This DPhil thesis is a collection of three theoretical and empirical papers studying labor markets in several advanced economies. Two chapters examine the relationship between the banking sector and the labor market in the US and the UK, while one evaluates a policy that has been proposed to help labor markets in the Euro Area adjust to economic shocks. In the first chapter, I develop a New Keynesian DSGE model that integrates a banking sector subject to moral hazard with a standard random search model of the labor market. I estimate the model using US data and study the role of the banking sector in determining labor market fluctuations. In the second chapter, I estimate a structural VAR model of the UK and US economies and identify bank lending shocks using a mix of sign and short-run exclusion restrictions. Consistent with the predictions of the DSGE model, an expansionary loan supply shock decreases job-destruction and increases job-creation, reducing the unemployment rate persistently. Bank lending shocks are also important drivers of labor market fluctuations, particularly during the Great Recession. Lastly, in the third chapter, I calibrate to the Euro Area a currency union DSGE model to evaluate the aggregate properties of European Unemployment Insurance (EUI). I find that EUI cannot contemporaneously stabilize the monetary union and achieve convergence in regional unemployment and inflation rates.

Submitted by LUIZ GUSTAVO MOZA (gustavomoza@gmail.com) on 2015-05-29T15:36:44Z No. of bitstreams: 1 MCP_send.pdf: 680259 bytes, checksum: e66adf3e460a5e9ac1f5e329b620babc (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-06-01T12:22:52Z (GMT) No. of bitstreams: 1 MCP_send.pdf: 680259 bytes, checksum: e66adf3e460a5e9ac1f5e329b620babc (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-06-12T19:14:41Z (GMT) No. of bitstreams: 1 MCP_send.pdf: 680259 bytes, checksum: e66adf3e460a5e9ac1f5e329b620babc (MD5) / Made available in DSpace on 2015-06-12T19:14:55Z (GMT). No. of bitstreams: 1 MCP_send.pdf: 680259 bytes, checksum: e66adf3e460a5e9ac1f5e329b620babc (MD5) Previous issue date: 2015-04-27 / This work is dedicated to the empirical exercise of generating more restrictions on an asset pricing model with time series developed by Hansen and Singleton JPE 1983. The restrictions go from a simple qualitative increase in the studied assets to a proposed extension derived from a consistent estimator of the stochastic discount factor. Estimates found for the relative risk aversion of the representative agent are as expected, in most cases, reaching values already found in literature, besides the fact that these values are economically plausible. The theoretical extension proposal did not achieve the expected results beacause it seems to improve the systemic estimation marginally. / Este Trabalho se Dedica ao exercício empírico de gerar mais restrições ao modelo de apreçamento de ativos com séries temporais desenvolvido por Hansen e Singleton JPE 1983. As restrições vão, desde um simples aumento qualitativo nos ativos estudados até uma extensão teórica proposta a partir de um estimador consistente do fator estocástico de desconto. As estimativas encontradas para a aversão relativa ao risco do agente representativo estão dentro do esperado, na maioria dos casos, já que atingem valores já encontrados na literatura além do fato destes valores serem economicamente plausíveis. A extensão teórica proposta não atingiu resultados esperados, parecendo melhorar a estimação do sistema marginalmente.

