La contrazione della formazione di imprese dopo la crisi finanziaria del 2008 è stata in parte determinata dall'inasprimento degli standard creditizi. Incorporare l'imperfezione del mercato del credito nei modelli DSGE è diventato un passo essenziale verso una migliore spiegazione di tali risultati. Nel primo capitolo, indago sul ruolo del finanziamento esterno nella creazione d'impresa. Sottolineo l'impatto del potere di mercato delle banche e la presenza di dispersione tra i tassi di interesse dei grandi e dei piccoli prestiti all'ingresso. Pertanto, sviluppo un modello DSGE che collega l'ingresso dell'impresa al sistema bancario imperfetto e introduco costi di prestito eterogenei per operatori storici e nuovi. Il modello prevede un impatto amplificato degli shock reali e finanziari e mostra una maggiore volatilità man mano che lo spread dei tassi di interesse si allarga. In linea con l'evidenza, la versione sticky-price produce un'entrata prociclica in risposta allo shock monetario espansivo. Nel secondo capitolo, mi concentro sull'interazione tra i prezzi delle case, le insolvenze sui prestiti e l'ingresso di imprese. Presento prove SVAR che rivelano una risposta prociclica positiva della nascita allo shock dei prezzi delle case e una reazione negativa alle inadempienze sui prestiti. Quindi sviluppo un modello DSGE in grado di prevedere e spiegare queste risposte. L'endogeneità del vincolo collaterale e della creazione d'impresa è al centro del meccanismo del modello. Il modello genera dei secondi momenti ragionevolmente vicini alle controparti dei dati. / The contraction of business formation after 2008 financial crisis was driven partly by the tightened credit standards. Incorporating credit market imperfection to DSGE models became an essential step towards better explaining such outcomes. In the first chapter, I investigate the role of external financing in firm creation. I highlight the impact of bank market power, and the presence of dispersion between interest rates of large and small loans on entry. Therefore, I develop a DSGE model linking firm entry to imperfect banking system, and introduce heterogeneous borrowing costs for incumbents and entrants. The model predicts amplified impact of real and financial shocks, and exhibits higher volatility as the spread in interest rates gets wider. In line with evidence, the sticky-price version produces pro-cyclical entry in response to expansionary monetary shock. In the second chapter, I focus on the interaction between house prices, loan defaults, and firm entry. I present SVAR evidence that reveals positive pro-cyclical response of birth to house price shock, and negative reaction to loan defaults. Then I develop a DSGE model that is able to predict and explain these responses. The endogeneity of collateral constraint and firm creation is in the core of the model’s mechanism. The model generates some second moments that are reasonably close to their data counterparts.

Essay 1: Expectation-Driven House Prices, Debt Default and Inflation Dynamics We contribute to the literature on dynamic stochastic general equilibrium (DSGE) models with housing collateral by including shocks to house price expectations. We also incorporate endogenous mortgage defaults that are rarely included in DSGE models with housing collateral. We use this model to study the effects of variations in house price expectations on macroeconomic dynamics and their implications for monetary policy. Model simulations show that an increase in expected future house prices leads to a decline in mortgage default rate and interest rates on household and business loans, whereas it leads to an increase in house prices, housing demand, household debt, business debt, bank leverage ratio and economic activity. In contrast to previous studies, we find that inflation is low during a house price boom. Finally, we show that monetary policy that takes into account household credit growth reduces the volatility of output and dampens a rise in housing demand, household debt and bank leverage ratio that enhances financial stability. However, a central bank that reacts to household credit growth increases the volatility of inflation. / Essay 2: House Price Expectations, Boom-Bust Cycles and Implications for Monetary Policy This essay examines the role of household expectations about future house prices and their implications for boom-bust cycles and monetary policy. Our findings are as follows. First, waves of optimism and pessimism about future house prices generate boom-bust cycles in house prices, financial activities (household debt, business debt, bank leverage, interest rates on household and business loans) and the real economy (housing demand, consumption, employment, investment and output). Second, we find that inflation declines during a house price boom and increases during a house price burst. Third, we find that monetary policy that reacts to household credit growth reduces the magnitude of boom-bust cycles and improves household welfare. Fourth, we find that the case for taking into account household credit growth becomes stronger in an economy in which the bank capital to asset ratio requirement is low, interest rates on loans and deposits adjust immediately to changes in the policy rate, or the household sector is highly indebted. / Essay 3: Credit Disruptions and the Spillover Effects between the Household and Business Sectors This essay examines the effects of credit supply disruptions in a New Keynesian DSGE model with housing collateral and working capital channels. A tightening of business credit conditions creates negative spillovers from the business sector to the household sector through labor income and housing collateral channels. A tightening of household credit conditions has negative spillover effects on the business sector via the housing collateral channel. We find that spillovers are more sensitive to changes in leverage where the shock occurs. A negative business credit shock creates upward pressure on inflation, whereas a negative household credit shock creates downward pressure on inflation. The working capital channel magnifies the response of inflation to a business credit shock, whereas it dampens the response of inflation to a household credit shock.

