Διδακτορικές διατριβές
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Πλοήγηση Διδακτορικές διατριβές ανά Επιβλέπων "Philippopoulos, Apostolis"
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Τεκμήριο Essays on fiscal policy(09/05/2018) Stavrakas, Michael; Athens University of Economics and Business, Department of Economics; Tzavalis, Elias; Vasilatos, Evangelos; Kollintzas, Tryphon; Dimelis, Sophia; Economides, George; Konstantinou, Panagiotis; Philippopoulos, ApostolisThis thesis examines the macroeconomic effects of Fiscal and Monetary Policy through the lens of Dynamic Stochastic General Equilibrium Models (DSGE) giving emphasis on the issue of the size of government consumption spending multipliers. The goal of any DSGE model is to explain the business cycle properties, the effects of fiscal and monetary policy and more generally perform forecasting and policy analysis of any economy. The starting point before building any DSGE model for a particular economy is to analyze the data (time series) of that economy. Therefore, in Chapter 1 I choose the Greek economy as a case study and by using real annual data for the period 1970-2007 I perform a business cycle analysis of the economy by presenting and comparing the statistical properties (first and second momentproperties) of Greek business cycles with that of other developed economies or groups of developed economies mainly members of the Euro area. In addition, I examine the fiscal policy stance in Greece in the last decades. While the cyclical fluctuations of Gross Domestic product (GDP) affect the fluctuations of many fiscal variables I focus my analysis on government consumption spending and on tax revenue. In Chapter 2, I examine the effectsof fiscal and monetary policy and the size of government consumption spending multipliers in closed economy New Keynesian (NK) DSGE models by parameterizing and solvingnumerically a series of NK models starting from a benchmark simple model and gradually adding to it new characteristics. I show that even models of the same class of DSGE models, i.e., closed economy NK, can deliver different values of government consumption spending multipliers, depending on underlying model features, assumptions and parameter values, such as the type of the utility function reflecting households preferences over consumptionand leisure, the degree of price rigidities, monetary policy reaction functions, the size of investment adjustment costs, distortionary vs lump sum taxation, proportion of Rule of Thumb (non-Ricardian) households, and non-competitive labor markets (wage rigidities). The closed economy NK models presented in Chapter 2 produce present value governmentconsumption spending multipliers ranging from -0.01 to 2.05, on impact of a positive government consumption spending shock, depending on the underlying model specific features. These magnitudes are in accordance with the relevant literature, e.g., Baunsgaard and others (2012), Spilimbergo, Symansky, and Schindler (2009). For example, Baunsgaard and others (2012) review a total of 37 studies including both model based (DSGE) and vector autoregressive (VAR) approaches. For those studies government spending multipliers range between 0 and 2.1, with a mean of 0.8 during the first year after fiscal measures are taken. The numerical results of Chapter 2 support the argument that it is difficult to forecast with a reasonable accuracy the size of the fiscal multipliers in real economies since even in the simplest setup of standard theoretical models the results can be quite sensitive to different assumptions and model characteristics. As noted in the IMF’s World Economic Outlook of October 2012 (Box 1.1, page 41), “The main finding, based on data for 28 economies, is that the multipliers used in generating growth forecasts have been systematically too low sincethe start of the Great Recession, by 0.4 to 1.2, depending on the forecast source and the specifics of the estimation approach. Informal evidence suggests that the multipliersimplicitly used to generate these forecasts are about 0.5. So, actual multipliers may be higher, in the range of 0.9 to 1.7”. In Chapter 3 I first present a “plain-vanilla” Small OpenEconomy Real Business Cycle DSGE (SOE-RBC-DSGE) model with everything being completely standard and then I add to it a simple feedback (Taylor-type) fiscal policy rule that can adequately reflect the macroeconomic effects caused by the transition from strongly procyclical to strongly countercyclical fiscal policies. The model is solved numerically byparameterizing it to Greece using annual data for the period 1970-2007. This model, although very simple in construction, can replicate, with an acceptable