On the macroeconomic implications of firm dynamics, banking, and reputation [Elektronische Ressource] / vorgelegt von Alexander Totzek

On the Macroeconomic Implications ofFirm Dynamics, Banking, and ReputationInaugural-Dissertation zur Erlangung des akademischen Grades eines Doktors derWirtschafts- und Sozialwissenschaften der Wirtschafts- und SozialwissenschaftlichenFakult¨at der Christian-Albrechts-Universita¨t zu Kielvorgelegt vonAlexander Totzek[Diplom-Volkswirt, Diplom-Kaufmann]aus Kiel, geb. 25.04.1983Kiel, M¨arz 2011Gedruckt mit Genehmigung der Wirtschafts- und Sozialwissenschaftlichen Fakulta¨tder Christian-Albrechts-Universita¨t zu KielDekanin: Professor Dr. Birgit FriedlErstberichterstattender: Professor Dr. Hans-Werner WohltmannZweitberichterstattender: Professor Dr. Christian MerklTag der Abgabe der Arbeit: 20. Januar 2011Tag der mu¨ndlichen Pru¨fung: 23. Februar 2011ContentsList of Figures VIIList of Tables IXAcknowledgements X1 Introduction 11.1 The Baseline New Keynesian Model ................................. 31.2 Problems and Potential Solutions .................................... 4Part One: Extensions of the baseline New Keynesian Model 152 Banks, Oligopolistic Competition, and the Business Cycle: A NewFinancial Accelerator Approach 162.1 Introduction......................................................... 162.2 The Model .......................................................... 202.2.1 Households................................................... 212.2.2 Retailers ..................................................... 222.2.3 Firm Sector ..................
Publié le : vendredi 1 janvier 2010
Lecture(s) : 74
Source : D-NB.INFO/1011049422/34
Nombre de pages : 179
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On the Macroeconomic Implications of
Firm Dynamics, Banking, and Reputation
Inaugural-Dissertation zur Erlangung des akademischen Grades eines Doktors der
Wirtschafts- und Sozialwissenschaften der Wirtschafts- und Sozialwissenschaftlichen
Fakult¨at der Christian-Albrechts-Universita¨t zu Kiel
vorgelegt von
Alexander Totzek
[Diplom-Volkswirt, Diplom-Kaufmann]
aus Kiel, geb. 25.04.1983
Kiel, M¨arz 2011Gedruckt mit Genehmigung der Wirtschafts- und Sozialwissenschaftlichen Fakulta¨t
der Christian-Albrechts-Universita¨t zu Kiel
Dekanin: Professor Dr. Birgit Friedl
Erstberichterstattender: Professor Dr. Hans-Werner Wohltmann
Zweitberichterstattender: Professor Dr. Christian Merkl
Tag der Abgabe der Arbeit: 20. Januar 2011
Tag der mu¨ndlichen Pru¨fung: 23. Februar 2011Contents
List of Figures VII
List of Tables IX
Acknowledgements X
1 Introduction 1
1.1 The Baseline New Keynesian Model ................................. 3
1.2 Problems and Potential Solutions .................................... 4
Part One: Extensions of the baseline New Keynesian Model 15
2 Banks, Oligopolistic Competition, and the Business Cycle: A New
Financial Accelerator Approach 16
2.1 Introduction......................................................... 16
2.2 The Model .......................................................... 20
2.2.1 Households................................................... 21
2.2.2 Retailers ..................................................... 22
2.2.3 Firm Sector .................................................. 22
2.2.4 Banking Sector............................................... 24
2.2.5 Bank Creation ............................................... 26
2.2.6 Aggregation.................................................. 28
2.2.7 Calibration................................................... 29
2.2.8 The Benchmark New Keynesian Model ....................... 31
2.2.9 Stability Analysis ............................................ 31
2.3 Impulse Responses .................................................. 32
2.3.1 The Technology Shock ....................................... 32
2.3.2 The Interest Rate Shock: A New Transmission Channel for
Monetary Policy ............................................. 36
2.3.3 The Shock to Government Spending .......................... 38
2.3.4 The Shock to Bank Value .................................... 40Contents III
2.4 Second Moments .................................................... 41
2.4.1 The Baseline Bank Entry Model.............................. 41
2.4.2 The Financial Activity Tax and the Financial Transaction Tax 43
2.5 Conclusion .......................................................... 46
Appendix to Chapter 2 ................................................... 47
3 Firms’ Heterogeneity, Endogenous Entry and Exit Decisions 49
3.1 Introduction......................................................... 49
3.2 The Model .......................................................... 54
3.2.1 Producers.................................................... 54
3.2.2 Aggregation.................................................. 58
3.2.3 Households................................................... 59
3.2.4 Overall Resource Constraint.................................. 60
3.2.5 Monetary Policy and Endogenous Trade-Off .................. 61
3.3 Parameterizations ................................................... 61
3.4 Impulse Responses .................................................. 63
3.4.1 Overall Productivity Shock................................... 64
