This article considers the evolution of international business cycle interdependencies among 27 developed and developing countries since the beginning of 1870s, utilising the generalized vector autoregressive (VAR)-based spillover index of Diebold and Yilmaz (2012), which allows the construction of a time-varying measure of business cycle spillovers. We find that, on average, 65% of the forecast error variance of the 27 countries' business cycle shocks is due to international spillovers. However, the magnitude of international business cycle spillovers varies considerably over time. There is a clear increasing trend since the end of World War II and until the middle 1980s. After that, international business cycle interdependencies declined during the period that was dubbed the Great Moderation, and stabilized around the beginning of the twenty-first century. During the Great Recession of 2008-2009, international business cycle spillovers increased to unprecedented levels. Finally, developed countries are consistently ranked as net transmitters of cyclical shocks to developing counties throughout the sample. (authors' abstract)

La tesis consta de dos partes. En la primera parte se analiza la relación entre las fricciones en los flujos de información que llegan a la empresa y la persistencia del patrón de la inflación. En particular, se presenta un nuevo estimador por el modelo de Makiw y Reis (2002) "Sticky Information Phillips Curve", y se aplica usando datos trimestrales de EE.UU. El resultado principal es que el modelo tan solo puede explicar la persistencia de la inflación asumiendo que la variancia de la inflación sea mucho mas grande de la que observamos o, equivalentemente, que el modelo no puede explicar conjuntamente la variancia y la persistencia de la inflación.En la segunda parte se presentan nuevas evidencias sobre la publicidad agregada en EE.UU. y se estudian los efectos de la publicidad en la economía usando un modelo dinámico estocástico de equilibrio general. En particular, el capitulo 2 se enfoca en las relaciones de corto plazo entre las mas comunes variables macroeconómicas - consumo agregado, producto interno bruto, totalidad de horas trabajadas en la economía - y la publicidad agregada, con particular atención a la relación de causalidad entre publicidad y consumo. En cambio, el capitulo 3 se enfoca sobre las relaciones de largo plazo, enseñando como la publicidad agregada afecte el nivel de trabajo de la economía. A través del modelo presentado en el capitulo 2, se demuestra que un mayor nivel de publicidad implica un mayor números de oras trabajadas asociadas con un menor nivel de bienestar por los consumidores. / This thesis is organized in two parts. In the first one, I seek to understand the relationship between frictions in information flows among firms and inflation persistence. To this end, I present a novel estimator for the Sticky Information Phillips Curve (Mankiw and Reis, 2002), and I use it to estimate this model with U.S. postwar data. The main result is that the Sticky Information Phillips Curve can match inflation persistence only at the cost of mispredicting inflation variance. I conclude that the Sticky Information Phillips Curve is a valid model to explain inflation persistence but not an overall valid theory of inflation. The second part presents new evidence about aggregate advertising expenditures in U.S., and analyzes the effect of advertising in the aggregate economy by the mean of a dynamic stochastic general equilibrium model. Chapter 2 focuses on the short run impact of advertising on the aggregate dynamics, and shows that an increase in aggregate advertising significantly increases the aggregate consumption. Chapter 3 focuses on the long run effects of advertising on the labor supply, showing that in economies where aggregate advertising is higher, agents supply more hours of works and are generally worse off in terms of welfare.