本文嘗試利用兩國動態一般模型 (dynamic stochastic general equilibrium, DSGE)架構，分析資本市場存在的不對稱摩擦現象，藉由設定不同兩國債券調整成本的三種形式，模擬兩國總體變數在本國生產力衝擊下的影響分析。本文模型架構主要遵循Bergin et al. (2007)，文中廠商的商品訂價方式採生產者貨幣訂價 (producer currency pricing, PCP)，即廠商的訂價行為依照本國貨幣作為計價單位，透過名目匯率轉換為外國消費者面對的商品價格，單一價格法則 (the law of one price, LOP)在此訂價方式下成立；本文模型的商品訂價方式改採當地貨幣訂價 (local currency pricing, LCP)，本國廠商以當地貨幣作為計價單位訂定其商品價格，該訂價方式廣為近來文獻所採用，並符合已開發國家之訂價行為，故採用此訂價方式。 電腦模擬本文資本市場的三種不同設定，在本國生產力具有 的外生衝擊下，資本邊際生產力的提高致使本國廠商增加投資，代表性個人資金借貸的管道可透過本國債券與外國債券進行融通，而本國代表性個人在買賣本國債券時無需負擔債券調整成本，在購買外國債券時則需負擔債券調整成本，此一設定即在反映資金借貸的摩擦情形；變數的動態模擬結果顯示，資本市場的不對稱摩擦，將透過兩國間的經常帳變化條件，影響資金借貸的流通，對於兩國總體經濟變數具有顯著影響。

Negli ultimi dieci anni siamo stati testimoni di una delle più grandi crisi che il mondo ha visto. Il lavoro dei macroeconomisti è diventato più attivo, nell'urgenza di trovare la via d'uscita, molti degli strumenti applicati per la professione di economista sono stati rispolverati ed aggiornati per le nuove esigenze della crisi economica. Tra gli strumenti per la ricerca economica c'è lo modello dinamico stocastico di equilibrio generale (DSGE). Questa tesi è composta da quattro capitoli che coinvolgono l'intermediazione e/o politiche condotte dai governi o banche centrali finanziarie. I primi tre capitoli partono sul modello DSGE mentre l' ultimo su un modello macroeconomico principale-agente. Il primo (scritto come una rassegna delle principali indagini in DSGE) trata dei cicli di credito, di acceleratori finanziari, del mercato immobiliare, del settore bancario, dell'assunzione dei rischi e delle politiche monetarie. Il secondo analizza l'impatto delle variazioni tra il rapporto di leva e le riserve necessarie all'interno, che al giorno d'oggi regolano alcune delle politiche popolari. Il terzo capitolo incorpora un mercato dei prestiti interbancari per l'analisi degli shock di rischio generato nel settore bancario e come si sviluppa l'economia. Il quarto invece è un'indagine che si scosta dal modello macroeconomico principale-agente; comprende un governo attivo con le tasse e sussidi di disoccupazione. / During the last decade we were witness of one of the biggest crises that the world has seen. The job of the macroeconomists became more active, in the urgency for finding the way out; many of the tools applied for the economist profession were dusted off and updated for the new needs of the economic crisis. Among the tools for economic research there is the Dynamic Stochastic General Equilibrium Model (DSGE). This dissertation consists of four chapters involved in financial intermediation and/or policies conducted by the governments or central banks. The first three chapters depart from the DSGE model while the last is a macroeconomic agent based model. The first, written as a review of the main investigations in the DSGE, covers several fields as credit cycles, financial accelerator, housing market, banking sector, risk taking and monetary policies. The second chapter analyses the impacts of changes in the leverage ratio and the required reserves within, some of the popular regulation policies nowadays. The third chapter incorporates an interbank lending market for the analysis of risk shocks generated in the banking sector and how it is spread to the economy. The fourth chapter is an investigation that departs from the macroeconomic agent based model; it incorporates an active government with taxes and unemployment subsidies.

