Dissertations / Theses on the topic 'New Keynesian theory'

The NAIRU theory has become the mainstream theory in explaining unemployment in Europe and is often used to justify demands for a cutback of the welfare state, reducing unemployment benefits, reducing minimum wages, decentralizing collective bargaining etc. Close inspection reveals that it nonetheless shares some arguments with Post Keynesian and even Marxist theory. The paper proposes an underdetermined, encompassing NAIRU model, which is consistent with several theoretical tradtions. Depending on the closure with respect to demand formation and determination of the NAIRU itself, the model allows for New Keynesian, Post Keynesian and Marxist results. (author's abstract)
Series: Department of Economics Working Paper Series

Thesis (Ph. D.)--University of Oregon, 2002.
Typescript. Includes vita and abstract. Includes bibliographical references (leaves 110-113). Also available for download via the World Wide Web; free to University of Oregon users.

Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008.
Title from PDF t.p. (viewed on Jul 28, 2009). Source: Dissertation Abstracts International, Volume: 69-12, Section: A, page: 4808. Adviser: Eric M. Leeper.

Thesis (Ph. D.)--University of California, San Diego, 2007.
Title from first page of PDF file (viewed October 3, 2007). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 60-64).

xi, 87 p. : ill. A print copy of this thesis is available through the UO Libraries. Search the library catalog for the location and call number.
The behavior of the macroeconomy and monetary policy is heavily influenced by expectations. Recent research has explored how minor changes in expectation formation can change the stability properties of a model. One common way to alter expectation formation involves agents' use of econometrics to form forecasting equations. Agents update their forecasts based on new information that arises as the economy progresses through time. In this way agents "learn" about the economy. Previous learning literature mostly focuses on agents using a fixed data size or increasing the amount of data they use. My research explores how agents might endogenously change the amount of data they use to update their forecast equations. My first chapter explores how an established endogenous learning algorithm, proposed by Marcet and Nicolini, may influence monetary policy decisions. Under rational expectations (RE) determinacy serves as the main criterion for favoring a model or monetary policy rule. A determinant model need not result in stability under an alternative expectation formation process called learning. Researchers appeal to stability under learning as a criterion for monetary policy rule selection. This chapter provides a cautionary tale for policy makers and reinforces the importance of the role of expectations. Simulations appear stable for a prolonged interval of time but may suddenly deviate from the RE solution. This exotic behavior exhibits significantly higher volatility relative to RE yet over long simulations remains true to the RE equilibrium. In the second chapter I address the effectiveness of endogenous gain learning algorithms in the presence of occasional structural breaks. Marcet and Nicolini's algorithm relies on agents reacting to forecast errors. I propose an alternative, which relies on agents using statistical information. The third chapter uses standard macroeconomic data to find out whether a model that has non-rational expectations can outperform RE. I answer this question affirmatively and explore what learning means to the economy. In addition, I conduct a Monte Carlo exercise to investigate whether a simple learning model does, empirically, imbed an RE model. While theoretically a very small constant gain implies RE, empirically learning creates bias in coefficient estimates.
Committee in charge: George Evans, Co-Chairperson, Economics; Jeremy Piger, Co-Chairperson, Economics; Shankha Chakraborty, Member, Economics; Sergio Koreisha, Outside Member, Decision Sciences

External economic shocks cause domestic macroeconomic aggregates to fluctuate. This may call for a macroeconomic policy intervention. Since the early 1990s an increasing number of countries have adopted an inflation targeting framework. In reality, inflation targeters do not have perfect information when determining the interest rate in order to maintain their goal of price stability and stable economic growth. Therefore it is relevant to understand how shocks affect the domestic macroeconomic aggregates theoretically and investigate whether the theoretical predictions hold empirically. I use the New Keynesian model by Clarida, Galí and Gertler from 1999 and investigate explicitly the theoretical effects of expected and unexpected supply and demand-side shocks on the monetary policy instrument and the two monetary policy target variables – the interest rate, output gap and inflation rate. By analysing the impulse-response functions of a structural VAR model applied to quarterly Swedish and British data from 1994 to 2011, I test empirically the theoretical predictions according to the New Keynesian model. I find that the empirical results are in line with the theoretical predictions.

