Thesis (Ph.D.)--Auburn University, 2005. / Abstract. Vita. Includes bibliographic references (ℓ. 93-102)

published_or_final_version / Business Administration / Master / Master of Business Administration

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This paper looks into the contagion dynamics of sovereign credit rating changes with regards to bond yields in the period before and during the sovereign debt crisis in Europe. Our sample included European Union member countries, as well as a Eurozone subsample and a subsample excluding highly indebted countries. Events and outlooks from all three major rating agencies were considered. Our findings for the pre-crisis period are consistent with existing research, indicating an increase in borrowing costs by approximately five basis points in the case of a one-notch negative event, and insignificant effects in the case of positive events. During the crisis period, we observed a reversal of this effect, associating negative ratings with lower spreads on the entire sample. However, the effect was no longer significant when highly indebted countries were excluded from the sample, indicating that this effect may be tied to overly negative expectations. Lastly, we investigated the persistence of results, with only full-sample crisis period data displaying persistent effects. JEL Classification F01, F34, F42 Keywords credit rating, sovereign debt, default, debt crisis, European debt, sustainability Author's e-mail martin1703@gmail.com Supervisor's e-mail schneider.ondrej@gmail.com

Thesis advisor: Peter N. Ireland / This dissertation deals with the macroeconomic implications of fiscal policy in small open economies with a particular emphasis on emerging economies. I use both empirical and theoretical approaches to distinguish key difference in the design of fiscal policy between emerging and developed economies. I also analyze the macroeconomic consequences of differences in the conduct of fiscal policy. Thus, the dissertation is focused on the interplay between fiscal policy and business cycle dynamics. Recent policy challenges in developed economies, such as monetary authorities grappling with the zero lower bound on short run nominal rates and fiscal stimulus packages emerging as an important policy tool, have sparked renewed academic interest in the topic of fiscal policy and business cycles. Institutional and macroeconomic features in emerging economies make the macroeconomic aspects of fiscal policy an important research agenda and one to which this dissertation contributes. A number of papers have documented fiscal policy pro-cyclicality in terms of stronger co-movement between government expenditure and macroeconomic fundamentals in emerging and developing economies. This feature of the data raises 2 important questions: 1) does fiscal policy reinforce the macroeconomic cycle in these countries leading to heighten macroeconomic volatility ("when it rains, it pours"), and 2) is the fiscal stance in these economies due to unique macroeconomic features or is it the consequence of institutional and political imperfections? The first chapter, titled "When it rains, it pours": fiscal policy, credit constraints and business cycles in emerging and developed economies, sets out to answer these questions by comparatively studying a group of developed and emerging economies. I estimate a panel structural vector autoregressive model to investigate if government consumption expenditure responds more pro-cyclically to fundamentals and what role international financial conditions play for the fiscal stance and for the volatility of the cycle in emerging and developed economies. My findings suggest that the response to output fluctuations is not systematically different for emerging governments relative to their developed counterparts. However, emerging governments curtail spending in response to increases in the sovereign borrowing rate which forces their consumption expenditure to act more pro-cyclically. I find evidence of higher fiscal discretion in emerging economies. However, the efficacy of government consumption expenditure is substantially lower in emerging than in developed economies. Thus, fiscal policy ends up being responsible for a lower share of business cycle volatility in emerging than in developed economies. In the second chapter, titled Estimating the Dynamics of Fiscal Financing in Emerging Economies, I propose a strategy for estimating the government financing rule for an emerging economy. The estimation uses the structural VAR impulse responses obtained in the previous chapter to discipline the parameters of a small open economy real business cycle model with a public sector. The parameters can be split into two groups: those influencing the effectiveness of fiscal policy and the parameters governing the financing of the exogenous stream of government consumption. The empirical response to interest rate shocks puts restrictions on the first group of parameters governing the size of the multiplier. The empirical response to a government consumption shock can be used to obtain estimates of the fiscal policy rule. I construct a model with a role for both interest rate shocks and government consumption shocks. A natural estimation approach in this case is impulse response matching. / Thesis (PhD) — Boston College, 2018. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

