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The connection between monetary policy and financial markets
Chachlioutakis, Christos; Athens University of Economics and Business, Department of Business Administration; Athens University of Economics and Business, Department of Marketing and Communication; Philippopoulos, Apostolis
The dissertation examines the link between monetary policy and financial markets and how shifts in monetary policy affects a wide variety of financial products such as bonds, stocks and derivatives. The relationship between monetary policy and financial markets is by no means a one way street however. Markets reflect the expectations of market participants about future economic and monetary developments. These expectations, provide valuable information for central banks in determining the optimal future course of monetary policy. The recent financial crises has confronted central banks with a lot of questions about the theory of monetary policy and the results of the policy, in general. Monetary authorities throughout the world have been responding to the crisis by taking both conventional and unconventional policy measures. Monetary policy and financial markets are fully linked. Central banks conduct monetary policy by directly and indirectly influencing financial market prices. The relationship between monetary policy and financial markets is by no means a one way street, however. Financial market prices reflect the expectations of market participants about future economic and monetary developments. These expectations, in turn, provide valuable information for central banks in determining the optimal future course of monetary policy. In the vast majority of nations (or group of nations) central banks operate under regulations that refer to additional objectives such as full employment, maximum sustainable growth, stable interest rates or stable exchange rates. To meet their objectives, central banks intervene in financial markets. It is through the financial markets that monetary policy affects the real economy. In other words, financial markets are the connecting link in the transmission mechanism between monetary policy and the real economy. Monetary policy affects financial markets through various channels. However, the transmission process from monetary policy to financial markets and finally to the real economy has a single source: the monetary policy instrument as it noted by Philipp Hildebrand (2006). Typically, the monetary policy instrument is a financial market price which is directly set or closely controlled by the central bank. For most central banks with floating exchange rates, the monetary policy instrument is a short-term interest rate. Under fixed exchange rate regimes, a particular exchange rate serves as the instrument. Under monetary targeting regimes, the instrument is typically the quantity of central bank money in the banking system. The precise sequence of the monetary transmission mechanism depends on the instrument which is used. As it mentioned above, the link between monetary policy and financial markets is not a one way street. Financial market prices reflect market expectations about future, such as inflation, output, and the likely course of monetary policy. It is therefore natural and appropriate for central banks to evaluate closely the information contained in market prices. In other words, market expectations can and should influence the setting of monetary policy. However Philipp Hildebrand (2006) mentioned that central banks must exercise caution in using the information extracted from market expectations as an input to formulating monetary policy. The information value of financial market prices for monetary policy purposes decreases to the extent that they no longer reflect an independent evaluation by millions of market participants about probable future developments in the economy and in financial markets. Alan Blinder (1998) said the «dog chasing its tail» problem: Financial markets look for guidance from the central bank, the central bank looks for guidance from financial markets, and both parties temporarily lose sight of the underlying factors determining inflation, namely the output gap in the short to medium-un, and. To avoid this trap, central banks should exercise due caution when making use of financial market expectations. Financial markets provide useful information for a central bank in search of the optimal monetary policy path. But, as Otmar Issing (2005) said, central banks must ensure that they do «not end up merely executing the expectations developed in the market». The information about expected future developments reflected in market prices must be continuously cross-checked against a wide range of monetary and economic indicators in what amounts to a «checks and balances» approach to monetary policy.
Economic cooperation and interdependence
(Athens University of Economics and Business, 2010) Skiti, Tedi-Theodoros; Philippopoulos, Apostolis
Thesis - Athens University of Economics and Business. Postgraduate, Department of Economics
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, Apostolis
This 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.
Essays on optimal taxation theory & the Chamley-Judd result
Streza, Daniel; Athens University of Economics and Business, Department of Economics; Vassilatos, Vanghelis; Economides, George; Philippopoulos, Apostolis
The main goal of my dissertation is to present analytically the literature related to optimal capital income taxation and examine if it is optimal for the tax policy of the government to set capital income tax rate equal to zero in the long run.For this reason, I will solve a dynamic optimal taxation Ramsey model that features agents with infinite lives,in order to extract the famous Chamley-Judd result. Furthermore, I will try to discuss the impact that the Chamley-Judd result has on the literature of optimal taxation. Finally, my last task is to check the robustness of the celebrated result under a variety of model extensions. These extensions will provide a better insight into our analysis and will help us reach crucial concluding remarks for the research topic of zero capital income taxation.
