This thesis consists of three essays on optimal monetary policy. In the first essay I study time-consistent monetary policy in an small open economy model with incomplete financial markets. I demonstrate the existence of two discretionary equilibria. The model is capable of explaining periods of different exchange rate volatilities as well as the transition between those regimes. Following a shock the economy can be stabilised either `quickly' or `slow', where both dynamic paths satisfy the conditions of optimality and time-consistency. I also show that a policy of partially targeting the exchange rate results in far worse welfare outcomes relative to a strict inflation targeting policy. In the second essay, I analyse how a policy maker can avoid expectation traps and coordination failures. Using a framework developed by Schaumburg and Tambalotti (2007) and Debortoli and Nunes (2010) in which a policy maker may or may not default on past promises I show that already mild degrees of precommitment are sufficient to generate uniqueness of the Pareto-preferred equilibrium. In the last chapter, I examine optimal monetary policy from an empirical perspective. I estimate a simple small open economy model separately for a policy maker acting under commitment and discretion and find that the data favours the commitment approach. Furthermore, the data suggest that the Bank of Canada did not target the nominal exchange rate in the inspected time period.

<p>In this dissertation I study the role of limited commitment in dynamic models. In the first part, I consider firms that face uncertainty shocks in a principal-agent setting but have only limited ability to commit to long-term contracts. Limited commitment firms expedite payments to their managers when uncertainty is high, a finding that helps to explain the puzzling large bonuses observed during the recent financial crisis. In the second part, I examine a dynamic investment model where firms invest in a risky asset but cannot hedge the risk of their investment because they lack the ability to commit to future repayments of debt. Once firms have access to exogenous supply of risk free assets they may, on the aggregate level, invest more in the risky asset because risk free technology allows them to grow richer in equilibrium. This result helps to explain the asset price booms in emerging countries when those countries experience substantial capital outflow.</p> / Dissertation

Submitted by Mateus de Lima Santos (santos.mateus.lima@gmail.com) on 2017-06-19T21:37:24Z No. of bitstreams: 1 An_Essay_on_Self_Enforcing_Debt.pdf: 523181 bytes, checksum: 177e70e82c09a7844b9d13faa7170c93 (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Boa tarde Mateus, Por favor, as palavras Agradecimentos, resumo e abstract em caixa alta e como o trabalho é em inglês o abstract vem antes do resumo. Grata. Suzi 3799-7876 on 2017-06-21T19:12:45Z (GMT) / Submitted by Mateus de Lima Santos (santos.mateus.lima@gmail.com) on 2017-06-21T19:27:43Z No. of bitstreams: 1 An_Essay_on_Self_Enforcing_Debt.pdf: 523679 bytes, checksum: 4401cc05ce8780c1fe7be31eb232b44a (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Mateus, Conforme conversamos ao telefone. Abs. Suzi on 2017-06-21T19:38:29Z (GMT) / Submitted by Mateus de Lima Santos (santos.mateus.lima@gmail.com) on 2017-06-21T21:12:07Z No. of bitstreams: 1 An_Essay_on_Self_Enforcing_Debt.pdf: 511332 bytes, checksum: 86afa158144a508b5aca51409f581b4f (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2017-06-21T21:19:14Z (GMT) No. of bitstreams: 1 An_Essay_on_Self_Enforcing_Debt.pdf: 511332 bytes, checksum: 86afa158144a508b5aca51409f581b4f (MD5) / Made available in DSpace on 2017-06-22T12:27:20Z (GMT). No. of bitstreams: 1 An_Essay_on_Self_Enforcing_Debt.pdf: 511332 bytes, checksum: 86afa158144a508b5aca51409f581b4f (MD5) Previous issue date: 2017-05-26 / We analyze repayment incentives in an infinite horizon competitive economy where agents cannot commit to financial contracts. We follow Bulow and Rogoff (1989) by assuming that a defaulting agent is excluded from borrowing forever but keeps the ability to save. Hellwig and Lorenzoni (2009) provide an important characterization result by showing that endogenous debt limits are self-enforcing and not-too-tight if, and only if, they form a rational bubble in the sense that they can be exactly rolled over at infinity. Our contribution is technical. We provide a rigorous and correct proof of this result without imposing any ad-hoc assumption on the endogenous debt limits. In that respect, we extend the result in Bidian and Bejan (2014). / Nós analisamos incentivos de repagamento em uma economia competitiva de horizonte infinito onde os agentes não podem se comprometer com contratos financeiros. Nós seguimos Bulow e Rogoff (1989) ao assumir que um agente que deu default é excluído da possibilidade de empréstimo para sempre mas mantém a possibilidade de poupança. Hellwig e Lorenzoni (2009) fornecem um importante resultado de caracterização ao mostrarem que limites à dívida endógenos são auto-sustentados e não muito restritos se, e somente se, eles formam uma bolha racional no sentido que podem ser exatamente rolados até o infinito. Nossa contribuição é técnica. Nós provemos uma prova rigorosa e correta desse resultado sem impor nenhuma condição ad-hoc nos limites à dívida endógenos. Nesse sentido, nós estendemos o resultado de Bidian e Bejan (2014).

