1 |
Essays on macroeconomic networks, volatility and labor allocationChakrabarti, Anindya S. January 2015 (has links)
Thesis (Ph.D.)--Boston University / This dissertation comprises three chapters on the network structure of the economy
and its macroeconomic consequences. In the first two chapters, I analyze the relationship
between macroeconomic volatility of individual countries and the international trade network
the countries are embedded in. In the third chapter, I study the international migration
network. In the first chapter, I show a regularity that European countries occupying more
central positions in the intra-Europe trade network exhibit lower macroeconomic volatility.
Intuitively the trade network has a core-periphery structure and the core is more stable
than the periphery. This is puzzling because the core country is also more open to shocks
coming from all other countries, which increases volatility. This relationship is informative
in the context of the unsettled, classic debate on whether trade openness increases or
decreases country-level volatility. Rather than considering an aggregate measure like trade
openness, the idea of centrality provides a more comprehensive measure of the nature and
strength of trade linkages as well as the identity of the trade partners, all of which have
important effects on volatility. I construct a multi-country, multi-sector model subject to
idiosyncratic productivity and liquidity shocks, and fully characterize the trade network
generated in equilibrium. I calibrate the model to the European Union and I show that it
closely replicates the observed negative relationship.
Next, I extend the theory presented to incorporate a general network structure and its
effects on volatility. From an empirical perspective, I construct an instrument based on
geographic distance to establish the finding. From a theoretical perspective, I consider the
possibilities of missing linkages and stochastic weights in the trade networks.
The third chapter studies the European immobility puzzle. A theory of cross-country
migration is devised in the form of labor mobility based on regional and sectoral productivity
shocks in a multi-country, multi-sector setting. Differences across countries in
socio-cultural and institutional factors induce a friction on such labor reallocation process.
The model explains interstate migration network within the U. S. (frictionless benchmark)
well. When applied to Europe, the model predicts a sizeable missing mass of migrants.
Our estimates show this to be due to socio-cultural barriers.
|
2 |
The regional transmission of uncertainty shocks on income inequality in the United StatesFischer, Manfred M., Huber, Florian, Pfarrhofer, Michael January 2019 (has links) (PDF)
This paper explores the relationship between household income inequality and macroeconomic
uncertainty in the United States. Using a novel large-scale macroeconometric
model, we shed light on regional disparities of inequality responses to a national uncertainty
shock. The results suggest that income inequality decreases in most states, with a
pronounced degree of heterogeneity in terms of the dynamic responses. By contrast,
some few states, mostly located in the Midwest, display increasing levels of income
inequality over time. Forecast error variance and historical decompositions highlight
the importance of uncertainty shocks in explaining income inequality in most regions
considered. Finally, we explain differences in the responses of income inequality by means
of a simple regression analysis. These regressions reveal that the income composition as
well as labor market fundamentals determine the directional pattern of the dynamic responses. / Series: Working Papers in Regional Science
|
3 |
ESSAYS ON DYNAMIC MACROECONOMICSLUBELLO, FEDERICO 05 May 2015 (has links)
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.
|
4 |
[en] ESSAYS ON MONETARY POLICY AND BUSINESS CYCLES UNDER MARKET IMPERFECTIONS / [pt] ENSAIOS SOBRE POLÍTICA MONETÁRIA E FLUTUAÇÕES ECONÔMICAS NA PRESENÇA DE IMPERFEIÇÕES DE MERCADOMARCO ANTONIO FREITAS DE HOLLANDA CAVALCANTI 11 July 2007 (has links)
[pt] Os ensaios que compõem a presente tese investigam, no
contexto
de modelos monetários de equilíbrio geral nos moldes
novo-
keynesianos,
algumas questões de interesse relativas condução da
política monetária e às
características das flutuações macroeconômicas. O
primeiro
ensaio analisa
as propriedades das políticas ótimas de desinflação,
buscando determinar
as condições sob as quais: (i) a trajetória ótima de
desinflação envolve
perdas substanciais de produto; (ii) uma estratégia de
desinflação rápida é
preferível a uma desinflação gradual. De acordo com os
resultados obtidos,
a existência de diferentes graus de fricções monetárias
e
de inércia no
produto e na inflação permite justificar diferentes
trajetórias ótimas de
desinflação, algumas envolvendo queda rápida e indolor
da
inflação, outras
associadas a lenta redução das taxas inflacionárias
acompanhada de forte
recessão. No segundo ensaio, investiga-se a relação
entre
as imperfeições
no mercado de crédito e o grau de amplificação de
choques
na economia
associado ao chamado acelerador financeiro. A partir de
simulações de
um modelo teórico que incorpora dois tipos de fricções
no
mercado de
crédito, conclui-se que a potência do acelerador
financeiro na amplificação de
choques monetários pode aumentar ou diminuir com as
fricções do mercado
de crédito, dependendo do nível inicial e do tipo de
imperfeição considerada.
O último ensaio investiga empiricamente a relação entre
imperfeições no
mercado de crédito, amplificação de choques e
volatilidade
macroeconômica
a partir de um painel de dados sócio-econômicos para 62
países. De acordo
com os resultados obtidos, que são consistentes com o
modelo desenvolvido
no segundo ensaio, a volatilidade macroeconômica varia
de
forma não-
monotonica com o viés anticredor do sistema jírídico-
legal, mas parece
aumentar com os custos de cumprimento de contratos / [en] This thesis consists of three essays on economic
fluctuations and
monetary policy issues, which are investigated within New-
Keynesian
monetary general equilibrium models. The first essay
analyzes the properties
of optimal disinflation policies, seeking to identify
conditions under which:
(i) the optimal disinflationary path involves significant
output losses; (ii) a
rapid disinflation is preferable to a gradual one.
According to our results,
different degrees of monetary frictions and inertia in
output or inflation
may lead to different optimal disinflationary policies -
some of which will
be quick and painless, while others will proceed slowly
and generate deep
recessions. The second essay investigates the relationship
between credit
market imperfections and the degree of shock amplification
arising from the
so-called financial accelerator, by simulating a
macroeconomic model with
two types of financial frictions. According to our
results, the power of the
financial accelerator may either increase or decrease with
financial frictions,
depending on the source and initial level of such
frictions. The third essay
provides an empirical investigation of the relationship
between credit market
imperfections, shock amplification and macroeconomic
volatility, based on
socioeconomic data from a panel of 62 countries. According
to our results,
which are consistent with the theoretical model developed
in the second
essay, macroeconomic volatility seems to increase with
contract enforcement
costs, but varies non-monotonically with the degree of
anti-creditor bias
in the judicial and legal system
|
5 |
Financial Globalization and Macroeconomic Volatility: an Empirical Study of the Effects of Foreign Bank Presence on the Volatility of Consumption and GrowthCasula, Chiara January 2012 (has links)
Financial integration has been at the centre of a wide debate, especially with respect to its effects on stability, inequality and welfare. This thesis presents an empirical investigation on the relationship between financial integration and macroeconomic volatility. The present study takes advantage of the publication of a new database on integration in the banking industry, and estimates its effects on the volatility of output and consumption, on a set of 136 countries over the years 1996 to 2009, using regions and country fixed effects. The analysis focuses on the effect of foreign bank presence on macroeconomic volatility, and as a further application, on the effect of foreign bank assets on macroeconomic volatility. Furthermore, the present study will determine whether the findings change for Central and Eastern European Countries and the countries of the Commonwealth of Independent States. The main finding is that foreign bank presence is significantly related to the volatility of output, but it is not related to the volatility of private consumption growth. The original contribution of this paper is to empirically analyse data on foreign bank presence as proxies for financial integration, and to relate them to the volatility of output and consumption.
|
6 |
Trois essais sur la volatilité macroéconomique, la diversification productive, et les liaisons intersectorielles / Three essays in macroeconomic volatility, productive diversification, and inter-sectoral linkagesJoya, Mohammad Omar 09 November 2017 (has links)
Dans une série d'essais empiriques, cette thèse analyse les effets de la diversification productive sur la volatilité et la productivité dans les pays riches en ressources naturelles. Dans le premier chapitre, je montre que bien que les ressources naturelles affectent négativement la croissance économique en augmentant la volatilité, les pays riches en ressources peuvent compenser les effets déclencheurs de la volatilité des ressources en diversifiant leurs économies. Les pays dont la structure de production est initialement plus diversifiée, ou qui parviennent à se diversifier au cours de leur développement économique, sont susceptibles de bénéficier de leur dotation en ressources. Dans le deuxième chapitre, j’explique que les pays riches en ressources disposés à diversifier leurs économies pour stimuler leur productivité sont confrontés à deux choix; soit développer des industries axées sur les ressources, soit diversifier leur économie dans son ensemble vers de nouvelles activités qui ne dépendent pas nécessairement des ressources naturelles. L’analyse empirique montre que la diversification par les liens vers l’aval du secteur de l'exploitation minière ne conduit pas à des améliorations de productivité. En revanche, l'élargissement et la diversification de la structure de production dans son ensemble offrent des potentiels de croissance de la productivité à des niveaux de revenus plus élevés. Dans le troisième chapitre, j’analyse la relation entre la diversification et la volatilité du point de vue du réseau de production constitué par l’ensemble des liens d’approvisionnement entre secteurs. Je trouve que l'emplacement d'un secteur au sein du réseau et son influence sur d'autres secteurs ont des effets contradictoires sur le risque que les fluctuations subies par ce secteur génèrent une volatilité agrégée. Les secteurs situés dans des régions denses du réseau ont un effet atténuant sur la volatilité globale via les effets de substitution, tandis que ceux qui sont plus influents et au centre d'un réseau fortement asymétrique génèrent des fluctuations globales via les effets de contagion et les liaisons intersectorielles. Ceux-ci suggèrent que la répartition et la structure des liens interindustriels jouent un rôle important dans la façon dont la diversification conditionne l'impact des chocs idiosyncrasiques sur la volatilité globale. / In a series of empirical essays, this thesis looks at the various intertwining aspects of growth volatility and productive diversification in resource-rich countries. In the first chapter, I find that while natural resources adversely affect economic growth by increasing growth volatility, resource-rich countries can offset the volatility-triggering effects of natural resources by diversifying their economies. Countries that start off with more diversified production structure or are able to diversify as they develop are likely to benefit from their resource endowment. In the second chapter, I discuss the fact that resource-rich countries willing to diversify their economies are faced with dual policy options; to either develop resource-based industries, or diversify their economies as a whole into new activities not necessarily dependent on natural resources. The empirical analysis shows that diversification through downstream and forward linkages to mining does not lead to productivity enhancements. However, broadening and diversifying the production structure as a whole offer potentials for productivity growth at higher levels of income. In the third chapter, I look at the relation between diversification and volatility from a production network perspective, composed of input-output linkages across sectors. I find that the location of a sector within the production network and its influence on other sectors have conflicting effects on the risk that sectoral shocks lead to aggregate volatility. Sectors that are located in dense parts of the network have a mitigating effect on aggregate volatility via substitution effects, while those that are more influential and central in a strongly asymmetrical network generate aggregate fluctuations via contagion effects and inter-industry linkages. These suggest that the distribution and the network structure of inter-industry linkages play an important role into how diversification conditions the impact of idiosyncratic shocks on aggregate volatility.
|
Page generated in 0.0942 seconds