Suchergebnisse

Defence date: 11 March 2016 ; Examining Board: Prof. Árpád Ábrahám, EUI, Supervisor; Prof. Luisa Lambertini, École Polytechnique Fédérale de Lausanne (EPFL); Prof. Evi Pappa, EUI; Prof. Jaume Ventura, CREI and Barcelona GSE. ; This thesis studies how frictions shape macroeconomic outcomes and affect policies. The thesis consists of three chapters. The first chapter studies how distortionary taxation and volatile output together with government discretion shape sovereign debt issuance and sovereign defaults. It is a novel theory to explain why sovereigns borrow on both domestic and international markets and why defaults are mostly selective (on either domestic or foreign investors). The model matches business cycle moments and frequencies of different types of defaults in emerging economies. It is also shown, that secondary markets are not a sufficient condition to avoid sovereign defaults. The outcome of the trade in bonds on secondary markets depends on how well each group of investors can coordinate their actions. The second chapter studies how the price stickiness friction affects the optimal rate of inflation and gains from a monetary integration. Inflation constitutes a tax on consumption so the local monetary authority finds it optimal to inflate. But also the average markup constitutes a cost of holding money so the monetary authority finds it optimal to deflate. The findings are: i) in the local currencies the first motive dominates and the optimal inflation is positive. ii) In a monetary union the first motive is absent and the optimal inflation is negative. iii) A monetary union improves global welfare. However, when the difference in price stickiness between two countries is large, only one country benefits. The third chapter studies how the intermediation friction affects a transmission of monetary policy. It provides new evidence on the bank lending channel using bank-level data from Central and Eastern Europe economies. The findings are: i) banks adjust their loans to changes in host country's monetary policy, ii) foreign-owned banks are less responsive to monetary policy of a host country than domestic-owned banks, iii) contrary to previous studies, the effects i) and ii) are present not only in the times of a crisis, but also in normal times. Second part of this chapter presents two mechanisms that can explain the second effect. First, foreign banks may have access to funds from parent banks. Second, foreign banks may serve more profitable borrowers. The first mechanism renders monetary policy less effective in the level of foreign banks penetration, while the second one does not. However, data do not unambiguously favor one explanation over the other.

We propose a novel theory to explain why sovereigns borrow on both domestic and international markets and why defaults are mostly selective (on either domestic or foreign investors). Domestic debt issuance can only smooth tax distortion shocks, whereas foreign debt can also smooth productivity shocks. If the correlation of these shocks is sufficiently low, the sovereign borrows on both markets to avoid excess consumption volatility. Defaults on both types of investors arise in equilibrium due to market incompleteness and the government's limited commitment. The model matches business cycle moments and frequencies of different types of defaults in emerging economies and we show our hypothesis is confirmed by the data. We also find that secondary markets are not a sufficient condition to avoid sovereign defaults. The outcome of the trade in bonds on secondary markets depends on how well each group of investors can coordinate their actions.