Syfte: Att skapa förståelse för hur situationen på en marknad kan påverka den finansiella stabiliteten. Med det som grund göra en samlad bedömning om vilka risker som finns på Sveriges bostadsmarknad för att utvärdera hur och om de kan påverka finansiell stabilitet idag. Metod: För att ge oss en ökad förståelse om hur finansiell instabilitet uppstår på en marknad har vi tagit hjälp av Hyman P. Minskys teoretiska modell “The Financial Instability Hypothesis”. Teorin har vi sedan applicerat på utvalda finansiella kriser för att studera vad som karaktäriserat dem i sin utformning. Vår forskning har bedrivits med kvalitativa intervjuer med olika organisationer som arbetar aktivt för att upprätthålla och se över den finansiella stabiliteten i Sverige. Slutsats: Vi har identifierat externa och interna faktorer som kan påverka finansiell stabilitet. Oro inom det europeiska bankväsendet utgör största hotet mot finansiell stabilitet idag. Problem kopplade till Sveriges bostadsmarknad utgör inget direkt hot mot finansiell stabilitet, dock visar marknaden tendenser på ineffektivitet. Lågt bostadsbyggande och allmänt lågt utbud matchar inte efterfrågan, detta driver upp priser men även skulder. Priser och skulder kan till stor del förklaras med logiskt ekonomiskt resonemang. / Purpose: To create an understanding of how the situation in a market may affect financial stability. With that as a foundation make an overall assessment of the risks that exist on the Swedish housing market to assess whether and how they can affect financial stability today. Method: In order to obtain increased understanding of how financial instability arises in a market we have used Hyman P. Minskys theoretical model “The Financial Instability Hypothesis”. We have then applied the theory on chosen financial crises in order to study what characterizes them. Our study has been conducted with the help of qualitative interviews with various organizations such as banks and authorities that work to maintain and inspect the financial stability in Sweden. Conclusion: We have identified external and internal factors that could affect financial stability. Concern related to the European banking sector form the greatest threat to financial stability today. Problems related to the Swedish Real Estate Market constitute no direct threat to financial stability, however market trends shows inefficiency. Low housing and low supply in general do not match demand, this drives up prices, but also debts. Prices and debts can largerly be explained by logical economic reasoning.

This thesis is concerned with two main questions. Do systemic banking crises substantially affect the income distribution in a country? Is income inequality a destabilising factor for the macro-economy? In order to answer the first question, this thesis examines a panel of 26 countries since 1900 and assembles a new database of crises, finding that the impact of major banking crises on the national income shares detained by the income groups within the richest decile is mostly small in magnitude. Indeed, the estimated impact is never bigger than a standard deviation of the specific top shares under investigation. Results are also confirmed in a separate analysis for the United States and are robust to a series of checks. These findings lend indirect support to the structuralist hypothesis that only substantial changes in government policies and institutional frameworks can bring about radical changes in income distribution. The analysis also highlights interesting heterogeneity across different income groups, country groups and time periods. The second question is addressed by making use of a newly assembled database on different dimensions of economic inequality. The new data helps to reject the statistical validity of the hypotheses that either growing inequality or a high level of inequality may systematically precede the onset of major banking crises. In addition, simulations based on the UK Family Expenditure Survey data find that even a full equalisation of income would increase the aggregate consumption by 3 percentage points at most. These findings, taken together, point out that an increase in income inequality may not concur to reduce the pressure on aggregate demand or be adduced as a structural factor of financial instability. Nonetheless, the evidence is not yet clear cut as the work further documents that periods of increasing income inequality in the UK were also associated with a reduction of the saving rates across the whole income distribution since 1968. The analysis contends that such evidence of under-saving behaviour may be consistent with the relative income hypothesis and some of its recent formulations such as the ’expenditure cascades’ theory.

