Дисертації: "International macroeconomic"

1

Barwah, Mahama. "The international macroeconomic trilemma emerging economies." Thesis, University of Surrey, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.610934.

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The concept of the trilemma has occupied an unassailable place in international macroeconomics ever since the work of Mundell (1960), Mundcll (1962) and Fleming (1962). In its simplest form, the concept posits the difficulty an economy with a fixed exchange rate face.') in setting its own interest rates, in an environment of an open capital account. Hence, the term "impossible trinity', which is also used in the literature. To what extent is this assertion valid? Given that endeavours to operate some kind of fixed exchange rate regime have eventually resulted in economic and financial disaster to varying degrees; could the trade-off inherent in the trilemma be the culprit? Empirical tests of the trilemma have, however, yielded results that are not overwhelmingly conclusive. Our aim is to make a contribution to the debate on the relevance of the trilemma, and its relationship with economic performance, by studying a group of emerging market economies. In the first study we employ both pooled data and individual country regressions to test the trilemma. The pooled data results find strong evidence that lends credence to the trilemma, whilst the individual country regressions produce moderate. support. Both approaches also find some propensity for the "fear of floating" to exist. In the second study, we first model international macroeconomic arrangements using a system of trilemma archetypes, and then ascertain their relationship with macroeconomic performance, as well as reserves. The results obtained indicate some statistically significant correlation between trilemma archetypes and macroeconomic performance and reserves. The third study, which is an overview of trilemma policies and their effects in the BRIC economies, confirm the trilemma principle to a significant degree, with the exception of a few instances, where the concept is seen not to hold, at least, in the short run

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2

Kim, Myunghyun. "Essays on commodities and international macroeconomic interactions." Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:59347969-eec4-4e33-9204-4cadded633b2.

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This thesis introduces commodities into otherwise standard closed economy or open economy macro models. Chapter 1 sheds light on the fact that as trading in commodity derivatives tied to commodity prices has increased massively since the 2000s, they have begun to act as an asset class in recent years. It shows that financial intermediaries' investments in commodities play an important role in the recent reduction in the impacts of commodity price shocks on the economy. Chapter 2 adds commodities and different commodity trade structures of countries to a standard two-country model. It shows that U.S. business cycle comovements with commodity-exporting countries are stronger than those with commodity-importing countries and that the model produces better international business cycle statistics between the U.S. and commodity-exporting countries compared to the standard model. These results imply that the two elements should be considered to properly analyse international macroeconomic interactions between the U.S. and commodity-exporting countries. Chapter 3 studies international transmission of U.S. monetary policy shocks to commodity-exporting and commodity-importing countries. The chapter first empirically shows that the shocks have stronger effects on commodity-exporting countries than commodity-importing countries, and then augments a standard three-country model to include commodities and different commodity trade structures of countries. Consistently with the empirical evidence, in the model an expansionary monetary policy shock to the U.S. increases aggregate output of commodity-exporting countries by more than that of commodity-importing countries. This is because the increased U.S. aggregate demand triggered by the shock leads to rises in its demand for commodities and real commodity prices, and thus exports of commodity-exporting countries go up by more than those of commodity-importing countries.

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3

Crespo, Cuaresma Jesus, Florian Huber, and Luca Onorante. "The macroeconomic effects of international uncertainty shocks." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5462/1/wp245.pdf.

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We propose a large-scale Bayesian VAR model with factor stochastic volatility to investigate the macroeconomic consequences of international uncertainty shocks on the G7 countries. The factor structure enables us to identify an international uncertainty shock by assuming that it is the factor most correlated with forecast errors related to equity markets and permits fast sampling of the model. Our findings suggest that the estimated uncertainty factor is strongly related to global equity price volatility, closely tracking other prominent measures commonly adopted to assess global uncertainty. The dynamic responses of a set of macroeconomic and financial variables show that an international uncertainty shock exerts a powerful effect on all economies and variables under consideration.
Series: Department of Economics Working Paper Series

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4

Kubelec, Christopher J. "Macroeconomic policy and stability in international financial markets." Thesis, University of Warwick, 2005. http://wrap.warwick.ac.uk/2458/.

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

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5

Filiztekin, Alpay Orhan. "Essays on Macroeconomic Fluctuations and International Capital Mobility." Thesis, Boston College, 1994. http://hdl.handle.net/2345/1805.

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Thesis advisor: Robert G. Murphy
Thesis advisor: Fabio Schiantarelli
Thesis advisor: James Anderson
This dissertation consists of four essays. The first two essays investigate macroeconomic fluctuations and their sources. The third and fourth essays examine international capital mobility
Thesis (PhD) — Boston College, 1994
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

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6

Kavli, Haakon Northcraft. "Essays on international capital flows and macroeconomic stability." Thesis, University of Pretoria, 2015. http://hdl.handle.net/2263/52986.

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Global monetary policy, financial risk and risk aversion are important determinants of international capital flows. Capital flows may in turn cause expansion of credit and leverage in the recipient economy. This PhD thesis contributes to our understanding of the transmission channel from global risk factors to domestic credit and saving. We estimate the time varying effects of risk on portfolio flows to South Africa, we estimate the transmission of portfolio flows to credit, and lastly we incorporate our empirical findings in a two-country DSGE model with portfolio flows and risk constrained financial intermediaries. Risk and risk aversion are found to affect bond and share flows to South Africa differently. Risk consistently affects bond flows more than share flows. The relationship between risk and portfolio flows is also found to be continuosly evolving and highly dependent on the macroeconomic environment. We further study the transmission channel linking portfolio flows to credit extension in South Africa. We posit that the transmission works by increasing banks supply of credit and we find empirical support for this hypothesis. Parts the proceeds from portfolio flows are deposited in local banks. This cash injection increases banks supply of credit and the effect is pro-cyclical. If the cash is injected during a credit expansion it will have a stronger effect on credit extended. We find that share flows tend to cause more cash injections than bond flows and are therefore more prone to cause credit expansions. The empirical findings guide our construction of a two-country DSGE model with financial intermediaries and macroprudential policy. The model shows that portfolio flows arise from changes in asset demand from foreigners relative to demand from residents. Simulations show that risk shocks affecting both emerging market and foreign investors will cause demand for emerging market bonds to shift from the foreign to the local investor, causing an outflow in the emerging bond market. Both the foreign and domestic investors will cut demand for shares, and therefore the direction of share flows is unpredictable. Shocks to risks that are only carried by foreign investors cause stronger portfolio flows out of emerging market shares. The global policy environment has a great impact on the transmission of global shocks to portfolio flows. Bond supply can absorb risk shocks, while interest rates can absorb income shocks. Tighter macroprudential policy in the recipient economy has very limited, if any, effect on the relationship between portfolio flows and domestic credit extension.
Thesis (PhD)--University of Pretoria, 2015.
Economics
PhD
Unrestricted

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7

Dao, Tuan Hoang. "Two Essays on International Asset Market and Macroeconomic Dynamics." Thesis, Boston College, 2013. http://hdl.handle.net/2345/3029.

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Thesis advisor: Fabio Ghironi
This dissertation examines the macroeconomic dynamics under different international asset market structures. The dissertation consists of two chapters. The first chapter is my cowork with Taesu Kang, a classmate of mine at Boston College, department of economics. We investigate the dynamics of the U.S and emerging Asian countries during the financial crisis in 2008. We focus on the bank lending channel as the source of shock transmission and explain how the internal default in the U.S can be transmitted to emerging Asian countries. The second chapter of my thesis is my work on the international equity home bias and Backus Smith puzzles. I propose a model with a incomplete asset market, endogenous labor supply and non-tradable goods that can generate a high degree of home equity bias, even when the domestic human capital return and equity return are highly correlated. My model also generates a very low correlation between the consumption differential across countries and the real exchange rate. The correlation is more inline with data than the strongly positive correlation predicted by a standard complete asset market framework
Thesis (PhD) — Boston College, 2013
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

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8

Lenz, Eric Daniel. "MACROECONOMIC ASPECTS OF CONFLICT." OpenSIUC, 2015. https://opensiuc.lib.siu.edu/dissertations/1115.

