The last ten years have been extremely challenging for both researchers in monetary economics and policymakers.The Global Financial Crisis of 2007-2009, in spite of its size and severity, was initially widely perceived in the Euro Area (EA) as an imported and transitory crisis: it was frequently predicted that the EA economy would recover once the US and the World Economy rebounded. Instead, after a brief period of recovery, the Euro Area was hit by the Sovereign Debt Crisis of 2011-12, a domestic crisis which widened the divide already existing between core and peripheral countries up to the point of threatening a break-up of the euro. Thanks to the bold monetary policy response of the ECB this fear gradually vanished, but the sudden fall in oil price and the uncertain economic outlook led to the low inflation period, particularly severe in the EA, in which inflation, both in terms of headline and core measures, is well below the ECB target of 2%. This prompted the ECB to launch its Quantitative Easing program, at the beginning of 2015, much later than what the FED implemented to offset the impact of the 2007-09 crisis.This dissertation consists of two different but interlinked parts, which contribute to the empirical literature on monetary policy, low inflation and the business cycle. The first part is composed by Chapters I and II, and it is devoted to analyse the EA economy, both before the Global Financial Crisis and during the most recent low inflation period. The second one, composed by Chapters III and IV, focuses on the US economy to evaluate the possible negative consequences of the extraordinary monetary stimulus undertaken by the FED. In particular, we study the risks for both price and financial stability of the effects of the so called lift-off, i.e. the gradual normalization of monetary stance. In the first Chapter, we provide novel evidence on the different effects of the ECB common monetary policy on euro-area core and peripheral countries even before the eruption of the crisis.We estimate a structural dynamic factor model on a large panel of Euro Area quarterly variables to take into account both the comovement and the heterogeneity in the EA business cycle, and we then simulate the model to investigate the possible existence of asymmetric effects of ECB monetary policy on member states' economies. Data stop before the eruption of the Global Financial Crisis in order to only assess conventional monetary shocks, which are identified by means of sign restrictions. Although the introduction of the euro has changed the monetary transmission mechanism in the individual countries towards a more homogeneous response, we find that differences still remain between North and South Europe in terms of prices and unemployment. These results are the consequence of country-specific structures, rather than of European Central Bank policies.In the second Chapter we use a Bayesian VAR model to analyse the transmission of global and domestic shocks in the euro area, with a particular focus on the drivers of inflation, especiallyin the recent period labeled as low inflation. We identify several shocks by means of sign restrictions, and we account for the role of ECB unconventional monetary policies by using a shadow interest rate. We document that the recent low inflation phase was not entirely attributable to falling oil prices, but also to slack in economic activity and to insufficiently expansionary monetary policy, because of the Zero Lower Bound of interest rates. Interestingly, we show that the launch of the ECB Quantitative Easing turned the monetary stance into more accommodative, preventing deflationary outcomes. In the third Chapter we provide an empirical evaluation of the existence of a "dark side" of monetary policy, i.e. the possibility that credit spreads abruptly rise following a monetary tightening, after being compressed by an extraordinary period of monetary easing. This would create a problematic trade--off for the central bank, as temporary monetary expansions might at once stimulate the economy and sow the seeds of abrupt and costly financial market corrections in the future in terms of risks for financial stability (Stein, 2014).We investigate this possibility using data for the US by exploiting non-linear methods to examine the propagation of monetary shocks through US corporate bond markets. Across different methodologies, we find that the transmission of monetary shocks is mostly symmetric. What is asymmetric is instead the impact of macroeconomic data releases: spreads respond more to bad news. Crucially, these responses anticipate economic slowdowns rather than causing them directly.However, empirical evidence points to the possibility of larger effects of expansionary monetary shocks depending on (i) the type of non-linear estimation technique (ii) the identification of the shock and (iii) the inclusion of unconventional measures in the analysis. Finally, in the fourth Chapter, we ask whether the FED has riskily delayed the exit from its large monetary easing, increasing the probability of a future inflationary burst. We do so by means of medium and larger scale Bayesian VAR, which we use for both structural analysis, i.e. the evaluation of monetary policy shocks, and forecasting, i.e. the running of counterfactuals and scenario analysis.We show that expansionary monetary policy did not trigger a large deviation of inflation from its steady state. Furthermore, the FED monetary stance is totally in line with the concurrent macroeconomic dynamics. Last, our model predicts that US core inflation will lie well below its 2% target in 2017, a finding only recently acknowledged by the FOMC projections. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

L’utilisation de modèles DSGE, construits à partir de comportements micro-fondés des agents économiques, s'est progressivement imposée aux institutions pour l'analyse macroéconomique du cycle d'affaires et l'évaluation de politiques, grâce à leur cohérence interne. La crise financière récente et la préoccupation que représente la persistance du chômage à un niveau élevé plaident en faveur de modèles qui tiennent compte des ajustements imparfaits de l'offre et de la demande sur les marchés du crédit et du travail. Pourtant, des modèles relativement rudimentaires dans leur représentation de ces marchés, comme celui de Smets et Wouters (2003-2007), reproduisent aussi bien les données que des modèles économétriques usuels. On peut donc légitimement s'interroger sur l'intérêt de prendre en compte ces frictions dans la spécification des modèles théoriques destinés à l'analyse économique opérationnelle. Dans cette thèse, je réponds à cette question en montrant que l'inclusion de mécanismes microfondés, spécifiques aux marchés du crédit et du travail peut modifier très significativement les conclusions obtenues à partir d'un modèle DSGE estimé, tant d'un point de vue positif que normatif. Pour cela, je construis un modèle à deux pays de la France et du reste de la zone euro, avec un reste du monde exogène, et l'estime avec et sans ces deux frictions, en utilisant une approche hayésienne. Par rapport aux modèles existant dans la littérature, je propose deux améliorations à la spécification du marché du travail. Premièrement, suivant Pissarides (2009), le salaire réel moyen est rendu rigide en supposant que seuls les nouveaux employés renégocient leur rémunération. Deuxièmement, le taux de participation sur le marché du travail est rendu endogène et le chômage involontaire, dans le sens où le bien-être des chômeurs est inférieur à celui des employés. L'inclusion de ce dernier mécanisme dans le modèle estimé fera cependant I'objet de travaux futurs.Afin de mettre en évidence les effets des frictions sur les marches du crédit et du travail, je soumets les quatre versions estimées du modèle à plusieurs exercices: une analyse en contributions des chocs structurels pendant la crise. L'évaluation de différentes règles de politique monétaire, la simulation contrefactuelle de la crise sous l'hypothèse d'un régime de change flexible entre la France et le reste de la zone euro et, enfin. la simulation de variante de TVA sociale. / Thanks to their internal consistency. DSGE models, built on microecoc behavor, have become prevalenl for business cycle and policy analysis in institutions. The recent crisis and governments' concern about persistent unemployment advocate for mechanism, capturing imperfect adjustments in credit and labor markets. However, popular models such as the one of Smets and Wouters (2003-2007), although unsophisticated in their representation of these markets, are able to replicate the data as well as usual econometric tools. It is thus necessary to question the benefits of including these frictions in theoretical models for operational use.ln this thesis, I address this issue and show that microfounded mechanisms specifiç to labor and credit markets can significantly alter the conclusions based on the use of an estimated DSGE model, fom both a positive and a normative perspective.For this purpose, I build a two-country model of France and the rest of the euro area with exogenous rest of the world variables, and estimate it with and without these two frictions using Bayesian techniques. By contrast with existing models, I propose two improvements of the representation of labor markets. First, following Pissarides (2009), only wages in new jobs are negotiated by firms and workers, engendering stickiness in the average real wage. Second, I develop a set of assumptions to make labor market participation endogenous and unemployment involuntary in the sense that the unemployed workers are worse-off that the employed ones. Yet, including this setup in the estimated model is left for future research.Using the four estimated versions of the model, I undertake a number of analyses to highlight the role of financial and labor market frictions : an historical shock decomposition of fluctuations during the crisis, the evaluation of several monetary policy rules, a counterfactual simulation of the crisis under the assumption of a flexible exchange rate regime between France and the rest of the euro area and, lastly, the simulation of social VAT scenarios.

This paper examines the synchronization of business cycles across the G7 countries during US recessions since the 1870's. Using a dynamic measure of business cycle synchronization, results depend on the globalisation period under consideration. On average, US recessions have significantly positive effects on business cycle co-movements only in the period following the breakdown of the Bretton Woods system of fixed exchange rates, while strongly decoupling effects among the G7 economies are documented during recessions that occurred under the classical Gold Standard. During the 2007-2009 recession, business cycles co-movements increased to unprecedented levels. (author's abstract) / Series: Department of Economics Working Paper Series

AL’objectif de cette thèse est de tester la corrélation des cycles économiques entre les pays développés et les pays émergents, et de déterminer, en outre, l’importance relative des mécanismes causaux de la synchronisation/désynchronisation cyclique entre ces deux groupes de pays. Il s’agit notamment d’examiner comment les phases cycliques qui secouent les pays avancés se transmettent aux pays émergents. En étudiant les relations économiques entre les pays avancés et les pays émergents, nos résultats montrent qu’il existe une synchronisation cyclique entre les deux groupes de pays, mais aussi, en même temps, un découplage partiel des cycles conjoncturels entre un nombre limité de ces deux groupes de pays, notamment l’Inde et la Chine. Les circuits commerciaux et les canaux financiers sont les déterminants principaux de la synchronisation cyclique entre les pays développés et les pays émergents, en tenant compte d’une importance relative des facteurs financiers. Ce résultat nous a amené à analyser plus en profondeur les aspects financiers. Ainsi, on a étudié, en premier lieu, l’indice des turbulences financières. On observe qu’il existe une forte corrélation entre les troubles financiers des pays avancés et ceux des pays émergents. On a également testé, en second lieu, la synchronisation cyclique sous les différents régimes de change. On constate que les économies émergentes qui adoptent un régime de change intermédiaire sont les plus synchronisées, parce qu’il existe un lien entre corrélation cyclique et comportement des réserves de change. Ces dernières arrivent à leur pic dans un régime de change intermédiaire, ce qui est probablement dû aux relations intenses avec l’Europe et les Etats-Unis qui atteignent leur plus haut niveau sous un système intermédiaire de changes / The aim of this thesis is to analyze business cycles correlation between developed and emerging countries, and to determine the relative importance of causal mechanisms of synchronization/desynchronization between these two groups of countries. The business cycles across countries: divergence or convergence? How cyclical phases that shake the developed countries are transmitted to emerging countries ? By examining the economic relations between advanced and emerging countries, our results show that there is business cycles synchronization between the two groups of countries, but also at the same time, a partial decoupling of business cycles between a limited number of these two groups of countries, particularly India and China. Trade integration and financial channels are the main determinants of cyclical synchronization between developed countries and emerging economies, with a relative importance of the financial factors. This result led us to analyze, further, the financial aspects. Thus, we studied in the first place, the financial stress index. It is observed that there is a strong correlation between financial turmoil of developed countries and emerging countries. It was tested, in the second place, the cyclical synchronization under different exchange rate regimes. It appears that emerging economies that adopt an intermediate exchange rate regime are more synchronized because there is a link between their cyclical correlation and their international reserves behavior. These arrive at their peak under an intermediate exchange rate regime, probably due to the intense relations with Europe and the United States, which reach their highest level under an intermediate exchange rate system.

