No description available.

Ce travail propose une mise en perspective des pratiques de modélisation macroéconomique,depuis les travaux de Robert E. Lucas dans les années 1970 jusqu’aux contributions actuelles de l’approche dite d’équilibre général dynamique stochastique (DSGE). Cette mise en perspective permet de caractériser l’essor des modèles DSGE comme un compromis entre conceptions antagonistes de la modélisation : d’une part, celle de l’approche des cycles réels (RBC) et, d’autre part, celle de la nouvelle économie keynésienne. Pour justifier cette opposition, ce travail propose une reconstruction épistémologique de l’histoire récente de la macroéconomie, à savoir une analyse des différents critères qui définissent la validité et la pertinence d’un modèle. L’hypothèse de travail est qu’on peut identifier, pour chaque pratique de modélisation,trois critères méthodologiques fondamentaux : la validité interne (l’adéquation des hypothèses d’un modèle aux concepts aux formalismes d’une théorie), la validité externe(l’adéquation des hypothèses et/ou des résultats d’un modèle au monde réel, et les procédés quantitatifs pour évaluer cette adéquation) et le critère de hiérarchie (la préférence pour la validité interne sur la validité externe, ou vice versa). Cette grille de lecture, inspirée de la littérature sur les modèles en philosophie des sciences, permet d’apporter quatre contributions originales à l’histoire de la macroéconomie récente. (1) Elle permet de concevoir l’essor des modèles DSGE sans faire appel à l’explication proposée par l’historiographie produite par les macroéconomistes eux-mêmes,à savoir l’existence d’un consensus et d’un progrès technique exogène. Contre cette vision de l’histoire en termes de progrès scientifique, nous mettons en avant les oppositions méthodologiques au sein de la macroéconomie et nous illustrons l’interdépendance entre activité théorique et développement des méthodes statistiques et économétriques. (2) La thèse s’attaque au cloisonnement entre histoire des théories macroéconomiques et histoire des méthodes quantitatives. Grâce à sa perspective méthodologique, ce travail permet d’opérer la jonction entre ces deux littératures et de développer les bases d’une vision globale des transformations récentes de la macroéconomie. (3) La relecture méthodologique de l’histoire de la modélisation permet de mettre en évidence comment la condition de validité externe a représenté le principal point de clivage entre différentes conceptions de la modélisation. La question de la validité externe apparaît par ailleurs intrinsèquement liée à la question de l’explication causale des phénomènes, sur laquelle repose largement la justification de la modélisation comme outil d’expertise des politiques économiques. (4) Ce travail aboutit à une caractérisation originale de l’approche DSGE : loin de constituer une «synthèse» ou un consensus, cette approche s’apparente à un compromis, fragilisé par l’antagonisme méthodologique entre ses parties prenantes. / This dissertation provides a history of macroeconomic modeling practices from RobertE. Lucas’s works in the 1970s up to today’s dynamic stochastic general equilibrium (DSGE) approach. Working from a historical perspective, I suggest that the recent rise of DSGE models should be characterized as a compromise between opposing views of modeling methodology—on the one hand, the real business cycle (RBC) view, on the other hand, the new Keynesian view. In order to justify this claim, my work provides an epistemological reconstruction of the recent history of macroeconomics, building from ananalysis of the criteria defining the validity and the pertinence of a model. My assumption is that recent macroeconomic modeling practices can be described by three distinctive methodological criteria : the internal validity criterion (which establishes the consistency between models’ assumptions and concepts and formalisms of a theory), the external validity criterion (which establishes the consistency between the assumptions and results of a model and the real world, as well as the quantitative methods needed to assess such a consistency) and the hierarchization criterion (which establishes the preference for internal over external validity, or vice versa). This epistemological reconstruction draws primarily from the literature about models in the philosophy of science. My work aims to make four contributions to the history of recent macroeconomics. (1) To understand the rise of DSGE models without referring to the explanation providedby the macroeconomists themselves, who tend to think that macroeconomics evolved through theoretical consensus and exogenous technical progress. By distancing itself fromthis perspective, my work draws attention to the disruptive character of methodological controversies and to the interdependence between theoretical activity and the developmentof statistical and econometric methods. (2) To overcome the existing divide betweenthe history of macroeconomic theories and the history of quantitative methods. Throughits epistemological perspective, my work reconciles these two historiographies and specifiesthe basis for a comprehensive understanding of recent developments in macroeconomics.(3) To put the accent on the external validity condition as the main controversial issue separating different views of macro-modeling methodology. Furthermore, I illustrate how the debate about external validity is closely related to the problem of casual explanation and, finally, to the conditions for providing economic policy evaluation. (4) To characterize the DSGE approach: although DSGE models are often presented as a“synthesis”, or as a “consensus”, they are better described as a shaky compromise between two opposing methodological visions.

