This thesis deals with evaluating accuracy of GDP prediction. Several indicators will be calculated to determine the accuracy, e.g. mean absolute error, root mean squared error, average forecast error and Theil coefficient. First section presents history of economic theory understanding, general description of DSGE model and description of national models. Countries with most and least reliable prediction models are identified through analysis. GEAR model of German national bank ended up as most reliable, while ÉIRE model of National Bank of Ireland is on the other side with lowest score. If company is seeking the most reliable information about future changes of GDP, it shall look for predictions of German national bank. Having more precise predictions leads to sustainable and stable business sphere.

This dissertation consists of three essays on housing markets and monetary policy. The first essay focuses on the impact of monetary policy on U.S. local housing markets and finds that monetary policy has uneven impacts on local housing markets, and that the magnitude of the impacts are correlated with housing supply regulations. The second essay studies the optimal interest rate rule in a DSGE model with housing market spillovers and finds that the optimal interest rate rule responds to house price inflation even when the stabilization of house price is not among the objectives of the policymaker. The third essay is the core of this dissertation. I construct a dynamic stochastic general equilibrium (DSGE) model in this paper to study the fluctuations in the U.S. housing markets. The model features a market for newly built houses, a secondary market for old houses, and an endogenous term structure of nominal interest rates. Negative technological progress in the housing sector explains the upward trend in house prices over the past four decades. Housing preference and technology innovations explain about 80% of the volatility of housing investment, real price of new houses, and the old-to-new house price ratio. Monetary factors explain about 15% of the volatility of housing investment, but do not significantly contribute to the price fluctuations of either new or old houses. The preference innovation to old houses is the leading determinant of the run-up in the price of old houses relative to the price of new houses during the 10-year period before the Great Recession. The term structure is endogenous in this paper, and the intertemporal preference innovation makes a non-negligible contribution to the variations in nominal interest rates. Housing market conditions do not contribute much to the fluctuations of interest rates, but significantly affect the shape of the yield curve. / Ph. D.

Yes / This paper develops and estimates a new-Keynesian dynamic stochastic general equilibrium (DSGE) model for the analysis of fiscal policy in the UK. We find that government consumption and investment yield the highest GDP multipliers in the short-run, whereas capital income tax and public investment have dominating effect on GDP in the long-run. When nominal interest rate is at the zero lower bound, consumption taxes and public consumption and investment are found to be the most effective fiscal instruments throughout the analysed horizon, and capital and labour income taxes are established to be the least effective. The paper also shows that the effectiveness of fiscal policy decreases in a small open-economy scenario and that nominal rigidities improve effectiveness of public spending and consumption taxes, whereas decrease that of income taxes.

in English In my diploma thesis I propose a dynamic stochastic general equilibrium model to describe economic inequality. The model combines two approaches that were traditionally used to model inequality - first, it features two classes of agents that differ in their ownership of capital and second, each class consists of heterogeneous agents who are subject to uninsurable idiosyncratic shocks. This combination allows the two classes to behave in a fundamentally different way while maintaining the individual character of agents in the economy - a feature that has not been modeled before but which adequately describes the empirical reality. I show that the model with classical RBC structure and a single wage underestimates the observed inequality. When the wage differential is introduced through different taxation of the two classes, the model matches empirical inequality much better. Further I argue that the government can significantly reduce inequality at a relatively small cost in terms of output lost. Finally using Theil coefficient decomposition, I show how much of the total inequality is attributable to between-class and within-class inequalities.

