[pt] Nesse artigo, apresentamos um modelo Novo Keynesiano de economia aberta com dois países, taxação distorciva e gasto governamental estocástico. Nessa modelagem comparamos, em uma base de bem-estar, diferentes regras monetária e fiscal com uma referência constituída pelo equilíbrio cooperativo da política de Ramsey. / [en] In this paper, we present a New Keynesian two-country open economy model featuring distortionary taxation and stochastic government spending. Within this modeling we compare, in a welfare-sense, different fiscal and monetary rules with a benchmark constituted by a cooperative Ramseypolicy equilibrium.

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New keynesian Phillips curve (NKPC) has become a central model to study the relation between inflation and real economic activity, notably in the framework of optimal monetary policy design. However, some recent evidence suggests that empirical data are usually at odds with the underlying theory. The model due to its inherent structure represents a statistical challenge in its own right. Since Galí and Gertler (1999) published their seminal paper introducing estimation via GMM techniques, they have triggered a heated debate on its empirical relevance. Their approach has been heavily criticised by later authors, mainly on the grounds of questionable behaviour of GMM estimator in the NKPC context and/or its small sample properties. The common criticism includes sensitivity to the choice of instrument set, weak identification and small sample bias. In this thesis I propose a new estimation strategy that provides a remedy to above mentioned shortcomings and allows to obtain reliable estimates. The procedure exploits recent advances in GMM theory as well as in other fields of statistics, in particular in the area of time series factor analysis and bootstrap. The proposed estimation strategy consists of several consecutive steps: first, to reduce a small sample bias resulting from excessive use of instruments I summarize all available information by employing factor analysis and include estimated factors into information set. In the second step I use statistical information criteria to select optimal instruments and eventually I obtain confidence intervals on parameters using bootstrap method. In NKPC context all these methods were used for the first time and can also be used independently. Their combination however provides synergistic effect that helps to improve the properties of estimates and to check the efficiency of given steps. Obtained results suggest that NKPC model can explain Czech inflation dynamics fairly well and provide some support for underlying theory. Among other things the results imply that the policy of disinflation may not be as costly with respect to a loss in aggregate product as earlier versions of Phillips curve would indicate. However, finding a good proxy for real economic activity has proved to be a difficult task. In particular we demonstrated that results are conditional on how the measure is calculated, some measures even showed countercyclical behaviour. This issue -- in the thesis discussed only in passing -- is a subject of future research. In addition to the proposed strategy and provided parameter estimates the thesis brings some partial simulation-based findings. Simulations elaborate on earlier literature on naive bootstrap in GMM context and study performance of bootstrap modifications of unit root and KPSS test.

El modelo Neo Keynesiano estándar ha sido una de las herramientas más influyentes en debates sobre dinámica macroeconómica, política monetaria y bienestar. Además, este modelo constituye una pieza fundamental en la elaboración de los modelos macroeconómicos que muchos bancos centrales utilizan para la simulación y predicción de variables económicas como la inflación y el crecimiento. El objetivo de esta tesis es evaluar la veracidad de las siguientes tres implicancias del modelo Neo Keynesiano estándar. Primero, con estabilidad de precios plena, las pérdidas de bienestar que se generan por las rigideces de precios deben ser cero. Segundo, la inflación es un fenómeno determinado por las expectativas. Tercero, el dinero no tiene un rol independiente en el mecanismo de transmisión de la política monetaria. / The standard New Keynesian (NK) model has become one of the most influential tools in discussions of macroeconomic dynamics, monetary policy and welfare. Moreover, it has emerged as the backbone of the medium scale macroeconomic models that several central banks use for simulation and forecasting purposes. This thesis evaluates the accuracy of the following three implications of the standard NK model. First, with full price stability the welfare losses resulting from price stickiness should be zero. Second, inflation is a forward-looking phenomenon. Third, money does not play an independent role in the monetary transmission mechanism.