In my PhD thesis, I extend the basic New Keynesian (NK) model (Galí (2015), Woodford (2003)) on three distinct dimensions. (i) In the first chapter, I introduce endogenous money creation by private banks (``inside-money''). (ii) In the second chapter, I allow for a share of firms which face financial constraints, and I study how firm heterogeneity in terms of credit access affects monetary policy. (iii) In the third chapter, I analyze how the fiscal limit and the zero lower bound on the policy rate jointly constrain the optimal monetary-fiscal policy response to business cycle fluctuations. These extensions provide relevant insights for the ongoing review of monetary-policy frameworks.
Amplío el modelo básico basado en el Nuevo keynesianismo (Galí (2015), Woodford (2003)) en tres vertientes. (i) En el primer capítulo, introduzco la creación endógena de dinero por bancos privados. (ii) En el segundo capítulo, permito que una parte de las empresa pueda afrontar limitaciones financieras, y estudio cómo una heterogeneidad corporativa en relación al acceso crediticio afecta a la política monetaria. (iii) En el tercer capítulo, analizo cómo el límite fiscal y el nivel mínimo cero en la tasa de política monetaria, conjuntamente restringen la respuesta óptima de políticas monetaria y fiscal a las fluctuaciones cíclicas.

Thesis (Ph. D.)--Ohio State University, 2005.
Title from first page of PDF file. Document formatted into pages; contains xii, 106 p.; also includes graphics (some col.) Includes bibliographical references (p. 102-106). Available online via OhioLINK's ETD Center

Die vorliegende Dissertation zu makroökonomischen Themen beinhaltet einen einleitenden Literaturüberblick, drei eigenständige und voneinander unabhängige Kapitel sowie einen technischen Anhang. In Kapitel zwei wird ein Zwei-Länder Modell einer Währungsunion betrachtet, in dem die gemeinsame Zentralbank die Wohlfahrt der gesamten Währungsunion maximieren will, während die zwei fiskalpolitischen Akteure vergleichbare, aber minimal abweichende länderspezifische Verlustfunktionen zu minimieren suchen. Das Konkurrenzverhalten dieser drei Institutionen wird in sieben spieltheoretischen Szenarien analysiert. Beim Vergleich einer homogenen mit einer heterogenen Währungsunion lassen sich für letztere deutlich höhere Wohlfahrtsverluste relativ zum sozialen Optimum feststellen. Die Szenarien mit den geringsten Wohlfahrtsverlusten sind Kooperation aller drei Institutionen und eine Stackelberg-Führerschaft der Zentralbank. Kapitel drei untersucht, inwieweit das Verhältnis von Immobilienpreise zum Bruttoinlandsprodukt als langfristig konstant und nur auf Grund von Produktivitätsschocks von seinem Mittelwert abweichend angesehen werden kann. Hierzu wird ein Zwei-Sektoren RBC-Modell für den Immobiliensektor und einen Konsumgütersektor erstellt. Es wird gezeigt, dass ein antizipierter, zukünftiger Schock auf das Produktivitätswachstum im Konsumgütersektor eine sofortige, deutliche Erhöhung der Immobilienpreise relativ zum Bruttoinlandsprodukt zur Folge hat. In Kapitel vier wird gefragt, ob ein typisches Neukeynesianisches Modell "sechs große Rätsel der internationalen Makroökonomie" erklären kann. Die sechs Rätsel werden in Bedingungen für erste und zweite Momente übersetzt und fünf wesentliche Modellparameter geschätzt. Das Ergebnis ist erstaunlich gut: unter anderem können die empirischen Beobachtungen zur Heimatpräferenz wiedergegeben und die Schwankungsbreite des realen Wechselkurses deutlich erhöht werden. Handelskosten sind für dieses Ergebnis ein wesentlicher Faktor.
This dissertation consists of an introductory chapter with an extended literature review, three chapters on individual and independent research topics, and an appendix. Chapter 2 uses a two-country model with a central bank maximizing union-wide welfare and two fiscal authorities minimizing comparable, but slightly different country-wide losses. The rivalry between the three authorities is analyzed in seven static games. Comparing a homogeneous with a heterogeneous monetary union, welfare losses relative to the social optimum are found to be significantly larger in a heterogeneous union. The best-performing scenarios are cooperation between all authorities and monetary leadership. The goal of Chapter 3 is to investigate whether or not it is possible to explain the house price to GDP ratio and the house price to stock price ratio as being generally constant, deviating from its respective mean only because of shocks to productivity? Building a two-sector RBC model for residential and non-residential capital, it is shown that an anticipated future shock to productivity growth in the non-residential sector leads to an immediate large increase in house prices relative to GDP. In Chapter 4, it is asked whether a typical New Keynesian Open Economy Model is able to explain "Six Major Puzzles in International Macroeconomics". After translating the six puzzles into moment conditions for the model, I estimate five parameters to fit the moment conditions implied by the data. Given the simplicity of the model, its fit is surprisingly good: among other things, the home bias puzzles can easily be replicated, the exchange rate volatility is formidably increased and the exchange rate correlation pattern is relatively close to realistic values. Trade costs are one important ingredient for this finding.

