Rozprawy doktorskie na temat „MACROECONOMIC ISSUES”

This dissertation uses an experimental approach to analyze the behavior of people in controlled environments based in different theoretical issues of relatively recent discussion in macroeconomic theory. The first chapter focuses in a rational bubbles environment. It shows that people behavior is affected by the presence of sunspot messages; however, they do not necessarily react optimally to these messages. In addition, people can adapt their strategies to the optimal equilibrium strategies if these are not too much complex, but not all people have the same ability to implement this adaptation process. The second chapter shows that in an information constraint environment people pay more attention to the most important and variable sources of information. In addition, it reveals that the strategic complementarity between the choices of people is a key ingredient to explain the size of the interaction effects. The third chapter analyzes some predictions attributed to the multiple equilibria that are present in the global game models with endogenous information structure. It shows in a lab experiment that the weakest policy makers have a higher probability that their policies become unsustainable. In addition, it founds that if the uncertainty about the strength of the policy makers increases, then the probability that people attack their policies also increases.
Esta tesis utiliza una aproximación experimental para analizar el comportamiento de las personas en ambientes controlados basados en diferentes temas teóricos de discusión relativamente reciente en teoría macroeconómica. El primer capítulo se enfoca en un ambiente de burbujas racionales. Éste muestra que el comportamiento de las personas se ve afectado por la presencia de mensajes “sunspot”; sin embargo, ellas no necesariamente reaccionan óptimamente a los mismos. Adicionalmente, las personas pueden adaptar sus estrategias a las estrategias óptimas de equilibrio si estas no son muy complejas; sin embargo, no todas las personas tienen la misma habilidad para adaptarse. El segundo capítulo muestra que en un ambiente con restricciones de información las personas ponen más atención a las fuentes de información más importantes y más variables. Adicionalmente, revela que la complementariedad estratégica entre las decisiones de las personas es un ingrediente esencial para explicar los efectos de interacción. El tercer capítulo analiza algunas predicciones que se atribuyen a los múltiples equilibrios que se presentan en los modelos de juegos globales que tienen una estructura de información endógena. Éste muestra en un experimento de laboratorio que los hacedores de política más débiles tienen una mayor probabilidad de que sus políticas se vuelvan insostenibles. Adicionalmente, éste encuentra que si la incertidumbre acerca de la fortaleza de los hacedores de política se incrementa, entonces la probabilidad de que las personas ataquen sus políticas también se incrementa

In a series of essays a number of important issues of macroeconomic modelling of a small transition economy are explored. The essays are unified by the common theme of dollarization or currency substitution, which is asserted to be a significant characteristic of many transition economies. Two introductory chapters survey firstly, economic development in transition and secondly the phenomenon of currency substitution. These are followed by the construction of an integrated stochastic macroeconomic model of a transition economy at the early stage of reform, which employs a general equilibrium optimizing framework. The main issues addressed are: domestic money demand, the currency substitution ratio, the expected rate of inflation, real assets returns, the equilibrium growth rate of economy as well as government ability to control these variables. An expression for the currency substitution ratio is derived from the 'first principles' of stochastic optimization. Next is a comprehensive econometric analysis of currency substitution in Latvia. This is among the first research of this kind. Rather than drawing inferences on the degree of currency substitution from domestic money demand modelling, the most common approach to the empirical analysis of the phenomenon, the chapter employs direct modelling of the currency substitution ratio. Extensive model construction, estimation, evaluation and testing are perforined with the use of wide range of modem econometric techniques. Methodological issues are exposed and discussed. A number of instruments are identified, which can be used by the monetary authorities to influence currency substitution behaviour. Finally, the impact of an unanticipated monetary shock in a small open transition economy with dollarization, factor price rigidities, and nontradeables is reexamined. This chapter represents a first time, non-trivial expansion of the recent socalled 'new open economy macroeconomics' to account for the dollarization phenomenon which has been a persistent feature of many transition economies. Among other findings, it is interesting to note the stabilizing role of economic openness.