[pt] Esta tese consiste de três ensaios sobre política monetária. O primeiro investiga o problema de endogeneidade relacionado a estimação de regras de política monetária. O estimador de Mínimos Quadrados Ordinários gera estimativas viesadas e inconsistentes devido ao problema de endogeneidade. O uso de Método Generalizados dos Momentos (MGM) tem sido defendido como uma maneira eficiente de eliminar o viés. Nós usamos um modelo Novo Keynesiano de três equações para mostrar analiticamente que o viés de endogeneidade é uma função da fração da variância das variáveis contabilizadas pelo choque monetário. Se os choques monetários explicam apenas uma pequena fração das variações da inflação e do hiato do produto, então o viés de endogeneidade é pequeno. Nós então usamos métodos de Monte Carlo para mostrar que este resultado sobrevive em modelos econômicos mais complexos. No segundo artigo nós estimamos um modelo dinâmico estocástico de equilíbrio geral para avaliar os efeitos de forward guidance em um ambiente em que o prêmio de risco varia no tempo. Nós avaliamos os efeitos de forward guidance sobre a curva de juros e documentamos como choques de news impactam as variáveis macroeconômicas. Os resultados mostram que forward guidance tem impacto limitado na macroeconomia. Além disso, nossos resultados sugerem que o forward guidance puzzle não pode ser eliminado mesmo em um ambiente no qual forward guidance tem papel limitado nas taxas de juros mais longas. O terceiro artigo explora informações das variações dos juros para identificar choques monetários de news em um modelo macro-financeiro dinâmico. Nós permitimos variação no prêmio de risco e correlação entre os choques de news em um modelo restrito à taxa nominal de juros igual a zero. Apresentamos evidências de que o uso de métodos de máxima verossimilhança, combinado com modelos dinâmicos, não é suficiente para identificar os choques de news. Esta falha está associada com a ausência de mecanismos mais sofisticados para lidar com os movimentos da curva de juros durante o período recente de recessão econômica. / [en] This thesis consists of three essays on monetary policy. The first investigates the endogeneity problem related to monetary policy rules estimation. Ordinary Least Square estimator generates biased and inconsistent estimates due to endogeneity. Generalized Method of Moments (GMM) has been used on the pretext of eliminating the bias. We show analytically in the 3-equation New Keynesian model that the asymptotic bias is a function of the fraction of the variance of variables accounted for by monetary policy shocks. Since the monetary policy shocks explain only a small fraction of inflation and the output gap, hence, the endogeneity bias is small. We use Monte Carlo methods to show that this result survives in larger DSGE models. In the second article we estimate a medium-scale DSGE model to assess the effects of forward guidance in a framework with endogenous time-varying price of risk. We investigate how the forward guidance impact the term structure of interest rates, and document how different monetary policy news can impact macroeconomic variables. We find that forward guidance, through isolated news shocks, has limited impact on long term rates. Also, anticipated and surprise shocks have similar effects on bond yields as the economy is not restricted by the ZLB. Further, our results suggest that the forward guidance puzzle cannot be eliminated even within a framework in which forward guidance has limited impact on long term rates. The third essay exploits information from changes in yield curve to identify monetary news shocks in a macro-financial DSGE model. We allow a timevarying term premium and zero lower bound (ZLB) constraints. Although the DSGE econometric literature has argued in favor of the likelihood-based methods to identify and estimate the anticipated components of exogenous innovations, we show evidence that this approach, in combination with a standard New Keynesian DSGE model, does not provide a satisfactory estimation of the recent course of forward guidance shocks. This failure is associated with the absence of a richer mechanism to deal with the yield curve in the the recent recession.

本文研究目的是在動態隨機一般均衡模型當中，討論政府公債佔國內生產毛額的最適比率。本文建立一封閉經濟體系，討論政府公債佔國內生產毛額的比率改變時，對主要的經濟變數有何影響。不同於先前的研究，我們假設在極大化福利的前提下，找尋最適的政府公債佔國內生產毛額比率。靜止均衡的分析發現，政府公債佔國內生產毛額的比率與消費呈現正向變動的關係，與產出和勞動有著負向變動的關係。除此之外，當政府公債佔國內生產毛額的比率增加時，福利水準會越來越低，因此，最適的公債比率為零。 / The objective of this paper is to investigate the optimal ratio of public debt to GDP by using a micro-based dynamic stochastic general equilibrium (DSGE) model. In this paper, the model that we build is a closed economy. We discuss the effect of the optimal public debt to GDP ratio on primary variables. Different from previous research, we look for the optimal ratio of public debt to GDP that will maximize welfare. In the steady state analysis, we find that the ratio of public debt to GDP has the positive effect on consumption and negative effect on output and labor. Furthermore, the welfare level is lowered with the rise in the debt ratios to GDP. Thus, the optimal debt ratio should be 0.

