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Ова докторска дисертација има за циљ да на свеобухватан начин анализира изазове са којима се мала отворена економија са високим степеном финансијске евроизације суочава приликом вођења монетарне и макропруденцијалне политике. Рад посматра феномен финансијске евроизације са аспекта његовог узрока, односно детерминанти евроизације депозита, као највећег узрочника евроизације кредита, али и са аспекта ефеката које висок степен финансијске евроизације има на избор мера монетарне политике у овим земљама. Имајући у виду свеобухватност посматраног предмета истраживања, анализа је спроведена кроз три засебне целине, од којих свака посматра одређене аспекте финансијске евроизације, а које заједно посматране дају одговор на питање о узроцима финансијске евроизације и предлоге мера за де-евроизацију, као анализу ефеката на одлуке монетарне и макропруденцијалне политике и кључне макроекономске варијабле. Прва глава ове дисертације има за циљ да оцени детерминанте евроизације у дугом и у кратком року на узорку земаља централне, источне и југоисточне Европе које примењују режим инфлационог таргетирања како би се омогућила анализа потенцијалних мера монетарне и макропруденцијалне политике усмерених ка де-евроизацији депозита које би биле утемељене како на теоријским, тако и на емпиријским резултатима. Резултати истраживања приказани у Глави 1 ове дисертације указују на то да у посматраном узорку постоји позитивна коинтеграциона веза између перманентне компоненте евроизације и рација евроизације оцењеног методом минималне варијансе портфолија (Minimum Variance Portfolio - MVP) што представља полазну теоријску основу за анализу детерминанти евроизације. На посматраном узорку је показано да различите детерминанте утичу на кретање перманентне, односно транзиторне компоненте евроизације. Наиме, у дугом року, на одлуке о валутној структури штедње утиче однос волатилитета инфлације и номиналне депрецијације (апрецијације), али не и фактори који утичу на диференцијал каматних стопа. С друге стране, у кратком року диференцијал каматне стопе, као и мере макропруденцијалне политике имају значајан ефекат на кретање евроизације. Оцене добијене на основу панел података су затим верификоване и на узорку појединачних земаља. Резултати приказани у Глави 1 ове дисертације могу бити значајни приликом анализе ефикасности мера за де-евроизацију депозита, односно подстицања употребе локалне валуте у домаћем финансијском систему. This doctoral dissertation aims to comprehensively analyze challenges that small open economy with high degree of financial euroisation is facing when making decisions regarding monetary and macroprudential policies. This dissertation analyzes the phenomenon of financial euroisation taking into consideration both, the main determinants of deposit euroisation, which is the main driver of credit euroisation, but also the effects that high degree of financial euroisation has on the choices regarding monetary and macroprudential policy measures in small open economies. Considering the comprehensiveness of the research goal, the analysis was conducted through three separate Chapters, each of them focusing at certain aspects of financial euroisation. Altogether, these three Chapters answer the question about the causes of financial euroisation and proposals for de-euroisation measures, as well as the effects that high level of euroisation has on monetary and macroprudential decisions and consequently on developments of key macroeconomic variables. The first Chapter of this dissertation aims to evaluate the determinants of long-term and short-term euroisation in a sample of Central, Eastern and South-Eastern European countries with inflation targeting regime. The goal of this Chapter is to provide the analysis of potential monetary and macroprudential policies that could help the process of de-euroisation of deposits that would be based on both theoretical and empirical results. The results of this Chapter indicate that in the observed data set there exists a positive (both panel based and time series based) cointegration relationship between the permanent (long run) component of deposit euroisation and the euroisation ratio calculated using the Minimum Variance Portfolio (MVP) method. Based on the results from the First Chapter, it can be concluded that different factors act as a key determinants of movements in permanent vs. transitory components of deposit euroisation. Precisely, key determinants of deposit euroisation in the long run is the relative volatility of inflation vs. volatility of nominal depreciation. According to the results from the various specifications, interest rate differential is not statistically significant determinant of euroisation in the long run. On the other hand, in the short run, interest rate differential as well as the macroprudential policy measures have statistically significant effects on the movements in deposit euroisation. The results obtained from the panel data were also verified on a country-by-country data sets. The results of provided in Chapter 1 can be useful in analyzing the effectiveness of de-euroisation measures, that is, measures aimed at enhancing the use of local currency in the domestic financial system.

