Thesis advisor: Fabio Ghironi / This dissertation examines the macroeconomic dynamics under different international asset market structures. The dissertation consists of two chapters. The first chapter is my cowork with Taesu Kang, a classmate of mine at Boston College, department of economics. We investigate the dynamics of the U.S and emerging Asian countries during the financial crisis in 2008. We focus on the bank lending channel as the source of shock transmission and explain how the internal default in the U.S can be transmitted to emerging Asian countries. The second chapter of my thesis is my work on the international equity home bias and Backus Smith puzzles. I propose a model with a incomplete asset market, endogenous labor supply and non-tradable goods that can generate a high degree of home equity bias, even when the domestic human capital return and equity return are highly correlated. My model also generates a very low correlation between the consumption differential across countries and the real exchange rate. The correlation is more inline with data than the strongly positive correlation predicted by a standard complete asset market framework. / Thesis (PhD) — Boston College, 2013. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

This dissertation tries to gain insight on the possible impact of information and communication technologies (ICT) in economic and social relationships. Can we really talk about a revolution?. It is probably too early to conclude so. In any case, the social impact of ICT seems evident: the daily life of most individuals, firms and public administrations in developed countries is nowadays linked to new technologies. Regarding their economic impact, this dissertation has investigated the role played by ICT in explaining some of the stylized facts that have characterized European economies over the last 25 years. Using Spanish data, chapter 1 shows that capital accumulation, and especially ICT introduction over the last 20 years, has led firms to internally reorganize themselves. Furthermore, the implemented organizational changes have been skill-biased and have, thus, stimulated the demand for high-skilled workers. Based on these results, in chapter 2 an inter-temporal general equilibrium model endogenizing the capital-skill complementarity relationship has been developed. The model distinguishes between two types of jobs, complex and simple, and two types of workers, high- and low-skilled. Complex jobs can only be occupied by high-skilled while simple jobs can be filled by both, high- and low-skilled workers. High-skilled workers in simple jobs continue to search for a job in the complex segment (on-the-job search). Matching processes are represented by matching functions à la Pissarides. Workers search intensities are endogenous. Calibrated on the Belgian economy, the model is able to reproduce the observed increase in unemployment rates and relative wage rigidity. Chapter 3 extends this theoretical setup to an endogenous growth framework, where embodied and disembodied technological progress are differentiated and endogenized through a learning-by-doing process based on capital accumulation. The new model also provides a realistic representation of the labor market and it considers growth issues. Chapter 4 analyzes the effects of technological and organizational changes within firms on the turnover of different professional categories. Empirical results, based on a unique French data set, suggest that ICT introduction increases labor flows of manual workers and employees, whereas most of the new workplace organizational practices raise the turnover of managers. / Cette dissertation cherche à déterminer le possible impact des nouvelles technologies de l'information et la communication (TIC) sur les relations économiques et sociales. Est-ce que c'est correct de parler d'une révolution ? Il est sûrement trop tôt pour en conclure. Pourtant l'impact social des TIC semble évident : la vie quotidienne des ménages, entreprises et administrations publiques dans les pays développés est aujourd'hui liée aux nouvelles technologies. Concernant son impact économique, cette dissertation a cherché à signaler leur rôle dans les faits stylisés qui ont caractérisé l'évolution des économies européennes sur les 30 dernières années. En se servant des données espagnols, le chapitre 1 montre que, sur les 20 dernières années, l'accumulation de capital, particulièrement de TIC, a mené aux entreprises a se réorganiser internement. D'ailleurs, ces changements organisationnels ont été biaisés en faveur des travailleurs qualifiés dont la demande s'est vue stimulée. En se basant sur ces résultats, le chapitre 2 développe un modèle inter-temporaire d'équilibre général endogéneisant la relation de complémentarité entre capital et travail qualifié. Le modèle distingue entre deux types de postes de travail, complexes et simple, et deux types de travailleurs, qualifiés et non qualifiés. Les postes de travail complexe peuvent être occupés seulement par les travailleurs qualifiés alors que les postes simples peuvent être occupés par les deux types de travailleurs. Les travailleurs qualifiés en postes simples continuent à chercher du travail dans le marché complexe pendant leur temps libre. Le procès de matching est représenté par des fonctions de matching à la Pissarides. Les intensités de recherche de l'emploi sont endogènes. Les modèle, calibré sur l'économie belge, reproduit de façon satisfaisante l'augmentation du chômage et la stabilité des salaires relatifs observés en Belgique pendant les dernières décades. Le chapitre 3 étend ce cadre théorique à un modèle de croissance endogène où le progrès technologique incorporé et désincorporé sont différenciés et endogèneisés à travers d'un procès de learning-by-doing fondé sur l'accumulation du capital. Le nouveau modèle fourni une représentation réaliste du marché de travail et il considère en même temps le sujet de la croissance. Le chapitre 4 analyse les effets des changements technologiques et organisationnels au sein des firmes sur les flux de travail de différentes catégories professionnelles. Les résultats empiriques, obtenus à partir d'une base de données française, suggèrent que l'introduction des TIC augmente les flux de travail des travailleurs manuels et les employés, alors que la plupart des nouvelles pratiques organisationnelles stimulent les flux de travail des cadres.