Composée de deux parties et de quatre chapitres dans chaque partie, la première partie de la thèse examine la théorie du profit par la consommation nette (théorie-Cn) de George Reisman. La théorie-Cn fournit une grande partie du cadre analytique de Reisman, ainsi que des conclusions normatives sur la justice et la stabilité d'une économie capitaliste de marché libre. Nous examinons la prétention de cette synthèse à réconcilier l'approche classique et la dynamique de phénomènes généraux comme le profit et les salaires, la consommation et l'épargne, l'argent et le crédit. La formulation de cette théorie limite son attention aux coûts des entreprises (monétaire) et les conçoit comme dérivé des dépenses antérieures des entreprises pour des facteurs (main-d'oeuvre et capital), qui à leur tour sont financées par l'épargne. Contrairement à la théorie keynésienne, ici la consommation supplémentaire n'est ni suffisante ni nécessaire pour créer une demande supplémentaire de facteurs : elle y est antinomique. Des économies supplémentaires et des dépenses de production sont nécessaires, mais non suffisantes, pour qu'il y ait augmentation équivalente de la demande de facteurs de production. Et puisque les ventes englobent à la fois la demande de produits de consommation et la demande de facteurs de production des entreprises, les coûts ont tendance à être en retard sur les ventes. La différence qui en résulte entre les ventes et les coûts est égale au montant (global) et nous mène au taux de profit (moyen) gagné par les entreprises
Consisting of two parts and four chapters in each part, the dissertation, in the first part, sets forth and reviews the logical substance of George Reisman's netconsumption theory of profit (nc-theory). The nc-theory provides much of both Reisman's overall analytical framework as well as normative conclusions about the justice and stability of a free-market, capitalist economy. We examine the synthesis' claim to have reconciled the classical approach with the Austrian/neoclassical emphasis of the primacy of behavioral foundations of all economic phenomena. The theory's formula restricts its attention to business (money) costs and conceives of them as derivative of prior business expenditure for factors (labor and capital goods), which in turn is financed out of saving. In contrast to Keynesian economic where spending of any kind is sufficient to finance the demand for input factors, in the nc-theory additional consumption is neither sufficient nor necessary to create additional factor demand; indeed, it is positively antithetical to it. Additional saving and productive expenditure are a necessary, though not sufficient, condition for an equivalent increase in demand for input factors. And since sales encompass both the demand for consumers' goods as well as business' demand for factors while costs are a function of productive expenditure by business only, costs tend to lag behind sales. The resultant difference between sales and costs equals (aggregate) amount and provides the means to arrive at (average) rate of profit earned by business in total

