This thesis consists of three essays on business cycle fluctuations that are based on the market-clearing dynamic general equilibrium framework. The first two essays examine the ultimate source of economic fluctuations in Thailand and Australia, respectively. The tool of study is the Business Cycle Accounting (BCA) method developed by Chari et al. (2002; 2007a). The third essay investigates the relation between capital-labour substitution and sectoral externalities in self-fulfilling expectation equilibria. It employs a two-sector competitive model proposed by Benhabib and Farmer (1996). The BCA method examines the transmission mechanisms of shocks within an economy. These transmission mechanisms are called wedges which are responsible for the deviation of aggregate variables from a competitive equilibrium. Four categories of wedges are defined in the BCA: 1) the efficiency wedge represents the input-financing frictions in production; 2) the labour wedge is the frictions between consumption leisure trade-off and marginal product of labour; 3) the investment wedge is the frictions between the intertemporal marginal rate of substitution in consumption and the marginal product of capital; and 4) the government consumption wedge indicates the frictions in international borrowing and lending. Chapter 2 applies the BCA method with deterministic wedges to examine the output variations in Thailand between 1971-2003. The efficiency wedge is found to be the most important driving force behind the output variations during episodes of boom and bust in Thailand over the studied period. In particular for the 1997 economic downturn, the evidence shows that the cost of credit intermediation for some firms was relatively high. This altered an acquisition of working capital and labour in these firms when compared to others, which likely caused inefficient reallocation of inputs across the economy. As such, the efficiency wedge appears to fall at aggregate level during the economic downturn. Chapter 3 applies the BCA method with stochastic wedges to examine the variations in output and investment in Australia. Although the efficiency wedge alone can account for these variations, it predicts much more volatility in output than the actual data. Upon allowing for the combination of efficiency and labour wedges, the model can replicate the amplitude of output variations better. The negative cross correlation between these two wedges suggests their interference. Chapter 4 examines the effect of capital-labour substitution on the existence of indeterminacy in two-sector models and check whether the corresponding returns to scale are still empirically plausible. The main finding is that a higher requirement of sectoral externalities for indeterminacy is needed when capital and labour are less substitutable. Intuitively, the low substitutability implies that capital and labour are complementary factors of production. This retards the mobility of factors between the consumption and investment sectors. In the belief driven equilibria, the consumers’ optimistic expectation on returns is fulfilled as long as the rate of returns is sufficiently high such that current consumption is given up for investment. The rate of returns hereby indicates sectoral externalities. In such a production environment, the minimum requirement of externalities for indeterminacy therefore becomes larger so that it can successfully break the tightly coupling factors within sector, and raises the production of investment goods effectively. As a result, the current relative price of investment goods falls. In the next period, consumers enjoy more consumption goods and the relative price of investment good rises. The ascending pricing sequence yields capital gains and the consumers’ belief is finally fulfilled. Based on the logarithmic utility in consumption and the elasticity of substitution of 0.5 as suggested in Klump et al. (2007) and Chirinko (2008), the minimum requirement of returns to scale for indeterminacy is 1.1236, and it still lies within the range in most empirical studies. / Thesis (Ph.D.) -- University of Adelaide, School of Economics, 2009

Univ., Diss.--Louvain-la-Neuve, 2007.

This thesis studies the cyclical aspect of job polarization in Europe. Contributions include offering a comparison to the findings of previous research on the United States, and extending the analysis by introducing labor market institutions. The analysis is done in two parts, first showing that the observed link between job polarization and jobless recoveries in the US is observed in Europe, but not across all countries and business cycles. In Scandinavia, the process of job polarization appears smoother than the spurts observed in the US. The second part involves regression analyses of the relationship between labor market institutions, the business cycle and occupational employment. The results indicate that stricter labor market institutions are less robustly associated with Routine employment than other occupational groups and that Routine employment is more sensitive to the business cycle than other types of employment. Further, rigid labor market institutions may prevent some of the Routine decline associated with economic downturns, while not necessarily affecting the long run employment. Limitations of the analysis regards rough estimates of the key variables, number of observations and the lack of identification associated with cross-country analyses.

Countries participating in a common currency area increase their integration within the area. This paper investigates the impact common currency areas have for economic integration with economies of different characteristic outside the area. Results for a common currency group compares to a sovereign currency group. The common currency group consists of three countries who have adopted the euro, while the sovereign currency group consist of three European countries with sovereign currencies. The level of economic integration is examined towards three different economies; European drivers, global markets and emerging markets. The period ranges from 1993M01 to 2017M09 and includes industrial production indices and stock market indices. Economic integration is studied through a DCC-EGARCH model, on both aggregated and time-dependent level, which yield correlations. In comparison to previous studies, this paper also applies a cross-quantilogram method to examine the impact of different market conditions have on the correlations. Higher correlations for the common currency group than for the sovereign currency group do exist with the European drivers and the global countries. With the emerging markets such pattern is not found, instead low correlations are mainly examined. Besides the correlation with the emerging countries, the results indicate membership in a common currency area, in this case the EMU, to increase the economic integration. Overall, highest levels of correlation are found with the European drivers, followed by the US as a global economy, corresponding with the importance of homogeneity for high economic integration. Due to no conclusive change in correlations during the euro implementation, membership in a common currency area per se does not increase economic integration. However, a common currency area with a strong currency do along with other characteristics influence the economic integration. We find evidence that market regimes have an impact on economic integration. Adverse market conditions overall seem to influence the integration in a higher degree than normal or good conditions. The results indicate that the adverse conditions increase the economic integration, this is in particularly seen for the common currency countries correlation with the European drivers and the US.