Cette thèse est consacrée à l‘étude de la relation entre la croissance économique et l’environnement, en tenant compte des décisions altruistes des ménages envers leurs enfants en termes de legs économique, éducatif et environnemental. Ce travail s’articule autour de trois chapitres. Le premier se focalise sur les premiers stades de développement, marquant un tournant majeur de cette relation, et met en exergue le rôle des interactions des sphères économique, démographique et environnementale dans l’émergence d’un processus d’industrialisation polluante. Il illustre également les grandes disparités observées historiquement avec des économies piégées dans une trappe à pauvreté et d’autres se développant au prix d’une pollution élevée. Les chapitres suivants s’intéressent à des économies développées. Le deuxième chapitre prend en compte l’endogénéité des préférences environnementales pour analyser une politique environnementale composée d’outils usuels (taxe sur la pollution et dépenses de dépollution) et d’un outil éducatif visant à sensibiliser les ménages à l'environnement. Nous montrons qu’un tel "policy mix" peut permettre à la fois d’éviter des inégalités intergénérationnelles, provenant de fluctuations des préférences, et de favoriser la croissance économique. Le troisième chapitre traite des effets de la pollution sur l’espérance de vie et de l’aspect inégalitaire de leur répartition au sein de la population. Nous trouvons qu’il existe une trappe à inégalités, où les disparités empirent constamment mais qu’une politique environnementale peut permettre d’échapper à cette trappe et d’augmenter la croissance de l’économie, par ses effets sur la santé et l’éducation. / This thesis is devoted to the analysis of the relationship between economic growth and the environment, when considering the altruistic choices of parents toward their children, through environmental, economic and educative bequests. This work is organized around three chapters. The first focuses on the first stages of economic development, corresponding to a major turning point of this relationship. It highlights the role of interactions between economic, demographic and environmental spheres in the emergence of a polluting industrialization. Moreover, it illustrates the great disparities, historically observed, with economies stuck in a poverty trap and others developing at expense of their environment. The others chapter deals with developed economies. The second chapter takes into account the endogeneity of environmental preferences in order to analyze the implications of an environmental policy composed of usual tools (pollution tax and abatement activities) and an educative tool aiming to raise households’ environmental awareness. We show that such a policy mix may allow to avoid intergenerational inequalities, coming from fluctuations in preferences, and to enhance economic growth. The third chapter considers the effects of pollution on longevity and their unequal repartition across population. We highlight that there exists an inequality trap, where disparities are persistently widening, but also that an environmental policy may allow an economy to escape from this trap and to improve economic growth, through its positive effects on health and on the returns to education.

Diese Dissertation besteht aus drei Essays, die die Rolle von Haushalts-Heterogenität für makroökonomische Entwicklungen untersuchen. Alle Essays verwenden dynamische, stochastische Modelle des allgemeinen makroökonomischen Gleichgewichtes, in denen Haushalte heterogen sind. Das erste Essay berechnet Multiplikatoren von budgetneutralen fiskalischen Politiken, die Einkommen von Haushalten mit einer geringen Konsumneigung zu Haushalten mit einer hohen Konsumneigung umverteilen. Zu diesem Zweck unterteile ich den Haushaltssektor in einem Neu-Keynesianischen Modell in eine Vielzahl von Untergruppen mit unterschiedlichen Konsumneigungen, wodurch die empirisch beobachtete Verteilung von Konsumneigungen exakt im Modell repliziert werden kann. Ich zeige, dass budgetneutrale Umverteilungen in diesem Modell ein wirksames Instrument sind um die Wirtschaft zu stimulieren. Das zweite Essay analysiert die Auswirkungen von Haushalts-Heterogenität für die Transmission von adversen externen Schocks in einem Bewley-Modell einer kleinen offenen Volkswirtschaft. Ich zeige, dass die negativen Auswirkungen der Schocks auf Haushaltseinkommen für ärmere Haushalte stärker sind. Da diese eine höhere marginale Konsumneigung haben, bedeutet das eine Abnahme der aggregierten Nachfrage. Des Weiteren profitieren reichere Haushalte disproportional von einer Stabilisierung der Volkswirtschaft durch eine Wechselkursabwertung. Das dritte Essay untersucht die Auswirkungen eines Anstieges der Lebenserwartung. Dabei liegt der Fokus auf den Implikationen von altersabhängigem Lohnrisiko, das einen U-förmigen Verlauf über die Lebenszeit aufweist. Wenn dies in einem Aiyagari-Modell mit überlappenden Generationen berücksichtigt wird, spielt die Anpassung von Arbeitsangebot eine wichtigere Rolle als im Standard-Modell ohne altersabhängiges Lohnrisiko. Anpassungen im Sparverhalten werden hingegen weniger wichtig. / This thesis consists of three essays on the implications of household heterogeneity for macroeconomic dynamics. Each essay employs a different Heterogeneous-Agent Dynamic Stochastic General-Equilibrium (DSGE) model tailored to the given research question. The first essay computes multipliers of different types of budget-neutral redistributive fiscal policies in a New Keynesian DSGE model. An ad-hoc distribution of MPC is introduced by partitioning the household population into a large number of segments with a varying share of hand-to-mouth consumers, which allows matching empirical estimates of the MPC distribution. I find that targeted transfers can be an effective tool in stimulating aggregate demand. In the second essay, I analyze the role of household heterogeneity for the propagation of external shocks in a Bewley-type model of a small open economy. I find that negative external shocks reduce households' current income, whereby poor households are affected most strongly. Since poor households have the highest MPC, this brings about a reduction in aggregate demand. My results further show that rich households dis-proportionally benefit from the stabilization of the domestic economy, provided by a devaluation of the nominal exchange rate. The third essay analyzes the effect of an increase in life expectancy in an Aiyagari overlapping generations model. Motivated by empirical evidence, the process for idiosyncratic wage shocks is modified such that their volatility is u-shaped over the life cycle. Relative to the standard model with age-independent wage volatility, labor supply has a more significant role in preparing for an increase in the expected retirement spell, while precautionary savings become less relevant. In the aggregate, this translates into a smaller fall in the natural interest rate, relative to the standard model.

L'objectif de cette thèse est d'évaluer l'interdépendance macroéconomique entre pays développés sur les récentes décennies et, en particulier, à la suite de la crise financière de 2007-09 aux États-Unis. Pour cela, on utilise différentes hypothèses de modélisation dans les trois chapitres principaux que constituent la thèse permettant de capturer la dimension internationale des cycles économiques : modèle VAR en panel permettant de modéliser l'interdépendance entre les pays directement, modèle VAR simple en utilisant des variables domestiques et étrangères, et modèle DSGE à 2 pays permettant de modéliser directement les mécanismes réels et financiers qui lient les pays entre eux. Notre résultat principal est que la dimension internationale est importante pour expliquer la dynamique macroéconomique des pays développés sur les trois dernières décennies, que les variables soient réelles, nominales ou financières. Néanmoins, le rôle des facteurs étrangers ne croit pas dans le temps comme on pourrait le penser avec l'accentuation de la mondialisation de ces dernières décennies. Aussi, en regardant les crises économiques récentes aux États-Unis et de la zone euro, nous confirmons que la crise financière américaine de 2007-09 présente un choc plus important comparé aux standards historiques, qui s'est propagé à la zone euro à travers les liens financiers internationaux. Au contraire, la crise des dettes publiques de la zone euro de 2011 est un choc relativement standard, similaire aux chocs observés pendant la crise du Système Monétaire Européen (SME) de 1992-93, et affectant principalement les économies européennes. / The aim of this thesis is to evaluate macroeconomic interdependence between developed economies over the recent decades and, in particular, following the 2007-09 US financial