Globally, China is the number one soybean importer, and the United States, Brazil, and Argentina are the top three soybean exporters. This research, based on the reverse residual demand model, developed and estimated a two-country partial equilibrium trade model to test who has stronger market power in the Chinese soybean import market. This two-country partial equilibrium trade model incorporates the U.S. residual soybean supply for China, the Chinese residual demand for U.S. soybeans, and the equilibrium condition, where the U.S. residual soybean supply equals the Chinese residual soybean demand. Data used in this research are monthly data from January 1999 to February 2005, 74 observations. Empirical results indicated that Chinese soybean importers have stronger market power relative to U.S. soybean exporters.This research also conducted the competitive analysis of the Chinese soybean import market by examining both annual and monthly data of Chinese soybean imports from the U.S. and South America (Brazil and Argentina). Results implied that the U.S. and South America are seasonal complementary soybean suppliers for China. Possible reasons include: 1) seasonal difference--the U.S. and South America have opposing growing seasons, i.e., different time periods to supply soybeans to markets; and 2) stronger market power of Chinese soybean importers–China's strategic choice, diversifying their soybean suppliers and reducing price increase risk, made the U.S. and South America complementary soybean suppliers to China.Additionally, this research compared the soybean export costs to China for the three countries. Results showed that Brazil has the greatest advantage for production costs, followed by Argentina and the U.S.; the U.S. has the greatest advantage for internal and international transportation and marketing costs, followed by Argentina and Brazil. In aggregate, the total soybean export costs for Brazil were the lowest and the export costs for Argentina were the highest, with U.S. costs between them.In terms of policy implications for the U.S. soybean industry facing strong competition from South America, we cannot expect that U.S. market share in the Chinese soybean import market can be expanded much. With the development of infrastructure in Brazil and Argentina, the U.S. advantage will become less and less. Therefore, if the U.S. soybean industry wants to keep its current position in the Chinese soybean import market, some governmental policy supports are still necessary.

Master of Science / Department of Agricultural Economics / Michael W. Woolverton / Globally, the majority of countries now use genetically modified (GM) soybeans to produce oil and meal for livestock and human consumption. Japan, however, uses only Non-GM soybeans for direct human consumption of which more than 80% are imported from the U.S., Canada, and China. This research used the inverse residual demand model to estimate a two-country partial equilibrium trade model to test the existence of market power in the Japanese Non-GM soybean import market. The two-country partial equilibrium trade model incorporated the U.S. residual Non-GM soybean supply for Japan, the Japanese residual demand for U.S. Non-GM soybeans, and the equilibrium condition, where the U.S. residual Non-GM soybean supply equals the Japanese residual Non-GM soybean demand. Monthly data from January 2003 to December 2007 were used for the analysis. Empirical results indicated that U.S. Non-GM soybean exporters have stronger market power than Japanese Non-GM soybean importers. The results also indicate that Japanese consumers are willing to pay higher prices for soybeans, tofu, natto, miso, and other all soy food products.

This thesis presents three papers within the field of dynamic macroeconomics. The first paper, entitled “Medium-frequency cycles and the remarkable near trend-stationarity of output”, presents a dynamic stochastic general equilibrium model with endogenous growth, capable of reconciling the observed large medium-frequency fluctuations in output, with its long run (near) trend-stationarity. This requires a model in which standard business cycle shocks lead to highly persistent movements around trend, without significantly altering the trend itself. The robustness of the trend also requires that scale effects are eliminated both in the long and short runs. In an estimated version of the model, a financial-type shock to the stock of ideas emerges as the key driver of the medium frequency cycle. The second paper, entitled “Learning from learners”, is an intervention into two long running debates: the first, on whether learnability may be used to rule out explosive paths for inflation in New Keynesian models, and the second, into whether Taylor rule parameters may be identified from observing the data. We find that in an economy populated with traditional macroeconomic learners, Taylor rule parameters can always be identified by sophisticated econometric techniques. Furthermore, when all agents in the economy use such sophisticated techniques, stationary sunspot solutions are readily learnable, and there is no guarantee of convergence to a stationary solution even in the “determinate” case. This implies that learnability cannot be used for equilibrium selection. Finally, in the third paper, “Efficient simulation of DSGE models with inequality constraints” (joint with Michael Paetz), we present a new algorithm for the simulation of models subject to inequality constraints, such as the zero lower bound on nominal interest rates. Our algorithm is shown to deliver higher accuracy than all other non-global algorithms, and leading speed. We go on to provide a number of applications of our algorithm.