Die Dissertation untersucht die Auswirkung fehlenden Commitments eines zentralen ökonomischen Akteurs in verschiedenen institutionellen Umfeldern. Aufsatz 1 bietet eine neuartige Erklärung für grobe Zertifizierung: Diese verringert die Anreize für Kollusion zwischen Zertifizieren und Zertifizierten. Kollusion wird verstanden als die Möglichkeit, gegen Bestechung, ein vorteilhaftes Zertifikat an einen Verkäufer zu vergeben. Konfrontiert mit einem Bestechungsangebot wägt der Zertifizier ab ob der kurzfristige Ertrag - in Form eines Bestechungsgeldes - die langfristigen Kosten – in Form des einhergehenden Reputationsverlustes – aufwiegt. Dabei erweist sich eine gröbere Zertifizierung als besonders nützlich um den kurzfristigen Ertrag zu reduzieren. Im zweiten Aufsatz werden optimale Vertragsmechanismen untersucht, wenn sich der Prinzipal nicht auf eine Auditstrategie verpflichten kann. Solche optimalen Mechanismen nutzen unparteiische Mediatoren aus. Die Verwendung eines Mediators ist profitabel, da somit Korrelation zwischen dem Report des Agenten und der Handlungsempfehlung an den Prinzipal erzeugt werden kann. Optimale Mechanismen verwenden zudem strikt mehr Verträge als Typen des Agenten, was unter vollständigem Commitment nie optimal sein kann. Der dritte Aufsatz beschäftigt sich mit Verträgen welche die Abwanderung von Unternehmen verhindern können. Der Regulierer kann sich dabei nur auf kurzfristige Verträge verpflichten und die Firmen können standortspezifische Investitionen tätigen. Wenn im Gleichgewicht Abwanderung permanent verhindert wird, dann werden keine Subventionen in der Zukunft gezahlt. Dies bedeutet, dass die Firma in Zukunft gar keinen Anreiz mehr haben darf abzuwandern. Um dies zu erreichen muss also der heutige Vertrag enorme Investitionsanreize setzen. Im Extremfall ist dann teurer Abwanderung zu verhindern wenn die Firma investieren kann, als im hypothetischen Fall ohne Investitionsmöglichkeit. / This dissertation studies the impact of a lack of commitment of a central economic actor in a given institutional environment. Essay 1 offers a novel explanation for the occurrence of coarse disclosure in certification: coarseness reduces the threat of collusion between certifiers and sellers. Collusion is understood as the possibility of selling a favorable certificate to a seller. Upon accepting a bribing offer, the certifier trades-off short-run gains – in form of the bribe – against long-run losses, from loosing reputation. Coarse disclosure is shown effective in reducing the short-run gain. The second essay studies optimal mechanisms in a contracting problem where the principal cannot commit to an auditing strategy. In this framework optimal mechanisms make use of an impartial mediator. Employing a mediator is strictly beneficial because it allows for correlating the agent’s report with the recommendation to the mediator. In general, optimal mechanisms use strictly more contracts than types, which would be not profitable under full commitment. The third essay studies contracts that avert relocation of a firm. The regulator can offer contracts only on a short-term basis, and the firm can undertake a location-specific investment. If in equilibrium relocation is permanently averted, then there are no future transfer payments. But this implies the firm cannot have an incentive to relocate in the future. Tom guarantee the latter, the initial contract has to provide string investment incentives. In the extreme, averting relocation with the firm’s possibility of investing becomes more costly than in the hypothetical case without an opportunity to invest.

