Peter, Alexandra: Essays in Macroeconomics. - Bonn, 2012. - Dissertation, Rheinische Friedrich-Wilhelms-Universität Bonn.
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author = {{Alexandra Peter}},
title = {Essays in Macroeconomics},
school = {Rheinische Friedrich-Wilhelms-Universität Bonn},
year = 2012,
month = jan,

note = {This thesis contains three chapters, each dealing with a specific macroeconomic topic. The first chapter analyzes the relationship between bilateral trade flows, trade openness, and asset holdings in a three-country stochastic general equilibrium model. The three-country model set-up enables us to disentangle the effects of bilateral trade flows and trade openness on bilateral portfolio patterns. The analysis shows that bilateral trade and trade openness both have independent effects on bilateral asset holdings. Higher bilateral trade as well as higher trade openness lead to a higher bilateral foreign asset position. Furthermore, the model shows an interaction effect between these two factors, where increasing trade openness reduces the influence of bilateral trade flows on asset holdings. These theoretical findings are supported by empirical evidence using a data set on the geographical composition of international portfolio holdings.
The second chapter explores the relative importance of the trade and financial channel in spreading the financial crisis of 2007-2009 to Germany. Specifically, we calibrate a DSGE model of a small open economy with a banking sector to Germany. The model economy is integrated with the rest of the world through trade in goods and through the banking sector trading foreign assets. We then use this model to investigate the transmission via the collapse of export demand and through the declined value of U.S. securities in possession of the German banking system. The model is successful in predicting 95 percent of the observed decline in real output in the beginning of 2009. The trade channel is responsible for 70 percent of this movement, while the financial channel explains the remaining 30 percent. However, transmission via the financial channel triggers a longer-lasting recession than the trade channel.
The third chapter analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an estimated New Keynesian DSGE model. While fiscal policy accounts for 12 to 20 percent of output variance at business cycle frequencies, the anticipated component hardly matters for explaining fluctuations of real variables. Anticipated capital tax shocks do explain a sizable part of inflation and interest rate fluctuations, accounting for between 5 and 15 percent of total variance. In line with earlier studies, news shocks in total account for 20 percent of output variance. Further decomposing this news effect, we find that it is mostly driven by stationary TFP and non-stationary investment-specific technology.},

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