Cette thèse analyse les déterminants et les conséquences des cycles financiers, afin d’en fournir des recommandations de politique économique. Ce terme relativement nouveau invoque aussi bien le comportement pro-cyclique des agents financiers que le cycle de différentes variables, tels que le crédit, et les marchés boursiers et immobiliers. Cette définition permet de dissocier le cycle financier national de l’international. Dans un premier temps, cette thèse propose de nouveaux déterminants aux cycles financiers nationaux. Je mets en avant le rôle primordial de la structure de la dette en termes de maturité. A travers une analyse flux-stock, je démontre que la dynamique de la dette suit généralement une tendance sous-optimale, tantôt trop axée sur les dettes de court-terme, tantôt trop tournée vers le long-terme. Cette thèse propose aussi un deuxième nouveau déterminant de ces cycles financiers, à savoir l’évolution des inégalités. J’en tire trois prédictions théoriques, qui se vérifient dans mon analyse économétrique : i) la hausse des inégalités conduit à une augmentation du crédit aux ménages au niveau agrégé ; ii) l’essentiel de ce lien de causalité est tiré par le rôle clé des classes moyennes ; iii) ce lien de causalité positif existe si et seulement si le pays est suffisamment développé. Dans un deuxième temps, j’analyse les conséquences du cycle financier global, conduit principalement par la politique monétaire américaine. Je démontre que l’exposition domestique aux forces étrangères, en particulier via la présence de banques globales, réduit l’autonomie de la politique monétaire, mais que ce cycle ne change pas la nature du triangle d’incompatibilité de Mundell. / This thesis focuses on the determinants and policy implications of financial cycles. This term is fairly new and in line with the conventional logic of business cycles. It involves the boom-bust cycle in credit, equity and housing markets as well as the procyclical behavior of agents. This general definition allows us to distinguish the national financial cycles from the international ones exclusively through the level of integration to the international financial system, with close transmission channels. On the one hand, this brings up questions about their various determinants. I consider debt maturity structure as potential determinant. By using a stock-flow analysis, I find that the mix of these debts chosen by the agent follows a suboptimal path. Financial crises could be triggered by excessive reliance on either short-term or long-term debt. This thesis also exhibits the role of income inequality as key factor of these national financial cycles. Three main predictions are supported by an empirical analysis: i), an increase in inequality leads to an expansion on household credit at the aggregate level; ii) the bulk of the positive impact of inequality on household credit is driven by middle classes; iii) the positive causal link from inequality to household credit exists if and only if the country is sufficiently developed. On the other hand, I will also debate the consequences and policy implications of the global financial cycle, led primarily by US monetary policy. This exposure to foreign forces reduces the scope of domestic monetary policy, but the Mundellian trilemma does not morph into a dilemma.

The paper explores the theory of optimum currency areas, outlines its implications for current international monetary order, and applies its conclusions to the European Economic and Monetary Union

The paper explores the theory of optimum currency areas, outlines its implications for current international monetary order, and applies its conclusions to the European Economic and Monetary Union

Den 24 februari invaderade Ryssland grannlandet Ukraina, vad som många trodde skulle bli en snabb övertagning av landet visar sig vara ett kostsamt och långdraget krig. Detta har skapat en oro världen över och inte bara för invånarna av Ukarina utan också den ekonomiska sidan av konflikten. Efter Rysslands invasion har EU antagit 10 olika sanktionspaket mot Ryssland, fyra av dessa undersöks i studien. I uppsatsen undersöks om sanktionerna mot Ryssland har haft negativa effekter på 16 olika OECD länders växelkurs, samt om dessa effekter varit mer negativa när länderna har varit mer exponerade jämfört med länder som har mindre exponering. Resultatet har varierat för olika sanktionspaket, dock de signifikanta resultaten att växelkursen reagerar mer negativt när landet är mer exponerat.

The aim of this master thesis is to empirically validate "hypothesis of twin deficits", resulting from Mundell-Fleming model, in the Czech Republic in years 1999-2010. The econometric method used was VAR models and Impulse Response Functions based on these models. Analysis proved that as a result of government deficit increase, through exchange rate appreciation, the balance of foreign trade deteriorates. Another fact discovered is that people are partially behaving as described by Ricardo-Barro equivalence. Their reaction on increased government deficit is increase of their personal savings as well as consumption. But increase of personal savings is not sufficiently compensating the deficit in government budget. Similar results were achieved also in analysis of government spendings.

