Avec le retour des cycles financiers et la crise des subprimes, la littérature a remis en avant l’influence macroéconomique des facteurs financiers. A partir du marché du crédit, elle s’est essentiellement développée avec la théorie de l’accélérateur financier (Bernanke et Gertler [1989], Bernanke, Gertler et Gilchrist [1999]) fondée sur l’hypothèse d’asymétrie d’information. Cette thèse se propose de compléter cette littérature en considérant le cas dans lequel l’offre de crédit s’exprime en situation d’incertitude radicale et de revenir sur cette théorie en proposant, à partir de certaines de ses limites, un autre mécanisme d’accélération financière qui soit de nature plus macroéconomique. Ce mécanisme permet alors d’améliorer la compréhension du rôle du marché du crédit dans l’explication des fluctuations économiques et de réinterpréter les recommandations de politique économique. / With the renewal of financial cycles and the subprime crisis, literature had focused on the macroeconomic influence of the financial factors. From the credit market, it mainly developed along the theory of financial accelerator (Bernanke and Gertler [1989], Bernanke, Gertler and Gilchrist [1999]) which is based on the hypothesis of asymmetric information. This thesis gives aim to complete this literature by considering that credit supply must be also considered in radical uncertainty and to return on it by proposing, from some of its own limits, another mechanism of financial accelerator which can be viewed as more macroeconomic. So, it leads us to improve our understanding of the credit market in the explanation of macroeconomic fluctuations and to reconsider economic policy related.

Thesis advisor: Susanto Basu / Thesis advisor: Peter Ireland / This dissertation consists of three independent chapters analyzing the role that information and credit frictions play in goods and financial markets. Within these chapters, I develop dynamic stochastic general equilibrium (DSGE) models to study the implications of these frictions on the macroeconomy, both at the national and international level. In the first chapter, I provide a novel explanation for the observed large and persistent fluctuations in real exchange rates using a model with noisy, dispersed information among price-setting firms. Chapter two studies how entrepreneurs' attitudes towards risk affect business cycles in a framework with agency frictions between borrowers and lenders. Finally, chapter three introduces a liquidity channel in a business cycle model with agency frictions to rationalize the highly volatile behavior of default recovery rates observed in the data. Real exchange rates have been extremely volatile and persistent since the end of the Bretton Woods system. For many developed economies, real exchange rates are as volatile as nominal exchange rates, and their fluctuations exhibit a half-life in the range of three to five years. Traditional sticky-price models struggle to jointly account for these features under plausible nominal rigidities (Chari, Kehoe, and McGrattan, 2002). Is it possible to reconcile, in a single framework, the enormous short-term volatility of the real exchange rate with its extremely long half-life? The first chapter of this dissertation addresses this question within a framework in which information is noisy and heterogeneous among price-setting firms. In this context, the continuing uncertainty that firms face about the state of the economy and about the beliefs of their competitors, slows down the price adjustment in response to nominal shocks, generating large and long-lived real exchange rate movements. I estimate the model using real output and output deflator data from the US and the Euro Area and show, as an out-of-sample test, that the model successfully explains the observed volatility and persistence of the Euro/Dollar real exchange rate. In a Bayesian model comparison, I show that the data strongly favor the dispersed information model relative to a sticky-price model à la Calvo. The model also accounts for the persistent effects of monetary shocks on the real exchange rate that I document using a structural vector autoregression. The second chapter, joint with Mikhail Dmitriev, studies how entrepreneurs' attitudes towards risk affect business cycles in a model with agency frictions. Entrepreneurs are inevitably exposed to non-diversified risk, which likely affects their willingness to borrow and to invest in risky projects. Nevertheless, the financial friction literature has paid little attention to how entrepreneurs' desire to take on this risk affects their investment choices in a general-equilibrium setting. Indeed, business cycle models with credit market frictions that feature idiosyncratic risk assume, for tractability, that entrepreneurs are risk neutral (Bernanke, Gertler, and Gilchrist, 1999, BGG). In this chapter, we generalize the BGG framework to the case of entrepreneurs with constant-relative-risk-aversion preferences. In doing so, we overcome the aggregation challenges of this setup and maintain an analytically tractable, log-linear framework. Our main result is that higher risk aversion stabilizes business cycle fluctuations in response to financial shocks, such as wealth redistribution or risk shocks, without significantly affecting the dynamic responses to technology and monetary shocks. Our findings suggest that, within this class of models, the ability of financial shocks to account for a large portion of short-run output fluctuations found in previous work (e.g., Christiano, Motto, and Rostagno (2014)) crucially hinges on borrowers' risk neutrality. The third chapter, joint with Mikhail Dmitriev, examines the implications of the cyclical properties of default recovery rates for aggregate fluctuations. We document that recovery rates after default in the United States are highly volatile and strongly pro-cyclical. These facts are hard to reconcile with the existing financial friction literature. Indeed, models with limited enforceability à la Kiyotaki and Moore (1997) do not feature defaults and recovery rates in equilibrium, while agency costs models following Bernanke, Gertler, and Gilchrist (1999) underestimate the volatility of recovery rates by one order of magnitude. In this chapter, we extend the standard agency costs model allowing liquidation costs for creditors to depend on the tightness of the market for physical capital. Creditors do not have expertise in selling entrepreneurial assets, but when buyers are plentiful, this disadvantage is minimal. Instead when sellers are abundant, the disadvantage of being an outsider is higher. Following a negative shock, entrepreneurs sell capital and liquidation costs for creditors increase, driving down recovery rates. With higher liquidation costs, creditors cut lending and cause entrepreneurs to sell even more capital. This liquidity channel works independently from standard balance sheet effects, and amplifies the impact of financial shocks on output by up to 50 percent. / Thesis (PhD) — Boston College, 2016. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

In this dissertation I incorporate high dimensional data vectors in estimated Dynamic Stochastic General Equilibrium (DSGE) models, evaluating the labor market dynamics incorporated inside such data vectors, out-of-sample forecasting performance of many models estimated with such data vectors and analytically examining the reduction of macroeconomic volatility that can occur when such data vectors are used in the formation of expectations about the future. The second chapter investigates the extent to which modern DSGE models can produce labor market dynamics in response to a financial crisis that are consistent with the experience of the Great Recession. I estimate two New-Keynesian models, one with and one without financial frictions, in a data-rich environment. I find that negative financial shocks are associated with longer recoveries in real investment, capital-intensive sectors of the labor market and average unemployment duration. I also find the model with a financial accelerator is equipped with better tools to identify the dynamics associated with the Great Recession and its recovery in regard to many labor and financial metrics. The third chapter compares the out-of-sample forecasting performance of the two DSGE models of Chapter II when they are estimated both out of and in a data-rich environment. This chapter finds that many financial time series variance decomposition are significantly better explained using the structural set-up of the New-Keynesian model with financial frictions. DSGE models estimated with high dimensional data vectors significantly out forecast their regularly estimated counterpart in regard to output, investment and consumption growth. Lastly, the use of real-time optimal pool model weighting significantly out-forecasts traditional macroeconomic models as well as an equally weighted weighting scheme in terms of many macroeconomic variables. The fourth chapter examines the role forecasts derived by high dimensional data vectors can have on lowering macroeconomic volatility. Bounded rational agents are introduced into the Chapter II DSGE model with financial frictions and are given the option to use or ignore professionally generated forecasts from a dynamic factor model in their perceived forecasting model. In simulations, I find that professionally generated forecasts can significantly lower the volatility of many macroeconomic variables including inflation and hours worked.

We examine net lending/net borrowing and the underlying debt dynamics at the sectoral level in the European Union. Saving and investment patterns indicate that there have been considerable deleveraging efforts since the start of the global financial crisis, particularly in the nonfinancial corporate and household sectors. In many EU countries, however, this decline in credit transactions has not yet led to a significant reduction of sectoral debt-to-GDP ratios. Subdued output growth and low or even negative inflation rates have undermined the deleveraging process and increased real debt burdens in a number of European economies. Since these are often the countries that had experienced strong credit booms prior to the crisis, rebalancing needs are likely to persist and may be a significant drag on the recovery in the near future. Furthermore, most of the ongoing rebalancing - both in terms of debt levels and current account deficits - is based on a sharp decline in investment rather than an increase in saving, which might lead to lower potential growth in the future. Recent developments may even jeopardize the catching-up process of peripheral euro area countries and non-euro area EU Member States in Central, Eastern and Southeastern Europe.

[pt] Os ensaios que compõem a presente tese investigam, no contexto de modelos monetários de equilíbrio geral nos moldes novo- keynesianos, algumas questões de interesse relativas condução da política monetária e às características das flutuações macroeconômicas. O primeiro ensaio analisa as propriedades das políticas ótimas de desinflação, buscando determinar as condições sob as quais: (i) a trajetória ótima de desinflação envolve perdas substanciais de produto; (ii) uma estratégia de desinflação rápida é preferível a uma desinflação gradual. De acordo com os resultados obtidos, a existência de diferentes graus de fricções monetárias e de inércia no produto e na inflação permite justificar diferentes trajetórias ótimas de desinflação, algumas envolvendo queda rápida e indolor da inflação, outras associadas a lenta redução das taxas inflacionárias acompanhada de forte recessão. No segundo ensaio, investiga-se a relação entre as imperfeições no mercado de crédito e o grau de amplificação de choques na economia associado ao chamado acelerador financeiro. A partir de simulações de um modelo teórico que incorpora dois tipos de fricções no mercado de crédito, conclui-se que a potência do acelerador financeiro na amplificação de choques monetários pode aumentar ou diminuir com as fricções do mercado de crédito, dependendo do nível inicial e do tipo de imperfeição considerada. O último ensaio investiga empiricamente a relação entre imperfeições no mercado de crédito, amplificação de choques e volatilidade macroeconômica a partir de um painel de dados sócio-econômicos para 62 países. De acordo com os resultados obtidos, que são consistentes com o modelo desenvolvido no segundo ensaio, a volatilidade macroeconômica varia de forma não- monotonica com o viés anticredor do sistema jírídico- legal, mas parece aumentar com os custos de cumprimento de contratos / [en] This thesis consists of three essays on economic fluctuations and monetary policy issues, which are investigated within New- Keynesian monetary general equilibrium models. The first essay analyzes the properties of optimal disinflation policies, seeking to identify conditions under which: (i) the optimal disinflationary path involves significant output losses; (ii) a rapid disinflation is preferable to a gradual one. According to our results, different degrees of monetary frictions and inertia in output or inflation may lead to different optimal disinflationary policies - some of which will be quick and painless, while others will proceed slowly and generate deep recessions. The second essay investigates the relationship between credit market imperfections and the degree of shock amplification arising from the so-called financial accelerator, by simulating a macroeconomic model with two types of financial frictions. According to our results, the power of the financial accelerator may either increase or decrease with financial frictions, depending on the source and initial level of such frictions. The third essay provides an empirical investigation of the relationship between credit market imperfections, shock amplification and macroeconomic volatility, based on socioeconomic data from a panel of 62 countries. According to our results, which are consistent with the theoretical model developed in the second essay, macroeconomic volatility seems to increase with contract enforcement costs, but varies non-monotonically with the degree of anti-creditor bias in the judicial and legal system

Submitted by Marcelo Fonseca (marcelo.economista@hotmail.com) on 2014-05-19T19:10:06Z No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3704297 bytes, checksum: 3b1fcaf85bbcf74f3843e7c2c0d1cad9 (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Boa tarde Marcelo, conforme conversamos ao telefone. Att. Suzi 3799-7876 on 2014-05-19T19:47:10Z (GMT) / Submitted by Marcelo Fonseca (marcelo.economista@hotmail.com) on 2014-05-19T21:20:48Z No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3702737 bytes, checksum: 106ac090d0a4805c2b0d31d85182e2eb (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-05-20T11:36:27Z (GMT) No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3702737 bytes, checksum: 106ac090d0a4805c2b0d31d85182e2eb (MD5) / Made available in DSpace on 2014-05-20T11:38:51Z (GMT). No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3702737 bytes, checksum: 106ac090d0a4805c2b0d31d85182e2eb (MD5) Previous issue date: 2014-05-06 / O estouro da crise do subprime em 2008 nos EUA e da crise soberana europeia em 2010 renovou o interesse acadêmico no papel desempenhado pela atividade creditícia nos ciclos econômicos. O propósito desse trabalho é apresentar evidências empíricas acerca do canal do crédito da política monetária para o caso brasileiro, usando técnicas econométricas distintas. O trabalho é composto por três artigos. O primeiro apresenta uma revisão da literatura de fricções financeiras, com especial ênfase nas suas implicações sobre a condução da política monetária. Destaca-se o amplo conjunto de medidas não convencionais utilizadas pelos bancos centrais de países emergentes e desenvolvidos em resposta à interrupção da intermediação financeira. Um capítulo em particular é dedicado aos desafios enfrentados pelos bancos centrais emergentes para a condução da política monetária em um ambiente de mercado de capitais altamente integrados. O segundo artigo apresenta uma investigação empírica acerca das implicações do canal do crédito, sob a lente de um modelo FAVAR estrutural (SFAVAR). O termo estrutural decorre da estratégia de estimação adotada, a qual possibilita associar uma clara interpretação econômica aos fatores estimados. Os resultados mostram que choques nas proxies para o prêmio de financiamento externo e o volume de crédito produzem flutuações amplas e persistentes na inflação e atividade econômica, respondendo por mais de 30% da decomposição de variância desta no horizonte de três anos. Simulações contrafactuais demonstram que o canal do crédito amplificou a contração econômica no Brasil durante a fase aguda da crise financeira global no último trimestre de 2008, produzindo posteriormente um impulso relevante na recuperação que se seguiu. O terceiro artigo apresenta estimação Bayesiana de um modelo DSGE novo-keynesiano que incorpora o mecanismo de acelerador financeiro desenvolvido por Bernanke, Gertler e Gilchrist (1999). Os resultados apresentam evidências em linha com aquelas obtidas no artigo anterior: inovações no prêmio de financiamento externo – representado pelos spreads de crédito – produzem efeitos relevantes sobre a dinâmica da demanda agregada e inflação. Adicionalmente, verifica-se que choques de política monetária são amplificados pelo acelerador financeiro. Palavras-chave: Macroeconomia, Política Monetária, Canal do Crédito, Acelerador Financeiro, FAVAR, DSGE, Econometria Bayesiana

La crise financière de 2009 a ravivé le débat entre les classiques et les keynésiens concernant le rôle de la finance dans le cycle d’affaire. Cette thèse étudie les conséquences macroéconomiques des imperfections du marché de crédit ainsi que quantifie leur impact sur le marché de travail. L’interaction entre chômage et frictions financière passe par l’hypothèse que les postes vacants sont financés par des fonds externes qui sont plus couteux qu’un financement interne, de par de l’impact de l’asymétrie d’information sur le marché du crédit. Il est alors montré, à l’aide de simulation d’un modèle DSGE calibré sur données US., qu’un choc financier négatif, i.e. un choc qui augmente la prime de risque sur le marché du crédit ou un choc qui détériore le bilan des entrepreneurs, réduit de manière significative les capacités d’emprunt, et, par conséquent, la création d’emplois diminue spécialement. En outre, un choc d'incertitude engendre une augmentation du taux de chômage et rend cette augmentation plus persistante en période de crise. Ce résultat est confirmé par une évidence empirique qui consistait à estimer un modèle VAR bayésien, où des variables de marché de travail réelles et financières. / The crisis of 2009 raised the question whether the financial conditions matter for the business cycles and the propagation of shocks originating in the financial sphere. I tried to drive a fine analysis of this issue using micro-founded general equilibrium models. The modelling choice was backed by empirical motivations. In three essays, i study the impact of monetary and financial shocks on growth and labour market dynamics. First, an expansionary monetary policy eases credit conditions, raises risk tolerance and the quality of borrowers and generates a liquidity effect. The potency of the monetary policy and the size of the credit channel depend considerably on the degree of financial frictions in the credit market. Second, a restrictive monetary policy shock, an positive credit shock and a positive uncertainty shocks have similar effects on the economy: they plunge the economy in a recession, with output, job creations, and hours worked decreasing, while unemployment and job destructions increase. In all cases the interest rate spread increase, therefore indicating that financial conditions deteriorate, which is interpreted as a sign that financial frictions play a critical role in the propagation of these shocks. Third, the interaction between financial and labour market frictions does exist. The interplay between the two indeed plays a role in propagating the shocks. A shock to net worth, a credit shock and an uncertainty shock play a non-trivial role for the dynamics on the labour market.

本文主要研究日本央行實施緊縮性貨幣政策時，日本銀行業貸款組合變動與對實質經濟影響之關係，透過比較貨幣性衝擊、單純產出衰退及總和需求衰退對於銀行貸款組合的影響，以分析銀行在貨幣政策所發揮的功能。經VAR模型實證結果顯示，日本國內貨幣緊縮會使短期實質產出衰退、價格上升；銀行對於家計部門消費信用以及購屋貸款的放款減少、對企業的放款則增加。進一步檢驗不同規模企業貸款發現，銀行對大型企業的放款較為寬鬆，而對於中小企業的放款增幅較不明顯。另一方面，考慮信用標準擴散指數的VAR模型分析發現，日本國內的貨幣緊縮政策使銀行對於家計單位信用標準趨於嚴格的程度最大，再來依序為中型企業、小型企業及大型企業。這些實證結果支持銀行信用管道的存在，也說明銀行在貨幣傳遞機制中扮演重要的角色。 / The paper mainly studies the relationship between the change of Japanese bank loan portfolios and its substantial effect on economy during implementation of monetary tightening policy by Japan authority. Through comparison of monetary impacts, as well as the effects of the downturns in both output and real demand on bank loan portfolios, with the downturns are generated in a way that they produce the same dynamic real output and final demand path as that from a monetary downturn. The empirical results of VAR model reveal that the domestic monetary tightening in Japan would cause decrease in short-term real output and price level rise. General banks offer less consumption credits and house loans for households, but turn to increase loans for enterprises. When further examining the loans for enterprises of different scales, the paper finds that the banks take a looser attitude in offering loans to large-scale enterprises than to small and medium enterprises (SMEs), whose loans seem to have insignificant increase. On the other hand, after analysis of VAR model that considers the credit standard diffusion index, it is found that because of the domestic monetary tightening policy of Japan, the banks’ practices in their offer of credits appear to be strictest to households, and then less strict to SMEs and large enterprises. These facts prove the existence of credit channels of banks, and show the important roles that banks take in monetary transmission mechanism.

How do financial variables, such as firms’ cash flow and banks’ capital, affect macroeconomic variables, such as investment and GDP growth? What are the macroeconomic effects of exchange rate depreciation in countries where firms and households have extensive foreign-currency liabilities? The doctoral thesis Empirical Essays on Macro-Financial Linkages consists of four separate papers in the field of empirical macroeconomics. The first three papers investigate the macroeconomic implications of financial-market imperfections. Imperfect information between borrowers and lenders makes it more costly for firms to finance investments with external funds than with internal funds. The external finance risk premium depends on the strength of firm balance sheets, which hence affects firm investment. The first paper, The Effect of Cash Flow on Investment: An Empirical Test of the Balance Sheet Channel, examines the importance of financial constraints for investment using a large Swedish firm-level data set which includes many smaller firms (where balance sheet effects are likely to be especially important). I find a positive effect of cash flow on investment, controlling for fundamental determinants of investment and any information in cash flow about investment opportunities. As predicted by the balance sheet channel, the estimated effect of cash flow on investment is especially large for firms which, a priori, are more likely to be financially constrained (low-dividend, small and non-group firms). Moreover, the investment-cash flow sensitivity is significantly larger and more persistent during the first half of the sample period, which includes a severe banking crisis and recession. The second paper, Credit Matters: Empirical Evidence on U.S. Macro-Financial Linkages, written jointly with Tamim Bayoumi, estimates the impact of an adverse shock to bank capital on credit availability and spending in the United States, allowing for feedback from spending and income through the balance sheets of banks, firms and households. We find that an exogenous fall in the bank capital/asset ratio by one percentage point reduces real GDP by some 1 ½ percent through its effects on credit availability, while an exogenous fall in demand of 1 percent of GDP is gradually magnified to around 2 percent through financial feedback effects. The third paper, The Effects of Real Exchange Rate Shocks in an Economy with Extreme Liability Dollarization, studies the effects of real exchange rate depreciation in Bolivia, where over 95 percent of bank credit is denominated in dollars. Currency depreciation increases the domestic-currency value of foreign-currency liabilities and the debt service burden, thus adversely affecting firm balance sheets. A key issue for policymakers in countries with widespread foreign-currency borrowing is whether depreciation would have the standard, expansionary effect on output, or if an adverse balance sheet would dominate. I find that real exchange depreciation has negligible effects on output, since a contractionary balance-sheet effect on investment is counteracted by the standard expansionary effect on net exports. The fourth paper, Uncovered Interest Parity in a Partially Dollarized Developing Country: Does UIP Hold in Bolivia? (And If Not, Why Not?), studies another aspect of macro-financial linkages. The so-called uncovered interest parity (UIP) condition states that interest rate differentials compensate for expected exchange rate changes, equalizing the expected returns from holding assets which only differ in terms of currency denomination. Because of data availability problems, there is a lack of empirical tests of UIP for developing countries. The paper studies the case of Bolivia, where there are bank accounts which only differ in terms of currency denomination (bolivianos or U.S. dollars). I find that UIP does not hold in Bolivia, but that the deviations are smaller than in most other studies of developed and emerging economies. / Diss. Stockholm : Handelshögskolan, 2009 Sammanfattning jämte 4 uppsatser

Les imperfections des marchés financiers et l'incomplétude des contrats financiers compliquent la conclusion d'ententes entre les firmes et les parties prenantes. Plusieurs solutions sont proposées pour réduire ces problèmes et faciliter la conclusion des contrats financiers. Les contrats étant enveloppés par un cadre institutionnel, ils en sont imprégnés et affectés. Les institutions sont donc une des solutions aux imperfections des marchés et à l'incomplétude des contrats. Les résultats de notre étude le prouvent clairement. Cette étude montre que le niveau de développement et la structure du système financier (en particulier la part relative des financements bancaires et de marché), les conditions de régulation du système bancaire (les formes et l’étendue de la supervision) et certaines caractéristiques des systèmes juridiques (la protection des créditeurs), ont un effet significatif sur les contraintes d'investissement. Il apparaît que la bonne qualité des institutions facilite l'accès aux financements et qu'elle renforce les garanties exigées pour l'octroi de la dette. De fait, la piètre qualité des institutions d’un pays constitue une entrave à l'accès au financement par le secteur privé. / The imperfections of financial markets and the incompleteness of financial contracts cause commitments between firms and stakeholders to become more complex. Several solutions are suggested in order to reduce such problems and to facilitate the conclusion of financial contracts. Contracts evolve within an institutional structure, an environment by which they are conditioned. Institutions are one of many solutions to market imperfections and to contract incompleteness. Results bring out relevant effects of the financial system’s development and structure (particularly the amount of banking over market financing), banking regulation (the supervisory methods and their extent) and some characteristics of the legal systems (such as creditor protection) on investment constraints. It appears that sound and healthy institutions facilitate access to funding and strengthen the collateral required to secure bank financing. Consequently, poor quality of a country’s institutions hinders access to financing by the private sector.