La thèse se compose de quatre chapitres, qui discutent les différents aspects d'élaboration de politique macroéconomique dans le contexte d'incertitude. Le premier chapitre est consacré à la politique monétaire robuste dans une union monétaire. Un grand nombre de recherches révèle l'importance de chocs spécifiques du pays pour la politique optimale dans une union monétaire. Cependant, ces chocs n'ont pas été étudiés par la littérature sur la politique optimale dans le contexte d'incertitude. Ainsi, le but principal de ce chapitre est de remplir cet espace et montrer que les asymétries entre les régions doivent être tenues en compte en élaborant la politique monétaire robuste. Dans notre recherche, nous utilisons un modèle New-Keynesian d'une union de deux pays qui est frappée par les chocs asymétriques. Pour ce modèle, nous tirons la politique monétaire robuste qui est raisonnablement bonne même pour le worst-case modèle. Nous trouvons l'effet d'atténuation d'incertitude en cas des chocs dans une région avec la plus forte stickiness des prix. Cela signifie que la banque centrale réagit à ces chocs moins agressivement quand l'incertitude est plus haute. Pour les chocs dans une région avec les prix plus flexibles, nous constatons une anti-atténuation effet de l'incertitude. Le deuxième chapitre explore le rôle de préférences gouvernementales incertaines dans un modèle d'interactions de politique monétaire et fiscale. Nous montrons que les effets d'incertitude de préférences sont liés à l'incertitude multiplicative de l'efficacité de politique. Si les effets de politiques monétaires et fiscales sont connus, l'incertitude de préférences n'alterne pas le résultat de symbiose d'interaction. Dans ce cas-là, l'inflation et la production sont égales à leurs cibles. L'incertitude multiplicative des effets de politique fiscale crée l'excès d'inflation. L'incertitude des effets de politique monétaire crée soit l'excès d'inflation soit l'excès d'inflation négatif avec la production plus haut que la cible et l'inflation plus bas que la cible. Dans ce cas-là, l'incertitude de préférences élargit la valeur absolue des excès. Après avoir étudié l'impact d'incertitude des excès de production et d'inflation, nous poursuivons les caractéristiques de bien-être dans l'équilibre et discutons le design optimale d'autorités pour les types différents d'incertitude. Le troisième chapitre étudie le rôle de l'information publique et privée dans les sociétés hétérogènes. La littérature qui étudie les impacts d'information sur le bien-être social est étendue. Néanmoins, la plupart de cette littérature est basée dans l'idée que l'économie est homogène, en signifiant que tous les agents sont frappés par les mêmes chocs fondamentaux. Dans ce chapitre nous développons une économie de deux régions avec les chocs idiosyncratiques. Pour ce modèle, nous élaborons l'équilibre, l'optimum social et régional et discutons les valeurs sociales, régionales et inter-régionales d'information. Après cela, nous appliquons cette méthodologie à un exemple de concours de beauté. Le dernier chapitre étudie des jeux de communication non-coopératifs étant joués par les autorités politiques dans une économie internationale. Chaque agent politique reçoit des signaux sur les chocs réels qui affectent les économies de pays. Cet agent peut révéler ou pas ces signaux reçus. Le modèle est caractérisé par un argument de concours de beauté dans l'utilité et des effets externes inter-régionales. L'équilibre non-coopératif n'est jamais caractérisé par opacité. La plaine transparence peut être le résultat d'équilibre et dans ce cas-là est Pareto-optimum. D'un point de vue normatif, opacité peut être Pareto-optimale: la valeur sociale d'information publique peut être négative dans les économies ouvertes aussi bien que dans les économies fermées. La révélation partielle est un résultat possible, mais jamais Pareto-optimu / The thesis consists of four