This dissertation presents the results of research focused on the Austrian business cycle theory (ABCT). The main part of the thesis is an econometrical test of five predictions based on ABCT. I used data on the US economy for period 1967 - 2016, which is the longest time period covered in the Austrian empirical literature so far. Since one of the most important variables for ABCT is so called interest rate gap (the difference between market interest rate and natural interest rate), I use three alternative models of this variable. The results of my empirical tests predominantly confirm theoretical predictions of ABCT. It can be shown that the interest rate gap influenced the relative structure of economic activity and resource allocation in a way predicted by ABCT. I also investigate whether the interest rate gap does have a significant impact on stock market valuations (in terms of aggregate level or relative structure), although the results are mostly statistically insignificant. In addition I also described several possible new distortions which may emerge due to unconventional monetary policy. I argue that these distortions should be of primary interest for researchers engaged in the Austrian research program. I devoted special attention to the specifics of monetary policy regime in Japan, where the Bank of Japan regularly intervenes on the stock market. Another theoretical contribution can be found in the second chapter where I respond to the White's (1999) claim that Hayek implicitly repudiated his own version of ABCT in later part of his career, when proposing free competition in money production. I attempt to show that White's conclusion stems from an inadequate interpretation of Hayek's writings. Finally I provide an alternative interpretation of Hayek's work that reveals the compatibility of his early and late theoretical contributions.

Today’s household debt consists for the most part of credit money, and this general phenomenon does not only occur in Sweden. Money in the economy is mostly created by private banks, as much as 97 percent of the money in the United States, while central banks only create a very small share of all money. This is the reason for the oppressed household debt. During this period of high debt in Sweden, the household consumption has also increased in comparison to earlier years. The aim is to study and compare how the money supply in two different full-reserve systems, the Austrian through convertibility and the Chicago plan through quantity control, would reduce the household debt in relation to today’s fractional system. The method used in this study is a time series analysis where data of Sweden’s household debt, savings, money supply; M1 and M3, GDP, assets, currency reserves, gold reserves and interest rates has been collected for the years 2005-2013. These are further examined in three different equations. The data for all the variables was collected from SCB, IMF, Ekonomifakta and the World Data Bank. The first theory that is used in this study is Wicksell’s cumulative process which will explain how the money supply M3 affects household debt in today's fractional reserve system. The second theory is the Austrian Business Cycle Theory which will examine the money supply M1 effect on household debt through full reserves by convertibility control. The third theory is the Friedman rule, where the effect of household debt by money supply M1 will be examined. This rule explains how the Chicago Plan is affecting household debt through a full reserve system by quantity control. In the both systems, fractional reserves and full reserves, the debt will increase in this study. The result shows that with full reserves, the household debt would be backed by savings in comparison to fractional reserves, where household debt would be backed by credit money. Therefore, full reserves would contribute to a healthier economy in contrast to today’s fractional system. Since it would involve a large cost for Sweden to transcend to an Austrian system through convertibility, where price inertia would occur as well, the conclusion of this study is that the Chicago Plan, based on the quantity principle, is to prefer. / Största delen av hushållens skuldsättning består idag av kreditpengar, och detta generella fenomen finns inte bara i Sverige. Pengarna i ekonomin är för det mesta skapade av affärsbankerna, så mycket som 97 procent i USA, medan centralbanken endast skapar en liten del av dessa pengar. Detta är anledningen till de höga hushållsskulderna. Under den här perioden av hög skuldsättning i Sverige så har även hushållens konsumtion ökat i förhållande till tidigare år. Syftet med denna studie är att jämföra hur penningmängden i två olika hundraprocentiga reservsystem, den österrikiska konjunkturcykeln, genom konvertibilitet, och Chicago planen, genom kvantitetskontroll, skulle reducera hushållens skulder i relation till dagens bråkdelsreservsystem. Metoden som används i denna studie är en tidsserieanalys där data från hushållens skulder, sparande, penningmängd; M1 och M3, BNP, tillgångar, guldreserver, valutareserver och repo räntan har samlats in under åren 2005-2013. Dessa variabler är studerade i tre olika ekvationer och all data har samlats in från SCB; IMF, Ekonomifakta och the World Data Bank. Den första teorin som används är Wicksells kumulativa process som beskriver hur penningmängden M3 påverkar hushållens skulder i dagens bråkdelsreservsystem. Den andra teorin är den österrikiska konjunkturcykel teorin och kommer att undersöka penningmängden M1 effekt på hushållens skulder med ett hundraprocentigt reservsystem med konvertibilitetskontroll. Den tredje teorin är Friedmans regel, där effekten på hushållens skulder kommer att bli undersökt med hjälp av penningmängden M1. Denna regel förklarar hur Chicagoplanen påverkar hushållens skulder via ett hundraprocentigt reservsystem med kvantitetskontroll. Hushållens skuldsättning ökade i samtliga regressioner och resultaten visar att med hundraprocentiga reserver så skulle hushållens skulder vara backade med sparande, jämfört med bråkdelsreserver, där hushållens skulder skulle vara backade med krediter. Därför skulle hundraprocentiga reserver bidra till en mer välmående ekonomi. Eftersom det skulle tillkomma höga kostnader att övergå till ett österrikiskt system med konvertibilitet, så är slutsatsen av denna studie att istället implementera Chicagoplanen baserad på kvantitetsprincipen.

