Master of Arts / Department of Economics / Lance J. Bachmeier / The traditional view of oil price movements is that they represent exogenous changes in the supply of oil. In that case, oil price increases will hurt output. Recently, some have questioned whether oil price increases are actually due to higher demand for oil, in which case higher oil prices will be followed by higher output. This thesis develops a model that allows changes in the price of oil to have different effects depending on whether the price of oil and output growth are moving in the same direction (so that the increase in the price of oil was primarily due to an increase in the demand for oil) or in the opposite direction (so that the increase in the price of oil was primarily due to an oil supply shock). The paper presents three sets of results. First, we present the model results for the 1965-2008 time period. Then we look at the 1986-2008 period separately. Finally, we construct a forecasting model for the U.S. industrial production index. The model developed does not require making identifying assumptions and can be used with the data that is available on the internet, and is well understood. Maximum likelihood estimation, which is commonly used for non-linear estimation, is used to estimate the model. We find in-sample evidence in favor of our new model for the 1986-2008 subsample. The new model is unable to provide better out-of-sample forecasts for the 1986-2008 time period.

Há mais de uma década o controle dos níveis de preço na economia brasileira é realizado dentro do escopo do Regime de Metas de Inflação, que utiliza modelos macroeconômicos como instrumentos para guiar as tomadas de decisões sobre política monetária. Após um período de relativo êxito (2006 - 2009), nos últimos anos apesar dos esforços das autoridades monetárias na aplicação das políticas de contenção da inflação, seguindo os mandamentos do regime de metas, esta tem se mostrado resistente, provocando um debate em torno de fatores que podem estar ocasionando tal comportamento. Na literatura internacional, alguns trabalhos têm creditado aos choques de oferta, especialmente aos desencadeados pela variação dos preços das commodities, uma participação significativa na inflação, principalmente em economias onde os produtos primários figuram como maioria na pauta exportadora. Na literatura nacional, já existem alguns trabalhos que apontam nesta mesma direção. Sendo assim, buscou-se, como objetivo principal para o presente estudo, avaliar como os choques de oferta, mais especificamente os choques originados pelos preços das commodities, têm impactado na inflação brasileira e como e com que eficiência a política monetária do país tem reagido. Para tanto, foi estimado um modelo semiestrutural contendo uma curva de Phillips, uma curva IS e duas versões da Função de Reação do Banco Central, de modo a verificar como as decisões de política monetária são tomadas. O método de estimação empregado foi o de Autorregressão Vetorial com Correção de Erro (VEC) na sua versão estrutural, que permite uma avaliação dinâmica das relações de interdependência entre as variáveis do modelo proposto. Por meio da estimação da curva de Phillips foi possível observar que os choques de oferta, tanto das commodities como da produtividade do trabalho e do câmbio, não impactam a inflação imediatamente, porém sua relevância é crescente ao longo do tempo chegando a prevalecer sobre o efeito autorregressivo (indexação) verificado. Estes choques também se apresentaram importantes para o comportamento da expectativa de inflação, produzindo assim, uma indicação de que seus impactos tendem a se espalhar pelos demais setores da economia. Através dos resultados da curva IS constatou-se a forte inter-relação entre o hiato do produto e a taxa de juros, o que indica que a política monetária, por meio da fixação de tal taxa, influencia fortemente a demanda agregada. Já por meio da estimação da primeira função de reação, foi possível perceber que há uma relação contemporânea relevante entre o desvio da expectativa de inflação em relação à meta e a taxa Selic, ao passo que a relação contemporânea do hiato do produto sobre a taxa Selic se mostrou pequena. Por fim, os resultados obtidos com a segunda função de reação, confirmaram que as autoridades monetárias reagem mais fortemente aos sinais inflacionários da economia do que às movimentações que acontecem na atividade econômica e mostraram que uma elevação nos preços das commodities, em si, não provoca diretamente um aumento na taxa básica de juros da economia. / For more than a decade the control of price levels in the Brazilian economy is conducted within the scope of the regime of inflation targets, which utilizes macroeconomic models as tools to guide decision-making on monetary policy. After a period of relative success (2006 - 2009), in recent years, despite the efforts of monetary authorities in the application of inflation containment policies, following the commandments of the targeting regime, this has proven resilient, causing a debate about factors that may be causing this behavior. In the international literature, some studies have credited to supply shocks, especially those triggered by the change in commodity prices, a significant participation in inflation, especially in economies where the commodities are a large part of export basket. In the Brazilian literature, there are already some studies pointing in the same direction. Therefore, it sought to the main objective of this study to evaluate how supply shocks, more specifically the shocks originated by commodity prices have impacted on Brazilian inflation and how and how efficiently monetary policy of