chapters, which discuss the different aspects of macroeconomic policy elaboration under uncertainty.The first chapter is devoted to the robust monetary policy in a currency union. A great number of recent researches reveal the importance of country-specific shocks for the optimal policy in a currency union. However, these shocks have been completely overlooked by the literature on optimal policy under model uncertainty. Thus, the main purpose of this chapter is to fill this gap and to show that the asymmetries between regions have to be taken into account when elaborating robust monetary policy. In our research, we use a New-Keynesian model of a two-country currency union which is hit by asymmetric shocks. For this model, we derive the robust monetary policy which works reasonably well even for the worst-case model perturbations. We find the attenuation effect of uncertainty in case of shocks in a region with stronger price stickiness. This means that the central bank reacts to these shocks less aggressively when the extent of model uncertainty is higher. For the shocks in a region with more flexible prices, we find a anti-attenuation affect of model uncertainty.The second chapter discusses the optimal policy design in a game-theoretical framework. More precisely, this chapter explores the role of uncertain government preferences in a linear-quadratic model of fiscal and monetary policy interaction. We show that the effects of preference uncertainty are fastened on multiplicative uncertainty about the policy effectiveness. If the effects of fiscal and monetary policies on the economy are known, preference uncertainty does not alternate the symbiosis result of interaction. In this case, inflation and output are equal to their targets irrespective of the central bank and the government preferences. Multiplicative uncertainty about the fiscal policy effects creates the inflation bias. Multiplicative uncertainty about the monetary policy effects creates either standard inflation bias or negative inflation bias with output higher than the target and inflation lower than the target. In this case, preference uncertainty enlarges the absolute value of the output gap, while the effect on the inflation gap depends on the extent of monetary multiplicative uncertainty. After studying the impact of uncertainty on inflation and output gaps, we proceed with the welfare properties of the equilibrium and discuss the optimal conservativeness of authorities for different types of uncertainty.The third chapter explores the role of public and private information in heterogeneous societies. The literature which studies the impacts of information on social welfare, is extensive. Nevertheless, most of this literature is based on the assumption of homogeneous economy, meaning that all the agents are hit by the same fundamentals shocks. In this chapter we develop a two-region economy with idiosyncratic shocks. For this model, we derive the equilibrium, social and regional optimum and discuss the social, regional and inter-regional values of information. After that, we apply this methodology to a beauty contest example.The last chapter studies non-cooperative communication games being played by policymakers in an international economy. Each policymaker receives signals on the real idiosyncratic shocks which affect the country economies. It has the choice of revealing or not the received signals. The model is characterized by a beauty contest argument in the utility function and cross-border real spillovers. The non-cooperative equilibrium is never characterized by no revelation. A full transparency outcome may be the equilibrium outcome and is then Pareto-optimal. From a normative point of view, no revelation may be Pareto-optimal: the social value of public information may be negative in international economies as well as in closed economies. Partial revelation schemes are possible outcomes but never Pareto-optimal.

