Submitted by Diego Gomes (diego.gomes@gmail.com) on 2016-04-26T18:23:39Z No. of bitstreams: 1 Thesis_Diego Braz Pereira Gomes.pdf: 1441990 bytes, checksum: eaa77253b29a0fe0108cafc8657d9327 (MD5) / Approved for entry into archive by Maria Almeida (maria.socorro@fgv.br) on 2016-05-09T12:55:02Z (GMT) No. of bitstreams: 1 Thesis_Diego Braz Pereira Gomes.pdf: 1441990 bytes, checksum: eaa77253b29a0fe0108cafc8657d9327 (MD5) / Approved for entry into archive by Maria Almeida (maria.socorro@fgv.br) on 2016-05-09T12:55:18Z (GMT) No. of bitstreams: 1 Thesis_Diego Braz Pereira Gomes.pdf: 1441990 bytes, checksum: eaa77253b29a0fe0108cafc8657d9327 (MD5) / Made available in DSpace on 2016-05-09T12:56:21Z (GMT). No. of bitstreams: 1 Thesis_Diego Braz Pereira Gomes.pdf: 1441990 bytes, checksum: eaa77253b29a0fe0108cafc8657d9327 (MD5) Previous issue date: 2013-01-13 / This thesis contains three chapters. The first chapter uses a general equilibrium framework to simulate and compare the long run effects of the Patient Protection and Affordable Care Act (PPACA) and of health care costs reduction policies on macroeconomic variables, government budget, and welfare of individuals. We found that all policies were able to reduce uninsured population, with the PPACA being more effective than cost reductions. The PPACA increased public deficit mainly due to the Medicaid expansion, forcing tax hikes. On the other hand, cost reductions alleviated the fiscal burden of public insurance, reducing public deficit and taxes. Regarding welfare effects, the PPACA as a whole and cost reductions are welfare improving. High welfare gains would be achieved if the U.S. medical costs followed the same trend of OECD countries. Besides, feasible cost reductions are more welfare improving than most of the PPACA components, proving to be a good alternative. The second chapter documents that life cycle general equilibrium models with heterogeneous agents have a very hard time reproducing the American wealth distribution. A common assumption made in this literature is that all young adults enter the economy with no initial assets. In this chapter, we relax this assumption – not supported by the data – and evaluate the ability of an otherwise standard life cycle model to account for the U.S. wealth inequality. The new feature of the model is that agents enter the economy with assets drawn from an initial distribution of assets. We found that heterogeneity with respect to initial wealth is key for this class of models to replicate the data. According to our results, American inequality can be explained almost entirely by the fact that some individuals are lucky enough to be born into wealth, while others are born with few or no assets. The third chapter documents that a common assumption adopted in life cycle general equilibrium models is that the population is stable at steady state, that is, its relative age distribution becomes constant over time. An open question is whether the demographic assumptions commonly adopted in these models in fact imply that the population becomes stable. In this chapter we prove the existence of a stable population in a demographic environment where both the age-specific mortality rates and the population growth rate are constant over time, the setup commonly adopted in life cycle general equilibrium models. Hence, the stability of the population do not need to be taken as assumption in these models. / Esta tese contém três capítulos. O primeiro capítulo usa um modelo de equilíbrio geral para simular e comparar os efeitos de longo prazo do Patient Protection and Affordable Care Act (PPACA) e de reduções de custos de saúde sobre variáveis macroeconômicas, orçamento do governo e bem-estar dos indivíduos. Nós encontramos que todas as políticas foram capazes de reduzir a população sem seguro, com o PPACA sendo mais eficaz do que reduções de custos. O PPACA aumentou o déficit público, principalmente devido à expansão do Medicaid, forçando aumento de impostos. Por outro lado, as reduções de custos aliviaram os encargos fiscais com seguro público, reduzindo o déficit público e impostos. Com relação aos efeitos de bem-estar, o PPACA como um todo e as reduções de custos melhoram o bem-estar dos indivíduos. Elevados ganhos de bem-estar seriam alcançados se os custos médicos norte-americanos seguissem a mesma tendência dos países da OCDE. Além disso, reduções de custos melhoram mais o bem-estar do que a maioria dos componentes do PPACA, provando ser uma boa alternativa. O segundo capítulo documenta que modelos de equilíbrio geral com ciclo de vida e agentes heterogêneos possuem muita dificuldade em reproduzir a distribuição de riqueza Americana. Uma hipótese comum feita nesta literatura é que todos os jovens adultos entram na economia sem ativos iniciais. Neste capítulo, nós relaxamos essa hipótese – não suportada pelos dados – e avaliamos a capacidade de um modelo de ciclo de vida padrão em explicar a desigualdade de riqueza dos EUA. A nova característica do modelo é que os agentes entram na economia com ativos sorteados de uma distribuição inicial de ativos. Nós encontramos que a heterogeneidade em relação à riqueza inicial é chave para esta classe de modelos replicar os dados. De acordo com nossos resultados, a desigualdade Americana pode ser explicada quase que inteiramente pelo fato de que alguns indivíduos têm sorte de nascer com riqueza, enquanto outros nascem com pouco ou nenhum ativo. O terceiro capítulo documenta que uma hipótese comum adotada em modelos de equilíbrio geral com ciclo de vida é de que a população é estável no estado estacionário, ou seja, sua distribuição relativa de idades se torna constante ao longo do tempo. Uma questão em aberto é se as hipóteses demográficas comumente adotadas nesses modelos de fato implicam que a população se torna estável. Neste capítulo nós provamos a existência de uma população estável em um ambiente demográfico onde tanto as taxas de mortalidade por idade e a taxa de crescimento da população são constantes ao longo do tempo, a configuração comumente adotada em modelos de equilíbrio geral com ciclo de vida. Portanto, a estabilidade da população não precisa ser tomada como hipótese nestes modelos.

