L'évaluation de l'endogénéité monétaire révèle les arrangements complexes qui forment une structure bancaire et sa capacité à créer de l'argent grâce au crédit. À cet égard, les principales caractéristiques de l'approche post-keynésienne structuraliste de l'endogénéité monétaire sont les suivantes : (i) l'argent est principalement créé sur le marché du crédit; et (ii) les autorités monétaires imposent certaines limites à la création de crédit, mais elles ne déterminent pas entièrement le processus. La demande de monnaie et la préférence de liquidité des agents (banques, entreprises et consommateurs) sont les forces sous-jacentes qui soutiennent ces deux attributs. La thèse étudie ce qui a déterminé l'offre de monnaie de crédit au Brésil et comment la politique monétaire a limité ce processus après l'adoption du régime de ciblage de l'inflation en 1999. Nous décrivons d'abord les caractéristiques intrinsèques de l'offre de monnaie dans une économie de production monétaire en abordant la théorie structuraliste post-keynésienne sur le sujet. Par la suite, nous nous concentrons sur la pensée académique dominante actuelle qui guide la formulation de politiques monétaires pour de nombreuses banques centrales de près de trois décennies, à savoir le Nouveau Consensus en Macroéconomie (NCM), et d'évaluer ses divergences à l'approche post-keynésienne. Nous soulignons ensuite le vaste débat que la crise financière 2007-2009 a suscité entre les théoriciens, en soulignant la vision alternative post-keynésienne de la politique monétaire et du crédit et des cycles économiques. Après l'argumentation théorique, les objectifs et instruments de la politique monétaire brésilienne sont étudiés afin de recueillir les éléments les plus importants qui contraindront la création de crédit par les banques. Enfin, nous éclairons la voie de l'offre de crédit au Brésil de 1999 à 2016, où les changements du système financier et du bilan des banques sont analysés. Nous estimons finalement un modèle dynamique des données du panel et un modèle de VECM utilisant des données des bilans des cinquante plus grandes banques dans le pays pour la période sous enquête. On constate donc des preuves que l'offre de monnaie a une relation ascendante avec le taux d'intérêt, et, par conséquent, il est ni horizontale ni verticale, mais plutôt répondre à la préférence pour la liquidité des banques. Ainsi, la thèse contribue à la construction d'une discussion plus précise de l'endogénéité de l'offre de monnaie au Brésil, en élargissant la compréhension des restrictions au système bancaire par la politique monétaire. / The evaluation of money endogeneity reveals the complex arrangements that form a banking structure and its ability to create money through credit. In this regard, the key features of the Post-Keynesian structuralist approach of money supply are : (i) money is mostly created in the credit market ; and (ii) monetary authorities impose some limits to credit creation, however, they do not entirely determine its process. Hereof, both money demand and liquidity preference of agents (banks, firms and consumers) are the underlying forces that sustain these two attributes. The thesis investigates what has determined credit money supply in Brazil and how monetary policy has bounded this process after the adoption of the inflation targeting regime in 1999. We, first, outline the intrinsic characteristics of money supply in a monetary economy of production by addressing the Post-Keynesian structuralist theory on the subject. Thereafter, we focus on the current dominant academic thinking that guides the formulation of monetary policies for numerous Central Banks by almost three decades, i.e. the New Consensus in Macroeconomics (NCM), and assess its divergences to the Post-Keynesian approach. Following, we highlight the extensive debate that the 2007-2009 financial crisis brought among theorists, pointing to the alternative Post-Keynesian view of both monetary policy and credit and business cycles. After the theoretical argumentation, Brazilian monetary policy objectives and instruments are investigated in order to gather the most important elements that shall constraint bank’s credit money creation. Finally, we enlighten the path of credit supply in Brazil from 1999 to 2016, where both the changes in the financial system and in the balance sheet of banks are analyzed. We ultimately estimate a dynamic panel data model and a VECM model using data from the balance sheets of the fifty largest banks in the country for the period under investigation. We thus find evidences that the money supply has an ascending relation with the interest rate, and, therefore, it is neither horizontal nor vertical, but rather, respond to the liquidity preference of banks. Hence, the thesis contributes to the construction of a more accurate discussion of the endogeneity of money supply in Brazil, widening the understanding of the imposed restrictions of monetary policy to the banking system.

