This thesis is a collection of three essays on inflation expectations, forecasting uncertainty, and the role of uncertainty in sequential auctions, all using experimental approach. Chapter 1 studies how individuals forecast inflation in fictitious macroeconomic setup and analyzes the effect of monetary policy rules on their decisions. Results display heterogeneity in inflation forecasting rules and demonstrate the importance of adaptive learning forecasting if model switching is assumed. Chapter 2 extends the analysis from Chapter 1 by analyzing individual inflation forecasting uncertainty. Results show that confidence intervals depend on inflation variance and business cycle phase, have a strong inertia, and are often asymmetric. Finally, Chapter 3 analyzes the role of uncertainty about the number of bidders for the behavior of subjects in a sequential auction experiment. Uncertainty does not aggravate price decline, but it changes individual bidding strategies and auction efficiency. / Esta tesis consta de tres ensayos sobre las expectativas de inflación, la incertidumbre de la predicción, y la importancia de la incertidumbre en subastas secuenciales. Todos ellos utilizan un método experimental. El capítulo 1 estudia cómo los individuos predicen la inflación en la economía ficticia y analiza el efecto de las reglas de política monetaria en sus decisiones. Los resultados revelan la heterogeneidad en las reglas de predicción de la inflación y demuestran la importancia del mecanismo de aprendizaje adaptivo si el cambio entre los modelos se supone. Capítulo 2 continúa el análisis del capítulo 1, analiza la incertidumbre individual de las expectativas de inflación. Los resultados muestran que los intervalos de confianza dependen de varianza de la inflación y la fase del ciclo económico, tienen una fuerte inercia, y son frecuentemente asimétricos. Por último, el capítulo 3 analiza la influencia de la incertidumbre sobre el número de oferentes en el comportamiento de los individuos en un experimento de la subasta secuencial. La incertidumbre no agrava la caída de los precios, pero cambia las estrategias de los oferentes y la eficiencia de la subasta.

La thèse étudie les implications des anticipations des agents privés formées avec l’apprentissage adaptatif pour la politique monétaire optimale dans des modèles Nouveau Keynésien. Les résultats obtenus sont comparés avec la littérature adoptant l’hypothèse d’anticipations rationnelles. La banque centrale fait l’arbitrage intertemporel introduit par les anticipations à apprentissage adaptatif entre stabiliser l’inflation maintenant et dans le futur. La distorsion générée par ces anticipations rend la politique monétaire davantage agressive, même si la présence du marché financier diminue légèrement l’agressivité de la politique monétaire. Il est optimal pour le gouvernement de choisir un banquier central libéral, ce résultat peut être mitigé par un contrat d’inflation linéaire. Un autre résultat est qu’il est optimal pour la banque centrale d’être moins indépendante en termes d’instruments par rapport aux anticipations rationnelles. La possibilité de contrôle robuste de la politique monétaire est limitée par l’apprentissage adaptatif en économie fermée, et encore plus limitée en économie ouverte. Mes travaux de recherche donnent des recommandations nouvelles. / The dissertation studies the implications of private agents expectations formed with adaptive learning for the optimal monetary policy using New Keynesian models. The obtained results are compared with the literature adopting the hypothesis of rational expectations. The central bank makes the intertemporal trade-off between stabilizing current inflation or the future one that is introduced by adaptive learning expectations. The distortion which is introduced by this latter makes the monetary policy more aggressive, even if the presence of financial market slightly reduces the aggressiveness of the monetary policy. It is optimal for the government to choose a liberal central banker, but this result may be mitigated by adopting a linear inflation contract. Another result is that it is optimal for the central bank to be less instrument-independent compared to rational expectations. The possibility of robust control for monetary policy is limited by adaptive learning in a closed economy, and even more limited in an open economy. My research works give new recommendations for policy making.

From the time of its first publication, Rosa Luxemburg’s main economic work, The Accumulation of Capital, was heavily criticized. This set a precedent towards the dismissal of her economic theory which has continued almost to the present day. Very recently, however, a stream of literature favourable to Luxemburg has begun to emerge. Commentators in this group have attempted to re-evaluate Luxemburg’s contribution to Marxian economic theory by, among other approaches, attempting to show her as an important precursor to Michal Kalecki. This work operates within this framework. It attempts to further specify the nature of the theoretical relationship between Luxemburg and Kalecki by closely examining and comparing the economic theories of the two thinkers. What such a study reveals, however, is that this relationship is better defined as a one of rupture rather than of continuity. While Kalecki seems to accept the basic structure of Luxemburg’s argument, he modifies and qualifies it in so many respects as to make it almost unrecognizable. But such a divergence between the theories is hardly surprising if we view them in their proper historical contexts. The differing empirical, personal and political backgrounds from which the theories emerged is what would have led to the development of the divergent elements within them. Such substantial differences in the contexts which gave rise to the respective theories underscore the ill-advised nature of the attempt to draw too strong a link between the economic thought of Luxemburg and Kalecki. / Graduate

Submitted by Felix Sebastian Neugebauer (fexgebauer@gmail.com) on 2012-01-20T06:47:16Z No. of bitstreams: 1 Dissertacao MPGI - Felix Neugebauer.pdf: 917872 bytes, checksum: 216f642b7bdd46aac088024cf0610158 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2012-01-20T10:27:30Z (GMT) No. of bitstreams: 1 Dissertacao MPGI - Felix Neugebauer.pdf: 917872 bytes, checksum: 216f642b7bdd46aac088024cf0610158 (MD5) / Made available in DSpace on 2012-01-20T11:15:05Z (GMT). No. of bitstreams: 1 Dissertacao MPGI - Felix Neugebauer.pdf: 917872 bytes, checksum: 216f642b7bdd46aac088024cf0610158 (MD5) Previous issue date: 2011-12-20 / The thesis introduces a system dynamics Taylor rule model of new Keynesian nature for monetary policy feedback in Brazil. The nonlinear Taylor rule for interest rate changes con-siders gaps and dynamics of GDP growth and inflation. The model closely tracks the 2004 to 2011 business cycle and outlines the endogenous feedback between the real interest rate, GDP growth and inflation. The model identifies a high degree of endogenous feedback for monetary policy and inflation, while GDP growth remains highly exposed to exogenous eco-nomic conditions. The results also show that the majority of the monetary policy moves during the sample period was related to GDP growth, despite higher coefficients of inflation parameters in the Taylor rule. This observation challenges the intuition that inflation target-ing leads to a dominance of monetary policy moves with respect to inflation. Furthermore, the results suggest that backward looking price-setting with respect to GDP growth has been the dominant driver of inflation. Moreover, simulation exercises highlight the effects of the new BCB strategy initiated in August 2011 and also consider recession and inflation avoid-ance versions of the Taylor rule. In methodological terms, the Taylor rule model highlights the advantages of system dynamics with respect to nonlinear policies and to the stock-and-flow approach. In total, the strong historical fit and some counterintuitive observations of the Taylor rule model call for an application of the model to other economies.

