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Essays in Macroeconomics and Finance.

Faria e Castro, Miguel Arantes Barbosa de.

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Essays in Macroeconomics and Finance.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Macroeconomics and Finance./
作者:	Faria e Castro, Miguel Arantes Barbosa de.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
面頁冊數:	216 p.
附註:	Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.
Contained By:	Dissertation Abstracts International79-01A(E).
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10260602
ISBN:	9780355128055

Essays in Macroeconomics and Finance.
Faria e Castro, Miguel Arantes Barbosa de.

Essays in Macroeconomics and Finance. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 216 p.

Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.

Thesis (Ph.D.)--New York University, 2017.

This dissertation consists of three chapters, each of them containing an essay that is related to the macroeconomic effects of policy interventions in the financial sector.

ISBN: 9780355128055Subjects--Topical Terms:

517137
Economics.

Essays in Macroeconomics and Finance.
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500 $a Source: Dissertation Abstracts International, Volume: 79-01(E), Section: A.
500 $a Advisers: Virgiliu Midrigan; Thomas Philippon.
502 $a Thesis (Ph.D.)--New York University, 2017.
520 $a This dissertation consists of three chapters, each of them containing an essay that is related to the macroeconomic effects of policy interventions in the financial sector.
520 $a The first chapter, "Fiscal Multipliers and Financial Crises", investigates the effects of fiscal policy during a financial crisis. In particular, it studies the effects of the discretionary fiscal policy measures launched by the U.S. government in response to the recent financial crises and Great Recession. This fiscal policy response was comprised of essentially four major tools of fiscal policy: government purchases, transfers to households, equity injections in the financial sector, and credit guarantees. I develop a dyamic general equilibrium model that provides a potential role for each of these four tools in terms of macroeconomic stabilization. The model features interactions between the balance sheets of the household and financial sectors: the extent to which these interactions matter for aggregate activity depends on the state of the economy. To capture this state dependence, as well as the state dependent effects of fiscal policy, I calibrate the model to the U.S. and provide a full stochastic solution using global methods. I then combine the model with data, and estimate sequences for the structural exogenous shocks, which allow me to study counterfactuals. The main counterfactual I study is: what would the Great Recession have looked like in the absence of a discretionary fiscal policy response? I find that the impact of these measures was large: in their absence, the fall in aggregate consumption would have been 50% worse. I find that transfers to households and equity injections were the most important tools to stabilize consumption, as they target the feedback effects between household and bank balance sheets more directly. I find that the effects of these policy tools, measured by their fiscal multipliers, crucially depend on the state of the economy.
520 $a The second chapter, "Runs versus Lemons: Information Disclosure and Fiscal Capacity", is coauthored with Joseba Martinez and Thomas Philippon, and has been published in The Review of Economic Studies (Oxford University Press). In this chapter, we study the optimal use of disclosure and fiscal backstops during financial crises. Providing information can reduce adverse selection in credit markets, but negative disclosures can also trigger inefficient bank runs. In our model governments are thus forced to choose between runs and lemons. A fiscal backstop mitigates the cost of runs and allows a government to pursue a high disclosure strategy. Our model explains why governments with strong fiscal positions are more likely to run informative stress tests, and, paradoxically, how they can end up spending less than governments that are more fiscally constrained.
520 $a The third chapter, "The (Unintended?) Consequences of the Largest Liquidity Injection Ever", is coauthored with Matteo Crosignani and Luis Fonseca. In that chapter, we study the design of lender of last resort interventions and show that the provision of long-term liquidity incentivizes purchases of high-yield short-term securities by banks. Using a unique security-level data set, we find that the European Central Bank's three-year Long-Term Refinancing Operation incentivized Portuguese banks to purchase short-term domestic government bonds that could be pledged to obtain central bank liquidity. This "collateral trade" effect is large, as banks purchased short-term bonds equivalent to 8.4% of amount outstanding. The resumption of public debt issuance is consistent with a strategic reaction of the debt agency to the observed yield curve steepening.
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650 4 $a Finance. $3 542899
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