<p>In my dissertation, I study the link between economic growth and asset prices in stochastic endogenous growth models. In these settings, long-term growth prospects are endogenously determined by innovation and R\&D. In equilibrium, R\&D endogenously drives a small, persistent component in productivity which generates long-run uncertainty about economic growth. With recursive preferences, this growth propagation mechanism helps reconcile a broad spectrum of equity and bond market facts jointly with macroeconomic fluctuations.</p> / Dissertation

This thesis consists of four essays in empirical macroeconomics. What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative Analysis The literature using structural vector autoregressions (SVARs) to assess the effects of fiscal policy shocks strongly disagrees on the qualitative and quantitative response of key macroeconomic variables. We find that controlling for differences in specification of the reduced-form model, all identification approaches used in the literature yield similar results regarding the effects of government spending shocks, but diverging results regarding the effects of tax shocks. The Analytics of SVARs. A Unified Framework to Measure Fiscal Multipliers Does fiscal policy stimulate output? SVARs have been used to address this question, but no stylized facts have emerged. I show that different priors about the output elasticities of tax revenue and government expenditures implied by the identification schemes generate a large dispersion in the estimates of tax and spending multipliers. I estimate fiscal multipliers consistent with prior distributions of the elasticities computed by a variety of empirical strategies. I document that in the U.S. spending multipliers are larger than the tax multipliers. Computing DSGE Models with Recursive Preferences and Stochastic Volatility This paper compares solution methods for computing the equilibrium of dynamic stochastic general equilibrium models with recursive preferences and stochastic volatility. The main finding is that a third-order perturbation is competitive in terms of accuracy with Chebyshev polynomials and value function iteration, while being an order of magnitude faster to run. Business Cycle Accounting and Misspecified DSGE Models This paper investigates how insights from the literature on business cycle accounting can be used to trace out the implications of missing channels in a baseline estimated dynamic stochastic general equilibrium model used for forecast and policy analysis.

In a production-based general equilibrium model, I study the impact of time-to-build and time-to-produce technology constraints and inventory on asset prices and macroeconomic quantity dynamics. A time-to-build constraint captures the delay in transforming new investment into productive capital; a time-to-produce constraint captures the delay in transforming productive capital into final products. Empirically, I find that the U.S. economy in aggregate exhibits approximately a three-quarter time-to-build and a four-quarter time-to-produce constraint. These delays in the production process introduce short-run risks in the economy where inventory accumulation facilitates consumption smoothing over time. Using this structure for time-to-build and time-to-produce constraints, I numerically calibrate a production-based general equilibrium model where the representative investor has recursive preferences over consumption and inventory. The model delivers first and second moments of macroeconomic quantities and asset prices consistent with the data. A small elasticity of intertemporal substitution is necessary to positively price the short-run risks induced by the production constraints. Inventories help fit the volatilities of asset returns, while the time-to-produce feature ensures nontrivial inventory holdings. In addition, the model is able to match empirical lead-lag patterns between asset prices and macroeconomic quantities as well as observed equity return predictability.