The European balance of payments problem
Yfantis, Nikos; Υφαντής, Νίκος; Athens University of Economics and Business, Department of Economics; Tzavalis, Elias; Vassilatos, Vanghelis; Philippopoulos, Apostolis
The present thesis provides a qualitative study of the European balance of payments imbalances. The years prior to the global financial crisis, there has not been given particular attention to the development of imbalances. However, nowadays, they constitute the hottest issue facing both economists and policymakers. Macroeconomic imbalances refer to situations where variables are out of equilibrium for an extended period of time and they may pose risks to the economy. Since the inception of the European Monetary Union, while the current account of the entire euro area has remained balanced, euro area countries have experienced sizeable deficits or surpluses. Moreover, several member countries have accumulated extremely high public debt levels during the European sovereign debt crisis. As a result of these diverging macroeconomic developments, the project of European Union is threatened. During the crisis, important measures have been taken in order to correct these imbalances and lay the foundation for a stronger and more resilient union. However, more steps to this direction are needed. The current thesis takes into consideration the increase in the intra-euro area imbalances since the introduction of the single currency, investigating their causes and their role in the current European debt crisis and ends up in discussing some policy proposals, which will facilitate the adjustment process and will build a better functioning monetary union.
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, Apostolis
This 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.
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, Vanghelis
Doctoral thesis - Athens University of Economics and Business
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, Vanghelis
Doctoral thesis - Athens University of Economics and Business. Department of Economics
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, Apostolis
Doctoral thesis - Athens University of Economics and Business.
Macroeconomic models of endogenous growth focusing on human capital
(01/29/2019) Theodorakakis, Georgios; Athens University of Economics and Business, Department of Economics; Vasilatos, Evangelos; Economides, George; Philippopoulos, Apostolis
This thesis reviews certain economic growth models focusing primarily on the roles that human capital can play. Human capital is very versatile, in the sense it can be used in different methods and affect economic growth via multiple different mechanisms. Using the Solow-Swan and Ramsey models as benchmarks, I present three different ways in which the literature of economic growth has been using human capital. The first method presented, is the use of human capital in order to broaden the notion of capital in such a way as to make the investment and accumulation of stocks cause economic growth to be constant and positive in the long run. Furthermore, with the use of certain constraints and adjustment costs on investment, these models can help provide one reasoning as to why different countries have different growth rates, different transitional dynamics, as well as different speeds of relative convergence, depending on which capital stock is in relative abundance.The second method presented, is the use of human capital in order to endogenize technological progress and thus endogenizing economic growth (Romer 1990). In this case, the effects of human capital accumulation and allocation towards technological change are fundamental issues of long-term growth and thus also provide reasoning as to why rich and poor countries differ so much on their respective long-term growth rates; why convergence in absolute terms is not warranted; and why international trade and economy openness can be beneficial to all countries. The last method presented, is the use of human capital in enhancing the transitional dynamics towards an economy’s steady state. Using migration, these models show that migrants, who inseparably, carry their accumulated human capital with them, can affect the economic development and the transition of their origin and destination economies in different ways.
Optimal fiscal policy
(01/08/2018) Tsougias, Vasileios; Athens University of Economics and Business, Department of Economics; Economides, George; Vasilatos, Evangelos; Philippopoulos, Apostolis
Governments have to decide how much to spend and the way to ﬁnance their spending through taxes, borrowing, or printing money. Fiscal policy is one of the most important kinds of economic policy. This has to do with the multiple roles that have been attributed to ﬁscal policy during the years. In this dissertation we concentrate on eﬃciency issues and most speciﬁcally on the optimal composition of tax rates during a two period model, known as dynamic optimal taxation. The framework behind our analysis is the dynamic general equilibrium framework. There are many reasons why it is important to study dynamic optimal taxation and the time inconsistency problem that may arise. Governments sometimes announce a policy for the future but ﬁnd it optimal to carry out a different policy when the future arrives. This may happen because the conditions are different from those that were expected to prevail. This change of mind is called the problem of time inconsistency.
Public education policy in dynamic general equilibrium models
(29-01-2016) Sakkas, Stylianos; Ανωτάτη Σχολή Οικονομικών και Εμπορικών Επιστημών, Τμήμα Οικονομικών Επιστημών; Philippopoulos, Apostolis; Vassilatos, Vanghelis
This thesis is about fiscal policy and public finance in dynamic general equilibrium models.The aim is to study how reforms in the fiscal policy mix chosen (spending-tax), affectmacroeconomic outcomes (like per capita output, savings etc) and distribution among variouseconomic groups. Given that taxes are always distorting and/or that public spendingis not always beneficial for every income group, the key issue of this thesis is to look forthe least distorting tax mix and/or Pareto improving spending reforms. In this context, thethesis deals with three debated topics of the policy and academic agenda.