We allow for heterogeneity in investors' ability to borrow from collateral in a Kiyotaki-Moore style macro model. We calibrate the model to match the quintiles of the distribution of leverage ratios of US non-financial firms. We show that financial amplification of the model with heterogeneous investors can be orders of magnitude higher, because of more pronounced asset price reactions. / Series: Department of Economics Working Paper Series

An insufficient financial market means that poor individuals cannot access financial capital, making it difficult for them to generate a stable income. Formal banks see these individuals as unreliable customers because of their financial background and see a risk that these potential customers will not repay their loans, which would put the bank at risk. Banks usually use the borrower’s assets as collateral for their loans. Unfortunately, not many of these poor people have any assets. Microloans can solve these problems by opening up the opportunity for financial capital that enables poor people to make the investments needed to create or develop some form of production and thus increase employment. This research was carried out to analyze if the collected variables can determine the repayment ability of those who got a microloan from the Amhara Credit and Savings institution. Since the borrowers received their loans through two different processes, this study divided the data into two groups. Group 1 received their microloan based on a personality test and the individuals in group 2 received their microloan based on group lending. This division is done in order to be able to eliminate that the lending process itself may have affected the repayment ability. This study is based on random sample data from the Amhara Credit and Savings institution. Regression analyses were performed using the STATA-15 software. The results are not entirely consistent with previous studies because some variables did not get the expected outcome linked similar to previous studies. Some of the variables in this study appear to have an effect on the repayment ability, but not all. Thus, the conclusion is that the results are insufficient and further research needs to be made to reject or confirm the influence of the socio-economic factors and structure of the microloan on the repayment ability for Ethiopian borrowers. / En otillräcklig finansmarknad innebär att fattiga individer inte kan få tillgång till finansiellt kapital vilket gör det svårt för dem att generera en stabil inkomst. Formella banker ser dessa individer som opålitliga kunder på grund av deras ekonomiska bakgrund och ser en risk med att dessa potentiella kunder inte kommer att återbetala sina lån, vilket skulle sätta banken i risk. Banker använder vanligtvis låntagarens tillgångar som säkerhet för sina lån. Tyvärr så har inte många av dessa fattiga människor några tillgångar. Mikrolån kan lösa dessa problem genom att öppna upp möjligheten för finansiellt kapital som gör det möjligt för fattiga människor att göra de investeringar som behövs för att skapa eller utveckla någon form av produktion och därmed öka sysselsättningen. Denna forskning genomfördes för att analysera om våra insamlade variabler kan förklara återbetalningsförmågan hos de som fick ett mikrolån från Amhara Credit and Savings Institution. Eftersom låntagarna fick lån genom två olika processer delade vi upp dem i grupp ett, som fick sitt mikrolån genom ett personlighetstest och grupp två, som fick sitt mikrolån via en grupp med andra individer. Detta för att kunna eliminera att själva processen till hur de har fått lånet kan ha påverkat återbetalningsförmågan. Studien är baserad på slumpmässiga provdata från Amhara Credit and Savings Institution. Regressionsanalyser utfördes med användning av Stata 15-programvaran. Resultaten är inte helt i överensstämmelse med tidigare studier, i och med att vissa variabler inte har det förväntade utfallet kopplat till tidigare studier. Några av variablerna i denna studie visar sig ha en påverkan på återbetalningsförmågan, men inte alla. Således är vår slutsats att resultaten är otillräckliga och behöver ytterligare undersökning för att kunna avvisa eller bekräfta denna uppsats variablers påverkan på återbetalningsförmågan.

This thesis examines the transmission of monetary policy and the effects of persistent cost-push shocks in the presence of high household indebtedness (DTI) and frictions in fixed-rate mortgage (FRM) interest rates. A dynamic stochastic general equilibrium (DSGE) model incorporating housing, household debt, and long-term FRMs is estimated to accomplish this. The key findings can be summarized as follows: (i) A higher DTI leads to a stronger transmission of monetary policy, although this effect is dampened by the degree of interest rate fixation periods. (ii) Cost-push shocks propagates more strongly to inflation when the interest rate fixation periods is longer, resulting in delayed and slightly muted effects on output and consumption compared to adjustable-rate mortgages (ARM). (iii) While stronger responses to inflation help mitigate the cost-push shock, this comes at the expense of a larger output gap but with a slightly faster stabilization of the economy with a somewhat steeper recovery.

