Índices de confiança/expectativas são frequentemente utilizados pela mídia e pelo mercado com intuito de projetar o comportamento da economia. As expectativas dos agentes econômicos são peças relevantes, acredita-se, para explicar flutuações de produto e emprego, tanto moderadas como drásticas a exemplo das crises \".com\" e dos subprimes americanos. No Brasil, o tema passou a receber mais atenção devido à crise dos últimos anos.A estimação de um VAR com séries brasileiras de produto, consumo e expectativas sugere que de fato inovações nos índices de expectativas possuirão impactos de médio-longo prazo no consumo agregado e no PIB, além dos próprios índices. A partir dessa evidência, procura-se separar por meio de um modelo DSGE o quanto desses impactos se deve a fundamentos econômicos futuros antecipados pelos agentes e o quanto se deve a alterações momentâneas de humor, isto é, aos animal spirits. Os resultados sugerem que animal spirits e ruídos inerentes aos próprios índices são responsáveis por uma parte considerável da flutuação no período de 1-2 trimestres. Para horizontes iguais ou superiores a 2 trimestres, a antecipação de fundamentos econômicos passa a ser predominante. / Consumer confidence/expectation indexes are frequently used by the media and the market in order to forecast the behavior of the economy. Agents\' expectations are believed to explain output and employment fluctuations, either moderate or drastic as the \".com\" and the american subprime crisis. In Brazil, more attention has been drawn to this topic due to the recent economic crisis.The estimation of a VAR with brazilian data for consumption, output and expectations suggests that innovations to the expectation indexes do have impact on aggregate consumption and GDP in the medium/long-run, as well as the indexes themselves. Inspired by this evidence, a DSGE model is used in order to assess how much of these impacts are due to anticipation of future economic fundamentals and how much are due to animal spirits. The results indicate that animal spirits and index-specific noise are responsible for a non-negligible amount of fluctuations up to 2 quarters, whereas news of future economic conditions prevail on lower frequencies.

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<p>The thesis consists of three self-contained essays on public policy in the macroeconomy.</p><p>“Government Policy in the Formal and Informal Sectors” quantitatively investigates the interaction between the firms' choice to operate in the formal or the informal sector and government policy on taxation and enforcement. Taxes, enforcement, and regulation are incorporated in a general equilibrium model of firms differing in their productivities. The model quantitatively accounts for the keys aspects in the data and allows me to back out country-specific enforcement levels. Some policy reforms are analyzed and the welfare gains can be fairly large.</p><p>“Determinants of Capital Intensive and R&D Intensive Foreign Direct Investment” studies the determinants of capital intensity and technology content of FDI. Using industry data on U.S. FDI abroad and data on many different host countries' institutional characteristics, we show that there is a differential response of FDI flows to investment climate according to the capital intensity of the industries receiving the investments. We find that better protection of property rights has a significant positive effect on R&D intensive capital flows. We find evidence that an increase in workers' bargaining power results in a reduction of both kinds of FDI. </p><p>“Ambiguity Aversion, the Equity Premium, and the Welfare Costs of Business Cycles” examines the relevance of consumers’ ambiguity aversion for asset prices and how consumption fluctuations influence consumer welfare. First, in a Mehra-Prescott-style endowment economy, we calibrate ambiguity aversion so that asset prices are consistent with data: a high return on equity and a low return on risk-free bonds. We then use this calibration to investigate how much consumers would be willing to pay to reduce endowment fluctuations to zero, thus delivering a Lucas-style welfare cost of fluctuations. These costs turn out to be very large: consumers are willing to pay over 10% of consumption in permanent terms.</p>

<p><strong>Variations in fertility have caused a problematic situation in Sweden among other European countries. According to </strong>the Council of Europe we are facing an economic and demographic challenge, when the baby boomers of the 1940’s are retiring. <strong>Economists have for a long time studied the connection between economic factors and fertility, and several studies have found a correlation between business cycles and birth rates. This connection is again of current interest 2008, when a financial bubble bursts at the same time as a baby boom occurs. A similar event happened in 1992 when the latest baby boom occurred at the same time as a financial bubble.</strong></p><p><strong> </strong></p><p>This study investigates the correlation between real disposable income, employment among women, the price development of small houses, family policies and fertility during the period 1960-2008. The conclusions are reached by studies of earlier research and literature on economic theory of fertility. In the analysis theories and the results of earlier research are compared to empiric macro data taken from the Swedish Statistical Agency.</p><p> </p><p>The conclusions are that a causal relation between economic factors and fertility exists, but it is not obvious; is fertility affected by variations in economic factors or the opposite? Employment affects both women’s income and their entitlement to parental benefit, which means that fertility and female employment are closely connected. Both financial bubbles and baby booms arise from the same psychological factors, which are rarely explained in economic models. When the Swedish parental benefit was introduced it had two effects; first it made the average age of women having their first baby increase, and secondly fertility became more closely connected to business cycles.<em>  </em></p>

The thesis presents a useful and effective blend of insights about macroeconomic business fluctuations and the effects of government expenditure in economic growth in Korea. In Chapter I, I show that the joint behavior of key Korean macroeconomic variables is consistent with traditional Keynesian interpretation of macroeconomic business fluctuations by using standard VAR analysis and structural VAR analysis. Both analyses consistently confirmed that aggregate demand shocks move output and prices in the same direction, whereas aggregate supply shocks move output and prices in the opposite direction in the short run, and that aggregate demand shocks are reflected mostly in prices in the long run, while aggregate supply shocks are likely to have long run effects on output. In Chapter II, I analyze the long run effects of different types of government spending on economic growth in Korean economy by using Transfer Function Analysis and Impulse Response Analysis. Both analyses indicated that the most efficient way to enhance the economic growth in Korea is by increasing expenditure on health, education, electricity, gas and water without ignoring expenditures on roads, social security and welfare, transportation and communication. / Graduation date: 1997