O objetivo deste trabalho é investigar o desempenho de estimadores baseados em momentos das famílias verossimilhança empírica generalizada (GEL) e mínimo contraste generalizado (GMC) na estimação de modelos de equilíbrio geral dinâmico e estocástico (DSGE), com enfoque na análise de robustez sob má-especificação, recorrente neste tipo de modelo. Como benchmark utilizamos método do momentos generalizado (GMM), máxima verossimilhança (ML) e inferência bayesiana (BI). Trabalhamos com um modelo de ciclos reais de negócios (RBC) que pode ser considerado o núcleo de modelos DSGE, apresenta dificuldades similares e facilita a análise dos resultados devido ao menor número de parâmetros. Verificamos por meio de experimentos de Monte Carlo se os estimadores estudados entregam resultados satisfatórios em termos de média, mediana, viés, erro quadrático médio, erro absoluto médio e verificamos a distribuição das estimativas geradas por cada estimador. Dentre os principais resultados estão: (i) o estimador verossimilhança empírica (EL) - assim como sua versão com condições de momento suavizadas (SEL) - e a inferência bayesiana (BI) foram, nesta ordem, os que obtiveram os melhores desempenhos, inclusive nos casos de especificação incorreta; (ii) os estimadores continous updating empirical likelihood (CUE), mínima distância de Hellinger (HD), exponential tilting (ET) e suas versões suavizadas apresentaram desempenho comparativo intermediário; (iii) o desempenho dos estimadores exponentially tilted empirical likelihood (ETEL), exponential tilting Hellinger distance (ETHD) e suas versões suavizadas foi bastante comprometido pela ocorrência de estimativas atípicas; (iv) as versões com e sem suavização das condições de momento dos estimadores das famílias GEL/GMC apresentaram desempenhos muito similares; (v) os estimadores GMM, principalmente no caso sobreidentificado, e ML apresentaram desempenhos consideravelmente abaixo de boa parte de seus concorrentes / The objective of this work is to investigate the performance of moment-based estimators of the generalized empirical likelihood (GEL) and generalized minimum contrast (GMC) families in the estimation of dynamic stochastic general equilibrium (DSGE) models, focusing on the robustness analysis under misspecification, recurrent in this model. As benchmark we used generalized method of moments (GMM), maximum likelihood (ML) and Bayesian inference (BI). We work with a real business cycle (RBC) model that can be considered the core of DSGE models, presents similar difficulties and facilitates the analysis of results due to lower number of parameters. We verified, via Monte Carlo experiments, whether the studied estimators presented satisfactory results in terms of mean, median, bias, mean square error, mean absolute error and we verified the distribution of the estimates generated by each estimator. Among the main results are: (i) empirical likelihood (EL) estimator - as well as its version with smoothed moment conditions (SEL) - and Bayesian inference (BI) were, in that order, the ones that obtained the best performances, even in misspecification cases; (ii) continuous updating empirical likelihood (CUE), minimum Hellinger distance (HD), exponential tilting (ET) estimators and their smoothed versions exhibit intermediate comparative performance; (iii) performance of exponentially tilted empirical likelihood (ETEL), exponential tilting Hellinger distance (ETHD) and its smoothed versions was seriously compromised by atypical estimates; (iv) smoothed and non-smoothed GEL/GMC estimators exhibit very similar performances; (v) GMM, especially in the over-identified case, and ML estimators had lower performance than their competitors

Univ., Diss.--Bonn, 2002. / Enth. 3 Beitr.