Questo lavoro è diviso in tre capitoli. Il primo capitolo fornisce una rassegna della letteratura economica riguardo gli effetti della liberalizzazione finanziaria sulla volatilità macroeconomica e descrive il ruolo delle politiche macroprudenziali nel favorire stabilità economica. Il secondo capitolo presenta un modello dinamico e stocastico di equilibrio economico generale neo-keynesiano, con rigidità reali e nominali e LAMP, per studiare l'impatto della liberalizzazione finanziaria sulla volatilità macroeconomica. La liberalizzazione finanziaria è modellata lungo due direzioni: il margine estensivo (un aumento del numero di consumatori che accedono ai mercati finanziari) e il margine intensivo (un allentamento dei criteri patrimoniali richiesti alle famiglie per l'ottenimento di credito). In contrasto con la teoria convenzionale, i risultati suggeriscono che una maggiore liberalizzazione finanziaria comporta un aumento della volatilità macroeconomica in presenza di famiglie altamente indebitate. Il terzo capitolo presenta un'estensione del modello di Kyotaki e Moore (Credit Cycles (1997)) in grado di tenere in considerazione del ruolo dello "spread" tra il tasso interesse attivo e passivo nel meccanismo di trasmissione di shocks esogeni. Si studia in che modo il meccanismo di amplificazione garantito dalla presenza di mutuatari soggetti a vincoli di garanzia è modificato quando anche il prestatore è soggetto ad un vincolo di valore massimo sul credito erogabile (capital adequacy requirement). I risultati suggeriscono che un allentamento del "capital adequacy requirement" aumenta ulteriormente il meccanismo di trasmissione originale in risposta a shocks esogeni alla produttività. / This work is divided in three chapters. The first chapter provides an overview of the economic literature dealing with the effects of financial liberalization on macroeconomic volatility, and describes how macroprudential policy can be used to induce economic stabilization. The second chapter presents a New Keynesian DSGE model with real and nominal frictions and LAMP to study the implications of financial liberalization on aggregate volatility. Financial liberalization is modeled along the extensive margin (number of consumption smoothers) and the intensive margin (loan-to-value ratio). In contrast to the conventional view, our findings suggest that financial liberalization leading to highly leveraged households increases macroeconomic volatility. The third chapter presents an extension of the Kiyotaki and Moore model of Credit Cycles (1997): the original framework is augmented to account for the role of financial intermediation and interest rate spreads in the transmission of exogenous shocks. We study how the amplification mechanism guaranteed by the presence of collateralized borrowers is altered in the presence of the additional constraint faced by lenders. We find that if the lender's collateral constraint binds, loosening the capital adequacy requirement burdening on lenders increases the original amplification mechanism in response to exogenous productivity shocks through the interest rate spread.

This thesis tackles three different issues of relevance for economic policy, with an explicit reference to the Euro area. Does the inclusion of monetary targeting in a monetary policy strategy improve macroeconomic stability? Which role does the banking sector play in the impulse and transmission of shocks? Which fiscal tools have the greatest and the most persistent impact on the real economy, helping effective stabilization policy design? Answers to each question, derived from data-matching dynamic general equilibrium models, imply noteworthy indications for policy-makers. / Esta tesis afronta tres temas de relevancia en lo que se refiere a la política económica en la zona euro. ¿Establecer un objetivo monetario en la conducción de la política monetaria contribuye a alcanzar una estabilidad macroeconómica? ¿Qué papel desempeña el sector banquero en el impulso y en la transmisión de choques macroeconómicos? ¿Cuales son los instrumentos de política fiscal con el mayor y más persistente impacto sobre la economía real, capaces de ayudar en el diseño de políticas de estabilización eficaces? Las respuestas a cada pregunta, derivadas desde modelos de equilibrio económico general dinámicos ajustados a los datos, permiten extraer indicaciones útiles para las autoridades responsables de las políticas económicas.

[pt] Os preços de ativos são fortemente influenciados pelas expectativas. Dessa forma, na presença de dívida colateralizada, a disponibilidade de crédito vai depender dessas expectativas. Nós desenvolvemos um modelo RBC simples, com restrição ao crédito, para formalizar essa intuição. Em seguida, nos construímos um modelo mais complexo, próprio para análise quantitativa, e estudados a relevância desse mecanismo. Nossa principal descoberta é que a restrição ao crédito não afeta a economia significativamente se permitirmos que as firmas substituam entre dívida e equity. Esse resultado se mantém mesmo que essa substituição esteja sujeita a fricções severas. / [en] Asset prices are strongly influenced by expectations. Therefore, in the presence of collateralized debt, credit availability will depend on those expectations. We develop a simple RBC model, with credit constraints, to formalize this intuition. We then build a more complex model, fit for quantitative analysis, in order to study the relevance of the mechanism. Our main finding is that the credit constraint does not significantly affect the economy if we allow firms to substitute between equity and debt. This result holds even if such substitution is subjected to severe frictions.