In the first essay, Distortions in the Neoclassical Growth Model: A Cross Country Analysis, I show that shocks that express themselves as total factor productivity and labor income taxes are comparably more synchronized than shocks that resemble distortions to the ability of allocating resources across time and states of the world. These two shocks are also the most important to model. Lastly, I document the importance of international channels of transmission for the shocks, given that these are spatially correlated and that international trade variables, such as trade openness correlate particularly well with them. The second essay is called Monetary Business Cycle Accounting for Sweden. Given that the analysis is focused in one country, I can extend the prototype economy to include a nominal interest rate setting rule and government bonds. As in the previous essay, distortions to the labor-leisure condition and total factor productivity are the most relevant margins to be modeled, now joined by deviations from the nominal interest rate setting rule. Also, distortions do not share a structural break during the Great Recession, but they do during the 1990’s.  Researchers aiming to model Swedish business cycles must take into account the structural changes the Swedish economy went through in the 1990’s, though not so during the last recession. The third essay, Consumer Confidence and Consumption Spending: Evidence for the United States and the Euro Area, we show that, the consumer confidence index can be in certain circumstances a good predictor of consumption. In particular, out-of-sample evidence shows that the contribution of confidence in explaining consumption expenditures increases when household survey indicators feature large changes, so that confidence indicators can have some increasing predictive power during such episodes. Moreover, there is some evidence of a confidence channel in the international transmission of shocks, as U.S. confidence indices help predicting consumer sentiment in the euro area.

This thesis consists of four essays in empirical macroeconomics. What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative Analysis The literature using structural vector autoregressions (SVARs) to assess the effects of fiscal policy shocks strongly disagrees on the qualitative and quantitative response of key macroeconomic variables. We find that controlling for differences in specification of the reduced-form model, all identification approaches used in the literature yield similar results regarding the effects of government spending shocks, but diverging results regarding the effects of tax shocks. The Analytics of SVARs. A Unified Framework to Measure Fiscal Multipliers Does fiscal policy stimulate output? SVARs have been used to address this question, but no stylized facts have emerged. I show that different priors about the output elasticities of tax revenue and government expenditures implied by the identification schemes generate a large dispersion in the estimates of tax and spending multipliers. I estimate fiscal multipliers consistent with prior distributions of the elasticities computed by a variety of empirical strategies. I document that in the U.S. spending multipliers are larger than the tax multipliers. Computing DSGE Models with Recursive Preferences and Stochastic Volatility This paper compares solution methods for computing the equilibrium of dynamic stochastic general equilibrium models with recursive preferences and stochastic volatility. The main finding is that a third-order perturbation is competitive in terms of accuracy with Chebyshev polynomials and value function iteration, while being an order of magnitude faster to run. Business Cycle Accounting and Misspecified DSGE Models This paper investigates how insights from the literature on business cycle accounting can be used to trace out the implications of missing channels in a baseline estimated dynamic stochastic general equilibrium model used for forecast and policy analysis.

This thesis consists of three essays on business cycle fluctuations that are based on the market-clearing dynamic general equilibrium framework. The first two essays examine the ultimate source of economic fluctuations in Thailand and Australia, respectively. The tool of study is the Business Cycle Accounting (BCA) method developed by Chari et al. (2002; 2007a). The third essay investigates the relation between capital-labour substitution and sectoral externalities in self-fulfilling expectation equilibria. It employs a two-sector competitive model proposed by Benhabib and Farmer (1996). The BCA method examines the transmission mechanisms of shocks within an economy. These transmission mechanisms are called wedges which are responsible for the deviation of aggregate variables from a competitive equilibrium. Four categories of wedges are defined in the BCA: 1) the efficiency wedge represents the input-financing frictions in production; 2) the labour wedge is the frictions between consumption leisure trade-off and marginal product of labour; 3) the investment wedge is the frictions between the intertemporal marginal rate of substitution in consumption and the marginal product of capital; and 4) the government consumption wedge indicates the frictions in international borrowing and lending. Chapter 2 applies the BCA method with deterministic wedges to examine the output variations in Thailand between 1971-2003. The efficiency wedge is found to be the most important driving force behind the output variations during episodes of boom and bust in Thailand over the studied period. In particular for the 1997 economic downturn, the evidence shows that the cost of credit intermediation for some firms was relatively high. This altered an acquisition of working capital and labour in these firms when compared to others, which likely caused inefficient reallocation of inputs across the economy. As such, the efficiency wedge appears to fall at aggregate level during the economic downturn. Chapter 3 applies the BCA method with stochastic wedges to examine the variations in output and investment in Australia. Although the efficiency wedge alone can account for these variations, it predicts much more volatility in output than the actual data. Upon allowing for the combination of efficiency and labour wedges, the model can replicate the amplitude of output variations better. The negative cross correlation between these two wedges suggests their interference. Chapter 4 examines the effect of capital-labour substitution on the existence of indeterminacy in two-sector models and check whether the corresponding returns to scale are still empirically plausible. The main finding is that a higher requirement of sectoral externalities for indeterminacy is needed when capital and labour are less substitutable. Intuitively, the low substitutability implies that capital and labour are complementary factors of production. This retards the mobility of factors between the consumption and investment sectors. In the belief driven equilibria, the consumers’ optimistic expectation on returns is fulfilled as long as the rate of returns is sufficiently high such that current consumption is given up for investment. The rate of returns hereby indicates sectoral externalities. In such a production environment, the minimum requirement of externalities for indeterminacy therefore becomes larger so that it can successfully break the tightly coupling factors within sector, and raises the production of investment goods effectively. As a result, the current relative price of investment goods falls. In the next period, consumers enjoy more consumption goods and the relative price of investment good rises. The ascending pricing sequence yields capital gains and the consumers’ belief is finally fulfilled. Based on the logarithmic utility in consumption and the elasticity of substitution of 0.5 as suggested in Klump et al. (2007) and Chirinko (2008), the minimum requirement of returns to scale for indeterminacy is 1.1236, and it still lies within the range in most empirical studies. / Thesis (Ph.D.) -- University of Adelaide, School of Economics, 2009

Au cours des dernières décennies, la mondialisation a joué un rôle crucial dans l'évolution de l'économie mondiale et du mode de vie des populations. Elle a largement contribué à la croissance économique de nombreux pays grâce à l'essor des échanges commerciaux, des investissements et de la création d'emplois , entre autres. Cependant, si la mondialisation a apporté de nombreux avantages, elle a également rendu les pays plus vulnérables aux crises. Elle a aussi soulevé des défis en matière de coordinations de politiques économiques des groupes de pays souverains. Cette thèse, composée de trois chapitres, se penche sur certaines questions macroéconomiques liées à l'économie internationale. Le premier chapitre présente une méthode permettant d'analyser les canaux de propagation du cycle économique au sein d'une économie et entre les pays. Le deuxième chapitre aborde la conception de règles budgétaires pour les économies intégrées au sein d'une union économique et monétaire. Enfin, le dernier chapitre évalue l'impact des obstacles routiers tels que les barrages, les retards et la corruption sur l'intégration commerciale régionale en Afrique de l'Ouest. Dans le premier chapitre, j'ai développé une méthode visant à orienter les chercheurs dans la spécification améliorée de leurs modèles quantitatifs lors de l'étude du cycle économique international. Les orientations découlent de l'application de la comptabilité des cycles économiques, en se basant sur un modèle prototype. Ce modèle prototype est construit à partir d'un modèle de croissance internationale auquel sont intégrés des «wedges» qui captent les frictions et distorsions présentes dans l'économie. Pour chaque pays, j'ai pris en compte les «wedges» suivants : l'efficacité technologique, les distorsions sur le marché du travail, l'investissement, les dépenses gouvernementales, les préférences et les échanges d'actifs étrangers. J'ai ensuite illustré cette méthode en l'appliquant aux États-Unis et au Canada pendant la grande récession de 2007-2008. Mes résultats indiquent que les ralentissements économiques observés dans les deux pays au cours de cette période étaient principalement dus aux distorsions de l'investissement, aux distorsions sur le marché du travail et à celles de l'efficacité technologique aux États-Unis, tandis que les distorsions de l'investissement au Canada ne jouaient qu'un rôle secondaire. Ces résultats suggèrent que la crise est partie des États-Unis pour se propager ensuite au Canada. Le deuxième chapitre se concentre sur la conception de la règle budgétaire au sein d'une union économique, avec une application à l'Union économique et monétaire ouest-africaine (UEMOA), qui possède un marché des capitaux intégré et une règle budgétaire commune. Je présente des faits sur l'existence d'une hétérogénéité significative des recettes, des dépenses et de la dette publiques parmi les pays de l'UEMOA. Dans ce chapitre, j'effectue une analyse quantitative de la règle budgétaire au sein de l'UEMOA et propose une réforme optimale en utilisant un cadre théorique qui modélise la politique fiscale des gouvernements confrontés à des chocs et ayant des préférences temporelles biaisées vers le présent. Le modèle met en évidence un compromis entre la flexibilité du gouvernement pour faire face aux chocs et l'engagement à limiter les incitations à un endettement excessif. Les résultats montrent que la règle actuelle de limitation du déficit à 3 \%, appliquée uniformément à tous les pays de l'UEMOA, améliore le bien-être des citoyens par rapport à un scénario sans règle budgétaire. Cependant, l'adoption de règles budgétaires spécifiques à chaque pays conduirait à une amélioration au sens de Pareto par rapport à la règle uniforme actuelle. La limite optimale du déficit pour chaque pays dépendrait de la volatilité des chocs affectant ses besoins de dépenses ainsi que des frictions politico-économiques et monétaires propres à son gouvernement. En outre, en imposant une règle budgétaire uniforme à tous ses membres, l'UEMOA renonce à 24 \% des gains de bien-être qui pourraient être obtenus grâce à l'adoption de règles budgétaires spécifiques à chaque pays. En résumé, mes résultats démontrent que bien que l'UEMOA bénéficie d'une règle budgétaire commune, une