monetary policy, distortionary taxation and liquidity constrained

consumers, plays a prominent role in affecting how fiscal policies stimulate the

economic activity in the home country. The impact on foreign output crucially depends

on the importance of trade links, on real exchange rates and, in a monetary union, on

the sensitiveness of foreign economies to the common interest rate. It is well documented

that the last thirty years have witnessed frequent changes in the economic environment.

For instance, in most OECD countries, the monetary policy stance became less accommodating

in the 1980s compared to the 1970s, and more accommodating again in the

late 1990s and early 2000s. Moreover, financial markets have been heavily deregulated.

Hence, fiscal policy might have lost (or gained) power as a stimulating tool in the hands

of policymakers. Importantly, the issue of cross-border transmission of fiscal policy decisions is of the utmost relevance in the framework of the European Monetary Union and this explains why the debate on fiscal policy coordination has received so much attention since the adoption

of the single currency (see Ahearne, Sapir and Véron (2006) and European Commission

(2006)). It is found that over the period 1971 to 2004 tax shocks have generally been more effective in spurring domestic output than government spending shocks. Interestingly, the inclusion of common factors representing global economic phenomena yields to smaller multipliers

reconciling, at least for the U.K. the evidence from large-scale macroeconomic models,

generally finding feeble multipliers (see e.g. European Commission’s QUEST model), with

the one from a prototypical structural VAR pointing to stronger effects of fiscal policy.

When the estimation is performed recursively over samples of seventeen years of data, it

emerges that GDP multipliers have dropped drastically from early 1990s on, especially

in Germany (tax shocks) and in the U.S. (both tax and government spending shocks).

Moreover, the conduct of fiscal policy seems to have become less erratic, as documented

by a lower variance of fiscal shocks over time, and this might contribute to explain why

business cycles have shown less volatility in the countries under examination.

Expansionary fiscal policies in Germany do not generally have beggar-thy-neighbor effects

on other European countries. In particular, our results suggest that tax multipliers have

been positive but vanishing for neighboring countries (France, Italy, the Netherlands, Belgium and Austria), weak and mostly not significant for more remote ones (the U.K.

and Spain). Cross-border government spending multipliers are found to be monotonically

weak for all the subsamples considered.

Overall these findings suggest that fiscal "surprises", in the form of unexpected reductions in taxation and expansions in government consumption and investment, have become progressively less successful in stimulating the economic activity at the domestic level, indicating that, in the framework of the European Monetary Union, policymakers can only marginally rely on this discretionary instrument as a substitute for national monetary policies.

The objective of the third chapter is to inspect the role of monetary policy in the U.S. business cycle. In particular, the effects of "systematic" monetary policies upon several industrial sectors is investigated. The focus is on the systematic, or endogenous, component of monetary policy (i.e. the one which is related to the economic activity in a stable and predictable way), for three main reasons. First, endogenous monetary policies are likely to have sizeable real effects, if agents’ expectations are not perfectly rational and if there are some nominal and real frictions in a market. Second, as widely documented, the variability of the monetary instrument and of the main macro variables is only marginally explained by monetary "shocks", defined as unexpected and exogenous variations in monetary conditions. Third, monetary shocks can be simply interpreted as measurement errors (see Christiano, Eichenbaum

and Evans (1998)). Hence, the systematic component of monetary policy is likely to have played a fundamental role in affecting business cycle fluctuations. The strategy to isolate the impact of systematic policies relies on a counterfactual experiment, within a (calibrated or estimated) macroeconomic model. As a first step, a macroeconomic shock to which monetary policy is likely to respond should be selected,

and its effects upon the economy simulated. Then, the impact of such shock should be

evaluated under a “policy-inactive” scenario, assuming that the central bank does not respond

to it. Finally, by comparing the responses of the variables of interest under these

two scenarios, some evidence on the sensitivity of the economic system to the endogenous

component of the policy can be drawn (see Bernanke, Gertler and Watson (1997)).

Such kind of exercise is first proposed within a stylized DSGE model, where the analytical

solution of the model can be derived. However, as argued, large-scale multi-sector DSGE

models can be solved only numerically, thus implying that the proposed experiment cannot

be carried out. Moreover, the estimation of DSGE models becomes a thorny issue when many variables are incorporated (see Canova and Sala (2007)). For these arguments, a less “structural”, but more tractable, approach is followed, where a minimal amount of

identifying restrictions is imposed. In particular, a factor model econometric approach

is adopted (see in particular Giannone, Reichlin and Sala (2002) and Forni, Giannone,

Lippi and Reichlin (2007)). In this framework, I develop a technique to perform the counterfactual experiment needed to assess the impact of systematic monetary policies.

It is found that 2 and 3-digit SIC U.S. industries are characterized by very heterogeneous degrees of sensitivity to the endogenous component of the policy. Notably, the industries showing the strongest sensitivities are the ones producing durable goods and metallic

materials. Non-durable good producers, food, textile and lumber producing industries are

the least affected. In addition, it is highlighted that industrial sectors adjusting prices relatively infrequently are the most "vulnerable" ones. In fact, firms in this group are likely to increase quantities, rather than prices, following a shock positively hitting the economy. Finally, it emerges that sectors characterized by a higher recourse to external sources to finance investments, and sectors investing relatively more in new plants and machineries, are the most affected by endogenous monetary actions.
Doctorat en sciences économiques, Orientation économie
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This thesis investigates redistributive impacts of fiscal policies at household level in a middle income developing country, Turkey, in 2003. It utilizes the benefit and tax incidence methodologies and applies the welfare dominance analysis and summary indices of progressivity to assess the distributional impacts of the fiscal policies. The 2003 Household Income and Consumption Expenditures Survey from the Turkish Statistical Institute is used for this purpose. Chapter 2 reviews the theoretical and empirical literature for measuring inequality and progressivity. The aim of the chapter is to review and discuss the measures used in the thesis. This is followed by the three empirical studies that form the core of the thesis. Chapter 3 and 4 examine redistributive impacts of publicly provided education, health, infrastructure services and social cash and in kind transfers. The key findings show that apart from primary education, none of the social services in question are well targeted to the poor, although the incidence of the services is progressive. In Chapter 5, attention is paid to direct and indirect tax policies in Turkey. Indirect taxes dominate tax revenues in Turkey. The results of the standard tax incidence analysis show that direct taxes are progressive thanks to personal income tax and property taxes. In the context of indirect taxes, redistributive power of indirect taxes is limited. The incidence of indirect taxes is sensitive to the welfare indicator chosen. While the indirect taxes reduce expenditure inequality, they increase income inequality. Effective indirect tax rates estimated by using input-output tables prove the importance of taxation on imported goods and intermediate goods, which are ignored by the standard tax incidence analysis. The incidence with effective indirect taxes is less progressive in the case of expenditure as the welfare indicator and more regressive in the case of income. The net fiscal incidence indicates that the fiscal policies have a positive redistributive impact on both expenditure and income inequality, and this positive impact is mainly driven by the public benefits.

