Essays on international macroeconomics
type: CreativeWork
description: This dissertation is composed by three chapters presenting different topics in international macroeconomics. The first chapter focuses on the role of private information in the dynamics of sovereign debt yields. I propose a model of sovereign debt and default where information is incomplete: Investors receive private noisy signals about the current state of the economy, resulting in heterogeneous information sets across the investors and the government. I show that having a large enough signal noise is a sufficient condition for uniqueness of equilibrium. The main empirical contribution of this chapter is proposing and implementing a structural estimation strategy for the private information noise. Using forecasts data about real GDP growth in the euro area, available since 1999, I measure private information noise at a quarterly frequency, by insuring that the informational structure of my model implies statistics of forecast dispersion and uncertainty consistent with those observed in the data. Private information noise in the euro area shows two interesting characteristics: It peaks during crises and it has remained persistently larger than before since the Great Recession. I calibrate my model to be consistent with observed moments of the euro area economy, and I show it is successful in accounting key untargeted statistics of sovereign spreads. By means of counterfactual exercises, I assess the impact that a change in private information noise has on the spreads' statistics. First of all, I investigate what are the implications of the private information noise having remained at the lower levels prevalent before the Great Recession. I find that spreads would have been on average lower and less volatile. Then, I simulate my model for various levels of private information noise, and this exercise uncovers a hump-shaped relation between private information noise and the average spread level, and the spread volatility: While spread levels and volatility are initial…
abstract: This dissertation is composed by three chapters presenting different topics in international macroeconomics. The first chapter focuses on the role of private information in the dynamics of sovereign debt yields. I propose a model of sovereign debt and default where information is incomplete: Investors receive private noisy signals about the current state of the economy, resulting in heterogeneous information sets across the investors and the government. I show that having a large enough signal noise is a sufficient condition for uniqueness of equilibrium. The main empirical contribution of this chapter is proposing and implementing a structural estimation strategy for the private information noise. Using forecasts data about real GDP growth in the euro area, available since 1999, I measure private information noise at a quarterly frequency, by insuring that the informational structure of my model implies statistics of forecast dispersion and uncertainty consistent with those observed in the data. Private information noise in the euro area shows two interesting characteristics: It peaks during crises and it has remained persistently larger than before since the Great Recession. I calibrate my model to be consistent with observed moments of the euro area economy, and I show it is successful in accounting key untargeted statistics of sovereign spreads. By means of counterfactual exercises, I assess the impact that a change in private information noise has on the spreads' statistics. First of all, I investigate what are the implications of the private information noise having remained at the lower levels prevalent before the Great Recession. I find that spreads would have been on average lower and less volatile. Then, I simulate my model for various levels of private information noise, and this exercise uncovers a hump-shaped relation between private information noise and the average spread level, and the spread volatility: While spread levels and volatility are initial…
author: Buiatti, Cesare
language: en
keywords: Sovereign debt, Productivity, Labor income share
date published: 2019-08-23T19:51:32Z
date modified: 2026-07-22T22:24:42Z
provider: University of Illinois - Urbana-Champaign
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: University of Illinois at Urbana-Champaign

PropertyValue
property ID: Handle
value: http://hdl.handle.net/2142/104758