This manuscript is composed of three chapters.In the first chapter, I analyze the impact of key European Central Bank’s unconventional monetary policy announcements on inflation expectations, measured by Euro Area five-year Inflation Linked Swap rates five years ahead, since the aftermath of the crisis. I control for market liquidity and uncertainty measures, change in oil price shock and macroeconomic news. The results show that the impact of the European Central Bank’s announcements has been positive during the period under observation. Along the line of the expansionary monetary policy measures implemented, the agents have been revising upwards their long term inflation expectations. This means that the unconventional monetary policy measures were effective. In the second chapter, co-authored with Claudia Pacella, we construct a Bayesian vector autoregressive model with three layers of information: the key drivers of inflation, cross-country dynamic interactions, and country-specific variables. The model provides good forecasting accuracy with respect to the popular benchmarks used in the literature. We perform a step-by-step analysis to shed light on which layer of information is more crucial for accurately forecasting euro area inflation. Our empirical analysis reveals the importance of including the key drivers of inflation and taking into account the multi-country dimension of the euro area. The results show that the complete model performs better overall in forecasting inflation excluding energy and unprocessed food over the medium-term. We use the model to establish stylized facts on the euro area and cross-country heterogeneity over the business cycle. In the third chapter, using confidential firm-level data from the National Bank of Belgium, I document the heterogeneous response of firms’ markups to the 2008 financial crisis. Overall, markups increased in the aftermath of the crisis and the effect was larger for highly financially constrained firms. I show that standard heterogeneous-firm models, featuring monopolistic competition and variable markups, are unable to replicate these patterns. I then introduce endogenous demand shifters which respond to firm investment in market share (e.g. quality). I show that the interaction of an increase in the cost of procuring inputs combined with an endogenous quality downgrading can rationalize the observed changes in firm-level markups. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

In this thesis I apply modern econometric techniques on macroeconomic time series. Forecasting is here developed along several dimensions in the three chapters. The chapters are in principle self-contained. However, a common element is represented by the business cycle analysis. In the first paper, which primarily deals with the problem of forecasting euro area inflation in the short and medium run, we also compute the country-specific responses of a common business cycle shock. Both chapters 2 and 3 deal predominately with business cycle issues from two different perspectives. The former chapter analyses the business cycle as a dichotomous non-observable variable and addresses the issue of evaluating the euro area business cycle dating formulated by the CEPR committee, while the latter chapter studies the entire distribution of GDP growth. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished