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Essays on Open Economy Macroeconomics

Abstract : The aim of this thesis is to evaluate macroeconomic interdependence between developed economies over the recent decades and, in particular, following the 2007-09 US financial crisis. For that purpose, we use several modeling assumptions across the three main chapters of the thesis to capture the international dimension of business cycles across countries: panel VAR model to model countries interdependence directly, simple VAR model with both domestic and foreign variables, and two-country DSGE model to model the real and financial mechanisms that link countries together. Our main result is that international dimension is important to explain the macroeconomic dynamics of developed economies over the last three decades and for either real, nominal and financial variables. Nevertheless, the role of foreign factors does not grow over time as would be expected with the increase in globalization of the recent decades. Also, looking at the recent economic crises in the US and the euro area, we confirm that the 2007-09 US financial crisis features a bigger shock relative to historical standards, which propagated to euro area economies through international financial linkages. In contrast, the 2011 euro area sovereign debt crisis features a standard shock, comparable to those observed in previous European crises like the 1992-1993 ERM crisis, and affecting mostly European economies.
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Submitted on : Tuesday, March 12, 2019 - 3:06:56 PM
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  • HAL Id : tel-02065219, version 1


Thierry Chauvel. Essays on Open Economy Macroeconomics. Economics and Finance. Université de Lorraine, 2018. English. ⟨NNT : 2018LORR0119⟩. ⟨tel-02065219⟩



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