the country has reacted. To this purpose, it estimated a semiestrutural model containing a Phillips curve, an IS curve and two versions of the central bank\'s reaction function, so check how monetary policy decisions are taken. The estimation method used was the Vector autoregression with Error Correction (VEC) in its structural version, which allows a dynamic assessment of interdependence between the variables of the model. By estimating the Phillips curve it was observed that the supply shocks, both commodity as labor productivity and the exchange rate, do not impact inflation immediately, but its relevance is growing over time getting to prevail over the effect autoregressive (index) checked. These shocks also performed important to the inflation expectations, a possible indication that supply shocks may spread over other economic sectors. Through the results of the IS curve noted the strong inter-relationship between the output gap and the interest rate, which indicates that monetary policy, by setting interest rates, strongly influences aggregate demand. Through the estimation of the A reaction function, it was revealed that there is a relevant contemporary relationship between the deviation of expected inflation from the target and the Selic rate, while the contemporary relationship of the output gap over the Selic was proved to be small. Finally, the results obtained with the B reaction function, confirmed that the monetary authorities react more strongly to inflationary signs of the economy than the movements that happen in economic activities and showed that a rise in commodity prices does not lead directly an increase in basic interest rate of the economy.

Há mais de uma década o controle dos níveis de preço na economia brasileira é realizado dentro do escopo do Regime de Metas de Inflação, que utiliza modelos macroeconômicos como instrumentos para guiar as tomadas de decisões sobre política monetária. Após um período de relativo êxito (2006 - 2009), nos últimos anos apesar dos esforços das autoridades monetárias na aplicação das políticas de contenção da inflação, seguindo os mandamentos do regime de metas, esta tem se mostrado resistente, provocando um debate em torno de fatores que podem estar ocasionando tal comportamento. Na literatura internacional, alguns trabalhos têm creditado aos choques de oferta, especialmente aos desencadeados pela variação dos preços das commodities, uma participação significativa na inflação, principalmente em economias onde os produtos primários figuram como maioria na pauta exportadora. Na literatura nacional, já existem alguns trabalhos que apontam nesta mesma direção. Sendo assim, buscou-se, como objetivo principal para o presente estudo, avaliar como os choques de oferta, mais especificamente os choques originados pelos preços das commodities, têm impactado na inflação brasileira e como e com que eficiência a política monetária do país tem reagido. Para tanto, foi estimado um modelo semiestrutural contendo uma curva de Phillips, uma curva IS e duas versões da Função de Reação do Banco Central, de modo a verificar como as decisões de política monetária são tomadas. O método de estimação empregado foi o de Autorregressão Vetorial com Correção de Erro (VEC) na sua versão estrutural, que permite uma avaliação dinâmica das relações de interdependência entre as variáveis do modelo proposto. Por meio da estimação da curva de Phillips foi possível observar que os choques de oferta, tanto das commodities como da produtividade do trabalho e do câmbio, não impactam a inflação imediatamente, porém sua relevância é crescente ao longo do tempo chegando a prevalecer sobre o efeito autorregressivo (indexação) verificado. Estes choques também se apresentaram importantes para o comportamento da expectativa de inflação, produzindo assim, uma indicação de que seus impactos tendem a se espalhar pelos demais setores da economia. Através dos resultados da curva IS constatou-se a forte inter-relação entre o hiato do produto e a taxa de juros, o que indica que a política monetária, por meio da fixação de tal taxa, influencia fortemente a demanda agregada. Já por meio da estimação da primeira função de reação, foi possível perceber que há uma relação contemporânea relevante entre o desvio da expectativa de inflação em relação à meta e a taxa Selic, ao passo que a relação contemporânea do hiato do produto sobre a taxa Selic se mostrou pequena. Por fim, os resultados obtidos com a segunda função de reação, confirmaram que as autoridades monetárias reagem mais fortemente aos sinais inflacionários da economia do que às movimentações que acontecem na atividade econômica e mostraram que uma elevação nos preços das commodities, em si, não provoca diretamente um aumento na taxa básica de juros da economia. / For more than a decade the control of price levels in the Brazilian economy is conducted within the scope of the regime of inflation targets, which utilizes macroeconomic models as tools to guide decision-making on monetary policy. After a period of relative success (2006 - 2009), in recent years, despite the efforts of monetary authorities in the application of inflation containment policies, following the commandments of the targeting regime, this has proven resilient, causing a debate about factors that may be causing this behavior. In the international literature, some studies have credited to supply shocks, especially those triggered by the change in commodity prices, a significant participation in inflation, especially in economies where the commodities are a large part of export basket. In the Brazilian literature, there are already some studies pointing in the same direction. Therefore, it