Le ciblage de l’inflation est le cadre le plus récent de la politique monétaire dans le monde. Il est désormais largement choisi par les pays avancés ainsi que par les pays émergents. Cependant, deux questions principales sont encore en débat particulièrement dans les pays émergent et en développement. Ils s’agissent des avantages du ciblage d’inflation et du respect de conditions préalables afin d’assurer le succès de ce régime. Empiriquement, on conclut que le ciblage d’inflation est un cadre de politique monétaire réussie pour les pays émergents. En plus, il n'est pas nécessaire pour ces pays de satisfaire toutes les conditions préalables strictes avant de réussir à l'adopter. La situation budgétaire et l'indépendance de la banque centrale jouent un rôle plus important que les autres conditions et doivent être préparées en premier lieu. Concernant le Vietnam, par l'approche structurelle vecteur autorégressif (VAR), la thèse montre que la politique monétaire de la banque centrale n’est pas efficace. Donc, il permet de confirmer la nécessité du changement de stratégie monétaire par rapport au cadre actuel. Cependant, notamment parce que la banque centrale n’est pas indépendante, le Vietnam ne peut pas adopter le ciblage d’inflation dans un bref délai. Les recommandations du durcissement de la contrainte budgétaire et de l’augmentation l’indépendance de la banque centrale sont suggérées avant la mise en œuvre de sa stratégie de ciblage d’inflation. / Inflation targeting (hereafter IT) is the newest monetary policy framework in the world. The practice of IT has been chosen by both advanced countries and emerging countries. However, two main issues are still under debate particularly in emerging and developing countries. They are the benefits of IT and preconditions to success adoption. Empirically, we showed that IT is considered as a successful monetary policy framework for emerging countries. In addition, it is not necessary for emerging markets to satisfy all stringent preconditions to successfully adopt IT. In practice, the fiscal situation and the central bank independence play a more important role than other conditions and need to be prepared first.Basing on Structural Vector Autoregression (SVAR), the thesis concludes that Vietnamese monetary policy currently does not effectively control the inflation rate. Inflation targeting framework would be a solution to this. Nonetheless, this thesis concludes that at this moment in time Vietnam is not able to adopt the IT framework, as it still must prepare some of the preconditions required before official adoption. The recommendations of hardening the budget constraint and increase central bank independence in relationship with government are suggested before implementing IT strategy.

The Great Moderation means the reduction in the volatility of aggregate economic activity and here we use GDP growth rate to stand for economic activity. In this paper, we apply a Markov switching model to estimate the timing of the Great Moderation in France. Subsequently, by using a Time-varying structural vector autoregression model to determine which are the main variables that cause the reduction of French GDP growth rate and to see the relationship of these variables we choose.

How do catch-up East Asian countries cultivate their exchange rate (ER) policies in a different trajectory than advanced economies often cited in current literature? What are the dynamics and results (pros and cons) of choosing a particular ER policy, and what influence does it have on the progress of developmental states? How do domestic and international politics explain the convergences and variances of ER policy decisions in East Asia? The decisions of ER policy are by all means political choices. ERs influence the prices of daily exchanged goods, and thereby determine resource allocation within and across national borders. Therefore, any internal political actor, including a government, interest group, foreign party or constituent exerts discretionary power to manipulate an ER to satisfy its own interests. Externally, the size of foreign trade and the status of international monetary accounts closely depend on the valuation and volatility of ER. Thus for the transitional polities and the trade-driving economies in East Asia, the analysis of ER politics not only helps to clarify the complex mechanisms of ER influences combined with various interests and institutional settings, but also to advance the political study of globalization. My dissertation proposes an integrated framework to contend that the domestic distributional politics and economic determinants, as well as the international monetary relations, and regional market force and adaptive policy diffusion are crucial factors that influence and interact with ER policy in East Asia. This theoretical framework explains how an ER policy decision is compromised between domestically generated preferences and apparently intense international interactions. Likewise, this dissertation provides a vigorous empirical specification toward the spatiotemporal differences of ER policy in East Asia. The application of the structural vector autoregression (SVAR) model properly specifies the theoretical dynamics across variables in the East Asian panel data compiled from 1980 to 2004. Furthermore, by using the alternative Bayesian estimation, SVAR successfully demonstrates the "spinning stories" that distinguish the variances with regard to country-specific development under the asymmetrically international and interdependently regional monetary system. The empirical findings verify that my theoretical variables interact significantly with ER policy decisions in East Asia. The statistics also demonstrate that most East Asian countries tend to strategically withstand influences from the various waves of capital liberalization and keep their currencies at low values. In a general testing, however, domestic pursuits for preferred interests gradually yield to the persistent influences of international and regional forces on ER policy making in East Asia. / text

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.

