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This thesis examines the role of financial frictictions, capital regulation and fiscal policy in business cycle dynamics. It consists of three self-contained chapters. In the first chapter I develop a model with financial n:ictions on the supply and demand side of credit. I introduce a financial accelerator mechanism on the demand side of credit that can be implemented without the costly state verification approach. Moreover) using Bayesian methods I compare three models: a plain vanilla new Keynesian model, a model with banking frictions, and a model with banking and entrepreneurial frictions. I find that (i) there are substantial differences between the model with no financial frictions and the model with the banking sector in explaining non financial data, (ii) the model with the banking and entrepreneurial sector frictions outperforms the model with the banking sector friction in explaining financial data and (iii) the capital quality shock is a key driver of business cycle fluctuations, The second chapter develops an open-economy DSGE model with an optimizing banking sector to assess the role of capital flows, macro-financial linkages, and macroprudential policies in the Philippines. The key H:~sult is that macroprudential measures can usefully complement monetary policy. Countercyclical macroprudential polices can help reduce macroeconomic volatility and enhance welfare. The results also demonstrate the importance of capital flows and financial stability business cycle fluctuations as well as for supply side financial accelerator effects in the amplification and propagation of shocks. The last chapter introduces in an otherwise standard real business cycle model a more general and data coherent class of production functions, namely a constant elasticity of substitution production function. I show that the degree of substitutability between production factors is a key ingredient to understand the (de)stabilising properties of a balanced-budget rule. Then I calibrate the model consistently with the empirical evidence, i.e. we set the elasticity of substitution between labour and capital below unity. I show that compared to the Cobb-Douglas case, the likelihood of indeterminacy under a balanced-budget rule is greatly reduced.

For a long time shifts in agents expectations have been believed to have impor- tant implications upon aggregate fluctuations, but have received relatively little attention among macroeconomists. Not only have the dot-com boom and the Great Recession led to a revival of this idea, they have placed it firmly at the centre of a new wave of research about the impact of expectations and news. This thesis contributes to a better understanding of the role of news for busi- ness cycle fluctuations. Particular attention is paid to news and anticipation effects in conjunction with learning and the role of financial intermediation.

This thesis analyses inventories empirically and theoretically. Inventories are important in miderstanding business cycles, not only because inventory investment accounts for a large share of GDP growth rate. This thesis also emphasises the cyclicality of inventories. Often, business cycles are regarded as exponential decays, i.e., successive deviations from the steady state and their returning processes. In contrast, this thesis offers a battery of evidence that economic variables, such as sales and inventories, follow damping oscillations, i.e., stable sine waves. This means that a boom is the seed of the recession that follows, and vice versa. This thesis also reveals inventories' role in such endogenous cycles. The first chapter presents empirical evidence of periodicity. VAR estimations find evidence of sine waves - namely, complex roots. Indeed, the detected complex roots seem to capture the actual business cycles; the estimated lengths of one business cycle are close to those of the post-war average in both Japan and the United States. This chapter also shows that peaks and bottoms of inventories lag behind those of production; such a time lag is called a phase shift. In addition, this chapter finds that the U.S. Federal Reserve anticipates inventory cycles, while the Bank of Japan does not. The second chapter constructs a theoretical model with a stockout constraint and a production chain in the rational dynamic general equilibrium framework, which quantitatively satisfies stylised inventory facts. Importantly, the model successfully mimics observed inventory cycles. Moreover, working hours are more volatile and the correlation between labour productivity and output is lower than in the standard real business cycle model. Finally, the third chapter offers a solution algorithm for linear rational expectation models under imperfect information. Inventories are closely related to imperfect information, and inventories are often regarded as buffers against unobserved demand shocks.

In this thesis I address three stylized facts widely debated in international economics. The first is the positive correlation between macroeconomic volatility and degree of international financial openness in developing countries. The second is the huge and persistent increase in U.S. trade deficit. The third is the real exchange rate volatility, persistence and the disconnection with other macroeconomic variables. I investigate the three issues by elaborating three dynamic stochastic general equilibrium models. In the first chapter I develop a small open economy model to show how higher but imperfect financial integration can induce macroeconomic instability. The imperfect nature of financial integration is captured through a constraint on international borrowing, that affects expenditure decisions of private agents; the degree of financial openness is measured by the amount of borrowing for a given value of the collateral. In the second chapter I explain the deterioration of the US trade balance in terms of the positive collateral effect of increases in U.S. house prices on private consumption: I develop a model to reproduce the positive relationship - found by estimating a structural vector autoregressive model - between real estate prices, private consumption and trade balance deficit. The key feature of the model is a borrowing constraint, in which real estate is the collateral, that affects the consumption choices of U.S. households. In the third chapter I empirically investigate the determinants of the real exchange rate dynamics by estimating three new open economy macroeconomics models. I find that shocks to the uncovered interest parity and international price discrimination, due to local currency pricing and distribution costs, are crucial features to replicate the dynamics of the real exchange rate.

