Three essays on time-series macroeconomics

In the first chapter of this thesis, a practical aggregation method for heterogeneous log-linear functions is presented. Inequality measures are employed in the construction of an exact representation of the aggregate behavior of an economy formed by heterogeneous log-linear agents. Three applications are discussed: the aggregation of the Lucas supply function, the time-inconsistent behavior of an egalitarian social planner facing heterogeneous discount rates, and the case of a simple heterogeneous growth model. In the latter application, aggregate CPS data is used to show that the slowdown that followed the first oil shock appears to be worse than usually thought. Additionally, the “new economy” growth resurgence seems less impressive when compared to the growth performance of the period that preceded the first oil shock.; In the second chapter, a simple consistent nonparametric estimator of the long-run correlation between two variables is proposed, based on the estimation of the bivariate k-lag difference correlation. The estimator is asymptotically equivalent to the Bartlett kernel spectral estimator of the complex coherency at frequency zero. Optimal lag-selection and alignment criteria are presented. Long-run correlations between American and Latin-American stock returns are considered. The estimates increase substantially in the second half of the nineties. The results could indicate the presence of a correlation component common to Latin-American markets in the second half of the period.; The third chapter uses a dynamic general equilibrium model to study the economic effects of bank account debits (BAD) taxation. Australia and various Latin-American countries have levied or levy BAD taxes. Theoretical aspects such as tax cascading, financial disintermediation, market illiquidity, impacts on dividend and interest rates, tax revenue, government deficit, and effective rates on final transactions are considered. The Brazilian BAD tax (CPMF) experience is evaluated. Revenue productivity appears to be very sensitive to the tax rate, engendering a Laffer curve. There may also be impacts on real interest rates. Part of the BAD tax revenue can be lost due to increased interest payments on government debt. Furthermore, the deadweight losses seem to be significant if compared to revenues.