Zugl.: Bern, Univ., Bern, Diss., 2009

Diese Arbeit ist eine Sammlung von Studien, welche sowohl die makro-, als auch die mikroökonomischen Aspekte und Charakteristika von Rücküberweisungen pakistanischer Migranten in ihr Heimatland analysieren, sowie deren ökonomische Auswirkungen auf das Konsumverhalten und die Vermögensbildung der Empfängerhaushalte. Es zeigt sich, dass internationale Überweisungen im Vergleich zu anderen finanziellen Mittelflüssen eine stabile und stabilisierende Quelle für Devisen darstellen. Des Weiteren weisen sie mit Blick auf die heimische Wirtschaft ein antizyklisches Verhalten auf, während ihr Verhalten mit Blick auf die Wirtschaft des Gastlandes als azyklisch beschrieben werden kann.  Die Überweisungsströme werden maßgeblich von ihren Transaktionskosten beeinflusst, so dass Migranten in Zeiten hoher Transaktionskosten Rücküberweisungen ins Heimatland entweder einstellen oder informelle Kanäle zum Überweisen nutzen. Im Rahmen dieser Studie stellt sich außerdem heraus, dass Rücküberweisungen als hauptsächlich kurzfristige Einnahmequelle betrachtet werden. Aufgrund dessen werden die Zuflüsse oftmals in die Förderung von Humankapital investiert, wobei dieser Effekt stark abhängig vom Einkommensniveau des Empfängeraushalts ist.  Ferner führen internationale Überweisungen zu einem erheblichen Anstieg des Haushaltsvermögens, wohingegen Inlandsübweisungen keine signifikanten Vermögensänderungen mit sich bringen. Überdies ermöglichen internationale Rücküberweisungen den Empfängerhaushalten das Aufstocken vorsorglicher Ersparnisse.

Previous studies have discounted important factors and indirect channels that might contribute to business cycle synchronization (BSC) in the EU. We estimate the effects of market integration and economic policy coordination on bilateral business cycle correlations over the period 1995-2012 using a simultaneous equations model that takes into accounts both the endogenous relationships and unveils direct and indirect effects. The results suggest that (i) trade and FDI have a pronounced positive effect on BCS, particularly between incumbent and new EU members. (ii) Rising specialization does not decouple business cycles. (iii) The decline of income disparities in EU27 contributes to BCS, as converging countries develop stronger trade and FDI linkages. (iv) There is strong evidence that poor fiscal discipline of EU members is a major impediment of business cycle synchronization. (v) The same argument holds true for exchange rate fluctuations that hinder BCS, particularly in EU15. Since BCS is a fundamental prerequisite and objective in an effective monetary union, the EU has to promote market integration and strengthen the common setting of economic policies.

