Dans cette thèse, je fournis une évaluation empirique des relations entre les principales variables macroéconomiques qui animent le cycle économique. Nous traitons dans chacun des trois chapitres une question empirique en utilisant une approche économétrique bayésienne. Dans le premier chapitre nous étudions la contribution conditionnelle des taux de transition du marché du travail (le taux de retour en emploi et le taux de séparation). La littérature n'est pas parvenue à un consensus sur lequel des taux dominent la dynamique du marché du travail. Alors que Blanchard et Diamond (1990) ont conclu que la baisse de l'emploi en période de récession résulte d'un taux de séparation plus élevé, Shimer (2012), ainsi que Hall (2005), expliquent que les variations du chômage sont principalement expliqués par la variation du taux de retour en emploi. Notre résultat, obtenu grâce à une estimation d'un modèle VAR structurel, montre que l'importance de chaque taux de transition dépend des chocs qui ont frappé le marché du travail et de l'importance des institutions du marché du travail. Dans le second chapitre, nous évaluons l'impact de la réforme du marché du travail réalisée par le Président des États-Unis H. Hoover au début de la Grande Dépression. Nous montrons que ces politiques ont permis à l'économie américaine d'échapper à une grande spirale déflationniste. L'estimation d'un modèle DSGE à l'échelle agrégée, nous permet de comparer deux effets opposés que ces politiques impliquent : effet négatif dû à une baisse de l'emploi et l'effet positif dû aux anticipations inflationnistes qui sont expansionnistes quand l'économie est dans la trappe à liquidité. Les résultats dépendent de la règle de politique monétaire que nous supposons : le principe de Taylor ou le ciblage du niveau de prix. Le troisième chapitre est consacré à la relation entre le taux d'intérêt réel et l'activité économique qui dépend du nombre des participants aux marchés financiers. En utilisant un modèle DSGE et en permettant à la proportion de ces agents d'être stochastiques en suivant une chaîne de Markov, nous identifions les périodes historiques où la proportion était assez faible pour inverser la courbe IS. Pour le cas des États-Unis, nous montrons que cette relation est positive pendant la période de la Grande Inflation et pendant une courte période au début de la Grande Récession. Dans l'union européenne, la proportion de non­-participants a été augmentée pendant les années 2009-2015 mais seulement pour amplifier la corrélation négative entre le taux d'intérêt réel et la croissance de la production. / In this thesis I provide an empirical assessment of the relations between the main macroeconomic variables that drive the Business Cycle. We treat the empirical question that arises in each chapter using Bayesian estimation. In the first chapter we investigate conditional contribution of the labor market transition rates (the job finding rate and the separation rate) to unemployment. The literature did not have a consensus on which rate dominates in explaining the labor market dynamics. While Blanchard and Diamond (1990) concluded that the fall in employment during slumps resulted from a higher separation rate, Shimer (2012), as well as Hall (2005), explain unemployment variations by mainly the job finding rate. Our result, obtained through an estimation of a structural VAR model, shows that the importance of the transition rated depends on the shocks that hit an economy and hence the importance of the labor market institutions. In the second chapter, we assess the impact of the labor market reform of the US president H. Hoover implemented at the beginning of the Great Depression. We show that these policies prevented the US economy to enter a big deflationary spiral. Estimating a medium scale DSGE model, we also compare two opposite effects these policies lead to: negative effect through a fall in employment and positive effect though inflationary expectations which are expansionary when monetary policy is irresponsive to the rise in prices. The results depend on the monetary policy rule we assume: The Taylor principle or price level targeting. The third chapter is devoted to the relation between the real interest rate and the economic activity which depends on the number of asset market participants. Using a DSGE model and allowing to the proportion of these agents to be stochastic and to follow a Markov chain, we identify the historical sub-periods where this proportion was low enough to reverse the IS curve. For the US case, we report the studied relation to be positive during the Great Inflation period and for a short period at the edge of the Great Recession. In the EA, the proportion of non-participants has been increased during 2009-2015, but only to amplify the negative correlation between the real interest rate and output growth.

This thesis presents three papers within the field of dynamic macroeconomics. The first paper, entitled “Medium-frequency cycles and the remarkable near trend-stationarity of output”, presents a dynamic stochastic general equilibrium model with endogenous growth, capable of reconciling the observed large medium-frequency fluctuations in output, with its long run (near) trend-stationarity. This requires a model in which standard business cycle shocks lead to highly persistent movements around trend, without significantly altering the trend itself. The robustness of the trend also requires that scale effects are eliminated both in the long and short runs. In an estimated version of the model, a financial-type shock to the stock of ideas emerges as the key driver of the medium frequency cycle. The second paper, entitled “Learning from learners”, is an intervention into two long running debates: the first, on whether learnability may be used to rule out explosive paths for inflation in New Keynesian models, and the second, into whether Taylor rule parameters may be identified from observing the data. We find that in an economy populated with traditional macroeconomic learners, Taylor rule parameters can always be identified by sophisticated econometric techniques. Furthermore, when all agents in the economy use such sophisticated techniques, stationary sunspot solutions are readily learnable, and there is no guarantee of convergence to a stationary solution even in the “determinate” case. This implies that learnability cannot be used for equilibrium selection. Finally, in the third paper, “Efficient simulation of DSGE models with inequality constraints” (joint with Michael Paetz), we present a new algorithm for the simulation of models subject to inequality constraints, such as the zero lower bound on nominal interest rates. Our algorithm is shown to deliver higher accuracy than all other non-global algorithms, and leading speed. We go on to provide a number of applications of our algorithm.