L’offerta di servizi di microcredito da parte di istituzioni di microfinanza contribuisce ad aumentare l’accesso al credito di una clientela rurale ed accrescere l’efficienza dei mercati locali del credito? Questo studio prova a rispondere alla precedente domanda attraverso lo sviluppo di un modello teorico e l’analisi empirica sulla base di dati raccolti in un villaggio dell’Etiopia. In un mercato finanziario duale (formale/informale), il modello teorico indica che, nonostante non tutti i membri dell’ accordo informale ottengano un microcredito dall’intermediario formale, ogni membro dell’istituzione informale ne beneficia. Infatti, i membri che si trovano in condizione di deficit finanziario beneficiano direttamente di maggiori risorse derivanti dal prestito mentre gli altri membri godono di vincoli di partecipazione meno stringenti. Inoltre, quando il tasso di interesse sui prestiti formali si riduce, aumenta sia l’utilità dei prenditori di fondi che quella di tutti gli altri membri dell’istituzione informale. Gli intermediari formali sottraggono mercato alle istituzioni informali in una misura che dipende dall’ammontare del microcredito e dal tasso di interesse. I dati raccolti nel villaggio rurale etiope confermano solo parzialmente le considerazioni teoriche. In primo luogo, a causa di un diverso ammontare e di una diversa scadenza dei prestiti formali rispetto a quelli informali, nel villaggio i due mercati sembrano complementari. In secondo luogo, l’approccio del prestito di gruppo sembra replicare gli stessi processi di monitoraggio e selezione delle istituzioni informali e pertanto le famiglie a basso reddito rimangono vincolate nell’accesso al credito. In conclusione, se le istituzioni di microfinanza volessero operare con successo nelle aree rurali, dovrebbero, per prima cosa, studiare i processi di selezione dei membri all’interno delle istituzioni informali e, per seconda cosa, offrire una più ampia gamma di prodotti finanziari oltre al credito, come ad esempio prodotti di risparmio e prodotti assicurativi. / Does the provision of formal microcredit increase access to credit of rural clients and efficiency of credit markets? This study tackles this question through the development of a theoretical model and an empirical analysis in an Ethiopian village. In a dual (formal/informal) financial market, the theoretical model suggests that when some members of the informal arrangement get a formal loan, all members benefit from it. The agents who have a current deficit have greater financial resources whereas the agents who have an expected future deficit enjoy looser participation constraints. Furthermore, when the interest rate charged on formal loans decreases, the utility of not only borrowing members but all members in the arrangement increases. Besides, the formal market crowds out the informal market to some extent as long as the formal loan size increases or the interest rate decreases. Evidence from the rural village in southern Ethiopia only weakly confirms the theoretical results because of two reasons. First, due to different size and maturity of loans, the formal microcredit services and the informal risk sharing arrangements appear to be complements in the local market. Second, the group lending approach seems to replicate the same selection and monitoring processes of the informal arrangements and the low-income households remain constrained in their access to credit. Therefore, MFIs that want to operate successfully in rural areas should, first, make an assessment of self-selection processes in the informal arrangements and, second, provide a wider range of financial products besides credit, such as savings and insurance products.

Esta tesis trata sobre cómo la autoridad fiscal debe fijar los impuestos distorsivos de manera óptima. El capítulo 1 analiza el problema de la política fiscal cuando el gobierno tiene un incentivo a hacer default con su deuda externa. El capítulo 2 trata sobre el problema de la política fiscal cuando los agentes no conocen cómo el gobierno fija las tasas impositivas. La principal conclusión que obtengo es que, en ambos contextos, el resultado de suavidad de las tasas, que es estándar en la literatura de imposición óptima, se rompe. Cuando los gobiernos no tienen una tecnología de compromiso, los impuestos responden a los incentivos de default; cuando los agentes poseen información parcial sobre el modelo subyacente de la economía, los impuestos dependen de sus expectativas sobre los mismos. / This thesis is about how fiscal authority should optimally set dissorting taxes. Chapter 1 deals with the optimal fiscal policy problem when the government has an incentive to default on external debt. Chapter 2 deals with the optimal fiscal policy problem when households do not know how government sets taxes. The main conclusion I get is that, in each of these two contexts, the tax smoothing result, which is the standars result in the optimal taxation literature, is broken. When governments do not have a commitment technology taxes respond to the incentives to default; when agents have partial information about the underlying economic model, taxes depend on their beliefs about it.