Submitted by Juliane Andrade (juliane.a.andrade@gmail.com) on 2018-09-25T12:53:53Z No. of bitstreams: 1 DissertacaoFinalJulianeAndrade.pdf: 2648304 bytes, checksum: 0feea2eb88019ffdafb37180bd261f3b (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2018-09-25T15:17:07Z (GMT) No. of bitstreams: 1 DissertacaoFinalJulianeAndrade.pdf: 2648304 bytes, checksum: 0feea2eb88019ffdafb37180bd261f3b (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-09-25T16:40:46Z (GMT) No. of bitstreams: 1 DissertacaoFinalJulianeAndrade.pdf: 2648304 bytes, checksum: 0feea2eb88019ffdafb37180bd261f3b (MD5) / Made available in DSpace on 2018-09-25T16:40:46Z (GMT). No. of bitstreams: 1 DissertacaoFinalJulianeAndrade.pdf: 2648304 bytes, checksum: 0feea2eb88019ffdafb37180bd261f3b (MD5) Previous issue date: 2018-08-16 / Esse trabalho apresenta análise combinada entre a macroeconomia e a estrutura a termo das taxas de juros, através de duas modelagens distintas. Primeiramente, utiliza-se o modelo Novo Keynesiano de pequeno porte, que é combinado com o modelo dinâmico de Nelson-Siegel. Em seguida estima-se o modelo dinâmico de Nelson-Siegel integrado com variáveis macroeconômicas. São empregados dados mensais referentes aos contratos futuros de DI, de Setembro de 2002 a Dezembro de 2017. A comparação das modelagens mostra que o modelo combinado apresenta resultados mais consistentes do que o modelo integrado. / This paper aims to present a combined analysis between macroeconomics and the term structure of interest rates, through two different models. Firstly, a small New Keynesian model is used, which is combined with the dynamic Nelson-Siegel model. Then the NelsonSiegel dynamic model integrated with macroeconomic variables is estimated. Monthly data on DI futures contracts are used from September 2002 to December 2017. Comparison of modeling shows that the combined model presents more consistent results than the integrated model.

Cette thèse contribue aux travaux récents sur les effets de la politique budgétaire à court terme sur l'économie. Plus précisément, sont étudiés dans cette thèse trois principaux aspects de la politique budgétaire à court terme. Premièrement, un des messages principaux consiste à dire que l'impact de la politique budgétaire sur l'économie dépend fortement de l'instrument fiscal utilisé. Augmenter les transferts aux ménages, augmenter l'investissement public ou diminuer les cotisations patronales sur les salaires produisent des effets fort différents sur les variables macroéconomiques clefs et notamment sur le niveau d'activité. Deuxièmement, au delà des effets sur l'activité économique, une large partie de cette thèse analyse l'impact de chocs budgétaires sur le marché du travail. Un des principaux résultats est qu'il paraît délicat de traduire des multiplicateurs sur l'activité en multiplicateurs sur le chômage, notamment à cause de la réponse de l'offre de travail.Troisièmement, nous savons que de multiples facteurs influencent la taille du multiplicateur budgétaire. Deux de ces éléments sont abordés dans cette thèse : la position de l'économie sur le cycle économique et la réponse de la politique monétaire. Les deux premiers chapitres de la thèse analysent ces différents aspects dans un cadre d'économie fermée. Les deux derniers chapitres traitent de la politique budgétaire en union monétaire en analysant les effets de débordement entre États membres ainsi que les capacités stabilisatrices de mécanismes de transferts budgétaires entre États membres afin d'amortir les chocs conjoncturels. / This thesis aims at contributing to the recent studies which investigate the short-run effects of fiscal policy on economic activity. More precisely, three main aspects of fiscal policy in the short run are analyzed. First, one major message is that the impact of fiscal policy on the economy depends strongly on the fiscal instrument used by the government. Rising transfers to households, increasing public investment or cutting social protection tax trigger very different effects on key macroeconomic variables and especially on output. Second, one large part of this thesis is dedicated to the analysis of the effects of fiscal policy shocks on the labor market. One main result is that we cannot determine unemployment fiscal multipliers according to the value of the output fiscal multiplier, especially because of the response of the labor force participation to fiscal policy shocks. Third, this is well-known that many elements influence the size of the output fiscal multiplier. Two of these elements are considered throughout this thesis: the position of the economy over the business cycle and the behavior of the monetary policy. The two first chapters of this thesis analyze these different aspects in some closed economy models. The two last chapters extend this study at the case of a monetary union by investigating the spillover effects of fiscal policy between member states but also the stabilizing properties of fiscal transfer mechanisms between member states in order to soften cyclical shocks.

