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.

We present a two-country New Open Economy Macro model of the Austrian economy within the European Union's Economic & Monetary Union (EMU). The model includes both nominal and real frictions that have proven to be important in matching business cycle facts, and that allows for an investigation of the effects and cross-country transmission of a number of structural shocks: shocks to technologies, shocks to preferences, cost-push type shocks and policy shocks. The model is estimated using Bayesian methods on quarterly data covering the period of 1976:Q1- 2005:Q1. In addition to the assessment of the relative importance of various shocks, the model also allows to investigate effects of the monetary regime switch with the final stage of the EMU and investigates in how far this has altered macroeconomic transmission. We find that Austria's economy appears to react stronger to demand shocks, while in the rest of the Euro Area supply shocks have a stronger impact. Comparing the estimations on pre-EMU and EMU subsamples we find that the contribution of (rest of the) Euro Area shocks to Austria's business cycle fluctuations has increased significantly. (author´s abstract) / Series: EI Working Papers / Europainstitut

in English In my diploma thesis I propose a dynamic stochastic general equilibrium model to describe economic inequality. The model combines two approaches that were traditionally used to model inequality - first, it features two classes of agents that differ in their ownership of capital and second, each class consists of heterogeneous agents who are subject to uninsurable idiosyncratic shocks. This combination allows the two classes to behave in a fundamentally different way while maintaining the individual character of agents in the economy - a feature that has not been modeled before but which adequately describes the empirical reality. I show that the model with classical RBC structure and a single wage underestimates the observed inequality. When the wage differential is introduced through different taxation of the two classes, the model matches empirical inequality much better. Further I argue that the government can significantly reduce inequality at a relatively small cost in terms of output lost. Finally using Theil coefficient decomposition, I show how much of the total inequality is attributable to between-class and within-class inequalities.

Gli studi sulla politica monetaria e fiscale suggeriscono che l'economia sommersa o informale è un potente cuscinetto in grado di assorbire i canali di trasmissione delle politiche macroeconomiche. In questo lavoro, sviluppiamo un modello DSGE con economia sommersa al fine di analizzarne l’impatto sui canali di trasmissione delle politiche monetarie e fiscali nei paesi emergenti e in via di sviluppo. La tesi è organizzata in tre capitoli. Il primo capitolo cerca di esaminare gli effetti di trasmissione e l'efficacia della politica monetaria e di altri shock strutturali attraverso l’interazione con l’economia sommersa. Il nostro modello determina se la presenza di un'economia sommersa influisce sulle risposte dell'economia ufficiale e chiarisce anche i cambiamenti nel meccanismo di trasmissione all'interno di entrambi i settori. Il secondo capitolo descrive un nuovo modello DSGE keynesiano con economia sommersa e analizza il ruolo delle politiche fiscali sul ciclo economico aggregato. In questo capitolo, abbiamo cercato di chiarire se la presenza di un'economia sommersa riduca o incrementi l'effetto delle trasmissioni di politica fiscale. Abbiamo anche cercato di capire se le politiche fiscali possono essere utilizzate per stabilizzare l'economia in risposta agli shock. Nel terzo capitolo, studiamo l'interazione tra i consumatori e la presenza di un'economia sommersa focalizzandoci sugli shock della politica fiscale. L‘obiettivo è sapere se l'introduzione di un'economia sommersa indebolisca l'effetto amplificativo dei consumatori sul moltiplicatore fiscale. / Theoretical literature on monetary and fiscal policy have suggested that shadow economy or the informal sector is a powerful buffer which absorbs large proportions of the transmission channels of macroeconomic policies. We develop a theoretical DSGE model with shadow economy and investigate their impact on the transmissions of monetary and fiscal policies in developing and emerging countries. The thesis is organised in three chapters as follows. Chapter one seeks to examine the transmission effects and efficacy of monetary policy and other structural shocks with the interaction of shadow economy. Our model determines whether the presence of shadow economy affects the responses of the official economy and also clarifies the changes in the transmission mechanism within both sectors. The second chapter describes a new Keynesian DSGE model with shadow economy and investigate the role of fiscal policies over the aggregate business cycle. In this chapter, we sought to elucidate whether the presence of shadow economy dampens or amplifies the effect of fiscal policy transmissions. We further tried to understand whether fiscal policies can be used to stabilise the economy in response to shocks. In chapter three, we study the interplay of rule-of-thumb consumers and the presence of shadow economy focusing on fiscal policy disturbances. Our basic motivation is to know whether the incorporation of shadow economy weakens the amplifying effect of rule-of-thumb consumers on fiscal multipliers.