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In the following papers I propose to construct economic models that incorporate the disastrous effect of conﬂict. I model conﬂict theoretically in a Solow growth model and empirically in a GDP per worker growth model, in a civil war onset model and a model for civil war’s severity. The ﬁrst chapter theoretically and empirically analyzes economic growth with conﬂict in the context of the Mankiw et al. (1992) adaptation of the Solow growth model and the natural resource growth model by Sachs and Warner (1995). I incorporate a variable of capital destruction in the physical and human capital accumulation equations and derive coherent theoretical and empirical results. The second chapter considers the onset of civil war across all countries and speciﬁc subsamples of countries from 1970 to 2007. The onset of war is modeled using economic and ﬁnancial variables in addition to grievance variables from the political science literature to ascertain the extent to which ﬁnancial crises and hyperinﬂation can bring about civil war. I estimate using panel time-series logistic regression techniques and discover the risk of conﬂict in Africa, Asia, highly-indebted poor countries, and low income countries. Some civil wars are fought for government control and others are fought over local issues - both types of war are controlled for with their own determinants. The third chapter determines factors that signiﬁcantly affect the severity of civil wars from year to year. I employ the same IV/GMM estimation techniques from Chapter 1 to discover the role of ﬁnancial crises, hyperinﬂation, unemployment, and development assistance and aid in the severity of war.

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9

Kahsay, Shibeshi Ghebre. "Three essays on the macroeconomic effects of international capital flows." Thesis, McGill University, 2004. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85172.

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This thesis presents three essays on the role of international capital flows in growth, real exchange rate behavior and the conduct of domestic monetary policy in four Asian economies. The first chapter develops an endogenous growth model based on an infinitely-lived optimizing representative agent. Data from the four Asian countries is used to test the implications of the model. Using applied time series econometric techniques, the results for Malaysia, Philippines and Thailand lend credence to the endogenous growth process, while it is rejected for Indonesia. Chapter 2 develops a three-good model for the internal real exchange rate to identify the fundamental determinants of the internal real exchange rates for exports and imports. The examination of the time series properties of the variables suggests that the internal real exchange rates in the ASEAN-4 countries were indeed driven by the fundamentals derived from the model. Furthermore, the results indicate that there was no misalignment between the actual and equilibrium real exchange rates. Movements in the real exchange rates were thus equilibrium responses to changes in the fundamentals. The third chapter estimates coefficients of capital flow offset to domestic monetary policy and sterilization and analyzes the implications for domestic monetary autonomy. The relative performance of the monetary model and the portfolio balance model is compared using quarterly data for the four countries. The empirical results show that the capital flow offset was less than complete and that sterilization turned out to be ineffective in three of the four countries.

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10

Safuan, Sugiharso. "Three essays on international macroeconomic interdependence in the Asian crisis." Thesis, University of Southampton, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.400483.

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11

Lee, Jun Ho, and Noel Mattar. "Analysis of Macroeconomic Variables Affecting International Tourism Consumption in Sweden." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254280.

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There is an evident trend of growing tourism in the world. Tourism in Sweden is gaining more economic and social attention. The main purpose of this thesis is to discover what macroeconomic variables contribute to the annual international tourism income in Sweden. A multiple linear regression approach over a time period of 1978-2017 is used for the analysis. The final results show that GDP is the major macroeconomic factor that drives the annual international tourism income in Sweden across all time periods. NOK-SEK exchange rate seem to another relevant variable in the long term from 1978-2017, but not in shorter periods of time. USD-SEK exchange rate and unemployment rate hold no significant relevance to the international tourism consumption in Sweden for all time. The devaluation of Swedish krona in 1992 did not change the relationship between these variables and the response variable. However, these results can be unstable due to the limited number of observations used in the analysis, and therefore, we recommend other regression approaches, such as panel data regression, for this subject.There is an evident trend of growing tourism in the world. Tourism in Sweden is gaining more economic and social attention. The main purpose of this thesis is to discover what macroeconomic variables contribute to the annual international tourism income in Sweden. A multiple linear regression approach over a time period of 1978-2017 is used for the analysis. The final results show that GDP is the major macroeconomic factor that drives the annual international tourism income in Sweden across all time periods. NOK-SEK exchange rate seem to another relevant variable in the long term from 1978-2017, but not in shorter periods of time. USD-SEK exchange rate and unemployment rate hold no significant relevance to the international tourism consumption in Sweden for all time. The devaluation of Swedish krona in 1992 did not change the relationship between these variables and the response variable. However, these results can be unstable due to the limited number of observations used in the analysis, and therefore, we recommend other regression approaches, such as panel data regression, for this subject.
Det finns en märkbar trend av växande turism världen över. Turismen in i Sverige får allt mer ekonomisk och social uppmärksamhet. Syftet med detta arbete är att finna vilka makroekonomiska variabler som bidrar till de årliga intäkterna av internationell turism i Sverige. För analysen används multipel linjär regression över tidsperioden 1978-2017. Det slutgiltiga resultatet visar att BNP är den dominanta makroekonomiska faktorn som är drivande i de årliga intäkterna av internationell turism i Sverige, detta oavsett tidsperiod. Valutakursen NOK/SEK verkar vara signifikant i det långa loppet, från 1978-2017, men inte under de kortare tidsperioderna. Valutakursen USD/SEK och arbetslösheten är båda icke signifikanta variabler för internationell turism konsumtion i Sverige över alla tidsperioder. Devalveringen av den svenska kronan år 1992, förändrade inte relationen mellan de sistnämnda variablerna och y -variabeln. Dock kan dessa resultat vara ostabila på grund av de begränsade antalet observationer som använts i analysen och därför rekommenderar vi andra regressions modeller till detta ämne, såsom "panel data regression".

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12

Lisicky, Milan. "Essays on the macroeconomic impact of trade and monetary policy." Thesis, London School of Economics and Political Science (University of London), 2012. http://etheses.lse.ac.uk/533/.

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My thesis consists of three chapters. The aim of the first two chapters is to investigate the linkages between trade and the cross-country comovement and volatility of GDP growth, while the last chapter is an independent study on how the optimal design of monetary policy depends on the share of labour- and capital-intensive sectors. The first chapter develops a framework to study the effects of international trade on GDP comovement. Using a standard trade-theoretical approach, I first show how the comovement between any pair of countries is linked to shocks affecting both the two countries bilaterally and all other countries. Secondly, I use a calibrated version of the model to assess the importance of the bilateral channel relative to the role of linkages with all other countries. The second chapter investigates whether and how openness to trade may affect macroeconomic volatility. While greater openness provides a powerful channel for transmission of foreign disturbances, it also lowers the exposure to domestic shocks. My co-authors and I show that as long as the volatility of trading partners and covariance of shocks across countries are not too large, trade can act as a channel for the diversification of country-specific shocks and in that way contribute to lower volatility. The third chapter examines what is the optimal measure of inflation in a two-sector economy with nominal frictions, where sectors differ in labour intensity. I find that a welfare-oriented central bank should follow more closely the developments in the less labour-intensive sector. The source of this bias is traced back to a greater sensitivity of the marginal product of labour in that sector, so that output dispersion caused by nominal rigidities generates higher efficiency losses where labour is relatively less abundant.

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13

Luk, Sheung Kan. "Essays in macroeconomic modelling with frictions and rigidities." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:86ded0cc-99b1-418b-80f5-44bc56e2ea4c.