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE EXCELENCIA ACADEMICA
Essa tese discute o papel das expectativas dos agentes a respeito da condução das políticas monetária e fiscal na determinação dos efeitos dessas políticas, na dinâmica da economia e na volatilidades das variáveis macroeconômicas. O primeiro capítulo mostra que considerar as expectativas dos agentes a respeito de possíveis mudanças de regime tem efeitos importantes nas respostas das variáveis macroeconômicas aos choques, mesmo que essa mudança de regime não se materialize ao longo da trajetória observada após o choque. O reconhecimento da possibilidade de mudanças de regime também tem consequências importantes para a volatilidade das variáveis endógenas que são mais altas do que as obtidas no modelo linear e muito dependentes dos parâmetros de política escolhidos pelas autoridades fiscal e monetária em cada regime. O segundo capítulo discute o papel das expectativas a respeito das políticas futuras na determinação da profundidade de uma crise quando a economia atinge o limite inferior de zero para as taxas de juros nominais. Ele mostra que ao analisar o impacto de um estímulo fiscal durante um episódios de taxa de juros zero, deve-se olhar para além dos multiplicadores no curto prazo. Para ter efeitos positivos maiores, as políticas monetária e fiscal devem durar mais do que a crise e precisam ser coordenadas. O terceiro capítulo apresenta uma avaliação dos estímulos fiscais em termos das perdas de bem-estar, tornando claro que essa avaliação deve considerar não apenas o efeitos das políticas sobre a inflação e o produto no curto prazo, mas também o valor presente descontado da inflação e do produto nos períodos futuros. Ele também apresenta uma análise de como se obtém o nível ótimo da taxa de juros nominal uma vez que a economia não está mais em crise se a autoridade monetária pretende usar o canal das expectativas para reduzir a profundidade da crise.
This thesis discusses the role of agents expectations regarding the conduction of monetary and fiscal policies in determining policy outcomes, economic dynamics and the volatilities of macroeconomic variables. The first Chapter shows that accounting for agents’ expectations of a possible regime change has critical effects in the responses of macroeconomic variables to shocks, even if this switch does not materialize itself along the path observed after the shock. Recognizing the possibility of regime switches also have important consequences for the volatilities of endogenous variables, which are higher than those obtained in the linear model and very dependent on the policy parameters chosen by monetary and fiscal authorities in each regime. In the second Chapter, I discuss the role of expectations in determining the depth of a crisis when the economy hits the zero lower bound on nominal interest rates. I show that when analysing the impact of a fiscal stimulus during a zero interest rate episode, there is more than just short-run multipliers. To have larger positive effects on output and inflation, monetary and fiscal policies should last longer than the duration of the shock and be coordinated in their actions. The third Chapter presents a thoughtful evaluation of a fiscal stimulus in terms of the implied welfare losses making clear that it should account not only for the effects of policies on short-run output and inflation, but also for the present discounted value of output and inflation in future periods as well. It also analyses how to obtain the optimal level for the nominal interest rate once the economy gets out of the crisis state, if the monetary authority wants to use the expectations channel to undermine the depth of the crisis.

Mestrado em Economia Monetária e Financeira
Através da utilização de dados de painel para os países da UE, para o período compreendido entre 1995 e 2019, este trabalho pretende estudar a condução de política monetária, política fiscal e as interações entre as mesmas. O nosso objetivo passa por entender as diferenças que existem entre a zona do euro e os países que não pertencem à mesma, assim como o efeito da crise financeira sobre as mesmas. Os resultados alcançados mostram que a inflação é crucial para a determinação das taxas de juro e que as autoridades fiscais apresentam preocupação no que toca à saúde das finanças públicas. No que toca às interações entre estas duas políticas, há evidência de que a relação existente é de substituição, no entanto sem resposta da autoridade monetária à política fiscal. A crise financeira apresenta um impacto negativo sobre a taxas de juro nominais de curto prazo, assim como sobre o défice primário ajustado ao ciclo, no entanto com uma maior intensidade na zona euro.
Performing a panel data analysis for the EU countries, for the period between 1995 and 2019, this work studies the individual conduction of monetary and fiscal policies, so as the interactions among them. We aim to understand the differences that exist between the euro area and the non-euro area countries and how the financial crisis affects them. Results show that inflation is crucial for the determination of interest rates and fiscal authorities are concerned with the health of public finances. Concerning the interactions between these two policies, there is evidence that it is a relation of substitutability, however with no response of monetary authorities to fiscal policy. The financial crisis impacted negatively both the short-term nominal interest rates and the cyclically adjusted primary balance, however with a higher degree in the euro area.
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This thesis examines the relative effectiveness of monetary and fiscal policy in Pakistan by utilizing an open economy framework. There is a great need for research about the effectiveness of macroeconomic policies as the knowledge of the relative importance of monetary and fiscal policy could prove useful to policymakers and help them understand the macroeconomic adjustment processes of these policy measures.

I study fiscal and monetary policies in a liquidity constrained environment using a New Keynesian dynamic stochastic general equilibrium model in which households face both a borrowing constraint and a resaleability constraint on their assets. This dissertation is composed of three papers. The first one examines the fiscal multiplier by assuming a closed economy. The multiplier implied by the model is large enough to suggest that fiscal policy is highly effective in a liquidity constrained environment. Government spending stimulates output by increasing aggregate demand and improving liquidity in the private sector. The second paper extends the model into a small-open-economy framework and studies the fiscal multiplier in a liquidity-constrained open economy. The size of the multiplier in this case depends heavily on the degree of international capital mobility. The multiplier is significantly larger if the small open economy has only limited access to foreign capital markets, suggesting that the liquidity improvement due to a fiscal expansion induces more economic growth at home if international capital markets are imperfect. The third paper investigates optimal monetary policy using the model in a closed-economy setting. Unlike in a standard model, the central bank in this liquidity constrained model faces a trade-off between inflation and output stabilisation. Optimal monetary policy requires a temporary deviation from price stability in response to a liquidity shock. The results show that quantitative easing improves the policy trade-off by relaxing liquidity constraints.

The concern with persistant high government deficits and debts has been one of the most controversial and discussed issues among academics and policymakers during the last two decades of the twentieth century. Despite recent efforts towards fiscal consolidation in most developed countries, expensive welfare programs and unfunded social security systems can exert a considerable strain on public finances over the next generations. The main objective of this thesis is to investigate whether current fiscal policies are sustainable, that is, able to guarantee the government's solvency, and what are the consequences of unsustainability on monetization, inflation and interest rates. The first question is tested by examining the long-run univariate and multivariate stochastic properties of the fiscal variables, as implied by the intertemporal budget constraint. The second question is assessed within a vector autoregressive framework, which allows the consideration of feedback mechanisms often neglected in the literature. More specifically, the econometric methodology employed throughout the study comprises recent developments in cointegration analysis, panel data techniques, bounds-ARDL procedure, and Granger non-causality. The empirical analysis is focused on a comparative study of six core members of the European Union, during the post-war period: Belgium, France, Germany, Italy, Netherlands and United Kingdom. The evidence suggests that only Germany and the Netherlands have been following a sustainable fiscal path, although the latter remains vulnerable to the consequences of an ever-increasing stock of debt. However, unsustainable fiscal policies do not seem to have imposed an excessive burden on monetary policies, as predicted by the conventional economic theory. Apart from Italy, there is no empirical evidence that high deficits necessarily imply monetary financing, growing inflation and rising interest rates.

In the general opinion, taxation is currently regarded as a barrier to growth and is a very much exploited theme in political debate. Countries have dramatically increased the level of taxation as well as have changed the way in which taxes are raised. Key role for administrative studies and the political motives for fiscal capacity, there are some aspects of economic development that are related to tax systems’ evolution, such as the size of firms, financial transactions, but also tax systems and their evolution have had a feedback on economic development. It is true that as taxes increase, the burden on private individuals and corporations can increase, but it is also true that the higher is tax collection, the more governments can actively intervene with investments that enhance the population’s well-being and standards of living. This double and reverse relationship is therefore also influenced by political institutions as far as fostering fiscal capacity and enlarging tax collection is in the interests of governments. At the core of the relationship between citizens and the government is the issue of whether taxation is beneficial or not. But is taxation actually intertwined with economic development? What role does it play as far as the rate of growth and development of a country are concerned? From the early works of Adam Smith and Malthus to the present day researchers have tried to find the most important determinants that influence the development of a country by formulating new and improved theories and economic models. This thesis will try to offer a new point of view in the evolution of the main factors that have an impact on economic growth. In particular, it will delve into old and new research and also reveal areas in which knowledge is lacking. Through a combination of theory and empirical work, prior research and analysis will be presented and new paths of knowledge will be explored for the first time. Using the R software, new econometric models will be studied in order to improve and test previous studies and to assess new causal relationships. First of all Barro’s growth relationships will be studied by increasing geographical coverage using as standard point of analysis the base year; then, the research will be implemented by also extending coverage up to nowadays using panel growth regressions divided in three main time sections. In addition to this, the work will delve in the field of growth accounting, through an intense analysis of the most significant variables affecting economic development both at the world and OECD level. Then, the impact of different types of tax structures on growth will be assessed and finally, a new model of taxation, through the minimization of differences across the world will be created and analysed.

This thesis examines the role played by fiscal policy within the Indonesian economy by analysing the long-term and short-term factors contributing to stabilisation of the economy from 1980 to 2014. The first part deals with examining the validity of Wagner’s Law in the presence of price dynamics. The second part measures the fiscal multipliers to clarify the role of fiscal policy within the context of a dynamic Structural Vector Auto Regression identified using sign restrictions.

