Essays in macroeconomics

This dissertation consists of three chapters that deal with monetary policy in crisis times, the interaction of monetary and fiscal policy in general and a more theoretical paper that compares two empirical methods which are more and more used at monetary institutions. The main contribution of the first essay is the new and fully structural approach. It is joint work with Björn Hilberg and is entitled „Asset prices, Collateral and Unconventional Monetary Policy in a DSGE model“ and tries to answer among other things whether monetary policy should react to asset prices and what exit strategy a central bank should pursue. The second chapter is my single authored paper and is called „Fiscal Spillovers and Monetary Policy Transmission in the Euro Area“. There the structural and empirical contributions are equally important. I find that fiscal spillovers in terms of output and inflation are negative upon an expansionary government spending shock. Monetary transmission of output and inflation is heterogeneous across countries. Overall the monetary shocks seem to matter more than fiscal shocks for the evolution of the macroeconomic variables. Finally, the last chapter is entitled „(G)VAR: When is the G essential?“ and is coauthored by Cristian Badarinza. In this essay the major contribution is both theoretical and empirical. We establish a test in order to examine when the dynamic responses of a GVAR on disaggregated data are equivalent to a VAR with aggregated data and apply it to two country - two variable pairs in the euro area. Furthermore we find that a univariate AR() can be approximated by a GAR(1).