本研究目的是在動態隨機一般均衡模型中，討論在貨幣聯盟中，一個中央的財政政府面對衝擊時如何反應。我們根據Gali and Monacelli (2008)的架構並加入一個基金機制來模擬會員國間的財政合作。此基金機制設定為有一中央財政政府向各會員國收取固定的基金費用並將此基金費用全部重新分配給各會員國，故基金在每一期都會結清。在這樣的設定下，聯盟的財政合作和個別國家政府面對波動時的反應相同。 / The objective of this paper is to investigate how the central fiscal authority copes with shocks in a monetary union with a dynamic stochastic general equilibrium (DSGE) model. We follow the framework of Gali and Monacelli (2008) and set a fund mechanism to simulate one cast of fiscal coordination among member countries. The central fiscal authority raises the constant fund payment from all member countries and redistributes it to member states, so the budget of the transfer is balanced in each period. Under our design of fund mechanism, we find that this cast of fiscal coordination plays the same rule as the government sector.

Die Europäische Währungsunion (EWU) umfasst heute 16 Staaten mit insgesamt 321 Millionen Einwohnern, sie ist mit einem Bruttoinlandsprodukt von 22,9 Billionen Euro einer der größten Wirtschaftsräume der Erde. In den nächsten Jahren wird die EWU durch die Aufnahme der 2004 und 2007 beigetretenen neuen EU-Länder weiter wachsen. Da der Beitritt von der Erfüllung der Kriterien von Maastricht abhängt, erfolgt die Erweiterung im Gegensatz zur 5. Erweiterungsrunde der EU nicht als Block, sondern sequentiell. Nach den Beitritten von Slowenien am 1.1.2007 und der Slowakei zum 1.1.2009 steht der Beitritt eines ersten großen Landes in den nächsten Jahren bevor. Daher stößt die Frage der Effekte eines solchen Beitritts seit geraumer Zeit auf breites Interesse in der ökonomischen Literatur. Das Forschungsziel der Dissertation ist es, die theoretischen Wirkungsmechanismen eines Beitritts der neuen Mitgliedsländer zur Europäischen Währungsunion abzubilden. Hierzu werden mögliche stabilitätspolitische Konsequenzen sowie die Auswirkungen eines Beitritts auf die geografische Wirtschaftsstruktur und das Wachstum dieser Länder in theoretischen Modellen abgeleitet. Die direkten Effekte des Beitritts werden in einem angewandt-theoretischen Modell zudem quantifiziert. Insgesamt wird der Beitritt aus drei verschiedenen Perspektiven analysiert: Erstens werden die Konsequenzen der Währungsunion für die Stabilitätspolitik der neuen Mitgliedsländer im Rahmen eines neukeynesianischen Modells betrachtet. Zweitens werden die mit der Transaktionskostensenkung verbundenen Gewinne in einem angewandten Gleichgewichtsmodell quantifiziert. Drittens werden die wachstumstheoretischen Wirkungen der Finanzmarktintegration in einem dynamischen Gleichgewichtsmodell untersucht. Da die drei Aspekte der makroökonomischen Stabilität, der Transaktionskostensenkung und der dynamischen Wirkungen der Finanzmarktintegration weitgehend unabhängig voneinander auftreten, ist die Verwendung verschiedener Modelle mit geringen Kosten verbunden. In der Gesamtbeurteilung des EWU-Beitritts der neuen EU-Länder kommt diese Arbeit zu einer anderen Einschätzung als bisherige Studien. Die in Teil eins ermittelten stabilitätspolitischen Konsequenzen sind entweder neutral oder implizieren bei Beitritt zur Währungsunion eine größere Stabilität. Die in Teil zwei und drei ermittelten statischen und dynamischen Gewinne eines Beitritts sind zudem erheblich, so dass ein schneller Beitritt zur Währungsunion für die neuen EU-Mitgliedsländer vorteilhaft ist. Unter Berücksichtigung der Ziele der Europäischen Wirtschafts- und Währungsunion (EWWU) müssen hierzu jedoch zwei Bedingungen erfüllt sein. Einerseits sind hinreichend entwickelte Finanzmärkte notwendig, um das Ziel einer Konvergenz der neuen und alten EU-Mitgliedsländer zu erreichen. Andererseits wird der Gesamtraum