sought to the main objective of this study to evaluate how supply shocks, more specifically the shocks originated by commodity prices have impacted on Brazilian inflation and how and how efficiently monetary policy of the country has reacted. To this purpose, it estimated a semiestrutural model containing a Phillips curve, an IS curve and two versions of the central bank\'s reaction function, so check how monetary policy decisions are taken. The estimation method used was the Vector autoregression with Error Correction (VEC) in its structural version, which allows a dynamic assessment of interdependence between the variables of the model. By estimating the Phillips curve it was observed that the supply shocks, both commodity as labor productivity and the exchange rate, do not impact inflation immediately, but its relevance is growing over time getting to prevail over the effect autoregressive (index) checked. These shocks also performed important to the inflation expectations, a possible indication that supply shocks may spread over other economic sectors. Through the results of the IS curve noted the strong inter-relationship between the output gap and the interest rate, which indicates that monetary policy, by setting interest rates, strongly influences aggregate demand. Through the estimation of the A reaction function, it was revealed that there is a relevant contemporary relationship between the deviation of expected inflation from the target and the Selic rate, while the contemporary relationship of the output gap over the Selic was proved to be small. Finally, the results obtained with the B reaction function, confirmed that the monetary authorities react more strongly to inflationary signs of the economy than the movements that happen in economic activities and showed that a rise in commodity prices does not lead directly an increase in basic interest rate of the economy.

This thesis argues that the financial sector played a positive, but limited role in British economic growth from 1850 to 1913. It examines empirically the role played by different types of financial institutions: commercial banks, stock markets and merchant banks. To this end, the thesis uses recently developed time series and dynamic panel methods for the econometric analysis, alongside new data on different parts of the financial system. The results suggest that at a national level, the growth of commercial banks had a limited impact on British economic development over the long run, and stock markets had no impact. However, changes in bank lending influenced economic growth to a significant extent in the short term. Growing conservatism in bank lending practices did not significantly increase credit constraints, as had been previously suspected. Findings from new geographically disaggregated data indicate that the spread of bank offices improved the economic performance of English and Welsh counties. Increased concentration of the banking industry did not hinder economic growth, a result that challenges widespread suggestions in the relevant literature. Moreover, the development of provincial stock exchanges – exchanges outside London - did not influence county-level economic growth, contrary to the view that they were important for the expansion of local industry. Finally, this thesis is the first to assess econometrically the role of merchant banks. It demonstrates that their trade financing activities were beneficial not only for the growth of British international trade, but also for that of the domestic economy.

Cette thèse doctorale étudie l’impact des effets de réseau sur le commerce et la finance internationale. Le premier chapitre évalue le rôle que joue la centralité des partenaires commerciaux dans la diffusion des connaissances et conclut que l’importation de biens provenant de partenaires situés au cœur du réseau est génératrice de croissance économique. Le deuxième chapitre étudie le rôle des communautés de commerce dans la vitesse d’adoption de nouvelles technologies et établit que la diffusion des idées est encouragée au sein des pays appartenant à la même communauté. Le troisième chapitre souligne le rôle que jouent les partenaires financiers dans le choix d’investir dans une nouvelle destination et montre que les pays sont plus susceptibles d’investir dans un nouveau pays si un de leurs partenaires actuels y a déjà investi. Le quatrième chapitre évalue l’impact de l’importation des produits à risque et estime qu’une augmentation d’un pourcent des importations de produits fragiles provenant d’un pays touché par une catastrophe naturelle est associée à une réduction de 0,7 pourcent des exportations nationales. / This doctoral dissertation investigates the impact of networks effects on international trade and finance. The first chapter estimates the role a trade partners’ centrality plays in the diffusion of knowledge and finds that importing from countries at the core of the network leads to a significant increase in economic growth. The second chapter investigates the role of clusters in the speed of technology adoption and concludes that the diffusion of ideas is fostered among countries belonging to the same cluster. The third chapter emphasizes the role of current partners in choosing a destination for new investments and finds that countries are more likely to invest in a new destination if one of their existing partners have already made some investments in the location. The fourth chapter evaluates the impact of importing risky products on the economy and finds that the elasticity of a country’s exports with respect to its import share of fragile products from a partner impacted by a natural disaster is -0.7 percent.