Cette thèse s’articule autour de trois chapitres indépendants qui s’inscrivent dans les champs de la macroéconomie, de l’économie monétaire et de la finance internationale. Dans le premier chapitre, je construis un modèle néo-keynesien d’équilibre général sous incertitude pour examiner les implications de la production domestique des ménages pour la politique monétaire. Le modèle proposé permet de reconcilier deux faits empiriques majeurs: la forte sensibilité du produit intérieur brut aux chocs monétaires (obtenue à partir des modèles VAR), et le faible degré de rigidité nominale observé dans les micro-données. Le deuxième chapitre étudie le role de la transformation structurelle (réallocation de la main d’oeuvre entre secteurs) sur la volatilité de la production aggregée dans un panel de pays. Le troisième chapitre quant à lui met en exergue l’importance de la cartographie des échanges commerciaux pour le choix entre un régime de change fixe et l’arrimage à un panier de devises. "Household Production, Services and Monetary Policy" (Chapitre 1) part de l’observation selon laquelle les ménages peuvent produire à domicile des substituts aux services marchands, contrairement aux biens non durables qu’ils acquièrent presque exclusivement sur le marché. Dans ce contexte, ils procèdent à d’importants arbitrages entre produire les services à domicile ou les acquerir sur le marché, dépendamment des changements dans leur revenu. Pour examiner les implications de tels arbitrages (qui s’avèrent être importants dans les micro-données) le secteur domestique est introduit dans un modèle néo-keyenesien d’équilibre général sous incertitude à deux secteurs (le secteur des biens non durables et le secteur des services) autrement standard. Je montre que les firmes du secteur des services sont moins enclin à changer leurs prix du fait que les ménages ont l’option de produire soit même des services substituts. Ceci se traduit par la présence d’un terme endogène supplémentaire qui déplace la courbe de Phillips dans ce secteur. Ce terme croit avec le degré de substituabilité qui existe entre les services produits à domicile et ceux acquis sur le marché. Cet accroissement de la rigidité nominale amplifie la sensibilité de la production réelle aux chocs monétaires, notamment dans le secteur des services, ce qui est compatible avec l’évidence VAR selon laquelle les services de consommation sont plus sensibles aux variations de taux d’intérêt que les biens non durables. "Structural Transformation and the Volatility of Aggregate Output: A Cross-country Analysis" (Chapitre 2) est basée sur l’évidence empirique d’une relation négative entre la part de la main d’oeuvre allouée au secteur des services et la volatilité de la production aggrégée, même lorsque je contrôle pour les facteurs tels que le développement du secteur financier. Ce resultat aggregé est la conséquence des développements sectoriels: la productivité de la main d’oeuvre est beaucoup plus volatile dans l’agriculture et les industries manufacturières que dans les services. La production aggregée deviendrait donc mécaniquement moins volatile au fur et à mesure que la main d’oeuvre se déplace de l’agriculture et de la manufacture vers les services. Pour évaluer cette hypothèse, je calibre un modèle de transformation structurelle à l’économie américaine, que j’utilise ensuite pour générer l’allocation sectorielle de la main d’oeuvre dans l’agriculture, l’industrie et les services pour les autres pays de l’OCDE. Dans une analyse contre-factuelle, le modèle est utlisé pour restreindre la mobilité de la main d’oeuvre entre secteurs de façon endogène. Les calculs montrent alors que le déplacement de la main d’oeuvre vers le secteur des services réduit en effet la volatilité de la production aggregée. "Exchange Rate Volatility under Alternative Peg Regimes: Do Trade Patterns Matter?" (Chapitre 3) est une contribution à la litterature économique qui s’interesse au choix entre divers regimes de change. J’utilise les données mensuelles de taux de change bilatéraux et de commerce extérieur entre 1980 et 2010 pour les pays membre de l’Union Economique et Monétaire Ouest Africaine (UEMOA). La monnaie de ces pays (le franc CFA) est arrimée au franc Francais depuis le milieu des années 40 et à l’euro depuis son introduction en 1999. Au moment de l’arrimage initial, la France était le principal partenaire commercial des pays de l’UEMOA. Depuis lors, et plus encore au cours des dix dernières années, la cartographie des échanges de l’union a significativement changé en faveur des pays du groupe des BICs, notamment la Chine. Je montre dans ce chapitre que l’arrimage à un panier de devises aurait induit une volatilité moins pronnoncée du taux de change effectif nominal du franc CFA au cours de la décennie écoulée, comparé à la parité fixe actuelle. Ce chapitre, cependant, n’aborde pas la question de taux de change optimal pour les pays de l’UEMOA, un aspect qui serait intéressant pour une recherche future.