Cette thèse montre que l’on peut trouver chez Marx, Veblen et Hawtrey trois théories pré-keynésiennes de l’instabilité financière. Elle dégage, pour chacun d’eux, le cadre théorique qu’il met en place et qui lui permet de poser la question du rôle de la finance dans la dynamique économique. Elle analyse ensuite leurs écrits pour montrer que l’on peut en déduire des théories (incomplètes) de l’instabilité financière, c’est-à-dire que les perturbations économiques sont dues à la manière dont les entreprises se financent. Le chapitre I reconstruit la théorie marxienne des marchés financiers, ce qui permet, dans le chapitre II, de montrer le rôle central joué par la finance dans l’explication du cycle économique chez Marx. Le chapitre III dégage les éléments qui font de la théorie de Veblen une théorie du capitalisme financier, puis, dans le chapitre IV, discute cette dernière pour montrer qu’il s’agit d’une théorie de l’instabilité financière. Le chapitre V propose une représentation du modèle macroéconomique de Hawtrey, à partir de laquelle le chapitre VI dégage les conditions dans lesquelles le crédit est instable dans sa théorie. Le chapitre VII fait le lien entre les théories de ces auteurs et les faits économiques dont la connaissance a nourri leur réflexion : les théories de l’instabilité financière sont à la fois une explication, une représentation et un projet de régulation du capitalisme financier / The thesis demonstrates that three pre-keynesians theories of financial instability can be found in Marx, Veblen and Hawtrey. For each of these three authors, the argument is that the theoretical frame displayed allows him question the role of finance in the economic dynamic. Then, analysis of their main writings shows that theories of financial instability can be infered from them. In chapter I, the marxian theory of financial markets is reconstituted paving the way to the demonstration of the central role played by finance in the explanation of the business cycle in Marx’s theory in Chapter 2. In Chapter III, we show what elements in Veblen’s theory constitutes a theory of finance capitalism. Then, the discussion in Chapter IV shows how it a theory of financial instability. In Chapter V is displayed a representation of of Hawtrey’s macro-model. Chapter VI highlights the conditions under which credit is unstable in his theory. Chapter VII shows the links between the three authors’ theories and the economic facts that nurtured their thinking. It shows that their theories of financial instability are an explanation, a representation et a project of regulation of financial capitalism.

L’objet de cette thèse est de comprendre en quoi l’instabilité financière est un phénomène inhérent au cycle et en quoi la relation entre la politique monétaire et le secteur bancaire joue un rôle central dans son explication. Nous mettons en évidence de nouveaux canaux de transmission de la politique monétaire, notamment les canaux de la prise de risque et du capital bancaire. Une idée forte de la thèse est que le crédit productif est évincé dans les deux phases du cycle au profit des actifs risqués dans la phase ascendante et des valeurs refuge en phase descendante. Notre démarche est alors de construire un modèle théorique qui rend compte de cette problématique et dont les hypothèses s’appuient à la fois sur une revue de la littérature abondante et l’observation de faits stylisés. / The aim of the thesis is to analyze financial instability. This latter is explained by its link with the cycle and the relation between the monetary policy and the banking sector. We highlight new transmission mechanisms of the monetary policy, especially the risk taking channel and the bank capital channel. The principal idea of the thesis is an eviction of the productive credit in good and bad times. After a survey, we build a theoretical model to capture the reaction of the banking sector during the cycle.

A teoria econômica mostra que instabilidade financeira é um problema que atinge as economias nos períodos de recessão causando desemprego, queda nos níveis de consumo e poupança, surgimento de corridas bancárias e, consequentemente, a redução do bemestar da sociedade. A literatura que estuda instabilidade financeira divide-se em duas vertentes as quais importantes referências nas áreas de estudo sem serviço sequencial e com serviço sequencial são Allen e Gale (2000) e Bertolai, Cavalcanti, e Monteiro (2016), respectivamente. A contribuição deste trabalho consiste em apresentar os modelos e principais resultados de Allen e Gale (2000) e Bertolai et al. (2016) como casos limites de um mesmo problema de escolha do sistema bancário ótimo para estabelecer, em seguida, resultados complementares à essas referências. A primeira contribuição, no ambiente em que não existe serviço sequencial, é propor uma nova forma de divisão do choque inesperado de liquidez no modelo de Allen e Gale (2000) de modo que esse mecanismo de cooperação no interbancário consiga evitar contágio e o colapso generalizado entre os bancos. Já no ambiente com serviço sequencial, uma segunda contribuição é estender Bertolai et al. (2016) ao estabelecer novos equilíbrios de corrida bancária, em que os três últimos depositantes de cada um dos bancos da economia não participam da corrida bancária. / Economic theory shows that financial instability is a problem that affects economies in times of recession, causing unemployment, falling consumption and saving levels, the emergence of bank-run , and consequently the reduction of the welfare of society. The literature that studies financial instability is divided into two strands where important references in the study areas without sequential and sequential service are Allen e Gale (2000) and Bertolai et al. (2016), respectively. The contribution of this work is to present the models and main results of Allen e Gale (2000) and Bertolai et al. (2016) as limiting cases of the same problem of choosing the optimal banking system, in order to establish subsequent results complementary to these references. The first contribution, in the environment in which there is no sequential service, is to propose a new way of dividing the unexpected liquidity shock in the Allen e Gale (2000) model so that this mechanism of interbank cooperation can avoid contagion and the generalized collapse between the banks. In the sequential service environment, a second contribution is to extend Bertolai et al. (2016) by establishing new banking run balances in which the last three depositors of each of the banks of the economy do not participate in the bank run.