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Diebold and Yilmaz (2009, 2012) dynamic spillover index using structural decomposition. The results reveal that economic policy uncertainty (oil price shocks) responds negatively to aggregate demand oil price shocks (economic policy uncertainty shocks). Furthermore, during the Great Recession of 2007-2009, total spillovers increase considerably, reaching unprecedented heights. Moreover, in net terms, economic policy uncertainty becomes the dominant transmitter of shocks between 1997 and 2009, while in the post-2009 period there is a significant role for supply-side and oil specific demand shocks, as net transmitters of spillover effects. These results are important for policy makers, as well as, investors interested in the oil market. (authors' abstract) / Series: Department of Economics Working Paper Series

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012) dynamic spillover index based on structural decomposition is employed. The results reveal that economic policy uncertainty (oil price shocks) responds negatively to aggregate demand oil price shocks (economic policy uncertainty shocks). Furthermore, during the Great Recession of 2007-2009, total spillovers increase considerably, reaching unprecedented heights. Moreover, in net terms, economic policy uncertainty becomes the dominant transmitter of shocks between 1997 and 2009, while in the post-2009 period there is a significant role for supply-side and oil specific demand shocks, as net transmitters of spillover effects. These results are important for policy makers, as well as, investors interested in the oil market. (authors' abstract)

Esta tesis se ocupa de los problemas de la estimación econométrica con muestras pequeñas, en los contextos del los VARs monetarios y de la investigación empírica del crecimiento. Primero, demuestra cómo mejorar el análisis con VAR estructural en presencia de muestra pequeña. El primer capítulo adapta la especificación con prior intercambiable (exchangeable prior) al contexto del VAR y obtiene nuevos resultados sobre la transmisión monetaria en nuevos miembros de la Unión Europea. El segundo capítulo propone un prior sobre las tasas de crecimiento iniciales de las variables modeladas. Este prior resulta en la corrección del sesgo clásico de la muestra pequeña en series temporales y reconcilia puntos de vista Bayesiano y clásico sobre la estimación de modelos de series temporales. El tercer capítulo estudia el efecto del error de medición de la renta nacional sobre resultados empíricos de crecimiento económico, y demuestra que los procedimientos econométricos robustos a incertidumbre acerca del modelo son muy sensibles al error de medición en los datos. / This thesis deals with the problems of econometric estimation with small samples, in the contexts of monetary VARs and growth empirics. First, it shows how to improve structural VAR analysis on short datasets. The first chapter adapts the exchangeable prior specification to the VAR context, and obtains new findings about monetary transmission in New Member States. The second chapter proposes a prior on initial growth rates of modeled variables, which tackles the Classical small-sample bias in time series, and reconciles Bayesian and Classical points of view on time series estimation. The third chapter studies the effect of measurement error in income data on growth empirics, and shows that econometric procedures which are robust to model uncertainty are very sensitive to measurement error of the plausible size and properties.

No description available.