Ces travaux essaient de répondre à la question de savoir quelles sont les meilleures politiques fiscales à adopter par le Liban, tant sur le plan interne qu'international, afin de générer des fonds pour le Trésor public qui permettent de subvenir aux besoins de reconstruction du pays, d'augmentation de sa croissance économique et d'amélioration du bien-être de ses citoyens. Toutefois, l'apport de ces travaux réside dans le défi qu'ils se fixent, celui de trouver des moyens de subvenir aux besoins énumérés ci-dessus et de rembourser la dette publique qui augmente exponentiellement, sans recourir à l'augmentation des impôts existants ou de la charge fiscale actuelle pesant sur les personnes physiques ou morales, ni recourir à l'emprunt ou à de nouvelles émissions de monnaies. Ils visent pour ce faire, à attirer le maximum d'investissements étrangers aussi bien directs qu'indirects vers le Liban. A cet effet, ils examinent dans une première partie l' attractivité de la fiscalité internationale libanaise tant au niveau du droit interne que conventionnel par rapport à celles des pays voisins concurrents du Liban en étudiant le droit fiscal des investissements en Syrie, Jordanie, Koweït, Egypte, Maroc et Tunisie. Ensuite, ils essaient dans la deuxième partie de trouver les mesures à adopter dans le cadre d'une stratégie globale de réforme de la fiscalité libanaise afin de la rendre la plus compétitive de la région du Moyen Orient et du Nord de l'Afrique sans se lancer dans une guerre pour le moins disant fiscal qui priverait le pays de la ressource vitale que constituent pour lui les impôts et sans compromettre son but de réalisation d'une croissance durable et équitable
The thesis aims to find the best fiscal policies to be adopted in Lebanon, both on the national and the international levels, in order to generate enough funds for the Treasury to enable it to finance the reconstruction process in the country, increase its economic growth and improve the well-being of its citizens. However, the added value of the present thesis resides in the fact that it challenges itse1f to find the means that would allow the country to finance the needs mentioned above, without increasing the existing taxes, or the fiscal burden on the physical and legal persons and without going for borrowing or new money emissions. To do so, the thesis attempts to attract the maximum of foreign investments, whether direct or indirect ones, to Lebanon. Thus, it assesses in its first part the level of competitiveness and attractivity of the Lebanese fiscal system in comparison with the attractivity of the fiscal systems of Lebanon's neighbor competitors, by studying the fiscal treatment of the investments in Syria, Jordan, Kuwait, Egypt, Morocco and Tunisia. Based on that, it tries in its second part to find the measures to be adopted in Lebanon, in the context of a global fiscal reform, in order to convert the Lebanese fiscal system into the most competitive and attractive one in the Middle East and North Africa region, without having to make compromises that would deprive Lebanon from the taxes that constitute one of its main sources of income and without having to make concessions that would alter the thesis's objective of generating an equitable and sustainable growth in Lebanon

In this thesis I explore the effects of fiscal policy, on the main macroeconomic variables, particularly in the form of fiscal multipliers, mostly from an empirical but also from a theoretical perspective. The second chapter explores several issues concerning the workings of fiscal policy: the first is whether it is possible to identify proper spending shocks, overcoming potential problems caused by anticipation of policy from the private sector; it turns out it is. The second issue is what are the effects of different spending variables on the economy, and it turns out that civilian spending has beneficial effects, while military investment leads to output contraction. The second issue, taken up in chapter three, is to decipher the effects of both government spending and taxes in the different phases of the business cycle. It turns out that useful public spending has positive effects on economic activity, particularly in periods of low growth, and that spending is more powerful to stabilize the economy than taxes. Proper policy action appears to be necessary to make sense of the results. However, the current methods to identify fiscal shocks have several shortcomings, and a method to achieve better identification is proposed in chapter four. The econometric results verify that spending shocks have positive effects on the economic activity, while tax shocks negative, and that the spending multiplier appears to be bigger in absolute value than the tax multiplier, casting doubt on the relevance of several economic theories as well as policy prescriptions. The size of both multipliers depends on policy. In addition, no deterioration over time of the power of spending to stabilize the economy is visible. Finally, in chapter 5 a simulation of a baseline DSGE model gives some guidelines on how policy may affect economic outcomes.

This thesis presents three chapters on the macroeconomic effects of fiscal contractionary policies in emerging economies and UK in the aftermath of the 2008 financial crisis using dynamic stochastic general equilibrium models. The first chapter assesses the dynamic effects of fiscal contractionary adjustments on the exchange rate movements in emerging economies to establish which movements are associated with expansionary fiscal contractionary episodes. The results show that exchange rate depreciations are more likely to support fiscal consolidations in emerging economies. The second chapter draws on the Leeper, Plante and Traum (2010) framework to analyse the effects of austerity measures on public debt and the economy in the UK when households are heterogeneous. The findings show that austerity measures reduce government debt-to-GDP but initially contract the economy. Reduction in government consumption results in the largest government debt-to- GDP reduction while transfers shocks are better suited for expansionary fiscal contractionary episodes. The third chapter investigates the effects of the interactions between fiscal contractionary and unconventional monetary policies on the movement of long term interest rates in the UK. The findings show that, spending based fiscal contractionary and unconventional monetary policies reduce the long term interest rates and spur economic expansion.

Economia
Doctoral Programme in Economics
As interacções entre as políticas monetária e orçamental numa união monetária podem ser condicionadas, de forma crucial, pela existência de países com diferentes dimensões. Pequenos E grandes países geram desiguais externalidades e podem possuir distintos poderes de negociação no jogo político da estabilização macroeconómica. As interacções estratégicas resultantes de diferentes objectivos de política e de comportamentos não cooperativos podem desempenhar um papel fundamental na política económica levada a cabo numa união monetária com países de dimensão assimétrica. Neste contexto, analisamos as políticas de estabilização óptimas, cooperativas e não cooperativas, através de um modelo Novo-Keynesiano com fundamentos microeconómicos e que modeliza uma união monetária constituída por dois países, sob dois cenários de política diferentes. Um cenário em que os instrumentos de política orçamental e monetária exercem ambos o seu papel de estabilização exclusivamente através do lado da procura, sem qualquer consequência na acumulação de dívida pública; e um outro cenário onde a política orçamental afecta a procura e a oferta mas em que os impostos lump sum são insuficientes para assegurar o equilíbrio orçamental. Em cada um dos cenários, deriva-se a combinação óptima de políticas estratégicas avaliando, igualmente, os efeitos de alguns arranjos institucionais (cooperação, regras orçamentais e a opção por um banco central conservador) e do nível de endividamento público sobre a eficácia das políticas de estabilização. Constata-se que a dimensão assimétrica dos países qualifica significativamente as interacções estratégicas da política orçamental e monetária. Um pequeno país, suportando maiores externalidades e beneficiando menos da estabilização promovida pela política monetária comum, terá de realizar uma política orçamental mais activa e, como seria de esperar, enfrenta maiores custos de estabilização do que um grande país. Além do mais, a avaliação do bem-estar social obtido sob jogos de política alternativos releva que um país grande obtém uma melhor estabilização quando a política orçamental lidera e que, portanto, pode oferecer resistência à cooperação. Também se verifica que grandes e pequenos níveis de endividamento público determinam especializações diferentes dos instrumentos de política na realização da estabilização económica. Tendo em conta apenas os custos de estabilização macroeconómica, observa-se que, numa união monetária com elevado nível de dívida pública, o país grande tem incentivos a aumentar o seu endividamento enquanto o pequeno pode desejar ser mais disciplinado. Numa união monetária em que o nível médio de dívida pública é pequeno, podem ocorrer incentivos contrários: o pequeno país pode sentir-se estimulado a aumentar a dívida pública permanentemente.
Country-size asymmetry may crucially shape the monetary and fiscal policy interactions in a monetary union. Small and large countries cause different cross-border effects and may have different bargaining power in a stabilization policy game. Strategic interactions arising from different policy objectives and non-cooperative policies might play a significant role in the actual policymaking of a country-size asymmetric monetary union. We analyze cooperative and non cooperative optimizing stabilization policies in a micro-founded New-Keynesian two-country monetary union model, under two policy scenarios. One, where monetary and fiscal policy instruments exert their stabilization roles exclusively through the demand channel without any consequence on debt sustainability; other, where fiscal policy has both demand and supply-side effects but where lump-sum taxes are not enough to ensure fiscal policy solvency. We derive optimal strategic policy mix within an asymmetric country-size monetary union, and assess the effects of some institutional arrangements (cooperation, fiscal constraints, weight-conservative central bank) and of public debt on the effectiveness of policy stabilization. We found that country-size asymmetry within a monetary union qualifies meaningfully monetary and fiscal policy strategic interactions. A small country, suffering larger externality effects and benefiting less from a common monetary policy for stabilization purposes, has to optimally rely on a more active fiscal policy and, as expected, it experiences more welfare costs than a larger country. Furthermore, welfare evaluation of the alternative policy games shows that a large country achieves a better stabilization performance under fiscal leadership and that it may resist to a policy cooperation arrangement. We also found out that large and small debt levels condition the stabilization assignments of the different policy instruments. Moreover, in a large-debt monetary union, and focusing exclusively on stabilization costs, the large country may face incentives to raise public debt while the small country may prefer to be more disciplined. In a small-debt monetary union, reverse incentives can occur: a small country may face incentives to raise debt permanently.

