Essays on Macroeconomics and Financial Stability

La crise de 2008 et la récession qui l’a suivie ont modifié le consensus quant à la conduite de la politique économique (notamment monétaire). Elles nous ont rappelé que les déséquilibres financiers peuvent affecter durablement l’activité économique. De plus, elles nous ont montré que les instruments actuels de la politique économique ne garantissent pas toujours la stabilité financière. Ce constat nous invite à reconsidérer la politique monétaire et la régulation financière. Ainsi les politiques macro-prudentielles sont au centre du débat sur la politique économique. De plus, de nouvelles questions émergent à propos de l’influence de la politique monétaire sur la prise de risque des agents économiques. Cette influence est appelée le canal de la prise de risque de la politique monétaire. Dix ans après le début de la crise, les contours d’un nouveau cadre régulatoire visant à la stabilité du système économique et financier sont encore très ambigus. La connaissance quant aux instruments utiles et la manière de les mettre en place pour éviter l’accroissement des déséquilibres reste très limitée. De plus, les coûts économiques de ces instruments sont encore mal connus. En effet, la régulation financière contraint les comportements des agents économiques. Par conséquent, le risque d’imposer des coûts sur l’activité économique liée à la régulation ne peut pas être sous-estimé. De même, la relation entre la politique monétaire et le prix du risque financier est très incertaine. Pourtant, nous pouvons penser que les mesures prises par les banques centrales peuvent affecter les appréciations des risques, et ainsi avoir des conséquences sur la prise de risque des agents économiques. Si tel est le cas, ne pas tenir compte de ce phénomène peut exacerber les cycles d’expansion-récession. L’objectif de cette thèse est d’explorer la stabilité macroéconomique et financière. Mon travail est fondé sur les méthodes et techniques de la macroéconomie dynamique moderne. Concernant les principaux résultats, cette thèse montre l’utilité potentielle des politiques macroprudentielles. Plus particulièrement, elle met en lumière le fait que la régulation financière peut renforcer la résilience financière, réduire la volatilité macro-financière et lisser les fluctuations économiques de façon significative. De plus, cette thèse dévoile qu’une politique monétaire expansionniste peut effectivement générer un excès de confiance parmi les agents économiques, et ainsi augmenter la prise de risque et les déséquilibres financiers. En d’autres termes, mes résultats confirment empiriquement l’existence du canal de prise de risque de la politique monétaire.The 2008 crisis and the ensuing Great Recession shook the consensus on how to run economic policy. They reminded us that financial imbalances could significantly derail economic activity. In addition, they showed that existing policy tools did not guarantee macro-financial stability; thereby leading to a rethink of monetary policy and financial regulation. Such a reevaluation has prompted a call for macroprudential tools, i.e., those tools intended for limiting systemic risk and ensuring the resilience of the financial sector. Besides, it has raised new questions about monetary policy and its effects on the risk taking behavior of economic agents - the so-called risk taking channel. A decade from the beginning of the crisis, the contours of a new policy framework for economic and financial stability are still very unclear. Knowledge on which regulatory instruments and how to employ them to curb the buildup of imbalances is limited. Neither is much known about the costs of those instruments.Regulatory intervention constraints some behaviors and distorts the allocation of resources. Consequently, the risk of imposing insidious costs on economic growth must not be underestimated. Likewise, very little is known about the relationship between monetary policy and the perception and pricing of risk by market participants. Nonetheless, it is natural to think that the monetary policy stance may affect the risk taking behavior of economic units, by influencing the attitudes towards risk and the assessment of risks. If so, failure by monetary authorities to consider this phenomenon could exacerbate boom bust patterns. The aim of this thesis is to explore the path towards macroeconomic and financial stability. I have basedmy work on the modern dynamic macroeconomic methods and techniques. Specifically, the first essay develops a canonical real business cycle model to assess the macroeconomic consequences of bank capital requirements, arguably the most used prudential tool. The second essay zooms in on the banking sector, and proposes a structural dynamic model with a large number of heterogeneous banks. The model is employed to study the effectiveness of interbank exposure limits. Having analyzed regulatory intervention, the last essay uses time series econometrics to shed some light on the risk taking channel of monetary policy. It is my firm belief that macroeconomics models for financial stability analysis should consider nonlinear patterns such as state dependence, asymmetries and amplification effects. Under unusual conditions like financial booms or credit crunches, economic agents behave differently than during normal times. In other words, the inner workings of the macroeconomy become essentially nonlinear under abnormal circumstances. Therefore, local behavior around the long run equilibrium of the economy is unlikely to contain relevant information about what may happen in exceptional events. In consequence, I study macroeconomic policy exclusively through the lens of nonlinear frameworks and techniques. Regarding the main results, this thesis makes a strong case in favor of macroprudential regulation. I provide clear evidence suggesting that regulatory intervention can be a powerful tool to strengthen financial resilience, reduce economic volatility and smooth business cycles. In addition, this thesis shows that accommodative monetary policy can produce overconfidence among market participants; thereby increasing risk taking and contributing to the buildup of imbalances. In other words, it provides empirical evidence for the existence of a risk taking channel of monetary policy

The impact of IFRS adoption on the financial ratios of Norwegian public listed companies