abstract: The present essay addresses the epistemic difficulties involved in achieving consensus with respect to the Hayek-Keynes debate. In particular, it is argued that the debate cannot be settled on the basis of the observable evidence; or, more precisely, that the empirical implications of the theories of Hayek and Keynes are such that, regardless of what is observed, both of the theories can be interpreted as true, or at least, not falsified. Regardless of the evidence, both Hayek and Keynes can be interpreted as right. The underdetermination of theories by evidence is an old and ubiquitous problem in science. The present essay makes explicit the respects in which the empirical evidence underdetermines the choice between the theories of Hayek and Keynes. In particular, it is argued both that there are convenient responses one can offer that protect each theory from what appears to be threatening evidence (i.e., that the choice between the two theories is underdetermined in the holist sense) and that, for particular kinds of evidence, the two theories are empirically equivalent (i.e., with respect to certain kinds of evidence, the choice between the two theories is underdetermined in the contrastive sense). / Dissertation/Thesis / Ph.D. Philosophy 2012

Este trabalho tem por objetivo verificar se a política fiscal brasileira influencia a política monetária por meio do impacto nas variações do hiato do produto. Dentro desse contexto, será avaliado qual foi o comportamento cíclico da política fiscal no ciclo de negócios. Para isto, será usado a metodologia da OCDE de decomposição do saldo orçamentário no saldo ciclicamente ajustado (política discricionária) e no saldo cíclico (estabilizadores fiscais). A metodologia requer a estimação de elasticidades para identificar a parte cíclica do saldo orçamentário do governo. Essa tarefa será realizada por um importante programa de seleção automática de modelos chamado Autometrics. Os resultados encontrados indicam que a política fiscal não tem atuado de maneira contra-cíclica após o estabelecimento do regime de metas de inflação. O que para o lado monetário é desfavorável, uma vez que aumenta o peso relativo do instrumento monetário (taxa de juros) quando o Banco Central objetiva reduzir as variações do hiato do produto. / The objective of this work is to verify if the Brazilian fiscal policy influences the monetary policy through output gap variation impacts. In this context, an evaluation of the behavior of the fiscal policy in the business cycle is done. In order to it, the OCDE methodology will be used to decompose the budget balance in the cyclically-adjusted budget balance (discretionary policy) and cyclically budget balance (automatic stabilizers). The methodology requires the estimation of elasticities to identify the cyclical part of the government budget balance. This task will be done by using an important program of automatic model selection named Autometrics. The founded results indicated that the fiscal policy has not been working in a countercyclical form after the establishment of inflation target. This result is unfavorable for the monetary side because it increases the relative weight of the monetary tool (interest rate) when the Central Bank objective is to reduce the variation of output gap.

The objective of master thesis is the examination of Swedish, Swiss and Polish business cycle in four key areas consisting of internal and external macroeconomic equilibrium, cyclical development indicators and financial stability during 2000-2015 period and analysis of fiscal and monetary policy with respect to anti-crisis measures. The pivotal hypothesis is that Sweden, Switzerland and Poland have managed to deal with Great Recession relatively better than other advanced economies. Theoretical section characterises chosen countries, explains fundamental terms and sets the research framework. The empirical part monitors business cycle by chosen indicators within internal and external equilibrium, cyclical development and financial stability, subsequently evaluates situation before the crisis outbreak and examines anti-crisis measures that have been taken. Empirical section is closed by SWOT which evaluates economic development during 2009-2015 period and serves as tool for main hypothesis verification.

There exists an extensive literature related to creditor protection and its relation to the financial market, but few if any studies try to asses its net impact on the stability of the economy. In this paper we investigate the effects of creditor protection on the business cycle, and the economy during times of financial distress. More precisely we investigate how creditor protection is related to the recovery from financial crises, and how it affects growth volatility. We find support for our hypothesis that creditor protection is positively related to business cycle volatility and that this effect might work through a destabilising of the credit market.

We analyse the dynamics of the standard deviation of demand and supply shocks as well as of the demand component of GDP across countries in the European Monetary Union (EMU). This analysis allows us to evaluate the patterns of cyclical comovement in EMU and compare them the cyclical performance of the new members of the EU and other OECD countries. We make use of sigma-convergence methods to identify synchronization patterns in business cycles. The Eurozone has converged to a stable lower level of dispersion across business cycles during the end of the 80s and the beginning of the 90s. The new EU members have also experienced a strong pattern of convergence from 1998 to 2005, when a strong divergence trend appears. An enlargement of the EMU to 22 members would not significantly decrease its optimality as a currency area. There is evidence for some Europe-specific characteristics as compared to global comovements in business cycles. (authors' abstract)

1 Abstract This master thesis examines linkages among bond and stock markets in Ger- many, Austria and Italy. For the purpose of analysis of return spillovers, we use Spillover index framework which enables us to describe development of inter- market linkages over time. The data used in the study includes the period from January 2nd, 1998 to May 23rd, 2017 which allows us to estimate long- term development of spillovers among markets. We find unequal link between stocks and bonds and increase in co-integration of markets during the financial crisis of 2007-2008 with significant persistence after the crisis. Mechanism of transmission of financial shocks among European countries is affected by eco- nomic and political integration of countries. We identify strong interlinkages of markets with substantial influence of Italian assets in transmitting shocks to German and Austrian assets, especially during periods of economic distress. On the other hand, Germany represents an open economy that is increasingly integrated to other markets. Scale of return spillovers is highly dependent on economic situation which is evident from clustering of high spillovers during recessions and a great deal of persistence of these interdependencies. JEL Classification G01, G12, G15, C63, C67 Keywords return spillovers, asset...