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This thesis presents three dynamic stochastic general equilibrium models to answer three macroeconomic questions. In each model, I impose one or more frictions or constraints and analyse how these frictions affect macroeconomic dynamics. Chapter 2 studies the coordination of fiscal and monetary policies under optimal commitment and discretion policies under a New Keynesian framework. The chapter shows that when there is indexation in price setting which depends on the lagged output gap as in Steinsson (2003), under the optimal commitment policy, both fiscal and monetary policies have active roles in inflation stabilisation, even although debt follows a unit-root process. Under the optimal discretion policy, both fiscal and monetary policies have active roles in inflation stabilisation to drive debt back to the pre-shock level, consistent with Leith and Wren-Lewis (2008). Extending the model to include capital accumulation does not alter these results. Chapter 3 presents a microfounded two-country model of global imbalances and debt deleveraging. During global imbalances a sustained rise in saving in one country can lead to a worldwide fall in the interest rates and an accumulation of debt in the other country. When an ensuing deleveraging shock occurs as a result of the global financial crisis, the interest rates are forced further down. I show that in the presence of a liquidity trap the deleveraging country may face a combination of a large fall in output, deflation and real exchange rate appreciation, as a result of debt deflation. Chapter 4 adds a highly-leveraged financial sector to the Ramsey model and shows that this augments the macroeconomic effects of aggregate productivity shocks. My model is built on the financial-accelerator approach of Bernanke, Gertler and Gilchrist (BGG), in which leveraged goods-producers borrow from a competitive financial sector. In this chapter, by contrast, financial institutions are leveraged and subject to idiosyncratic productivity shocks. They obtain funds by paying an interest rate above the risk free rate, and this risk premium is anti-cyclical, and so amplifies the shocks. My parameterisation, based on US data, is one in which the leverage of the financial sector is two and a half times that of the goods-producers in the BGG model. This causes a much more significant augmentation of aggregate productivity shocks than that found in the BGG model.

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14

Chakrabarti, Anindya S. "Essays on macroeconomic networks, volatility and labor allocation." Thesis, Boston University, 2015. https://hdl.handle.net/2144/34329.

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Thesis (Ph.D.)--Boston University
This dissertation comprises three chapters on the network structure of the economy and its macroeconomic consequences. In the first two chapters, I analyze the relationship between macroeconomic volatility of individual countries and the international trade network the countries are embedded in. In the third chapter, I study the international migration network. In the first chapter, I show a regularity that European countries occupying more central positions in the intra-Europe trade network exhibit lower macroeconomic volatility. Intuitively the trade network has a core-periphery structure and the core is more stable than the periphery. This is puzzling because the core country is also more open to shocks coming from all other countries, which increases volatility. This relationship is informative in the context of the unsettled, classic debate on whether trade openness increases or decreases country-level volatility. Rather than considering an aggregate measure like trade openness, the idea of centrality provides a more comprehensive measure of the nature and strength of trade linkages as well as the identity of the trade partners, all of which have important effects on volatility. I construct a multi-country, multi-sector model subject to idiosyncratic productivity and liquidity shocks, and fully characterize the trade network generated in equilibrium. I calibrate the model to the European Union and I show that it closely replicates the observed negative relationship. Next, I extend the theory presented to incorporate a general network structure and its effects on volatility. From an empirical perspective, I construct an instrument based on geographic distance to establish the finding. From a theoretical perspective, I consider the possibilities of missing linkages and stochastic weights in the trade networks. The third chapter studies the European immobility puzzle. A theory of cross-country migration is devised in the form of labor mobility based on regional and sectoral productivity shocks in a multi-country, multi-sector setting. Differences across countries in socio-cultural and institutional factors induce a friction on such labor reallocation process. The model explains interstate migration network within the U. S. (frictionless benchmark) well. When applied to Europe, the model predicts a sizeable missing mass of migrants. Our estimates show this to be due to socio-cultural barriers.

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15

Hinch, Martin P. "Financial and macroeconomic drivers within housing market cycles : an international perspective." Thesis, University of Ulster, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.558813.

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The global financial crisis of 2007/2008 has given rise to an unprecedented worldwide liquidity shortage, and as a consequence interaction between financial, housing and macroeconomic factors has been given ever increasing attention. This thesis focuses on the influence and effects of financial and macroeconomic market drivers upon the function of housing market cycles. The research assesses the operation of residential property markets within the overall concept of market theory and appraises the impact of various macroeconomic and financial variables upon the performance of these residential markets. Initially, this is achieved through the selection, evaluation and analysis of quantitative secondary data sources in order to generate UK base models. The modelling process uses house price as the dependent variable, with selected financial, housing and macroeconomic drivers evaluated to assess their contribution towards performance. The UK based models are then compared to comparative models centered upon markets of the US, Australia and Germany. The research shows that a number of house price drivers are consistent between nations. Specifically, the predictive qualities of the margin between the interest base rate of a country and the London Interbank Offered Rate (USOR), housing finance, unemployment and the price of gold are shown to exert a significant explanation of house price movements. The research also shows that the extent and nature of the impact upon house price varies, not just over different periods within the timescale of the study, but also between the different countries. In addition, the influential variables themselves appear to change with the underlying macroeconomic and financial situations. UK housing market cycles are shown to be influenced by several common financial and macroeconomic drivers; however it would appear that the UK market is largely independent in relation to housing market cycles.

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16

Dargahi, Hassan. "A rational expectations macroeconomic model of an oil-exporting-developing economy : case of Iran." Thesis, University of Liverpool, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.387292.

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17

Dzhambova-Andonova, Krastina B. "Macroeconomic Implications of Fiscal Policy in a Small Open Economy." Thesis, Boston College, 2018. http://hdl.handle.net/2345/bc-ir:108102.

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Thesis advisor: Peter N. Ireland
This dissertation deals with the macroeconomic implications of fiscal policy in small open economies with a particular emphasis on emerging economies. I use both empirical and theoretical approaches to distinguish key difference in the design of fiscal policy between emerging and developed economies. I also analyze the macroeconomic consequences of differences in the conduct of fiscal policy. Thus, the dissertation is focused on the interplay between fiscal policy and business cycle dynamics. Recent policy challenges in developed economies, such as monetary authorities grappling with the zero lower bound on short run nominal rates and fiscal stimulus packages emerging as an important policy tool, have sparked renewed academic interest in the topic of fiscal policy and business cycles. Institutional and macroeconomic features in emerging economies make the macroeconomic aspects of fiscal policy an important research agenda and one to which this dissertation contributes. A number of papers have documented fiscal policy pro-cyclicality in terms of stronger co-movement between government expenditure and macroeconomic fundamentals in emerging and developing economies. This feature of the data raises 2 important questions: 1) does fiscal policy reinforce the macroeconomic cycle in these countries leading to heighten macroeconomic volatility ("when it rains, it pours"), and 2) is the fiscal stance in these economies due to unique macroeconomic features or is it the consequence of institutional and political imperfections? The first chapter, titled "When it rains, it pours": fiscal policy, credit constraints and business cycles in emerging and developed economies, sets out to answer these questions by comparatively studying a group of developed and emerging economies. I estimate a panel structural vector autoregressive model to investigate if government consumption expenditure responds more pro-cyclically to fundamentals and what role international financial conditions play for the fiscal stance and for the volatility of the cycle in emerging and developed economies. My findings suggest that the response to output fluctuations is not systematically different for emerging governments relative to their developed counterparts. However, emerging governments curtail spending in response to increases in the sovereign borrowing rate which forces their consumption expenditure to act more pro-cyclically. I find evidence of higher fiscal discretion in emerging economies. However, the efficacy of government consumption expenditure is substantially lower in emerging than in developed economies. Thus, fiscal policy ends up being responsible for a lower share of business cycle volatility in emerging than in developed economies. In the second chapter, titled Estimating the Dynamics of Fiscal Financing in Emerging Economies, I propose a strategy for estimating the government financing rule for an emerging economy. The estimation uses the structural VAR impulse responses obtained in the previous chapter to discipline the parameters of a small open economy real business cycle model with a public sector. The parameters can be split into two groups: those influencing the effectiveness of fiscal policy and the parameters governing the financing of the exogenous stream of government consumption. The empirical response to interest rate shocks puts restrictions on the first group of parameters governing the size of the multiplier. The empirical response to a government consumption shock can be used to obtain estimates of the fiscal policy rule. I construct a model with a role for both interest rate shocks and government consumption shocks. A natural estimation approach in this case is impulse response matching
Thesis (PhD) — Boston College, 2018
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

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18

Zorell, Nico [Verfasser], and Claudia [Akademischer Betreuer] Buch. "Vertical linkages, international trade, and macroeconomic dynamics / Nico Zorell ; Betreuer: Claudia Buch." Tübingen : Universitätsbibliothek Tübingen, 2012. http://d-nb.info/1162279311/34.

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19

Gupta, Nupur. "Risk Determination and Outcomes in Equilibrium Macroeconomic Models." The Ohio State University, 2021. http://rave.ohiolink.edu/etdc/view?acc_num=osu1618785125480503.

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20

Michalopoulos, George T. "Macroeconomic consequences of the US dollar exchange rate movements for the EC economy : an empirical analysis." Thesis, University of Reading, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.305066.

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21

Javed, Omer. "Essays on institutional quality, macroeconomic stabilization, and economic growth in International Monetary Fund member countries." Doctoral thesis, Universitat de Barcelona, 2015. http://hdl.handle.net/10803/319439.

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This study is motivated by the overall poor performance of International Monetary Fund (IMF) programs in recipient countries in terms of economic growth consequences, and tries to explore the relevance of institutional determinants for economic growth in these program countries. The analysis, at the same time, also takes into consideration the claim by New Institutional Economics (NIE) literature, which points out an overall positive consequence of institutional quality determinants on economic growth for countries in general. Taking a panel data of IMF member countries, the thesis primarily focuses on the IMF program countries, during 1980-2009; a time period during which the number of IMF programs witnessed an increasing trend. Firstly, important determinants of economic- and political institutional quality in IMF program countries are estimated by applying the System- GMM approach, so as to find significant determinants among them. Here, a parliamentary form of government, aggregate governance level, civil liberties, openness, and property rights all enhance overall institutional quality. Specifically, greater monetary- and investment freedom are conducive for political institutional quality, while military in power impacts negatively. Moreover, economic growth is conducive for enhancing economic institutional quality. Thereafter, the impact of the significant institutional determinants is then estimated on real economic growth, both directly, and also indirectly, through the channel of macroeconomic stability. Results mainly validate that institutional determinants overall play a positive role in reducing macroeconomic instability, and through it, and also independently, enhance real economic growth. In the last part of the thesis, Pakistan is selected as a representative example of a frequent user of IMF resources. Here, by applying the Vector Autoregression (VAR) model techniques, various counterfactual scenarios are estimated for a period of 1980-2014, to see impact of an institutional determinant, KOF index of globalization on macroeconomic instability and real economic growth. Results highlight that through enhanced focus on institutional reduced, and hence higher growth rate of GDP can be achieved.

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22

Wills, Samuel Edward. "Macroeconomic policy in resource-rich economies." Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:a7050812-cec5-47f6-912b-d00252c3d69f.

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This thesis considers how fiscal and monetary policy should be conducted in resourcerich economies. It consists of three papers addressing: whether governments should spend, save or invest volatile oil income; the assets they should save in; and how monetary policy should respond. The first, “Eight principles for managing resource wealth”, shows that capital-scarce countries should save relatively less against oil price volatility, and invest more in domestic capital. They also should prepare for volatility in advance, and treat savings as a source of income rather than a temporary buffer. To show this the paper develops a framework that nests a variety of existing results, which are presented in eight principles. The second, “The Elephant in the Ground: Oil extraction and asset allocation in sovereign wealth funds”, shows that governments should use sovereign wealth funds to offset oil price risk, extract oil faster if its price is pro-cyclical, and use precautionary savings to manage any residual volatility. To do this it combines three strands of literature for the first time: on continuous-time portfolio theory, oil extraction and precautionary savings. The third, “Optimal monetary responses to oil discoveries”, addresses the anticipation effects around an oil discovery. It shows that the terms of trade will need to appreciate twice: once when oil is discovered and consumers anticipate future revenues; and again when the government begins spending the revenues. Oil wealth will give the monetary authority an incentive to appreciate the terms of trade, in addition to stabilising domestic inflation and the output gap. Optimal policy is well-approximated by a standard monetary rule that also responds to expected changes in the natural level of output.

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23

Shafie, Abdul Ghani. "The structural relationship between stock market returns and macroeconomic variables in international equity markets." Thesis, University of Stirling, 1991. http://hdl.handle.net/1893/2251.

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This study is concerned with investigating the structural relationship between stock markets and economic variables in different countries. In investigating the relationships, the following six questions are posed:- Are stock markets in the United States, the United Kingdom, West Germany, France, Norway, Japan, Singapore, Malaysia, Australia and South Africa related to each other and do they influence each other? Does the level of any relationship change over time? Are variables representing economic activity in each country related to similar variables in the other countries? Does the level of any economic relationship change over time? Are the comovements of both equity markets and economic indicators consistent? and Are stock markets examined in this study influenced by similar common underlying factors? The empirical results suggest positive answers to these questions. The main findings from the study suggest that equity returns are related and although some markets have a higher degree of similarity, the covariance between international equity returns remain stable over the short period but tend to change in the long run. It is also found that economic variables of different countries are related in a consistent way to the equity markets. Finally it is shown that stock prices in each country are systematically affected by similar economic factors.

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24

Batiste, Jorge Chami. "Foreign indebtedness and macroeconomic external adjustment : Brazil's industrial strategy and policy responses to external shocks in the 1970s and 1980s." Thesis, University of Cambridge, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.276742.

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25

Nowotny, Ewald. "The role of macroeconomic policy in overcoming slow economic growth. International comparisons and policy perspectives." Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business, 1999. http://epub.wu.ac.at/1114/1/document.pdf.

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A fundamental point of this paper is, that - given existing structures (!) - the persistent problem of high unemployment in Europe cannot be attributed to tendencies in "jobless-growth" but is mainly caused by the fact that GDP-growth has been - and is still too low. This argument is first based on the pronounced cyclical reagibility of employment and unemployment. A first glance at Figure 1 immediately reveals this cyclical reagibility of European labour-markets - which is, however combined with "hysteresis-effects", thus creating a tendency of increasing long-term unemployment. In the next section the question as to why growth-rates in the 80s and 90s were much lower than compared to the 60s and 70s will be studied. The connections between employment and economic growth will be discussed in more detail in section 3 of this paper. (author's abstract)
Series: Working Papers Series "Growth and Employment in Europe: Sustainability and Competitiveness"

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Barková, Veronika. "Chile na počátku 21. století - ekonomická charakteristika a perspektivy." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-76447.

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The thesis deals with the chilean economy, its development, current economic situation, integration in international relations and future pespectives. The first chapter summarizes the basic information about the Reublic of Chile including the history of the country that significantly influenced its current face. The second part focuses on chilean macroeconomic situation including the foreign trade and investments. The third chapter analysis the chilean integration in global economy and the cooperation with the most important trade partners - the European Union, the USA and China. The last part is concerned with the nowadays problems, challenges and future perspectives where the impact of the recent global economic crisis and the destructive earthquake cannot be missed out.

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Rujin, Svetlana [Verfasser], Christoph M. [Gutachter] Schmidt, and Ansgar [Gutachter] Belke. "Macroeconomic effects of technological innovations : international evidence / Svetlana Rujin ; Gutachter: Christoph M. Schmidt, Ansgar Belke ; Fakultät für Wirtschaftswissenschaft." Bochum : Ruhr-Universität Bochum, 2020. http://d-nb.info/1205976396/34.

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Angolkar, Tejal. "The Effects of Macroeconomic Indicators and Event Shocks on Greek Stock and Bond Market Performance." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1423.

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This paper focuses on understanding the higher than average punishment to Greek stocks and bonds and the overall investor reactions to the worsening economic situation in Greece from 2000 to 2014. Were Greek stock and bond values driven by fiscal and financial conditions, macroeconomic indicators and event shocks to the economy? Time series regressions, Granger Causality Wald tests and impulse response functions are used to answer the question. The proxies for Greek stock and bond market performance include the Athens Stock Exchange Index growth rate and the short run and long run interest rate spreads between Greece and Germany. The macroeconomic variables include debt to GDP ratio, the National Bank of Greece return on equity growth rate, real GDP growth rate, inflation rate, and M1 and M2 money supply growth rates. The significant events include Greece joining the Euro in 2001, the Greek government admitting to lying about budget deficits in 2004, Greece’s first bailout in 2010 and the resignation of Prime Minister George Papandreou in 2011. Results show that most variables are significant and stock and bond market performance are dependent on macroeconomic indicators and event shocks.

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Samiei, H. "A disequilibrium analysis of international macroeconomic linkages : The impact of fluctuations in oil prices on trade and financial flows." Thesis, University of Cambridge, 1986. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.383885.

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Zhunusova, Eliza [Verfasser]. "Agricultural development in the Kyrgyz Republic : the impact of domestic policies, changing macroeconomic conditions, and international migration / Eliza Zhunusova." Gießen : Universitätsbibliothek, 2018. http://d-nb.info/1151817171/34.

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31

Al-Saiaari, Mohsen Naser Khamis. "International stock market returns and systematic risk factors : an empirical investigation into the APT using macroeconomic factors and multivariate estimation." Thesis, University of Bradford, 1991. http://hdl.handle.net/10454/4215.

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This thesis examines the relationship between stock market returns and systematic risk factors in twelve industrial countries. Using the APT framework, the thesis investigates the notion of international stock market integration versus segmentation in terms of pricing risk, international stock market efficiency in terms of eliminating arbitrage opportunities across domestic markets, and the validity of the international version of the APT according to a model that specifies purely domestic factors. Starting with ordinary least squares estimation the thesis investigates the responses of investors in their national stock markets to systematic shocks. By employing iterative non-linear multivariate seemingly unrelated regression estimation, this work avoids the statistical problems encountered in the second-pass test of the two-stage procedure. This study found that the international stock market was neither integrated nor efficient and that the IAPT was not supported by the results during the period investigated. It was demonstrated that partial and regional integration, regional efficiency, and regional IAPT validity cannot be ruled out. Moreover, the alternative model proved to be practically valid.

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Chauvel, Thierry. "Essays on Open Economy Macroeconomics." Thesis, Université de Lorraine, 2018. http://www.theses.fr/2018LORR0119.

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L'objectif de cette thèse est d'évaluer l'interdépendance macroéconomique entre pays développés sur les récentes décennies et, en particulier, à la suite de la crise financière de 2007-09 aux États-Unis. Pour cela, on utilise différentes hypothèses de modélisation dans les trois chapitres principaux que constituent la thèse permettant de capturer la dimension internationale des cycles économiques : modèle VAR en panel permettant de modéliser l'interdépendance entre les pays directement, modèle VAR simple en utilisant des variables domestiques et étrangères, et modèle DSGE à 2 pays permettant de modéliser directement les mécanismes réels et financiers qui lient les pays entre eux. Notre résultat principal est que la dimension internationale est importante pour expliquer la dynamique macroéconomique des pays développés sur les trois dernières décennies, que les variables soient réelles, nominales ou financières. Néanmoins, le rôle des facteurs étrangers ne croit pas dans le temps comme on pourrait le penser avec l'accentuation de la mondialisation de ces dernières décennies. Aussi, en regardant les crises économiques récentes aux États-Unis et de la zone euro, nous confirmons que la crise financière américaine de 2007-09 présente un choc plus important comparé aux standards historiques, qui s'est propagé à la zone euro à travers les liens financiers internationaux. Au contraire, la crise des dettes publiques de la zone euro de 2011 est un choc relativement standard, similaire aux chocs observés pendant la crise du Système Monétaire Européen (SME) de 1992-93, et affectant principalement les économies européennes
The aim of this thesis is to evaluate macroeconomic interdependence between developed economies over the recent decades and, in particular, following the 2007-09 US financial crisis. For that purpose, we use several modeling assumptions across the three main chapters of the thesis to capture the international dimension of business cycles across countries: panel VAR model to model countries interdependence directly, simple VAR model with both domestic and foreign variables, and two-country DSGE model to model the real and financial mechanisms that link countries together. Our main result is that international dimension is important to explain the macroeconomic dynamics of developed economies over the last three decades and for either real, nominal and financial variables. Nevertheless, the role of foreign factors does not grow over time as would be expected with the increase in globalization of the recent decades. Also, looking at the recent economic crises in the US and the euro area, we confirm that the 2007-09 US financial crisis features a bigger shock relative to historical standards, which propagated to euro area economies through international financial linkages. In contrast, the 2011 euro area sovereign debt crisis features a standard shock, comparable to those observed in previous European crises like the 1992-1993 ERM crisis, and affecting mostly European economies

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Francia, Montoya Paola Daniela, and Carrillo Dayanna Karina Pacheco. "Variables determinantes y relacionadas en las exportaciones de jengibre fresco (Partida Arancelaria 0910.11.00.00) de la República del Perú al Reino de los Países Bajos, comprendido en los años 2012 – 2019." Bachelor's thesis, Universidad Peruana de Ciencias Aplicadas (UPC), 2020. http://hdl.handle.net/10757/652587.

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La presente investigación analiza las variables determinantes y relacionadas en las exportaciones de jengibre fresco (Partida Arancelaria. 0910.11.00.00) de la República del Perú al Reino de los Países Bajos, comprendido en los años 2012 – 2019. En donde la inestabilidad de las exportaciones peruanas de jengibre ha desarrollado un interés para que sean analizadas en base a tres variables: entorno macroeconómico, competencia internacional y gestión de inocuidad alimentaria, desde un enfoque mixto. Este tendrá un alcance explicativo causal bajo un diseño transversal, en donde se aplicó un análisis de una regresión lineal múltiple, con el cual se planteó un modelo matemático predictivo de las variables aceptables, y un diseño fenomenológico aplicado a través de la guía de entrevistas de tipo semiestructuradas. Los resultados apuntan que, dentro del entorno macroeconómico, el precio es el indicador más influyente siendo las certificaciones orgánicas las que permiten que el producto salga con un mejor precio al mercado, ya que la demanda de Países Bajos así lo requiere. Dentro de competencia internacional, el indicador características del producto resalta apoyándose en la condición orgánica y las propiedades naturales del producto. Y finalmente, dentro de la variable gestión de inocuidad alimentaria destaca el indicador certificaciones de gestión de inocuidad, siendo las más importantes GlobalG.A.P. y HACCP. En conclusión, entorno macroeconómico es una variable determinante de las exportaciones de jengibre fresco, mientras que competencia internacional y gestión de inocuidad alimentaria son variables relacionadas a las exportaciones de jengibre fresco, los resultados indican que competencia internacional es la más relacionada, destacando dentro de ella el indicador características del producto.
The research aims to analyze the determinant and relevant variables in exports of fresh ginger (Harmonized system code 0910.11.00.00) from the Republic of Peru to the Kingdom of the Netherlands, between the years 2012 - 2019. The instability of Peruvian ginger exports has been developing, has created an interest in analyzing it based on three variables: macroeconomic environment, international competition, and food safety management, from a mixed methods research. This investigation will have a causal explanatory approach by a cross-sectional design, where is applied a multiple linear regression and is proposed a predictive mathematical model of the acceptable variables, and a phenomenological design through the interview guide of semi-structured type. The results indicate that in the macroeconomic environment, price is the most influenced indicator, where organic certifications are the ones that allow the product to come out with a better market price on the Netherlands market. Regarding international competition, the product features indicator is emphasized, by organic conditions and the natural properties of the product. Finally, in respect of the variable food safety management, it is enhanced through the indicator safety management certifications where GlobalG.A.P. and HACCP are the most important. In conclusion, the macroeconomic environment is a determinant variable of fresh ginger exports, while international competition and food safety management are related variables of fresh ginger exports. However, the results demonstrate, the international competition is the most relevant, highlighting the indicator product features.
Tesis

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34

Diviš, Jaroslav. "Aktuální problémy vývoje eurozóny se zaměřením na mezinárodní obchod." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-162290.