règle sur mesure tenant compte des caractéristiques spécifiques de chaque pays membre améliorerait encore davantage le bien-être général. Le troisième chapitre (co-écrit avec Idossou Marius Adom) examine les effets des barrages routiers, des retards et de la corruption le long des routes interétatiques sur l'intégration commerciale régionale en Afrique de l'Ouest. Il est bien connu que le commerce régional en Afrique est relativement faible par rapport à d'autres régions du monde. Dans cet article, nous utilisons les rapports sur «l'amélioration de la gouvernance des transports routiers» (IRTG) pour construire une nouvelle base de données mesurant les barrages routiers, les retards et les pots-de-vin liés au commerce sur huit routes interétatiques en Afrique de l'Ouest entre 2006 et 2013. Notre objectif est d'étudier leurs effets sur le commerce bilatéral dans la région. Ces routes interétatiques relient trois pays enclavés -- le Burkina Faso, le Niger et le Mali -- à d'autres pays côtiers. Nos résultats montrent que les barrages routiers, les retards et la corruption sont des problèmes récurrents sur ces routes. Pendant le transport des marchandises, les camions sont soumis à plus de 25 contrôles, subissent des retards de plus de 5 heures et sont contraints de verser des pots-de-vin allant de 45 à 115 dollars américains. Nos analyses empiriques révèlent que les retards entravent considérablement le commerce bilatéral entre les pays connectés, tandis que l'effet positif de la corruption semble correspondre à celui de la théorie du «grease the wheels». / Globalization has been an important force in shaping the world economy and the way people live their lives in the past few decades. It has had sizable importance in the economic growth of many countries through the increase in trade, investment, new job creation, etc. While globalization has brought many benefits, it has also created many challenges such as the increase of the vulnerability of countries to crises, and the challenges of policy management of groups of sovereign countries. This dissertation, composed of three chapters, investigates some macroeconomic issues of the international economy. The first chapter proposes a method to access the channel through which the business cycle propagates to an economy and across countries. The second chapter investigates the fiscal rule design for integrated economies constituted in an economic and monetary union. The last chapter evaluates the effect of roadblocks, time delays, and bribes on interstate roads on regional trade integration in West Africa. In the first chapter, I have developed a method that can provide insights to researchers to better specify their quantitative models in international business cycle studies. The guidance comes from the application of an accounting procedure based on a prototype model of international growth that includes wedges capturing all the potential frictions and distortions of markets. For each country, I include an efficiency wedge, labor wedge, investment wedge, government wedge, preference wedge, and foreign asset wedge. I then demonstrate the method by applying it to the US and Canada during the Great Recession (2007-2008). I found that the economic downturns in both countries during this period were primarily due to the US investment wedge, US labor wedge, and US efficiency wedge, with the Canada investment wedge playing a secondary role. These results suggest that the crisis originated in the US and was propagated to Canada. The second chapter investigates the fiscal rule design for an economic union with an application to the West African Economic and Monetary Union (WAEMU) which has an integrated capital market and a common fiscal rule. I document a significant heterogeneity in government revenue, spending, and debt across WAEMU countries. Then, in this chapter, I present a quantitative analysis of the fiscal rule in WAEMU and propose an optimal reform using a theoretical framework that models fiscal policy under present-biased governments facing shocks to their fiscal needs. The model highlights a trade-off between government flexibility in responding to shocks and a commitment to limit the incentive to overborrow. I find that the current 3\% deficit limit rule, which is uniform across all WAEMU countries, improves welfare for the citizens of all countries compared to a scenario with no fiscal rule. However, country-specific fiscal rules would lead to a Pareto improvement over the current uniform rule. The optimal deficit limit for each country would depend on the volatility of the shocks to its spending needs and the strength of the political-economic and monetary-economic frictions of its government. In addition, by imposing a uniform fiscal rule on all members, WAEMU foregoes 24\% of the welfare gains that could be achieved with a country-specific fiscal rule. In summary, I show that while WAEMU countries benefit from having a common fiscal rule, a tailored approach that considers the specific characteristics of each member country would enhance welfare even further. The third chapter (\emph{co-authored with Idossou Marius Adom}) explores the effects of roadblocks, time delays, and bribes along interstate roads on the regional trade integration in West Africa. Indeed, it is a well-known fact that regional trade within Africa is low compared to other regions in the world. In this paper, we rely on the Improved Road-Transport Governance reports to construct a novel data set that measures trade-related roadblocks, time delays, and bribes on eight interstate roads in Western Africa between 2006 and 2013 to investigate their effects on bilateral trade in the region. These interstate roads connect three landlocked countries -- Burkina Faso, Niger, and Mali -- to other coastal countries. We document that roadblocks, delays, and bribes are pervasive on the roads. During goods transportation, trucks experience up to more than 25 controls, are delayed by up to more than 5 hours, and pay between 45 and 115 US dollars bribe. Our empirical analyses show that the delays seriously impede bilateral trade between the connected countries while corruption tends to match the ``grease the wheels'' theory.