von einer stärkeren Finanzmarktintegration und einer Senkung der Transaktionskosten profitieren, jedoch durch die Übertragung von Schocks der neuen Mitgliedsländer instabiler. Daher kann der Beitritt der neuen Mitgliedsländer zur EWU für den Gesamtraum negativ sein. Diese Kosten sind nur dann zu rechtfertigen, falls über die schnellere Entwicklung der neuen Mitgliedsstaaten eine höhere Stabilität des Währungsraumes erzielt wird. Das neukeynesianische Wachstumsmodell gibt Hinweise, dass eine solche Entwicklung eintreten könnte. / The European Monetary Union consists of 16 member states, is inhabited by 321 million people and has a joint GDP of 22.9 trillion Euros. It is one of the largest economic areas in the world. In the next years the Eurozone will growth further, eight remaining new EU member states will join after their fulfillment of the Maastricht criteria. This makes accession rather sequential, Slovenia joined in 2007, Slovakia in 2009 and Estonia is about to join the Eurozone in 2010. However, these rules open the opportunity for a new EU-member state to postpone membership of EMU in violating the Maastricht criteria like Sweden. The contribution of my Ph.D. thesis is to derive channels of the impact of an EMU accession on the macro-economy. To this aim, I analyze the effects of accession on stability, growth and the geographical structure within theoretical models. The static effects of accession are quantified within a computable equilibrium model. In the conclusions I answer the question whether there are economic reasons for a new member state to avoid EMU membership. The thesis is organized in three parts reflecting three perspectives of accession. Within the first main chapter, the effects of accession on stability are analyzed within a dynamic general equilibrium framework (DSGE). After a short discussion of the effects of monetary arrangements on the stability of an economy, I analyze the well-known arguments of the theory of optimum currency areas. Thereafter the model is used to analyze the transmission of shocks within the monetary union. The second main chapter of the thesis is related to static effects of accession. I show that in five new member states gains from accession outpace costs. Nevertheless, the gain from accession varies among accession countries and economic activities. Overall, small open economies tend to benefit to a greater extent than medium-size, more closed economies. In the third main chapter of the thesis a multiregional growth model is developed. In this model further integration leads to more efficient financial markets which foster growth. Nevertheless, like in all new economic geography (NEG) models, there could be the outcome of a catastrophic agglomeration. Capital could move from poor accession countries to rich western Eurozone countries. To prevent such a catastrophic agglomeration, financial markets should show a minimum degree of development. The conclusion of the thesis supports the accession of new member states to the Eurozone. I argue that the consequences of EMU accession will be either neutral or positive for the accession countries. Since these countries tend to be more instable, they could gain from an equalization of shocks within the Eurozone. The static effects outpace the costs of accession. Within the last years we saw huge progress in the integration of new EU-member states into the international financial system. A catastrophic agglomeration should therefore be unlikely. However, market capitalization remains low and bank lending is less profitable than in western EU-countries so that a risk remains which could justify a postponement of accession.

