Die vorliegende Dissertation beschäftigt sich mit der Fragestellung, ob Fiskalpolitik die Gesamtnachfrage erhöhen kann, wenn eine Reihe von Haushalten und Unternehmen Finanzierungsbeschränkungen unterliegt. Das erste Essay liefert Evidenz zur Größe von Fiskalmultiplikatoren aus der Eurozone und den USA. Das Essay kommt zu dem Schluss, dass es in der Literatur hinreichend Hinweise gibt, dass expansive Fiskalpolitik, insbesondere in Form einer Erhöhung der Staatsausgaben oder in Form gezielter Transfers an liquiditätsbeschränkte Haushalte, die Wirtschaftstätigkeit in einer tiefen Rezession stark stimulieren kann. Das zweite Essay untersucht die Auswirkungen der Fiskalpolitik auf den privaten Konsum in Abhängigkeit vom Stadium des Konjunkturzyklus sowie dem Zustand der öffentlichen Finanzen. Die Untersuchung wird für ein jährliches Panel bestehend aus 16 OECD Ländern für den Zeitraum von 1970-2011 durchgeführt. Die Studie zeigt, dass Liquiditätsbeschränkungen bei den Haushalten die Wirksamkeit der Fiskalpolitik in den betrachteten Regimes verändern. Das dritte Essay geht der Frage nach der Größe des Staatsausgabenmultiplikators in einem DSGE-Modell mit Finanzintermediation nach. Als Hauptergebnis ist herauszustellen, dass der kumulierte Multiplikators einer vorübergehenden Erhöhung der Staatsausgaben in Regimen, in denen sich Banken Finanzierungsbeschränkungen gegenübersehen, größer als eins ist. Im Gegensatz dazu ist der Multiplikator kleiner als eins, wenn die Finanzierungsbeschränkungen gelockert sind. Das vierte Essay beschäftigt sich mit der Interaktion von Finanzierungsbeschränkungen und Arbeitsmarktimperfektionen. In der Modellökonomie wird ein positiver Produktivitätsschock durch endogene Fluktuationen an den Finanzmärkten verstärkt. Das Essay weist nach, dass, wenn Löhne über Nash-Verhandlungen gesetzt werden, ein Produktivitätsschock die Volatilität der Löhne substantiell erhöht. / This dissertation asks whether fiscal policy can be effective in boosting aggregate demand when borrowing constraints bind tightly across a wide range of households and firms. The work consists of four essays. The first essay surveys evidence on fiscal multipliers from the Euro area and the United States. From this essay it can be concluded that there is ample evidence in the literature that expansionary fiscal policy, especially in the form of an increase in government purchases or in targeted transfers to liquidity-constrained households, may strongly stimulate economic activity in times of a deep recession. The second essay examines the effects of fiscal policy on private consumption conditional on the phase of the business cycle and the state of the public finances in a yearly panel of 16 OECD countries. The essay demonstrates that binding liquidity constraints on households can alter the efficacy of the policy changes in the four regimes---defined by the conditioning states. The third essay examines the size of the government purchases multiplier in a dynamic stochastic general equilibrium model with financial intermediation. The main result is that the size of the cumulative multipliers of a temporary rise in government purchases is higher than one in regimes when financing constraints on banks bind tightly. In contrast, in times when financing constraints are loose the multipliers are smaller than one. The fourth essay studies the interaction between financing constraints and labor market imperfections and the role of this interaction in the labor market dynamics. In the model economy, a positive productivity shock is amplified through endogenous fluctuations in the financial market. The essay shows that if wages are set via Nash bargaining, the productivity shock increases substantially the volatility of wages.