success, the empiricalbusiness cycle properties of key Greek macroeconomic variables presented in Chapter 1 for the studied period, when I adopt the empirically verified assumption of Chapter 1 thatgovernment consumption spending is acyclical. Subsequently, by adding more features to the feedback fiscal policy rule, I proceed with an impulse response function analysis of theeffects of a Total Factor Productivity (TFP) shock on the key macroeconomic variables of the model economy when I assume various degrees of cyclicality of fiscal policy. I also use the enriched feedback fiscal policy rule to compute the size of the government consumptionspending multipliers, at various degrees of cyclicality of fiscal policy, first when only a positive government consumption spending shock affects the model economy and thenwhen both a positive TFP and a positive government consumption spending shock affect simultaneously the model economy. In Chapter 4 I construct a medium-scale SOE-NK-DSGE model similar to those used by many central banks and policy-making international institutions, such as, the ECB, the IMF, or the OECD, for policy experiments. In this model, Iexamine the effects of fiscal and monetary policy and the magnitude of government consumption spending multipliers at various degrees of cyclicality of fiscal policy, fromstrongly countercyclical to strongly procyclical. I also examine the effects of other transitory shocks, from consumption preference, monetary policy (MP), TFP, investment specifictechnology and commodity shocks to risk free foreign interest rate, and foreign demand shocks affecting the economy in normal times. The model is solved numerically by parameterizing it to Colombia, which is an Emerging Market Economy (EME) with an independent monetary policy and a flexible exchange regime, using quarterly data for the period 1994q1-2015q4. Compared to the closed economy NK-DSGE models presented in Chapter 2, the size of the government consumption spending multipliers now will alsoheavily depend on the model economy’s flexible exchange rate regime, and the degree of trade openness. The model produces government consumption spending multipliers ranging from 0.15 on impact to 0.12 in the long run which are consistent with the empiricalliterature findings (e.g., of Ilzetzki (2011) and others) for EMEs. The numerical results of the theoretical model support the relevant results of the empirical literature that in a small open economy with an independent monetary policy and a flexible exchange rate regime the effects on GDP growth from a government consumption spending increase are generally found to be weak in normal times.Τεκμήριο Financial frictions and economic policy(12/18/2018) Dimakopoulou, Vasiliki-Eirini; Δημακοπούλου, Βασιλική-Ειρήνη; Athens University of Economics and Business, Department of Economics; Vasilatos, Evangelos; Economides, George; Tzavalis, Elias; Sakellaris, Plutarchos; Konstantinou, Panagiotis; Dioikitopoulos, Evangelos; Philippopoulos, ApostolisThis PhD thesis is about financial frictions and economic policy in DSGE models. Chapter 2 presents a baseline small-open economy with collateral-type financial constraints. Chapter 3 extends the model of Chapter 2 to include state-contingent margin requirements in the collateral constraint and a government sector. Chapter 4 sets up a medium-scale New Keynesian DSGE model of a closed economy with financial frictions for the study of monetary policy activism. By activism, we refer both to how much to adjust policy instruments in light of recent changes in economic activity and to the array of policy instruments employed for this task. Finally, Chapter 5 extends the model of Chapter 4 to include fiscal policy activism.Τεκμήριο Fiscal and monetary policy in new Keynesian DSGE models(Athens University of Economics and Business, 07-2014) Varthalitis, Petros; Athens University of Economics and Business, Department of Economics; Philippopoulos, Apostolis; Vassilatos, VanghelisDoctoral thesis - Athens University of Economics and BusinessΤεκμήριο Fiscal policy and cycles in Greece : positive and normative analysis(Athens University of Economics and Business, 04-2009) Papageorgiou, Dimitris; Kollintzas, Tryphon; Philippopoulos, Apostolis; Vassilatos, VanghelisDoctoral thesis - Athens University of Economics and Business. Department of EconomicsΤεκμήριο The interdependence of financial risk and sovereign risk along the business cycle in the Euro area(Athens University of Economics and Business, 05-2015) Tsoukalas, Konstantinos; Athens University of Economics and Business, Department of Economics; Kollintzas, Tryphon; Philippopoulos, ApostolisDoctoral thesis - Athens University of Economics and Business.