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This thesis examines current problems in eurozone with special focus on international trade. An important part of the research will be the impact of the economic crisis which came to Europe in 2008. First chapter describes the development of eurozone's exports and imports between years 2001 and 2011. It analyses changes and trends in the commodity and territorial structure of eurozone's foreign trade. Some important issues which are linked to these topics are discussed in the first chapter as well, including current bargaining for bilateral free trade agreements. Second chapter deals with macroeconomic imbalances between the northern and the southern part of eurozone. It tries to identify reasons which caused this problem and assesses the role of euro in it. Finally, it offers some possible ways to adjustment between the both country groups. Third chapter concerns with the competitiveness of eurozone's members and measures how it has changed since the beginning of the crisis. In the second part of this chapter, selected weaknesses of the Italian competitiveness are stated together with a comparison with Germany. Final summary recapitulates previous chapters and presents the most important findings.

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Bems, Rudolfs. "Essays in international macroeconomics." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-518.

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The four essays included in this dissertation are in the field of open economy Macroeconomics. Essays I, II and IV deal with a work-horse model in this field – a two-sector small open economy growth model with traded and nontraded goods. Writing down such a model requires an assumption about the role of traded and nontraded goods in domestic consumption and investments. While several empirical studies have looked at the consumption side, a systematic examination of the role of traded and nontraded goods in investments is missing. Essay I aims to fill this gap. Drawing on extensive empirical evidence, we show that aggregate investment expenditure shares on traded and nontraded goods are very similar in rich and poor countries. Furthermore, the two expenditure shares have remained close to constant over time, with the average nontraded expenditure share varying between 0.54-0.60 over the 1960-2002 period. Combined with the fact that the relative price of nontraded goods correlates positively with income and exhibits large differences across space and time, our findings suggest that investment can be modeled using the Cobb-Douglas aggregator. The results of this essay offer a new restriction for the two-sector growth model, which can alter the conclusions drawn from the model. To demonstrate this, we apply the new restriction to a study by Hsieh and Klenow (2003), which argues that differences in relative productivity between traded and nontraded sectors, i.e., the Balassa-Samuelson effect, is the main cause of higher PPP-adjusted investment rates in rich countries. With the restriction imposed on the model, no more than 25 percent of the differences in PPP-adjusted investment rates between rich and poor counties can be attributed to the Balassa-Samuelson effect. In Essays II and IV the same two-sector growth model is put to the test using the recent economic developments in countries of Eastern and Central Europe. Essay II investigates whether the two-sector growth model can explain the magnitudes and the timing of the trade flows in the Baltic countries. The model is calibrated for each of the three countries, which we simulate as small closed economies that suddenly open up to international trade and capital flows. The results show that the model can account for the observed magnitudes of the trade deficits in the 1995-2001 period. Introducing a real interest rate risk premium in the model increases its explanatory power. According to the model, trade balances will turn positive in the Baltic states around 2010. Essay IV starts by summarizing empirical regularities for the key aggregate real sector variables in the eight countries that joined the EU in May 2004. It is shown that, following the reforms in the early 1990s, real sector developments in all eight countries exhibit remarkable similarities. Interestingly, this is the case despite the fact that different reform policies were pursued in several dimensions (e.g., privatization, nominal exchange rate). Next, we show that a calibrated two-sector small open economy growth model can account for most of the real sector adjustments in early post-reform years. Empirical studies have found rapid traded sector productivity growth in Central and Eastern European countries over the last decade. When traded sector productivity growth is added to the model, it captures the development in all key real sector variables during the post-reform period. Finally, Essay III contributes to the study of financial crises in emerging markets. In contrast to the other essays, this paper develops a highly stylized theoretical model that allows us to study analytically government response to financial crises. In particular, Essay III develops a framework for analyzing optimal government bailout policy in a dynamic stochastic general equilibrium model where financial crises are exogenous. Important elements of the model are that private borrowers internalize only part of the social cost of foreign borrowing in the emerging market and that the private sector is illiquid in the event of a crisis. The distinguishing feature of our paper is that it addresses the optimal bailout policy in an environment where there are both costs and benefits of bailouts, and where bailout guarantees potentially distort investment decisions in the private sector. We show that it is always optimal to commit to a bailout policy that only partially protects investment against inefficient liquidation, both in a centralized economy and a market economy. Due to overinvestment in the market economy, the government's optimal level of bailout guarantees is lower than in the social optimum. Further, we show that, in contrast to a social planner, the government in the market economy should optimally bail out a smaller fraction of private investments when the probability of a crisis is higher.
Diss. Stockholm : Handelshögskolan, 2005 S. i-x: sammanfattning, s. 1-187: 4 uppsatser

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Scholl, Almuth. "Essays in international macroeconomics /." Aachen : Shaker, 2006. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=014942668&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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37

Gómez-González, Patricia, and Daniel Rees. "Essays on international macroeconomics." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/90123.

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Анотація:

Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2014.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 141-149).
This thesis examines several aspects of open economies. The first two chapters are about sovereign debt and its interactions with domestic financial markets. The third chapter, coauthored with my classmate Daniel Rees, studies volatility in terms of trade. The first chapter studies how the introduction of new assets in sovereign debt markets can increase a country's level of investment and welfare. In the model presented in this chapter public debt has a liquidity purpose for the domestic private sector and is demanded as a saving vehicle by more patient international investors. The government commits to repay but is constrained by its fiscal capacity which is low when the private sector needs outside liquidity. I find that the government can increase domestic investment by tranching its fiscal capacity, increasing the number of assets supplied and introducing state-contingency or safe assets. In this chapter I also test the predictions of the model and find that domestic collateral constraints and international discount factor both play a significant role in determining the share of public debt held by non-residents and that there is a significant differential effect for countries that have introduced more financial innovation in sovereign debt markets. The second chapter studies the implications of bailout policy tools for sovereign default and public default risk in a model where, similarly to chapter 1, public debt has a liquidity purpose in financial markets. In this chapter, I show that the government might default for strategic reasons if it can bailout its financial system. It does so when investment and output are low in the economy and when available credit in financial markets is below optimal. The model in this chapter delivers the empirical evidence that financial crises precede sovereign debt crises and it generates the qualitative evidence that, first, private credit drops before sovereign defaults, second, government defaults in periods of low output and, finally, bailout policies affect public debt sustainability. The third chapter, co-authored with my classmate Daniel Rees, examines the consequences of changes in the volatility of commodity price shocks on commodity exporters. We first demonstrate the existence of time-varying volatility in the terms of trade of a selection of commodity-exporting small open economies. We then show empirically that increases in terms of trade volatility trigger a contraction in domestic consumption and investment and an improvement in the trade balance in these economies. Finally, we construct a theoretical model and demonstrate that it can replicate our empirical results.
by Patricia Gómez-González.
Ph. D.

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38

Rees, Daniel. "Essays on international macroeconomics." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/79209.

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Анотація:

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2013.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 167-174).
This thesis examines the impact of terms of trade shocks on commodity-exporting small, open economies. The first chapter examines whether households, firms and policymakers in these economies can distinguish between temporary and permanent commodity price shocks. I find that they are largely unable to do so. In fact, my model suggests that the expected future path of commodity prices following a temporary price shock is almost identical to the expected future path of commodity prices following a permanent price shock. However, I also find that these information frictions reduce the magnitude of business cycle fluctuations, contrary to popular belief. In the second chapter I describe optimal monetary policy in an environment where agents cannot directly observe whether commodity price shocks are temporary or permanent and where an economy's non-commodity sector features a learning-by-doing externality. I find that under optimal monetary policy the non-commodity sector contracts by more during a transitory commodity price boom under incomplete information than it does under full information, but by less during a permanent boom. I also examine the performance of simple monetary policy rules. A policy of responding strongly to deviations of home-produced goods inflation from target with a modest response to changes in the nominal exchange rate comes close to replicating the welfare outcomes of optimal policy. In contrast, an exchange rate peg generally produces large welfare losses. The third chapter, co-authored with my classmate Patricia Gomez-Gonzales, examines the consequences of changes in the volatility of commodity price shocks on commodity exporters. We first demonstrate the existence of time-varying volatility in the terms of trade of a selection of commodity-exporting small open economies. We then show empirically that increases in terms of trade volatility trigger a contraction in domestic consumption and investment and an improvement in the trade balance in these economies. Finally, we construct a theoretical model and demonstrate that it can replicate our empirical results.
by Daniel Morgan Rees.
Ph.D.