This paper attempts to assess the impact of price fluctuations in oil resulting from worldwide oil supply shocks on the real returns of the U.S. stock market, specifically the S&P 500, during the period of 1986 to 2011. While much past research has found an inverse relationship to exist between simply oil price increases and stock market returns, not many studies have been conducted that focus on the effects of shifts in oil supply. The model utilized, a variation of that used by Hamilton (2008), determines that changes in oil prices arising from oil supply shocks one quarter prior (t-1) and one year prior (t-4) have an effect on real stock returns. However, an F-test assessing the joint impact of the explanatory variables is unable to reject the null hypothesis that the joint effects of changes in oil prices arising from supply shocks have zero effect on the returns of the stock market.

Submitted by Nicolas da Silva Borsoi (borsoi.nicolas@gmail.com) on 2018-05-18T15:32:26Z No. of bitstreams: 1 dissertacao_nicolas_borsoi.pdf: 620042 bytes, checksum: 26036c11b76bba089651e5a5c63a39a5 (MD5) / Approved for entry into archive by Pamela Beltran Tonsa (pamela.tonsa@fgv.br) on 2018-05-18T16:25:51Z (GMT) No. of bitstreams: 1 dissertacao_nicolas_borsoi.pdf: 620042 bytes, checksum: 26036c11b76bba089651e5a5c63a39a5 (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-05-18T17:05:36Z (GMT) No. of bitstreams: 1 dissertacao_nicolas_borsoi.pdf: 620042 bytes, checksum: 26036c11b76bba089651e5a5c63a39a5 (MD5) / Made available in DSpace on 2018-05-18T17:05:36Z (GMT). No. of bitstreams: 1 dissertacao_nicolas_borsoi.pdf: 620042 bytes, checksum: 26036c11b76bba089651e5a5c63a39a5 (MD5) Previous issue date: 2018-04-24 / The existing literature measuring the magnitude of the fiscal multiplier has a considerable consensus that the stimulative effects of fiscal instruments depends on the current state of economic activity, whether it is expanding or facing a recession. However, none of the previous works studied how the source of an economic downturn, if the economy is facing an adverse supply/demand shock, affects the effectiveness of fiscal expansions. We introduce in a simple New Keynesian model with a rich description of fiscal policy, the assumption of imperfectly informed policymakers (fiscal and monetary) to approach the question. Our results point out the existence of disparate effects of fiscal policy depending on whether the economy is facing a demand or a supply recession. Yet, we find out that cuts in taxes are an effective tool to counter the effects of adverse shocks on economic activity and aggregate consumption. / A atual literatura mensurando a magnitude do multiplicador fiscal apresenta um consenso considerável de que os efeitos estimulativos de instrumentos fiscais dependem do estado atual da atividade econômica, isto é, se o estímulo fiscal ocorre em uma recessão ou expansão econômica. Entretanto, nenhum dos trabalhos anteriores analisou a questão de se fonte da recessão, isto é, se o choque adverso tem uma natureza de demanda ou oferta, afeta a efetividade de expansões fiscais. Introduzimos em um modelo Novo Keynesiano com uma rica descrição de política fiscal, a hipótese de formuladores de política (fiscal e monetária) sujeitos à informação imperfeita, e quantificamos o multiplicador fiscal para responder a questão. Nossos resultados demonstram efeitos dispares da política fiscal dependendo da natureza do choque adverso. Entretanto, encontramos que cortes em tributos são efetivos para contrabalancear os efeitos recessivos desses choques sobre atividade econômica e consumo agregado.

En los últimos años se ha desarollado mucho la literatura que utiliza modelos estocásticos de equilibrio económico general en economía abierta. En esta clase de modelos el primer capítulo estudia si el banco central tiene que fijarse en al inflación medida mirando al los precios al consumo (CPI) o a los precios a la producción. Se demonstra como la introducción de competencia monopolística en el mercado del trabajo y rigidez de los salarios nominales justifica el utilizo de la inflación medida sobre CPI. En el segundo capítulo el enfoque es sobre las diferentes volatilidades de la inflación entre paísos de la unión monetaria y como esto se puede relacionar con diferentes estructuras del mercado del trabajo. En el último capítulo se utiliza un modelo a dos paísos para estudiar las consecuencias de una subida del precio del petróleo sobre la inflación, los salarios reales y el producto interno bruto. / In these last years there has been an increasing literature developing DSGE Open Economy Models with market imperfections and nominal rigidities. It is the so called "New Open Economy Macroeconomics". Within this class of models the first chapter analyses the issue of whether the monetary authority should target Consumer Price Index (CPI) inflation or domestic inflation. It is shown that the introduction of monopolistic competition in the labour market and nominal wage rigidities rationalise CPI inflation targeting. In the second chapter we introduce matching and searching frictions in the labour market and relate different labour market structures across European countries with differences in the volatility of inflation across the same countries. In the last chapter we use a two-country model with oil in the production function and price and wage rigidities to relate movements in wage and price inflation, real wages and GDP growth rate to oil price changes.

Dans cette thèse, je me suis intéressé aux effets des fluctuations du prix de pétrole sur l'activité macroéconomique selon la cause sous-jacente ces fluctuations. Les modèles économiques utilisés dans cette thèse sont principalement les modèles d'équilibre général dynamique stochastique (de l'anglais Dynamic Stochastic General Equilibrium, DSGE) et les modèles Vecteurs Autorégressifs, VAR. Plusieurs études ont examiné les effets des fluctuations du prix de pétrole sur les principaux variables macroéconomiques, mais très peu d'entre elles ont fait spécifiquement le lien entre les effets des fluctuations du prix du pétrole et la l'origine de ces fluctuations. Pourtant, il est largement admis dans les études plus récentes que les augmentations du prix du pétrole peuvent avoir des effets très différents en fonction de la cause sous-jacente de cette augmentation. Ma thèse, structurée en trois chapitres, porte une attention particulière aux sources de fluctuations du prix de pétrole et leurs impacts sur l'activité macroéconomique en général, et en particulier sur l'économie du Canada. Le premier chapitre examine comment les chocs d'offre de pétrole, de demande agrégée, et de demande de précaution de pétrole affectent l'économie du Canada, dans un Modèle d'équilibre Général Dynamique Stochastique estimé. L'estimation est réalisée par la méthode Bayésienne, en utilisant des données trimestrielles canadiennes sur la période 1983Q1 à 2010Q4. Les résultats montrent que les effets dynamiques des fluctuations du prix du pétrole sur les principaux agrégats macro-économiques canadiens varient en fonction de leurs sources. En particulier, une augmentation de 10% du prix réel du pétrole causée par des chocs positifs sur la demande globale étrangère a un effet positif significatif de l'ordre de 0,4% sur le PIB réel du Canada au moment de l'impact et l'effet reste positif sur tous les horizons. En revanche, une augmentation du prix réel du pétrole causée par des chocs négatifs sur l'offre de pétrole ou par des chocs positifs de la demande de pétrole de précaution a un effet négligeable sur le PIB réel du Canada au moment de l'impact, mais provoque une baisse légèrement significative après l'impact. En outre, parmi les chocs pétroliers identifiés, les chocs sur la demande globale étrangère ont été relativement plus important pour expliquer la fluctuation des principaux agrégats macroéconomiques du Canada au cours de la période d'estimation. Le deuxième chapitre utilise un modèle Structurel VAR en Panel pour examiner les liens entre les chocs de demande et d'offre de pétrole et les ajustements de la demande de travail et des salaires dans les industries manufacturières au Canada. Le modèle est estimé sur des données annuelles désagrégées au niveau industriel sur la période de 1975 à 2008. Les principaux résultats suggèrent qu'un choc positif de demande globale a un effet positif sur la demande de travail et les salaires, à court terme et à long terme. Un choc négatif sur l'offre de pétrole a un effet négatif relativement faible au moment de l'impact, mais l'effet devient positif après la première année. En revanche, un choc positif sur la demande précaution de pétrole a un impact négatif à tous les horizons. Les estimations industrie-par-industrie confirment les précédents résultats en panel. En outre, le papier examine comment les effets des différents chocs pétroliers sur la demande travail et les salaires varient en fonction du degré d'exposition commerciale et de l'intensité en énergie dans la production. Il ressort que les industries fortement exposées au commerce international et les industries fortement intensives en énergie sont plus vulnérables aux fluctuations du prix du pétrole causées par des chocs d'offre de pétrole ou des chocs de demande globale. Le dernier chapitre examine les implications en terme de bien-être social de l'introduction des inventaires en pétrole sur le marché mondial à l'aide d'un modèle DSGE de trois pays dont deux pays importateurs de pétrole et un pays exportateur de pétrole. Les gains de bien-être sont mesurés par la variation compensatoire de la consommation sous deux règles de politique monétaire. Les principaux résultats montrent que l'introduction des inventaires en pétrole a des effets négatifs sur le bien-être des consommateurs dans chacun des deux pays importateurs de pétrole, alors qu'il a des effets positifs sur le bien-être des consommateurs dans le pays exportateur de pétrole, quelle que soit la règle de politique monétaire. Par ailleurs, l'inclusion de la dépréciation du taux de change dans les règles de politique monétaire permet de réduire les coûts sociaux pour les pays importateurs de pétrole. Enfin, l'ampleur des effets de bien-être dépend du niveau d'inventaire en pétrole à l'état stationnaire et est principalement expliquée par les chocs sur les inventaires en pétrole. / In this thesis, I am interested in the effects of fluctuations in oil prices on macroeconomic activity depending on the underlying cause of these fluctuations. The economic models used in this thesis include the Dynamic Stochastic General Equilibrium (DSGE) Models and Vector Autoregressive (VAR) Models. Several studies have examined the effects of fluctuations in oil price on the main macroeconomic variables, but very few of theses studies have specifically made the link between the effects of fluctuations in oil prices and the origin of these fluctuations. However, it is widely accepted in more recent studies that oil price increases may have very different effects depending on the underlying cause of that increase. My thesis, structured in three chapters, is focused on the sources of fluctuations in oil price and their impacts on the macroeconomic activity in general, and in particular on the canadian economy. The first chapter of the thesis investigates how oil supply shocks, aggregate demand shocks, and precautionary oil demand shocks affect Canada's economy, within an estimated Dynamic Stochastic General Equilibrium (DSGE) model. The estimation is conducted using Bayesian methods, with Canadian quarterly data from 1983Q1 to 2010Q4. The results suggest that the dynamic effects of oil price shocks on Canadian macroeconomic variables vary according to their sources. In particular, a 10% increase in the real price of oil driven by positive foreign aggregate demand shocks has a significant positive effect of about 0.4% on Canada's real GDP upon impact and the effect remains positive over time. In contrast, an increase in the real price of oil driven by negative foreign oil supply shocks or by positive precautionary oil demand shocks causes an insignificant effect on Canada's real GDP upon impact but causes a slightly significant decline afterwards. The intuition is that a positive innovation in aggregate demand tends to increase the demand for Canada's overall exports. Oil supply disruptions in foreign countries or positive precautionary oil demand shocks increase the uncertainty about future oil prices, which leads firms to postpone irreversible investment expenditures, and tends to reduce Canada's real GDP. Furthermore, among the identified oil shocks, foreign aggregate demand shocks have been relatively more important in explaining the variations of most of Canadian macroeconomic variables over the estimation period. The second chapter examines the links between oil demand and supply shocks and labor market adjustments in Canadian manufacturing industries using a panel structural VAR model. The model is estimated with disaggregated annual data at the industry level from 1975 to 2008. The results show that a positive aggregate demand shock increases both labor and the price of labor over a 20-year period. A negative oil supply shock has a relatively small negative effect upon impact but the effect turns positive after the first year. In contrast, a positive precautionary oil demand shock has a negative impact over all horizons. The paper also examines how the responses to different types of oil shocks vary from industry to industry. The results suggest that industries with higher net trade exposure/oil-intensity are more vulnerable to oil price increases driven by oil supply shocks and aggregate demand shocks. The third chapter examines the welfare implications of introducing competitive storage on the global oil market using a three country DSGE model characterized by two oil-importing countries and one oil-exporting country. The welfare gains are measured by consumption compensating variation under two alternative monetary policy rules. The main results indicate that the introduction of oil storage has negative welfare effects for each of the two oil importing countries, while it has positive welfare effects for the oil exporting country, whatever the monetary policy rule. I also found that including the exchange rate depreciation in the monetary policy rules allows to slightly reduce the welfare costs for both oil importing countries. Finally, the magnitude of the welfare effects depends on the steady state level of oil storage and is mainly driven by oil storage shocks.