Doutoramento em Economia
Considerable uncertainty surrounds the macroeconomic effects of fiscal policy. The re-search presented in this dissertation firstly aims at improving on the methods used to measure such effects - which feature vector autoregressions (VARs) as the basic tool. The investigation is partly carried out using structural VARs. The methodological innova¬tions in that part concern the joint identification of fiscal shocks vis-a-vis monetary policy shocks and the estimation of a model with time-varying parameters using a non-recursive identification scheme. I also use reduced-form VARs to assess the effects of a novel shock measure, derived from budget forecasts, that is arguably free of anticipatory movements. The second aim of the dissertation is to present empirical results for the US, focusing on the way the impacts of the government budget on the economy have changed over time. The thesis is divided into three essays. In the first one, I present evidence that taxes and transfers were the most important force attenuating the severity of recessions up to the eighties, surpassing the role of monetary policy. Fiscal policy has, however, become less effective in stimulating output in the course of the last decades. The findings in the second and the third essays corroborate this conclusion. Such a change in effectiveness is particularly marked for the shock measure that is relatively unaffected by anticipation, which features multipliers with non-conventional signs in the recent period. In general, these findings call for more research on the factors that intervene in the transmission mechanism of fiscal policy and can bring about important variation in its impacts.

In the world of finance, the emergence of Islamic finance has led to many Islamic financial products and services. Access to professional fund managers who specialize in forming portfolios that fulfil the needs of Muslim investors to trade in investments that do not violate their Islamic principles and rules is now commonly available in both Muslim and non-Muslim countries. Islamic stock market indices (ISMI) have also been established. This thesis consists of three self-contained empirical essays that focus on important financial issues for Muslim investors: (1) the empirical support for orthodox asset pricing models when applied to Islamic stocks; (2) the volatility of Islamic stock market indices and the relevance of oil to this volatility; and (3) seasonality in an Islamic stock market. In addition, each empirical essay compares the findings of ISIM to those of an appropriate counterpart conventional stock market index (CSMI). The findings firstly demonstrated that ISMI can be exposed to different risk factors from those proposed by previous empirical works on CSMI. Secondly, the statistical results established that ISMI proves to be a safe investment during the oil market turbulences contrary to CSMI. Thirdly, the last empirical essay found out that the emergence of ISMI in the non-Muslim countries can bring about another calendar anomaly or at least change the effect of an existing one such as Friday effect. The general conclusion to be drawn from the findings of the whole thesis is that there are variations between ISMI and CSMI in the way they react towards the same exogenous variables. This is despite the fact that previous studies failed to find significant differences between them in terms of performance, and merely observed that investors lose nothing by restricting themselves to ISMI.

The impact of the world oil price increases of the early 1970s and those that occured in the 1980s, and the corresponding growth in revenue for the Nigerian economy had two major effects. First, it affected the official exchange rates and its determination, hence fiscal developments for the country. At the same time, the windfall also led to an unbalanced sectoral change within the economy. Both the internal and external economic situation since the oil shock had shown persistent imbalances requiring adjustments. In analysing the oil shock effect, a comprehensive assessment of the influences of exchange rates and structural adjustment problems employs the valuable strengths of the monetary approach aspects of exchange rates determination; particularly on the question of external payments adjustment and of inflation of domestic price levels. The function of exchange rate as an instrument of stabilization policy in an economy such as Nigeria is imperative. A relatively stable exchange rate standard in a world of significant variability is important in evaluating the impact of exchange rate changes on the economy; precisely because the financial infrastructures are at the developing state. When tight controls on the foreign trade sector also lead to the establishment of an unofficial market in foreign exchange, the question of stability would depend on which of the two markets adjust quicker. The market with the more rapid rate of adjustment can therefore provide a guide to exchange rate policy performance. In analysing the stuctural adjustments impact of the oil revenues, features of both national and global economic environment that are significant for macroeconomic performance, which are also proximately related to exchange rates determination are considered by using the dutch-disease framework. By laying emphasis on the fuction of exchange rates mechanism and the impact of the oil revenue increases at macroeconomic level, the large and persistent misalignment of real exchange rates and the general economic policies of the oil boom era are thus analysed in-depth.