Submitted by Silvana Teresinha Dornelles Studzinski (sstudzinski) on 2016-05-02T13:14:24Z No. of bitstreams: 1 Filipe Stona_.pdf: 820817 bytes, checksum: 5f6143a36148c6f0ad2cbeb46ab24668 (MD5) / Made available in DSpace on 2016-05-02T13:14:24Z (GMT). No. of bitstreams: 1 Filipe Stona_.pdf: 820817 bytes, checksum: 5f6143a36148c6f0ad2cbeb46ab24668 (MD5) Previous issue date: 2016-03-29 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Esse trabalho apresenta as diferenças das dinâmicas macroeconômicas nos períodos de instabilidade no mercado financeiro brasileiro entre 2000 e 2015. Para isso, foi introduzido um indiciador de instabilidade no mercado financeiro brasileiro e sua interação com a atividade econômica, inflação e políticas monetárias através de um VAR com mudanças de regime Markoviano. Foi possível comprovar que ocorrem reações distintas na economia nos períodos de estresse. Demonstrou-se também que os efeitos de um choque de instabilidade no mercado financeiro não diferem entre países desenvolvidos e em desenvolvimento, como o Brasil, no que tange a atividade econômica. Ainda, observou-se políticas com efeitos contrários em regimes de estabilidade e estresse, apontando que os governo podem tornar uma crise financeira ainda mais profunda caso ignorem as diferenças no comportamento da economia em ambos regimes. / This paper presents the differences in macroeconomic dynamics that occurred during instabilities in the Brazilian financial market from 2000 to 2015. In this regard, we introduced the Brazilian financial stress index and investigated its interaction with real activity, inflation and monetary policy using a Markov-switching VAR model. We could verify distinct economic reactions during stressful periods. At the same time, the observed effects of financial instability shocks do not differ in real activity between developed and developing countries. Furthermore, policies that cause opposite effects in stable and stressful regimes indicate that a government might deepen a financial crisis if policy-makers implements a policy used successfully during a regime that is economically and behaviorally dissimilar from tense states.

Esta pesquisa tem como objetivo analisar a existência de condições econômicas e institucionais no que diz respeito a integração de mercado, convergência de políticas macroeconômicas e simetria a choques que possibilitem um processo mais robusto de cooperação e integração monetária e financeira no Mercosul Ampliado. O aprofundamento desse processo nessa região é importante pela elevada necessidade de financiamento de longo prazo que esses países possuem e pela significativa vulnerabilidade e fragilidade as quais eles são expostos. Por meio de análises histórico-institucionais e empíricas, observa-se que: (a) os países desse bloco regional têm avançado a passos lentos rumo a um processo mais robusto de cooperação e integração monetária e financeira regional; e, (b) embora o Mercosul Ampliado apresente diversos aspectos que favoreçam o aprofundamento desse processo, outros fatores fundamentais, tais como integração comercial e financeira intrarregional e simetria a choques no bloco, indicam desafios para o avanço dessa estratégia. Assim, o aprofundamento da cooperação e integração monetária e financeira regional no Mercosul Ampliado apresenta obstáculos que não são desprezíveis, mas que podem ser superados por meio da vontade política dos países envolvidos para realizar os esforços necessários para implementar essa estratégia. / This research aims to analyze the existence of economic and institutional conditions with respect to market integration, convergence of macroeconomic politics and symmetry to shocks that allow a more robust process of monetary and financial cooperation and integration in the Amplified Mercosur. The deepening of this process in this region is important for the high need for long-term financing that these countries have and for the significant vulnerability and fragility which they are exposed. Through historical-institutional and empirical analysis, it is observed that: (a) countries of this region have advanced at a slow pace towards a more robust process of regional monetary and financial cooperation and integration; and, (b) although the Amplified Mercosur presents several aspects that favor the deepening of this process, other key factors, such as intrarregional trade and financial integration and symmetry to shocks in the block, indicate challenges to the advance of this strategy. Thus the deepening of regional monetary and financial cooperation and integration in the Amplified Mercosur presents obstacles that are not negligible, but that can be overcome through political will of the countries involved to make the necessary efforts to implement this strategy.

This dissertation thesis is focused on the empirical analysis of monetary and fiscal policy using nonlinear models. In the first part, I examine the evolution of monetary policy rules in a group of inflation targeting countries. I apply a moment-based estimator in a time-varying parameter model with endogenous regressors. The main findings are twofold. First, with adoption of inflation targeting, coefficients in the monetary policy rules changed rather gradually. Second, the response of interest rates to inflation is particularly strong during periods when central bankers want to break a record of high inflation. Contrary to common view, the response of interest rates to inflation becomes less aggressive after the adoption of inflation targeting, suggesting a positive anchoring effect of this regime on inflation expectations. The second part discusses whether and how the selected central banks responded to episodes of financial stress over the last three decades. The time-varying monetary policy rule is extended for an indicator of financial stress, in order to show the departures of policy rules under financial instability. The findings suggest that central banks often decrease policy rates in the face of high financial stress. However, the size of the policy response varies substantially over time as well...

