Essays on macroeconomic policy and business cycles
This thesis consists of three chapters on macroeconomic policy and business cy-cles. In chapter 1, I estimate a time-varying structural VAR to study the effects of government spending shocks on a number of U.S. macroeconomic variables. In contrast to the predictions of the standard New Keynesian models, I find no significant changes in the size of the government spending multiplier when the federal funds rate hits the Zero Lower bound (ZLB). I propose a theoretical model where the central bank, through either conventional or unconventional policies, directly controls the market interest rate, and where the policy rule parameters are subject to regime switches to capture potential changes due to the ZLB con-straint. The model estimates suggest that the behavior of the market interest rate was not much affected by the ZLB constraint, and thus the government spending multiplier remained largely unaltered. In chapter 2, we provide an empirical esti-mate of the central bank's targeting rule that reflects the relative weight a central bank attaches to the allocation of the output gap and inflation, and of the deep parameter that characterizes a central bank's loss function, overcoming the simul-taneity problem. In chapter 3, we explore the welfare implications of a reduction in the price rigidity in a New Keynesian model featuring both price rigidity and dispersed information. We find the introduction of digital price tags that may fa-cilitate price adjustment may deteriorate the welfare. The dominant underlying mechanism is that a reduction in the price rigidity will amplify the welfare losses associated with the price dispersion within price resetting firms when agents have heterogeneous beliefs about the economy. ; Aquesta tesi consta de tres capítols sobre política macroeconòmica i cicles empresarials. Al capítol 1, estimo un VAR estructural que varia amb el temps per estudiar els efectes de les xocs de la despesa pública en diverses variables macroeconòmiques dels Estats Units. A diferència de les prediccions ...
