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- Holmberg, Karolina, 1965-
(författare)
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Empirical Essays in Macroeconomics and Finance
- 2012
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy This paper explores how well Swedish inflation is explained by a New Keynesian Phillips Curve. As the real driving variable in the Phillips Curve, a measure of firms' real marginal cost is compared to the traditional output gap. The results show that, with real marginal cost in the Phillips Curve equation, the point estimates generally have the expected positive sign, which is less frequently the case with the output gap. However, with both real marginal cost and the output gap, it is difficult to pin down a statistically significant relationship with inflation. Firm-Level Evidence of Shifts in the Supply of Credit This paper examines empirically whether firms are subject to shifts in credit supply over the business cycle. Shifts in the supply of credit are identified by exploring how firms substitute between commitment credit -- lines of credit -- and non-commitment credit. The results show that firms on average rely more on commitment credits when monetary policy is tight and when the financial health of banks is weaker. The results are consistent with a bank lending channel of monetary policy and with shifts in the supply of credit following deteriorations in banks' balance sheets. Lines of Credit and Investment: Firm-Level Evidence of Real Effects of the Financial Crisis This paper studies how the 2008 financial crisis affected corporate investment in Sweden through its effect on credit availability. The approach is to compare investments of firms before and after the onset of the crisis as a function of their ex ante sensitivity to a credit supply shock, controlling for fundamental determinants of investments. Sensitivity to a credit supply shock is measured as credit reserves, defined as unused credit on lines of credit. The results indicate that the decline in investment following the crisis was not exacerbated by a contraction in the supply of credit.
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| 2. |
- Brinca, Pedro Soares, 1979-
(författare)
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Essays in Quantitative Macroeconomics
- 2013
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- In the first essay, Distortions in the Neoclassical Growth Model: A Cross Country Analysis, I show that shocks that express themselves as total factor productivity and labor income taxes are comparably more synchronized than shocks that resemble distortions to the ability of allocating resources across time and states of the world. These two shocks are also the most important to model. Lastly, I document the importance of international channels of transmission for the shocks, given that these are spatially correlated and that international trade variables, such as trade openness correlate particularly well with them. The second essay is called Monetary Business Cycle Accounting for Sweden. Given that the analysis is focused in one country, I can extend the prototype economy to include a nominal interest rate setting rule and government bonds. As in the previous essay, distortions to the labor-leisure condition and total factor productivity are the most relevant margins to be modeled, now joined by deviations from the nominal interest rate setting rule. Also, distortions do not share a structural break during the Great Recession, but they do during the 1990’s. Researchers aiming to model Swedish business cycles must take into account the structural changes the Swedish economy went through in the 1990’s, though not so during the last recession. The third essay, Consumer Confidence and Consumption Spending: Evidence for the United States and the Euro Area, we show that, the consumer confidence index can be in certain circumstances a good predictor of consumption. In particular, out-of-sample evidence shows that the contribution of confidence in explaining consumption expenditures increases when household survey indicators feature large changes, so that confidence indicators can have some increasing predictive power during such episodes. Moreover, there is some evidence of a confidence channel in the international transmission of shocks, as U.S. confidence indices help predicting consumer sentiment in the euro area.
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| 3. |
- Flodén, Martin, 1970-
(författare)
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Essays on Dynamic Macroeconomics
- 1999
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four independent papers in macroeconomics.Labor Supply and Consumption under Uncertainty: Prudence Reconsidered examines how variations in labor supply can be used to self insure against individual specific risks. It is found that precautionary saving can be significantly underestimated if wages fluctuate and labor supply is assumed fixed when it is not. Moreover, the standard definition of prudence is shown not to be applicable in the current setting, and a new definition of prudence is suggested.Idiosyncratic Risk in the U.S. and Sweden: Is there a Role for Government Insurance? examines the welfare effects of redistributive taxation when agents are subject to uninsurable income risk. To calibrate the model, wage processes are estimated on Swedish and U.S. data. The estimation results show that there is more individual specific wage risk in the U.S than in Sweden. Although the model predicts that distortions are significant, the welfare benefits of government redistribution and insurance systems can be substantial.The Effectiveness of Government Debt and Transfers as Insurance takes the previous paper one step further by also allowing for government debt as a policy instrument. It is found that both debt and transfers can help households to smooth consumption over time, but that debt also has negative effects on equity. When used in isolation, debt will enhance welfare if transfers are lower than optimal. However, public debt has no positive effects if transfers are used optimally.Endogenous Monetary Policy and the Business Cycle makes the central bank's monetary policy decisions endogenous in a business cycle model by letting the central bank set money supply to minimize the volatility of inflation and output. It is found that small changes in the central bank’s preferences can generate large changes in the derived money supply rule and in the business cycle behavior of nominal variables, but changes in the money supply rule do not generate any major changes in the behavior of real variables.
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