Le risque de tempête a un impact fort sur la gestion forestière, de manière directe à travers les dégâts qu'une tempête peut occasionner, et de manière indirecte à travers les comportements de précaution qu'il induit chez les producteurs forestiers.Cette thèse aborde le problème de la gestion en futaie régulière d'une forêt à plusieurs classes d'âge en présence d'un risque de tempête et quand le producteur a des préférences récursives. Au contraire de l'espérance d'utilité, les préférences récursives permettent de distinguer aversion au risque et préférences intertemporelles.Une approche analytique originale basée sur les conditions de Karush-Kuhn-Tucker, ainsi qu'une approche numérique de programmation dynamique stochastique sont utilisées afin de caractériser les différents états stationnaires possibles et de clarifier le rôle de différents déterminants, en particulier les préférences. L'analyse est par ailleurs étendue aux problèmes de l'allocation des terres et du changement climatique.Les résultats montrent que le risque de tempête associé aux préférences pousse les producteurs à abaisser l'âge moyen de rotation par précaution, car cela permet de diminuer l'exposition et la vulnérabilité de la forêt. La diversification de l'usage des terres au profit d'activités non risquées et procurant un revenu régulier constitue par ailleurs un levier alternatif d'adaptation au risque. Enfin, les anticipations des producteurs sur une hausse de la probabilité du risque de tempête accompagnant le changement climatique sont également à l'origine de comportements de précaution.Dans tous les cas de figure envisagés dans cette thèse, aversion au risque et préférences intertemporelles ont des rôles distincts, confirmant la pertinence des préférences récursives dans l'étude de ce type de problèmes. / The storm risk has a strong impact on forest management, directly through the damages a storm can cause and indirectly through induced precautionary behaviors.This PhD thesis addresses the issue of even-aged forest management with multiple age-classes in presence of a storm risk and when the producer has recursive preferences. Unlike expected utility preferences, recursive preferences distinguish between risk aversion and intertemporal preferences.An original analytical approach based on Karush-Kuhn-Tucker conditions, as well as a numerical stochastic dynamic programming approach are used to characterize stationary states and to clarify the role of determinants, in particular the role of preferences. In addition, the analysis is extended to the issues of land allocation and climate change.Results show that the storm risk combined with preferences leads forest producers to reduce the average rotation age out of precaution, as it permits to reduce the forest exposure and vulnerability. Moreover, land use diversification in favor of activities without risk and providing a regular income is shown to be another option to adapt to the storm risk. Finally, producers' expectations of an increase in the storm risk probability, which comes along climate change, are revealed as another source of precautionary behavior.In all the situations considered, risk aversion and intertemporal preferences are shown to have distinct roles, confirming that recursive preferences are relevant to deal with this type of issues.

Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. Using a reasonable calibration, the macroeconomic DSGE model is consistent with a number of stylized facts observed in financial markets like the equity premium, a negative real term spread, a positive nominal term spread and the predictability of stock returns, without compromising the model's ability to fit key macroeconomic variables. The interest rate smoothing in the monetary policy rule helps generate a low risk-free rate volatility which has been difficult to achieve for standard real business cycle models where monetary policy is neutral. In an application, I show that the model provides a framework for analyzing monetary policy interventions and the associated effects on asset prices and the real economy. Macroeconomic news and the stock market: Evidence from the eurozone. This paper is an empirical study of excess return behavior in the stock market in the euro area around days when important macroeconomic news about inflation, unemployment or interest rates are scheduled for announcement. I identify state dependence such that equity risk premia on announcement days are significantly higher when the interests rates are in the vicinity of the zero lower bound. Moreover, I provide evidence that for the whole sample period, the average excess returns in the eurozone are only higher on days when FOMC announcements are scheduled for release. However, this result vanishes in a low interest rate regime. Finally, I document that the European stock market does not command a premium for scheduled announcements by the European Central Bank (ECB). The impact of ECB monetary policy surprises on the German stock market. We examine the impact of ECB monetary policy surprises on German excess stock returns and the possible reasons for such a response. First, we conduct an event study to asses the impact of conventional and unconventional monetary policy on stock returns. Second, within the VAR framework of Campbell and Ammer (1993), we decompose excess stock returns into news regarding expected excess returns, future dividends and future real interest rates. We measure conventional monetary policy shocks using futures markets data. Our main findings are that the overall variation in German excess stock returns mainly reflects revisions in expectations about dividends and that the stock market response to monetary policy shocks is dependent on the prevailing interest rate regime. In periods of negative real interest rates, a surprise monetary tightening leads to a decrease in excess stock returns. The channels behind this response are news about higher expected excess returns and lower future dividends.