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39

Dmitriev, Mikhail. "Essays in International Macroeconomics." Thesis, Boston College, 2014. http://hdl.handle.net/2345/bc-ir:103536.

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Анотація:

Thesis advisor: Fabio Ghironi
Thesis advisor: Susanto Basu
My dissertation develops a set of tools for thinking about heterogeneity in economic models in an analytically tractable way. Many models use the representative agent framework, which greatly simplifies macroeconomic aggregation but abstracts from the heterogeneity we see in the real world. Models with heterogeneity in general equilibrium have too many moving parts, so that it is hard to disentangle cause and effect. First, my work in international macroeconomics incorporates heterogeneity via idiosyncratic shocks across countries in a simple and analytical way. Second, my work on financial frictions helps to understand the role of asymmetric information between lenders and borrowers in different contractual environments. Crucially, these insights can be incorporated into the models currently used by academics and central banks for policy analysis
Thesis (PhD) — Boston College, 2014
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

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Minasyan, Gohar. "Essays in International Macroeconomics." Thesis, Boston College, 2015. http://hdl.handle.net/2345/bc-ir:104630.

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Анотація:

Thesis advisor: Fabio Ghironi
Thesis advisor: Peter Ireland
This thesis includes three essays. The first chapter analyzes how the implications of productivity shocks in an open economy can differ depending on the size of the economy relative to the rest of the world. It employs a stylized two-country general equilibrium model with love of variety, where economies differ in size and shows that a dynamic home market effect is present: productivity shocks that lower production and entry costs lead to deterioration of home terms of trade when home is small relative to the rest of the word but to improvement of terms of trade when home is large. The second chapter analyzes the role of globalization in the lack of convergence of living standards within Europe, despite integration processes. Building on theoretical and empirical literature on trade and income inequality in the U.S. this chapter proposes a model that describes how globalization affects disparities between countries in Europe. To quantitatively assess this effect, a measure of exposure to globalization is constructed, using detailed trade, employment, and output data. The chapter shows that the relative performance of countries within Europe is correlated with their exposure to globalization. In particular, countries that experienced relative declines of living standards over the past decade have been most exposed to globalization. The third chapter explores the implications of demand side pricing complementarities and endogenous markups in open economy. It shows that endogenous markups resulting from translog preferences imply richer dynamics for international relative prices that have better chances to match the data. Further, countercyclical markups lead to endogenous procyclical movement as well as cross-country correlation of measured TPF. It also shows that in a stylized model endogenous markups may act as a transmission mechanism, leading in particular to positive GDP co-movement across borders as opposed to a benchmark CES model
Thesis (PhD) — Boston College, 2015
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

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41

Saksonovs, Sergejs. "Essays in international macroeconomics." Thesis, University of Cambridge, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.609507.

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42

Watson, Anna Maria. "Essays in international macroeconomics." Thesis, University of Cambridge, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.608047.

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43

de, Ferra Sergio. "Essays in international macroeconomics." Thesis, London School of Economics and Political Science (University of London), 2016. http://etheses.lse.ac.uk/3428/.

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This thesis comprises three chapters. In the first chapter, I analyze three main facts from the recent experience of capital flows in the European monetary union. First, core and periphery countries ran widening current account surplus and deficit positions. Second, core countries intermediated gross capital flows from the rest of the world, which financed deficits in the periphery. Finally, a pervasive sovereign debt crisis took place. I argue that institutional features of the Economic and Monetary Union have contributed to these facts. First, I show in a theoretical model that subsidies on holdings of euro-denominated assets contribute to all three phenomena. Second, I build a dynamic model of an economic union. The model generates predictions for net and gross asset flows that quantitatively replicate the EMU experience. Finally, I propose a novel theoretical mechanism magnifying the severity of a debt crisis in an economic union. In the second chapter, I study the interaction between sovereign default risk, firm-level financial frictions, and fiscal policy. This research is motivated by the severe contraction observed in Italy during the euro area sovereign debt crisis. I show that a sovereign debt crisis causes a reduction of credit to firms, occurring through the channel of domestic fiscal policy. A fiscal tightening in the country in crisis causes a reduction of firms’ profits and an increase in their default risk. Secondly, I show that firms are heterogeneous in the degree to which they are affected by a crisis: Firms in the non-tradable sector are more vulnerable, as demand for their output falls in a crisis. In the third chapter, I study the determinants of time-varying volatility in interest rates on emerging market economies’ external debt. I show that a baseline model of endogenous sovereign default quantitatively replicates the pattern of time-varying volatility observed in the data. The model features a key non-linearity in the policy function for the interest rate on external debt. In the absence of shocks to the second moment of stochastic variables, the model generates a path of interest rates that is more volatile in bad times, when output is low and debt is high.

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44

Kang, Hyunju. "Essays in International Macroeconomics." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1337970528.

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45

Favaretto, Federico. "Essays in International Macroeconomics:." Thesis, Boston College, 2021. http://hdl.handle.net/2345/bc-ir:109208.

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Thesis advisor: Peter Ireland
Thesis advisor: Rosen Valchev
This dissertation consists in three chapters, each making a distinct contribution. Chapter 1 empirically tests classic and new Uncovered Interest Parity puzzle in an innovative way. Findings suggest that government debt is significant and economically relevant for UIP puzzles estimation.Chapter 2 shows that a class of macroeconomic models reproduce the UIP puzzle under a standard parametrization and adding convenience yields exogenous dynamics. Chapter 3 is a theoretical model that links financial crises to the election of populists parties, matching empirical evidence from Europe
Thesis (PhD) — Boston College, 2021
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

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46

Eugeni, Sara. "Essays in international macroeconomics." Thesis, University of York, 2013. http://etheses.whiterose.ac.uk/5342/.

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This thesis is composed of two parts. Part I contains two essays on capital flows and, in particular, on the phenomenon of global imbalances. Part II includes an essay on the determination of exchange rates. In the first part, I provide a framework to analyse the trade imbalances between the United States and East Asian countries. In a two-country OLG model with production, I investigate the relationship between East Asian economies' high propensity to save and global imbalances. It is suggested that the absence of pay-as-you-go pension systems can rationalize the saving behaviour of emerging economies and capital outflows to the United States. The model supports the view that there is a "global saving glut" in the world economy. The analysis implies that the introduction of a pay-as-you-go system in China would have the effect of reducing the imbalances. In Chapter 2, I propose a two-country model to capture output per capita inequalities across countries. My motivation is that global imbalances involve countries at different stages of development. Consistently with empirical evidence, I assume that the East Asian country has a higher capital share in the aggregate production function. The analysis shows that technological differences provide incentives for capital to flow to the developing country. Given that the net foreign assets position of the United States is negative, I conclude that differences in social security systems is the most important basis for trade between the two countries. In the second part, I develop a theory of nominal exchange rate determination. The model under study is a stochastic OLG economy with multiple currencies and goods. Currencies serve as stores of value and are also required to buy the country-specific good. Portfolios and nominal exchange rates can be pinned down at the stochastic steady state. The model makes a first step towards understanding changes in countries' net foreign assets positions as due to both portfolio adjustments and valuation effects driven by fluctuations of nominal exchange rates.

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47

Hughes, Jonathan. "Essays on international macroeconomics." Thesis, University of Kent, 2016. https://kar.kent.ac.uk/57338/.