As interacções entre as políticas monetária e orçamental numa união monetária podem ser condicionadas, de forma crucial, pela existência de países com diferentes dimensões.Pequenos E grandes países geram desiguais externalidades e podem possuir distintos poderes de negociação no jogo político da estabilização macroeconómica. As interacções estratégicas resultantes de diferentes objectivos de política e de comportamentos não cooperativos podem desempenhar um papel fundamental na política económica levada a cabo numa união monetária com países de dimensão assimétrica.Neste contexto, analisamos as políticas de estabilização óptimas, cooperativas e não cooperativas, através de um modelo Novo-Keynesiano com fundamentos microeconómicos e que modeliza uma união monetária constituída por dois países, sob dois cenários de política diferentes. Um cenário em que os instrumentos de política orçamental e monetária exercem ambos o seu papel de estabilização exclusivamente através do lado da procura, sem qualquer consequência na acumulação de dívida pública; e um outro cenário onde a política orçamental afecta a procura e a oferta mas em que os impostos lump sum são insuficientes para assegurar o equilíbrio orçamental. Em cada um dos cenários, deriva-se a combinação óptima de políticas estratégicas avaliando, igualmente, os efeitos de alguns arranjos institucionais (cooperação, regras orçamentais e a opção por um banco central conservador) e do nível de endividamento público sobre a eficácia das políticas de estabilização.Constata-se que a dimensão assimétrica dos países qualifica significativamente as interacções estratégicas da política orçamental e monetária. Um pequeno país, suportando maiores externalidades e beneficiando menos da estabilização promovida pela política monetária comum, terá de realizar uma política orçamental mais activa e, como seria de esperar, enfrenta maiores custos de estabilização do que um grande país. Além do mais, a avaliação do bem-estar social obtido sob jogos de política alternativos releva que um país grande obtém uma melhor estabilização quando a política orçamental lidera e que, portanto, pode oferecer resistência à cooperação. Também se verifica que grandes e pequenos níveis de endividamento público determinam especializações diferentes dos instrumentos de política na realização da estabilização económica. Tendo em conta apenas os custos de estabilização macroeconómica, observa-se que, numa união monetária com elevado nível de dívida pública, o país grande tem incentivos a aumentar o seu endividamento enquanto o pequeno pode desejar ser mais disciplinado. Numa união monetária em que o nível médio de dívida pública é pequeno, podem ocorrer incentivos contrários: o pequeno país pode sentir-se estimulado a aumentar a dívida pública permanentemente.

Cette thèse étudie les politiques monétaires et budgétaires mises en place en Angleterre pour financer les Guerres Napoléoniennes (1793-1815). Le recours à une étude de cas historique permet d’élucider les effets de la politique fiscale sur le niveau des prix. Les variations du déficit publique affectent les prix de certains actifs et le niveau général des prix. Cet effet passe par le bilan de la banque centrale, quand cette dernière achète de la dette publique que les agents supposent ne pas être soutenue par des revenus fiscaux
This dissertation studies the monetary and fiscal policies implemented in Britain to finance the French Wars (1793-1815). The historical case study demonstrates how variations in the public deficit affect certain asset prices and the general price level. This effect materializes through the central bank's balance sheet, i.e. when the latter purchases public debt, which agents anticipate not to be backed by tax revenues

The study analyses the concepts of intergenerational equity and fiscal sustainability in South Africa. The question raised is whether or not South Africa can adopt stimulatory fiscal measures, with a simultaneous increase in debt, so as to improve long-term growth potential in a sustainable manner without creating an excessive burden on future generations. The debate surrounding the use of stimulatory fiscal policy has come to the fore once again as monetary policy has become a restricted and ineffective macroeconomic policy tool in certain countries after the world-wide financial crisis and the Euro-debt crisis. Fiscal sustainability risks and high debt levels remain a source of concern in the United States and the Euro-zone, while South Africa presently seems to be at no great risk. With South Africa’s intention to become a developmental state, the use and appropriateness of fiscal policy is considered. An overlapping-generations model is used to determine whether or not future generations will be burdened due to current stimulatory policy. The use of fiscal rules in South Africa is discussed and considered in light of various political incentives and constraints. The conclusion given is that the possible use of a procedural fiscal rule, such as the ‘golden rule’, may add credibility to the current regime, while a numerical fiscal rule is seen as unnecessary given South Africa’s responsible use of fiscal policy thus far. As it stands, there is little possibility or risk that the public debt in South Africa will become too high in the near future. Although South Africa has been affected by the crisis, the developmental nature of the economy has been sustained through the use of responsible discretionary fiscal policy, putting South Africa in a positive position to meet its long-run growth potential.

Economia
Doctoral Programme in Economics
As interacções entre as políticas monetária e orçamental numa união monetária podem ser condicionadas, de forma crucial, pela existência de países com diferentes dimensões. Pequenos E grandes países geram desiguais externalidades e podem possuir distintos poderes de negociação no jogo político da estabilização macroeconómica. As interacções estratégicas resultantes de diferentes objectivos de política e de comportamentos não cooperativos podem desempenhar um papel fundamental na política económica levada a cabo numa união monetária com países de dimensão assimétrica. Neste contexto, analisamos as políticas de estabilização óptimas, cooperativas e não cooperativas, através de um modelo Novo-Keynesiano com fundamentos microeconómicos e que modeliza uma união monetária constituída por dois países, sob dois cenários de política diferentes. Um cenário em que os instrumentos de política orçamental e monetária exercem ambos o seu papel de estabilização exclusivamente através do lado da procura, sem qualquer consequência na acumulação de dívida pública; e um outro cenário onde a política orçamental afecta a procura e a oferta mas em que os impostos lump sum são insuficientes para assegurar o equilíbrio orçamental. Em cada um dos cenários, deriva-se a combinação óptima de políticas estratégicas avaliando, igualmente, os efeitos de alguns arranjos institucionais (cooperação, regras orçamentais e a opção por um banco central conservador) e do nível de endividamento público sobre a eficácia das políticas de estabilização. Constata-se que a dimensão assimétrica dos países qualifica significativamente as interacções estratégicas da política orçamental e monetária. Um pequeno país, suportando maiores externalidades e beneficiando menos da estabilização promovida pela política monetária comum, terá de realizar uma política orçamental mais activa e, como seria de esperar, enfrenta maiores custos de estabilização do que um grande país. Além do mais, a avaliação do bem-estar social obtido sob jogos de política alternativos releva que um país grande obtém uma melhor estabilização quando a política orçamental lidera e que, portanto, pode oferecer resistência à cooperação. Também se verifica que grandes e pequenos níveis de endividamento público determinam especializações diferentes dos instrumentos de política na realização da estabilização económica. Tendo em conta apenas os custos de estabilização macroeconómica, observa-se que, numa união monetária com elevado nível de dívida pública, o país grande tem incentivos a aumentar o seu endividamento enquanto o pequeno pode desejar ser mais disciplinado. Numa união monetária em que o nível médio de dívida pública é pequeno, podem ocorrer incentivos contrários: o pequeno país pode sentir-se estimulado a aumentar a dívida pública permanentemente.
Country-size asymmetry may crucially shape the monetary and fiscal policy interactions in a monetary union. Small and large countries cause different cross-border effects and may have different bargaining power in a stabilization policy game. Strategic interactions arising from different policy objectives and non-cooperative policies might play a significant role in the actual policymaking of a country-size asymmetric monetary union. We analyze cooperative and non cooperative optimizing stabilization policies in a micro-founded New-Keynesian two-country monetary union model, under two policy scenarios. One, where monetary and fiscal policy instruments exert their stabilization roles exclusively through the demand channel without any consequence on debt sustainability; other, where fiscal policy has both demand and supply-side effects but where lump-sum taxes are not enough to ensure fiscal policy solvency. We derive optimal strategic policy mix within an asymmetric country-size monetary union, and assess the effects of some institutional arrangements (cooperation, fiscal constraints, weight-conservative central bank) and of public debt on the effectiveness of policy stabilization. We found that country-size asymmetry within a monetary union qualifies meaningfully monetary and fiscal policy strategic interactions. A small country, suffering larger externality effects and benefiting less from a common monetary policy for stabilization purposes, has to optimally rely on a more active fiscal policy and, as expected, it experiences more welfare costs than a larger country. Furthermore, welfare evaluation of the alternative policy games shows that a large country achieves a better stabilization performance under fiscal leadership and that it may resist to a policy cooperation arrangement. We also found out that large and small debt levels condition the stabilization assignments of the different policy instruments. Moreover, in a large-debt monetary union, and focusing exclusively on stabilization costs, the large country may face incentives to raise public debt while the small country may prefer to be more disciplined. In a small-debt monetary union, reverse incentives can occur: a small country may face incentives to raise debt permanently.

