Essays on Business Cycles and Monetary Policy

This thesis explores some different dimensions of business cycle analysis and monetary policy,in closed and open economies. In the first chapter, I develop a model to analyze the roleof research and development in the US business cycle, and its ability to produce macroeconomicfluctuations by generating expectations of future productivity gains. In the secondchapter, I empirically investigate how changes in central bank transparency affects financialmarkets response to central bank announcements in the United Kingdom. Finally, in thethird chapter, I analyze some heterogeneities in the international spillovers of central bankannouncements, focusing on the behavior of exchange rates and international capital flows.The first chapter studies the role of R&D-based innovation within the US business cycle. Thechapter builds on the idea that temporary business cycle frequency contractions can result inprolonged medium-run slowdowns, if an economy’s technological growth is generated by asector of profit-maximizing innovators. In order to analyse the business cycle spillovers oninnovation activity, this chapter analyzes the contribution of R&D-based innovation to USbusiness cycle dynamics combining techniques from the empirical and theoretical literature.First, using a Bayesian VAR identified with a Cholesky recursive formulation, the papershows that innovation shocks are generally inflationary and generate rises in hours worked.Second, the paper introduces a medium-scale New-Keynesian model of creative destructionthat can rationalize these facts. In the model, a sector of profit-maximizing innovators investsin R&D and endogenously generates productivity gains, ultimately determining theeconomy’s growth rate. The estimated responses to innovation shocks are characterized bypowerful wealth effects that offset the contractionary spillovers on the labour market conventionally associated with productivity increases. The estimation results suggest that thebulk of the productivity s
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished