Cette thèse étudie le choix des régimes de change dans des contextes économiques particuliers. La première partie (Chapitres 1 et 2) considère le cas des petits pays dont les dettes sont libellées en monnaies étrangères et celui d’une région constituée de tels petits pays lorsqu’il existe une similitude dans la composition des paniers définissant leurs taux de change effectifs. La deuxième partie de la thèse (Chapitres 3 et 4) se penche sur la considération des différents régimes de change dans le contexte monétaire de trappe à liquidité comparativement à un environnement monétaire traditionnel. En se basant sur une modélisation théorique de type DSGE, l’économétrie bayésienne et des données de panel, la thèse utilise principalement l’analyse des fonctions de réponses, de bien-être et de désalignements monétaires comme critères de comparaison de plusieurs régimes monétaires alternatifs. Les principaux enseignements de cette thèse se résument ainsi. Le change flexible semble être le meilleur régime pour des petites économies ouvertes comme ceux de l’Asie du Sud-Est. Au niveau régional, il est montré le ciblage effectif conduit à une stabilité des taux de change bilatéraux de la région, une sorte de fixité des taux de change qui ressemblerait à une zone monétaire de facto. Dans le contexte monétaire de trappe à liquidité, on trouve que,contrairement à la croyance commune lors la crise de la zone euro, l’union monétaire est plus performante que des politiques nationales de change flexible. Seule une intervention sur le taux de change nominal pourrait permettre au régime de change indépendant de dominer l’union monétaire. A travers une analyse théorique et empirique de l’effet de la trappe à liquidité sur l’ampleur des désalignements monétaires, il est aussi montré que la contrainte ZLB tend à réduire le désalignement monétaire dans une union monétaire comparativement aux politiques nationales de flottement.Cela plaide en faveur du renforcement de l’intégration monétaire au sein d’une union durant la période de trappe à liquidité. / This thesis investigates the choice of exchange rate regimes in specific economic contexts. The first part of this work (Chapters 1 and 2) considers the case of small open economies with foreign-currency denominated debt and that of a region where there is a similarity among trade-weighted currency baskets of countries. The second part of the thesis (Chapters 3 and 4) focuses on the study of exchange rate regimes and monetary integration in a liquidity trap environment relative to “tranquil” times. Based on dynamic stochastic general equilibrium (DSGE) models and Bayesian and Panel data econometrics, the thesis mainly uses the analyses of impulse responses, welfare and currency misalignments as comparison criteria among alternative currency regimes.The key lessons from this work are summarized as follows. For small open economies heavily in debted in foreign currency, like those of Southeast Asia, the flexible exchange is the best regime, followed by intermediate and fixed exchange rate regimes. At the regional level, it is shown that the exchange rate targeting regime leads to a stability of intra-regional bilateral exchange rates, which is a sort of fixity of exchange rates similar to a “de facto currency area”. In the context of a liquidity trap, we find that, contrary to common belief during the Euro area crisis, the currency union welfare dominates the independent floating regime. Only a central bank intervention in the form of a managed float policy could allow the independent floating to outperform the monetary union.Through both the empirical and theoretical analyses of the liquidity trap effects on currency misalignments, it is shown that the ZLB constraint tends to reduce currency misalignments compared with the independent floating policy. This suggests a reinforcement of the monetary integration within a monetary union during the liquidity trap

The thesis studies three distinct issues in monetary economics using a common dynamic general equilibrium approach under the assumptions of rational expectations and nominal price rigidity. The first chapter deals with the so-called "liquidity trap" - an issue which was raised originally by Keynes in the aftermath of the Great Depression. Since the nominal interest rate cannot fall below zero, this limits the scope for expansionary monetary policy when the interest rate is near its lower bound. The chapter studies the conduct of monetary policy in such an environment in isolation from other possible stabilization tools (such as fiscal or exchange rate policy). In particular, a standard New Keynesian model economy with Calvo staggered price setting is simulated under various alternative monetary policy regimes, including optimal policy. The challenge lies in solving the (otherwise linear) stochastic sticky price model with an explicit occasionally binding non-negativity constraint on the nominal interest rate. This is achieved by parametrizing expectations and applying a global solution method known as "collocation". The results indicate that the dynamics and sometimes the unconditional means of the nominal rate, inflation and the output gap are strongly affected by uncertainty in the presence of the zero lower bound. Commitment to the optimal rule reduces unconditional welfare losses to around one-tenth of those achievable under discretionary policy, while constant price level targeting delivers losses which are only 60% larger than under the optimal rule. On the other hand, conditional on a strong deflationary shock, simple instrument rules perform substantially worse than the optimal policy even if the unconditional welfare loss from following such rules is not much affected by the zero lower bound per se. The second thesis chapter (co-authored with Andrea Pescatori) studies the implications of imperfect competition in the oil market, and in particular the existence of a welfare-relevant trade-off between inflation and output gap volatility. In the standard New Keynesian model exogenous oil shocks do not generate any such tradeoff: under a strict inflation targeting policy, the output decline is exactly equal to the efficient output contraction in response to the shock. I propose an extension of the standard model in which the existence of a dominant oil supplier (such as OPEC) leads to inefficient fluctuations in the oil price markup, reflecting a dynamic distortion of the economy's production process. As a result, in the face of oil sector shocks, stabilizing inflation does not automatically stabilize the distance of output from first-best, and monetary policymakers face a tradeoff between the two goals. The model is also a step away from discussing the effects of exogenous oil price changes and towards analyzing the implications of the underlying shocks that cause the oil price to change in the first place. This is an advantage over the existing literature, which treats the macroeconomic effects and policy implications of oil price movements as if they were independent of the underlying source of disturbance. In contrast, the analysis in this chapter shows that conditional on the source of the shock, a central bank confronted with the same oil price change may find it desirable to either raise or lower the interest rate in order to improve welfare. The third thesis chapter (co-authored with Andrea Pescatori) studies the extent to which the rise in US macroeconomic stability since the mid-1980s can be accounted for by changes in oil shocks and the oil share in GDP. This is done by estimating with Bayesian methods the model developed in the second chapter over two samples - before and after 1984 - and conducting counterfactual simulations. In doing so we nest two other popular explanations for the so-called "Great Moderation": (1) smaller (non-oil) shocks; and (2) better monetary policy. We find that the reduced oil share can account for around one third of the inflation moderation, and about 13% of the GDP growth moderation. At the same time smaller oil shocks can explain approximately 7% of GDP growth moderation and 11% of the inflation moderation. Thus, the oil share and oil shocks have played a non-trivial role in the moderation, especially of inflation, even if the bulk of the volatility reduction of output growth and inflation is attributed to smaller non-oil shocks and better monetary policy, respectively. / La tesis estudia tres problemas distintos de macroeconomía monetaria utilizando como marco común el equilibrio general dinámico bajo expectativas racionales y con rigidez nominal de los precios. El primer capítulo trata el problema de la "trampa de liquidez" - un tema planteado primero por Keynes después de la Gran Depresión de 1929. El hecho de que el tipo de interés nominal no