Esta tesis extiende el modelo estándar Neo Keynesiano con el propósito de contestar dos preguntas: ¿cómo debe ser diseñada la política monetaria en uniones monetarias heterogéneas? y ¿cuál es el efecto de presiones competitivas sobre la dinámica de la inflación? El primer capítulo analiza el diseño de política monetaria en uniones monetarias en las cuales los países miembros muestran diferentes grados de apertura externa. Esta heterogeneidad implica que el plan de la política óptimo muestra una inclinación muy fuerte por la estabilización del tipo de cambio, con el objetivo de disminuir los diferenciales de inflación. El segundo capítulo estudia el diseño de reglas de metas en una unión monetaria con choques idiosincráticos cost-push que tienen diferentes volatilidades. El tercer capítulo estima un curva de Phillips Neo Keynesiana derivada de un modelo con entrada endógena de firmas, en el cual el número de firmas activas está inversamente relacionado con el markup deseado. Se cuantifica el efecto de las fluctuaciones del markup deseado sobre los costes marginales reales. / This thesis extends the basic New Keynesian (NK) model to answer two questions. How should monetary policy be designed in heterogeneous currency areas? What is the effect of competitive pressures on the inflation dynamics? The first chapter analyzes the monetary policy design in currency areas in which countries display different degrees of external openness. Such heterogeneity implies that the optimal policy plan exhibits a stronger motive for the currency area exchange rate stabilization in order to dampen inflation differentials. The second chapter studies the design of targeting rules in currency areas with country-specific cost-push shocks that have different volatilities. The third chapter estimates a NK Phillips curve derived from a model with endogenous firm entry in which the number of active firms is inversely related to their desired markup. It quantifies the effect of the desired markup fluctuations on the pass-through of real marginal cost. .

This thesis is a collection of three essays on inflation expectations, forecasting uncertainty, and the role of uncertainty in sequential auctions, all using experimental approach. Chapter 1 studies how individuals forecast inflation in fictitious macroeconomic setup and analyzes the effect of monetary policy rules on their decisions. Results display heterogeneity in inflation forecasting rules and demonstrate the importance of adaptive learning forecasting if model switching is assumed. Chapter 2 extends the analysis from Chapter 1 by analyzing individual inflation forecasting uncertainty. Results show that confidence intervals depend on inflation variance and business cycle phase, have a strong inertia, and are often asymmetric. Finally, Chapter 3 analyzes the role of uncertainty about the number of bidders for the behavior of subjects in a sequential auction experiment. Uncertainty does not aggravate price decline, but it changes individual bidding strategies and auction efficiency. / Esta tesis consta de tres ensayos sobre las expectativas de inflación, la incertidumbre de la predicción, y la importancia de la incertidumbre en subastas secuenciales. Todos ellos utilizan un método experimental. El capítulo 1 estudia cómo los individuos predicen la inflación en la economía ficticia y analiza el efecto de las reglas de política monetaria en sus decisiones. Los resultados revelan la heterogeneidad en las reglas de predicción de la inflación y demuestran la importancia del mecanismo de aprendizaje adaptivo si el cambio entre los modelos se supone. Capítulo 2 continúa el análisis del capítulo 1, analiza la incertidumbre individual de las expectativas de inflación. Los resultados muestran que los intervalos de confianza dependen de varianza de la inflación y la fase del ciclo económico, tienen una fuerte inercia, y son frecuentemente asimétricos. Por último, el capítulo 3 analiza la influencia de la incertidumbre sobre el número de oferentes en el comportamiento de los individuos en un experimento de la subasta secuencial. La incertidumbre no agrava la caída de los precios, pero cambia las estrategias de los oferentes y la eficiencia de la subasta.

