This thesis deals with the monetary theory of business cycles as presented by the so called Austrian school of economics. It analyzes the different economic effects of investments financed by saving as opposed to investments financed by credit expansion. It shows that in the latter case an unsustainable situation results in which economic actors try both to invest and to consume more at the same time, which is physically impossible. The result is recession and liquidation of malinvestments made during the boom. The thesis also provides an answer to critiques of the Austrian business cycle theory by proponents of the rational expectations hypothesis. Furthermore, a critique of traditional national income accounting measures, namely GDP, is put forward. These measures fail to adequately show the described cyclical changes in the economy's productive structure, e.g. the artificial boom and subsequent correction. Gross domestic revenue (GDR) is proposed as an alternative measure that adds the expenditure on intermediate products back to GDP. In the last part of the thesis GDR is calculated for the Czech economy.

The thesis analyses in detail the relationship between the money stock defined by money aggregates M1 and M2 and the real GDP in the Czech Republic for period between 1996 and 2015. A long-term relationship between the real GDP and the money aggregate is not found using quarterly time series data. These conclusions are in accordance with the economic theory which does not confirm that money affects level of the real GDP in the long run. Short-term relationship between given variables is also analysed. Results indicate that the growth rate of the money aggregate M1 statistically significantly affects the growth rate of the real GDP in the same direction which is in line with monetary theories of business cycle. On the other hand, any statistically significant relationship for the money aggregate M2 is not found which speaks in favour of the Real Business Cycle theory. The Policy Ineffectiveness Proposition accepted by New Classical Macroeconomists is also tested in the thesis. The issue is investigated for the whole period and subsequently for shorter time from 2000 to 2015 where the uniform monetary policy is applied. Results for the money aggregate M1 imply that expected changes in the growth rate of M1 play important role in the money-output relationship which is consistent with the New Keynesian Macroeconomic theory. Considering the shorter period of time, Lucas' theory seems to be more appropriate explanation. Outcomes for the aggregate M2 provide mixed conclusions which support rather the Real Business Cycle theory. At the end of the thesis, there is a section devoted to the quasi money (one of M2 aggregate components) as a possible source of mixed results.

No description available.

The goal of this thesis in finance is to combine the use of advanced mathematical methods with a return to foundational economic issues. In that perspective, I study generalized rational expectations and asset pricing in Chapter 2, and a converse comparison principle for backward stochastic differential equations with jumps in Chapter 3. Since the use of stochastic methods in finance is an interesting and complex issue in itself - if only to clarify the difference between the use of mathematical models in finance and in physics or biology - I also present a philosophical reflection on the interpretation of mathematical models in finance (Chapter 4). In Chapter 5, I conclude the thesis with an essay on the history and interpretation of mathematical probability - to be read while keeping in mind the fundamental role of mathematical probability in financial models.

The three chapters of this thesis investigate different aspects of the economics of health and wellbeing. The first chapter tests the rationality of life satisfaction forecasts. Contrary to the rational expectations hypothesis it shows that young people and those who are satisfied strongly overpredict future life satisfaction while the elderly and the unsatisfied strongly underpredict it. The second chapter is about how wealth shocks affect the health of retirees in the US. Results indicate strongly positive effects on physical health, mental health and mortality. The third chapter analyzes the effects of graduating in an unfavorable economic environment on graduates' subsequent income, health insurance and mortality. It finds that recession graduates have significantly lower incomes and worse health insurance coverage. And during the outbreak of the HIV/AIDS epidemic AIDS mortality has been significantly higher among these unlucky cohorts. / Los tres capítulos de esta tesis doctoral investigan aspectos de la economía del bienestar y de la salud. El primer capítulo pone a prueba la racionalidad de las predicciones de las personas respecto a la satisfacción global que experimentarán con su vida en el futuro. Se muestra que, en contra de la hipótesis de expectativas racionales, las predicciones de los jóvenes y de quien está satisfecho con su vida son más altas que los niveles de satisfacción realizados posteriormente, mientras las predicciones de las personas mayores y de quien no está satisfecho con su vida son más bajas que los niveles posteriormente experimentados. El segundo capítulo investiga cómo los cambios exógenos de riqueza afectan la salud de una muestra de jubilados en los EEUU. Los resultados indican efectos positivos de la riqueza sobre la salud, tanto física como mental, y un efecto negativo sobre la mortalidad. El tercer capítulo analiza los efectos de graduarse de la universidad en un entorno económico recesivo sobre la salud, la riqueza, y la mortalidad. Graduarse en tiempos de recesión tiene efectos negativos persistentes sobre el salario, la cobertura médica, y - durante la epidemia del SIDA - tambien sobre la mortalidad.