O objetivo deste trabalho é investigar o desempenho de estimadores baseados em momentos das famílias verossimilhança empírica generalizada (GEL) e mínimo contraste generalizado (GMC) na estimação de modelos de equilíbrio geral dinâmico e estocástico (DSGE), com enfoque na análise de robustez sob má-especificação, recorrente neste tipo de modelo. Como benchmark utilizamos método do momentos generalizado (GMM), máxima verossimilhança (ML) e inferência bayesiana (BI). Trabalhamos com um modelo de ciclos reais de negócios (RBC) que pode ser considerado o núcleo de modelos DSGE, apresenta dificuldades similares e facilita a análise dos resultados devido ao menor número de parâmetros. Verificamos por meio de experimentos de Monte Carlo se os estimadores estudados entregam resultados satisfatórios em termos de média, mediana, viés, erro quadrático médio, erro absoluto médio e verificamos a distribuição das estimativas geradas por cada estimador. Dentre os principais resultados estão: (i) o estimador verossimilhança empírica (EL) - assim como sua versão com condições de momento suavizadas (SEL) - e a inferência bayesiana (BI) foram, nesta ordem, os que obtiveram os melhores desempenhos, inclusive nos casos de especificação incorreta; (ii) os estimadores continous updating empirical likelihood (CUE), mínima distância de Hellinger (HD), exponential tilting (ET) e suas versões suavizadas apresentaram desempenho comparativo intermediário; (iii) o desempenho dos estimadores exponentially tilted empirical likelihood (ETEL), exponential tilting Hellinger distance (ETHD) e suas versões suavizadas foi bastante comprometido pela ocorrência de estimativas atípicas; (iv) as versões com e sem suavização das condições de momento dos estimadores das famílias GEL/GMC apresentaram desempenhos muito similares; (v) os estimadores GMM, principalmente no caso sobreidentificado, e ML apresentaram desempenhos consideravelmente abaixo de boa parte de seus concorrentes / The objective of this work is to investigate the performance of moment-based estimators of the generalized empirical likelihood (GEL) and generalized minimum contrast (GMC) families in the estimation of dynamic stochastic general equilibrium (DSGE) models, focusing on the robustness analysis under misspecification, recurrent in this model. As benchmark we used generalized method of moments (GMM), maximum likelihood (ML) and Bayesian inference (BI). We work with a real business cycle (RBC) model that can be considered the core of DSGE models, presents similar difficulties and facilitates the analysis of results due to lower number of parameters. We verified, via Monte Carlo experiments, whether the studied estimators presented satisfactory results in terms of mean, median, bias, mean square error, mean absolute error and we verified the distribution of the estimates generated by each estimator. Among the main results are: (i) empirical likelihood (EL) estimator - as well as its version with smoothed moment conditions (SEL) - and Bayesian inference (BI) were, in that order, the ones that obtained the best performances, even in misspecification cases; (ii) continuous updating empirical likelihood (CUE), minimum Hellinger distance (HD), exponential tilting (ET) estimators and their smoothed versions exhibit intermediate comparative performance; (iii) performance of exponentially tilted empirical likelihood (ETEL), exponential tilting Hellinger distance (ETHD) and its smoothed versions was seriously compromised by atypical estimates; (iv) smoothed and non-smoothed GEL/GMC estimators exhibit very similar performances; (v) GMM, especially in the over-identified case, and ML estimators had lower performance than their competitors

本文的研究目的為，在一個含有房屋及房屋相關貸款的動態隨機一般均衡模型的架構中，比較貨幣政策、財政政策以及總體審慎政策對於房屋價格及房屋相關貸款的穩定效果。本文建構一個經濟封閉體系，其中包含三種不同家計單位、商品生產部門、房屋建商、資本生產部門，並且由政府部門制定相關政策；此模型的特色為，不同家計單位中的借貸行為、名目價格僵固性以及透過房屋價格抵押貸款的限制來刻劃金融摩擦。我們考慮了一般緊縮貨幣政策、提高財產稅率以及緊縮貸款價值比；本文發現，在三種政策中，對於抑制房屋價格以及降低住房貸款對國內生產毛額的比例，財政政策及總體審慎政策比起緊縮貨幣政策擁有較好的效果。 / The main purpose in this paper is to compare the effect of monetary policy, fiscal policy and macroprudential policy on housing price and housing related loans using a micro-based dynamic stochastic general equilibrium (DSGE) model with housing and housing related loans. We equip a closed economy model with three types of infinitely-lived households (patient households, impatient households and renters), a goods firm, housing and capital producer and a government sector. The model features borrowing and lending between patient and impatient households, nominal rigidity in goods price and financial friction in the form of collateral constraints tied to price of house. We consider the contractionary monetary policy by raising the interest rate, fiscal policy by increasing property tax rate and the macroprudential policy through tightening the loan-to-value (LTV) ratio. We find that among these three policies, in terms of dampening the price of housing and lowering the loan-to-GDP ratio, raising the property tax and lowering the LTV ratio outperforms the contractionary monetary policy.