Abstract. The standards of accounting are critical in determining the quality of financial statements and the financial outcomes of a public listed company. Recently, many organisations have moved from the GAAP (Generally accepted accounting principles) accounting to the IFRS (International Financial Reporting Standards) accounting. The IFRS are more robust, transparent and informative compared to the GAAP, which differ from one country to another. Therefore, the aim of this investigation was to identify the implications of IFRS application on the metrics that denote the financial position of publicly listed entities in Norway, such as, the profitability, liquidity, solvency and market ratios. The specific objectives investigated how the IFRS impacts the profitability, liquidity solvency and the market ratios of the Norwegian companies. The previous studies identified by literature review noted that the IFRS was positively correlated with the financial ratios. This research applied the quantitative research design and examined 10 Norwegian companies. Data was collected from the annual reports and the financial statements of the publicly listed companies on NASDAQ. Correlation and regression tests were carried out to ascertain the impact that the application of the various IFRS standards had on financial ratios. The study established that IFRS positively affected profitability and led to better liquidity outcomes. It also led to the attainment of better solvency ratios and better market ratios. The main strength of this study was that it attained all the research objectives. However, its limit was that its sole focus was on Norwegian companies hence generalisability of the findings to other companies outside of Norway was challenging

Unofficial answers to the examination questions, May 1939 to November 1941

https://egrove.olemiss.edu/aicpa_exam/1108/thumbnail.jp

Towards the Repayment of Self-Admitted Technical Debt

Technical Debt is a metaphor used to express sub-optimal source code implementations that are introduced for short-term benefits that often must be paid back later, at an increased cost. In recent years, various empirical studies have focused on investigating source code comments that indicate Technical Debt, often referred to as Self-Admitted Technical Debt (SATD). In this thesis, we survey research work on SATD, analyzing characteristics of current approaches and techniques for SATD, dividing literature in three categories: detection, comprehension, and repayment. To set the stage for novel and improved work on SATD, we compile tools, resources, and data sets made publicly available. We also identify areas that are missing investigation, open challenges, and discuss potential future research avenues. From the literature survey, we conclude that most findings and contributions have focused on techniques to identify, classify, and comprehend SATD. Few studies focused on the repayment or management of SATD, which is an essential goal of studying technical debt for software maintenance. Therefore, we perform an empirical study towards SATD repayment. We conducted a preliminary online survey with developers to understand the elements they consider to prioritize SATD. With the acquired knowledge from the survey responses and previous literature work, we select metrics to estimate SATD repayment effort. We examine SATD instances found in software systems to see how it has been repaid and investigate the possibility of using historical data at the time of SATD introduction as indicators for SATD that should be addressed. We find two SATD repayment effort metrics that can be consistently modeled in our studied projects and surface the best early indicators for important SATD

Money and Production: A Pluralist Analysis

The purpose of this thesis is to argue that the core of a monetary economy is a network of triangular contracts between banks, firms, workers and capital goods suppliers. Not only does this network give rise to the creation and valuation of money but it is the organising feature of modern economies, giving rise to both episodes of stability and crises. In constructing this argument I consider both orthodox and heterodox points of view. We analyse equilibrium models of money, and find that while money can exist in sequence economies with frictions, models of this type give no justification for its creation, valuation or holding for any significant duration, either theoretically or experimentally. Models that introduce dated goods and trading frictions to motivate the issue of risk-spreading ‘bundled’ debt are more promising for money creation, although they still cannot explain the the holding and valuation of money. Using the concept of team-production of Alchian and Demsetz and that of ‘hostage-taking’ in contracts owing to Williamson, we demonstrate how the issue of a token of generalised purchasing power from a team-production contract can enhance output and consumption. This conclusion motivates an original monetary theory of production that integrates the insights of Post-Keynesian monetary theory and the triangular contracts of the Circulation Approach and expresses them in a way that shows consistent asset and liability matching through a balance sheet approach. The creation and valuation of money and the determination of interest are embedded within the central processes of this economy. The features of the monetary production economy we analyse are in contrast to the mainstream proposition that the economy as a whole is rendered coherent by the existence of a unique and stable equilibrium determined by the utility-maximisation of households and the profit maximisation of firms. Apart from their inability to describe the economy in aggregate, such models treat money as an afterthought that is in no way core to their conception. We set the triangular contracts within a rigorous stock-flow framework of the type developed by Godley and Lavoie and argue that the shifting of the level of impact of uncertainty and failed expectations induced by money leads to specific patterns of economic disruption. These patterns are independent of the specific behavioural characteristics of households and firms and so are robust to policy changes that leave the institutions of the monetary production economy intact. We briefly assess current monetary policy and alternatives in the light of these findings

Mapping of Ice Sheet Deep Layers and Fast Outlet Glaciers with Multi-Channel-High-Sensitivity Radar

This dissertation discusses the waveform design, the development of SAR and clutter reduction algorithms for MCRDS radars that are developed at CReSIS to map the ice-sheet bed, deep internal layers and fast-flowing outlet glaciers. It is verified with survey data that the sidelobe level of the designed tapered linear chirp waveform is lower than -60dB for reliable detection of deep ice layers close to the bed. The SAR processing is implemented in f-k domain with motion compensation. Very weak echoes from the deepest parts of Jakobshavn channel are detected for the first time using large synthetic aperture length. A beam-spaced clutter-reduction algorithm is developed to reduce the distributed across-track ice clutter encountered in sounding fast outlet glaciers by estimating the clutter power as a function of depth. On average this method is able to reduce ice clutter by 10dB over Hanning weighting with the MCRDS radar's multi-channel data