Depuis l'article de Zhang (1999), un nombre croissant de contributions académiques s'attellent à explorer les canaux par lesquels la pollution peut être la source de cycles économiques endogènes. Nous sommes convaincus que cette ligne de recherche est d'une grande importance pour le décideur public car elle réconcilie ses impératifs de court terme avec le long terme qu'impose la préservation de l'environnement. C'est pourquoi, cette thèse se propose d'explorer de nouveaux canaux par lesquels la pollution peut induire l'apparition de cycles économiques endogènes. Les chapitres 1,2 et 3 se basent sur des résultats empiriques récents arguant que la pollution agit négativement sur la productivité du travail et sur l'offre de travail. Au travers de ces chapitres, nous montrons que de tels effets de la pollution peuvent conduire à l'apparition de cycles économiques, tant déterministes que stochastiques, au voisinage de l'état stationnaire.Le chapitre 4 se concentre sur l'étude du système de taxe verte existant dans la plupart des pays de l'OCDE. Nous montrons en particulier que sa régressivité par rapport aux revenus des ménages peut conduire à l'apparition d'équilibres à tâches solaires. / Since Zhang (1999), a rising number of contributions explore channels by which pollution can induce endogenous business cycles. We believe that this research line is of great interest because it reconciles the short run imperative of policy leaders and the long run imperative of environmental preservation. Consequently, the present dissertation aims to contribute to this strand of literature by pointing out new channels by which pollution can induce endogenous business cycles.Chapters 1, 2 and 3 depart from some new empirical findings who stress nonmarginal negative effect of pollution on labor productivity and on labor supply. Within those chapters, we show that such pollution effects can lead to deterministic cycles as well as stochastic fluctuations around the steady state.The chapter 4 is devoted to the study of the already existing green fiscal policies in most of OECD countries. We show in particular that their well-known regressivity, with respect to households' incomes, may promote sunspot equilibria.

In this thesis, we focus on the housing sector, which is important to the economy but is under-researched in business cycles analysis. We discuss several housing sector related issues in dynamics stochastic general equilibrium (DSGE) models. To begin with, we conduct a sensitivity analysis using a simple DSGE model with the feature of sticky prices and a fixed housing supply, which is similar with the basic model in Iacoviello (2005) but with representative agents. Then we introduce credit market imperfections in two different ways. The first case is referred to as 'borrowing to invest', in which entrepreneurs take loans and accumulate production housing, which is a factor of production. We observe the financial accelerator (or decelerator) effect since their borrowing is related to output directly. The second case is referred to as 'borrowing to live', in which impatient households take loans to buy housing and gain utility from it. In contrast with the first case, we do not find the financial accelerator (or decelerator) effect, since the borrowing is not directly related to output anymore. First, we add a variable housing supply, thus we can discuss the supply side effect in the housing market, including both the direct effect and the feedback effect. The direct effect is the impact of a housing technology shock, and the feedback effect is the impact of a change in new housing production, which is caused by other shocks. We find, however, that the magnitudes of these two effects are negligible under the standard setting of the housing market that is commonly used in the literature of DSGE model with housing, such as Davis and Heathcote (2005), Iacoviello and Neri (2010). The key assumption in the standard setting is that every household trades housing in a given period. An empirical examination of the U.S. housing sector suggests us to (i) re-construct the housing market and (ii) introduce the feature of time to build to new housing production. After constructing the new setting for the housing market by introducing the probability of trading housing, we find that (i) the steady state ratios from the model are consistent with their empirical targets and (ii) the magnitudes of both the direct effect and the feedback effect are 60 times larger. Furthermore, the feature of time to build, together with the new setting of the housing market, allows us to observe overshooting behaviour on the real house price. Second, we discuss the impact of the assumption of adaptive learning, as we are convinced that the house price bubble is partially contributed by this alternative way of forming expectations. After writing the Nottingham Learning Toolbox1, we find that, given the AR(l) learning model, in which variable is forecasted using its own lagged terms, the adaptive learning mechanism largely amplifies and propagates the effects of a goods sector technology shocks to the economy, and also, enlarges the impact of the time to build feature on the real house price. Furthermore, our sensitivity analysis shows that the values of initial beliefs are important to the mechanism but forecasting errors are not if the constant gain coefficient is small. Then we consider the assumption of heterogeneous expectations. From the impulse response analysis, we find that (i) the adaptive learning mechanism also has amplification and propagation effects to the economy when only a fraction of the population are learning agents; (ii) when two types of agents have equal weights, the impulse responses from heterogeneous expectations are much closer to those from rational expectations than those from adaptive learning; (iii) when rational agents are fully rational, the adaptive learning mechanism has larger amplification and propagation effects on the economy than when rational agents are partially rational. From the sensitivity analysis, We find that fully rational agents always have larger impacts on model variables than partially rational agents. Finally, we introduce credit market imperfections to the housing market, thus the mortgage market subjects to a costly verification problem. Our empirical analysis suggests that, while the default rate is countercyclical, the loan to value ratio is procyclical. Our impulse response analysis shows that, given a positive goods sector technology shock, the default rate is counter cyclical, but the loan to value ratio is also countercyclical. The reason we suppose is that, in our model, credit constrained households have less housing in an economic upturn, thus the volume of loans they receive also decreases, leading to a fall in the loan to value ratio. Moreover, we illustrate that, when the mean of the idiosyncratic shock is time-invariant, we always have a positive relation between the default rate and the loan to value ratio. In order to overcome this co-movement, we show that a time-varying mean is necessary. 1 The Nottingham Learning Toolbox is a series of Matlab files that can solve a general form of DSGE models under adaptive learning and heterogeneous expectations. The toolbox solves the model using the Klein's QZ decomposition method, and facilitates the impulse response analysis. The Cambridge Learning Toolbox provides helpful reference for this toolbox at the initial stage.