中央銀行政策透明度影響總體經濟的議題在近日漸受重視。以美國為例，2008年房貸嚴重違約，高順位債權受到波及，使多數金融業產生營運危機，讓聯邦準備銀行 (Fed) 政策執行受到關注。晚近貨幣當局的政策透明度漸受重視。貨幣政策應如何選定才能使總體經濟達到較高的社會福利？Cukierman在2002年指出中央銀行的透明度低易造成較高的物價膨脹。本研究以動態一般性均衡模型 (dynamic stochastic general equilibrium) ，建構新凱因斯小型開放總體模型。模型內含一定程度的價格僵固，並且擁有前瞻預期 (forward looking) 及後顧預期 (backward looking) 兩種型態的廠商存在其中。再採用貝氏方法估計台灣在該模型所應採用的參數後，並嘗試對體系內多個部門投入衝擊，然後檢視央行的政策透明度對總體經濟的影響，同時驗證是否支持Cukierman的結論。本研究印證Cukierman的結論，發現央行在操作貨幣政策面臨兩難時，不應採取透明度低的政策法則，而應優先針對物價的不穩定做出因應對策。 / Recently, people pay attention to central bank’s policy transparency, and most countries’ central banks have accepted the suggestion made by the Bank for International Settlements to adopt transparent monetary policy. Cukierman (2002) concluded that if the central bank’s policy was not transparency, it would cause higher inflation. The thesis will utilizes dynamic stochastic general equilibrium model with New Keynesian concept proposed by Gali and Monacelli (2005) to analyze the effects of transparent monetary policy and to classify the macroeconomic different effects between transparent and hazy monetary policy. The conclusions support that higher monetary policy transparency will reduce social welfare loss, lower the volatility of inflation and output gap.

Cette thèse est une collection de trois articles en macroéconomie et finances publiques. Elle développe des modèles d'Equilibre Général Dynamique et Stochastique pour analyser les implications macroéconomiques des politiques d'imposition des entreprises en présence de marchés financiers imparfaits. Le premier chapitre analyse les mécanismes de transmission à l'économie, des effets d'un ré-échelonnement de l'impôt sur le profit des entreprises. Dans une économie constituée d'un gouvernement, d'une firme représentative et d'un ménage représentatif, j'élabore un théorème de l'équivalence ricardienne avec l'impôt sur le profit des entreprises. Plus particulièrement, j'établis que si les marchés financiers sont parfaits, un ré-échelonnement de l'impôt sur le profit des entreprises qui ne change pas la valeur présente de l'impôt total auquel l'entreprise est assujettie sur toute sa durée de vie n'a aucun effet réel sur l'économie si l'état utilise un impôt forfaitaire. Ensuite, en présence de marchés financiers imparfaits, je montre qu'une une baisse temporaire de l'impôt forfaitaire sur le profit des entreprises stimule l'investissement parce qu'il réduit temporairement le coût marginal de l'investissement. Enfin, mes résultats indiquent que si l'impôt est proportionnel au profit des entreprises, l'anticipation de taxes élevées dans le futur réduit le rendement espéré de l'investissement et atténue la stimulation de l'investissement engendrée par la réduction d'impôt. Le deuxième chapitre est écrit en collaboration avec Rui Castro. Dans cet article, nous avons quantifié les effets sur les décisions individuelles d'investis-sement et de production des entreprises ainsi que sur les agrégats macroéconomiques, d'une baisse temporaire de l'impôt sur le profit des entreprises en présence de marchés financiers imparfaits. Dans un modèle où les entreprises sont sujettes à des chocs de productivité idiosyncratiques, nous avons d'abord établi que le rationnement de crédit affecte plus les petites (jeunes) entreprises que les grandes entreprises. Pour des entreprises de même taille, les entreprises les plus productives sont celles qui souffrent le plus du manque de liquidité résultant des imperfections du marché financier. Ensuite, nous montré que pour une baisse de 1 dollar du revenu de l'impôt, l'investissement et la production augmentent respectivement de 26 et 3,5 centimes. L'effet cumulatif indique une augmentation de l'investissement et de la production agrégés respectivement de 4,6 et 7,2 centimes. Au niveau individuel, nos résultats indiquent que la politique stimule l'investissement des petites entreprises, initialement en manque de liquidité, alors qu'elle réduit l'investissement des grandes entreprises, initialement non contraintes. Le troisième chapitre est consacré à l'analyse des effets de la réforme de l'imposition des revenus d'entreprise proposée par le Trésor américain en 1992. La proposition de réforme recommande l'élimination des impôts sur les dividendes et les gains en capital et l'imposition d'une seule taxe sur le revenu des entreprises. Pour ce faire, j'ai eu recours à un modèle dynamique stochastique d'équilibre général avec marchés financiers imparfaits dans lequel les entreprises sont sujettes à des chocs idiosyncratiques de productivité. Les résultats indiquent que l'abolition des impôts sur les dividendes et les gains en capital réduisent les distorsions dans les choix d'investissement des entreprises, stimule l'investissement et entraîne une meilleure allocation du capital. Mais pour être financièrement soutenable, la réforme nécessite un relèvement du taux de l'impôt sur le profit des entreprises de 34\% à 42\%. Cette hausse du taux d'imposition décourage l'accumulation du capital. En somme, la réforme engendre une baisse de l'accumulation du capital et de la production respectivement de 8\% et 1\%. Néanmoins, elle améliore l'allocation du capital de 20\%, engendrant des gains de productivité de 1.41\% et une modeste augmentation du bien être des consommateurs. / This thesis is a collection of three papers in macroeconomics and public finance. It develops Dynamic Stochastic General Equilibrium Models with a special focus on financial frictions to analyze the effects of changes in corporate tax policy on firm level and macroeconomic aggregates. Chapter 1 develops a dynamic general equilibrium model with a representative firm to assess the short-run effects of changes in the timing of corporate profit taxes. First, it extends the Ricardian equivalence result to an environment with production and establishes that a temporary corporate profit tax cut financed by future tax-increase has no real effect when the tax is lump sum and capital markets are perfect. Second, I assess how strong the ricardian forces are in the presence of financing frictions. I find that when equity issuance is costly, and when the firm faces a lower bound on dividend payments, a temporary tax cut reduces temporary the marginal cost of investment and implies positive marginal propensity of investment. Third, I analyze how do the intertemporal substitution effects of tax cuts interact with the stimulative effects when tax is not lump-sum. The results show that when tax is proportional to corporate profit, the expectations of high future tax rates reduce the expected marginal return on investment and mitigate the stimulative effects of tax cuts. The net investment response depends on the relative strength of each effect. Chapter 2 is co-authored with Rui Castro. In this paper, we quantify how effective temporary corporate tax cuts are in stimulating investment and output via relaxation of financing frictions. In fact, policymakers often rely on temporary corporate tax cuts in order to provide incentives for business investment in recession times. A common motivation is that such policies help relax financing frictions, which might bind more during recessions. We assess whether this mechanism is effective. In an industry equilibrium model where some firms are financially constrained, marginal propensities to invest are high. We consider a transitory corporate tax cut, funded by public debt. By increasing current cash flows, corporate tax cuts are effective at stimulating current investment. On impact, aggregate investment increases by 26 cents per dollar of tax stimulus, and aggregate output by 3.5 cents. The stimulative output effects are long-lived, extending past the period the policy is reversed, leading to a cumulative effect multiplier on output of 7.2 cents. A major factor preventing larger effects is that this policy tends to significantly crowd out investment among the larger, unconstrained firms. Chapter 3 studies the effects of the 1992's U.S. Treasury Department proposal of a Comprehensive Business Income Tax (CBIT) reform. According to the U.S. tax code, dividend and capital gain are taxed at the firm level and further taxed when distributed to shareholders. This double taxation may reduce the overall return on investment and induce inefficient capital allocation. Therefore, tax reforms have been at the center of numerous debates among economists and policymakers. As part of this debate, the U.S. Department of Treasury proposed in 1992 to abolish dividend and capital gain taxes, and to use a Comprehensive Business Income Tax (CBIT) to levy tax on corporate income. In this paper, I use an industry equilibrium model where firms are subject to financing frictions, and idiosyncratic productivity and entry/exit shocks to assess the long run effects of the CBIT. I find that the elimination of the capital gain and dividend taxes is not self financing. More precisely, the corporate profit tax rate should be increased from 34\% to 42\% to keep the reform revenue-neutral. Overall, the results show that the CBIT reform reduces capital accumulation and output by 8\% and 1\%, respectively. However, it improves capital allocation by 20\%, resulting in an increase in aggregate productivity by 1.41\% and in a modest welfare gain.