Esta pesquisa tem como objetivo analisar a existência de condições econômicas e institucionais no que diz respeito a integração de mercado, convergência de políticas macroeconômicas e simetria a choques que possibilitem um processo mais robusto de cooperação e integração monetária e financeira no Mercosul Ampliado. O aprofundamento desse processo nessa região é importante pela elevada necessidade de financiamento de longo prazo que esses países possuem e pela significativa vulnerabilidade e fragilidade as quais eles são expostos. Por meio de análises histórico-institucionais e empíricas, observa-se que: (a) os países desse bloco regional têm avançado a passos lentos rumo a um processo mais robusto de cooperação e integração monetária e financeira regional; e, (b) embora o Mercosul Ampliado apresente diversos aspectos que favoreçam o aprofundamento desse processo, outros fatores fundamentais, tais como integração comercial e financeira intrarregional e simetria a choques no bloco, indicam desafios para o avanço dessa estratégia. Assim, o aprofundamento da cooperação e integração monetária e financeira regional no Mercosul Ampliado apresenta obstáculos que não são desprezíveis, mas que podem ser superados por meio da vontade política dos países envolvidos para realizar os esforços necessários para implementar essa estratégia. / This research aims to analyze the existence of economic and institutional conditions with respect to market integration, convergence of macroeconomic politics and symmetry to shocks that allow a more robust process of monetary and financial cooperation and integration in the Amplified Mercosur. The deepening of this process in this region is important for the high need for long-term financing that these countries have and for the significant vulnerability and fragility which they are exposed. Through historical-institutional and empirical analysis, it is observed that: (a) countries of this region have advanced at a slow pace towards a more robust process of regional monetary and financial cooperation and integration; and, (b) although the Amplified Mercosur presents several aspects that favor the deepening of this process, other key factors, such as intrarregional trade and financial integration and symmetry to shocks in the block, indicate challenges to the advance of this strategy. Thus the deepening of regional monetary and financial cooperation and integration in the Amplified Mercosur presents obstacles that are not negligible, but that can be overcome through political will of the countries involved to make the necessary efforts to implement this strategy.

A teoria econômica mostra que instabilidade financeira é um problema que atinge as economias nos períodos de recessão causando desemprego, queda nos níveis de consumo e poupança, surgimento de corridas bancárias e, consequentemente, a redução do bemestar da sociedade. A literatura que estuda instabilidade financeira divide-se em duas vertentes as quais importantes referências nas áreas de estudo sem serviço sequencial e com serviço sequencial são Allen e Gale (2000) e Bertolai, Cavalcanti, e Monteiro (2016), respectivamente. A contribuição deste trabalho consiste em apresentar os modelos e principais resultados de Allen e Gale (2000) e Bertolai et al. (2016) como casos limites de um mesmo problema de escolha do sistema bancário ótimo para estabelecer, em seguida, resultados complementares à essas referências. A primeira contribuição, no ambiente em que não existe serviço sequencial, é propor uma nova forma de divisão do choque inesperado de liquidez no modelo de Allen e Gale (2000) de modo que esse mecanismo de cooperação no interbancário consiga evitar contágio e o colapso generalizado entre os bancos. Já no ambiente com serviço sequencial, uma segunda contribuição é estender Bertolai et al. (2016) ao estabelecer novos equilíbrios de corrida bancária, em que os três últimos depositantes de cada um dos bancos da economia não participam da corrida bancária. / Economic theory shows that financial instability is a problem that affects economies in times of recession, causing unemployment, falling consumption and saving levels, the emergence of bank-run , and consequently the reduction of the welfare of society. The literature that studies financial instability is divided into two strands where important references in the study areas without sequential and sequential service are Allen e Gale (2000) and Bertolai et al. (2016), respectively. The contribution of this work is to present the models and main results of Allen e Gale (2000) and Bertolai et al. (2016) as limiting cases of the same problem of choosing the optimal banking system, in order to establish subsequent results complementary to these references. The first contribution, in the environment in which there is no sequential service, is to propose a new way of dividing the unexpected liquidity shock in the Allen e Gale (2000) model so that this mechanism of interbank cooperation can avoid contagion and the generalized collapse between the banks. In the sequential service environment, a second contribution is to extend Bertolai et al. (2016) by establishing new banking run balances in which the last three depositors of each of the banks of the economy do not participate in the bank run.