My PhD dissertation concentrates on the theoretical analysis of the way monetary and fiscal policies should be conducted in the European Monetary Union (EMU) accession countries. Importantly fiscal and monetary policies in these countries are required to satisfy the membership requirements of the EMU summarized in the Maastricht Treaty. My interest lies in identifying the implications of different monetary and fiscal policies on the compliance with the Maastricht criteria. I characterize the optimal monetary policy and also optimal interaction between monetary and fiscal policy in the EMU accession countries. I study how the Maastricht criteria affect the design of optimal policies and their ability to stabilize business cycle fluctuations. In order to address all these issues I perform the whole analysis in the framework of a two-sector small open economy model incorporating frictions such as price stickiness and distortionary taxation. The model is calibrated to match the moments of the Czech Republic economy. In Chapter 1 I study the ability of different monetary regimes to satisfy the Maastricht convergence criteria. I analyze regimes that reflect the policy choices observed in the EMU accession countries, i.e. a peg regime, a managed float and a flexible exchange rate regime with CPI inflation targeting. I find that there exists a significant trade-off between compliance with the CPI inflation criterion and the nominal interest rate criterion. Under the benchmark parameterization none of the regimes satisfies all the criteria. The sensitivity analysis reveals that the probability that some of the regimes will satisfy all the criteria increases with openness of the economy and degree of substitution between home and foreign traded goods. However the ultimate choice of the regime which satisfies all the criteria depends on the degree of exchange rate-pass through. Chapter 2 focuses on characterization of optimal monetary policy for EMU accession countries in the framework of the already developed model. I find that the optimal monetary policy in a two-sector small open economy should not only target inflation rates in the domestic sectors and aggregate output fluctuations, but also domestic and international terms of trade. Under the chosen parameterization optimal monetary policy does not satisfy the CPI inflation and the nominal interest rate criteria. The optimal constrained policy induces smaller variability of the CPI inflation and of the nominal interest rate. At the same, it is also characterized by a deflationary bias which results in targeting CPI inflation rate and nominal interest rate that are 0.7% p.a. lower than their equivalents in the reference countries. In Chapter 3 I incorporate fiscal policy by endogenising tax and debt decisions and restricting taxes to only distortionary ones. I find that targets of the unconstrained optimal monetary and fiscal policy are similar to those of the optimal monetary policy alone. Under the chosen parameterization, the optimal policy violates three Maastricht criteria: on the CPI inflation rate, the nominal interest rate and deficit to GDP ratio. Since monetary criteria play a dominant role in affecting the stabilization process of the constrained policy, CPI inflation and the nominal interest rate are characterized by a smaller variability at the expense of a higher variability of deficit to GDP ratio. The constrained policy is characterized by a deflationary bias which results in targeting the CPI inflation rate and the nominal interest rate that are lower by 1.3% p.a. than their equivalents in the countries taken as a reference. The constrained policy is also characterized by targeting surplus to GDP ratio at around 3.7%.
Mi tesis doctoral se centra en el análisis teórico de las políticas monetarias y fiscales que deben llevarse a cabo en los países candidatos a la Unión Monetaria Europea (UEM). Es importante destacar que las políticas fiscales y monetarias de estos países tienen la obligación de satisfacer las condiciones de adhesión a la UEM resumidos en el Tratado de Maastricht. Mi interés se concentra en la identificación de las consecuencias de las distintas políticas monetarias y fiscales sobre el cumplimiento de los criterios de Maastricht. Mi tesis describe tanto la política monetaria óptima como la interacción óptima entre la política monetaria y fiscal en los países candidatos a la UEM. También se analiza cómo las condiciones de Maastricht afectan al diseño de las políticas optímas y su capacidad para estabilizar las fluctuaciones del ciclo económico. A fin de abordar estas preguntas se realiza todo el análisis en el marco de un modelo de economía pequeña y abierta con dos sectores que incorpora fricciones, tales como rigidez de precios e impuestos distorsionantes. El modelo está calibrado para que coincida con los momentos estadísticos de variables económicas de la República Checa. En el capítulo 1 se estudia la capacidad de los diferentes regímenes monetarios para satisfacer las condiciones de convergencia de Maastricht. Se analizan los regímenes que reflejan las opciones políticas observadas en los países candidatos a la UEM, es decir, un régimen de paridad, de flotación administrada y de tipo de cambio flexible. Existe una fuerte relación inversa entre el cumplimiento de las condiciones de inflación y del tipo de interés nominal. Bajo la parametrización escogida ninguno de los regímenes satisface todas las condiciones. El análisis de sensibilidad pone de manifiesto que la probabilidad de que algunos de los regímenes cumplan todas las condiciones aumenta con la apertura de la economía y el grado de sustitución entre bienes nacionales y extranjeros. Sin embargo, la elección final del régimen que cumple todas las condiciones depende del efecto traspaso del tipo de cambio. En el capítulo 2 se describe la política monetaria óptima para los países adheridos a la UEM en el marco del modelo ya desarrollado. La política monetaria óptima en una economía pequeña y abierta con dos sectores no sólo debería centrarse en las tasas de inflación en los sectores domésticos y las fluctuaciones de la producción total, sino también en los términos de intercambio domésticos e internacionales. Bajo la parametrización elegida la política monetaria óptima no cumple las condiciones relacionadas a la inflación y a la tasa de interés nominal. La política óptima restringida induce menor variabilidad de la inflación y de la tasa de interés nominal. Al mismo tiempo, esta politica también se caracteriza por una tendencia deflacionaria que se traduce en la selección de los objetivos de tasa de inflación y tasa de interés nominal que son inferiores en 0.7% anual a sus equivalentes en los países de referencia. En el capítulo 3 se incorpora la política fiscal endogenizando las decisiones fiscales, de endeudamiento público y de impuestos distosionantes. Los objetivos de las políticas fiscal y monetaria son similares a los de la política monetaria óptima. Bajo la parametrización elegida, la política óptima no cumple con tres condiciones de Maastricht: la tasa de inflación, la tasa de interés nominal y el ratio déficit / PIB. Como las condiciones monetarias juegan un papel predominante en el diseño de la política restringida, la inflación y la tasa de interés nominal se caracterizan por una menor variabilidad a costa de una mayor variabilidad de la relación déficit / PIB. La política restringida se caracteriza por una tendencia deflacionaria que implica la selección de objetivos de tasa de inflación y tasa de interés nominal que son inferiores en 1.3% anual a sus equivalentes en los países tomados como referencia. La política restringida también requiere un objetivo de superávit en torno al 3,7% del PIB.

