|
|
ICT Corporation within the Modern Market Economy: Benefits and Side Effects of Hosting "Silicon Valley"
Bakharev, Konstantin ; Slobodyan, Sergey (advisor) ; Kejak, Michal (referee)
The growth of the information and communications technology (ICT) industry over the last couple of decades, spurred by rapid technological changes within the fields of collection and distri bution of information, has led to a noticeable shift in the modern policies implemented by govern ments hosting large IT corporations. Tax benefits, subsidies, labor law exemptions, and government purchases are a few ways how a country can make itself more attractive for new "Google" facilities and support the growth of the ICT sector. However, these policies may not always be beneficial for the economic growth and development of innovative sectors. In this thesis, I study the efficiency of government programs that target ICT firms and show that such support programs may be more suitable for developing countries. A general equilibrium model with innovative goods producers and capital tax provides the theoretical framework and intuition for why the effects of this tax are different for a developed and developing economies. I explicitly show that elasticity of substitution on innovative markets play a significant role for the efficiency if ICT support programs. I employ the IV approach to support my results for the sample of European countries from 1998 until 2020 and study the possible channels for the effect...
|
|
|
Essays on Asset Pricing
Babiak, Mykola ; Kejak, Michal (advisor) ; Bhandari, Anmol (referee) ; Bianchi, Daniele (referee)
Generalized Disappointment Aversion and the Variance Term Structure Contrary to leading asset pricing theories, recent empirical evidence indicates that financial markets compensate short-term equity volatility risk. An equilibrium model with generalized disappointment aversion risk preferences and rare events reconciles the term structure of variance swap prices and returns, consistent with the data. In addition, a calibration explains the variance and skew risk premiums in equity returns and the implied volatility skew of index options while capturing salient moments of fundamentals, equity returns, and the risk-free rate. The key intuition for the results stems from endogenous variation in the probability of disappointing events in consumption growth. Parameter Learning in Production Economies We examine how parameter learning amplifies the impact of macroeconomic shocks on equity prices and quantities in a standard production economy where a representative agent has Epstein-Zin preferences. An investor observes technology shocks that follow a regime-switching process, but does not know the underlying model parameters governing the short-term and long-run perspectives of economic growth. We show that rational parameter learning endogenously generates long-run productivity and consumption risks that help...
|
|
|
Essays on Fiscal Policy and Productivity Growth
Ambriško, Róbert ; Kejak, Michal (advisor) ; Lipińska, Anna (referee) ; Hollmayr, Josef (referee)
The unifying theme of this dissertation is economic growth in a broad sense. On one hand, economic growth is influenced by productivity growth that has economic consequences for converging economies, which gradually catchup to those that are more advanced. On the other hand, economic growth is influenced by fiscal policy, more specifically by government decisions about taxes and government expenditure. This dissertation consists of three separate chapters. In the first chapter, I focus on the Balassa-Samuelson (henceforth B-S) effect in the context of the convergence of the Czech Republic to the Euro Area. The B-S effect implies that highly productive countries have higher inflation and appreciating real exchange rates because of larger productivity growth differentials between tradable and nontradable sectors relative to advanced economies. The B-S effect may pose a threat to converging European countries that would like to adopt the Euro because of the limits imposed on inflation and nominal exchange rate movements by the Maastricht criteria. Thus, the main goal of this study is to determine whether the B-S effect is a relevant issue for the Czech Republic in complying with selected Maastricht criteria before adopting the Euro. For this purpose, I build and estimate a two-sector DSGE model of a small open...
