Browsing by Author "Uribe, Martin"

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    Empirical Evaluation of DSGE Models for Emerging Countries
    (2009) Garcia Cicco, Javier

    This dissertation is the collection of three essays aimed to evaluate the empirical performance of dynamic stochastic general equilibrium (DSGE) models in explaining the behavior of macroeconomic dynamics in emerging countries.

    Chapter 1, which is joint work with M. Uribe and R. Pancrazzi, investigates the hypothesis that a real business cycles model driven by permanent and transitory productivity shocks can explain well observed business-cycle fluctuations in emerging countries. The model is estimated using more than a century of Argentine data.

    In Chapter 2, a comprehensive real DSGE model of an emerging country is estimated using Bayesian techniques, expanding the data set used in Chapter 1. The goal is to characterize the relative relevance of ten different business cycles' drivers: three sectorial technology shocks, embodied and disembodied non-stationary technology, terms of trade, the world interest rate, trade policy, government expenditures and the country premium.

    Finally, Chapter 3 estimates (using Mexican data) a DSGE model of an emerging country containing many frictions, as has been recently argued, that impose non-trivial constraints for monetary-policy design. In particular, the framework features a sectorial decomposition of the productive sector, intermediate inputs, imperfect pass-through, endogenous premium to finance capital accumulation, a liability-dollarization problem, currency substitution, price and wage rigidities, and dynamics driven by eleven shocks.

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    Essays in International Macroeconomics
    (2007-05-10T16:01:33Z) Liu, Xuan
    This dissertation consists of two essays in international macroeconomics. The first essay shows that optimal fiscal and monetary policy is time consistent in a standard small open economy. Further, there exist many maturity structures of public debt capable of rendering the optimal policy time consistent. This result is in sharp contrast with that obtained in the context of closed-economy models. In the closed economy, the time consistency of optimal monetary and fiscal policy imposes severe restrictions on public debt in the form of a unique term structure of public debt that governments can leave to their successors at each point in time. The time consistent result is robust: optimal policy is time consistent when both real and nominal bonds have finite horizons. While in a closed economy, governments must have both nominal and real bonds, and have at least real bonds over an infinite horizon to render optimal policy time consistent. The second essay uses a dynamic stochastic general equilibrium model to theoretically rationalize the empirical finding that sudden stops have weaker effects on outputs when the small open economy is more open to trade. First, welfare costs of sudden stops are decreasing in trade openness. The reason is that when the economy is more open to trade, the economy will have less volatile capital, which leads to less volatile output. In terms of welfare, when the small open economy is more open to trade, the welfare costs of sudden stops will be smaller. Second, sudden stops may be welfare improving to the small open economy. This is because when the representative household is a net borrower in the international capital market, its consumption will be negatively correlated with country spread. Since utility is a concave function of consumption, it must be a convex function of country spread. That is, when the country spread is more volatile, the mean utility is higher. The two findings are robust: they hold with one sector economy model, and two sector economy models with homogenous capital and heterogenous capital. In addition, this paper shows that a counter-cyclical tariff rate policy is not welfare-improving.