Essays in applied macroeconomics
- Autores: Alexander Ziegenbein
- Directores de la Tesis: Regis Barnichon (dir. tes.), Luca Fornaro (codir. tes.)
- Lectura: En la Universitat Pompeu Fabra ( España ) en 2018
- Idioma: español
- Tribunal Calificador de la Tesis: Luca Gambetti (presid.), Kristoffer Nimark (secret.), Vasco Gabriel (voc.)
- Programa de doctorado: Programa de Doctorado en Economía, Finanzas y Empresa por la Universidad Pompeu Fabra
- Materias:
- Enlaces
- Tesis en acceso abierto en: TDX
- Resumen
In the first chapter, I present empirical evidence that the effects of US tax changes on output depend on the level of economic slack. Tax cuts have large effects in good times, but only small and statistically insignificant effects in bad times. I show that the finding holds across different identification schemes, many alternative specifications, and when I consider shocks to the two largest tax categories --personal and corporate income taxes-- separately. To explain the finding, I develop a simple search model of unemployment, in which the effect of a tax cut is small when unemployment is high. A tax cut raises the utility gain from work and thus stimulates jobseekers' job-search effort. The higher search effort reduces search frictions, which makes it less costly for firms to hire new workers, and therefore raises employment and production. When labor demand is depressed and unemployment is high, however, the number of jobseekers per vacancy is large and recruiting is easy and inexpensive, so search frictions do not matter much. As a result, a tax cut that raises search effort has little effect on employment and output.
In the second chapter, co-authored with Regis Barnichon and Christian Matthes, we first highlight that the two leading strands of literature on the implications of financial market disruptions reach conflicting conclusions. The first studies the behaviour of output around narratively identified financial crises and finds large and persistent drops in output in the aftermath of a crisis. The second uses Structural Vector AutoRegressions to identify the causal effects of financial shocks and finds rather small and short-lived effects on output. We argue that these seemingly contradictory findings are due to the asymmetric effects of financial shocks, which have been predicted theoretically but not considered empirically. We propose and estimate a model designed to identify the (possibly asymmetric) effects of financial market disruptions, and we find that a favorable financial shock --an easing of financial conditions-- has little effect on output, but an adverse shock has large and persistent effects. In fact, the financial market disruptions experienced by the US in the 2007-2008 financial crisis can explain two thirds of the 10 percentage points gap between current GDP and its pre-crisis trend. Our results help to reconcile the evidence from narrative accounts and SVARs: SVARs find only mild average effects because the large and persistent effects of adverse shocks are mixed with the close to zero effects of positive shocks. Narrative studies find large effects as they focus solely on crisis episodes, i.e. adverse events.
In the third chapter, co-authored with Luis Jacome H. and Tahsin Saadi Sedik, we study whether credit easing, which has been used extensively in advanced economies since the global financial crisis, is also a suitable policy tool for emerging and developing economies. Credit easing may help to stabilize the financial system, thus avoiding higher output losses. However, theory suggests that using central bank money to bail out the financial system can pave the way for balance-of-payment problems and the large output losses associated with it. We first propose a measure of credit easing, which builds on balance sheet data on central banks' claims on the financial system, and highlight that some emerging economies have used credit easing to a similar extent as advanced economies. Then, we show that an increase in credit easing is followed by a sharp increase in domestic currency depreciation and inflation, and a reduction in economic growth. Our findings suggest that credit easing bears the risk of creating new problems and further output losses in emerging and developing economies.