3.4.2 Government Spending Shock ................................. 68
3.4.3 Interest Rate Shock .......................................... 73
3.5 Second Moments .................................................... 74
3.6 An Empirical Exercise............................................... 77
3.7 Conclusion .......................................................... 81
Appendix to Chapter 3 ................................................... 84
Part Two: Monetary and Fiscal Policy Analyses 90
4 Barro-GordonRevisited:AnAnalysisofReputationalEquilibriain
a New Keynesian Model 91
4.1 Introduction......................................................... 91
4.2 The Model .......................................................... 93
4.3 Monetary Policy..................................................... 93
4.3.1 Discretionary Monetary Policy................................ 94
4.3.2 Simple Rules ................................................. 96
4.3.3 Inconsistent Policy ........................................... 99
4.3.4 Time-Consistent Simple Rules ................................ 100
4.3.5 Extensions ................................................... 105Contents IV
4.4 Conclusion .......................................................... 107
Appendix to Chapter 4 ................................................... 109
5 Fiscal Stimulus in a Business Cycle Model with Firm Entry 112
5.1 Introduction......................................................... 112
5.2 The Model .......................................................... 116
5.2.1 Final Goods Producers ....................................... 116
5.2.2 Intermediate Goods Producers................................ 117
5.2.3 New Product Creators........................................ 118
5.2.4 Households................................................... 119
5.2.5 Aggregation.................................................. 121
5.2.6 The Benchmark Model ....................................... 121
5.3 Parameter Estimates ................................................ 121
5.4 Estimated Responses to a Government Consumption Shock .......... 124
5.5 Multiplier Analysis .................................................. 128
5.5.1 The Pure Demand Stimulus .................................. 128
5.5.2 Tax Cuts..................................................... 129
5.5.3 The Different Stimuli at a Glance............................. 135
5.6 Distortionary Taxation .............................................. 136
5.7 Conclusion .......................................................... 138
Appendix to Chapter 5 ................................................... 140
6 Summary and Outlook 145
6.1 Summary............................................................ 145
6.2 Outlook ............................................................. 148
Bibliography 152
Curriculum Vitae 164
Eidesstattliche Erkl¨arung (Certificate of Authorship/Originality) 168List of Figures
1.1 Model structure of the baseline New Keynesian model................ 3
2.1 On the counter-cyclical nature of the number of banks and banks’
mark-up............................................................. 17
2.2 The number of banks and their mark-ups ............................ 18
2.3 Model structure ..................................................... 20
2.4 Regions of determinacy.............................................. 32
2.5 Impulse responses to an expansionary technology shock .............. 33
2.6 Impulse responses of the baseline bank entry model to an expansion-
ary technology shock in comparison with the benchmark New Key-
nesian model ........................................................ 34
2.7 Impulse responses to an expansionary technology shock with sticky
loan rates in comparison with the baseline model with flexible loan
rates ................................................................ 35
2.8 Impulse responses to an expansionary technology shock with an en-
dogenous survival probalitity in comparison with the baseline bank
entry model and the benchmark New Keynesian Model............... 36
2.9 Impulse responses to an expansionary shock to the interest rate ...... 37
2.10 Impulse responses of the baseline bank entry model to an expansion-
aryshocktomonetarypolicyincomparisonwiththebenchmarkNew
Keynesian model .................................................... 38
2.11 Impulse responses to an expansionary shock to government spending . 38
2.12 Impulse responses of the baseline bank entry model to an expansion-
aryshocktogovernmentspendingincomparisonwiththebenchmark
New Keynesian model ............................................... 39
2.13 On the impact of monetary policy ................................... 402.14 Impulse responses to a contractionary shock to bank value ........... 41
2.15 The impact of the financial activity tax and the financial transaction
tax on the standard deviation of GDP ............................... 44
3.1 Firm birth rate and GDP in the US.................................. 49
3.2 Firm failures and GDP in the US.................................... 50
3.3 Cyclical properties of firm entry and exit............................. 50
3.4 Model structure ..................................................... 54
3.5 Impulseresponsestoapersistentshocktoaggregateproductivitywith
