No description available.

This thesis analyzes the connection between monetary policies and belief-driven fluctuation, and discusses the effects of monetary policies in a small open economy. We construct an endogenous growth model that introduces the role of money into the production function and allows elastic labor supply. In departing from the findings proposed by Benhabib and Farmer (1994), we find that belief-driven fluctuation can be easily encouraged, as long as there is lower increasing return to scale under money growth rate targeting. However, if there is a higher level of increasing return to scale, the increase of the growth rate of nominal money supply will only increase the economic growth rate temporarily, and money is super-neutral in the long run. More importantly, we show that under inflation rate targeting, the central bank will eliminate possibilities of belief-driven fluctuation in the small open economy, but lose the efficacy of monetary policy on the short-term economic growth at the same time.

The aim of this thesis is to analyze and assess the benefits and cosi resulting from the implementation of common currency in a small open economy in specific cases in chosen countries. The theoretical part is devoted to the monetary integration itself, its historical development in Europe anf the theory of optimum currency area. Attention will be focused also on the entry criteria of monetary union and the specifics of small open economies within the frame of monetary union. The analytical part evaluates and compares the readiness of chosen economies. Subsequently, the thesis deals with benefits and costs of monetary integration and their significance in a particular situation on the example of chosen countries. Individual benefits and costs will also be put into context with the crisis of monetary union. The results are discussed in conclusion.

京都大学 / 新制・課程博士 / 博士(経済学) / 甲第24164号 / 経博第658号 / 新制||経||302(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 西山 慎一, 准教授 高橋 修平, 准教授 安井 大真 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DFAM

The principle of effective demand states that given endogenous expenditure patterns, the level of exogenous expenditure determines the level of employment. If investment represents the sole form of exogenous expenditure, employment adjusts to the level of investment. If exogenous expenditure changes, equilibrium is restored via the equilibrating variable, employment. If employment is linked in a unique way to income, we have what is referred to as the income adjustment process. The income adjustment process is investigated in a closed and a small open economy (SOE) which imports consumption and capital goods. If a SOE imports its capital goods, the causal link between investment and employment is weakened. When capital goods are imported, investment adjusts to the balance of payments and animal spirits are constrained. Certain South African data are analysed within the framework of the income adjustment process. / M.A.(Economics)

The goal of this thesis is to identify domestic and foreign shocks that mostly explain variation in the Czech price level. This goal is accomplished by the use of structural vector autoregression. As the Czech Republic is considered to be a small open economy, it is crucial to include foreign variables into the model which are represented by shocks in euro zone. Furthermore, a block exogeneity restriction is imposed because it is unlikely that shocks in the Czech economy can influence macroeconomic development in euro zone. The results of the thesis indicate that foreign shocks explain 70% variability in Czech price level out of which 50% is explained by euro zone's price level shocks. It is likely that in near future Czech economy will experience deflation for a while. Nevertheless, by 2018 Czech inflation rate should be in 1-3% band.

[pt] Este estudo define um modelo de dois países que seguem a estrutura exposta em Gertler-Karadi (2011) e formam uma união monetária. Estudamos o impacto de fricções financeiras e os efeitos de políticas monetárias não convencionais implementadas com escopo individual e geral nos países membros desta união. Mostramos que, se os parâmetros usados para limitar o balanço das instituições financeiras forem calibrados para permitir uma alavancagem mais alta, o maior acesso a capital leva a um produto que é, ao mesmo tempo, mais alto no steady state e mais frágil a choques de qualidade de capital. Também mostramos que níveis elevados de Home Bias levam a menos compartilhamento de riscos e a uma disseminação menor de choques idiosincráticos. Por fim, esse estudo também mostra que políticas monetárias não convencionais com escopo individual podem aumentar o bem-estar consideravelmente quando o Home Bias no sistema financeiro é elevado. / [en] This study lays-out a model with two countries that follow the DSGE framework with financial intermediaries set by Gertler-Karadi (2011) and form a monetary union. We study the impact of financial frictions and the effects of union-wide and country-specific unconventional monetary policies in the union s member countries. We show that, if the parameters used to limit balance sheet size are calibrated in a way to allow for higher leverage in the banking system, the easier access to capital leads to an Output level that is, at the same time, higher in the Steady State and more fragile to Capital Quality Shocks. It s also shown that high levels of home-bias lead to lower risk-sharing and lower dissemination of idiosyncratic shocks, which helps explaining why idiosyncratic shocks may cause highly persistent effects in the member countries. Finally, this study also shows that country-specific unconventional monetary policies can be considerably welfare increasing when home-bias in the financial system is high.

