Text

theses

This dissertation develops empirical models aimed at analysing some relevant macroeconomic
trends and policies in the euro area, with a focus on post-crisis dynamics.

Chapter 1 focuses on the decoupling between productivity and compensation growth, which has become more evident in the euro area after the 1990s. By using static and time-varying econometric techniques, it assesses how extensively this phenomenon has affected the different economies in the euro zone. Results suggest that both the aggregate euro area and its four biggest economies have experienced a significant decrease in the pass-through of productivity on to compensation, such decoupling being a rather long-lasting phenomenon with a certain degree of cross-country heterogeneity in terms of magnitude and timing.

Chapter 2 aims at assessing the macroeconomic impact of unconventional monetary policies (UMPs) that the ECB has put in place in the euro area after 2007. With this purpose, it first documents how the relative importance of the main transmission channels of such measures has changed over time, with the portfolio rebalancing being generally more impactful than the signalling channel after theWhatever it takes"speech
in July 2012. However, it also provides evidence of a great degree of heterogeneity across core and peripheral economies, as well as over time. A time-varying Structural Vector Autoregression (SVAR) model with stochastic volatility is then constructed to account for such heterogeneity, with UMP shocks identified by means of "dynamic" sign restrictions. Finally, a counterfactual experiment based on the outcome of the model estimation shows that a more aggressive loosening on the part of the ECB could have helped support the economic performance of peripheral euro area economies.

Chapter 3 tackles the question as to what extent the process of (re-)shaping the architecture of the European Economic and Monetary Union (EMU) has repercussions outside of the continent. This is done by quantifying the economic effects that shocks to EMU cohesion can have on the rest of the world. Notably, the chapter proposes an identification strategy to isolate economic stress shocks to the euro area which is based on the imposition of sign, magnitude and narrative restrictions on a daily SVAR model with financial variables. The effects of euro area stress shocks on the rest of the world are then further investigated by means of panel local projections for a set of advanced and emerging economies. Shocks to EMU cohesion are found to have a significant impact on the rest of the world.

ETD_10608

Ph.D.

Includes bibliographical references

doi:10.7282/t3-htxy-3k70

ETD doctoral

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