La nouvelle stratégie d'intégration adoptée en 2000 par les pays Sud-Américains, après trois décennies d'instabilité économique et de crises récurrentes, est un jalon de l'histoire économique de la région. En effet, la volatilité du cycle économique de ces pays s'est réduite significativement à partir de cette date, atteignant son niveau le plus bas depuis 1950. L'analyse d'un tel phénomène est particulièrement intéressante en particulier lorsque l'on se place dans le contexte de turbulences et de crises des années 2000, à savoir, la crise financière mondiale (2008-2009) et, dans son sillage, la crise des dettes souveraines en zone euro. Dans cette thèse, l'objectif est d'étudier le projet d'intégration régionale d'Amérique du Sud, institutionnalisé en 2008 avec la création de l'Union des Nations Sud-Américaines Unasur, en tant que vecteur de stabilisation de ces économies. De ce fait, il s'agit de concentrer l'analyse sur les interactions entre les douze pays du continent Sud-Américain – Argentine, Bolivie, Brésil, Chili, Colombie, Équateur, Guyana, Paraguay, Pérou, Uruguay, Suriname et Venezuela – qui forment un groupe hétérogène autour d'un objectif commun l' "… intégration culturelle, sociale, économique et politique …" et la "… réduction des asymétries de la qualité de vie de ses citoyens … ". La thèse s'intéresse exclusivement aux aspects économiques d'un tel projet d'intégration régionale. À partir d'outils empiriques et théoriques, nous cherchons à évaluer le niveau de convergence et de vulnérabilité des économies concernées. Plus particulièrement une analyse des impacts des politiques d'intégration dans court terme et une étude de leurs performances macroéconomiques de long terme. La thèse se divise en quatre chapitres et s'appuie sur des modèles qui intègrent diverses sources de diffusion des chocs asymétriques. Le premier chapitre présente l'état de l'art de la théorie d'intégration économique régionale en soulignant le cas Sud-Américain. Le deuxième chapitre analyse, à l'aide de modèles vectoriels autorégressifs structurels et de mesures de corrélation, l'impact de chocs externes sur les secteurs réel, monétaire et budgétaire des pays membres de l'Unasur. L'analyse montre que : (i) même les pays les plus fermés (Argentine et Venezuela) et les plus industrialisées (Brésil) présentent une forte vulnérabilité aux perturbations internationales, (ii) cette vulnérabilité individuelle se traduit en une convergence de court terme des trajectoires des principales variables macroéconomiques des pays concernés. Dans le troisième chapitre, on cherche à mesurer le degré de convergence de long terme des niveaux de vie des citoyens Sud-Américains à l’aide de modèles empiriques vectoriels à correction d'erreur et de techniques de cointégration. Les résultats montrent l'existence de tendances stochastiques communes à long terme. Cela signifie que les pays sont engagés dans un processus d'évolution vers un objectif commun, autrement dit, que les conditions de vie des citoyens Sud-Américains ne divergent pas à long terme. En fin, le troisième chapitre vise à analyser l'impact de l'investissement dans la construction de réseaux régionaux de transport, de communication et d'énergie, sur la réduction de l'hétérogénéité structurelle des pays de l'Unasur (projet IIRSA). En effectuant un certain nombre d'expériences de politique dans un cadre théorique, cette analyse constate que : (i) une accroissement d'investissement public en infrastructure suscite une augmentation du commerce intra-intra-régional mais pas forcément une réduction de l'écart de production entre les pays, (ii) l'écart de production à long terme entre l'Argentine et le Brésil diminue, dans un scénario gagnant-gagnant, en termes de croissance économique, seulement si les gouvernements de ces deux pays coordonnent leur augmentation d'investissement en infrastructure, comme proposé par l'IIRSA. / Economic integration seems to be a new global trend. The past two decades have witnessed the formation of several economic unions in Asia (ASEAN+3 in 1997), Europe (Eurozone in 1999), Africa, and America (Union of South American Nations, Unasur in 2008). The South American case deserves special attention because, unlike the other blocs, the Unasur emerged as a political alliance and not as an economic one. Furthermore, Unasur is conceived as a strategy for improving the socioeconomic conditions of nations that have a common history of economic instability and external dependence. However, while common concerns and political willingness exist among group members, the question of whether that consensus is sufficient to ensure economic integration remains unanswered. For instance, economic integration as a strategy for macroeconomic stability has seemed to work well in Europe after the euro was launched in 1999 (Sapir, 2011), until the breakdown of the European sovereign debt crisis in recent years has revealed the inherent weaknesses of an economic union that lacks a political union (Fligstein et al., 2012, Issing, 2011). This development suggests that the Unasur project is likely to fail if the concerned economies do not converge economically. This is the reason why, this thesis assesses the Unasur project from an economic integration perspective, thus, complementing the huge body of political literature that has been developed on the issue (Briceño-Ruiz, 2014, Sanahuja, 2012). The first chapter describes the theory of economic integration' state of art focusing on South America. The second chapter examines the reactions of the Unasur economies to external shocks. By using a structural vector autoregression approach, it measures the impact of three external shocks (monetary, commercial, and financial) in the real, monetary, and fiscal economic sectors of Unasur economies and investigates co-movement paths. The results show (i) a non-negligible degree of synchronization across the studied economies, confirming their high external vulnerability, (ii) irrespective of size or integration degree, all Unasur members share mutual weaknesses, which they must fight to overcome. The third chapter evaluates the convergence in real GDP per-capita, as a suitable proxy measure, of the concerned economies for the period 1951-2011. By relying on cointegration techniques and applying Bernard and Durlauf's (1995) stochastic definitions of convergence and common trends, the presented evidence supports the existence of common long-run trends driving output in South America, meaning that the region is involved in a dynamic process of convergence in living standards. Finally, the fourth chapter studies the economic spillovers of the most advanced structural project of the group: the Initiative for the Integration of Regional Infrastructure in South America (IIRSA). A micro-founded two-country general equilibrium model is constructed to evaluate potential gains or losses (in terms of output convergence and trade integration) of raising publicly provided transportation infrastructure in a coordinated and uncoordinated manner. The model is solved using data from Argentina and Brazil. Results show that: (i) rising public investment in infrastructure boost commercial integration but not necessarily generates output converge, (ii) the only way for the Argentina and Brazil to achieve output convergence is to coordinate their increments on public infrastructure as proposed by the IIRSA.

This doctoral thesis addresses in a sequence of five essays the question how fiscal policy and economic output are interrelated in emerging Europe and how this relationship is shaped by the respective politico-economic environment and the individual-level support for economic reforms. Following main findings can be highlighted: (1) Countries in Central, Eastern and Southeastern Europe (CESEE) respond to a fiscal expansion in the euro area with fiscal easing at home, while the GDP response is mixed across countries.(2)Automatic fiscal stabilizers are comparatively small and discretionary fiscal policy has been largely pro-cyclical in CESEE. (3) The public spending and revenue structure is more "growth-friendly" in CESEEthan in the EU-15. (4) In transition economies with more democratic institutions and a better quality of governance, individuals with high market-relevant skills show a significantly larger support of the privatization status quo than individuals with low market skills. (5) The society in Russia - triggered by a lack of social capital - chooses to demand more state regulationand tolerate corruption to reduce negative externalities imposed by private business.(author's abstract)