pueda ser negativo limita la posibilidad de llevar una política monetaria expansiva cuando el tipo de interés se acerca a cero. El capítulo estudia la conducta de la política monetaria en este entorno en aislamiento de otros posibles instrumentos de estabilización (como la política fiscal o la política de tipo de cambio). En concreto, se simula un modelo estándar Neo-Keynesiano con rigidez de precios a la Calvo bajo diferentes regimenes de política monetaria, incluida la política monetaria óptima. El reto consiste en resolver el modelo estocástico bajo la restricción explícita ocasionalmente vinculante de no negatividad de los tipos de interés. La solución supone parametrizar las expectativas y utilizar el método de solución global conocido como "colocación". Los resultados indican que la dinámica y en ocasiones los valores medios del tipo de interés, la inflación y el output gap están muy influidos por la presencia de la restricción de no negatividad. El compromiso con la regla monetaria óptima reduce las pérdidas de bienestar esperadas hasta una décima parte de las pérdidas obtenidas bajo la mejor política discrecional, mientras una política de meta constante del nivel de precios resulta en pérdidas que son sólo 60% mayores de las obtenidas bajo la regla óptima. Por otro lado, condicionado a a un choque fuerte deflacionario, las reglas instrumentarias simples funcionan mucho peor que la política óptima, aun si las pérdidas no condicionales de bienestar asociadas a dichas reglas no están muy afectadas por la presencia de la restricción de no negatividad en si. El segundo capítulo de la tesis estudia las implicaciones de la competencia imperfecta en el mercado del petróleo, y en concreto la existencia de un conflicto relevante entre la volatilidad de la inflación y la del output gap de un país importador de petróleo. En el modelo estándar Neo Keynesiano, los choques petroleros exógenos no generan ningún conflicto de objetivos: bajo una política de metas de inflación estricta, la caída del output es exactamente igual a la contracción eficiente del output en respuesta al choque. Este capitulo propone una extensión del modelo básico en la cual la presencia de un proveedor de petróleo dominante (OPEP) lleva a fluctuaciones ineficientes en el margen del precio del petróleo que reflejan una distorsión dinámica en el proceso de producción de la economía. Como consecuencia, ante choques provinientes del sector de petróleo, una política de estabilidad de los precios no conlleva automáticamente a una estabilización de la distancia del output de su nivel eficiente y existe un conflicto entre los dos objetivos. El modelo se aleja de la discución los efectos de cambios exógenos en el precio del petróleo y se acerca al análisis de las implicaciones de los factores fundamentales que provocan los cambios en el precio del petróleo en primer lugar. Esto último representa una ventaja clara frente a la literatura existente, la cual trata tanto los efectos macroeconómicos como las implicaciones para la política monetaria de cambios en el precio del petróleo como si éstos fueran independientes de los factores fundamentales provocando dicho cambio. A diferencia de esta literatura, el análisis del capitulo II demuestra cómo frente al mismo cambio en el precio del petróleo, un banco central puede encontrar deseable bien subir o bajar el tipo de interés en función del origen del choque. El tercer capitulo estudia el grado en que el ascenso de la estabilidad macroeconómica en EE.UU. a partir de mediados de los 80 se puede atribuir a cambios en la naturaleza de los choques petroleros y/o el peso del petróleo en el PIB. Con este propósito se estima el modelo desarrollado en el capitulo II con métodos Bayesianos utilizando datos macroeconómicos de dos periodos - antes y después de 1984 - y se conducen simulaciones contrafactuales. Las simulaciones permiten dos explicaciones alternativas de la "Gran Moderación": (1) menores choques no petroleros; y (2) mejor política monetaria. Los resultados apuntan a que el petróleo ha jugado un papel no-trivial en la moderación. En particular, el menor peso del petroleo en el PIB a partir de 1984 ha contribuido a una tercera parte de la moderación de la inflación y un 13% de la moderación del output. Al mismo tiempo, un 7% de la moderación del PIB y 11% de la moderación de la inflación se pueden atribuir a menores choques petroleros.