The finance-dominated growth regime has affected key macroeconomic variables in several contradictory ways. This paper investigates some of these effects: an increase of rentiers income, housing wealth and net financial wealth on private consumption expenditures and the effects of changes in payments to the rentier by the business on private investment expenditures. A Post-Kaleckian macro model is used as a starting point for this investigation. The paper thus contributes to two debates. First, it aims at clarifying some important macroeconomic effects of financialization. Second, it extends the analysis of distribution-led demand regimes by controlling for financialization variables. / Series: Department of Economics Working Paper Series

Recent breakthrough studies by Gali and Gertler (1999), Sbordone (2002) and Roberts (2001) argue that the New Keynesian Phillips curve (based on Calvo pricing model) is empirically valid concept and they conclude that the real marginal costs are preferred driving force to output gap in inflation dynamics for open economies. Neiss and Nelson (2002) and Gali, Gertler and Salido (2001), in turn, contradict that to date, there has been only little empirical evidence to support this statement. Neiss and Nelson (2002) add that "once output gap is defined consistently with economic theory, the gap-based New Keynesian Phillips curve has a fit with data which is at least as good as the real marginal costs-based one". For this purpose, my study investigates relationship between output gap and inflation described in the hybrid New Keynesian Phillips curve. Study estimates key coefficients of the hybrid gap-based New Keynesian Phillips curve, with both forward- and backward-looking inflation components, in the Czech Republic for periods 2000Q1 - 2012Q4 using Kalman filtration. My findings suggest that (i) output gap has a significant impact on Czech inflation dynamics (ii) share of forward-looking agents predominates to backward-looking agents in the Czech Republic and (iii) Czech inflation seems to be significantly driven by change in import prices.

This thesis concerns the interaction of monetary and fiscal policy. Using New Keynesian model, we show the impact of fiscal expansion under different specifications of monetary policy rules. The analysis of the transmission of fiscal expansion focuses on the situation in which central bank's nominal interest rate reaches zero lower bound. We verify the economic model using vector autoregression based on data of the United States. The results of the theoretical and empirical research suggest that the influence of government spending on the product is greater at the zero lower bound.

The submitted thesis is composed of three different articles dealing with issues of financial innovation, credit constraints, and their impact on welfare. The first article treats the contemporary theoretical grasp of the interaction between the financial and real economies, focusing primarily on the role of modern financial innovation in the business cycle. For this purpose, a framework promoted by the Regulation School and Post Keynesians is frequently employed, whilst some other unorthodox streams and mainstream economics are partially discussed as well. All of them aspire -- either per se or under the pressure of the contemporary economic agenda -- to clarify the evolution of financial innovation and credit in the recent era. It is generally found that certain consensus across the schools of economic thought exists, but some of them have done a better job in predicting the consequences of the financial innovation for real economic activity than others. Further, two dynamic macroeconomic models are developed in order to, inter alia, identify the possible effects of extended credit availability presented in the former article on the example of the housing market, and simulate the effects of housing price changes on general welfare. Clearly, this part of the thesis exhibits the indirect consequences of financial innovation as, once again, being rather ambiguous: after having partially unleashed the unprecedented credit granting in the economy, impacting interest rates and loan-to-value ratios, with a subsequent impact on housing prices, it has also influenced credit constrained and unconstrained households in a different manner. Based on an analysis of the situation using partial and general equilibrium analytical frameworks, two somewhat different conclusions are drawn up with respect to the occurrence of various shocks in the models. Under the partial equilibrium framework the effects of relaxation of credit constraints are visible and quite straightforward, indicating relatively simple and intuitive relationship between the price appreciation and general welfare. This is primarily perspicuous for the credit constrained households. In the general equilibrium framework, on the other hand, the transitional dynamics of shock proliferation is more transparent and the impact on credit constrained vs. unconstrained households is more ambiguous and much different from the basic intuition used in the article anchored in the partial equilibrium toolbox.