Cette thèse est consacrée à l’étude des cycles. Ces derniers sont partout autour de nous, dans la nature comme dans la société. Pour autant, on s’intéressera ici exclusivement aux cycles économiques, financiers, de la demande d’énergie et même à ceux qui caractérisent le changement climatique.Certains de ces cycles sont très réguliers et donc facilement prédictibles; d’autres, par contre, sont clairement périodiques et de ce fait, les prévisions à leur sujet sont empreintes d’une grande incertitude. Les cycles que l’on étudiera dans cette thèse relèvent de cette dernière catégorie.Le travail est structuré en six chapitres.Le premier d’entre eux définit la problématique de la thèse. Il brosse, en particulier, un panorama des trois types de fluctuations étudiées en commençant par les cycles économiques. Ceux-ci se caractérisent par leur extrême irrégularité et par leur variété: cycles courts, cycles classiques d’une périodicité variable, mais égale en moyenne à dix années, cycles longs, encore connu sous le nom de Kondratieff, cycles de croissance, d’accélération, etc. Une attention toute particulière est réservée à l’étude du cycle économique classique (classical business cycle), mesuré par la série agrégée du Produit Intérieur Brut réel d’une économie et à sa datation, autrement dit à la détermination des pics et des creux, c’est-à-dire des points de retournement dans l’activité économique.Les cycles financiers sont ceux qui affectent les marchés du même nom. D’une particulière importance sont les bourses de valeurs, qui permettent à des investisseurs d’acheter des actions de sociétés cotées. L’avantage pour ces dernières de telles transactions réside dans l’apport de capitaux neufs. Classiquement, ces marchés se subdivisent en deux compartiments : le marché primaire et le secondaire. / This study is about cycles. Various cycles are all around us in nature, society and the humans body. However, our interest is in cycles in macroeconomic evolution. Specifically, we focus on business cycles, financial cycles, energy demand cycles and even in climatic change.Some cycles are very regular and therefore easily predictable. The cycles we investigate represent a distinct challenge for research as they are irregular, that is they do not have fixed periods. In many instances studying the cycles is preferred to studying the original as this allows the following:• Data compression/reduction;• Data smoothing, noise reduction, blurring;• Analysis of cycles in many instances is more robust;• Assessing performance of an investor or trader;• Modelling of peaks and troughs;• Comparing cycles (e.g. for synchronisation analysis).In our investigations we used a wide range of techniques – from quite straightforward linear regression (including proposed double-linear or LL-model) to sophisticated hybrid models, combining multivariate regression with artificial neural networks (ANN).The following highlights are mentionable:• Introduction of the concept of axiomatic definition of persistence;• The role of the Hurst exponent in analysis of cycles;• Establishing the link between axiomatic persistence and the Hurst exponent;• New fast method for estimation of Hurst exponent;• Hierarchical optimal dating of cycles in time series;• Hierarchical estimation of time series models, including ANN estimation.For our research we used both real data related to the South African national economy and simulated data. Wolfram Mathematica was used as the principal research tool.

Στην παρούσα μελέτη εξετάζουμε το βαθμό συγχρονισμού των οικονομικών κύκλων των 27 χωρών μελών της Ευρωπαϊκής Ένωσης για δύο χρονικές περιόδους, άπό 1995:1-2000:4 έως 2001:1-2006:4, όπου τη δεύτερη περίοδο έγινε η υιοθέτηση του κοινού νομίσματος στην Ευρωπαϊκή Ένωση. Επιπροσθέτως μελετάμε τους παράγοντες που επιδρούν στη συσχέτιση των οικονομικών κύκλων. Από τα αποτελέσματα που λαμβάνουμε, δεν είναι ξεκάθαρη η εικόνα του συγχρονισμού των οικονομικών κύκλων για τις δύο αυτές περιόδους. Όσον αφορά στους παράγοντες, διαπιστώνεται μια θετική και στατιστικά σημαντική σχέση μεταξύ των ροών εμπορίου και των συσχετίσεων. / The purpose of this paper is to examine the degree of business cycle synchronization of EU 27 countries, among two periods, 1995:q1-2000:q4 and 2001:q1-2006:q4, when the current union was adopted. Secondly, we study the factors that affect the correlation of business cycles. THe results we are taking show that there is not a clear view about how the current union affects the synchronization of business cycles. Concerning the factors, we found a positive and important relation between trade flows and business cycles correlation.