L’interaction sphère financière/sphère réelle a longtemps été délaissée dans les modèles macroéconomiques, postulant généralement la neutralité de la première. La récente crise financière dite des subprime démontre qu’il en est autrement. Cette thèse propose trois essais sur le rôle du secteur financier et plus particulièrement bancaire à l’aune de la dernière crise.Le premier consiste à donner un cadre formel à la nature exceptionnelle de la crise en abandonnant l’hypothèse de normalité des ‘événements résiduels’. Nos résultats réfutent le caractère ‘normal’ de la crise mais, aussi et surtout, soulignent les biais en termes de diagnostics économiques à la considérer comme telle.Par ailleurs, un des effets exceptionnels de cette crise a été le recours à des politiques monétaires non conventionnelles. La deuxième partie de la thèse suggère à ce titre l’incertitude sur les marchés interbancaires comme une raison probable de l’inefficacité des politiques monétaires conventionnelles. Une politique monétaire équilibrée entre lutte contre l'inflation et soutien à l'économie réelle serait néanmoins plus à même de réduire les effets de cette incertitude sur le cycle économique.Enfin, le troisième volet de la thèse propose une étude d’impact de la nouvelle réglementation Bâle III sur le secteur réel. L’absence d’externalités positives entre la mise en œuvre de la contrainte de capitalisation et celle du LCR accentue davantage l’écart de production entre PME et grandes entreprises, induisant un impact récessif global encore plus sensible. Une mise en œuvre plus lente et parfaitement annoncée des nouvelles normes réglementaires pourrait néanmoins nuancer ces effets. / Until recently, most macroeconomic models have ignored the interaction between financial and real sectors, postulating the neutrality of the former. However, the last financial crisis, also known as subprime crisis, rejected this assumption. In this thesis we propose three essays where we try to shed light on the role of the financial and more particularly the banking sector during the last crisis.The first essay provides a formal assessment of the exceptional nature of the crisis by challenging the usual ‘normality’ assumption of the innovations. Our results refute the ‘normality’ assumption for the crisis, but also and more importantly, they put forward possible biases from using this assumption in macroeconometric models.The exceptional features of the crisis can also be seen in the use of unconventional monetary policy. The second chapter of the thesis shows how higher volatility in the interbank market impedes the standard monetary policy effects. However, a central bank with a more balanced monetary policy, reacting both to inflation pressures and to GDP variations, would be in a better situation to dampen the effects of interbank volatility shocks on the economic cycle.The last chapter deals with the impact on the real sector of the new Basel III regulatory requirements. The fulfillment of the new capital ratio has no positive spill-over effects on the Liquidity Coverage Ratio which magnifies the output discrepancy between SMEs and corporate firms. This, in turn, generates a greater recessionary impact on the overall economy. A more progressive implementation of the new regulation combined with perfect expectations should however decrease such adverse effects.

In this dissertation I incorporate high dimensional data vectors in estimated Dynamic Stochastic General Equilibrium (DSGE) models, evaluating the labor market dynamics incorporated inside such data vectors, out-of-sample forecasting performance of many models estimated with such data vectors and analytically examining the reduction of macroeconomic volatility that can occur when such data vectors are used in the formation of expectations about the future. The second chapter investigates the extent to which modern DSGE models can produce labor market dynamics in response to a financial crisis that are consistent with the experience of the Great Recession. I estimate two New-Keynesian models, one with and one without financial frictions, in a data-rich environment. I find that negative financial shocks are associated with longer recoveries in real investment, capital-intensive sectors of the labor market and average unemployment duration. I also find the model with a financial accelerator is equipped with better tools to identify the dynamics associated with the Great Recession and its recovery in regard to many labor and financial metrics. The third chapter compares the out-of-sample forecasting performance of the two DSGE models of Chapter II when they are estimated both out of and in a data-rich environment. This chapter finds that many financial time series variance decomposition are significantly better explained using the structural set-up of the New-Keynesian model with financial frictions. DSGE models estimated with high dimensional data vectors significantly out forecast their regularly estimated counterpart in regard to output, investment and consumption growth. Lastly, the use of real-time optimal pool model weighting significantly out-forecasts traditional macroeconomic models as well as an equally weighted weighting scheme in terms of many macroeconomic variables. The fourth chapter examines the role forecasts derived by high dimensional data vectors can have on lowering macroeconomic volatility. Bounded rational agents are introduced into the Chapter II DSGE model with financial frictions and are given the option to use or ignore professionally generated forecasts from a dynamic factor model in their perceived forecasting model. In simulations, I find that professionally generated forecasts can significantly lower the volatility of many macroeconomic variables including inflation and hours worked.