Ever since the tax reform in 1994 in China, local governments have to rely more and more on land and real estate related fees as a major source of revenue. With the rapid development of the financial sector in China, local governments also rely more on bank loans with real estate assets as collaterals to finance capital expenditure projects and other government expenditure. Many theoretical studies have suggested that the reliance of local governments on land and real estate related revenue has fuelled housing prices and rendered the central government’s policy to contain housing price escalation ineffective. However, so far there has been little vigorous empirical analysis that supports this argument. This study use panel data from 31 provinces over the period 1999 to 2010 to analyses empirically the role of provincial governments’ behavior in determining housing price levels in China. Our empirical results suggest that the behavior of provincial governments has contributed significantly to regional housing price disparity after controlling for social and economic factors. In particular, we found that the level of fiscal autonomy (local government revenue as a percentage of GDP) has an overall positive impact on housing prices and that such impact is stronger for provinces that are geographically more distant from Beijing. We also found that although the central government’s policy on the RMB exchange rate reform in 2005 has an overall positive impact on real housing prices due to inflow of speculative hot money, such impact varied across different provinces and thus also contributed to regional housing price disparity. Our empirical results suggest that speculative hot money tended to flow into housing markets in provinces with a more developed tertiary sector. This is because regions with more developed tertiary sector usually have more mature real estate markets, lower information costs, better financial and legal services, which facilitates flow of fund into and out of the housing market. This study contributes to the body of knowledge on regional housing price disparity. Unlike previous studies that only focused mainly on the impact of economic, social and government planning policies, this study also aimed at studying the role of fiscal and monetary policies in China. The results have important policy and practical implications. First, while the financial incentives and responsibility given to provincial governments may increase economic efficiency, they may also lead to conflicting goals between central and local governments. In addition such financial incentives and responsibility may unexpectedly lead to housing price bubbles that are economically and socially undesirable. Second, the central government’s policy to reform the exchange rate formation mechanism of the RMB in 2005 has also contributed to housing price escalation which may not be desirable from both social and political perspectives. Even worse still, the impact was not uniform but stronger in provinces with a more developed tertiary sector, which are usually wealthier provinces. Increase in housing prices in these provinces may lead to faster regional economic growth and thus contributing to even more sever regional income disparity, which contradicts the central government’s goal of reducing income polarization.
published_or_final_version
Real Estate and Construction
Doctoral
Doctor of Philosophy

New open economy macroeconomics (NOEM) literature, initiated by Obstfeld-Rogoff (1995), offers a more rigourous setup for the analysis of macroeconomic policy with respect to Mundell-Fleming models. The perpective of deterministic general equilibrium NOEM models that emerged from Obstfeld-Rogoff (1995) has been extended by Obstfeld-Rogoff (2002) to a stochastic environment. The present dissertation aims to contribute to these two streams of research concerning fiscal policy analysis in the NOEM literature. The dissertation consists of a survey and four essays. The first two essays extend the deterministic setup Obstfeld-Rogoff (1995) by introducing imperfect financial integration and by relaxing the assumption of ricardian equivalence respectively. The third and fourth essays extend Obstfeld-Rogoff (2002) to analyze stabilization and cooperation gains from fiscal policy as well as the interactions between monetary and fiscal policy
Cette thèse est formée par une revue de la littérature et par 4 essais développés dans le cadre de la nouvelle macroéconomie internationale. Le premier essai montre qu’une hausse de l’intégration financière dans une union monétaire n’affecte pas les effets d’une politique budgétaire sur le bien-être. Le second essai effectue une analyse dynamique des effets d’une hausse du déficit public résultant d’une baisse des impôts et financée par emprunt dans le cadre d’un modèle à générations imbriquées. Le troisième essai montre, dans un cadre stochastique, que les politiques budgétaires peuvent neutraliser les chocs de productivité symétriques si elles sont non coordonnées et les chocs asymétriques si elles sont coopératives. Le quatrième essai montre que l’efficacité des politiques budgétaires n’est améliorée qu’en cas de politiques monétaires coopératives et que la coopération monétaire comporte, dans certains cas, des gains par rapport aux politiques non coordonnées

Une des questions fondamentales en économie est celle du rôle que devraient jouer les autorités publiques pour mitiger les fluctuations de l’activité économique. Cette thèse, organisée en trois chapitres, analyse comment les politiques économiques peuvent être caractérisées à travers différentes structures économiques et au cours du cycle économique. En particulier, la première partie de la thèse se concentre sur la politique budgétaire et analyse comment les différentes caractéristiques structurelles des pays affectent l’efficacité de la politique budgétaire. La deuxième partie analyse la conduite de la politique monétaire dans des pays en régime de ciblage d’inflation et la manière dont celle-ci a été affectée par l’expansionnisme monétaire sans précédent des économies avancées depuis la crise financière et économique globale. Le chapitre met en évidence le rôle des facteurs domestiques et externes qui affectent les décisions de politique monétaire dans les pays émergents. Etant donné que les politiques budgétaire et monétaire sont les outils les plus importants disponibles pour les autorités publiques pour la gestion de la politique macroéconomique, le troisième chapitre de la thèse analyse les bases théoriques qui soutiennent l’utilisation de ces politiques de manière contra-cyclique, et étudie comment, dans la pratique, ces politiques ont répondu aux fluctuations économiques en Amérique Latine au cours des deux dernières décennies. En particulier le chapitre analyse dans quelle mesure les politiques budgétaire et monétaire renforcent ou contrebalancent les fluctuations économiques, c’est-à-dire dans quelle mesure elles sont pro-cycliques ou contra-cycliques, et discute le rôle des institutions économiques
One of the most fundamental questions in economics is what should be the role of economic authorities in addressing fluctuations in economic activity. This dissertation, organized in three chapters, analyses how economic policies can be characterized across economic structures and along the business cycle. In particular, the first part of the dissertation focuses on fiscal policy and addresses the question of how different structural characteristics across countries affect the effectiveness of fiscal policy. The second part analyses the conduct of monetary policy in inflation targeting countries and how it has been affected by the unprecedented expansionary monetary policies implemented by advanced economies since the recent global financial and economic crisis. The chapter highlights the role of domestic and external factors affecting the determination of monetary policy. Given that fiscal and monetary policies are the two most important tools available for policymakers in terms of macroeconomic management, the third chapter of the dissertation analyses the theoretical grounds for these policies to be used in a countercyclical manner, and studies how in practice these policies have responded to economic fluctuations in Latin America over the last two decades. In particular the chapter analyses the degree to which fiscal and monetary policies reinforce or counterbalance fluctuations in economic activity, i.e. whether these policies have been procyclical or countercyclical, and discusses the role of economic institutions

Cette étude examine les élaborations de politique fiscale en se concentrant sur un cas particulier: celui du Venezuela sur la période 2000-2010. La sélection de ce cas particulier permet d’intégrer deux aspects marquants, connus pour avoir des effets importants sur la performance rentière: un saisissant choc pétrolier de 2004 à 2008 et l’introduction d’un nouveau régime politique de type semi-autoritaire. Au cours de la première décennie du 21ème siècle, le régime politique du Venezuela a substantiellement été transformé. Les modes de gouvernance du pays et précisément ceux du secteur pétrolier ont connu une profonde mutation. L’institution fiscale du Venezuela changea considérablement dans les années 2000 avec une nouvelle conception du management des ressources politiques. Le paradigme ‘semer le pétrole’ fut remplacé par un modèle de distribution directe et centralisé des rentes pétrolières. Grâce à un gouvernement récemment élu et l’adoption d’une nouvelle constitution en 1999, une série de changements substantiels débuta, amorçant de véritables métamorphoses institutionnelles et de nouvelles dynamiques au sein des sphères politiques, économiques et sociales. Plusieurs réformes légales ont été progressivement introduites pour modifier les normes du système de Management des Finances Publiques (PFM) ainsi que les normes budgétaires, générant ainsi de nouvelles dynamiques dans l’aménagement des dépenses publiques, dans les modèles d’allocation de rente, et dans l’ensemble de la gestion des ressources. Ces mesures créant de nouvelles élaborations fiscales, et plus important encore, une nouvelle architecture de finances publiques
This study examines fiscal policy designs by focusing on one particular case: Venezuela during the period 2000-2010. The selection of this particular case of study allows to integrate two prominent aspects known to have important effects on rentier performance: a striking oil boom from 2004-2008 and the introduction of a new political regime. During the first decade of the 21st century, the political regime of Venezuela was substantially transformed modifying the overarching governance modes of the country and more specifically, those of the oil sector, the most important sector of the country’s economy. The fiscal institution of Venezuela considerably changed in the 2000s with a new conception over the management of oil rents. The ‘sowing the oil’ paradigm was displaced by a model of direct distribution of oil rents through a centralized spending system. With a newly elected government and the enactment of a new Constitution in 1999, a series of substantial changes were begun, introducing institutional makeovers and new dynamics across political, economic and social spheres. These multiple institutional rearrangements drew a dividing line from previous time periods, progressively developing a discernible preference for centralizing policy-making decisions, circumventing institutional structures and restructuring policy arrangements to make them compatible with the newly established governance modes. In this sense, the assessment of Public Financial Management (PFM) system adjustments in the light of controlling expanding resource rents can potentially contribute to the study of fiscal implementation distortions in naturally endowed economies in particular