The overall objective of the thesis is to investigate needs and incentives of all income/wealth groups in order to explore ways and means to remedy the excessive economic inequality. A closer examination of individual decisions across richer and poorer households allows us to recognize conflicts of wants, needs and values and subsequently to draw recommendations for future policies. The first chapter examines households' preferences over the redistribution of wealth resources. The preferences of voting households are restricted by agents' present and future resource constraints. The wealth resources vary over the business cycle, which affects the grounds for speculations of voting households. We augment the standard Real-Business-Cycle (RBC) model by the majority voting on lump-sum redistribution employing a balanced government budget. Our findings indicate that for the usual elasticity of labor supply both transfers' level and share of output are procyclical, with the procyclicality increasing in the discrepancy between richer and poorer households. In the second chapter we analytically demonstrate that all economic agents face subsistence costs that hinder economic and financial decisions of the poor. We find that the standard two-asset portfolio-selection model with a time-invariant subsistence component in the common-across agents Stone-Geary utility function is capable of explaining qualitatively and quantitatively three empirical regularities: (i) increasing saving rates in wealth, (ii) rising risky portfolio shares with wealth, (iii) more volatile consumption growth of the richer. On the contrary, &quot;keeping-up-with-the-Joneses&quot; utility with a time-varying weighted mean consumption produces identical saving rates and portfolio asset shares across richer and poorer agents, failing to match the micro data. Finally, in the third chapter we use Epstein-Zin-Weil recursive preferences altered to include subsistence costs, as this form of utility function enables trade-off between stability and safety. We pursue an analytical investigation of a more complex multi-asset portfolio-choice model with perfectly insurable labor risk and no liquidity constraints and find further support of the data evidence. If households' total resources are anticipated to increase over time, poorer agents can afford to gradually escape subsistence concerns by choosing lower saving rates and accepting only minor portfolio risks as their consumption hovers close to the subsistence needs. The calibration part of the model economy shows that analytical results can quantitatively reconcile the data, too.

This thesis brings new evidence on different strands of the literature in macro-finance, international economics and macroeconometrics. The first two chapters combine both theoretical models and empirical techniques to deepen the analysis of important economic phenomena such as the effects of economic policy uncertainty on financial markets, and convergence between emerging market economies and advanced economies on these markets. The third chapter of the thesis, which is co-authored with Hafedh Bouakez, contributes to the literature on the identification of news shocks about future productivity. In the first chapter, I study the effect of monetary and fiscal policy uncertainty on nominal U.S. government bond yields and premiums. I use a New-Keynesian Dynamic Stochastic General Equilibrium model featuring recursive preferences, and both real and nominal rigidities. Policy uncertainty in the DSGE model is defined as a mean-preserving spread of the policy shock distributions. My results show that: (i) When the economy is subject to unpredictable shocks to the volatility of policy instruments, the level of the median yield curve is lower, its slope increases and risk premiums decrease relative to an economy with no stochastic volatility. This negative effect on the level of yields and premiums is due to the asymmetric impact of positive versus negative shocks; (ii) A typical policy risk shock increases yields at all maturities. This is because the fall in yields triggered by higher demand for bonds by households, in order to hedge against higher predicted consumption volatility, is outweighed by the increase in yields due to higher inflation risk premiums. Finally, I use several empirical measures economic policy uncertainty in a structural VAR model to show that the above effects of policy risk shocks on yields are consistent empirical evidence. Chapter 2 looks at the market for government bonds in 12 advanced economies and 8 emerging market economies, during the period 1999-2012, and consider the question of whether or not there has been any convergence of risk between emerging market and advanced economies. I distinguish between default risk and other types of risk, such as inflation, liquidity and exchange rate risk. I make the theoretical case that forward risk premium differentials can be used to distinguish default risk and other risks. I then construct forward risk premium differentials and use these to make the empirical case that there has been little convergence associated with the other types of risk. I also show that differences in countries' macroeconomic fundamentals and political risk play an important role in explaining the large "non-default" risk differentials observed between emerging and advanced economies. Chapter 3 proposes a novel strategy to identify anticipated and unanticipated technology shocks, which leads to results that are consistent with the predictions of conventional new-Keynesian models. It shows that the failure of many empirical studies to generate consistent responses to these shocks is due to impurities in the available TFP series, which lead to an incorrect identification of unanticipated technology shocks---whose estimated effects are inconsistent with the interpretation of these disturbances as supply shocks. This, in turn, contaminates the identification of news shocks. My co-author, Hafedh Bouakez, and I propose an agnostic identification strategy that allows TFP to be affected by both technological and non-technological shocks, and identifies unanticipated technology shocks via sign restrictions on the response of inflation. The results show that the effects of both surprise TFP shocks and news shocks are generally consistent with the predictions of standard new-Keynesian models. In particular, the inflation puzzle documented in previous studies vanishes under the novel empirical strategy. / Cette thèse présente de nouveaux résultats sur différentes branches de la littérature en macro-finance, économie internationale et macro-économétrie. Les deux premiers chapitres combinent des modèles théoriques et des techniques empiriques pour approfondir l’étude de phénomènes économiques importants tels que les effets de l’incertitude liée aux politiques économiques sur les marchés financiers et la convergence entre les pays émergents et les pays avancés sur ces marchés. Le troisième chapitre, qui est le fruit d’une collaboration avec Hafedh Bouakez, contribue à la littérature sur l’identification des chocs anticipés sur la productivité future. Dans le premier chapitre, j’étudie l’effet de l’incertitude relative aux politiques monétaire et fiscale sur les rendements et les primes de risque associés aux actifs nominaux du gouvernement des États-Unis. J’utilise un modèle d’équilibre stochastique et dynamique de type néo-Keynesien prenant en compte des préférences récursives des agents et des rigidités réelles et nominales. En utilisant un modèle VAR structurel. L’incertitude relative aux politiques économiques est définie comme étant une expansion de la distribution des chocs de politique, expansion au cours de laquelle la moyenne de la distribution reste inchangée. Mes résultats montrent que : (i) Lorsque l’économie est sujette à des chocs imprévisibles sur la volatilité des instruments de politique, le niveau médian de la courbe des rendements baisse de 8,56 points de base, sa pente s’accroît de 13,5 points de base et les primes de risque baissent en moyenne de 0.21 point de base. Cet effet négatif sur le niveau de rendements et les primes de risque est dû à l’impact asymétrique des chocs de signes opposés mais de même amplitude; (ii) Un choc positif à la volatilité des politiques économiques entraîne une hausse des rendements pour toutes les durées de maturité. Cet effet s’explique par le comportement des ménages qui, à la suite du choc, augmentent leur demande de bons dans le but de se prémunir contre les fortes fluctuations espérées au niveau de la consommation, ce qui entraîne des pressions à la baisse sur les rendements. De façon simultanée, ces ménages requièrent une hausse des taux d’intérêt en raison d’une espérance d’inflation future plus grande. Les analyses montrent que le premier effet est dominant, entraînant donc la hausse des rendements observée. Enfin, j’utilise plusieurs mesures empiriques d’incertitude de politiques économiques et un modèle VAR structurel pour montrer les résultats ci-dessus sont conformes avec les faits empiriques. Le Chapitre 2 explore le marché des bons du gouvernement de 12 pays avancés et 8 pays émergents, pendant la période 1999-2012, et analyses la question de savoir s’il y a eu une quelconque convergence du risque associé à ces actifs entre les deux catégories de pays. Je fais une distinction entre risque de défaut et autres types de risque, comme ceux liés au risque d’inflation, de liquidité ou de change. Je commence par montrer théoriquement que le différentiel au niveau des primes de risque « forward » entre les deux pays peut être utilisé pour faire la distinction entre le risque « forward » et les utilise pour montrer qu’il est difficile de conclure que ces autres types de risque dans les pays émergents ont convergé vers les niveaux différents de risque politique, jouent un rôle important dans l’explication des différences de primes de risque – autres que celles associées au risque de défaut– entre les pays émergents et les pays avancés. Le Chapitre 3 propose une nouvelle stratégie d’identification des chocs technologiques anticipés et non-anticipés, qui conduit à des résultats similaires aux prédictions des modèles néo-Keynésiens conventionnels. Il montre que l’incapacité de plusieurs méthodes empiriques à générer des résultats rejoignant la théorie est due à l’impureté des données existences sur la productivité totale des facteurs (TFP), conduisant à mauvaise identification des chocs technologiques non-anticipés-dont les effets estimés ne concordent pas avec l’interprétation de tels chocs comme des chocs d’offre. Ce problème, à son tour, contamine l’identification des chocs technologiques anticipés. Mon co-auteur, Hafedh Bouakez, et moi proposons une stratégie d’identification agnostique qui permet à la TFP d’être affectée de façon contemporaine par deux chocs surprises (technologique et non technologique), le premier étant identifié en faisant recours aux restrictions de signe sur la réponse de l’inflation. Les résultats montrent que les effets des chocs technologiques anticipés et non-anticipés concordent avec les prédictions des modèles néo-Keynésiens standards. En particulier, le puzzle rencontré dans les travaux précédents concernant les effets d’un choc non-anticipé sur l’inflation disparaît lorsque notre nouvelle stratégie est employée.