Common critique of the Austrian business cycle theory states that the Austrian cycle could not be initiated under the rational expectations hypothesis. This thesis therefore investigates the role of price expectations of entrepreneurs in the Austrian cycle theory. We conclude that this theory might be compatible with rational expectations only under several assumptions. The rational expectations hypothesis is, however, evaluated rather critically concluding it is quite strong and unrealistic assumption. Various regimes of monetary policy are discusses in the context of price expectations.

<p>     Farmers face significant uncertainty, like weather and prices. Micro-economic theory tells us that when facing uncertainty, an agent, or farmer, makes economic decisions based upon their expectations. This primitive is important for agricultural economics. The “classic” agricultural economic problems: acreage allocation, commodity storage, technology adoption, household labor engagement, etc., are all influenced by the expectations of farmers. Despite expectations pervasive inclusion in economic theory and the decades of attention from agricultural economists, we still know relatively little about how farmers form expectations. This Dissertation is aimed at this opportunity.</p> <p>     The first chapter estimates the degree to which information is incorporated in farmland value expectations. Theoretically, an agent’s expectation should represent all available information. However, there are reasons to believe that an agent may not possess all the pertinent information or they may not be able to interpret the information. Macroeconomists have developed two models to explain the degree to which information may not be incorporated into expectations, The Sticky and Noisy Information Models. I use expectations and actual values of Iowa farmland from 1964 to 2021 to estimate the degree to which new information is not reflected in expectations, or exhibit information rigidities. I find that Iowa farmland market participants do experience information rigidities. From a practical standpoint, farmland is farmers’ most important collateral, the presence of public, simple farmland information may help mitigate lending challenges as a result of farmland value expectations.</p> <p>     The second chapter addresses how commodity price information is incorporated into the financial expectations of farmers. I estimate how unknown or surprise information from a United States Department of Agriculture (USDA) report changes farmers’ attitudes and expectations of their financial conditions. This chapter, synthesizes literature from macroeconomics and commodity price analysis, and uses a unique source of data, the Purdue University/CME Group Ag Economy Barometer. The Ag Economy Barometer reflects the aggregate sentiment of farmers across the US. Like the consumer sentiment index from the University of Michigan, the Ag Economy Barometer can provide a snapshot of sentiment, a measure outside of fundamental economic indicators. Using the corn ending stocks values from the USDA World Agricultural Supply and Demand Estimates (WASDE), I find that</p> <p>farmers’ short– and long–term expectations and attitudes toward large farm investments are increased by information implying a higher corn price. However, this relationship does not exist in the reverse direction and when corn is not actively growing. As a result, if farmers are acting on these changes in expectations, they may be engaging in suboptimal decision making.</p> <p>     The third and final chapter explores the degree to which previous experience is reflected in expectations. The tales of the financial hardship during 1980’s Farm Financial Crisis have been shared across farmers’ dining room tables for decades. The most prominent anecdote relates to the rapid decline in farmland prices. As mentioned in the first chapter, the asset value of farmland is important to farmers. As a result, if experiences like the 1980’s Farm Financial Crisis have created a downward bias toward farmland values, the asset may be undervalued and frictions may exist in the farmland lending market. Macroeconomists show that consumers’ inflation expectations are directly related to their life experiences. I use a panel of farmland market participants in the Purdue Land Value and Cash Rent Survey to estimate the effect of previous experience on farmland value expectations. I find no</p> <p>significant effects. However, my estimates are using variation in cross sectional data. This modeling choice does not rule out the potential of the Farm Financial Crisis effecting all market participants in a similar way, a question outside of my analysis.</p> <p>     Each chapter of this Dissertation addresses how an agent forms their expectations, a necessary first step in my journey as a researcher. I am interested in the link between expectations and economic outcomes. I have built considerable knowledge on expectation formation and will deploy this knowledge exploring the role of expectations in farm outcomes, like acreage allocation, commodity storage, technology adoption, and household labor engagement. In my next step as a researcher, I plan to use the current theoretical advancements in behavioral economics, the explosion in empirical methods and computing, and the availability of data to re-visit the role of expectations in “classic” farm economics problems.</p>