[pt] Os modelos Dinâmicos Estocásticos de Equilíbrio Geral (DSGE) contêm falhas diversas, como ficou claro após a crise financeira de 2007- 2008. Esforços para mitigar as deficiências têm sido insuficientes: até hoje, ainda há uma demanda por construir uma nova estrutura para estudar as implicações de política econômica e tomar decisões. Propomos uma nova estratégia para resolver o problema do banco central, na tentativa de prover uma ferramenta auxiliar para os bancos centrais, cujos principais modelos ainda pertencem à família dos DSGEs. Derivamos uma função objetivo a partir de três relações empíricas estabelecidas há muito tempo na literatura econômica: a Lei de Okun, a Curva de Phillips e os efeitos de liquidez. Usando dados do Brasil, procuramos minimizar o valor dessa função, escolhendo a taxa de juros através de um algoritmo genético. Como a função é prospectiva, usamos uma rede neural para prever valores de desemprego e inflação. Os resultados sugerem que, se o banco central brasileiro houvesse aplicado nossa estratégia e todas as outras condições econômicas continuassem iguais, a inflação poderia ter sido mais baixa 62,48 por cento do tempo. O desemprego previsto, contudo, foi mais baixo apenas 39,69 por cento dos períodos cobertos, pois enfrenta um trade-off com a inflação. Discutimos a aplicabilidade da estratégia proposta e defendemos sua solidez teórica. / [en] Dynamic Stochastic General Equilibrium (DSGE) models are flawed, as became clear after the 2007-2008 financial crisis. Efforts to subdue the shortcomings have been insufficient: to this date, there is still a demand for building a new framework to study policy implications and make decisions. We propose a novel monetary policy strategy, in an attempt to provide an auxiliary tool to central banks, whose main predictive models are still from the DSGE family.We derive an objective function from three empirical relationships that have long been established in economic literature: Okun s Law, the Phillips Curve, and liquidity effects. Using data from Brazil, we seek to minimise the value of this function by choosing the interest rate via a genetic algorithm. Since the function is forward looking, we use a neural network to predict values of unemployment and inflation. Results suggest that had the Brazilian central bank applied our strategy, and all other economic conditions remained identical, inflation could have been lower for 62.48 percent of the time. Predicted unemployment, however, was lower only for 39.69 percent of covered periods, as it faces a trade-off with inflation. We discuss the applicability of the proposed strategy and argue for its theoretical soundness.

1. Può un Modello DSGE spiegare una disinflazione costosa? Questo lavoro mostra che un modello DSGE non è in grado di spiegare una disinflazione costosa con indicizzazione parziale e bassa dei prezzi e dei salari. Il modello invece è in grado di replicare una disinflazione recessiva sostituendo il meccanismo di modellizazione delle rigidità nominali di Calvo (1983) con quello di Rotemberg (1982). 2. Disinflazione e Diseguaglianza in un Modello Monetario DSGE: Un’Analisi di Welfare Questo lavoro analizza gli effetti redistributivi di una politica disinflazionistica in un modello DSGE con Partecipazione Limitata ai Mercati degli Assets. Due sono i meccanismi che guidano a distribuzione del consumo e del reddito: il markup delle imprese e il cosiddetto vincolo cash in advance. I risultati suggeriscono che la disinflazione aumenta inequivocabilmente la diseguaglianza con il meccanismo di Rotemberg. Invece con il meccanismo di Calvo questo effetto viene ottenuto soltanto se le imprese non sono costrette ad indebitarsi per finanziare il fattore lavoro. 3. Consolidamento Fiscale e Consumatori Rule of Thumb Questo lavoro simula un esperimento di consolidamento fiscale in un modello DSGE con partecipazione limitata ai mercati degli assets. I risultati mostrano che durante un processo di consolidamento fiscale riduzioni temporanee delle tasse o aumenti temporanei di transfers consentono sia di ridurre il debito che stimolare il consumo. / 1. Can a DSGE Model Explain a Costly Disinflation? This paper shows that a medium scale DSGE model fails to explain a costly disinflation with low and partial indexation of prices and wages. Alternatively to Calvo (1982) price setting, with the Rotemberg (1982) framework the model can replicate a recessionary disinflation for any indexation degree. 2. Disinflation and Inequality in a DSGE Monetary Model: A Welfare Analysis This paper investigates the redistributive effects of a disinflation experiment in a standard DSGE model with Limited Asset Market Participation. There are two key mechanisms driving consumption and income distribution: firms’ markup and the cash in advance channel. Results show that disinflation unambiguously increases inequality under Rotemberg. Under Calvo this effect only obtains if the cash in advance doesn’t bind firms ability to finance their working capital. 3. Fiscal Consolidation and Rule of Thumb Consumers: Gain With or Without Pain? This paper simulates a fiscal consolidation in a medium scale DSGE model augmented with Limited Asset Market Participation. Results show that during the consolidation process temporary tax reductions or temporary transfer increases allow to both reduce public debt and boost consumption. A countercyclical monetary policy is an effective complement to fiscal policy as stabilization tool.