The insights from the 2008 financial crisis were that the banking sector was in need of change of regulation. The period from 2008 and onwards has involved several changes, of which capital requirements, MREL requirements and the resolution tool are three main regulations which have been introduced. The question being asked is whether we are now in a new macroeconomic regime, or whether the previous market regime which still prevails. To answer the question, the regulation that was added after 2008 is examined, as well as how these have motivated strengthening financial stability. The empirical evidence underlying the analysis consists of documents published by relevant authorities acting or working with regulation and/or supervision of the financial sector. The study has been carried out via an idea analysis where empirical ideas are used to answer the question of which macroeconomic regime currently prevails. The former regime is referred to as the market regime and is characterized by a belief in efficient markets through deregulation, independent central banks and a belief in a free market as the key to financial development. The regime that emerges shows both similarities and differences with the market regime. The fundamental political ideology that prevailed under the previous regime persists even today, but at the same time there are indications of a breaking point in the regime. Today's regime is more restrictive and the view of responsibility has clearly changed. Market regime thus still prevails but in a new guise, which was named neo-market regime to describe the differences between the period before 2008 and the period after.

The aim of this thesis consist of three parts. Firstly, the aim was to developan accurate historical inflation index suitable for the insurance business, usinginformation about insurance matters. The calculated inflation index was compared to an in-house benchmark at the insurance company Gjensidige, it wasfound to be a good match. Secondly, to determine the best model for explainingthe Swedish CPI inflation shocks, the thesis employed Multi Linear, RandomForest and XGBoost Regression. Thirdly, feature importance estimation wasconducted to identify which macroeconomic variables that were the most important in explaining inflation. Also, a time lag analysis was implemented tobetter understand with what delay these features best explain the inflation. Theresults revealed that Random Forest and Multi Linear Regression were the mostsuitable model candidates in terms of performance and transparency based onthe available dataset. Furthermore, the study found that unemployment rate,interest rate, and energy were the most crucial features in explaining inflation.It was also found that features with a low time lag entailed a high importance.The belief is that the study’s findings can assist insurance companies in developing a more agile product pricing process and sharpen their awareness towardsimportant macroeconomic variables. Overall, this study can be a valuable resource for insurance companies seeking to avoid underwriting risk and gain abetter understanding of the inflation’s underlying drivers.

AN ABSTRACT OF THE THESIS OFSamridha Jung Rana, for the Master of Science degree in Economics, presented on November 10, 2022, at Southern Illinois University Carbondale.TITLE: MACROECONOMICS AND ANAMOLIES AS DETERMINANTS OF STOCK RETURNSMAJOR PROFESSOR: Dr. Scott GilbertAbstract: There is no general support to explain the strong correlation between the macroeconomic variables and the Standard & Poor 500 index fund returns. This thesis sheds some light on how the macroeconomic variables have impacted the monthly returns on the Standard & Poor 500 over the last decade. Firstly, we introduce the Standard & Poor 500 index and various macroeconomic factors influencing the U.S. economy over the years. Subsequently, investigating the casualty relationship between the monthly rate of returns, the consumer-producer index, the industrial producer index, Money Supply, Unemployment, inflation rate, and the exchange rate. The methodology used in this study includes a stepwise multiple regression model, Johansen cointegration test, Dickey-fuller augmented test, Phillip perron test, and the Granger Causality test. Furthermore, investigating stock market anomalies that have been verified immensely, such as the day-of-the-week Effect and month-of-the-year Effect, has also been explored to see whether those anomalies still exist in recent times.

This dissertation analyses the impact of political and macroeconomic uncertainties on environmental outcomes and design of policy instruments.  The first essay examines how the rate of agricultural land expansion in tropical countries depends on the nature and persistence of new political regimes.  We use a novel panel data method that extends previous studies.  We find that both new autocratic and democratic regimes have accelerated the expansion of agricultural land, thus yielding support to some of the findings in the earlier literature.  Interesting differences emerge between regions, with the impact being most pronounced in Latin America.  The analysis is developed more formally using a simple competitive land use model with political regime dependent confiscation risk and agricultural subsidy policy.  The second essay evaluates the effectiveness of performance bonding for tropical forest concession management in achieving first and second best outcomes concerning reduced impact logging (RIL) standards.  As a novel contribution, this essay introduces a simple model of two-stage concession design, and focus on the impact of three complications: harvester participation constraints, government repayment risk, and imperfect enforcement.  We find several new and interesting results, in particular, imperfect enforcement and bond risk may deter implementation of bonding schemes as either the bond payment has to be set higher or the penalty mapping has to become more punitive.  Policy implications, including potential for mechanisms such as REDD+ in improving the bonding outcomes, and the degree of financial support required to guarantee full implementation of RIL, are also examined.  The third essay focuses on the relative performance of fixed versus intensity allowances in the presence of both productivity and energy price uncertainties.  Both allowance instruments achieve the same steady-state emissions reduction target of 20%, which is similar to the current policy proposals, and the regulator then chooses the allowance policy that has the lowest expected abatement cost.  We use a standard real business cycle (RBC) model to solve for the expected abatement cost under both policies.  Unlike previous studies, our results show that under a reasonable model calibration, fixed allowances outperform intensity allowances with as much as 30% cost difference. / Ph. D.