<p>The purpose of this thesis was to from a Swedish perspective investigate the fantastic growth rates of Estonia and Latvia and why it became such a massive collapse when the world economy was slowing down.</p><p>To build a theoretical foundation for the investigation several international macroeconomic theories such as the Mundell-Flemming model, the fundamental national income equilibrium, and international parity relations were used.</p><p>The empirical section shows that Estonia and Latvia have based much of their growth on imports from their Baltic and especially their Nordic neighbours. At the same time they have been highly dependent on continuously growing Nordic stock markets and high risk appetite from investors to be able to keep the fabulous growth figures.</p><p>The conclusions drawn are that it has been possible for Estonia and Latvia to grow at fast rates, by running large current accounts deficits, as long as the world was in a boom. But when the world economy is slowing down they are now forced into the very painful process of re-establishing a more balanced current account.</p>

Interpretation of Mundell-Fleming (M-F) model is very similar to IS -- LM model. The main difference is that M-F model is based on an assumption of small open economy. This openness is making this model more realistic then IS -- LM model. These assumptions are suitable for Czech economy. In this thesis, model is estimated and interpreted. The most important is an application to Czech economy concerning the period 2002 - 2010. There are ex post and ex ante predictions based on the estimated reduced form of the model. The ex post forecast is used for the purpose of evaluating whether the model is suitable for the prediction. After finding relevant suitability, prediction of endogenous variables is performed in the following four seasons.

The purpose of this thesis was to from a Swedish perspective investigate the fantastic growth rates of Estonia and Latvia and why it became such a massive collapse when the world economy was slowing down. To build a theoretical foundation for the investigation several international macroeconomic theories such as the Mundell-Flemming model, the fundamental national income equilibrium, and international parity relations were used. The empirical section shows that Estonia and Latvia have based much of their growth on imports from their Baltic and especially their Nordic neighbours. At the same time they have been highly dependent on continuously growing Nordic stock markets and high risk appetite from investors to be able to keep the fabulous growth figures. The conclusions drawn are that it has been possible for Estonia and Latvia to grow at fast rates, by running large current accounts deficits, as long as the world was in a boom. But when the world economy is slowing down they are now forced into the very painful process of re-establishing a more balanced current account.

Under 2020 har den svenska kronans växelkurs mot euron förändrats kraftigt med en appreciering på knappt 7 procent. Detta har skett samtidigt som den globala pandemin har slagit till med hög smittspridning och nedstängningar som följd. Uppsatsen har undersökt om nyheter om pandemin mellan mars och december har påverkat den svenska kronans värde mot euron. Nyheterna ska ha handlat om olika typer av restriktioner som införts eller lättnader av dessa, samt om antalet individer som avlidit eller vårdats för intensivvård. För att undersöka detta har två tillvägagångssätt använts: dels har en eventstudie genomförts angående nyheter om restriktioner och lättnader, dels har regressionsanalys gjorts med data från de presskonferenser som hållits av Folkhälsomyndigheten. Resultatet visade att restriktioner och lättnader inte har någon signifikant effekt på växelkursen. Nyheter om antalet avlidna hade en ekonomisk förväntad och signifikant effekt på växelkursen. Dock hade nyheter om antalet intensivvårdade patienter en motsatt förväntad effekt på växelkursen.

Most of empirical modeling involves the use of Ordinary Least Squares regression where the residuals are assumed normal, independent, and identically distributed. In finite samples, these assumptions becomes critical for accurate estimations, however, in macroeconomics in particular, these assumptions are rarely tested. This study addresses the applications of statistical testing methods and model respecification within the context of applied macroeconomics. The first application is a statistical comparison of Gregory Mankiw, David Romer and David Weil’s A Contribution to the Empirics of Economic Growth, and Nazrul Islam’s Growth Empirics: A Panel Data Approach. This analysis shows that the models in both papers are statistically misspecified. When respecified, the functional forms of Mankiw, Romer, and Weil’s models change considerably whereas Islam’s retain the theoretical structure. The second application is a study of the impact of inflation on investment and growth. After instrumenting for inflation with a set of political variables, I find that between approximately 1% and 9% inflation, there is a positive correlation between inflation and investment--the Mundell-Tobin effect may be a valid explanation. I further this analysis to show that treating investment as an exogenous variable may be problematic in empirical growth models. / Ph. D.