Este trabalho analisa se entre 2011 e 2016 a economia brasileira operou sob um regime de dominância fiscal ou de dominância monetária. Considerando que cada um destes regimes implica ações diametralmente opostas para a política econômica, a identificação de qual regime está em vigor é de fundamental importância para as autoridades fiscal e monetária. Para realizar esta avaliação, foram testados quatro modelos distintos, cada qual com uma estrutura particular que objetiva identificar sob qual regime a economia está operando. De modo geral, os resultados apontaram que durante o período de interesse predominou o regime de dominância monetária. Contudo, há sinais de que em determinados momentos a economia se encontrou próxima um regime de dominância fiscal, algo que implica em alterações na importância das políticas fiscal e monetária para o equilíbrio da economia. / This paper analyzes if between 2011 and 2016 the Brazilian economy operated under a regime of fiscal dominance or monetary dominance. Considering that each of these regimes implies diametrically opposed actions for the economic policy, the identification of which regime is in force is of fundamental importance for the fiscal and monetary authorities. In order to carry out this evaluation, four distinct models were tested, each one with a particular structure that aims to identify under which regime the economy is operating. In general, the results pointed out that during the period of interest the regime of monetary dominance prevailed. However, there are signs that at certain times the economy has found itself close to a regime of fiscal dominance, something that implies changes in the importance of fiscal and monetary policies for the equilibrium of the economy.