Submitted by Marcel Grillo Balassiano (marcelbalassiano@icloud.com) on 2017-03-06T16:55:53Z No. of bitstreams: 1 Dissertação_Marcel Grillo Balassiano.pdf: 1230766 bytes, checksum: df330017792e8142ecc6a71a6076c24e (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2017-03-08T17:13:56Z (GMT) No. of bitstreams: 1 Dissertação_Marcel Grillo Balassiano.pdf: 1230766 bytes, checksum: df330017792e8142ecc6a71a6076c24e (MD5) / Made available in DSpace on 2017-03-23T14:00:48Z (GMT). No. of bitstreams: 1 Dissertação_Marcel Grillo Balassiano.pdf: 1230766 bytes, checksum: df330017792e8142ecc6a71a6076c24e (MD5) Previous issue date: 2017-02-06 / Brazil is currently undergoing a very strong economic slowdown, and, according to the Economic Cycles Dating Committee (CODACE), Brazil has been in recession since the second quarter of 2014. Given this situation, one of the debates in the Brazilian economy currently is about the reasons for this recent slowdown in Brazilian growth. There is a part that credits this deceleration to external factors; another, to internal factors. Empirical evidence from Matos (2016), through a panel study with a sample of 14 emerging countries, concluded that only 30% of the Brazilian deceleration can be explained by external factors. So, the objective of this dissertation is to analyze the performance of the Brazilian economy between 1980 and 2015, focusing on the Brazilian deceleration post-2010, under three different methods: comparative analysis, panel data and synthetic control. All the methodologies show that Brazil has suffered a strong deceleration of its economy in recent years, especially in the biennium 2014-2015. Moreover, the recent gap of the performance of the Brazilian economy with some comparison groups, which has not occurred in other periods of the past, reinforces the view that this recent loss of pace is largely due to specific factors in our economy. / O Brasil atualmente vem passando por um processo de desaceleração muito forte da sua economia, e, de acordo com o Comitê de Datação de Ciclos Econômicos (CODACE), o Brasil está em recessão desde o segundo trimestre de 2014. Diante desse quadro, um dos debates na economia brasileira atualmente é sobre os motivos dessa desaceleração recente do crescimento brasileiro. Há uma parte que credita essa desaceleração principalmente a fatores externos; outra, a fatores internos. Evidências empíricas de Matos (2016), por meio de um estudo em painel com uma amostra de 14 países emergentes, concluí que apenas 30% da desaceleração brasileira pode ser explicada por fatores externos. Então, o objetivo desta dissertação é analisar o desempenho da economia brasileira entre 1980 e 2015, com foco na desaceleração brasileira pós-2010, sob três métodos diferentes: análise comparativa, dados em painel e controle sintético. Todas as metodologias mostram que o Brasil sofreu uma forte desaceleração da sua economia nos últimos anos, em especial no biênio 2014-2015. Além disso, o descolamento do desempenho da economia brasileira recentemente com alguns grupos de comparação, o que não ocorreu em outros períodos do passado, reforça a visão de que essa perda de ritmo recente decorre, em grande medida, de fatores específicos da nossa economia.

This study examines how stock market returns and volatility responses to macroeconomic news announcements in US and Europe, and oil prices. Moreover, the market risk associated with these stock markets based on selected countries and regions is also analyzed here. In all chapters, the data is in a weekly time horizon and it covers 21 countries from different contents. In particular, Data covers three different time periods, i.e. full sample from 1/1/2000 to 12/31/2015, before the financial crisis, i.e. from 1/1/2000 to 9/27/2008 and after the financial crisis, i.e. from 10/11/2008 to 12/31/2015. Chapter 2 studies the impact of macroeconomic news announcements on stock markets in 21 countries using US and European countries macroeconomic news announcements. The first part investigates the impact of macroeconomic news announcements surprises in US and European Countries on stock markets returns in these countries. The second part analyzes the impact of macroeconomic news announcements in US and European Countries on stock markets volatility in these countries. Our results show that stock markets in selected countries react differently to macroeconomic news announcement in US and Europe. Chapter 3 study the interaction and volatility spillover between oil prices and stock markets returns and volatility in selected countries and regions. Oil prices are based on West Texas Intermediate (WTI). The analysis use VAR(1)-GARCH(1,1) model to capture the interdependence between stocks market and oil prices. The findings show that there is interdependence between stock markets and oil price changes in most selected countries and regions. Chapter 4 study the market risk in stock markets returns in selected countries and regions using IGARCH(1,1) and GARCH(1,1) to obtain the value at risk (VaR) and the expected shortfall (ES). The findings of chapter 4 show that market risk was high for most selected countries before the financial crisis and low after the financial crisis.