Since the 1960s, the Phillips curve has survived various significant changes (Kuhnian paradigm shifts) in macroeconomic theory and generated endless controversies. This dissertation revisits several important, representative papers throughout the curve's four historical, formative periods: Phillips' foundational paper in 1958, the wage determination literature in the 1960s, the expectations-augmented Phillips curve in the 1970s, and the latest New Keynesian iteration. The purpose is to provide a retrospective evaluation of the curve's empirical evidence. In each period, the preeminent role of the theoretical considerations over statistical learning from the data is first explored. To further appraise the trustworthiness of empirical evidence, a few key empirical models are then selected and evaluated for their statistical adequacy, which refers to the validity of the probabilistic assumptions comprising the statistical models. The evaluation results, using the historical (vintage) data in the first three periods and the modern data in the final one, show that nearly all of the models in the appraisal are misspecified - at least one probabilistic assumption is not valid. The statistically adequate models produced from the respecification with the same data suggest new understandings of the main variables' behaviors. The dissertations' findings from the representative papers cast doubt on the traditional narrative of the Phillips curve, which the representative papers play a crucial role in establishing. / Doctor of Philosophy / The empirical regularity of the Phillips curve, which captures the inverse relationship between the inflation and unemployment rates, has been widely debated in academic economic research and between policymakers in the last 60 years. To shed light on the debate, this dissertation examines a selected list of influential, representative studies from the Phillips curves' empirical history through its four formative periods. The examinations of these papers are conducted as a blend between a discussion on the methodology of econometrics (the primary quantitative method in economics), the role of theory vs. statistical learning from the observed data, and evaluations of the validity of the probabilistic assumptions assumed behind the empirical models. The main contention is that any departure of probabilistic assumptions produces unreliable statistical inference, rendering the empirical analysis untrustworthy. The evaluation results show that nearly all of the models in the appraisal are untrustworthy - at least one assumption is not valid. Then, an attempt to produce improved empirical models is made to produce new understandings. Overall, the dissertation's findings cast doubt on the traditional narrative of the Phillips curve, which the representative papers play a crucial role in establishing.

Macroeconomic stability is one of the most important national objectives in any country. However, economies are often subjected to a number of shocks (internal and external), which can be destabilising, produce volatility and make it difficult to achieve and maintain economic stability. Consequently, various policies are used to help deal with the various shocks that may affect the economy. Of all the available policies, monetary policy appears to have been ever more at the centre of macroeconomic policymaking. Meanwhile, for monetary policy to be effective, there is a need for a better understanding of the transmission mechanism, i.e., the process through which monetary policy decisions are transmitted into changes in real output and inflation. Whereas extensive research on the transmission mechanism has been conducted in developed countries, such work in developing countries, especially in Africa is lacking. This could be due to the fact that it was not long time ago, around the 1990s that countries in Africa started adopting the more modem central bank operations in a market-based economic and financial system characterised by indirect monetary policy. Such operations require an understanding of the transmission mechanism. Lack of empirical analysis of the monetary transmission mechanism in Botswana and developing countries of Africa in general, is the main motivating factor behind this thesis. The main objective of this thesis is, therefore, to estimate the transmission mechanism of monetary policy in Botswana. Three different, but complementary techniques (the Narrative Approach, Vector Autoregression (VAR) analysis and the Structural Approach involving the estimation of a small structural model for Botswana economy) are used. Results from these methods tell a consistent story and indicate that monetary policy in Botswana affects real output and inflation through the interest rate channel, while the exchange rate channel is not operational. The credit channel is also active but not strong. The structural approach also indicates that devaluation is contractionary in Botswana, but more research is necessary before firmer conclusions could be made.

This report, rooted in the conflict over the control of natural resource wealth, departs from the widely-accepted findings of two disparate literatures. First, while recent analyses correctly conclude that natural resources rents play a contingent role in development, this study deviates from the conventional wisdom attributing the variation of the resource curse to formal institutions. Secondly, as opposed to the recent wave of “political insurance” arguments that ascribe the creation of reforms to weak incumbents attempting to tie the hands of their successors, I argue that actors pursue similar institutional reforms for economic and political reasons. I build on these literatures by examining the commitment to a specific government institution—stabilization funds, which manage the fluctuations of natural resource rents and stop natural resource wealth from being a curse—across three natural resource-rich Latin American countries: Chile, Mexico and Venezuela. Paradoxically, because successful stabilization funds provide greater political benefits when rents are saved, I argue that these institutions only tie the hands of political successors from using rents for political purposes when they are created for economic purposes. / text