Cette thèse analyse le rôle de l’apprentissage dans deux cadres de modélisation distincts. Dans le cas dunouveau modèle canonique avec apprentissage adaptatif, les caractéristiques les plus marquantes des dynamiquesd’apprentissage concernent la capacité des règles de politique monétaire à assurer la convergencevers l’équilibre en anticipations rationnelles. Le mécanisme de transmission de la politique monétaire estcelui de l’effet de substitution associé au canal de la consommation. Dans le cas d’un modèle multi-agentsqui relâche des hypothèses restrictives du nouveau modèle canonique, tout en restant structurellementproche de celui-ci, les variables agrégées évoluent à bonne distance de cet équilibre, et on observe desdynamiques nettement différentes. La politique monétaire influence les variables agrégées de manièremarginale via l’effet de revenu du canal de la consommation. En présence d’un processus d’apprentissagesocial évolutionnaire, l’économie converge vers un faible niveau d’activité économique. L’introductiond’un processus caractérisé par le fait que les agents apprennent individuellement à l’aide de leurs modèlesmentaux atténue le caractère dépressif des dynamiques d’apprentissage. Ces différences entre les deuxcadres de modélisation démontrent la difficulté de généraliser les résultats du nouveau modèle canonique. / This thesis analyses the role of learning in two different modelling frameworks. In the new canonicalmodel with adaptive learning, the most remarkable characteristics of the learning dynamics deal withthe capacity of monetary policy rules to guaranty convergence to the rational expectations equilibrium.The transmission mechanism of the monetary policy is based on the substitution effect associated to theconsumption channel. In the case of an agent-based model which relaxes some restrictive assumptionsof the new canonical model - but is endowed with a similar structure - aggregate variables evolve atsome distance from the rational expectations equilibrium. Monetary policy has a marginal impact onthe agregated variables via the wealth effect of the consumption channel. When agents learn accordingto an evolutionnary social learning process, the economy converges to regions of low economic activity.The introduction of a process where agents learn individually by using their mental models induces lessdepressive learning dynamics. These differences between the two modelling frameworks show that thegeneralisation of the results of the new canonical model is not easy to achieve.

本文的研究目的為，在一個包含銀行部門的動態隨機一般均衡模型的架構中，探討流動性覆蓋比率限制在利率的信用管道中所扮演的角色以及其對政體經濟的影響為何。在銀行的資產配置決策內生的情形下，加入流動性覆蓋比率的限制，透過放款的勞動成本與抵押品價值來刻畫金融摩擦；本文發現當經濟體系遭受生產與放款的外生衝擊時，流動性覆蓋比率的限制會增強政策利率的信用管道效果，並且相較於無流動性覆蓋比率限制之模型而言，具流動性覆蓋比率限制的模型，其銀行資產配置的變動幅度與金融摩擦的程度皆較大。 / The main purpose of this paper is to explore the role of the liquidity coverage ratio (LCR) in the credit channel and how it influences the overall economy in a dynamic stochastic general equilibrium (DSGE) model with banking sector. Commercial banks endogenously choose their optimal portfolio of assets under the liquidity coverage ratio restriction. On the other hand, we describe the financial friction through the labor cost of making loans and collateral value. We find that when the economy is exposed to exogenous shocks in production and lending, the liquidity coverage ratio will enhance the effect of credit channel. Compared with the model with no LCR restriction, the degree of change of the bank asset allocation and the financial friction are larger in the model with LCR restriction.