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The present dissertation aims to present the social security debate in Brazil, in the World and its macroeconomic implications. The choice for this theme is justified by the absence of studies that, in addition to the technical aspects behind social security systems, present together historical, philosophical and, above all, political economy questions. For this, the debate is classified into two main categories: the conservative perspective and the perspective of the demand for social security. In addition, the debate in Brazil is focused on the macroeconomic controversies and on the relationship between social security spending and fiscal equilibrium.
A presente dissertação tem por objetivo apresentar o debate previdenciário no Brasil, no Mundo e suas implicações macroeconômicas. A escolha por esse tema justifica-se pela ausência de estudos que para além dos aspectos técnicos, por trás dos sistemas previdenciários, apresentem juntamente questões históricas, filosóficas e principalmente de economia política. Para isso, classifica-se o debate em duas grandes categorias: a da perspectiva conservadora e a da perspectiva das demanda por seguridade social. Além disso, apresenta-se o debate no Brasil com foco nas controvérsias macroeconômicas e na relação gasto previdenciário x equilíbrio fiscal.

This dissertation consists of three chapters on development economics. The first two chapters are in the area of international macroeconomics. The third chapter is in an area that is the intersection of macroeconomics and population economics. The first chapter studies currency substitution in an environment where agents' inflation tax evasive demand for foreign money is balanced by the concern for the possibility that the government may impose economy-wide capital controls under which foreign currency transactions are costly. We contrast implications of constant beliefs regarding capital controls with those obtained under endogenous beliefs. With endogenous beliefs, agents expect a greater likelihood of capital controls as economy-wide currency substitution rises. Our results show a persistent demand for foreign money under endogenous beliefs despite efforts by the government to reduce inflation. The second chapter is a theoretical study of currency substitution in an overlapping-generations economy. We focus on the role of beliefs in determining the relative demands for domestic and foreign money. Domestic money suffers from a lack of confidence leading agents to demand foreign money as an alternate store-of-value. We study equilibria in which the level of confidence in domestic money evolves as a function of expected future aggregate domestic money demand: agents increase their demand for domestic money only if aggregate economy-wide real domestic money demand is expected to rise. The third chapter is a study of intertemporal substitution and fertility dynamics. The demographic experience of Iran after the revolution poses an interesting puzzle. A brief increase in period fertility after the 1979 revolution interrupted a trend of decline that had started in the 1950s. The rise in fertility, however, appears to have lasted only a few years: in the late 1980s fertility decline resumed its course at an even faster pace. We present evidence that suggests that the changes in Iranian fertility since the revolution were in part a birth timing phenomenon. The revolution may well have been a transient economic shock which temporarily depressed the relative "price" of children and caused adjustment in fertility patterns which, at least in an ex post sense, is suggestive of intertemporal substitution.
Ph. D.

xii, 114 p. : ill.
The banking sector has been extensively analyzed in economics. On the microeconomic side, research has advanced our understanding of banks and the inverse relationship between market power and bank production. The macroeconomic side of research has focused on the transmission of monetary policy, and it is understood that the financial system, including banks, plays an integral role in transmitting monetary policy decisions to economic variables such as investment, consumption, and GDP. There is limited understanding, however, about how market power and bank concentration affects the transmission of monetary policy. The main focus of this dissertation is to address this gap in the literature and is achieved by three contributions. First, I develop a theory of banking behavior that accounts for competition and monetary policy. I empirically test the theory and show that banking concentration dampens the impact of monetary policy on lending activity in the short-run. My second contribution involves building a theoretical model with these short-run lending effects incorporated into an endogenous growth model that allows agents, banks, and the central bank to interact. This model shows how short-run lending is tied to growth. Again, monetary policy is less effective in markets with higher concentration. The last contribution is made by empirically testing the second contribution. The empirical findings are consistent with both the first and second contributions; banking markets with less competition adversely affect growth and also diminish the long-run impact of monetary policy.
Committee in charge: Dr. Mark Thoma, Co-Chair; Dr. Wesley Wilson, Co-Chair; Dr. Shankha Chakraborty, Member; Dr. Larry Dann, Outside Member