This dissertation studies the impact embedding boundedly rational agents in real business cycle-type news-shock models may have on a variety of model predictions, from simulated moments to structural parameter estimates. In particular, I analyze the qualitative and quantitative effects of assuming agents are boundedly rational in a class of DSGE models which attempt to explain the observed volatility and comovements in key aggregate measures of U.S. economic performance as the result of endogenous responses to information in the form of ``news shocks''. The first chapter explores the theoretical feasibility of relaxing the rational expectations hypothesis in a three-sector real business cycle (RBC) model which generates boom-bust cycles as a result of periods of optimism and pessimism on the part of households. The second chapter determines whether agents forming linear forecasts of shadow prices in a nonlinear framework can lead to behavior approximately consistent with fully informed individuals in a one-sector real business cycle model. The third chapter analyzes whether empirical estimates of the relative importance of anticipated shocks may be biased by assuming rational expectations. By merging the two hitherto separate but complementary strands of literature related to bounded rationality and news shocks I am able to conduct in-depth analysis of the importance of both the information agents have and what they choose to do with it. At its core, the study of news in macroeconomics is a study of the specific role alternative information sets play in generating macroeconomic volatility. Adaptive learning on the other hand is concerned with the behavior of agents given an information set. Taken together, these fields jointly describe the input and the ``black box'' which produce model predictions from DSGE models. While previous research has been conducted on the effects of bounded rationality or news shocks in isolation, this dissertation marks the first set of research explicitly focused on the interaction of these two model features.

[pt] Este trabalho propõe um modelo com reversão à média e inércia para taxas de juros e para cargas dos fatores de Nelson e Siegel (1987), e adiciona variáveis macroeconômicas selecionadas. As previsões geradas são comparadas com o Passeio Aleatório e com a metodologia de Diebold e Li (2006). / [en] This work proposes a model with mean reversion and inertia for the yields and the loadings of the Nelson and Siegel (1987) factors, and includes selected macroeconomic variables. The generated forecasts are compared with the Random Walk and the Diebold e Li (2006) methodology.

The Southern African Development Community (SADC) aims to have a regional central bank by 2016 and a common currency by 2018. The member states are at the early stages of the process of regional economic integration, having launched a free trade area in 2008. Monetary integration is an advanced stage of regional economic integration that requires progressive changes in the participating countries. The purpose of this study is to determine the feasibility of monetary integration within the SADC countries and hence, provide policy recommendations to guide the integration process. To accomplish this, the study analyses the extent to which the member states meet the criteria for an optimum currency area (OCA) as well as the degree to which their economies are converging. The study finds that the main macroeconomic objectives of SADC countries differ due to a difference in the relative importance of monetary policy instruments in member states, which influences each country’s commitment towards achieving the macroeconomic convergence targets and harmonising policies. A more appropriate approach to macroeconomic convergence would be to allow for variable speed, geometry and depth in each country as premature adherence to convergence targets could prevent a harmonisation of the economies in the future and possibly destabilise the union. In addition, the study investigates the importance and similarities of the monetary aggregate channel, the interest rate channel, the exchange rate channel and the credit channel in the transmission of monetary policy using VAR analysis. This is important when considering monetary integration because differences in transmission mechanisms can result in asymmetric behaviour between member states, which in turn will prevent harmonisation of their economies. The results of the analysis suggest that SADC member states display asymmetries in their responses to monetary policy shocks as well as the relative importance of transmission mechanisms. In addition, the results suggest that national monetary policy is generally inefficient in determining economic performance in the member states. Furthermore, the study finds that the failure to meet the OCA criteria implies that the SADC member states will respond asymmetrically to shocks within a monetary union. With no effective alternative adjustment mechanisms in place, the effects of the shocks will endure in union members and possibly widen existing cyclical variation. Hence, monetary integration would not result in harmonisation of the economies of member states. It is therefore, concluded that the SADC countries were not suitable for monetary integration at present.

A recente crise econômica internacional destacou a deficiência da estrutura regulatória então vigente no sistema financeiro. Desde então muitos trabalhos têm avaliado a introdução da política macroprudencial no arcabouço de um modelo DSGE. No entanto, seu foco primordial não tem sido na escolha da variável à qual o requerimento contracíclico de capital deve responder - a variável âncora. A fim de preencher essa lacuna, diferentes regras macroprudenciais foram introduzidas no modelo DSGE desenvolvido por Gerali et al. (2010) e os resultados foram comparados por meio de uma métrica de bem-estar. O crescimento do crédito foi a variável que apresentou melhor resultado. / The recent crisis highlighted the deficiency of the regulatory framework in place then. Thenceforth many papers have been assessing the introduction of macroprudential policy in a DSGE model. However, they do not focus on the choice of the variable to which the countercyclical capital buffer must respond - the anchor variable. In order to fulfil this gap, we input different macroprudential rules into the DSGE proposed by Gerali et al. (2010), and then we sort the results using a measure of welfare. Credit growth is the variable that performs best.

