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京都大学 / 0048 / 新制・課程博士 / 博士(経済学) / 甲第18036号 / 経博第489号 / 新制||経||268(附属図書館) / 30894 / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 柴田 章久, 教授 中嶋 智之, 准教授 敦賀 貴之 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DFAM

This diploma thesis examines parallel and differences between the interwar Great depression and the financial crisis of 2007. Comparison is made for United States and the thesis succes-sively deals with comparison of economic conditions measured by fundamental economic indicators and their behaviour and correlations. Next topic is cointegration analysis of money-income hypothesis for both periods. We reach the conclusion that economic situation and sta-bility were different. Furthermore, the thesis reveals monetary policy actions and role of fiscal stimulus. The last topic is comparison of regulation and liberalization of financial markets. On the contrary to the first part of thesis the issues solved in the second part showed that there were similarities between the Great depression and financial crisis.

The main research question of this dissertation is whether factors other than labor productivity can help to explain short-run fluctuations and medium-run trends in unemployment in Austria respectively Western Continental Europe. In the part on analyzing short-term-fluctuations I will set up a New Keynesian DSGE model with a richly specified labor market. This model will be used to compare how different labor market specifications fit to Austrian quarterly data. Most importantly, the Bayesian model comparison indicates an important role for nominal wage rigidities and for a timely response of employment to changes in vacancies. Furthermore, models with consensual determination of working hours ('efficient bargaining') tend to perform relatively well. The best model can reproduce the relative volatility of labor market tightness compared to labor productivity comparatively well. Moreover, shock decompositions show that fluctuations in Austrian labor market tightness are mainly driven by demand shocks and to a much smaller extent by productivity shocks. In the part on explaining medium-term-trends in unemployment I will set up a theoretical model and demonstrate that certain stylized facts can also be generated by an increase in international trade (and not only by skill-biased technological change). Furthermore I will show that a differential response of different industrial economies ('US' versus 'Continental Europe') might be due to characteristics of sectors which are not directly exposed to globalization.

In this thesis I apply modern econometric techniques on macroeconomic time series. Forecasting is here developed along several dimensions in the three chapters. The chapters are in principle self-contained. However, a common element is represented by the business cycle analysis. In the first paper, which primarily deals with the problem of forecasting euro area inflation in the short and medium run, we also compute the country-specific responses of a common business cycle shock. Both chapters 2 and 3 deal predominately with business cycle issues from two different perspectives. The former chapter analyses the business cycle as a dichotomous non-observable variable and addresses the issue of evaluating the euro area business cycle dating formulated by the CEPR committee, while the latter chapter studies the entire distribution of GDP growth. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished