Motivated by a period of time in which we face historically high oil prices, this thesis analyzes to what extent oil prices actually influence inflation. By constructing a simple chart, one can see that oil price and inflation seem to have a similar pattern. However, to draw any conclusions from that is impossible. We show with econometric methods the relationship between oil prices and inflation in the case of Sweden. Sweden, as a net importer of oil, spent approximately 43.3 billion SEK on crude oil during 2004. That is 414.200 barrels of crude oil each day. Taking this into account, what would happen if the oil price suddenly increased by 10%? Considering the fact that 43.3 billion SEK is a rather large amount of money, it seems obvious that such an oil price increase should have some impact on the Swedish economy and inflation. This would occur partly through higher prices of gasoline for example, but it would occur also due to the indirect effect that companies face through higher production costs and will most likely pass on some part of that cost to the consumers. We have gathered data for oil prices and inflation for Sweden since 1981 to 2004. Together with other variables that also affect the inflation, such as money supply and interest rates, we did econometric regressions to find evidence for the relationship. We reach the conclusion that if the oil prices increase by 10%, inflation is assumed to increase with about 0.15-0.20%.

This thesis covers three issues: the aggregate and welfare effects of environmental policies when plants are heterogeneous; what causes the different patterns of employment dynamics in small versus large firms over business cycles; and the welfare costs of expected and unexpected inflation. In the first chapter, we show that accounting for plant heterogeneity is important for the evaluation of environmental policies. We develop a general equilibrium model in which monopolistic competitive plants differ in productivity, produce differentiated goods and choose optimally a discrete emission-reduction technology. Emission-reduction policies affect both the fraction of plants adopting the advanced emission-reduction technology and the market shares of those with high levels of productivity. Calibrated to the Canadian data, the model shows that the aggregate costs of an emission tax to implement the Kyoto Protocol are 40 percent larger than the costs that would result with homogenous plants. In the second chapter, we incorporate labor search frictions into a model with lumpy investment to explain a set of firm-size-related facts about the United States labor market dynamics over business cycles. Contrary to the predictions of standard models, we observe that job destruction is procyclical in small firms but countercyclical in large ones. Calibrated to U.S. data, the model generates this asymmetric pattern of employment dynamics in small versus large firms. This is because a favorable aggregate productivity shock tightens the labor market. A tighter labor market hurts investing small firms. As a result, workers move from small to large firms during booms. In the third chapter, we analyze the welfare costs of inflation when money is essential to facilitate trades among anonymous agents and information about nominal shocks is incomplete as in Lucas (1972). In the model, the transactions in which money is essential coincide with those in which agents are affected by monetary shocks. Consequently, the average value of money and its variation in value in different markets affect agents simultaneously when the supply of money changes. Calibrated to U.S. data, we find that the welfare costs of expected inflation are almost three orders higher than the welfare costs of unexpected inflation.

This thesis covers three issues: the aggregate and welfare effects of environmental policies when plants are heterogeneous; what causes the different patterns of employment dynamics in small versus large firms over business cycles; and the welfare costs of expected and unexpected inflation. In the first chapter, we show that accounting for plant heterogeneity is important for the evaluation of environmental policies. We develop a general equilibrium model in which monopolistic competitive plants differ in productivity, produce differentiated goods and choose optimally a discrete emission-reduction technology. Emission-reduction policies affect both the fraction of plants adopting the advanced emission-reduction technology and the market shares of those with high levels of productivity. Calibrated to the Canadian data, the model shows that the aggregate costs of an emission tax to implement the Kyoto Protocol are 40 percent larger than the costs that would result with homogenous plants. In the second chapter, we incorporate labor search frictions into a model with lumpy investment to explain a set of firm-size-related facts about the United States labor market dynamics over business cycles. Contrary to the predictions of standard models, we observe that job destruction is procyclical in small firms but countercyclical in large ones. Calibrated to U.S. data, the model generates this asymmetric pattern of employment dynamics in small versus large firms. This is because a favorable aggregate productivity shock tightens the labor market. A tighter labor market hurts investing small firms. As a result, workers move from small to large firms during booms. In the third chapter, we analyze the welfare costs of inflation when money is essential to facilitate trades among anonymous agents and information about nominal shocks is incomplete as in Lucas (1972). In the model, the transactions in which money is essential coincide with those in which agents are affected by monetary shocks. Consequently, the average value of money and its variation in value in different markets affect agents simultaneously when the supply of money changes. Calibrated to U.S. data, we find that the welfare costs of expected inflation are almost three orders higher than the welfare costs of unexpected inflation.