Submitted by Morgana Silva (morgana_linhares@yahoo.com.br) on 2016-09-12T19:23:27Z No. of bitstreams: 1 arquivototal.pdf: 1217949 bytes, checksum: 50d8c19cb9000d43bfb8578579579cbb (MD5) / Made available in DSpace on 2016-09-12T19:23:27Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 1217949 bytes, checksum: 50d8c19cb9000d43bfb8578579579cbb (MD5) Previous issue date: 2016-06-03 / The contamination of the economies' public management by both political and partisan interests and the manifestation of economic cycles induced by electoral calendar has been the target of several studies both national and international. The aim of this work is to verify if there are empirical evidences of political-business cycles for the state governments of Brazil, being analyzed the fiscal policy and electoral results in the period from 1995 to 2013. Pursuit up to investigate if state government manipulates public spending as a way of showing competence to voters for with this to expand the electoral winning chances of the current ruler or political party. Secondarily will be verified if public spending is affected by ideological-partisan reasons. Was used as theoretical mark the proposed postulates by the Theory of Political Economic Cycles proposed fundamentally by Nordhaus (1975), Rogoff (1990), Hibbs (1977) and Alesina (1987). The fundamental basis of the theoretical foundation used is the linking of economic policies and its results in electoral interests and political power projects. Econometric estimates were realized using panel data, in an attempt of verify if there was manipulation of fiscal instruments in electoral periods as prescribed by opportunistic theoretical models. The results showed the presence of PBC in public spending at state level in Brazil, following, in general terms, assumptions outlined by opportunistic model. The public spending is increased at election years in compared to the others years of the mandate, confirming the adopted hypothesis. The presence of electoral calendar influence in the evolution of public spending was observed in a stronger way in some specific expenditure functions, which are, capital expenditures, investments, works and urbanism. Was observed that there is no important difference that distinguishes ideological parties in fiscal policy in Brazilian’s states. The conclusion is that the realization of public spending of the states in Brazil is affected by electoral calendar, oscillating cyclically according foreseen in the theory of Political Business Cycles. Such behavior occurs indistinctly between governments, independently of the ideological-partisan group or its rulers. / A contaminação da gestão das economias por interesses políticos e partidários e a manifestação de ciclos econômicos induzidos pelo calendário eleitoral vem sendo alvo de variados estudos nacionais e internacionais. O objetivo deste trabalho é verificar se existem evidências empíricas de Ciclos Político-Econômicos para os governos estaduais do Brasil, analisando-se as políticas fiscais e os resultados eleitorais no período de 1995 a 2013. Busca-se averiguar se os governos estaduais manipulam os gastos públicos como medida de sinalizar competência diante dos eleitores para com isso ampliar as chances de vitória eleitoral do governante/partido no poder. Secundariamente será verificado se os gastos são afetados por razões ideológico-partidárias. Foi utilizado como referencial teórico os postulados propostos na Teoria de Ciclos Políticos Econômicos assentados fundamentalmente por Nordhaus (1975), Rogoff (1990), Hibbs (1977) e Alesina (1987). A base fundamental do referencial teórico utilizado é a vinculação das políticas econômicas e seus conseqüentes resultados a interesses eleitorais e de projetos de poder político. Foram realizadas estimações econométricas utilizando-se Dados em Painel, na tentativa de verificar se houve manipulações dos instrumentos fiscais em períodos eleitorais, conforme prescrito pelos Modelos Teóricos Oportunistas. Os resultados evidenciaram a presença de CPE nos gastos públicos a nível estadual no Brasil, seguindo, em termos gerais, os pressupostos delineados pelo modelo oportunista. Os gastos públicos são ampliados nos anos eleitorais em comparação com os demais anos dos mandatos, confirmando-se a hipótese adotada. A presença da influência do calendário eleitoral na evolução dos gastos públicos foi observada de forma mais contundente em algumas funções despesas específicas, quais sejam, despesas de capital, investimentos, obras e urbanismo. Observou-se que não há uma diferença importante que distinga grupos ideológicos na política fiscal dos Estados no Brasil. A conclusão é de que a realização dos gastos públicos estaduais no Brasil é afetada pelo calendário eleitoral, oscilando de maneira cíclica conforme previsto na teoria dos Ciclos Políticos Econômicos. Tal comportamento ocorre de forma indistinta entre os governos, independentemente do grupo ideológico-partidário em que estejam inseridos os seus governantes.

