Essays in Macroeconomics [Elektronische Ressource] / Alexandra Peter. Rechts- und Staatswissenschaftliche Fakultät
139 Pages
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Essays in Macroeconomics [Elektronische Ressource] / Alexandra Peter. Rechts- und Staatswissenschaftliche Fakultät

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Essays in MacroeconomicsInaugural-Dissertationzur Erlangung des Grades eines Doktorsder Wirtschafts- und Gesellschaftswissenschaftendurch dieRechts- und Staatswissenschaftliche Fakultätder Rheinischen Friedrich-Wilhelms-UniversitätBonnvorgelegt vonAlexandra Peteraus DachauBonn 2011Dekan: Prof. Dr. Klaus SandmannErstreferent: Prof. Dr. Gernot MüllerZweitreferent: Prof. Dr. Zeno EndersTag der mündlichen Prüfung: 22.12.2011DieseDissertationistaufdemHochschulschriftenserverderULBBonnhttp://hss.ulb.uni-bonn.de/diss_online elektronisch publiziert.AcknowledgmentsThe completion of this dissertation benefited from the contribution, support andguidance of a great number of people and I am very grateful to all of them.Special thanks go to my supervisor Gernot Müller for his continuous support andinvaluable advice during my dissertation. I would also like to thank Zeno Enders foragreeing to be on my thesis committee, for insightful discussions and suggestions,and for his input and contribution to the second chapter.It has been great working with my co-authors Benjamin Born and Johannes PfeiferandIwanttothankthemforstimulatingdiscussionsandtheircountlessandinvaluablecomments and suggestions, not only on our joint project. I am thankful to MichaelEvers for his inspiration and comments on the first chapter.

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Published 01 January 2011
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Essays in Macroeconomics
Inaugural-Dissertation
zur Erlangung des Grades eines Doktors
der Wirtschafts- und Gesellschaftswissenschaften
durch die
Rechts- und Staatswissenschaftliche Fakultät
der Rheinischen Friedrich-Wilhelms-Universität
Bonn
vorgelegt von
Alexandra Peter
aus Dachau
Bonn 2011Dekan: Prof. Dr. Klaus Sandmann
Erstreferent: Prof. Dr. Gernot Müller
Zweitreferent: Prof. Dr. Zeno Enders
Tag der mündlichen Prüfung: 22.12.2011
DieseDissertationistaufdemHochschulschriftenserverderULBBonnhttp://hss.ulb.uni-
bonn.de/diss_online elektronisch publiziert.Acknowledgments
The completion of this dissertation benefited from the contribution, support and
guidance of a great number of people and I am very grateful to all of them.
Special thanks go to my supervisor Gernot Müller for his continuous support and
invaluable advice during my dissertation. I would also like to thank Zeno Enders for
agreeing to be on my thesis committee, for insightful discussions and suggestions,
and for his input and contribution to the second chapter.
It has been great working with my co-authors Benjamin Born and Johannes Pfeifer
andIwanttothankthemforstimulatingdiscussionsandtheircountlessandinvaluable
comments and suggestions, not only on our joint project. I am thankful to Michael
Evers for his inspiration and comments on the first chapter.
Many thanks go to the managing team of the Bonn Graduate School of Economics
(BGSE), Urs Schweizer, Silke Kinzig, and Pamela Mertens for their enduring efforts
in creating the inspiring research environment of the BGSE. Financial support from
the German Research Foundation (DFG) is gratefully acknowledged.
I enjoyed my time in Bonn very much thanks to great friends and fellow grad
students, Rafael Aigner, Inga van den Bongard, Deniz Dizdar, Tilman Drerup,
Sebastian Ebert, Andreas Esser, Patrick Hürtgen, Stephan Kurka, Matthias Lang,
Juliane Parys, Anne Rah, Birgit Schorn, Gregor Schwerhoff, Christian Seel, Mirko
Seithe, Marco Sorge, Christoph Wagner, and Florian Zimmermann. I will miss the
great research atmosphere in the office and our great times outside the office, including
cooking sprees, hiking trips and movie nights. I would also like to thank Matthias
Wibral for his great job in organizing the BGSE soccer and my fellow soccer players.
iiiI am deeply grateful to my family, my uncle Marcus, without whom I might have
never studied economics, my brother and especially my parents. Thanks for always
supporting me and believing in me. Finally, I thank Benni for everything!