exogenous exits...................................................... 64
3.6 Impulse responses to a shock to aggregate productivity with exoge-
nous exits ........................................................... 66
3.7 The impact of the intertemporal elasticity of substitution on total
hours worked in the RBC version .................................... 67
3.8 Impulse responses to a persistent shock to aggregate productivity –
endogenous vs. exogenous exits ...................................... 68
3.9 Impulse responses to an expansionary shock to government spending
(exogenous γ) ....................................................... 69
3.10 Mass of firms development under different Frisch elasticities of labor
supply (exogenous γ) ................................................ 70
3.11 Schematic illustration of entry decisions under heterogeneity and ho-
mogeneity ........................................................... 71
3.12 Massoffirmsdevelopmentunderdifferentdegreesofshockpersistence
(exogenous γ) ....................................................... 71
3.13 Mass of firms development under different Taylor rule coefficients λy
(exogenous γ) ....................................................... 72
3.14 Impulse responses to an expansionary shock to government spending
– endogenous vs. exogenous exits .................................... 73
3.15 Impulse responses to an expansionary shock to monetary policy (ex-
ogenous γ) .......................................................... 743.16 Histograms.......................................................... 81
4.1 Comparing the social loss under the regime TR and D ............... 98
4.2 Stable and unstable simple rules ..................................... 102
4.3 The net gainN and the social loss underTR for different Taylor rule
coefficients .......................................................... 103
4.4 Optimal Taylor rule coefficients...................................... 104
4.5 Stable and unstable simple rules with γ >0.......................... 106
4.6 Stable and unstable simple rules – simultaneous supply and demand
shocks (ε <0 and ε >0)........................................... 1071 2
5.1 Model structure ..................................................... 117
5.2 Impulse responses to a temporary increase in government consumption125
5.3 On the ambiguous reaction of investment in new firms ............... 127
5.4 Impulse responses of the mass of firms to different shocks ............ 128
5.5 Fiscal multipliers for the endogenous entry and a standard RBC model129
5.6 Impulse responses to a temporary cut in labor taxes ................. 130
5.7 Impulse responses to a temporary cut in capital income taxes ........ 131
5.8 Impulse responses to a temporary cut in dividend income taxes ...... 132
5.9 Impulse responses to a simultaneous temporary cut in capital and
dividend income taxes ............................................... 133
5.10 Impulse responses to a temporary cut in consumption taxes .......... 134
5.11 Multipliers and the reaction of the mass of firms for different combi-
nation of η and ρ ................................................... 142gList of Tables
2.1 ThecompleteNewKeynesianmodelwithendogenousentryofoligopolis-
tic banks ............................................................ 30
2.2 The complete benchmark New Keynesian model ..................... 31
2.3 Business cycle statistics [data, bank entry model, (benchmark New
Keynesian model)]................................................... 42
2.4 Business cycle statistics of the baseline bank entry model, the bank
entry model with financial activity tax, the bank entry model with
financial transaction tax ............................................. 45
2.5 Numerically computed steady state values ........................... 48
3.1 The complete New Keynesian model with endogenous firm entry and
exit ................................................................. 62
3.2 Secondmomentstoanaggregateproductivityshock[data,RBCmodel,
(BGMa)] ............................................................ 75
3.3 Second moments to an aggregate productivity shock [data, New Key-
nesian Model, (RBC model)]......................................... 76
3.4 Second moments to an aggregate productivity shock [data, New Key-
nesian Model with exogenous exits, (New Keynesian Model with en-
dogenous exits)] ..................................................... 77
3.5 Structural parameter estimates ...................................... 80
3.6 Moments of estimation errors ........................................ 81
3.7 Numerically computed steady state values ........................... 89
5.1 The complete RBC model with firm entry and capital in production.. 122
5.2 ResultsfromtheBayesianestimationincludingpriordistributionand
confidence intervals.................................................. 1245.3 Response of the mass of firms........................................ 135
5.4 Fiscal multipliers and mass of firms.................................. 135
5.5 Government spending multipliers and mass of firms,N, under distor-
tionary taxation (φ =0.5) .......................................... 137g
5.6 Numerically computed steady state values ........................... 144

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