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Figueres, Juan Manuel (2016) Nonlinear Effects of Macroeconomic Shocks. [Tesi di dottorato]

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Abstract (inglese)

This thesis investigates the nonlinear macroeconomic effects of fiscal and uncertainty shocks. It comprises three contained chapters, each one of them being self-contained. In each chapter, theoretical predictions coming from theoretical models are presented and discussed. Such predictions are then tested using state-of-the-art econometric techniques.
The first chapter is titled “News in State-Dependent Fiscal Multipliers: The Role of Confidence”. This study scrutinizes the role of consumer confidence in determining the real effects that unanticipated (news) government spending shocks have on output in recessions and expansions by estimating a Smooth-Transition VAR model. To account for fiscal foresight, I employ a measure of anticipated fiscal shocks defined as the sums of expectations’ revisions over future fiscal spending. This variable is shown to carry relevant information about movements on government spending. My results indicate that fiscal multipliers during recession is both statistically larger than in expansions and greater than one. Importantly, consumer confidence is shown to play a decisive role on determining the effects of an anticipated spending shock within nonlinear framework. In particular, the response of confidence is key in explaining the statically larger fiscal multiplier during recessions. Moreover, the role of confidence is found to be relevant for the transmission of anticipated shocks only. These results qualify confidence as a key ingredient for understanding the transmission of fiscal news shocks (as opposed to unanticipated fiscal shocks).
The second chapter is titled “Fiscal-Monetary Policy Mix in Recessions and Expansions”. This study investigates the role of monetary policy in determining the size of the fiscal spending multiplier in recessions and expansions as for the U.S. economy. To this end, I quantify the size of state-dependent fiscal multipliers by using a nonlinear VAR model endowed with fiscal and monetary variables. I carefully separate anticipated and unexpected fiscal spending shocks by jointly modeling fiscal spending and the measure of spending news proposed by Ramey (2011 QJE). My results indicate that the fiscal multiplier in recessions is larger than one and statistically different from that corresponding to expansions. Importantly, the role of monetary policy during recessions triggers a crowding out effect. In particular, a counterfactual exercise clearly have the role played for the systematic policy to emerge. These findings highlight the importance of jointly consider monetary and fiscal indicators when studying the effects of a fiscal stimulus.
The third chapter titled “Economic Policy Uncertainty Spillovers in Booms and Busts” is joint paper with Giovanni Caggiano and Efrem Castelnuovo. This study aims at quantifying the impact of economic policy uncertainty shocks originating in the U.S. on the Canadian business cycle in booms and busts. It does so by employing a nonlinear Smooth-Transition VAR model to identify and simulate an increase in the U.S. economic policy uncertainty on a number of Canadian macroeconomics variables, including real activity indicators (industrial production and unemployment), inflation, a short-term interest rate, and the bilateral exchange rate. Our results point to statistically and economically relevant nonlinear spillover effects. Uncertainty shocks originated in the U.S. explain about the 27% of the variance of the 2-years ahead forecast error of the Canadian unemployment rate in periods of slack vs. 8% during economic booms. Counterfactual simulations lead to the identification of a novel
“economic policy uncertainty spillovers channel”. According to this channel, spikes in the U.S. economic policy uncertainty foster economic policy uncertainty in Canada in first place and, because of the latter, an increase in the Canadian rate of unemployment occurs.

Abstract (italiano)