A large theoretical and empirical literature has studied the response in prices to changes in demands and costs. Three of the essays in this thesis are empirical studies of price-setting. The most important reason for studying the properties of price adjustments is the possible link between pricing and the business cycle. One family of models deals with price rigidities. If prices adjust slowly to changes in costs or demand, it will magnify fluctuations in output. A second family of models examines price changes due to changes in intensity of competition. Many of these models build on the idea that changes in demand affect the possibility of maintaining implicit collusion. Cyclical changes in the intensity of competition may cause a cyclical pricing pattern that magnifies fluctuations in output. Another line of research models the effects of liquidity constraints on the business cycle. One possible effect is that prices in markets where consumers have switching costs may increase, if the firms are hit by increased liquidity constraints. As increased liquidity constraints are common in recessions, prices will get a counter-cyclical tendency, which magnifies fluctuations in output. Another reason for studying price-setting patterns is that they can give an indication of the form of interaction between competing firms, which are of importance for competition policy. The fourth essay models sex discrimination formally. It shows that it is possible that sex discrimination in the labor market might be due to self-fulfilling sex stereotypes on the distribution of time out for child care between men and women. Both an even and an uneven distribution of time out for child care are possible equilibria in the model. The four essays can be read separatelyEssay 1 Price Responses to Seasonal Demand Changes in the Swedish Gasoline MarketA common idea in a number of papers on cyclical pricing is that implicit price collusion may be affected by changes in demand. In these models, tacit collusion is modeled as a game where agents balance gains from deviating from the collusive price, thereby gaining a short-run profit, against the gains from maintaining collusion in future periods. If demand fluctuates, the gains from deviating is high in periods of high demand; collusion may still be sustainable, however, if the collusive price is allowed to vary with demand. A lower price in high demand states reduces the gains from deviating, since it reduces the gain from each unit sold in these demand states. Hence, in order to equalize the profit from deviating and the profit from sticking to the implicit agreement, the price must move in the opposite direction to demand. Changes in demand can, naturally, be correlated with other factors affecting the price, such as cost changes. Thus, prices do not necessarily fall when demand increases in the data. According to the theory the, however, increase in demand should add a tendency to lower prices in order to make implicit collusion sustainable. The basic idea that changes in demand should affect prices if firms are engaged in implicit collusion has been employed in a number of papers, with different models for different assumptions on the pattern of demand changes. The demand for gasoline in Sweden follows a seasonal cycle, with demand being 42 percent higher in July than in January. Haltiwanger and Harrington provide a theory for implicit collusion over deterministic cycles, such as the seasonal cycle. Borenstein and Shepard (1996) tested Haltiwanger and Harrington’s model on the American gasoline retail market and found support for the theory. In this essay the model is tested for Swedish data, but no support for this theory is found. It is also investigated whether the effects on margins of the demand fluctuations induced by tax increases are compatible with theories of implicit collusion, but this is found not to be the case.Essay 2 Price Adjustments by a Gasoline Retail ChainEssay 2 is joint with Marcus Asplund and Richard Friberg. Stickiness of prices is an important building block in many business cycle models. This has spurred an empirical literature on price adjustments. Different types of price rigidities have different policy implications. Price setting can be state dependent, e.g. prices are adjusted when costs have changed by at least some minimal amount since the last price adjustment, or time-dependent e.g. adjusted once a week or once a year. Another issue is whether prices are equally rigid downwards as upwards. The second essay examines price responses in the Swedish gasoline retail market to changes in the Rotterdam spot price of gasoline, exchange rates and taxes. The main results are that cost changes are not fully passed through in the short run, but gradually moves towards the long-run equilibrium. Prices are stickier downwards than upwards. There is a minimum absolute size of price changes. Only very limited evidence of time-dependent price setting is found.Essay 3 Prices, Margins and Liquidity Constraints: Swedish Newspapers 1990-1996Essay 3 is written with Marcus Asplund and Niklas Strand. Chevalier and Scharfstein (1996) provide a model where consumer switching costs in combination with liquidity constraints give rise to a counter-cyclical tendency in prices. Customer stocks can be viewed as an investment, when consumers have switching costs when changing suppliers. Firms can exploit captured customers by setting a high price to raise short-run profits. However, a high price will induce consumers to search for alternatives, and customers once lost are costly to win back. Liquidity constraints, for instance in recessions, may force firms to sacrifice long-run profits for short-run gains. In this case, firms may have to cut back on investments in customer stocks by raising prices. Using firm level data from the Swedish daily newspaper industry, we test the