This dissertation examines the Argentine state's efforts to stabilize notions of value and reconstitute citizens as taxpayers and users of national currency after the financial crisis of 2001. Working with material from sixteen months of ethnographic research with federal and provincial tax authorities, neo-liberal and heterodox economists, and members of the Buenos Aires upper classes, I trace charged public debates surrounding tax payment and off-shore banking, examining both the rationalities and affective geographies guiding upper class decisions to invest in, or divest from, the nation. My dissertation foregrounds fiscal and financial relations between states and citizens as a critical nexus in the formation of state sovereignty, civic obligation, and liberal individualism. I propose that insight into the volatility of Argentine public finance requires attention to the analytical frameworks deployed by elites, including technical experts and professionals more broadly, to understand and prevent inflation, a defining question in Argentina since at least the early 1950s. The currency board was an anti-inflationary policy that, by pegging the peso to the dollar, luring foreign capital, and drastically reducing the much-vilified public sector, promised to offer "juridical security," (seguridad juridica) protecting private property rights from the vagaries of monetary instability. Its collapse, after a decade-long tenure, led Argentine authorities to declare the largest debt default in history. The dissertation examines a series of paradoxes faced by many Western nation-states that are acutely manifest in Argentina. How is the indebtedness implicit in the payment of tax, a debt that is not subject to cancellation or the reciprocal laws of market exchange, reconciled with the form of personhood C.B. Macpherson called "possessive individualism" (1962) whose lineage originated in the Lockean rights-bearing citizen? How is this paradox negotiated in light of what many scholars have noted is a reversal characteristic of modernity where the individual rather than the state is seen as the primary sovereign? How is an elusive trust in authority, upon which national currency depends, reconciled with the widely disseminated perception of economy as a set of rational processes? The dissertation argues that monetary stability hinges, in part, on the state's successful management of these paradoxes. Through multi-sited ethnography, I offer insight into discourses that condition perceptions of the proper directionality of debt between state and citizens, often expressed in views of tax as theft or gift, which critically inform the willingness of elites to store wealth in Argentine currency. Examining the new discursive links forged between accounting and accountability, I trace President Nestor Kirchner's re-signification of the debt default from a source of shame and humiliation to a triumphant gesture of sovereign refusal. I argue that this fiery anti-imperialist discourse, which garnered massive popular support and managed to reconstitute an image of the state as protector rather than thief, was critical to imposing an unprecedented `haircut' on foreign creditors in debt default negotiations. In cafés and households, I document conversations with elites angered by the widespread backlash against neo-liberalism, exasperated by the return of "populism," and persuaded that neo-liberal policies failed only because of a corrupt "political class" (clase politica). Firmly identified with a view of themselves as the primary sovereigns, and believing monetary policy should pivot around individual choice, they feel the country is unworthy of their wealth. Several ethnographic chapters document contentious encounters between tax authorities and elite subjects in seaside resort towns and gated communities, analyzing the strategies mobilized by tax administrations to re-initiate what I call the `fiscal politics of recognition.' The dissertation offers an ethnographic portrait of how elite Argentines grapple with a deep and unresolved tension between the methodological individualism shared by neo-classical economic science and Anglo-American citizenship theory, and the relational and recursive nature of monetary value, which exceeds, and cannot be encompassed by, the languages of market exchange and the social contract. The first chapter is a genealogy of the birth of public finance in relation to theories of liberal individualism in Great Britain, documenting the process through which affectively entangled creditor-debtor relations between state and subjects, while constitutive of civic obligation, nation-building, and trust in modern state economies, were "purified," (Latour 1993) subjected to disciplinary amnesia. A historical chapter considers how the rarefied sciences of economy traveled to South Atlantic shores to be incorporated into a very distinct historical and geo-political assemblage, one where the fiscal and financial entanglements, disavowed but nonetheless exerting a spectral presence in Western European countries, were absent. The sequence and trajectory of state building in Argentina lead to an accentuated version of the paradox discussed above, making it especially difficult to perceive money, not only as a medium of exchange, but as a pathway of recognition, constitutive of economic obligation. Despite a resurgence of interest in the question of sovereignty in critical theory, scholarship on taxation -- by all accounts a defining feature of sovereignty -- is surprisingly limited, often treated as an afterthought in work on economic anthropology and globalization. Building on work in political and economic anthropology on market and fiscal subjectivities, this research focuses on citizens in their capacities as debtors and creditors of the state, providing insight into a fragile fiscal bond that, despite its centrality, has received little attention in anthropologies of modern capitalism. Offering new analytic tools and re-valorizing older ones, this dissertation elucidates the relationships among value, national belonging, and economic insecurity, made newly visible in the wake of financial crisis.

