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House of Finance
(2010)
In my dissertation I study the transmission of monetary and fiscal policy in New Keynesian DSGE models. In the first chapter we revisit the exchange rate channel in a two-country model of the U.S. and a panel of industrialized countries to analyse how monetary policy transmission in the U.S. changes if it becomes more trade integrated. We find that more openness lowers the sacrifice ratio, although the effect is quantitatively small and depends on the pricing of the firms. In the second chapter we simulate the impact of the U.S. fiscal stimulus package in 2009 on GDP. We find that the government spendingmultiplier is well below 1. The finding is robust to including rule-of-thumb consumers and simulating the stimulus in the recent recession. In the third chapter we collect the fiscal stimulus measures in the eleven biggest countries of the euro area. Then we do a robustness study by simulating the european package in five different models of the euro area. The macroeconomic models vary in terms of backward-looking decision making of the agents and openness. Our findings provide no support for a Keynesian multiplier. Instead they suggest that additional government spending will reduce private spending for consumption and investment purposes. If government spending faces an implementation lag, the initial effect on GDP may even be negative. In the fourth chapter I estimate a DSGE model for Germany and compute forecasts for the debt-to-GDP ratio. I find that the expected economic recovery will lead to a decrease in Germany’s indebtedness in the medium-term given that policy makers stick to the fiscal policy rules.
House of Finance
(2008)
This paper addresses the question whether close borrower-lender relationships, so called hausbank-relationships, facilitate the funding and beneficial development of SME. To this end, we derive a model which relates a firm's growth rate to its need for external funds and subsequently compute the firms that exceed their predicted growth rate. We then use this measure to identify specific characteristics that are associated with long- and short-term financing of firm growth, in particular the influence of relationship lending. We find that close ties with savings banks predict firms' access to external finance to fund growth. Moreover, the long-term liabilities of firms with hausbank-relationships almost double those with multiple relationships while the overall leverage is about the same. In turn, we find an strong empirical relationship between the provision of long-term funds and firm growth. Keywords: small business lending, credit access, public banks JEL Classifications: G21, D21
The objective of this paper is to test the hypothesis that in particular financially constrained firms lease a higher share of their assets to mitigate problems of asymmetric information. The assumptions are tested under a GMM framework which simultaneously controls for endogeneity problems and firms' fixed effects. We find that the share of total annual lease expenses attributable to either finance or operating leases is considerably higher for smaller firms with higher average interest rates and high-growth firms - those likely to face higher agency-cost premiums on marginal financing. Furthermore, our results confirm the substitution of leasing and debt financing for lessee firms. However, we find no evidence that firms use leasing as an instrument to reduce their tax burdens. Keywords: Leasing, financial constraints, asymmetric information, GMM JEL Classifications: D23, D92, C23