effects of liquidity constraints on prices in markets with consumer switching costs. The newspaper industry is of particular interest, since firms set prices in two markets, the subscription market, where switching costs are high, and the advertising market, where switching costs are low. With accounting data from newspaper firms we can, by solvency, broadly categorize them as being more or less liquidity constrained. When Sweden enters a recession at the beginning of the nineties, we find a relative increase in subscription prices and margins for liquidity constrained firms. This is not the case for advertising prices, however. The results support the theory.Essay 4 Statistical Discrimination and Sex Stereotypes in the Labor MarketTime out for child care is unevenly distributed between the sexes. Parental leave benefits are usually exclusively given to the mother or distributed to both parents according to their choice. In Sweden, one month is reserved for each parent, however. One reason for this is to give the child better contact with both parents, but increased equality between the sexes in the labor market has also been put forward as an argument. This argument implicitly rests on the idea that sex stereotypes create sex discrimination, and that sex discrimination affects the distribution of time out for child care between the sexes. Essay 4 investigates if the uneven distribution of time out for child care can be explained by self-fulfilling sex stereotypes. It provides a model of distribution of time out for child care based on statistical discrimination and human capital investments. The model has three equilibria. In one equilibrium, time out for child care is evenly distributed between the sexes. In the second equilibrium, there is full specialization. The third equilibrium is an intermediate case, where time out for child care is unevenly distributed without full specialization There are no differences in ability or variance of ability between the sexes, the only differences between the equilibria are the self-fulfilling expectations of firms and workers. / Diss. (sammanfattning) Stockholm : Handelshögsk., 2001

本論文是二篇探討與股票價格平均數復歸現象有關的實證文章。在第一篇文章中，我們將探討由於廠商特質所產生資金供需雙方訊息的非對稱，而引發的流動性限制對廠商股票價格行為的潛在影響；在第二篇文章中，我們研究的課題是在漲跌幅限制下，交易量與股票報酬自我相關的關係。 第一篇文章主要在探討由於廠商特質所產生資金供需雙方訊息的非對稱，而引發的流動性限制對廠商股票價格行為的影響。我們利用五個廠商特質－所有權結構、集團企業成員、上市時間、公司規模與現金股利的發放，定義面臨流動性限制的廠商，並使用變異數比率衡量股票價格平均數復歸的現象，由於小樣本的問題，我們將利用拔靴法檢定假說：廠商的流動性限制會強化其股票價格平均數復歸的行為。我們的實證結果並不一致，所有權結構、公司規模和集團企業成員的分組實證結果支持我們的假說，流動性限制會強化平均數復歸的行為；而上市時間與現金股利發放的分組實證結果並不支持我們的假說。 在第二篇文章中，我們使用與Campbell et. al. (1993)相同的實證模型，討論在漲跌幅限制下，交易量與股票日報酬自我相關的關係。由於漲跌幅限制的存在，當股票價格觸及漲跌幅上下限時，即停止交易，而使得真正的股票價格無法觀察到，因而未實現之需求或供給將會傳遞至下一個交易日，將使傳統OLS或其衍生方法的估計產生偏誤，而使用Chou和Chib (1995)與Chou (1995)所提的Gibbs抽樣法則可以成功地克服這些困難。所以，本文將應用Chou和Chib (1995)與Chou (1995)的Gibbs抽樣法來衡量台灣股票市場交易量對股票日報酬自我相關係數的影響，以避免漲跌幅限制的影響。本文採用台灣證交所編製的綜合股價指數所採樣的二十四家公司為樣本，利用日資料進行實證分析，實證結果支持「交易量效果」的存在。且在實證過程中，發現台灣股票市場股票日報酬的正自我相關有可能是漲跌幅限制的存在而造成的。

[pt] Esta tese é composta por três ensaios. Os dois primeiros investigam a relação entre a renda per capita das famílias e as frações dos gastos setoriais, tanto em séries temporais quanto em cross-section nos EUA do pós-guerra. O primeiro usa uma abordagem parcial para estimar o aumento da dispersão do consumo (renda) e os efeitos de renda nos EUA de 1980 a 2010. Mostramos que os efeitos da renda são heterogêneos entre as famílias agrupadas por quintis de renda e, em seguida, a dispersão do consumo é correlacionada com as duas principais forças de transformação estrutural (efeitos de preço e renda) na contabilização da magnitude de transformação estrutural nas partes das despesas de consumo nos EUA durante esse período. O segundo estende um modelo canônico de Bewley-Aiyagari em tempo contínuo incorporado a um ambiente de dois setores para representar quantitativamente três regularidades empíricas nos EUA do pós-guerra (o preço relativo dos bens cai e a parcela de gastos dos produtos cai sistematicamente com a renda per capita, tanto em séries temporais quanto no cross-section) sem se afastar das preferências padrão Stone-Geary. Avaliamos a importância de mudanças na renda e nos preços relativos para mudanças estruturais nas parcelas dos gastos de consumo nos EUA do pós-guerra e concluímos que são forças equivalentes. Reforçamos que a conciliação dessas três principais regularidades empíricas nos EUA do pós-guerra exige uma teoria do crescimento que acomode a demanda de longo prazo e forneça fatores de mudança estrutural. Finalmente, o terceiro ensaio usa um conjunto de dados de painel exclusivo com registros administrativos em nível individual de transações de crédito, benefícios do programa, demografia individual e características de contratos de trabalho para estudar como os consumidores respondem a um choque de liquidez decorrente de liberações de saques de contas inativas do Fundo de Garantia por tempo de serviço (FGTS) no Brasil em 2017. Usando um design de identificação de diferenças entre diferenças, encontramos um aumento no consumo e uma dívida total diminuída após o anúncio: durante até doze meses subsequentes, para cada USD 1 de benefício do programa, os consumidores a média aumentaram os gastos de consumo em USD 0,53 - 25 porcento dos quais ocorrem durante a janela de anúncio - e a dívida total diminuiu em USD 0,07, especialmente em dívidas de folha de pagamento. A resposta ao consumo ocorreu principalmente por meio de gastos com cartão de crédito, mas também foram encontradas evidências de bens duráveis financiados por dívida. Os consumidores endividados usaram liquidez de curto prazo nas modalidades de dívida (cheque especial e dívida com cartão de crédito), além dos gastos com cartão de crédito para suavizar consumo. Consumidores restritos, medidos como jovens ou idosos, mostraram respostas mais fortes ao consumo. / [en] This thesis is comprised of three essays. The first