Esta tese é composta de três ensaios. No primeiro ensaio, nós examinamos se os efeitos reais das ações de política monetária no Brasil são assimétricos. Para isto, estimamos modelos Markov-switching que permitem que os choques monetários positivos e negativos afetem a taxa de crescimento do produto de forma assimétrica nos estados de expansão e recessão econômica. Os resultados obtidos mostram que: i) quando as ações de política monetária são mensuradas através das inovações ortogonalizadas para a taxa Selic em um modelo VAR, os efeitos reais de choques monetários negativos são maiores do que os de choques positivos no estado de expansão e os efeitos reais de choque negativos são maiores em expansão do que em recessão econômica; ii) quando a variação na taxa de juros Selic é tomada como medida de política monetária, nós constatamos também assimetrias entre os efeitos reais de variações positivas e negativas na taxa Selic durante a fase de recessão, e entre os efeitos reais de variações negativas na taxa Selic entre as fases do ciclo de negócios. No segundo ensaio, nós procuramos aperfeiçoar o entendimento da política monetária brasileira sob o regime de metas de inflação através da calibração das preferências do Banco Central. m específico, nós calibramos a função perda do policymaker escolhendo, de uma ampla classe de políticas alternativas, os valores dos parâmetros de preferência que minimizam o desvio entre a trajetória ótima e a trajetória verdadeira da taxa Selic. Nossos resultados mostram que o Banco Central tem adotado um regime de metas de inflação flexível e dado um maior peso à estabilização da inflação. Nós constatamos também que a preocupação da autoridade monetária com a suavização da taxa de juros tem sido maior do que com a estabilização do produto. O terceiro ensaio investiga a existência de possíveis assimetrias nos objetivos do Banco Central. Assumindo que a função perda é assimétrica em relação a desvios positivos e negativos do gap do produto e da taxa de inflação em relação à meta, nós estimamos uma função de reação não-linear que permite identificar e testar a significância estatística dos parâmetros de assimetrias nas preferências da autoridade monetária. Para o período de 2000-2007, os resultados indicaram que o Banco Central brasileiro apresentou uma preferência assimétrica a favor de uma inflação acima da meta. Visto que este comportamento pode ser decorrente das decisões de política em momentos de fortes crises (tais como as de 2001 e 2002), nós delimitamos a nossa amostra para o período de 2004-2007. Para este período, nós não encontramos evidências empíricas apontando para qualquer tipo de assimetria nas preferências sobre a estabilização da inflação e do gap do produto. / This thesis is composed of three essays. In the first essay, we check whether the effects of monetary policy actions on output in Brazil are asymmetric. Therefore, we estimate Markov-switching models that allow positive and negative shocks to affect the growth rate of output in an asymmetric fashion in expansion and recession states. Results show that: i) when monetary policy actions are measured by means of orthogonalized innovations for the Selic rate in a VAR model, the real effects of negative monetary shocks are larger than those of positive shocks in an expansion and the real effects of negative shocks are greater in an expansion than in a recession; ii) when the variation in the Selic rate is used to measure monetary policy, we also have asymmetries between the real effects of positive and negative variations in the Selic rate during a recession, and between the real effects of negative variations of the Selic rate between the states of the business cycle. In the second essay, we seek to further elucidate the Brazilian monetary policy under the inflation targeting regime by calibrating Central Bank preferences. More specifically, we calibrate the policymaker’s loss function by choosing the preference parameter values which minimize the deviation between the optimal and actual paths of the basic interest rate (Selic). Our results indicate that the Central Bank has adopted a flexible inflation target regime and placed some greater weight upon inflation stabilization. We also find out that the monetary authority’s concern with interest rate smoothing has been far deeper than with output stabilization. The third essay investigates the existence of possible asymmetries in the Central Bank of Brazil’s objectives. By assuming that the loss function is asymmetric with regard to positive and negative deviations of the output gap and of the inflation rate from its target, we estimated a nonlinear reaction function which allows identifying and checking the statistical significance of asymmetric parameters in the monetary authority’s preferences. For years 2000 to 2007, results indicate that the Central Bank of Brazil showed asymmetric preference over an above-target inflation rate. Given that this behavior may stem from policy decisions in periods of severe crises (e.g., in 2001 and in 2002), we restricted our sample to the 2004-2007 period. We did not find any empirical evidence of any type of asymmetry in the preferences over the stabilization of inflation and of the output gap for this period.

Cette thèse contribue à la littérature théorique et empirique concernant le marché du travail en macroéconomie. La partie théorique a deux thèmes majeurs : l’analyse des conséquences des coûts de licenciements sur la persistance de l’inflation et celle de l’effet de la politique budgétaire sur le marché travail en fonction du cycle économique. La partie empirique étudie les conséquences des réformes du marché travail allemands sur les partenaires commerciaux de l’Allemagne. Le marché du travail peut-il influencer les performances de la politique monétaire ? Les conditions macroéconomiques peuvent-elles influencer les performances de la politique budgétaire ? Les réformes sur le marché du travail allemand peuvent-elles expliquer les performances de l’Allemagne en matière de commerce extérieur ? / This thesis contributes to both theoretical and empirical aspects of the literature on the labor market in macroeconomics. On the theoretical side, I provide insights both on the impact of labor market institutions on monetary policy and on the efficiency of fiscal policy according to the business cycle position. On the empirical side, I discuss the spillover effects of the Germany’s labor market reforms on its trade partners. How do labor markets institutions affect monetary policy? Has fiscal policy the same effect on labor market during economic downturns than during economic upturns? Can the German labor market and fiscal reforms account for Germany’s new trading performances?