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-12T17:54:31Z No. of bitstreams: 1 FernandodaSilvaVinhadoTese2016.pdf: 4671491 bytes, checksum: 0135cb044ecbfc6e099af8cff5435e2d (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-12T17:54:50Z (GMT) No. of bitstreams: 1 FernandodaSilvaVinhadoTese2016.pdf: 4671491 bytes, checksum: 0135cb044ecbfc6e099af8cff5435e2d (MD5) / Made available in DSpace on 2017-04-12T17:54:50Z (GMT). No. of bitstreams: 1 FernandodaSilvaVinhadoTese2016.pdf: 4671491 bytes, checksum: 0135cb044ecbfc6e099af8cff5435e2d (MD5) Previous issue date: 2016-06-01 / This thesis consists of two studies investigating the relationship between monetary and macroprudential policy and the banking sector of the Brazilian economy. The first chapter seeks to find empirical evidence exploring a data structure in cross-section as a source of interrelations between systemic aspects of those policies and the behavior of banks. From estimations panel VAR there is evidence that monetary and macroprudential policies influence on the levels of exposure to financial risks, capital and financial stability of banks. It is observed that there is a complement between the instruments of those policies and the stabilization of inflation. Relationships involving banking metrics also reveal how the formation of capital buffers favors financial stability. This confirms the importance of the capital requirement as a tool to maintain a stable financial system. In the second section applies a DSGE modeling that combines different literatures as a way to examine how monetary and macroprudential policy shocks are conducted in noncompetitive banking. The findings show that despite the recessionary effect on credit and product, contractionary shock in interest rate and reserve requirement when pass through to the cost of bank credit in financial markets operating in imperfect competition, may cause an immediate increase in the spread and earnings of banks with increased formation of capital buffers, which favors the stability of the financial system. Further the relevance of a capital requirement of shock to the banking sector and real economy, the results also indicate that, due to different practices in reserve requeriments rules and / or the magnitude of the capital requeriment ratio, there may be different influences in the transmission of monetary and macroprudential policy shocks. This shows the relationship and the need for suitable coordination between policies. It is also noted that the study captures the effectiveness of macroprudential policy, for reserve requirement or capital requiremen / Esta tese ?? composta por dois estudos que investigam as rela????es entre pol??tica monet??ria e macroprudencial e o setor banc??rio da economia brasileira. No primeiro cap??tulo busca-se encontrar evid??ncias emp??ricas explorando uma estrutura de dados em cross-section como fonte de inter-rela????es entre aspectos sist??micos daquelas pol??ticas e o comportamento dos bancos. A partir de estima????es VAR em painel encontram-se evid??ncias de que as pol??ticas monet??rias e macroprudenciais exercem influ??ncia sobre os n??veis de exposi????o a riscos financeiros, capital e estabilidade financeira dos bancos. Observa-se que h?? um complemento entre os instrumentos daquelas pol??ticas e a estabiliza????o da infla????o. As rela????es envolvendo m??tricas banc??rias revelam tamb??m como a forma????o de buffers de capital favorece a estabilidade financeira. Isso ratifica a import??ncia da exig??ncia de capital como instrumento para manuten????o de um sistema financeiro est??vel. No segundo cap??tulo aplica-se uma modelagem em DSGE que combina diferentes literaturas como forma de examinar como os choques de pol??tica monet??ria e macroprudencial s??o conduzidos na atividade banc??ria n??o competitiva. Os achados mostram que apesar do efeito recessivo sobre o cr??dito e produto, choques contracionistas em taxa de juros e requerimento compuls??rio, quando repassados para o custo do cr??dito banc??rio em mercado financeiro operando em concorr??ncia imperfeita, podem provocar aumento imediato no spread e lucro dos bancos, com maior forma????o de buffers de capital, o que favorece a estabilidade do sistema financeiro. Al??m da relev??ncia de um choque de exig??ncia de capital para o setor banc??rio e lado real da economia, os resultados apontam tamb??m que, em raz??o de diferentes pr??ticas adotadas nas regras de compuls??rio e/ou na magnitude da meta do ??ndice de Basil??ia, pode haver diferentes influ??ncias na transmiss??o dos choques de pol??tica monet??ria e macroprudencial. Isso mostra a rela????o e necessidade de adequada coordena????o entre as pol??ticas. Ressalta-se tamb??m que o estudo captura a efic??cia da pol??tica macroprudencial, via requerimento compuls??rio ou exig??ncia de capital, como instrumentos complementares ?? taxa de juros de pol??tica no processo de estabilidade monet??ria.

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.

Cette thèse s'intéresse à étudier la politique de ciblage de l'inflation compte tenu des caractéristiques économiques et financières des économies émergentes. Depuis sa première adoption en adoption en 1990, la politique de ciblage de l'inflation a montré son efficacité en limitant la flambée des prix et en favorisant la croissance économique. Cependant, pour les marchés émergents, l'amélioration de leur performance économique reste faible par rapport aux économies développées. Ce résultat est du principalement aux caractéristiques de ces économies et à leur vulnérabilité économique et financière. Ce travail explore l'impact de deux importantes caractéristiques des marchés émergents, sur le choix de la politique monétaire. Il s'agit de la dépendance commerciale et de la dépendance financière. L'approche théorique de cette thèse montre que la Banque Centrale des économies émergentes a intérêt à adopter la politique de ciblage de l'inflation qui limite la transmission de l'inflation importée vers le niveau des prix domestiques. La thèse propose également une approche empirique qui cherche à identifier, d'une part, l'efficacité de la politique de ciblage de l'inflation et d'autre part, les facteurs qui peuvent influencer la volatilité des prix. Les résultats montrent, dans un premier temps, qu'il y a une amélioration de la performance des pays adoptant la politique de ciblage de l'inflation mais dans des proportions relativement faibles. Puis dans un deuxième temps, qu'un système monétaire, financier et budgétaire sain favorise la maîtrise de l'inflation.