自從2008年全球經濟衰退以來，歐元區經濟顯著的衰退，特別是歐元區各成員國的經濟表現有明顯的差異。在本文中，我們試就成員國「貿易開放程度」和「財政基本面」這兩個重要特徵，來詮釋歐元區經濟穩定這個議題。在第二章中，我們在貿易開放程度不同的國家下，比較貨幣同盟制度與浮動匯率制度對於負向衝擊產生的影響。我們發現當貨幣當局愈重視產出穩定時，相較於浮動匯率制度，貨幣同盟制度將使產出下降的更多。在第三章中，我們將短期私人債券及長期政府債券引入貨幣同盟的兩國DSGE模型。我們推斷，歐洲央行(ECB)的公共部門債券購買計劃（PSPP），對於不同財政狀況的成員國，有著不對稱的總體經濟影響。在第四章中，我們建立貨幣同盟經濟的最適貨幣政策模型。我們發現成員國間經濟差異，將影響貨幣同盟的整體福利水準。相較於傳統零利率最適貨幣政策文獻，本研究的結果顯示不論是權衡或承諾制度，增加公共部門債券購買將緩和貨幣同盟的經濟波動。 / Since the global recession in 2008, the economic performance of the Euro area has declined significantly. In particular, there have been great differences in the economic performance among member states in the Euro area. In this dissertation, we attempt to address the issue of economic stability by focusing on two key features: the trade openness and the fiscal fundamentals among member states. In Chapter 2, we compare the impacts of the adverse shocks on countries with different degrees of openness under the monetary union regime, and our finding shows that the monetary union will result in a greater decline in output if the monetary authority attaches a higher weight to output stabilization. In Chapter 3, we build a two-country DSGE model representing a monetary union with both short-term and long-term government bonds. We deduce that the ECB’s public sector purchase programme (PSPP) has asymmetric macroeconomic effects on member states under different fiscal fundamentals. In Chapter 4, we set up an optimal monetary policy model of a monetary union. We find that the differences in the economic performance of individual member states will influence the union-wide welfare. Comparing our results with classical literature of optimal monetary policy at zero lower bound, by adding the PSPP, our study indeed reflects lower volatility of the union-wide economy under either discretion or commitment.

This dissertation consists of three research papers dealing with selected issues relevant for central banks after the global financial crisis. The post-crisis world has seen a significant strengthening of the role of central banks with regard to the financial system as well as the real economy. Correspondingly, agendas of some central bankers have grown substantially, encompassing among others monetary policy, financial stability (macro- and microprudential policies) as well as resolution mechanisms. This dissertation thesis reflects the broad focus of some contemporary central banks in three original research articles that concern current unexplored issues for monetary policy and financial stability in the European Union, the Czech Republic, and the United States, potentially bringing policy implications for the relevant authorities. The first article analyzes inflation convergence in the whole European Union (EU) over 1999-2017 and provides comprehensive and robust evidence that the process of inflation convergence among the countries of the EU was not permanently disrupted during the global financial crisis, the European sovereign debt crisis, or the period of zero lower bound interest rates. Specifically, the convergence process did not noticeably weaken after the crisis and the occurrence of...

[pt] Tarifas comerciais podem ser usadas para auxiliar o Banco Central na estabilização da economia? Para responder essa pergunta construímos um modelo Novo Keynesiano de economia aberta com dois países onde as firmas têm poder de mercado suficientemente alto para definir preços diferentes para o mercado local e estrangeiro e obtemos a política monetária e tarifária ótima sob a existência de um limite inferior para a taxa nominal de juros. Fazendo um exercício numérico, analisamos duas situações: quando apenas um país se encontra em uma armadilha de liquidez e quando ambos os países se encontram presos em uma armadilha de liquidez global. Nossos resultados sugerem, que mesmo quando os dois países estão cooperando, a existência do limite inferior da taxa de juros nominal gera uma situação onde o uso ativo de tarifas comerciais pode aumentar o bem-estar da economia. / [en] Can trade tariffs be used to help the Central Bank stabilize the economic cycle? To answer that question we build a New Keynesian Open Economy model with two different countries and where firms have enough market power to set prices in both Home and Foreign markets and calculate the optimal monetary and tariff policy under the existence of a Zero Lower Bound on the nominal interest rate. We perform a numerical exercise to analyse two distinct situations: when only one country is restricted by the Zero Lower Bound and when both countries face this constraint. Our results suggest that the Zero Lower Bound creates a situation in which active use of trade tariffs can be optimal, even if countries are cooperating.