Cette thèse analyse le rôle de l’apprentissage dans deux cadres de modélisation distincts. Dans le cas dunouveau modèle canonique avec apprentissage adaptatif, les caractéristiques les plus marquantes des dynamiquesd’apprentissage concernent la capacité des règles de politique monétaire à assurer la convergencevers l’équilibre en anticipations rationnelles. Le mécanisme de transmission de la politique monétaire estcelui de l’effet de substitution associé au canal de la consommation. Dans le cas d’un modèle multi-agentsqui relâche des hypothèses restrictives du nouveau modèle canonique, tout en restant structurellementproche de celui-ci, les variables agrégées évoluent à bonne distance de cet équilibre, et on observe desdynamiques nettement différentes. La politique monétaire influence les variables agrégées de manièremarginale via l’effet de revenu du canal de la consommation. En présence d’un processus d’apprentissagesocial évolutionnaire, l’économie converge vers un faible niveau d’activité économique. L’introductiond’un processus caractérisé par le fait que les agents apprennent individuellement à l’aide de leurs modèlesmentaux atténue le caractère dépressif des dynamiques d’apprentissage. Ces différences entre les deuxcadres de modélisation démontrent la difficulté de généraliser les résultats du nouveau modèle canonique. / This thesis analyses the role of learning in two different modelling frameworks. In the new canonicalmodel with adaptive learning, the most remarkable characteristics of the learning dynamics deal withthe capacity of monetary policy rules to guaranty convergence to the rational expectations equilibrium.The transmission mechanism of the monetary policy is based on the substitution effect associated to theconsumption channel. In the case of an agent-based model which relaxes some restrictive assumptionsof the new canonical model - but is endowed with a similar structure - aggregate variables evolve atsome distance from the rational expectations equilibrium. Monetary policy has a marginal impact onthe agregated variables via the wealth effect of the consumption channel. When agents learn accordingto an evolutionnary social learning process, the economy converges to regions of low economic activity.The introduction of a process where agents learn individually by using their mental models induces lessdepressive learning dynamics. These differences between the two modelling frameworks show that thegeneralisation of the results of the new canonical model is not easy to achieve.

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Wirtschaftsprognosen sollen die Unsicherheit bezüglich der zukünftigen wirtschaftlichen Entwicklung mindern und Planungsprozesse von Regierungen und Unternehmen unterstützen. Empirische Studien bescheinigen ihnen jedoch in aller Regel ein unbefriedigendes Qualitätsniveau. Auf der Suche nach den Ursachen hat sich in Form der rationalen Erwartungsbildung eine zentrale Grundforderung an  die Prognostiker herausgebildet. So müssten offensichtliche und systematische Fehler, wie bspw. regelmäßige Überschätzungen, mit der Zeit erkannt und abgestellt werden. Die erste Studie der Dissertation übt Kritik am vorherrschenden Verständnis der Rationalität. Dieses ist zu weitreichend, weshalb den Prognostikern die Rationalität voreilig abgesprochen wird. Anhand einer neuen empirischen Herangehensweise wird deutlich, dass die Prognosen aus einem anderen Blickwinkel heraus durchaus als rational angesehen werden können. Der zweite Aufsatz zeigt auf, dass in Form von Befragungsergebnissen öffentlich verfügbare Informationen bestehen, die bei geeigneter Verwendung zu einer Verbesserung der Qualität von Konjunkturprognosen beitragen würden. Die Rationalität dieser Prognosen ist daher stark eingeschränkt. Im dritten Papier erfolgt eine Analyse von Prognoserevisionen und deren Ursachen. Dabei zeigt sich, dass es keinen Zusammenhang zwischen der Rationalität und der Qualität der untersuchten Prognosezeitreihen gibt. Die vierte Studie dient der Präsentation der Ergebnisse eines Prognoseplanspiels, welches den Vergleich der Prognosen von Amateuren und Experten zum Ziel hatte. Es stellt sich heraus, dass die Prognosefehler erhebliche Übereinstimmungen aufweisen.