In this thesis, I take a theoretical dynamic stochastic general equilibrium (DSGE) approach to investigate optimal aggregate dividend policy. I make the following contribution: 1. I extend the standard DSGE model to incorporate a residual dividend policy, external financing and default and find that simulated optimal aggregate payouts are much more volatile than the observed data when other variables are close to the values observed in the data. 2. I examine the sensitivity of optimal aggregate dividend policy to the level of the representative agent's habit motive. My results show that, when the habit motive gets stronger, the volatility of optimal aggregate payouts increases while the volatility of aggregate consumption decreases. This is consistent with the hypothesis that investors use cash payouts from well diversified portfolios to help smooth consumption. 3. I demonstrate that the variability of optimal aggregate payouts is sensitive to capital adjustment costs. My simulated results show that costly frictions from changing the capital base of the firm cause optimal aggregate dividends and real investments to be smooth and share prices to be volatile. This finding is consistent with prior empirical observations. 4. I run simulations that support the hypothesis that optimal aggregate dividend policy is similar when the representative firm is risk averse to when it has capital adjustment costs. In both cases, optimal aggregate dividends volatility is very low. 5. In all calibrated DSGE models, apart from case 4, optimal aggregate payouts are found to be countercyclical. This supports the hypothesis that corporations prefer to hold more free cash flows for potential investment opportunities instead of paying dividends when the economy is booming, but is inconsistent with observed data. Keywords: Dynamic Stochastic General Equilibrium (DSGE), real business cycle, utility function, habits, dividends.

Questo lavoro è diviso in tre capitoli. Il primo capitolo fornisce una rassegna della letteratura economica riguardo gli effetti della liberalizzazione finanziaria sulla volatilità macroeconomica e descrive il ruolo delle politiche macroprudenziali nel favorire stabilità economica. Il secondo capitolo presenta un modello dinamico e stocastico di equilibrio economico generale neo-keynesiano, con rigidità reali e nominali e LAMP, per studiare l'impatto della liberalizzazione finanziaria sulla volatilità macroeconomica. La liberalizzazione finanziaria è modellata lungo due direzioni: il margine estensivo (un aumento del numero di consumatori che accedono ai mercati finanziari) e il margine intensivo (un allentamento dei criteri patrimoniali richiesti alle famiglie per l'ottenimento di credito). In contrasto con la teoria convenzionale, i risultati suggeriscono che una maggiore liberalizzazione finanziaria comporta un aumento della volatilità macroeconomica in presenza di famiglie altamente indebitate. Il terzo capitolo presenta un'estensione del modello di Kyotaki e Moore (Credit Cycles (1997)) in grado di tenere in considerazione del ruolo dello "spread" tra il tasso interesse attivo e passivo nel meccanismo di trasmissione di shocks esogeni. Si studia in che modo il meccanismo di amplificazione garantito dalla presenza di mutuatari soggetti a vincoli di garanzia è modificato quando anche il prestatore è soggetto ad un vincolo di valore massimo sul credito erogabile (capital adequacy requirement). I risultati suggeriscono che un allentamento del "capital adequacy requirement" aumenta ulteriormente il meccanismo di trasmissione originale in risposta a shocks esogeni alla produttività. / This work is divided in three chapters. The first chapter provides an overview of the economic literature dealing with the effects of financial liberalization on macroeconomic volatility, and describes how macroprudential policy can be used to induce economic stabilization. The second chapter presents a New Keynesian DSGE model with real and nominal frictions and LAMP to study the implications of financial liberalization on aggregate volatility. Financial liberalization is modeled along the extensive margin (number of consumption smoothers) and the intensive margin (loan-to-value ratio). In contrast to the conventional view, our findings suggest that financial liberalization leading to highly leveraged households increases macroeconomic volatility. The third chapter presents an extension of the Kiyotaki and Moore model of Credit Cycles (1997): the original framework is augmented to account for the role of financial intermediation and interest rate spreads in the transmission of exogenous shocks. We study how the amplification mechanism guaranteed by the presence of collateralized borrowers is altered in the presence of the additional constraint faced by lenders. We find that if the lender's collateral constraint binds, loosening the capital adequacy requirement burdening on lenders increases the original amplification mechanism in response to exogenous productivity shocks through the interest rate spread.