|
|
|
Macroeconomic policy during the coronavirus epidemic
Kapička, Marek ; Kejak, Michal ; Slavík, Ctirad
This paper summarizes the relevant economic literature to date, combining SIR models and macroeconomic models and discussing the consequences of the pandemic for fiscal and monetary policy. SIR models imply that our fight against the pandemic will only succeed if we are able to achieve a long-term reduction of the reproduction number. Macroeconomic epidemiological models highlight the mutual interaction between the spread of the infection and human economic behaviour. They show that there is a negative relationship between the depth of the economic recession and the rate at which the epidemic spreads. They also reveal that the epidemic creates negative externalities implying that spontaneously limiting activities is an inadequate response. The economic consequences of the pandemic are modelled as a mixture of supply and demand shocks, it is not entirely clear which type of shock will dominate. While the negative supply shock came first, the demand shock may end up dominating because certain sectors are hit harder than others. The macroeconomic literature also points out that the pandemic affects different groups of people to different extents: for example, quarantine measures affect young people and people with lower incomes more than others. The epidemic thus has significant consequences for the redistribution of income and consumption. In brief: governments' primary task is to implement public health measures that can flatten the epidemic's curve sufficiently to ensure that the health crisis connected with the spread of the coronavirus does not exceed the capacity of the given country's health system. These measures will necessarily contribute to worsening the economic crisis. During this stage of the crisis, in which fiscal policy plays an essential role, it is necessary ‚to do whatever it takes' to maintain the majority of the economy in a viable state. Monetary policy will play only a secondary role during this phase. The longer and more serious the health crisis, the worse the economic crisis will be: it may also start to manifest itself in the form of a financial crisis, exchange rate crisis etc., which may then demand more drastic fiscal policy measures and greater coordination between fiscal and monetary policies. This pandemic and the economic crisis it has given rise to are global crises. They cannot therefore be overcome in isolation in one country or another, but demand coordinated efforts from the most developed countries and proper aid for the less developed countries, with the international and supranational institutions (IMF, WB, ECB, EU and others) playing a substantial role.\n
|
|
|
Essays on Asset Pricing
Babiak, Mykola ; Kejak, Michal (advisor) ; Bhandari, Anmol (referee) ; Bianchi, Daniele (referee)
Generalized Disappointment Aversion and the Variance Term Structure Contrary to leading asset pricing theories, recent empirical evidence indicates that financial markets compensate short-term equity volatility risk. An equilibrium model with generalized disappointment aversion risk preferences and rare events reconciles the term structure of variance swap prices and returns, consistent with the data. In addition, a calibration explains the variance and skew risk premiums in equity returns and the implied volatility skew of index options while capturing salient moments of fundamentals, equity returns, and the risk-free rate. The key intuition for the results stems from endogenous variation in the probability of disappointing events in consumption growth. Parameter Learning in Production Economies We examine how parameter learning amplifies the impact of macroeconomic shocks on equity prices and quantities in a standard production economy where a representative agent has Epstein-Zin preferences. An investor observes technology shocks that follow a regime-switching process, but does not know the underlying model parameters governing the short-term and long-run perspectives of economic growth. We show that rational parameter learning endogenously generates long-run productivity and consumption risks that help...
|
|
|
Essays on macroeconomic models with heterogeneous agents
Sutóris, Ivan ; Kejak, Michal (advisor) ; Sterk, Vincent (referee) ; Reiter, Michael (referee)
This dissertation consists of three chapters dealing with the topic of heterogeneity in macroeconomics and macroeconomic models. Chapter 1 contributes to the literature on computational approaches to solving DSGE models with heterogeneous agents. One possible approach, a hybrid method described in Reiter (2009) combines a nonlinear solution with respect to individual state variables and a linearized solution with respect to aggregate shocks. Since linearization has typically been used in representative agent models, a natural question is how well it works in a setting with heterogeneity and whether a higher order approximation is not needed. I compare solutions obtained with linearization and second order perturbation for a benchmark stochastic growth model with idiosyncratic labor income shocks. In terms of accuracy, I find that second order solution does not differ much when aggregate volatility is low (e.g. in case of a typical calibration for productivity shocks in developed economies), but becomes more precise when volatility is higher. Another potential issue is that linearization implies certainty equivalence, which makes it unsuitable for analyzing certain issues. I illustrate potential economic applications of the 2nd order solution by showing how it can be used to easily compute welfare...
|
|
| |
|
|
Essays on the International Transmission on Business Cycles
Lamazoshvili, Beka ; Kejak, Michal (advisor) ; Kraft, Evan (referee) ; Campolmi, Alessia (referee)
Beka Lamazoshvili - Dissertation Common Abstract Abstract This dissertation studies different aspects of the transmission of international business cycles across countries. It consists of three chapters. In the first chapter, we study the role of trade in consumer durable goods and capital goods in the context of a two-country New Keynesian (NK) dynamic stochastic general equilibrium (DSGE) model. Our benchmark model, calibrated for the U.S. and its trading partners, is able to account for the high volatility and positive correlation of exports and imports observed in the data and discussed in the literature (Engel and Wang, 2011; Erceg, Guerrieri and Gust, 2008). Moreover, it can also match the conventional interest rate channel that is a centerpiece of the NK framework. We compare our baseline model with alternative two-country NK models with and without consumer durable goods and capital goods. Our simulations show that our benchmark model performs better in the international dimension than the comparison models. In a version of the benchmark model with flexible prices, we found only a limited role of consumer durable goods. However, the presence of a nominal sector and price rigidities make consumer durable goods more important for the international dimension of the model. We also discuss plausible...
|
|
|
Imperfeckt Knowledge, Expectations, and Monetary Policy
Fukač, Martin ; Kejak, Michal (advisor) ; Braun, Anton (referee) ; Vošvrda, Miloslav (referee)
Imperfect Knowledge, Expectations, and Monetary Policy Martin Fukac Abstract This dissertation addresses three topics: (i) recent boom of DSGE models popularity, and their use for monetary policy, (ii) imperfect knowledge, and expectations heterogeneity in DSGE models, and (iii) proximity of surveyed inflation expectations and market expectations. In the first chapter, co-authored with Adrian Pagan, we discuss three basic issues in adopting DSGE models for policy making: model design, matching the data, and operational requirements. We begin with a general discussion of the structure of dynamic stochastic general equilibrium (DSGE) models where we investigate issues like (i) the type of restrictions being imposed by DSGE models upon system dynamics, (ii) the implication these models would have for "location parameters", viz. growth rates, and (iii) whether these models can track the long-run movements in variables as well as matching dynamic adjustment. The first chapter further looks at the types of models that have been constructed in central banks for macro policy analysis. We distinguish four generations of these and detail how the emerging current generation, which are often referred to as DSGE models, differs from the previous generations. The last part of the chapter is devoted to a variety of topics...
|
|
|
Essays on Mathematical Methods for Economics
Brázdik, František ; Kejak, Michal (advisor) ; Wieland, Volker (referee) ; Halická, Margaréta (referee)
In the first chapter, by introduction of output augmentation and input reduction I extend additive models for stochastic data envelopment analysis (SDEA), which were developed by Li (1998) to handle the noise in the data. Applying the linearization procedure by Li (1998) the linearized versions of models are derived. In the empirical part of this chapter, the efficiency scores of West Java rice farms are computed. The computed scores are compared to the stochastic frontier approach scores by Druska and Horrace (2004) and weak ranking consistency with results of stochastic frontier method is observed. The objectives of the second chapter are to evaluate technical and scale efficiency of rice farms in West Java and to identify determinants affecting farms' efficiency. Data Envelopment Analysis is used for estimation of technical efficiency scores. Additionally, Tobit regression is used to explain the variation in the efficiency scores by farm-specific factors. I conclude that the farm size is one of the most important factors of farm technical efficiency and that high land fragmentation was the main source of farm inefficiency during the final period of intensification era, known as Green Revolution. In the last, chapter I examine macroeconomic stability and the properties of business cycles in the model with...
|
guest ::