Cette thèse contribue aux travaux récents sur les effets de la politique budgétaire à court terme sur l'économie. Plus précisément, sont étudiés dans cette thèse trois principaux aspects de la politique budgétaire à court terme. Premièrement, un des messages principaux consiste à dire que l'impact de la politique budgétaire sur l'économie dépend fortement de l'instrument fiscal utilisé. Augmenter les transferts aux ménages, augmenter l'investissement public ou diminuer les cotisations patronales sur les salaires produisent des effets fort différents sur les variables macroéconomiques clefs et notamment sur le niveau d'activité. Deuxièmement, au delà des effets sur l'activité économique, une large partie de cette thèse analyse l'impact de chocs budgétaires sur le marché du travail. Un des principaux résultats est qu'il paraît délicat de traduire des multiplicateurs sur l'activité en multiplicateurs sur le chômage, notamment à cause de la réponse de l'offre de travail.Troisièmement, nous savons que de multiples facteurs influencent la taille du multiplicateur budgétaire. Deux de ces éléments sont abordés dans cette thèse : la position de l'économie sur le cycle économique et la réponse de la politique monétaire. Les deux premiers chapitres de la thèse analysent ces différents aspects dans un cadre d'économie fermée. Les deux derniers chapitres traitent de la politique budgétaire en union monétaire en analysant les effets de débordement entre États membres ainsi que les capacités stabilisatrices de mécanismes de transferts budgétaires entre États membres afin d'amortir les chocs conjoncturels. / This thesis aims at contributing to the recent studies which investigate the short-run effects of fiscal policy on economic activity. More precisely, three main aspects of fiscal policy in the short run are analyzed. First, one major message is that the impact of fiscal policy on the economy depends strongly on the fiscal instrument used by the government. Rising transfers to households, increasing public investment or cutting social protection tax trigger very different effects on key macroeconomic variables and especially on output. Second, one large part of this thesis is dedicated to the analysis of the effects of fiscal policy shocks on the labor market. One main result is that we cannot determine unemployment fiscal multipliers according to the value of the output fiscal multiplier, especially because of the response of the labor force participation to fiscal policy shocks. Third, this is well-known that many elements influence the size of the output fiscal multiplier. Two of these elements are considered throughout this thesis: the position of the economy over the business cycle and the behavior of the monetary policy. The two first chapters of this thesis analyze these different aspects in some closed economy models. The two last chapters extend this study at the case of a monetary union by investigating the spillover effects of fiscal policy between member states but also the stabilizing properties of fiscal transfer mechanisms between member states in order to soften cyclical shocks.

中央銀行政策透明度影響總體經濟的議題在近日漸受重視。以美國為例，2008年房貸嚴重違約，高順位債權受到波及，使多數金融業產生營運危機，讓聯邦準備銀行 (Fed) 政策執行受到關注。晚近貨幣當局的政策透明度漸受重視。貨幣政策應如何選定才能使總體經濟達到較高的社會福利？Cukierman在2002年指出中央銀行的透明度低易造成較高的物價膨脹。本研究以動態一般性均衡模型 (dynamic stochastic general equilibrium) ，建構新凱因斯小型開放總體模型。模型內含一定程度的價格僵固，並且擁有前瞻預期 (forward looking) 及後顧預期 (backward looking) 兩種型態的廠商存在其中。再採用貝氏方法估計台灣在該模型所應採用的參數後，並嘗試對體系內多個部門投入衝擊，然後檢視央行的政策透明度對總體經濟的影響，同時驗證是否支持Cukierman的結論。本研究印證Cukierman的結論，發現央行在操作貨幣政策面臨兩難時，不應採取透明度低的政策法則，而應優先針對物價的不穩定做出因應對策。 / Recently, people pay attention to central bank’s policy transparency, and most countries’ central banks have accepted the suggestion made by the Bank for International Settlements to adopt transparent monetary policy. Cukierman (2002) concluded that if the central bank’s policy was not transparency, it would cause higher inflation. The thesis will utilizes dynamic stochastic general equilibrium model with New Keynesian concept proposed by Gali and Monacelli (2005) to analyze the effects of transparent monetary policy and to classify the macroeconomic different effects between transparent and hazy monetary policy. The conclusions support that higher monetary policy transparency will reduce social welfare loss, lower the volatility of inflation and output gap.