The era of Multinational Corporations (MNCs) is so significant in the development of the Less Developed Countries (LDCs) as was the era of the Industrial Revolution in the development of the now More Developed countries (MDCs). It could be referred to as one of the major economic frontiers in the LDCs as is the computer frontier in the MDCs now. Naturally therefore, there are problems of distrust, fear of eventual crisis, uncertainty of the correct path and a pain in policy making. Coupled with the North/South delicate relationship, the MNC's (which mostly comes from the North) acceptability in LDCs (which are in the South) is of mixed feelings. In this paper therefore we shall explore some of the problems affecting the MNC/LDC relationship. Thus, among the questions to ponder on are what has been the impact, is it harmful or beneficial, do all MNCs have the same impact and how does each party interpret each impact? These ques~ tions often end up in accusations between MNCs and LDCs in general without devouring each other. But not without a loss of resources especially time and extra costs involved in speculations on each other as well as cushioning of uncertain events that one party suspects of the other.

Commodity futures markets provide a platform to commodity producers, consumers and traders to hedge their price risk. Price discovery and risk management are two essential roles of the commodity futures market. The commodity futures market has to be efficient to perform these functions. Agro-commodities futures market plays a crucial role in the economic foundations of a country like India that is substantially driven by the agricultural sector performance. At the same time, non-agro-commodity futures markets are imperative to both the policy makers and the other stakeholders in India since they carry a direct implication for the captive consumption and exports. This study analyses the efficiency, seasonality and macroeconomic issues in commodity futures market in India for commodities namely gold, crude oil, copper and chana (chick pea). The period of this study is 2004-2017. There are 113 commodities traded on commodity exchanges. Owing to time and resource constraints, the scope of this study is limited to four commodities namely gold, crude oil, copper and chana (chick-pea). These commodities (gold, copper, crude oil, and chana or chick pea) belong to precious metals, non-precious metal, energy, and agri-commodities categories respectively. The selected commodities are the top weighted commodities (in Comdex) of their own category collectively accounting for more than 60% weight in Comdex-the commodity index of MCX. As such it may be taken as representative of the commodity market. The data on the select commodities has been collected from Multi Commodity Exchange (MCX), India, National Commodity and Derivatives Exchange (NCDEX) Ltd., India, New York Mercantile Exchange (NYMEX) and Shanghai Futures Exchange (SHFE). Here, the efficiency of commodity market has been studied by analyzing the price discovery role of futures market. To investigate the efficiency of select futures markets, this study uses Johansen's cointegration and Granger Causality techniques for the two sub-periods, i.e., the pre-crisis period (from 2004 to 14thSeptember 2008) and the post-crisis period (from 15thSeptember 2008 to 2017). Johansen's test results indicate that the spot and futures prices are cointegrated for all the select commodities. In other words, futures and spot prices bear a long-run equilibrium relationship with each other for the select commodities in both the sub-periods. Causality results report that futures marketshave ability to estimate spot prices for gold and copper is higher as compared crude oil and chana, and has improved across the periods. Thus from the results of cointegration and causality, it is concluded that the futures market for all select commodities namely chana, gold, crude oil, and copper are efficient. v Seasonality is an important price determinant amongst factors like government policies like Minimum Support Price (MSP), demand of commodity, the price of substitutes, etc. The seasonality, in turn, may interfere with futures market efficiency. Most of the agri-products traded in the futures market are seasonally grown. For instance, Chana (chickpea) is also a seasonal commodity. During the sowing period, the prices may be trending upwards. But post-harvest, the prices are usually expected to fall. Thus, the seasonality may interfere with futures market efficiency. Therefore, this study also investigates the seasonality effect of chana crop on its futures market efficiency at NCDEX. To analyze seasonality, a dummy is introduced in the regression model wherein futures price is dependent variable and spot price is the independent variable. The dummy assumes value 1 for the months of the season of the crop (from March to September) and 0 for off-season months (from October to February). To test the linearity of the regression model, Ramsay RESET test has been employed here. The results of the Ramsay RESET test for the given regression model shows that the relationship between natural logarithmic returns on spot price and natural logarithmic returns on futures prices is linear in nature. On introducing dummy variable in the regression model, the results show that there is a significant influence of futures returns on spot prices returns while the impact of seasonality is insignificant. It means the relationship between the chana futures and spot prices is not affected by the seasonality. Moving to macroeconomic issues related to commodity futures trading, Inflation is a matter of economic concern all over the globe. In 2007, India's parliamentary standing committee on food and public distribution held futures trading responsible for inflation in India. Following the suggestions of the panel and increasing pressure from political circles, the GoI banned futures trading on some essential agro-commodities like wheat, rice and two varieties of lentils while temporarily suspended futures trading in commodities like chana (chick pea), soyoil, rubber, and potato. AbhijitSen committee (2008), the committee by GoI, did not find sufficient evidence of the inflationary effect of futures trading in India. Thus, this study attempts to bridge up the research gap by analyzing the causal relationship between commodity (argi, metals, and energy) futures trading, and commodity specific Wholesale Price Index (WPI) inflation in India. Toda Yamamoto modified Granger causality technique has been employed on the monthly futures volume and commodity specific WPI data. The results indicate that crude oil futures trading lead to a surge in crude oil prices in the spot market. However, there is no causality from futures trading volume to WPI for chana, gold, and copper. In a nutshell, this study vi doesn't find any relationship between futures trading and inflation for three out of four select commodities. Thus, this study concludes that commodity futures trading does not lead to higher inflation in India. Over the last couple of decades, financial integration and volatility of international markets have increased. International linkage of markets proved to be a bane for events like the recent global financial crisis that affected stock and commodity markets almost all over the globe. Thus, the crisis may have affected the spot market volatility of internationally traded commodity crude oil. Moreover, Futures prices play a better role than cash prices, in absorbing and reflecting market information for high trade volume commodities like gold, crude oil, and copper in international markets. Thus, there is a possibility of international associations of gold, crude oil, and copper futures markets of India. This study employs Johansen's cointegration and Granger causality techniques to analyze the linkage and causality between the select markets. From results, this study concludes that the global financial crisis affected the return on crude oil spot prices but did not affect the volatility of the crude oil spot market. The possible reason for the volatility of crude in 2008 could be financialization of commodity exchanges and excessive speculation in crude oil futures. Without dummy, the results show the presence of ARCH and leverage effects up to three lags. The results also support the existence of volatility clustering. Thus, from the results of linkage analysis of Indian commodity futures market with international markets this study concludes that futures markets of copper and crude oil are not efficient as their market at MCX and their respective foreign futures market are cointegrated. However, the gold futures market at MCX and NYMEX are not cointegrated and hence efficient. However, the gold futures market at NYMEX leads MCX market.

Defence date: 20 March 2014
Examining Board: Professor Nicola Pavoni, Università Bocconi (Supervisor); Professor Árpád Ábrahám, European University Institute; Professor Hans Degryse, University of Leuven; Professor Steven Ongena, University of Zurich.
First made available online on 15 May 2014.
This thesis consists of three manuscripts that analyze the role of financial intermediation in the Great Recession from both a microeconomic and macroeconomic perspective. Although these papers differ in the adopted methodologies, they share the idea that, to evaluate the real effects of the last recession, we need a deeper study of financial intermediation. The first chapter of this thesis is joint work with L. D'Aurizio and L. Romano. It documents the credit allocation by Italian banks following the failure of Lehman Brothers. The empirical analysis reveals that Italian family firms experienced a significantly smaller contraction in granted loans than non-family firms. It is showed that the difference in the amount of credit granted to family and non-family firms is related to an increased role for soft information in Italian banks' operations. The second chapter, joint work with D. Menno, quantifies the welfare effects of the drop in aggregate house prices for leveraged and un-leveraged households in the Great Recession. It features a dynamic general equilibrium model calibrated to the U.S. economy and simulates the 2007-2009 Great Recession as a contemporaneous shock to the financial intermediation sector and aggregate income. The estimates show that borrowers lost significantly more in terms of welfare than savers. In counter-factual experiments it has showed that this loss is larger the higher the households' leverage. The third chapter documents the relation between bank performance in the 2007-2008 financial crisis and CEO monetary incentives in a cross-country analysis. Results suggest that the sensitivity of CEOs' stock-option portfolios to share prices (option delta) in 2006 have strong predictive power for ex-post bank performance. By exploiting the cross-country variability in financial regulation, results show that incentives to take risk given by stock options are stronger in countries with explicit deposit insurance and weaker restrictions on bank investments.
First made available online on 15 May 2014.