The economic downturn of 2008-2010 has encouraged many economists andpoliticians to reconsider the role of fiscal policy. Whereas there is a broadly acceptedmodel which describes the influence of monetary policy on the economy, there is noconsensus concerning the fiscal policy.This paper aims to study the effectiveness of fiscal policy actions in Sweden over thepast 15 years, starting from the end of the banking crisis of 1992-93 to date. It has aspecific focus on the measures which were introduced in 2007-2010 and employs bothqualitative and quantitative analyses.The qualitative analysis investigates different expansionary fiscal measures, inter alia,the earned income tax credit, the new legislation for crisis management of banks, theguarantee program and the establishment of stability fund.The quantitative analysis is based on a 4-variable Vector Autoregression model whichhelps to identify the influence of general government expenditure, revenue and centralgovernment debt on GDP fluctuations over the past 15 years. The results demonstrate apositive response of GDP to an increase in government expenditure, with the maximumvalue of response achieved after 8 quarters. GDP also grows in response to a positiveshock in the central government debt, which is in line with the macroeconomic theory ofexpansionary fiscal policy. The positive response to an increase of revenue is somewhatcontradictory, and can become a topic for a further in-depth research.The economic downturn of 2008-2010 has encouraged many economists andpoliticians to reconsider the role of fiscal policy. Whereas there is a broadly acceptedmodel which describes the influence of monetary policy on the economy, there is noconsensus concerning the fiscal policy.This paper aims to study the effectiveness of fiscal policy actions in Sweden over thepast 15 years, starting from the end of the banking crisis of 1992-93 to date. It has aspecific focus on the measures which were introduced in 2007-2010 and employs bothqualitative and quantitative analyses.The qualitative analysis investigates different expansionary fiscal measures, inter alia,the earned income tax credit, the new legislation for crisis management of banks, theguarantee program and the establishment of stability fund.The quantitative analysis is based on a 4-variable Vector Autoregression model whichhelps to identify the influence of general government expenditure, revenue and centralgovernment debt on GDP fluctuations over the past 15 years. The results demonstrate apositive response of GDP to an increase in government expenditure, with the maximumvalue of response achieved after 8 quarters. GDP also grows in response to a positiveshock in the central government debt, which is in line with the macroeconomic theory ofexpansionary fiscal policy. The positive response to an increase of revenue is somewhatcontradictory, and can become a topic for a further in-depth research.

<p>The economic downturn of 2008-2010 has encouraged many economists andpoliticians to reconsider the role of fiscal policy. Whereas there is a broadly acceptedmodel which describes the influence of monetary policy on the economy, there is noconsensus concerning the fiscal policy.This paper aims to study the effectiveness of fiscal policy actions in Sweden over thepast 15 years, starting from the end of the banking crisis of 1992-93 to date. It has aspecific focus on the measures which were introduced in 2007-2010 and employs bothqualitative and quantitative analyses.The qualitative analysis investigates different expansionary fiscal measures, inter alia,the earned income tax credit, the new legislation for crisis management of banks, theguarantee program and the establishment of stability fund.The quantitative analysis is based on a 4-variable Vector Autoregression model whichhelps to identify the influence of general government expenditure, revenue and centralgovernment debt on GDP fluctuations over the past 15 years. The results demonstrate apositive response of GDP to an increase in government expenditure, with the maximumvalue of response achieved after 8 quarters. GDP also grows in response to a positiveshock in the central government debt, which is in line with the macroeconomic theory ofexpansionary fiscal policy. The positive response to an increase of revenue is somewhatcontradictory, and can become a topic for a further in-depth research.The economic downturn of 2008-2010 has encouraged many economists andpoliticians to reconsider the role of fiscal policy. Whereas there is a broadly acceptedmodel which describes the influence of monetary policy on the economy, there is noconsensus concerning the fiscal policy.This paper aims to study the effectiveness of fiscal policy actions in Sweden over thepast 15 years, starting from the end of the banking crisis of 1992-93 to date. It has aspecific focus on the measures which were introduced in 2007-2010 and employs bothqualitative and quantitative analyses.The qualitative analysis investigates different expansionary fiscal measures, inter alia,the earned income tax credit, the new legislation for crisis management of banks, theguarantee program and the establishment of stability fund.The quantitative analysis is based on a 4-variable Vector Autoregression model whichhelps to identify the influence of general government expenditure, revenue and centralgovernment debt on GDP fluctuations over the past 15 years. The results demonstrate apositive response of GDP to an increase in government expenditure, with the maximumvalue of response achieved after 8 quarters. GDP also grows in response to a positiveshock in the central government debt, which is in line with the macroeconomic theory ofexpansionary fiscal policy. The positive response to an increase of revenue is somewhatcontradictory, and can become a topic for a further in-depth research.</p>

published_or_final_version / abstract / Chinese Historical Studies / Master / Master of Arts

Thesis (Ph. D.)--Dept. of Economics and Social Science Consortium. University of Missouri--Kansas City, 2006. / "A dissertation in economics and social science consortium." Advisor: L. Randall Wray. Typescript. Vita. Title from "catalog record" of the print edition Description based on contents viewed Oct. 31, 2007. Includes bibliographical references (leaves 184-201). Online version of the print edition.