This thesis in economics includes three self-contained papers united by a common theme: the importance of economic fluctuations within and between countries for capital flows and risk sharing inside and across national borders. The first two papers study the determinants of workers’ remittances, as well as the consequences for macroeconomic volatility for the countries that receive them, using econometric methods and a general equilibrium model. The third paper studies whether two challenges to international real business cycle models, the so called ”Quantity Puzzle” and the positive relationship between financial integration and output correlations, obtain for European countries and regions. As a second step, it also investigates multilateral channels for risk sharing. / Diss. Stockholm : Handelshögskolan, 2010. Sammanfattning jämte 3 uppsatser.

Many economists and politicians have blamed fixed exchange rate regimes for several crises taking place in developing countries after the 1980s. According to them, since the beginning of the 2000s, widespread implementation of flexible exchange rate regimes and high international reserves have prevented developing countries from experiencing similar catastrophic experiences. This interpretation seems to be misleading. We believe that even flexible exchange rate regimes with high international reserves do not have a magic to prevent a financial crisis. Although flexible exchange rate regimes and high international reserves might have played some positive roles in the relatively calm period of 2001-2008 / the main reason behind the calmness of this period is the fact that developing countries did not face a strong financial shock during this period. In the presence of &ldquo / safe havens&rdquo / , which implies existence of safe developed countries for financial capital to move into, flexible exchange rate regimes and the accumulated large reserves may not be adequate when a wave of financial shocks, as in the form of sudden stops and capital reversals, hit developing countries. Indeed, the absence of safe heavens and very low yields in developed countries eased the pressure on developing countries during the recent financial crisis of 2008-2009. If developed economies get their safe haven status back, developing countries might face new financial shocks. In this sense developing countries would experience new financial crises in this new period. We will elaborate on the possible conditions of these prospective financial crises in this thesis.

Variations in fertility have caused a problematic situation in Sweden among other European countries. According to the Council of Europe we are facing an economic and demographic challenge, when the baby boomers of the 1940’s are retiring. Economists have for a long time studied the connection between economic factors and fertility, and several studies have found a correlation between business cycles and birth rates. This connection is again of current interest 2008, when a financial bubble bursts at the same time as a baby boom occurs. A similar event happened in 1992 when the latest baby boom occurred at the same time as a financial bubble.   This study investigates the correlation between real disposable income, employment among women, the price development of small houses, family policies and fertility during the period 1960-2008. The conclusions are reached by studies of earlier research and literature on economic theory of fertility. In the analysis theories and the results of earlier research are compared to empiric macro data taken from the Swedish Statistical Agency.   The conclusions are that a causal relation between economic factors and fertility exists, but it is not obvious; is fertility affected by variations in economic factors or the opposite? Employment affects both women’s income and their entitlement to parental benefit, which means that fertility and female employment are closely connected. Both financial bubbles and baby booms arise from the same psychological factors, which are rarely explained in economic models. When the Swedish parental benefit was introduced it had two effects; first it made the average age of women having their first baby increase, and secondly fertility became more closely connected to business cycles.

<p>This dissertation consists of two essays in international macroeconomics. In the first essay I explore the role of portfolio diversification in explaining the distribution of foreign investment across countries. I do so by adopting a portfolio allocation approach to risk, that is widely used in empirical finance, to complement more traditional analyses of foreign capital flows across countries. I capture the portfolio diversification motive by a measure of country-specific riskiness, "covariance risk", which I construct as how countries' growth rates covary with the stochastic discount factor of a representative international investor. The idea is to capture the extent to which investments in a foreign economy provide a hedge against the investor's overall risk. My key new empirical finding is a strong and significant correlation between this new measure of country riskiness and foreign investment allocations. Less risky countries, i.e countries whose growth rates are more highly correlated with the investor's stochastic discount factor, receive larger investment shares than more risky countries. I interpret this result as evidence that investors do take into account diversification opportunities not only for portfolio investment decisions but also for foreign direct investment decisions. My empirical results confirm the theoretical predictions of standard portfolio allocation models.</p><p>In the second essay I explore the business cycle regularities of low-income countries in comparison to those observed in middle- and high-income countries. The data reveals several distinguishing features of the business cycle in low-income countries compared to the other two income groups: acyclical trade balances; highest volatility of consumption relative to output; highest volatility of debt; highest average debt-to-output ratio and lowest average savings ratio; significant negative correlation between domestic saving rates and the net foreign asset position. My main finding is that a small open economy model with both trend and transitory shocks to productivity, and varying intertemporal elasticity of substitution, motivated by subsistence consumption theories, can be used to account for the distinguishing features of the three income groups. The theoretical model shows that while both permanent shocks and transitory fluctuations around the trend are important sources of fluctuations in low-income countries, temporary shocks play a predominant role. In comparison to the other two income groups the volatility of the temporary shock for the low-income countries is more than three times higher than that for the high-income group and twice as large as that for the middle-income group. The same pattern holds for the permanent shock.</p> / Dissertation