Die globale Finanzkrise unterstrich die Bedeutung von makrofinanziellen Verknüpfungen für Vermögenspreisdynamiken und Konjunkturschwankungen. Bei angebotsseitigen Finanzfriktionen werden hierbei Finanzintermediäre, insbesondere ihre Bilanz und ihre Risikotragfähigkeit, als zentral erachtet. Diese Dissertation wendet verschiedene Klassen von SVAR Modellen und neueste Identifizierungsmethoden an um empirische Belege für die Rolle von Finanzintermediären für Finanzmärkte und die Realwirtschaft zu liefern. Das erste Kapitel untersucht das regimeabhängige Handelsverhalten von Finanzintermediären auf dem Öl-Futures-Markt und zeigt, dass Finanzintermediäre während Krisenzeiten preisunelastischer werden und mehr ihren eigenen Interessen folgend handeln. Die Ergebnisse deuten auf eine nichtlineare Futures-Preissetzung von Intermediären hin, was die Volatilität im Markt während Krisenzeiten signifikant erhöht. Das zweite Kapitel legt dar, dass die meisten Händlergruppen in Rohstoff-Futures-Märkten eine antizyklische Investitionsstrategie verfolgen. Das einfache SVAR Modell eignet sich für die Analyse der Handelsstrategien verschiedener Händlergruppen sowie deren Auswirkungen für die Preisvolatilität in jedweden Vermögensmärkten. Kapitel 3 identifiziert in einem einzelnen Modell sektorspezifische Kreditangebotsschocks gegenüber Firmen und Haushalten und präsentiert empirische Belege über deren Effekte für die US-Wirtschaft. Die Ergebnisse zeigen, dass beide Kreditangebotsschocks wesentlich zum Konjunkturverlauf während des Beobachtungszeitraums beigetragen haben, wobei Kreditangebotsschocks gegenüber Haushalten klassischen Nachfrageschocks ähneln. Das letzte Kapitel analysiert die globalen Auswirkungen des Schuldenabbaus europäischer Banken und findet, dass europäische Bankbilanzschocks Bruttokapitalzuflüsse und das Kreditwachstum in fortgeschrittenen Ökonomien mit entwickelten Finanzmärkten beeinflussen, aber nur geringfügige Effekte auf das Wirtschaftswachstum haben. / The global financial crisis has demonstrated the importance of macrofinancial linkages for asset price dynamics and business cycles. Regarding supply-side financial frictions, financial intermediaries, in particular their balance sheet and risk-bearing capacity, are considered to be pivotal. This thesis applies different classes of SVAR models and state-of-the-art identification techniques to provide empirical findings on the role of financial intermediaries in financial markets and the real economy. The first chapter studies the state-dependent trading behavior of financial intermediaries in the oil futures market and shows that intermediaries become less price-elastic and trade more according to their own demand. The findings suggest that the futures pricing of intermediaries is nonlinear which significantly raises the volatility in the market during crisis times. The second chapter demonstrates that most trader groups in commodity futures markets employ contrarian strategies. The simple SVAR model can be applied for analyzing the trading strategies of different trader groups as well as their effects for price volatility in any asset market. Chapter 3 identifies sector-specific business and household loan supply shocks in one single model and provides empirical evidence on their effects for the U.S. macroeconomy. The results show that both loan supply shocks have contributed significantly to business cycle dynamics over the sample period, with household loan supply shocks resembling classical demand shocks. The last chapter analyzes the global effects of European bank deleveraging and finds that European bank balance sheet shocks significantly affect gross capital inflows and credit growth in in advanced economies with developed financial markets, but have only minor effects on output growth.