Cette thèse est constituée de trois essais portant sur l'étude du cycle économique. Les deux premiers chapitres examinent les mécanismes endogènes de propagation dynamique, alors que le troisième étudie la dynamique de l'inflation et les causes de la Grande Modération. Le premier chapitre examine les effets de la politique monétaire et des chocs technologiques dans le cadre d'un modèle d'équilibre général dynamique qui contient: i) des rigidités nominales de prix, ii) une structure input-output, iii) quelques rigidités réelles, et iv) une politique monétaire réaliste sous forme de règles de Taylor. Le modèle est en mesure de produire une réponse négative des heures travaillées à court terme suivant un choc technologique, ainsi qu'une réponse positive à moyen terme, ce qui est en accord avec les résultats empiriques de Basu, Fernald et Kimball (2006). Contrairement au modèle de Dotsey (1999), le présent modèle prédit une baisse à court terme des heures suivant un choc technologique positif sous différentes spécifications de la règle de Taylor. La clé pour comprendre la différence entre nos résultats et ceux de Dotsey est la prise en compte de la formation d'habitude de consommation dans notre modèle. On démontre aussi que Ie facteur principal derrière nos principaux résultats est l'interaction entre les rigidités de prix et la structure input-output. Par exemple. celle-ci permet de générer des sentiers de réponse des variables réelles en forme de cloche suivant un choc monétaire. Le second chapitre développe et estime un modèle d'équilibre général dynamique capable de reproduire des faits saillants du cycle économique américain. Ces faits incluent les autocorrélations positives du taux de croissance de l'output, de la consommation, de l'investissement et des heures travaillées, la quasi-absence d'autocorrélation du taux de croissance du salaire réel et la faible corrélation entre la productivité moyenne du travail et les heures travaillées. Le modèle parvient à produire de la persistence au moyen de ses mécanismes endogènes de propagation. Nos résultats suggèrent qu'un modèle satisfaisant incorpore une rigidité nominale des salaires, une faible externalité d'emploi, un degré modéré dans la formation d'habitude de la consommation et des coûts d'ajustement d'investissement qui sont modestes. Les contrats de salaires qui influent habituellement sur les effets réels des chocs monétaires ont également une incidence importante sur l'impact des effets des chocs technologiques. Le troisième chapitre développe et estime un modèle d'équilibre général de la Grande Modération qui inclut des rigidités de prix, une élasticité variable de la demande, ainsi qu'une hypothèse de spécificité du travail à la firme. Tout en réconciliant les preuves microéconomiques et macroéconomiques concernant l'ajustement des prix le rnodèle explique de façon satisfaisante l'accroissement de la stabilité macroéconomique de la période dite de Grande Inflation à celle de la Grande Modération. Le modèle identifie les chocs à l'offre de travail comme étant la source principale de la réduction de volatilité de la croissance de l'out-put. Toutefois, des changements dans le comportement du secteur privé, une politique monétaire moins accomodante, et des chocs plus petit expliquent d'une manière à peu près égale la réduction de la variabilité de l'inflation. ______________________________________________________________________________ MOTS-CLÉS DE L’AUTEUR : Rigidités nominales, Rigidités réelles, Grande modération.

In the first essay, I decompose inflation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor’s preferences and investment opportunities and (ii) a residual part. I show that only the first part earns a risk premium. All nominal Treasury bonds, including the nominal money-market account, are equally exposed to the residual part except inflation-protected Treasury bonds, which provide a means to hedge it. Every investor should put 100% of his wealth in the market portfolio and inflation-protected Treasury bonds and hold a zero-investment portfolio of nominal Treasury bonds and the nominal money market account. In the second essay, I solve the dynamic asset allocation problem of finite lived, constant relative risk averse investors who face inflation risk and can invest in cash, nominal bonds, equity, and inflation-protected bonds when the investment opportunityset is determined by the expected inflation rate. I estimate the model with nominal bond, inflation, and stock market data and show that if expected inflation increases, then investors should substitute inflation-protected bonds for stocks and they should borrow cash to buy long-term nominal bonds. In the lastessay, I discuss how heterogeneity in preferences among investors withexternal non-addictive habit forming preferences affects the equilibrium nominal term structure of interest rates in a pure continuous time exchange economy and complete securities markets. Aggregate real consumption growth and inflation are exogenously specified and contain stochastic components thataffect their means andvolatilities. There are two classes of investors who have external habit forming preferences and different localcurvatures oftheir utility functions. The effects of time varying risk aversion and different inflation regimes on the nominal short rate and the nominal market price of risk are explored, and simple formulas for nominal bonds, real bonds, and inflation risk premia that can be numerically evaluated using Monte Carlo simulation techniques are provided.

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<p>Motivated by a period of time in which we face historically high oil prices, this thesis analyzes to what extent oil prices actually influence inflation. By constructing a simple chart, one can see that oil price and inflation seem to have a similar pattern. However, to draw any conclusions from that is impossible. We show with econometric methods the relationship between oil prices and inflation in the case of Sweden.</p><p>Sweden, as a net importer of oil, spent approximately 43.3 billion SEK on crude oil during 2004. That is 414.200 barrels of crude oil each day. Taking this into account, what would happen if the oil price suddenly increased by 10%? Considering the fact that 43.3 billion SEK is a rather large amount of money, it seems obvious that such an oil price increase should have some impact on the Swedish economy and inflation. This would occur partly through higher prices of gasoline for example, but it would occur also due to the indirect effect that companies face through higher production costs and will most likely pass on some part of that cost to the consumers.</p><p>We have gathered data for oil prices and inflation for Sweden since 1981 to 2004. Together with other variables that also affect the inflation, such as money supply and interest rates, we did econometric regressions to find evidence for the relationship. We reach the conclusion that if the oil prices increase by 10%, inflation is assumed to increase with about 0.15-0.20%.</p>

Thesis (Ph. D.)--University of Chicago, Dept. of Economics, June 2001. / Includes bibliographical references. Also available on the Internet.

Thèse de doctorat : Sciences économiques : Rennes 2 : 2008.