ivContents
Introduction 1
1 Bilateral Trade Flows, Openness, and Asset Holdings 5
1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.2 A Three-Country Model . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.2.1 Model Set-Up . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.2.2 Equilibrium with Full Risk-Sharing . . . . . . . . . . . . . . . 11
1.2.3 Linear Approximation . . . . . . . . . . . . . . . . . . . . . . 14
1.2.4 Equity Portfolios . . . . . . . . . . . . . . . . . . . . . . . . . 15
1.3 Results from a Calibrated Model . . . . . . . . . . . . . . . . . . . . 17
1.3.1 Calibration . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
1.3.2 The Portfolios’ Dependence on the Elasticity of Substitution . 18
1.3.3 How Bilateral Trade Flows Affect the Foreign Portfolio Share . 22
1.4 Empirical Evidence . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
1.4.1 Data and Econometric Specification . . . . . . . . . . . . . . . 25
1.4.2 Estimation Results . . . . . . . . . . . . . . . . . . . . . . . . 27
1.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
Appendix to Chapter 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
A Derivation of Consumption and Terms-of-Trade Responses to Endow-
ment Shocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
B Data: Definitions and Sources . . . . . . . . . . . . . . . . . . . . . . 33
C List of Excluded Offshore Financial Centers . . . . . . . . . . . . . . 35
vContents
D Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
2 The International Transmission of the Financial Crisis - A German
Perspective 39
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
2.2 The German Economy during the 2007-2009 Financial Crisis . . . . . 42
2.3 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
2.3.1 The Worker . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
2.3.2 The Entrepreneur and Final Good Production . . . . . . . . . 50
2.3.3 The Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
2.3.4 Market Clearing and Definitions . . . . . . . . . . . . . . . . . 54
2.3.5 Calibration . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
2.4 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
2.4.1 Business Cycle Statistics . . . . . . . . . . . . . . . . . . . . . 57
2.4.2 Crisis Transmission . . . . . . . . . . . . . . . . . . . . . . . . 59
2.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Appendix to Chapter 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
A Data Construction and Data Sources . . . . . . . . . . . . . . . . . . 67
3 Fiscal News and Macroeconomic Volatility 71
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
3.2 A DSGE-Model with Fiscal Foresight . . . . . . . . . . . . . . . . . . 74
3.2.1 Shock Structure . . . . . . . . . . . . . . . . . . . . . . . . . . 74
3.2.2 Conceptualizing Tax Shocks . . . . . . . . . . . . . . . . . . . 76
3.2.3 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
3.3 Model Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
3.3.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
3.3.2 Fixed Parameters . . . . . . . . . . . . . . . . . . . . . . . . . 86
3.3.3 Priors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
3.3.4 Posterior Distribution . . . . . . . . . . . . . . . . . . . . . . 89
3.4 Business Cycle Effects of Fiscal News . . . . . . . . . . . . . . . . . . 92
3.4.1 Variance Decomposition . . . . . . . . . . . . . . . . . . . . . 93
3.4.2 Impulse Responses . . . . . . . . . . . . . . . . . . . . . . . . 96
viContents
3.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
Appendix to Chapter 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
A Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
B Stationary Equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . 109
C Observation Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
D Data Construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
Bibliography 115
viiList of Figures
1.1 Equity Portfolio of Country 1 with Symmetric Preferences . . . . . . 20
1.2 Equity P of Country 1 with Asymmetric . . . . . . 21
1.3 Country 1 Holdings of Stock 2 for Increasing Trade Flows . . . . . . . 23
2.1 Growth Rates of GDP, Exports, and Loans . . . . . . . . . . . . . . . 43
2.2 German Exports, Global Demand, and Net Exports . . . . . . . . . . 45
2.3 Change of Credit Standards, Loan Deposit Rate Spread and Loan
Growth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
2.4 Foreign Claims by German Banks . . . . . . . . . . . . . . . . . . . . 48
2.5 Impulse Responses to Simultaneous Trade and Financial Shocks . . . 60
2.6 Responses to a Financial Shock . . . . . . . . . . . . . . . . 62
2.7 Impulse Responses to a Trade Shock . . . . . . . . . . . . . . . . . . 63
2.8 Responses to Financial and Trade Shocks with Different Bank
Capital Costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
3.1 Intrade Daily Closing Prices . . . . . . . . . . . . . . . . . . . . . . . 77
3.2 Evolution of the Tax Rates and the Spending to GDP Ratio. . . . . . 87
3.3 Impulse Responses to Unanticipated and Anticipated Capital Tax Shocks 97
3.4 Responses to Unan and Anticipated Stationary TFP
Shocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
ix