Resumo: Dois modelos formam a base da teoria moderna de crescimento econômico, conhecidos como modelo de Solow-Swan e modelo de Ramsey-Cass-Koopmans. Os dois modelos são apresentados por uma narrativa linear. O modelo de Solow representaria um primeiro modelo mais básico para compreender o crescimento econômico. Já Ramsey-Cass-Koopmans relaxaria a forte hipótese do primeiro modelo de que a propensão a poupar seria uma alíquota fixa, transformando a decisão de poupança em uma decisão derivada de um comportamento maximizador de utilidade e assim enriquecendo o modelo de Solow por clarificar a relação de crescimento econômico com a teoria do equilíbrio geral. O propósito deste trabalho é desafiar esta narrativa linear. Para isto, a dissertação apresenta outros assuntos de importância para a teoria do crescimento na década de 1960 que não se encaixam nesta narrativa, os teoremas de turnpike e os modelos de dois setores. Estes dois temas atuam como elos que ligam as três distintas comunidades representadas pelos atores Robert Solow, Tjalling Koopmans e David Cass, demonstrando que a relação entre os dois modelos é menos linear do que é usualmente apresentado. / Abstract: Two models shape the basis of modern economic growth theory, known as the Solow-Swan model and the Ramsey-Cass-Koopmans model. Both models are usually presented by a linear narrative. The Solow model would represent a first basic model to understand economic growth. The Ramsey-Cass-Koopmans would come to enrich the basic Solow model, by relaxing the constant propensity to save hypothesis, making the savings decision derived from a utility maximizing behavior. The purpose of this work is to challenge this linear narrative. This dissertation introduce other subjects that were influential to the development of growth theory in the sixties, but don\'t fit in the linear narrative: the turnpike theorems and the two-sector models of growth. These two subjects operate as links that connect three different scientific communities, represented by the actors Robert Solow, Tjalling Koopmans and David Cass, and help to evidence that the relation between the Solow model and the Ramsey-Cass-Koopmans model is less linear than usually presented.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The Federal Constitution of 1988 was the first in Brazil to refer to social inequalities and social assistance as a public policy. Currently there are several programs that assist the population living in extreme poverty. Among the existing programs, the best known are the Bolsa Família Program and the Continued Benefit that have as their main task the transfer of minimum necessary income to families that fall within the pre-established criteria in specific Decrees and registered in the Unified Register for Programs social - CadÚnico. From the above, this study aims to examine the relationship between the main macroeconomic variables and spending on social welfare policy of the federal government in the period between January 2004 and August 2014. The methodology to be employed to achieve this goal is : the autoregressive moving average model with ARMAX exogenous variable, the Vector autoregression model - VAR, the Granger causality test, cointegration test Johansen and Error Correction Vector - VEC. The conclusions reached were positive for significant relationships between macroeconomic variables and social assistance programs, ie, programs influence the Brazilian economy. / A Constituição Federal de 1988 foi a primeira do Brasil a referir-se às desigualdades sociais e a assistência social como política pública. Atualmente há diversos programas que prestam assistência a população que se encontra em situação de pobreza extrema. Dentre os programas existentes, os mais conhecidos são o Programa Bolsa Família e o Benefício de Prestação Continuada que possuem como incumbência principal a transferência de renda mínima necessária às famílias que se enquadram nos critérios pré-estabelecidos em Decretos específicos e cadastrados no Cadastro Único para Programas Sociais CadÚnico. Do exposto acima, o presente trabalho pretende analisar a relação existente entre as principais variáveis macroeconômicas e os gastos em política de assistência social do governo federal no período compreendido entre janeiro de 2004 e agosto de 2014. A metodologia que será empregada para atingir este objetivo é: o modelo autorregressivo de média móvel com variável exógena ARMAX, o Modelo de Autorregressão Vetorial VAR, o teste de causalidade de Granger, o testes de Cointegração de Johansen e o Vetor de Correção de Erros VEC. As conclusões obtidas foram positivas para as relações significativas entre as variáveis macroeconômicas e os programas de assistência social, ou seja, os programas influenciam na economia brasileira.