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Full-Text Articles in Macroeconomics

Fiscal Policy, Default And Emerging Market Business Cycles, Omer K. Parmaksiz Aug 2010

Fiscal Policy, Default And Emerging Market Business Cycles, Omer K. Parmaksiz

Publicly Accessible Penn Dissertations

Developing country fiscal policy outcomes documented in data point to stark differences compared with developed ones. Most prominent difference is the excessive volatility of government consumption and transfer payments and their positive correlation relative to output. This seemingly non-optimal behavior is puzzling since it is in contrast with standard theory prescriptions and likely to contribute to aggregate volatility. To study the possible roots of this I build a model by incorporating a detailed explicit fiscal sector to what is otherwise a standard sovereign default setup. The environment I define is one of incomplete markets that resembles small open developing economies ...


Financial Frictions, Propagation Of Shocks, And Macroeconomic Volatility, Cristina Fuentes-Albero May 2010

Financial Frictions, Propagation Of Shocks, And Macroeconomic Volatility, Cristina Fuentes-Albero

Publicly Accessible Penn Dissertations

I study the evolution of aggregate volatility in the US during the postwar period by assessing the relative role played by financial shocks, technological progress, and changes in the financial system. Balance-sheet variables of firms have been characterized by greater volatility since the early 1970s. This Financial Immoderation has coexisted with the so-called Great Moderation, which refers to the slowdown in volatility of real and nominal variables since the mid 1980s. In the second chapter, I study the moderation in real variables calibrating a real business cycle model with two technology shocks. I consider several statistical specifications for technological progress ...


Essays On The Macroeconomics Of Labor Markets, Sergiy Stetsenko May 2010

Essays On The Macroeconomics Of Labor Markets, Sergiy Stetsenko

Publicly Accessible Penn Dissertations

This dissertation consists of two essays studying macroeconomics questions about labor markets. The research in this document is separated into chapters that study distinct features of aggregate labor market outcomes.

The first essay documents the change in behavior of fertility rate at business cycle frequencies in the United States between the 1970s and 1990s and shows how the cyclical and secular properties of fertility can be used to distinguish among several proposed theories that account for the rise in labor force participation of married mothers. The model, in which households make fertility, female labor force participation and asset accumulation decisions ...


Essays In Estimation Of Dynamic Stochastic General Equilibrium Models, Maxym Kryshko May 2010

Essays In Estimation Of Dynamic Stochastic General Equilibrium Models, Maxym Kryshko

Publicly Accessible Penn Dissertations

Dynamic factor models (DFM) and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as latent preference and/or technology shocks. A general topic of this dissertation is the estimation of DSGE models on a rich panel of macroeconomic and financial data by combining a DSGE with a dynamic factor model ...


Essays In Information Economics, Jonathan T. Pogach May 2010

Essays In Information Economics, Jonathan T. Pogach

Publicly Accessible Penn Dissertations

This dissertation is composed of three essays considering the role of private information in economic environments. The first essay considers efficient investments into technologies such as auditing and enforcement systems that are designed to mitigate information and enforcement frictions that impede the provision of first best insurance against income risk. In the model, the principal can choose a level of enforceability that inhibits an agent's ability to renege on the contract and a level of auditing that inhibits his ability to conceal income. The dynamics of the optimal contract imply an endogenous lower bound on the lifetime utility of ...


Essays On The Macroeconomics Of Incomplete Information, Leonardo Melosi May 2010

Essays On The Macroeconomics Of Incomplete Information, Leonardo Melosi

Publicly Accessible Penn Dissertations

In the first chapter, I develop and estimate a dynamic general equilibrium model with imperfectly informed firms in the sense of Woodford (2002). The model has two aggregate shocks: a monetary policy shock and a technology shock. Firms observe idiosyncratic noisy signals about these shocks and face strategic complementarities in price setting. In this environment, agents' "forecasting the forecasts of others" can produce realistic dynamics of model variables, with associated highly persistent real effects of monetary shocks and delayed effects of such shocks on inflation. The paper provides a full Bayesian analysis of the model, revealing that it can capture ...