Gegenstand dieser Dissertation ist die Rolle von Finanzmarktfriktionen für internationale Konjunkturzyklen und daraus resultierende Politikimplikationen. Die Analysen basieren auf Zwei-Länder DSGE Modellen mit international agierenden Finanzintermediären. Im ersten Aufsatz wird untersucht, ob der Anteil ausländischer Kapitalanlagen am Bankvermögen eine Rolle für die Übertragung von Schocks zwischen Ländern spielt. Es kann gezeigt werden, das dies von der Art des jeweiligen Schocks abhängt: Ein höherer Anteil ausländischer Kapitalanlagen führt nur dann zu einer höheren Synchronisierung von Konjunkturzyklen wenn letztere durch sogenannte Capital-Quality-Schocks verursacht werden. Im zweiten Aufsatz untersuche ich, ob es wohlfahrtssteigernd ist, unkonventionelle Geldpolitik zur Stabilisierung länderspezifischer Schocks in einer strukturell symmetrischen Währungsunion mit Finanzmarktfriktionen zu verwenden. Es wird gezeigt, das dies nicht immer der Fall ist: Wenn die Politikregeln auf Indikatoren beruhen, die hochkorreliert zwischen den Ländern sind, führen unionsweite Regeln zu höherer Wohlfahrt als länderspezifische. Der dritte Aufsatz liefert eine Erklärung für relativ geringe internationale Risikoteilung, verglichen mit dem was übliche Modelle, basierend auf dem hohen Grad an Finanzmarktintegration, vorhersagen: Ein internationales Portfolio, was von Finanzintermediären anstelle von Haushalten gewählt wurde, führt im gegebenen Modell zu suboptimaler Risikoteilung. / This thesis examines the role of financial frictions for international business cycles and policymaking in open economies. The analyses are based on two-country DSGE models with leverage-constrained financial intermediaries who can extend credit to home and foreign firms. In the first essay, I assess the role of banks’ balance sheet exposure to foreign assets for the cross-country transmission of shocks. It is shown that this role depends on the nature of a particular shock. Balance sheet exposure is essential for global co-movement in the case of capital quality shocks but does not play a decisive role conditional on other types of shocks. In the second essay, I analyze whether it is desirable to use unconventional monetary policy to stabilize country-specific shocks in a monetary union with financial frictions. It is shown that country-specific rules are not necessarily associated with higher welfare from the viewpoint of a structurally symmetric union. In particular, when the indicators of the rules are highly correlated, union-wide rules are preferable. In the third essay, I provide an explanation for the well-known puzzle that international consumption risk-sharing is relatively low compared to what theoretical models would predict given the high level of international financial-market integration. In particular, it is shown that a portfolio chosen by financial intermediaries instead of households does not necessarily yield the highest possible degree of international consumption risk-sharing.