Diese Doktorarbeit besteht aus drei Aufsätzen, in welchen die Reaktion von Finanzinstitutionen auf Geldpolitik analysiert wird. In dem ersten Aufsatz finde ich anhand eines Bayesian VAR, dass eine Erhöhung des Leitzinses zu einer zusätzlichen Kreditvergabe in Nichtbanken (NBFI) führt. Banken verleihen wie bereits bekannt weniger. Der Grund für die gegensätzliche Bewegung liegt in der unterschiedliche Art der Finanzierung. Dieser Befund legt nahe, dass die Existenz von NBFI die Volatilität der aggregierten Kreditvergabe zu geldpolitischen Schocks verringern könnte. Zusätzlich bietet die Analyse einen Erklärungsansatz für die Beobachtung, dass sich die Kreditvergabe seit der Finanzkrise stockend entwickelt hat. Im zweiten Aufsatz knüpfe ich an diese empirische Untersuchung an, indem ich ein theoretisches Modell mit unterschiedlichen Arten von Firmenfinanzierung entwerfe. Haushalte müssen sich zwischen festverzinsichlichen und erfolgsbedingten Sparmöglichkeiten entscheiden. Auf Grundlage des Modells von Bernanke, Gertler und Gilchrist (1999) mikrofundiere ich die Entscheidung über Unternehmensgründung in Form von Eigenkapitalinvestitionen. Im dritten Aufsatz entwickele ich ein geschätztes DSGE Modell mit Finanzierungsfriktionen, welches in der Lage ist, die empirischen Ergebnisse zu replizieren. Ich untersuche, wie sich die Regulierung von Schattenbanken auf eine Volkswirtschaft am ZLB auswirkt. Konsumvolatilität wird reduziert, wenn Schattenbankenkredite stattdessen von Banken vergeben werden. Alternativ dazu führt die Behandlung von Schattenbanken wie Investment Fonds dazu, dass eine Volkswirtschaft am ZLB eine mildere Rezession und einen schnelleren Austritt erlebt. Der Grund liegt darin, dass ein Nachfrageschock, der die Volkswirtschaft zum ZLB bringt, eine Reaktion hervorruft, die vergleichbar mit geldpolitischen Schocks ist, da am ZLB keine Möglichkeit der Leitzinsverringerung besteht. / This thesis consists of three essays that analyze the reaction of financial institutions to monetary policy. In the first essay, I use a Bayesian VAR to show that an increase in the monetary policy rate raises credit intermediation by non-bank financial institutions (NBFI). As is well known, credit intermediation by banks is reduced. The movement in opposite directions is explained by the difference in funding. This finding suggests that the existence of NBFI may decrease aggregate volatility following monetary policy shocks. Following this evidence, I construct a theoretical model that includes different types of funding in the second essay. Households face a savings choice between state contingent (equity) and non-state contingent (debt) assets. I use the financial accelerator model of Bernanke, Gertler and Gilchrist (1999) as a basis and microfound the decision by which new net worth in entrepreneurs is created. A Bayesian estimation suggests a change in the survival rate of entrepreneurs, affecting impulse responses. The analysis suggests that models that use the financial accelerator should include endogenous firm entry if variables regarding household portfolios or shocks directly affecting firm net worth are considered. In the third essay, I develop an estimated monetary DSGE model with funding market frictions that is able to replicate the empirical facts. In a counterfactual exercise I study how the regulation of shadow banks affects an economy at the ZLB. Consumption volatility is reduced when shadow bank assets are directly held by commercial banks. Alternatively, regulating shadow banks like investment funds results in a milder recession during, and a quicker escape from, the ZLB. The reason is that a recessionary demand shock that moves the economy to the ZLB has similar effects to a monetary tightening due to the inability to reduce the policy rate below zero.

