Essays on macroeconomic price adjustments.

摘要

During the last decade, housing prices have increased dramatically in several countries around the world. For instance, housing prices in the United States, Spain, and Ireland have been marked by one of the most striking boom-bust cycles in their history. The concomitant increase in housing prices across many advanced economies raises the following important questions. What are the main determinants of the housing price movements in these countries? Are the advanced countries' housing markets interrelated?;The three essays in this dissertation analyze two main topics on macroeconomic price adjustments. The first two essays attempt to answer the questions raised above by studying the latest evolution in housing market prices in the United States and eight other advanced economies (six Western European countries, Australia, and New Zealand). The third essay analyzes the price evolution of the war bonds issued by the United States in order to finance the World War I.;The first chapter of the dissertation estimates a set of structural Bayesian VAR models for the U.S., France, Spain, and Greece that examine the relative effects of developments in the real production sector, the financial sector, and international capital flows on the housing market. The main results for the U.S. show that foreign capital inflows account for more than 30% of the variance of the shocks hitting housing prices, while adjustable mortgage rates contribute about 38%. The second chapter uses a Global VAR model estimated using quarterly data from seven countries, for the period 1987-2011, to analyze the interdependencies that exist between domestic and international factors in housing markets. We find that housing price shocks originating in the U.S. have large spillover effects on all the countries, with the largest magnitudes on Ireland. The third chapter studies the price fluctuations of war bonds issued by the U.S. Treasury in order to finance the World War I between November, 1917 and December, 1920. Bayesian time series techniques are used to carry out the analyses. We are focusing on the effects that the bond purchasing program of the War Finance Corporation had on the evolution of war bond yields.