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Paper 1: We investigate the international distribution of external balances using a world economy model featuring country-specific macroeconomic uncertainty. Incomplete international financial markets and a collateral constraint on borrowing both serve to limit risk-sharing opportunities. In this environment, insurance against uncertainty takes the form of physical capital accumulation and intertemporal trade between countries. The cross-country dispersion of net foreign assets is close to its empirical counterpart. Macroeconomic uncertainty accounts for about one third of the international variation of cross-border asset holdings in the model. Approximations suggest that decreases in financial frictions were an important driver of increases in the international dispersion of external balances observed in the data. Paper 2: I investigate the effect of real exchange rate movements on the international distribution of external balances in a model world economy featuring incomplete markets. Intertemporal trade between nations is the only means of insuring against country-specific uncertainty. By changing the return to delaying consumption, fluctuations in the real exchange rate influence the accumulation of foreign assets. In a plausibly calibrated approximation of the model, the proportion of the cross-country dispersion of net foreign assets, the current account and the trade balance that can be attributed to the effect of real exchange rate movements is 23, 35 and 53 percent respectively. Paper 3: The link between exchange rate flexibility, the international balance sheet and economic recoveries is analysed in this paper through the application of OLS and two-stage least squares estimators to a dataset covering 201 recovery episodes occurring between 1971 and 2007. An instrument representing the history of exchange rate regime choice in the years immediately preceding the recovery is used to identify exogenous variation in exchange rate flexibility for the two-stage least squares procedure. Our results suggest that when external foreign currency denominated debt liabilities are relatively large, a pegged regime is associated with significantly faster real GDP growth than a non-pegged arrangement during a recovery. This finding can be rationalised on the basis that when external foreign currency denominated borrowing becomes sufficiently large, the adverse balance sheet effects associated with higher levels of exchange rate flexibility begin to significantly outweigh the beneficial expenditure switching effects.

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48

Almeida, Rodrigo Bonecini de 1987. "Liberalização, crise e rearranjo macroeconômico da ASEAN-4 e da Coréia do Sul." [s.n.], 2013. http://repositorio.unicamp.br/jspui/handle/REPOSIP/286082.

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Orientador: André Martins Biancareli
Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia
Made available in DSpace on 2018-08-22T23:41:37Z (GMT). No. of bitstreams: 1 Almeida_RodrigoBonecinide_M.pdf: 2336327 bytes, checksum: 77cd380b031cc0c0197b47fbb893310b (MD5) Previous issue date: 2013
Resumo: A partir dos anos 1980 medidas de liberalização da economia foram amplamente disseminadas para os países periféricos, principalmente pelas instituições multilaterais de Bretton Woods. Desde então os países da periferia não adotaram de maneira homogênea este conjunto de reformas econômicas e reorientações de políticas econômicas. Num primeiro momento a dissertação enfatiza como Filipinas, Tailândia, Malásia, Indonésia (Asean-4) e Coréia do Sul seguiram alguns dos preceitos de liberalização econômica, dentre as quais se sobressaíram à abertura das contas financeiras do balanço de pagamentos e a desregulação de diversos mercados domésticos, inclusive o financeiro. Em seguida, aponta-se como a execução destas e de outras medidas tiveram como consequência o surgimento da crise asiática na segunda metade da década de 1990, interrompendo por alguns anos o processo de desenvolvimento dos países afetados. Na década subsequente não ocorreu semelhante episódio. Parte-se da hipótese de que a estes países, para evitarem novas crises e manterem suas economias em trajetórias sustentáveis de desenvolvimento, reviram de forma exitosa suas políticas macroeconômicas no início do século XXI, adequando-as a um contexto de integração produtiva regional na Ásia e de expansão internacional da demanda agregada. Nesse sentido, o objetivo da dissertação é compreender como, neste contexto regional e internacional, a desvalorização do câmbio e sua estabilização por meio de intervenção governamental via acumulação de reservas, taxas de juros cadentes e maior ativação da política fiscal destes países na pós-crise permitiram menor instabilidade em meio a uma trajetória de forte crescimento
Abstract: Liberalization measures were widely spread in the periphery of capitalism throughout the 1980s and 1990s, especially by the World Bank and the IMF. Since then, many countries have adopted those propelled economic reforms and economic policy reorientation. Although with national nuances, the Philippines, Thailand, Malaysia, Indonesia (Asean-4) and South Korea have followed some of the economic liberalization prescriptions. In which stands out the opening of capital accounts of the balance of payments and the deregulation of many domestic markets, including the financial markets. The application of these and other measures have brought, as consequence, the rise of the Asian crisis in the second half of the 1990s, curtailing in some years the economic development of affected countries. The hypothesis sustained is that these countries, in order to avoid new crises and keep their economies in a path of sustainable development, revised their macroeconomic policies in the wake of the XXI century. Thus, the purpose of this dissertation is to understand how post-crisis exchange rate depreciation and stabilization - brought about by government intervention in exchange markets via reserve accumulation -, falling interest rates and active fiscal policy in these countries helped lessen economic instability, without the threat of a crisis like the one started in 1997
Mestrado
Desenvolvimento Econômico
Mestre em Ciências Econômicas

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49

Astorino, Eduardo Sanchez. "The great depression in Brazil." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-01022013-183158/.

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This work aims to explain the performance of the Brazilian economy throughout the period of the Great Depression. We propose a general equilibrium, open economy model in which the Brazilian government can improve the terms of trade by taking advantage of Brazil\'s monopolistic position in international coffee markets. It burns a share of coffee production in order to influence international prices, thus containing the impact of the Great Depression on the domestic economy\'s supply of foreign consumption and investment goods. We find that our coffee burning mechanism is capable of improving the performance of the economy for some of our assumptions about the share of coffee that is destroyed. Our models also fits with different degrees of success the data on international coffee prices.
Este trabalho objetiva explicar a performance da economia brasileira durante o período da Grande Depressão. Nós propomos um modelo de equilíbrio geral com economia aberta no qual o governo brasileiro consegue melhorar os termos de troca ao se aproveitar da posição monopolística do Brasil nos mercados internacionais de café. Ele queima uma parcela da produção de café para influenciar os preços internacionais, assim contendo o impacto da Grande Depressão sobre a oferta de bens de consumo e investimento importados da economia doméstica. Nós descobrimos que o mecanismo de queima do café é capaz de melhorar a performance da economia sob algumas de nossas hipóteses sobre a parcela de café que é destruída. Nossos modelos também se ajustam com diferentes graus de sucesso aos dados sobre os preços internacionais do café.

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50

Mendoza, Waldo. "The Peruvian Miracle: Good luck or good policies?" Economía, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/117224.

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The Peruvian economy has performed extraordinarily over the last 10 years. The 2012 per capita GDP is 66 percent above that of 2002, and more than double its 1992 level. In a long term perspective, the cumulative growth of GDP per capita recorded in the last 10 years has been the strongest since 1900. This is the «Peruvian miracle». This paper aims to find the determinants of the Peruvian miracle. In theory, countries’ macroeconomic performance can be determined by two factors: i) the «good (bad) luck effect» that relates to the international context, which may be favorable or unfavorable, and ii) the «good (bad) policies effects», associated with short-term macroeconomic policies or structural reforms,which are policies that alter the current development model. The hypothesis of this work is that the Peruvian miracle of the last 10 years has much to do with good luck, and, in part, with good short-term macroeconomic policies.
La economía peruana ha tenido un desempeño extraordinario en los últimos diez años. El PBI per cápita de 2012 está un 66% por encima del de 2002 y es más del doble de su nivel de 1992. En una perspectiva de largo plazo, el crecimiento acumulado del PBI per cápita registrado en los últimos diez años ha sido el más vigoroso desde 1900. Este es el «milagro peruano». Este artículo tiene como propósito encontrar los factores determinantes del milagro peruano. En teoría,el desempeño macroeconómico de los países puede estar determinado por dos razones: i) el «efecto buena (mala) suerte» que tiene que ver con el contexto internacional que puede ser favorable o desfavorable; y ii) el efecto «buenas (malas) políticas», asociado a las políticas macroeconómicas de cortoplazo o a las reformas estructurales, que son políticas que alteran el modelo de desarrollo vigente. La hipótesis de este trabajo es que el milagro peruano de los últimos diez años tiene mucho que ver con la buena suerte y, en parte, con las buenas políticas macroeconómicas de corto plazo.

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