This thesis contains four essays, which studies the macroeconomic effects of fiscal and monetary policy quantitatively. The first essay investigates whether Swedish postwar business cycles have been generated by domestic or foreign shocks and finds that they are about equally important. In the second essay, the effects of government budget deficits on interest rates in Sweden are studied in a small open economy framework. The empirical results, which have high power due to very large swings in deficits and interest rates, provide support that larger deficits produce higher interest rates and thus give support against the ricardian view. The third essay seeks to identify optimal social insurance and redistribution levels in Sweden and the U.S. with respect to temporary and permanent idiosyncratic productivity risks. The results indicate that Sweden should reduce the social security level while the U.S. should approximately maintain the current level. In the last essay, the small sample properties of a well-known statistical test for the Lucas critique - the super exogeneity test - is studied in a general equilibrium environment. The results indicate that the super exogeneity test do not have sufficient power in small samples. / Diss. Stockholm : Handelshögsk.

In the first chapter, I quantify the welfare effect of eliminating the U.S. capital income tax under international financial integration. I employ a two-country, heterogeneous-agent incomplete markets model calibrated to represent the U.S. and the rest of the world. Short-run and long-run factor price dynamics are key: after the tax reform, post-tax interest rate increases less under financial openness relative to autarky. Therefore the wealth-rich households gain less. Post-tax wages also fall less, so the wealth-poor are hurt less. Hence, the fraction in favor of the reform increases, although the majority still prefers the status quo. Aggregate welfare effect to the U.S. is a permanent 0.2 % consumption equivalent loss under financial openness which is 85.5 % smaller than the welfare loss under autarky. The second chapter aims to answer two questions: What helps forecast U.S. inflation? What causes the observed changes in the predictive ability of variables commonly used in forecasting US inflation? In macroeconomic analysis and inflation forecasting, the traditional Phillips curve has been widely used to exploit the empirical relationship between inflation and domestic economic activity. Atkeson and Ohanian (2001), among others, cast doubt on the performance of Phillips curve-based forecasts of U.S. inflation relative to naive forecasts. This indicates a difficulty for policy-making and private sectorâs long term nominal commitments which depend on inflation expectations. The literature suggests globalization may be one reason for this phenomenon. To test this, we evaluate the forecasting ability of global slack measures under an open economy Phillips curve. The results are very sensitive to measures of inflation, forecast horizons and estimation samples. We find however, terms of trade gap, measured as HP-filtered terms of trade, is a good and robust variable to forecast U.S. inflation. Moreover, our forecasts based on the simulated data from a workhorse new open economy macro (NOEM) model indicate that better monetary policy and good luck (i.e. a remarkably benign sample of economic shocks) can account for the empirical observations on forecasting accuracy, while globalization plays a secondary role. / text

The principle of effective demand states that given endogenous expenditure patterns, the level of exogenous expenditure determines the level of employment. If investment represents the sole form of exogenous expenditure, employment adjusts to the level of investment. If exogenous expenditure changes, equilibrium is restored via the equilibrating variable, employment. If employment is linked in a unique way to income, we have what is referred to as the income adjustment process. The income adjustment process is investigated in a closed and a small open economy (SOE) which imports consumption and capital goods. If a SOE imports its capital goods, the causal link between investment and employment is weakened. When capital goods are imported, investment adjusts to the balance of payments and animal spirits are constrained. Certain South African data are analysed within the framework of the income adjustment process. / M.A.(Economics)