Suchergebnisse

This paper employs a stylized New Keynesian DSGE model for a monetary union to analyze whether cyclical inflation differentials can be explained by cross-country differences concerning the characteristics of financial markets. Our results suggest that empirically plausible degrees of heterogeneity with respect to two important credit market characteristics - namely the fraction of borrowers and to a lesser extent the loan-to-value ratio - generate inflation differentials that are similar to those implied by structural differences with respect to price inertia and the degree of competitiveness. Hence, the characteristics of financial markets should be seen as a possible alternative explanation for the observable inflation dispersion in the EMU.

This paper estimates a medium-scale open economy DSGE model for Germany and therest of the Euro Area (REA). The parameter estimates indicate that there is a modestdegree of structural heterogeneity between Germany and the rest of the Euro Area. Inparticular, (i) the private sector in Germany tends to adjust its capital stock faster thanits counterpart in the REA, (ii) the innovations to government spending as well as thoseto the degree of competition in goods markets are relatively more volatile in Germanyand (iii) nominal prices and wages appear to be slightly more flexible in Germany thanin the REA. A comparison based on marginal likelihoods shows that the DSGE modelfits the observable macroeconomic time series similarly well as unrestricted BayesianVARs (BVARs) estimated on the same data set.

In recent years the New Keynesian Model with price stickiness of the Calvo type has become the most widely used theoretical framework for addressing various normative issues such as how optimal monetary and fiscal policy should be conducted. However, the New Keynesian Model has been criticized for having many severe shortcomings casting doubt on its appropriateness for advising policy makers. The main goal of this doctoral dissertation is the development of alternative dynamic general equilibrium frameworks which are immune to that criticism but are nevertheless able to explain a standard set of business cycles facts at least well as the New Keynesian Model does. In particular, the models proposed in the current monograph provide an endogenous explanation of price stickiness as well as of other important features of the observable data, e.g. the cyclical variation of average markups and the persistence in the reactions to nominal and real shocks. These results are achieved by combining dynamic or static market share competition in the goods market with different assumptions on households' behavior (non-separability of the utility function, inflation aversion, nominal transaction frictions). The monograph is organized as follows. Chapter I provides a brief review of the relevant empirical evidence and discusses the most important shortcomings of the New Keynesian Model. In Chapter II I develop a monetary customer markets model combining dynamic market share competition as proposed by Phelps and Winter (1970) with a non-separable utility function. Chapter III presents a model combining dynamic market share competition with the assumption that agent's behavior is characterized by inflation aversion. Chapter IV is devoted to the GMM estimation of crucial parameters of the inflation-aversion model of the previous chapter. A model featuring static market share competition and nominal transaction frictions is developed in Chapter V. Chapter VI concludes. ; In den letzten Jahren hat sich das Neu-Keynesianische Modell mit Calvo-Preissetzung zum Labor für die Untersuchung einer Vielzahl normativer Fragestellungen - wie zum Beispiel bezüglich der Gestaltung der Geld- und Fiskalpolitik - entwickelt. Aufgrund einer Reihe gewichtiger Mängel jedoch, ist es äußerst fraglich, ob dieses Modell den geeigneten Rahmen für normative Analysen darstellt. Ziel dieser Dissertation ist die Konstruktion von Alternativen zum Neu-Keynesianischen Modell, die seine Schwächen beseitigen und zugleich die konjunkturellen Zusammenhänge mindestens genauso gut erklären können. Die in dieser Monografie vorgeschlagenen Modelle sind jeweils in der Lage, Preisstarrheit sowie andere interessante Phänomene wie zum Beispiel das zyklische Verhalten der Markups und die Persistenz in den Reaktionen auf exogene Schocks zu erklären. Erreicht wird dies durch die Kombination dynamischen Marktanteilwettbewerbs mit verschiedenen Annahmen an das Verhalten des Haushaltssektors (Nicht-Separabilität der Nutzenfunktion, Inflationsaversion, nominelle Transaktionskosten). Die Monografie ist wie folgt aufgebaut. Kapitel I gibt einen kurzen Überblick über die relevante empirische Evidenz und stellt die wichtigsten Schwächen des Neu-Keynesianischen Modells dar. Im Kapitel II wird ein Modell entwickelt, das den von Phelps und Winter (1970) vorgeschlagenen dynamischen Wettbewerb um Marktanteile mit Nicht-Separabilitäten in der Nutzenfunktion kombiniert. Kapitel III präsentiert ein Modell, das den dynamischen Marktanteilwettbewerb mit der Annahme kombiniert, dass das Verhalten der Wirtschaftssubjekte durch Inflationsaversion gekennzeichnet ist. Im Kapitel IV widme ich mich der GMM-Schätzung wichtiger Parameter des Inflationsaversionsmodells. Gegenstand des fünften Kapitels ist die Integration statischen Marktanteilwettbewerbs und nomineller Transaktionskosten in ein dynamisches, allgemeines Gleichgewichtsmodell. Kapitel VI liefert die Konklusion.

We develop a stylized DSGE model in which banks face capital regulation and their loan portfolios are subject to non-diversifiable losses due to aggregate shocks. The framework is used to explore the importance of the interaction between macroeconomic conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area data. Impulse response analysis shows that the aforementioned interaction substantially magnifies the responsiveness of the economy to real and nominal demand side disturbances. The amplification is especially strong with respect to government spending shocks. The model is further capable of replicating two financial market characteristics that are documented in the empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and credit spreads to monetary policy shocks.

We explore how changes in capital-based macroprudential regulation affect theexposure of national banking sectors to domestic government debt in the euro area,thus strengthening or weakening the sovereign-bank nexus. To do so, we construct ameasure of macroprudential policy based on theMacroprudential Policy EvaluationDatabaseand estimate responses to theunsystematiccomponent of macroprudentialpolicy in panel vector autoregressive models for euro area 'core" and 'periphery"countries. Our main finding suggests that an unsystematic capital-based macro-prudential policy tightening increases banks' exposure to domestic sovereign bondsin the periphery countries and so deepens the sovereign-bank nexus. By contrast,banks in the core countries expand their loan portfolios rather than adjusting theirdomestic sovereign bond holdings in response to the shock. We show that this re-sult can be tied to the theoretical literature and investigate several transmissionchannels. Our results are highly robust to changes in the econometric setup and themacroprudential indicator used.

We explore how changes in capital-based macroprudential regulation in the euro area affect the exposure of national banking sectors to domestic government debt, thus strengthening or weakening the sovereign-bank nexus. To do so, we construct a measure of macroprudential policy based on the Macroprudential Policy Evaluation Database (MaPPED) and estimate responses to the unsystematic component of macroprudential policy in panel vector autoregressive models for euro area "core" and "periphery" countries. Our main finding suggests that an unsystematic capital-based macroprudential policy tightening increases banks' exposure to domestic sovereign bonds in the periphery countries and thus deepens the sovereign-bank nexus. By contrast, banks in the core countries expand their loan portfolios, rather than adjusting their domestic sovereign bond holdings, in response to the shock. We show that this result can be tied to the theoretical literature and investigate several transmission channels. Our results are highly robust to changes in the econometric set-up and the macroprudential indicator used.

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks, thereby possibly promoting the sovereign-bank nexus, i.e. the exposure of banks to the debt issued by the national government. Our results suggest that euro area crisis countries' banks enlarged their exposure to domestic sovereign debt after innovations related to unconventional monetary policy. Moreover, the restructuring of sovereign debt portfolios was characterized by a home bias.