We build a structural small open economy model to examine the impact of monetary and macroprudential policy actions in a commodity exporting economy. The model incorporates labor market, credit market, macroprudential policy tools such as time-varying capital and reserve requirements, and shocks of FDI, commodity demand and commodity price. The model is estimated by Bayesian techniques using quarterly data for Mongolia in 2005–2017. The main results are (i) external and government spending shocks play important role on the business cycle fluctuations, (ii) capital and reserve requirements are more effective in curbing the credit growth (or changing bank lending rate), while the policy rate has stronger impact on inflation and exchange rate compared to the macroprudential tools, and (iii) combining macroeconomic and monetary policy measures is important in reducing welfare loss. These results suggest that synergies between monetary and macroprudential policy may ensure both macroeconomic and financial stability. Keywords: Commodity shocks, Macroprudential policy, Monetary policy, Reserve requirements, Capital requirements, Small open economy model, Bayesian analysis, JEL classification: C11, C51, E52, E58

We study the dynamic macroeconomic effects of fiscal shocks under lump-sum tax financing. To this end, we develop an intertemporal macroeconomic model for a small open economy, featuring monopolistic competition in the intermediate goods market, endogenous (intertemporal) labor supply, and finitely lived households. Fiscal shocks are shown to yield endogenously determined (dampened) cycles for a realistic calibration of the model. Impulse response functions of fiscal policy shocks in the finite-horizon model differ substantially from those resulting from an infinitely lived representative agent model. This can be explained by the presence of Ethier-productivity effects, which increase the size of long-run output multipliers to a greater extent in the infinite-horizon model.

This paper estimates a New Keynesian dynamic stochastic general equilibrium (DSGE) model in small open economies using the yield curve data as well as standard macro data. The DSGE model is estimated on the data of three inflation-targeting small open economies (Australia, Canada, and New Zealand) using Bayesian methods. We find that the long-end of the yield curve is highly correlated with the current and future short-term interest rates determined by domestic central banks. Yield curve data are particularly informative about the future stance of monetary policy in Australia and Canada in that the correlation between the model-implied monetary policy expectations and the ex-post realized policy interest rates increases when the yield curve data are used in estimation. Unlike the estimation results solely based on the macro data that imply the cental bank’s relatively strong focus on inflation stabilization, our results using yield curve information suggest that even inflation-targeting central banks have a significant concern for output stabilization. We also document that persistent domestic shocks, not foreign disturbances, drive the average level of the yield curve in these three countries.

This paper assesses the role of sovereign risk in explaining macroeconomic fluctuations in Turkey. We estimate two versions of a simple New Keynesian small open economy model on quarterly data for the period 1994Q3-2008Q2: A basic version and a version augmented by a default premium on government debt due to a perceived risk of sovereign debt default. Model comparisons clearly support the augmented version since it leads to stronger internal propagation and hence smaller shocks are required in order to reconcile the observed dynamics of nominal and real variables, leading to better forecasting performance. The estimated default probability is highly debt-elastic, indicating that default fears are a relevant concern. The results suggest that the augmented model may lead to a better understanding of macroeconomic fluctuations in emerging market economies that are subject to sovereign risk. In terms of policy implications, counterfactual experiments show that both more active monetary policy and stronger fiscal feedbacks from debt on taxes can lead to less volatile inflation and debt dynamics, but higher debt feedbacks on taxation additionally reduce expected default rates. JEL classification: E10; E30; E63; H30, Discussion Paper / SFB 823 ; 49/2010

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An open economy New Keynesian policy model for Australia is estimated in this study. We investigate how important external shocks are as a source of macroeconomic fluctuations when compared to domestic ones. The results of our analysis suggest that the Australian business cycle and domestic inflation are most affected by domestic demand and supply shocks, respectively. However, domestic output also appears to be strongly affected by foreign demand shocks, and domestic inflation by exchange rate shocks. Domestic variables do not seem to be significantly affected by foreign supply and monetary policy shocks.

Existing results on the contribution of terms of trade and world interest rate shocks to output fluctuations in small open economies range from less than 10% to almost 90%. We argue that an identification problems lies at the heart of these vastly di¤erent results. In this paper, we overcome this by estimating a DSGE model using a structural Bayesian estimation approach. We apply our methodology to five developed and developing economies.. Our approach allows us to e?ciently exploit cross-equation restrictions implied by the structural model. We find that world interest rate shocks are the main driving forces of business cycles in small open economies while terms of trade shocks are not.