The aim of the thesis is to examine possible connections between economic results of public budgets, especially the most important part-state budget, and the course of the political cycle in Czech republic between years 1993 and 2015. The theoretical part is based on the Public choice theory, Theory of public finance and Political-business cycle theory. The practital part focuses on analysis of political situation in each political cycle and then on association with public and state budgets revenues and expenditures, their growth rate and the business cycle. Results of the analysis show that deficits of state budget are predominantly structural based. Moreover, a tendency to influence election results through released fiscal policy is also noticeable in some political cycles, which is consistent with the political-business cycle theory.

This thesis deals with the monetary theory of business cycles as presented by the so called Austrian school of economics. It analyzes the different economic effects of investments financed by saving as opposed to investments financed by credit expansion. It shows that in the latter case an unsustainable situation results in which economic actors try both to invest and to consume more at the same time, which is physically impossible. The result is recession and liquidation of malinvestments made during the boom. The thesis also provides an answer to critiques of the Austrian business cycle theory by proponents of the rational expectations hypothesis. Furthermore, a critique of traditional national income accounting measures, namely GDP, is put forward. These measures fail to adequately show the described cyclical changes in the economy's productive structure, e.g. the artificial boom and subsequent correction. Gross domestic revenue (GDR) is proposed as an alternative measure that adds the expenditure on intermediate products back to GDP. In the last part of the thesis GDR is calculated for the Czech economy.

This thesis describes an impact of credit risk management and credit risk regulation on the volume and quality of credits. Consequently there is an influence on economic activity of people and companies, price level and business cycle. In the thesis the basic principles of credit risk management and regulations are described. The volume of granted credit determines the probability of default. If there is an option to transfer a credit risk to the third party, volume of granted credits increases. The volume of credit depends also on the regulatory duty to hold an adequate amount of capital. In the case the banks find the way to diminish this regulatory capital, the volume of credit increases. Credit activity of banks boosts economic activity of people and companies and it has an impact on the price level. The option of credit risk transfer to the third party together with high saturation of credit market leads to taking higher risk by lenders. At the end it has an impact on the business cycle.

The aim of this diploma thesis is to empirically investigate the explanatory power of Austrian business cycle theory. My dataset consists of US quarterly time series within the period between 1971 and 2009. As regards the NBER classification, this dataset covers six complete business cycles, including the recent global financial crisis. Following Wainhouse (1984), Keeler (2001) and Bjerkenes et al. (2010) I use Granger causality as one of the primary tools of the analysis. Moreover I also add Impulse response functions to discover the direction of observed relationships. As regards my primary group of hypotheses I found significant empirical evidence for the connection between changes in interest rate and structure of production. The secondary group of hypotheses is less successful; however I found the very first empirical illustration of Garrison's version of ABCT.