Gegenstand dieser Dissertation ist die Rolle fiskalischen Stresses auf die Größe des Staatsausgabenmultiplikators. Hierbei werden zuerst die Folgen von empirisch identifizierten Staatsausgabenschocks in Italien untersucht. Dies geschieht sowohl in einem Zustand mit hohen Risikospreads auf Staatsanleihen, als auch in einem Zustand mit niedrigen Risikospreads. Das Resultat ist, dass kumulative Multiplikatoren kleiner sind, wenn das Ausfallrisiko von Staatsanleihen hoch ist. Zweitens erklärt die Dissertation dieses empirische Resultat im Rahmen eines DSGE Models. Im Model verdrängt ein Anstieg der Staatsausgaben private Investitionen. Der Verdrängungseffekt wird durch fragile Banken und die Rolle aggregierten Risikos ausreichend verstärkt, so dass fiskalischer Stress zu sehr kleinen oder sogar negativen Multiplikatoren führen kann. Zuletzt untersuche ich die Rolle fiskalischen Stresses auf den Staatsausgabenmultiplikator unter der Nebenbedingung, dass die nominale Zinsuntergrenze bei null bindet. In diesem Szenario kann sich der Effekt fiskalischen Stresses ins Gegenteil verkehren und der Staatsausgabenmultiplikator groß werden. / This thesis examines the role of fiscal stress on the size of the government spending multiplier. First, it explores the dynamic consequences of empirically identified government spending shocks in Italy in a regime with high sovereign bond yield spreads and a regime with low spreads. It finds that cumulative multipliers are lower when sovereign risk spreads are high. Secondly, the thesis explains the empirical result of small government spending multipliers in times of high levels of fiscal stress in the context of a DSGE Model. In this model, an increase in government spending crowds out private investment. A fragile banking sector and aggregate risk amplify the crowding out of investment sufficiently to imply small multipliers in the presence of fiscal stress. Finally, I analyze the role of fiscal stress on the multiplier, when the economy is at the zero lower bound for nominal interest rates and find that in this scenario, the effect of fiscal stress is reversed and the government spending multiplier is large.

Univ., Diss.--Bonn, 2002. / Enth. 3 Beitr.

[pt] Quais devem ser a características da política monetária ótima sob comprometimento em uma situação de armadilha da liquidez global quando os Bancos Centrais não coordenam suas ações? Fazendo o uso de um modelo de economia aberta com dois países, fizemos um exercício numérico para endereçar essa questão e estudar as diferenças entre este caso e uma situação cooperativa, na qual as autoridades monetárias não estão somente preocupadas com a utilidade da população nacional, mas em vez disso maximizam uma medida de bem-estar global. Nossas descobertas apontam para diferenças nas características de dependência histórica e internacional da prescrição monetária em cada um dos casos observados. Também é feita uma análise de bem-estar do nosso experimento que sugere que um Banco Central local prefere, não só permanecer restrito pelo limite inferior zero da taxa de juros nominal por um período maior, mas também que o país estrangeiro saia dessa situação o quanto antes. Por fim, fazemos uma análise de robustez dos nossos resultados variando o tamanho de cada nação e o grau de substituição dos produtos produzidos em cada localidade. / [en] What should be the characteristics of the optimal monetary policy under commitment in the situation of a global liquidity trap when Central Banks do not coordinate their actions? Using a two-country open economy model, we perform a numerical exercise in order to address this question and study the differences between this setting and a cooperative situation, when monetary authorities are not only worried with the national household utility, but instead maximize a measure of world welfare. Our findings points towards differences of history and international dependence features of optimal monetary prescriptions in each of the observed cases. We also execute a welfare analysis of our experiment that suggests that a local Central Bank prefers, not only to stay restrained by zero lower bound (ZLB) on nominal interest rates for a longer period, but also that the foreign country exists this situation as early as possible. Lastly, we make a robustness analysis of our results varying the size of each nation and the degree of substitution of the composite goods produced in each locality.

This diploma thesis focuses on the use of inflation targeting as monetary policy regime in a situation of imminent deflation. The thesis is divided into three main parts. The first part introduces the basic mechanism of inflation targeting with its basic elements and describes its possible failure. The second part focuses mainly on the analysis of the economic factors which contributed to achieving the zero lower bound for the repo rate of CNB. The third part presents an alternative (unconventional) monetary policy instruments in case of achieving zero lower bound, in particular the use of the exchange rate. The end of the last part of this thesis analyzes the development of key macroeconomic indicators in the Czech Republic.

This diploma thesis is focused on unconventional monetary policy tools that individual central banks introduced into practise as a response to the global financial crisis. It is about quantitative easing policy, foreign exchange interventions with exchange rate commitment and negative interest rates. This thesis also deals with classical tools of monetary policy such as open market operations, discount tools, minimum requirement reserve or foreign exchange interventions. The aim of the thesis is to document the development of central banks policy and then to examine relationship of selected assets in comparison with balance sheet of Federal reserve systems with help of correlation coefficient. The thesis also deals with the thought how should behave in the zero lower bound environment and what are the pitfalls of unconventional monetary policy.

This thesis concerns the interaction of monetary and fiscal policy. Using New Keynesian model, we show the impact of fiscal expansion under different specifications of monetary policy rules. The analysis of the transmission of fiscal expansion focuses on the situation in which central bank's nominal interest rate reaches zero lower bound. We verify the economic model using vector autoregression based on data of the United States. The results of the theoretical and empirical research suggest that the influence of government spending on the product is greater at the zero lower bound.

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