La crise financière mondiale qui a débuté en 2008, et la crise des dettes souveraines en zone euro qui l'a suivie, ont successivement forcé les macroéconomistes à repenser leur cadre conceptuel. Cette thèse est une modeste contribution aux efforts colossaux déployés par les macroéconomistes à travers le monde pour faire face à ce défi: renforcer la compréhension de l'utilisation optimale des outils de politique économique non conventionnels. A cette fin, elle est construite en deux parties. Chaque partie vise à explorer au plan théorique un "contexte macroéconomique-type" au sein duquel des outils de politique économique non conventionnels ont été employés ces dernières années. La première partie, intitulée "Politique Non Conventionelle Optimale en Economie Ouverte", analyse l'utilisation optimale d'instruments de politique économique non conventionels par une banque centrale en économie ouverte. En présence de frictions financières qui modifient la manière dont la politique monétaire affecte l'économie, ou en présence de chocs exogènes qui mettent en défaut la "divine coïncidence", cette partie décrit comment un banquier central devrait combiner un instrument de politique monétaire non conventionnelle et la politique monétaire conventionnelle à des fins de stabilisation macroéconomique. La seconde partie, "Politique Budgétaire Optimale en Union Monétaire", adopte le point de vue du gouvernement d'un pays situé en union monétaire (typiquement la zone euro). Un tel pays ne disposant d'une politique monétaire autonome (au plan national), cette partie étudie la possibilité pour un tel pays d'utiliser la politique budgétaire comme un outil de stabilisation, et décrit l'utilisation optimale des dévaluations fiscales en réponse à des chocs exogènes idiosyncratiques
The 2008 global financial crisis and the subsequent euro area sovereign debt crisis successively forced macroeconomists to reassess this conceptual framework. This thesis is a modest contribution to the huge efforts undertaken by macroeconomists following the crisis to meet this challenge, i.e. to develop some insights about the optimal use of unconventional policy tools. To do so, this thesis is twofold. Each part intends to explore from a theoretical perspective a fundamental macroeconomic situation that called for the use of unconventional policy instruments in the recent years. The first part, ”Optimal Unconventional Policy in An Open Economy” analyzes the optimal use of unconventional policy instruments by the central bank in an open economy framework. Assuming that the presence of financial frictions changes the way monetary policy affects the economy, or that the occurence of exogenous shocks breaks the ”divine coincidence”, this part describes how a central bank should combine an unconventional policy instrument and conventional monetary policy to favor macroeconomic stabilization. The second part, ”Optimal Fiscal Policy in a Currency Union”, takes the standpoint of the governement of a country located in a currency union (typically the euro area). Such a country being deprived of monetary policy autonomy, this part considers the opportunity of using fiscal policy as a stabilization tool, and describes the optimal use of fiscal devaluations following idiosyncratic exogenous shocks

Thesis advisor: Peter Ireland
Thesis advisor: Christopher Baum
In this dissertation, I focus on macroeconomic and macroprudential policies. In Chapter 1, I study the effectiveness of macroprudential policy tools on bank risk. The findings show that although macroprudential policy tools can stabilize the financial system, under certain conditions, they might have perverse effects. In Chapter 2, I examine monetary aggregates, and show that once measured correctly, they can be useful in gauging the stance of monetary policy. In Chapter 3, by studying the deter- minants of sovereign debt crises, I aim at improving our understanding of sovereign debt distress, and also strengthening the toolkit for crisis prevention. Chapter 1: Following the 2007-2009 financial crisis, there has been an increase in the use of macroprudential policy tools – such as loan-to-value ratio caps and interbank exposure limits – to achieve financial stability. Existing research on the effectiveness of macroprudential policy has focused on country-level variables such as total credit growth and house price inflation. In “The Effectiveness of Macropruden- tial Policy on Bank Risk,” I study how the effectiveness of macroprudential policy varies across banks and policy tools. Using system GMM on bank-level data from 30 European countries for the time period between 2000 and 2014, I document that stricter regulation in the form of exposure limitations tends to decrease banks’ risk levels whereas capital-based tools tend to induce higher risk-taking. After a policy tightening, loan loss provisions and non-performing loans ratios of banks suffering losses can increase substantially, up to five percentage points, while they are likely to decrease for profitable banks. Constraining activities by stricter regulation can lead to a search for yield. Therefore, policy designers should pay particular attention to the increase in risk-taking following policy tightening, especially by banks suffering losses. Chapter 2: It is crucial for policymakers to successfully gauge the stance of mon- etary policy and understand the mechanisms through which it affects the economy. Conventional models focus on interest rates alone, and omit monetary aggregates from policy discussions. In “Do Monetary Aggregates Belong in a Monetary Model? Evidence from the UK,” I examine whether augmenting the measure of monetary policy with monetary aggregates helps in drawing more robust links between policy and economic fluctuations. After constructing the Divisia money index for the United Kingdom, I employ structural vector autoregression to identify two different episodes of UK monetary policy regimes. Inclusion of this (correct) measure of the quantity of money and disentangling money supply from money demand remedy the price and liquidity puzzles which frequently appear in the vector autoregression literature. The results point to the informational content embedded in monetary aggregates, and suggest that monetary aggregates should be taken into account while evaluating monetary policy. Chapter 3: In assessing debt sustainability for advanced and emerging markets, the IMF’s Market Access Countries’ Debt Sustainability Analysis (MAC DSA) com- pares the levels of debt and gross financing needs (GFNs) against benchmarks sepa- rately derived from the noise-to-signal approach. In “Determinants of Sovereign Debt Crises,” I identify the main factors that contribute to sovereign debt crises. I take into account a broad range of debt distress drivers, including debt levels and gross fi- nancing needs, but also debt composition, macroeconomic fundamentals, and country characteristics such as whether the country is a small state or member of a currency union. By using the estimation results, I first derive an indicative cutoff probability of debt distress level. Then, I calculate the corresponding thresholds for debt variables, above which countries are predicted to experience an episode of debt distress
Thesis (PhD) — Boston College, 2018
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

This thesis aims to study the impact of some of the credit market imperfections on various fiscal decisions. It comprises of two papers, each of which sheds light on how the established results in literature are altered when studied in different environments, with more realistic elements. In chapter 1, we set up a dynamic stochastic general equilibrium model with financial frictions affecting the cost channel and an endogenously derived probability of default. We then study the effects of an expansionary government spending shock. Our exercise highlights that a positive shock to government spending, a demand side shock, increases the cost of firms' marginal costs and hence, their loan requirements. With higher borrowing, their probability of default goes up. The commercial bank takes this into account and charges a higher finance premium, discouraging the firms from borrowing as much. This results in a lower level of economic activity. The government spending multiplier is thus smaller when risky loans are borrowed to finance working capital, instead of fixed capital. In addition, we derive the multiplier to be less than one. With a lot of start-ups borrowing to meet their day-to-day expenses, this result extends a plausible explanation to why during the Great Recession, the impact of government spending was not as large as it was expected to be. In chapter 2, we derive the optimal level of capital taxation in the presence of agents with different discount factors. We set up a real business cycle model with patient and impatient households that borrow and lend amongst themselves, as per a borrowing constraint. Our results show that if the Ramsey planner's weights on different households are such that he is indifferent between redistribution towards patient and impatient households, the borrowing constraint is not binding. Moreover, we get the classical result of zero optimal capital taxation in the distant long run. However, if the Ramsey planner chooses the borrowing constraint to be always binding, he will favour redistribution from impatient households to patient households. As time moves forward, this ultimately leads to a negative optimal tax rate on the capital returns of patient households, a contradiction to the seminal Chamley-Judd result.