This dissertation contains three essays in international macroeconomics and financial time series forecasting. In the first essay, I show, numerically, that a two-country New-Keynesian Sticky Prices model, driven by monetary and productivity shocks, is capable of explaining the highly positive correlation across the industrialized countries' inflation even though their cross-country correlation in money growth rate is negligible. The structure of this model generates cross-country correlations of inflation, output and consumption that appear to closely correspond to the data. Additionally, this model can explain the internal correlation between inflation and output observed in the data. The second essay presents two important results. First, gains from monetary policy cooperation are different from zero when the elasticity of substitution between domestic and imported goods consumption is different from one. Second, when monetary policy is endogenous in a two-country model, the only Nash equilibria supported by this model are those that are symmetrical. That is, all exporting firms in both countries choose to price in their own currency, or all exporting firms in both countries choose to price in the importer's currency. The last essay provides both conditional and unconditional predictive ability evaluations of the aluminum futures contracts prices, by using five different econometric models, in forecasting the aluminum spot price monthly return 3, 15, and 27-months ahead for the sample period 1989.01-2010.10. From these evaluations, the best model in forecasting the aluminum spot price monthly return 3 and 15 months ahead is followed by a (VAR) model whose variables are aluminum futures contracts price, aluminum spot price and risk free interest rate, whereas for the aluminum spot price monthly return 27 months ahead is a single equation model in which the aluminum spot price today is explained by the aluminum futures price 27 months earlier. Finally, it shows that iterated multiperiod-ahead time series forecasts have a better conditional out-of-sample forecasting performance of the aluminum spot price monthly return when an estimated (VAR) model is used as a forecasting tool.

Cette thèse comporte trois essais sur l'existence de cycles endogènes sous efficacité dynamique et compte deux thèmes. Le premier thème est traité dans le chapitre 2 et aborde la relation entre la structure industrielle et l'émergence de fluctuations endogènes. Le deuxième sujet est examiné dans les chapitres 3 et 4, et tente d'améliorer notre compréhension du rôle du commerce international sur l'existence de cycles endogènes.La première contribution analyse dans quelle mesure l'existence de bien durable et non-durable est associée à l'occurrence de cycles endogènes sous efficacité dynamique. Les résultats indiquent que des cycles endogènes existent si la part de la consommation des jeunes allouée au bien non durable est assez petite. Nous démontrons qu'une politique de stabilisation basée sur des taxes et transferts forfaitaires permet dans un même temps d'augmenter le bien-être des agents et de supprimer l'existence des cycles.La seconde contribution considère un modèle à générations imbriquées à deux facteurs, deux biens et deux pays. Cette approche est basée sur l'hypothèse d'immobilité des facteurs de production entre pays. On suppose également que les pays sont identiques en tout point excepté en leur taux d'escompte. Nous établissons à l'aide d'une simulation numérique que des cycles à deux périodes se propagent d'un pays à l'autre.La troisième contribution se situe dans un cadre proche du modèle du chapitre 3 mais se focalise sur des différences technologiques entre pays. Nous mettons en évidence par le biais de simulations numériques que le commerce international peut générer des cycles à deux périodes qui n'existaient pas en économie fermée. / This dissertation consists of three essays on the existence of endogenous cycles under dynamic efficiency and covers two different topics. The first one developed in chapter 2 addresses the relation between the structure of production and the occurrence of endogenous fluctuations. The second topic is developed in chapters 3 and 4, and tries to better understand the role of international trade on the emergence of sunspot cycles. These chapters explain that international trade may have a destabilizing effect.Chapter 2 examines how the existence of durable and non-durable goods are associated with the occurrence of endogenous cycles with dynamic efficiency. Main results indicate that sunspot fluctuations exist if young agents consume less non-durable goods than old agents. In this context, we show that a stabilization policy based on lump-sum taxes and lump-sum transfers allows to increase the welfare of agents and eliminate the existence of endogenous cycles.Chapter 3 analyzes a two-factor, two-good, two-country overlapping generations model. We assume that countries differ only with respect to their discount rate. We suppose that the factor of production are immobile across countries. Using a numerical simulation, we show that period-two cycles spread from one country to another.Chapter 4 considers a framework similar to the model of chapter 3 but with focus on asymmetric technology. We show through numerical simulations that the opening to international trade can create two-period cycles that can exist in the world economy even though the closed-economy equilibrium in each country is saddle-point stable.