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Quatre essais sur la volatilité et l'instabilité macroéconomiques sous différents régimes de change

Abstract : The present PhD dissertation is made of FOUR ESSAYS shedding a new light on the links between macroeconomic volatility, macroeconomic instability and the exchange rate regime. Macroeconomic volatility and instability are defined as the variability of key macroeconomic aggregates due to the occurrence of fundamental and sunspot shocks respectively. In other words, macroeconomic volatility concerns a given equilibrium, while macroeconomic instability arises in the presence of multiple equilibria. Three main exchange rate regimes are considered alternatively: the flexible, the fixed but adjustable and the irrevocably fixed exchange rate regimes. The FIRST ESSAY characterizes analytically, within the canonical New Keynesian model of a small open economy under alternative exchange rate regimes, the set of monetary policy rules which ensure the implementation of the optimal equilibrium by eliminating macroeconomic instability and minimizing macroeconomic volatility. The SECOND ESSAY proposes a simulation of the UK business cycle under EMU-membership, based on the predictions of a New Keynesian model estimated on pre-EMU data. The results suggest that the euroized! UK would escape macroeconomic instability but experience a higher macroeconomic volatility. The THIRD ESSAY builds a three-country second-generation currency crises model based on the New Open Economy Macroeconomics literature. International coordination and cooperation are found to reduce macroeconomic instability by eliminating the possibility of self-fulfilling expectations of currency crises. The FOURTH ESSAY presents a two-country model based on the New Open Economy Macroeconomics and the New Economic Geography literatures. The fixed exchange rate regimes are found to be more likely than the flexible exchange rate regime to raise macroeconomic volatility in the long term by giving rise to endogenously asymmetric demand shock. Altogether, this dissertation points to the flexible and to the irrevocably fixed exchange rate regimes as the ones associated with the lowest macroeconomic volatility and instability respectively.
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Submitted on : Wednesday, July 21, 2010 - 9:36:32 AM
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Olivier Loisel. Quatre essais sur la volatilité et l'instabilité macroéconomiques sous différents régimes de change. Sciences de l'Homme et Société. Ecole Polytechnique X, 2003. Français. ⟨pastel-00000703⟩



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