This dissertation empirically studies the interplay of government policies, finance, and economic development. More specifically, it considers the impact of corporate taxes on employment, of bank regulation on financial information sharing on banking stability and of banking crises on democracy. Two of the chapters focus on Sub-Saharan African (SSA) countries. The third one takes a more global perspective. Chapter 1 evaluates the impact of corporate income tax rates (CIT) on employment at the firm level for a sample of SSA countries. It finds that on average, firms employ more workers in countries with higher CIT rates. This is consistent with the fact that corporate tax revenues allow governments to provide public goods and infrastructure which are crucial to firm activities. We report estimation results to support this assumption. More specifically, while the marginal effect of CIT decreases with income level or with government expenditures, it increases with the level of democracy. Furthermore, we also find that the effect of CIT rates on employment works partially through improvements in the business environment in which firms operate. Chapter 2 assesses the effects of government policies setting the extent to which credit information on the credit history of borrowers is shared among lenders. It shows that credit information sharing stabilizes banks. Moreover, despite foreign banks having an informational disadvantage over domestic banks due to information frictions and would hence benefit more from credit information sharing, the results indicate that both types of banks are affected in the same way. This suggests that foreign banks rely on alternative strategies to compensate for their informational disadvantage in local markets. Lastly, Chapter 3 documents the impact of banking crises on the level of democracy. It provides evidence that democracy improves in the 10-year window following the occurrence of a banking crisis. The results also highlight the presence of several non-linearities. First, severe banking crises have larger effects on democracy than moderate ones. Second, the positive effect of banking crises on democracy is mostly driven by non-democratic countries. Finally, the bulk of the effect materializes from the third year after the crisis occurred.
Cette thèse étudie empiriquement l'interaction des politiques gouvernementales, de la finance, et du développement économique. Plus précisément, il examine l'impact de la fiscalité des entreprises sur l'emploi, de la réglementation bancaire relative au partage d'informations sur le crédit sur la stabilité bancaire, et des crises bancaires sur la démocratie. Les deux premiers chapitres se focalisent sur les pays d'Afrique subsaharienne. Le troisième adopte une perspective plus globale pour couvrir. Le premier chapitre évalue l'impact des taux d'imposition des sociétés (IS) sur l'emploi au niveau de l'entreprise pour un échantillon de pays d'Afrique subsaharienne. Ses résultats montrent qu'en moyenne, les entreprises emploient plus de travailleurs dans les pays où les taux de taxation des entreprises sont plus élevés. Cela s’explique par le fait que les recettes de l'impôt sur les sociétés permettent aux gouvernements de financer des biens publics et des infrastructures qui sont essentiels aux activités des entreprises. Nous présentons des résultats d'estimation pour soutenir cette hypothèse. Plus précisément, alors que l'effet marginal de l'IS diminue avec le niveau de revenu ou avec les dépenses publiques, il augmente avec le niveau de démocratie. En outre, nous constatons également que l'effet des taux d'IS sur l'emploi s'explique en partie par l'amélioration de l'environnement des affaires dans lequel opèrent les entreprises. Le second chapitre évalue les effets des politiques gouvernementales fixant la mesure dans laquelle les informations sur les antécédents de crédit des emprunteurs sont partagées entre les prêteurs. Il montre que le partage d'informations sur le crédit permet de stabiliser les banques. De plus, bien que les banques étrangères aient un désavantage informationnel par rapport aux banques nationales en raison de frictions d'information et bénéficieraient donc davantage du partage d'informations sur le crédit, les résultats indiquent que les deux types de banques sont affectées de la même manière. Cela suggère que les banques étrangères s'appuient sur des stratégies alternatives pour compenser leur désavantage informationnel sur les marchés locaux. Enfin, le chapitre 3 documente l'impact des crises bancaires sur le niveau de démocratie. Il fournit la preuve que la démocratie s'améliore dans la fenêtre de 10 ans suivant l’occurrence d'une crise bancaire. Les résultats mettent également en évidence la présence de plusieurs non-linéarités. Premièrement, les crises bancaires graves ont des effets plus importants sur la démocratie que les crises modérées. Deuxièmement, l'effet positif des crises bancaires sur la démocratie est principalement attribuable aux pays non démocratiques. Pour finir, l'essentiel de l'effet se matérialise à partir de la troisième année après la survenance de la crise.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

Cette thèse de doctorat étudie, dans un cadre théorique, l’incidence des politiques fiscales environnementales au regard de l’hétérogénéité des travailleurs. Elle analyse la construction de politiques fiscales en fonction de trois objectifs : réduire les émissions de pollution, améliorer l’efficacité, et réduire les inégalités. Cette thèse est constituée d’une introduction et de trois chapitres (articles académiques) qui chacun décline cette question sous différents aspects. Le premier chapitre s’intéresse aux choix éducatifs et analyse l’impact des taxes environnementales sur l’efficacité et l’équité au travers ces choix d’éducation. Le second chapitre se concentre sur l’impact des taxes environnementales dans un contexte d’imperfection du marché du travail (chômage involontaire frictionnel). Le troisième chapitre est consacré aux disparités régionales en matière de salaire, d’emploi et de préférence pour les biens polluants
This Ph.D. dissertation studies the incidence of environmental taxation between heterogeneous workers. In a theoretical framework, it analyses the design of environmental fiscal policy in regards with three competing goals : reducing emissions, improving economic efficiency, and limiting economic inequality. It consists of an introduction and three chapters (essays), each of them focusing on a different aspect of the problem. The first chapter uses a model with endogenous education and looks at how environmental taxation can affect efficiency and equity through its effects on educational choices. The second chapter focuses on the impact of green taxes on inequalities and unemployment using a search-friction model. The third one deals with regional disparities in regards with unemployment, wages and preferences

Trinidad and Tobago is a small open economy that faces macroeconomic policy challenges which are related to imperfections in the financial sector and volatility of energy sector revenues. Specifically, two of the key issues policymakers are grappling with are high levels of excess reserves and the optimal management of the economy's resource revenues—in the face of domestic and external shocks to the energy sector. This thesis uses a general equilibrium modeling approach to examine the dynamic effects of these policy challenges on the Trinidad and Tobago economy. In the first case, this study examines the financial and real effects of excess reserves in a New Keynesian Dynamic Stochastic General Equilibrium model with monopoly banking, credit market imperfections and a cost channel. The model explicitly accounts for the fact that banks in Trinidad and Tobago hold excess reserves and they incur costs in holding these assets. Simulations of a shock to required reserves show that although raising reserve requirements is successful in sterilizing excess reserves, it creates a procyclical effect for real economic activity. This result implies that financial stability may come at a cost of macroeconomic stability. The findings also indicate that using an augmented Taylor rule in which the policy interest rate is adjusted in response to changes in excess reserves reduces volatility in output and inflation but increases fluctuations in financial variables. To the contrary, using a countercyclical reserve requirement rule helps to mitigate fluctuations in excess reserves, but increases volatility in real variables. Moreover, this research uses an open economy Dynamic Stochastic General Equilibrium model to analyze the transmission of resource price shocks and a shock to resource production in the Trinidad and Tobago economy. It also applies alternative fiscal rules to determine the optimal allocation of resource windfalls between spending today and saving in a sovereign wealth fund. The results show that spending all the resource windfall on consumption and investment creates more volatility and amplifies Dutch disease effects, when compared to the case where all the excess revenues are saved. Also, neither a policy of full spending nor full saving of the surplus revenue inflows is optimal if the government is concerned about both household welfare and fiscal stability. In order to minimize deviations from both objectives, the optimal fiscal response suggests that a larger fraction of the resource windfalls should be saved, than what the government is presently saving.