This Ph.D. thesis comprises of two parts. Part I develops a framework to provide insights into the understanding of several political macro-economy issues related to fiscal policy making. This framework links the overall macroeconomic performance to the public spending and borrowing decisions. The key feature of this framework is that it makes a distinction between productive (e.g. public investment) and non-productive public spending (e.g. popular spending). It is shown that a high level of political instability may lead to myopic and populist policies and may be associated with less favorable macroeconomic performance in terms of not only future output and inflation but also future popular spending. Part I also suggests an alternative channel for expansionary or Non-Keynesian fiscal contractions based on the productivity enhancing role of productive public spending. It is shown that if the incumbent government reduces popular (productive) spending rather than productive (popular) spending, then Non-Keynesian (Keynesian) effects are achieved. Furthermore, it is shown that the favorable effects of public investment depends positively on its quality in this framework. Moreover, the net effect of productive spending financed by borrowing on the next period&#039 / s macroeconomic performance depends on the benefits of productive spending relative to the costs of borrowing. Even under a capital borrowing rule higher public investment may yield unfavorable effects and also it may not necessarily prevent the strategic use of public investment, even though it prevents strategic debt accumulation. Part II investigates the effects of macroeconomic instability on capital accumulation and economic growth in the Turkish economy over the 1963-1999 period. Descriptive and econometric (time series) analyses suggest that macroeconomic instability not only deters capital accumulation and economic growth but it may also reverse the complementarity between public and private investment in the long-run.

nÃo hà / Este trabalho almeja avaliar se o desempenho das aÃÃes das empresas de alimento pode ser explicado pelos comportamentos das variÃveis macroeconÃmicas como PIB, taxa de juros Selic, taxa de cÃmbio, balanÃa comercial, taxa de desemprego, Ãndice de preÃo e Ãndice de confianÃa do consumidor. Utilizando os testes de Johansen para o perÃodo de 2004 a 2014 os resultados permitem inferir que a variÃvel PIB e balanÃa comercial, representada pela taxa de cobertura possuem cointegraÃÃes significativas nos comportamentos dos preÃos das aÃÃes e que algumas aÃÃes como a da empresa Minerva possuem fortes co-integraÃÃes com todas as variÃveis estudadas, conclui-se entÃo que as variÃveis macroeconÃmicas tÃm importÃncia significativa no desempenho das aÃÃes. / Este trabalho almeja avaliar se o desempenho das aÃÃes das empresas de alimento pode ser explicado pelos comportamentos das variÃveis macroeconÃmicas como PIB, taxa de juros Selic, taxa de cÃmbio, balanÃa comercial, taxa de desemprego, Ãndice de preÃo e Ãndice de confianÃa do consumidor. Utilizando os testes de Johansen para o perÃodo de 2004 a 2014 os resultados permitem inferir que a variÃvel PIB e balanÃa comercial, representada pela taxa de cobertura possuem cointegraÃÃes significativas nos comportamentos dos preÃos das aÃÃes e que algumas aÃÃes como a da empresa Minerva possuem fortes co-integraÃÃes com todas as variÃveis estudadas, conclui-se entÃo que as variÃveis macroeconÃmicas tÃm importÃncia significativa no desempenho das aÃÃes. / This work aims evaluates the performance of the shares of food companies can be explained by the behavior of macroeconomic variables such as GDP, Selic interest rate, exchange rate, trade balance, unemployment, price index and confidence index consumer. Using Johansen tests for the period 2004-2014 the results allow us to infer that the variable GDP and trade balance, represented by the coverage rate have significant cointegration the behavior of share prices and that some actions such as the Minerva company has strong cointegration with all variables, it follows then that macroeconomic variables have a significant influence on share performance. / This work aims evaluates the performance of the shares of food companies can be explained by the behavior of macroeconomic variables such as GDP, Selic interest rate, exchange rate, trade balance, unemployment, price index and confidence index consumer. Using Johansen tests for the period 2004-2014 the results allow us to infer that the variable GDP and trade balance, represented by the coverage rate have significant cointegration the behavior of share prices and that some actions such as the Minerva company has strong cointegration with all variables, it follows then that macroeconomic variables have a significant influence on share performance.