<p>This dissertation consists of two chapters studying monetary and fiscal policy. In the first chapter, I study the welfare benefits and costs of increased central bank transparency in a dynamic model of costly information acquisition where agents can either choose to gather new costly information or remember information from the past for free. Information is costly to acquire due to an agent's limited attention. Agents face an intratemporal decision on how to allocate attention across public and private signals within the period and an intertemporal decision on how to allocate attention over time. The model embeds a coordination externality into the dynamic framework which motivates agents to be overly attentive to public information and creates the possibility of costly transparency. Interestingly, allowing for intratemporal and intertempral tradeoffs for attention amplifies (attenuates) the benefits (costs) of earlier transparency whereas it attenuates (amplifies) the benefits (costs) of delayed transparency. </p><p>The second chapter, co-authored with Barbara Rossi and Atsushi Inoue, studies the empirical effects of unexpected changes in government spending and tax policy on heterogeneous agents. We use data from the Consumption Expenditure Survey (CEX) to estimate individual-level impulse responses as well as multipliers for government spending and tax policy shocks. The main empirical finding of this paper is that unexpected fiscal shocks have substantially different effects on consumers depending on their age, income levels, and education. In particular, the wealthiest individuals tend to behave according to the predictions of standard RBC models, whereas the poorest individuals tend to behave according to standard IS-LM (non-Ricardian) models, due to credit constraints. Furthermore, government spending policy shocks tend to decrease consumption inequality, whereas tax policy shocks most negatively affect the lives of the poor, more so than the rich, thus increasing consumption inequality.</p> / Dissertation

The objective of this study is to investigate how the development regarding the short-term nominal interest rate in Portugal would have differed from that set by the ECB 1999-2011 in a situation where they did not enter the European Monetary Union. To do this, we use the Taylor rule, which incorporates economic activities such as inflation and output and how these deviates from their target. Constructing the Taylor rule, we estimate its reaction functions using an Ordinary Least Square Regression on annual data from the period 1988-1998. The reaction functions serve as weights on the deviations for inflation and output. The result reached is that the interest rate set by the ECB since 1999 is far below that interest rate required by the Portuguese economic situation. Further, we discuss how the influence in the setting of the ECB interest rate differs considering the member countries size.

In this dissertation three different economic issues have been analyzed. The first issue is whether monetary policy rules can improve forecasting accuracy of inflation. The second is whether the preference of a central bank is symmetry or not. The last issue is whether the behavior of aggregate dividends is asymmetry. Each issue is considered in Chapter II, III and IV, respectively. The linkage between monetary policy rules and the prediction of inflation is explored in Chapter II. Our analysis finds that the prediction performance of the term structure model hinges on monetary policy rules, which involve the manipulation of the federal funds rate in response to the change in the price level. As the Fed's reaction to inflation becomes stronger, the predictive information contained in the term structure becomes weaker. Using the long-run Taylor rule, a new assessment of the prediction performance regarding future change in inflation is provided. The empirical results indicate that the long-run Taylor rule improves forecasting accuracy. In chapter III, the asymmetric preferences of the central bank of Korea are examined under New Keynesian sticky prices forward-looking economy framework. To this end, this chapter adopts the central bank's objective functional form as a linear-exponential function instead of the standard quadratic function. The monetary policy reaction function is derived and then asymmetric preference parameters are estimated during the inflation targeting period: 1998:9-2005:12. The empirical evidence supports that while the objective of output stability is symmetry, but the objective of price stability is not symmetry. Specifically, it appears that the central bank of Korea aggressively responds to positive inflation gaps compared to negative inflation gaps. Chapter IV examines the nonlinear dividend behavior of the aggregate stock market. We propose a nonlinear dividend model that assumes managers minimize the regime dependent adjustment costs associated with being away from their target dividend payout. By using the threshold vector error correction model, we find significant evidence of a threshold effect in aggregate dividends of S&P 500 Index in quarterly data when real stock prices are used for the target. We also find that when dividends are relatively higher than target, the adjustment cost of dividends is much smaller than that when they are lower.

This paper examines the impact of a new Central Bank mandate on agricultural competitiveness and on the ability of the agricultural sector to articulate its policy interests within Argentina’s policymaking process. Reforms to Argentina’s Central Bank charter, passed into law in April 2012, loosened restrictions on Central Bank lending to Argentina’s Treasury and authorized the Central Bank to act to reduce unemployment and spur economic development. The Central Bank carries out its new mandate within a policymaking process characterized by strong presidential authority, weak political institutions, powerful provincial governments, and a budget system that politicizes the transfer of fiscal resources from the federal government to the provinces. Within these policymaking dynamics, this paper analyzes the actions of the Mesa de Enlace, an interest group coalition comprised of Argentina’s four largest agricultural producer associations, and its response to changes in Central Bank governance. My argument is twofold. First, I argue that the new mandate in the long run will exert inflationary pressure on Argentina’s real exchange rate, a key determinant of competitiveness for primary commodity exports, particularly soy. Public statements made by various representatives of the Mesa de Enlace indicate strong opposition to the nominal overvaluation (atraso cambiario) of the peso. Second, I argue that the new mandate politicizes an already-politicized Central Bank. Given the agricultural sector’s waning influence in institutionalized policymaking channels, executive intrusion in Central Bank operations is economically harmful. Such government interference serves to diminish agricultural considerations in monetary policymaking and to encourage the Mesa de Enlace’s exploitation of informal channels for interest articulation, creating disincentives for robust investment and causing undesired work stoppages, hoarding, and social protest. / text

Zugl.: Halle (Saale), University, Habil.-Schr., 2005.

Thesis (Ph. D.)--University of Missouri-Columbia, 2002. / Typescript. Vita. Includes bibliographical references (leaves 155-164). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2002. / Typescript. Vita. Includes bibliographical references (leaves 155-164). Also available on the Internet.

Thesis (Ph.D.)--Fordham University, 2008. / Adviser: Henry M. Schwalbenberg. Includes bibliographical references.

[pt] Este trabalho constrói índices de semântica, utilizando o Google e o Factiva Dow Jones, empregando a metodologia de Lucca e Trebbi (2011), na tentativa de quantificar o conteúdo do comunicado do Copom que o Banco Central do Brasil emite logo após a divulgação da decisão da taxa de juros e o designando uma orientação semântica restritiva ou expansionista. Utilizando dados diários e intradiários de contratos de swap e contratos futuros de DI, respectivamente, vemos que o comunicado afeta a curva de juros somente no período pré-Tombini. Ademais, vemos que a surpresa de política monetária tem um efeito de um para um, algumas vezes maior, nas taxas de juros para o período Tombini até mesmo para taxas longas, o que não ocorre no período pré-Tombini, com a surpresa afetando apenas as taxas entre o curto e médio prazo. Além disso, percebemos que há uma dinâmica intradiária no efeito do conteúdo do comunicado na curva de juros no período Tombini, o que evidencia uma demora na sua assimilação por parte dos agentes econômicos, diferentemente do que é observado no período anterior. Vemos que a surpresa de política monetária afeta a estrutura a termo da taxa de juros durante todo o tempo de funcionamento do mercado para os dois períodos analisados. / [en] This work builds semantic scores using the Google and the Factiva Dow Jones database, based on Lucca and Trebbi s (2011) methodology, in order to quantify the content of the COPOM s statements released by the Central Bank of Brazil shortly after the interest rate s decision and attributing to it a semantic orientation, hawkish or dovish . Using daily and intraday data of swap contracts and DI1 futures contracts, respectively, we find that the content of the BCB s statement affects the yield curve only in the period prior to Tombini s tenure. In addition, we find that the yields respond one-to-one to the interest rate surprise, sometimes more, in the pre-Tombini period even for long term maturities, which we do not see in the period prior to Tombini, where the interest rate surprises affect only the short-to-medium rates. Furthermore, we see an intraday dynamic in the yield responses to the content of the statement in the Tombini period, which give evidence to a delay in its interpretation, differently from what we observe in the previous period. We also find that the interest rate surprises induce changes in the yield curve during the whole time that the market is open for both periods analyzed.