This thesis includes three independent essays in the fields of macroeconomics, monetary economics and international finance. In the first essay, I build a new Keynesian DSGE model to examine the implications for monetary policy of household production. The proposed theory helps reconcile the relatively strong response of output to monetary policy shocks as suggested by VAR-based evidence and the low degree of price rigidity found in micro data. The second essay analyzes the role of structural transformation (the reallocation of labor across sectors overtime) in shaping the volatility of aggregate output across countries. Finally, the third essay illustrates the importance of trade patterns in choosing between a single currency peg and a peg to a composite basket of currencies. “Household Production, Services and Monetary Policy” (Chapter 1) builds on the observation that consumer services (unlike consumer nondurable) have close substitutes at home. Households may therefore switch between consuming home and market service as the real wage (the opportunity cost of working at home) changes. To study the implications of this arbitrage for monetary policy, I embed a household sector into an otherwise standard two-sector (a nondurable good sector and a service sector) new Keynesian DSGE model. The fact that households are able to produce services at home makes service sector’s firms more reluctant to change their price. This translates into an extra endogenous shift term in the new Keynesian Phillips that is increasing with the extent of substitutability between home and market services. This increased nominal rigidity endogenously amplifies the output response to monetary policy shock, especially in the service sector, which is consistent with VAR-based evidence in the paper that consumer services are more interest-rate sensitive than consumer nondurables. “Structural Transformation and the Volatility of Aggregate Output: A Cross-country Analysis” (Chapter 2) is based on the evidence of a negative relationship between the employment share of the service sector and the volatility of aggregate output, which I obtain after controlling for several factors (including the level of financial development). This aggregate result is driven by sectoral labor productivity differentials: Labor productivity is substantially more volatile in agriculture and manufacturing than in services. Aggregate output would therefore become mechanically more stable as labor shifts away from agriculture and manufacturing, and toward the service sector. To quantify this conjecture, I first calibrate a model of structural transformation (secular reallocation of labor across sectors) to the U.S. economy, which I use to match the time path of labor shares in agriculture, manufacturing and services across OECD countries. The model is subsequently used to conduct a set of counterfactual experiments in which labor is endogenously constrained from moving across sectors. Computations suggest that the shift of labor toward the services sector is indeed volatility-reducing. “Exchange Rate Volatility under Alternative Peg: Do Trade Patterns Matter?” (Chapter 3) is a contribution to the literature on the choice of exchange rate regimes. I use monthly bilateral exchange rate and external trade data from 1980 to 2010 for the member countries of the Western African and Monetary Union (WAEMU). These countries have their common currency (the CFA franc) pegged to the French franc since the mid-40s and to the euro since its introduction in 1999. At the time of the initial peg arrangement, France accounted for most of the external trade of WAEMU countries. Since then, and more notably since the early 2000s, the trade patterns of these countries shifted briskly away from France and other Euro area countries and towards the BICs (China in particular). The chapter finds that a peg to a composite basket of currencies would have led to a less volatile effective exchange rate over the last decade compare to the current hard peg. This chapter, however, does not derive an optimal exchange rate for WAEMU countries, which is an important area for further research.