crisis. For that purpose, we use several modeling assumptions across the three main chapters of the thesis to capture the international dimension of business cycles across countries: panel VAR model to model countries interdependence directly, simple VAR model with both domestic and foreign variables, and two-country DSGE model to model the real and financial mechanisms that link countries together. Our main result is that international dimension is important to explain the macroeconomic dynamics of developed economies over the last three decades and for either real, nominal and financial variables. Nevertheless, the role of foreign factors does not grow over time as would be expected with the increase in globalization of the recent decades. Also, looking at the recent economic crises in the US and the euro area, we confirm that the 2007-09 US financial crisis features a bigger shock relative to historical standards, which propagated to euro area economies through international financial linkages. In contrast, the 2011 euro area sovereign debt crisis features a standard shock, comparable to those observed in previous European crises like the 1992-1993 ERM crisis, and affecting mostly European economies.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This study has as its main objective the study of the causal relationship between a set of macroeconomic and financial variables and the Public Debt, represented the Public Sector Net Debt, using the approach of multivariate regression model Self-Vector (VAR). Thus, we sougth to analyze the assumptions made by Correa and Biagi (2009), dealing about the growth of public debt to articulate financial factors linked to macroeconomic policy that interrelates financial openness, the volatile capital, high interet rates and the priority policy to fight inflation. The sample period includes the post form 1994 to 2010. Thus, for the proposed model, there was first the unit root test verifying that only two variables were not stationary, proceeding to theis use in first difference. Turthermore, it was tested for cointegration, resulting in failure to identify vector cointegrates, following to the application of VAR. Through Schwarz test, followed up to verify the selection criteria for the lag order of the variables in the matrix. Thus, based on these results, it became possible to say that the variables hava a behavior around a mean value, no significant structural breacks, which makes the design more robust. In arrays of contemporary relationships a significant relatioonship between the Public Debt and Public Debt. For other variables, the exchange rate, Aliens and Other Investments Other Investments Brazilian also had positive effects on the Public Debt. And, to a lesser extent, the variables Country Risk, Interesting Rate Long Term Selic rate, IPCA and Foreig Investiment in Portfolio. In the analysis of variance decomposition, the Public Debt demontrated hig explanatory power of more than 60% of its variation. This explanatory importance is followed by exchange and by interest. This result makes clear the determination of the decomposition of the forecast error as the impulse response function. Among the variables anlyzed, the Public Debt was the most impacted the Public Debt, showing its importance in the Brazilian economy. / Este estudo tem como principal objetivo o estudo da relação causal entre um conjunto de variáveis macroeconômicas e financeiras e a Dívida Pública, representada pela Dívida Líquida do Setor Público (DLSP), utilizando-se o enfoque multivariado do modelo de Auto-Regressão Vetorial (VAR). Assim, buscou-se analisar as hipóteses apresentadas por Corrêa e Biagi (2009), que tratam acerca do crescimento da Dívida Pública articulada aos fatores financeiros, ligados à política macroeconômica que interrelaciona a abertura financeira, os capitais voláteis, os juros altos e a prioridade à política de combate à inflação. O período analisado compreende do pós 1994 a 2010. Assim, para o modelo proposto, realizou-se primeiramente, o teste de raiz unitária verificando-se que apenas duas variáveis não eram estacionárias, procedendo-se para a utilização das mesmas em primeira diferença. Além disso, fez-se o teste de cointegração, tendo como resultado a não identificação de vetores co-integrados, seguindo-se para a aplicação do modelo VAR. Por meio do teste de Schwarz, seguiu-se para a verificação do critério de seleção da ordem de defasagem das variáveis na matriz. Assim, com base nos resultados obtidos, tornou-se possível afirmar que as variáveis possuem um comportamento em torno de um valor médio, não se observando quebras estruturais, o que torna o modelo mais robusto. Nas matrizes de relações contemporâneas se observou relação significativa entre a Dívida Pública e a Dívida Pública. Quanto às demais variáveis, o câmbio, Outros Investimentos de Estrangeiros e Outros Investimentos de Brasileiros também apresentaram efeitos positivos sobre a Dívida Pública. E, em menor grau, às variáveis Risco País, Taxa de Juros de Longo Prazo, Taxa SELIC, IPCA e Investimento Externo em Carteira. Na análise da decomposição de variância, a Dívida Pública demonstrou alto poder explanatório, de mais de 60% de sua variação. Essa importância explicativa é seguida pelo câmbio e pelos juros. Esse resultado deixa clara a determinação da decomposição do erro de previsão quanto a função impulso resposta. Dentre as variáveis analisadas, a Dívida Pública foi a que mais impactou a Dívida Pública, mostrando a sua importância na economia brasileira. / Mestre em Economia