La tesi analizza gli effetti macroeconomici nonlineari di shock fiscali e di incertezza. Essa comprende tre capitoli, ciascuno dei quali è independente dagli altri. In ciascun capitolo, le predizioni teoriche derivanti da modelli macroeconomici vengono presentate e discusse. Tali predizioni sono poi testate empiricamente utilizzando tecniche econometriche all'avanguardia.
Il primo capitolo si intitola “News in State-Dependent Fiscal Multipliers: The Role of Confidence”. Questo studio analizza il ruolo giocato dalla fiducia dei consumatori nella determinazione degli effetti reali che shock di spesa pubblica non previsti hanno sul livello della produzione in recessione e in espansione utilizzando un modello vettoriale autoregressivo “Smooth-Transition”. Per tenere conto degli effetti di anticipazione sulla politica fiscale, utilizzo una misura di shock fiscali previsti, definita come la somma delle revisioni delle aspettative circa il livello futuro della spesa pubblica. Questa variabile risulta possedere rilevanti informazioni circa variazioni future effettive della spesa pubblica. I miei risultati indicano che il moltiplicatore fiscale durante le fasi recessive è statisticamente più elevato rispetto alle fasi espansive, oltre a essere maggiore di uno. In maniera importante, i risultati mostrano come il livello della fiducia dei consumatori giochi un ruolo decisivo nel determinare gli effetti di uno shock fiscale non previsto all’interno di un contesto non-lineare. In particolare, la risposta del livello di fiducia è cruciale nello spiegare la differenza statistica trovata in recessione. Inoltre, il ruolo del livello della fiducia è rilevante per la trasmissione soltanto degli shock previsti di politica fiscale. Questi risultati qualificano il livello di fiducia come un fattore determinante nel comprendere la trasmissione di shock fiscali previsti (a differenza degli shock fiscali non previsti).
Il secondo capitolo si intitola “Fiscal-Monetary Policy Mix in Recessions and Expansions”. Questo lavoro analizza il ruolo della politica monetaria nella determinazione della grandezza dei moltiplicatori fiscali in recessione e in espansione per l’economia degli Stati Uniti. A questo scopo, quantifico i moltiplicatori fiscali utilizzando un modello VAR non lineare che include variabili sia fiscali che monetarie. Per separare gli shock fiscali anticipati da quelli non anticipati, utilizzo sia variabili di spesa pubblica che la misura di “news” fiscale proposta da Ramey (2011 QJE). I miei risultati indicano che il moltiplicatore fiscale in recessione è maggiore di uno e statisticamente differente da quello che si ottiene in espansione. In maniera importante, il ruolo della politica monetaria in recessione comporta un effetto spiazzamento. In particolare, un esercizio controfattuale mostra in maniera chiara come emerga il ruolo giocato dalla politica monetaria. Questi risultati sottolineano l’importanza di considerare in maniera congiunta indicatori fiscali e monetari per analizzare gli effetti di politiche fiscali espansive.
Il terzo capitolo intitolato “Economic Policy Uncertainty Spillovers in Booms and Busts” è un lavoro congiunto con Giovanni Caggiano e Efrem Castelnuovo. Questo lavoro ha come obiettivo la quantificazione dell’impatto di shock di incertezza politico-economica che hanno origine negli USA sull’andamento del ciclo economico canadese in recessione e in espansione. A tal fine, utilizziamo un modello vettoriale autoregressivo “Smooth-Transition” per identificare e analizzare gli effetti di un aumento del livello di incertezza economico-politica negli USA su una serie di variabili macroeconomiche canadesi, inclusi indicatori del livello dell’attività economica (produzione industriale e tasso di disoccupazione), tasso di inflazione, tasso di interesse a breve termine, e tasso di cambio bilaterale. I nostri risultati mostrano che ci sono effetti contagio non lineari rilevanti sia da un punto di vista statistico che economico. Gli shock di incertezza che hanno origine negli USA spiegano in recessione circa il 27% della varianza dell’errore di previsione a due anni del tasso di disoccupazione canadese, contro un valore pari a 8% in fasi di boom economico. Simulazioni controfattuali identificano un nuovo canale di contagio dell’incertezza economico-politica. In base a esso, aumenti del livello di incertezza economico-politica negli USA provocano in primo luogo un aumento del livello di incertezza in Canada e, per questo tramite, un aumento del tasso di disoccupazione canadese.

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Tipo di EPrint:Tesi di dottorato
Relatore:Castelnuovo, Efrem
Dottorato (corsi e scuole):Ciclo 28 > Scuole 28 > SCUOLA SUPERIORE DI ECONOMIA E MANAGEMENT (INTERATENEO) > ECONOMIA E MANAGEMENT
Data di deposito della tesi:29 Aprile 2016
Anno di Pubblicazione:29 Aprile 2016
Parole chiave (italiano / inglese):fiscal policy, fiscal multiplier, fiscal stimulus, monetary policy, confidence, economic policy uncertainty, small open economies, spillover effects, unemployment dynamics, recessions, expansions, spread bund rate, nonlinear models, smooth transition vector autoregressions
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-P/01 Economia politica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Economiche e Aziendali "Marco Fanno"
Codice ID:9635
Depositato il:06 Ott 2016 17:20
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Bibliografia

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