two investigate the relationship between households per capita income and sectoral expenditure shares both in times series and in cross-section in the postwar US. The first uses a partial approach to estimate the rise of consumption (income) dispersion and income effects in the US from 1980 to 2010. We show that income effects are heterogeneous across households grouped by income quintiles and then consumption dispersion correlates the two main driving forces of structural change (price and income effects) in accounting for the magnitude of structural change in the shares of consumption expenditure in the US over this period. The second extends a canonical Bewley-Aiyagari model in continuous time embedded with a two-sector environment to depict quantitatively three empirical regularities in the postwar US (relative price of goods falls and expenditure shares of goods falls systematically with per capita income, both in times series and in cross-section) without departing from benchmark Stone-Geary preferences. We assess the importance of changes in income and relative prices for structural change in the shares of consumption expenditure in the postwar US and conclude they are nearly equivalent forces. We reinforce that reconciling these three main empirical regularities in the postwar US calls for a growth theory that accommodates long-run demand and supply drivers of structural change. Finally, the third essay uses a unique panel dataset with individual-level administrative records of credit transactions, program benefits, individual demographics and features of labor contracts to study how consumers respond to a liquidity shock arising from withdrawals releases from inactive accounts of the Guarantee Fund for Time of Service (FGTS) in Brazil in 2017. Using a difference-in-differences identification design, we find consumption rose and total debt declined after the announcement: during up to twelve subsequent months, for each USD 1 of program benefit, consumers on average increased consumption spending by USD 0.53 - 25 percent of which occurs during the announcement window - and total debt declined by USD 0.07, specially in payroll debt. Consumption response occurred mostly via credit card spending, but evidence of debt-financed durables was also found. Indebted consumers used short-term liquidity in debt modalities (overdraft debt and credit card debt) in addition to credit card spending to smooth consumption. Constrained consumers, measured as young or old, showed stronger consumption responses.

Les flux financiers internationaux ont connu un développement accéléré au cours des quatre dernières décennies, et le rôle du secteur bancaire dans la transformation de ces flux en moyens de financer la demande s’est accru. Or le passage d’un choc de flux, à un choc de revenu, puis à un choc de demande, génère des ajustements de type «Syndrome Hollandais»; avec variation des prix relatifs et ajustement de la structure de production, mouvement des facteurs de production, et variation des rémunérations absolues et relatives de ces facteurs. Le phénomène est d’importance pour les petites économies ouvertes preneuses de prix et exposées aux chocs exogènes. Nous conceptualisons la transmission du choc et les ajustements sur différents horizons temporels pour une économie à deux secteurs; l’un produisant des biens échangeables et l’autre des biens non-échangeables. L’économie dispose de deux facteurs de production, le travail et le capital, substituables et mobiles avec le temps. Nous testons ce cadre conceptuel sur le Liban, le Luxembourg, et l’Islande; trois pays bénéficiant de larges flux financiers internationaux avant la crise de 2008 et ayant des secteurs bancaires de tailles importantes. Nous trouvons que la direction et l’intensité des ajustements de moyen terme vont dépendre du différentiel d’intensité capitalistique entre secteurs. Sur le long terme, l’offre des facteurs va se modifier. Nous testons aussi l’impact des politiques de réserves et du marché de la monnaie et du crédit, et des politiques fiscales et structurelles. La combinaison de mesures produit de meilleurs résultats sans toutefois mettre le poids de l’atténuation des ajustements sur un seul instrument. / Foreign financial inflows have developed quickly in the past 40 years. These inflows have increased the ability of the banking sector to further finance domestic demand. The transformation of foreign financial inflows into an income and demand shock generates Dutch Disease adjustments; with change in relative prices and adjustments in the productive system, resources movement, and change in the absolute and relative remunerations of factors of production. The phenomenon is of great importance in the case of small open economies that are price takers in the international market and exposed to exogenous shocks. We conceptualize the transmission of the shock and the adjustments over different time horizons for an economy composed of two sectors; one producing traded goods and the other producing non-traded goods. This economy is endowed with two factors of production, labor and capital, substitutable and mobile as time elapses. We experiment this conceptual framework in the cases of Lebanon, Luxemburg, and Iceland; the three economies having large banking sectors and benefiting from large foreign financial inflows prior to the 2008 crisis. We find that the direction and intensity of adjustments over the medium term depend on the differential of capital intensity between sectors. Over the longer term, the supply of factors of production would change. We also simulate the impact of policy choices, with focus on reserves policies, policies of money and credit, fiscal policies, and structural policies. The combination of measures leads to better results without putting the burden of the mitigation of adjustments on one single policy instrument.