In this study a structural model of the South African stock market, the Johannesburg Stock Exchange (JSE), was developed and estimated econometrically. The study has made three important contributions to the literature. Firstly, a structural model of the South African stock market has been developed, which quantifies the relationships between the stock market and macroeconomic variables while analyzing the impact of foreign markets and phenomena such as contagion, policy changes and structural economic changes on the JSE. This will improve the economic agents’ understanding of the functioning of the stock market and potentially assist in forecasting the stock market. Secondly, investors are generally assumed to be risk and/or loss averse. This study explains how this risk and/or loss aversion of investors can cause asymmetry in stock prices and the study evaluates different types of stock market asymmetry with advanced econometric techniques such as the threshold cointegration test of Siklos and Enders (2001) and a Markov switching regime model. The Markov switching regime model is used to model the South African business cycle and to construct an indicator for the state of the business cycle, which is in turn used to introduce cyclical asymmetry in the stock market model. The Markov switching regime model is in itself a substantial contribution to the literature since no Markov switching regime model has been estimated for the South African business cycle yet. Apart from being used to capture cyclical asymmetry in the stock market, the Markov switching regime business cycle model can also be used to identify turning points in the South African economy and to model economic growth. Finally, the forecasting performance of the stock market model developed in this study is compared to other stock market models. According to the results, this model is preferred to the other stock market models in terms of modelling and forecasting the level and direction of the JSE. This means that investors and policy markets can use this model to simulate the impact of changes in macroeconomic indicators on the future course of the stock market and use it to develop profitable trading rules. / Thesis (PhD (Econometrics))--University of Pretoria, 2005. / Economics / unrestricted

Research macroeconomists have witnessed remarkable methodological developments in mathematical, statistical, and computational tools during the last two decades. The three essays in this dissertation took advantage of these advances to analyze important macroeconomic issues. The first essay, “ Habit Formation, Adjustments Costs, and International Business Cycle Puzzles” analyzes the extent to which incorporating habit formation and adjustment costs in investment in a one-good two-country general equilibrium model would help overcome some of the international business cycle puzzles. Unlike standard results in the literature, the model generates persistent, cyclical adjustment paths in response to shocks. It also yields positive cross-country correlations in consumption, employment, investment, and output. Cross-country correlations in output are higher than the ones in consumption. This is qualitatively consistent with the stylized facts. These results are particularly striking given the predicted negative correlations in investment, employment, and output that are typically found in the literature. The second essay, “Comparison Utility, Endogenous Time Preference, and Economic Growth,” uses World War II as a natural experiment to analyze the degree to which a model where consumers' preferences exhibit comparison-based utility and endogenous discounting is able to improve upon existing models in mimicking the transitional dynamics of an economy after a shock that destroys part of its capital stock. The model outperforms existing ones in replicating the behavior of the saving rate (both on impact and along the transient paths) after this historical event. This result brings additional support to the endogenous rate of time preference being a crucial element in growth models. The last essay, “Monetary Policy under Fear of Floating: Modeling the Dominican Economy,” presents a small scale macroeconomic model for a country (Dominican Republic) characterized by a strong presence of fear of floating (reluctance to have a flexible exchange rate regime) in the conduct of monetary policy. The dynamic responses of this economy to external shocks that are of interest for monetary policy purposes are analyzed under two alternative interest rate policy rules: One being the standard Taylor rule and another that responds explicitly to deviations of the exchange rate with respect to its long-term trend.