碩士
國立成功大學
企業管理學系
104
This study examines the effects of domestic and international macroeconomic factors on the stock prices of chain convenience stores in Taiwan. The convenience store industry is labor-intensive, oriented toward the sale of daily necessities and has a high domestic demand. Based on the labor-intensive feature, this study takes minimum wage and monthly revenue as independent variables; based on the daily necessities feature, this study takes macroeconomic factors to examine whether domestic and global economics factors have effects on the domestic-demand industry. These macroeconomics variables include the discount rate of the central bank of R.O.C., real exchange rate, CPI, and oil price. The dummy variables are food scandals in Taiwan, the plasticizer event and the poisonous starch event. Food scandals have given rise to wide concern for customers because of food safety issues. In addition, three rounds of U.S. Quantitative Easing are also regarded as independent variables as well. The results suggested that monthly revenue and minimum wage had no effects on convenience store prices. As for the domestic economic factors, the real exchange rate and the poisonous starch food scandal event did not have effects on the stock prices of convenience stores. Global economics factors like the U.S. QE and oil price were not found to have an effect on the stock prices of convenience stores in Taiwan. However, the consumer price index (CPI) was found to have a positive impact on the stock prices of convenience stores in Taiwan. The discount rate and the plasticizer food scandal had negative effects on the stock prices of convenience stores in Taiwan. Keywords: Convenience stores, Stock price, U.S. QE, Food safety issue

In the first chapter, I quantify the welfare effect of eliminating the U.S. capital income tax under international financial integration. I employ a two-country, heterogeneous-agent incomplete markets model calibrated to represent the U.S. and the rest of the world. Short-run and long-run factor price dynamics are key: after the tax reform, post-tax interest rate increases less under financial openness relative to autarky. Therefore the wealth-rich households gain less. Post-tax wages also fall less, so the wealth-poor are hurt less. Hence, the fraction in favor of the reform increases, although the majority still prefers the status quo. Aggregate welfare effect to the U.S. is a permanent 0.2 % consumption equivalent loss under financial openness which is 85.5 % smaller than the welfare loss under autarky. The second chapter aims to answer two questions: What helps forecast U.S. inflation? What causes the observed changes in the predictive ability of variables commonly used in forecasting US inflation? In macroeconomic analysis and inflation forecasting, the traditional Phillips curve has been widely used to exploit the empirical relationship between inflation and domestic economic activity. Atkeson and Ohanian (2001), among others, cast doubt on the performance of Phillips curve-based forecasts of U.S. inflation relative to naive forecasts. This indicates a difficulty for policy-making and private sectorâs long term nominal commitments which depend on inflation expectations. The literature suggests globalization may be one reason for this phenomenon. To test this, we evaluate the forecasting ability of global slack measures under an open economy Phillips curve. The results are very sensitive to measures of inflation, forecast horizons and estimation samples. We find however, terms of trade gap, measured as HP-filtered terms of trade, is a good and robust variable to forecast U.S. inflation. Moreover, our forecasts based on the simulated data from a workhorse new open economy macro (NOEM) model indicate that better monetary policy and good luck (i.e. a remarkably benign sample of economic shocks) can account for the empirical observations on forecasting accuracy, while globalization plays a secondary role.
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