Cette thèse porte sur l’étude de la mémoire longue de la volatilité des rendements d’actions. Dans une première partie, nous apportons une interprétation de la mémoire longue en termes de comportement d’agents grâce à un modèle de volatilité à mémoire longue dont les paramètres sont reliés aux comportements hétérogènes des agents pouvant être rationnels ou à rationalité limitée. Nous déterminons de manière théorique les conditions nécessaires à l’obtention de mémoire longue. Puis nous calibrons notre modèle à partir des séries de volatilité réalisée journalière d’actions américaines de moyennes et grandes capitalisations et observons le changement de comportement des agents entre la période précédant l’éclatement de la bulle internet et celle qui la suit. La deuxième partie est consacrée à la prise en compte de la mémoire longue en gestion de portefeuille. Nous commençons par proposer un modèle de choix de portefeuille à volatilité stochastique dans lequel la dynamique de la log-volatilité est caractérisée par un processus d’Ornstein-Uhlenbeck. Nous montrons que l’augmentation du niveau d’incertitude sur la volatilité future induit une révision du plan de consommation et d’investissement. Puis dans un deuxième modèle, nous introduisons la mémoire longue grâce au mouvement brownien fractionnaire. Cela a pour conséquence de transposer le système économique d’un cadre markovien à un cadre non-markovien. Nous fournissons donc une nouvelle méthode de résolution fondée sur la technique de Monte Carlo. Puis, nous montrons toute l’importance de modéliser correctement la volatilité et mettons en garde le gérant de portefeuille contre les erreurs de spécification de modèle. / This PhD thesis is about the study of the long memory of the volatility of asset returns. In a first part, we bring an interpretation of long memory in terms of agents’ behavior through a long memory volatility model whose parameters are linked with the bounded rational agents’ heterogeneous behavior. We determine theoretically the necessary condition to get long memory. Then we calibrate our model from the daily realized volatility series of middle and large American capitalization stocks. Eventually, we observe the change in the agents’ behavior between the period before the internet bubble burst and the one after. The second part is devoted to the consideration of long memory in portfolio management. We start by suggesting a stochastic volatility portfolio model in which the dynamics of the log-volatility is characterized by an Ornstein-Uhlenbeck process. We show that when the uncertainty of the future volatility level increases, it induces the revision of the consumption and investment plan. Then in a second model, we introduce a long memory component by the use of a fractional Brownian motion. As a consequence, it transposes the economic system from a Markovian framework to a non-Markovian one. So we provide a new resolution method based on Monte Carlo technique. Then we show the high importance to well model the volatility and warn the portfolio manager against the misspecification errors of the model.

因應電子化交易興起而進行的一系列人機互動研究顯示, 縱使人類會透過學習而改善其表現, 電腦化的交易程式獲利能力還是遠勝於真人交易者之表現。本研究遂以遺傳規劃演算法作為學習型交易者之代表, 與一系列電腦化交易策略相競爭, 以探討學習的功效及其限制。 本研究採用離散型雙方喊價機制, 摒除了計算能力所造成之決策時間差異所會帶來的影響, 亦排除掉人類情緒、預期、相關知識不足等可能因子, 在計算能力對等的情況下, 單純地來評估學習與理性設計策略的結果。並且首次嘗試將影響學習至鉅的智商因子帶入模型之中, 實驗結果顯示學習具有相當的能力, 即使是在對環境缺乏認識的情況下, 隨著時間的經過其表現最終可凌駕理性設計的策略之上, 然而學習所需的時間是學習型交易者的一大弱點。同時, 本研究也顯示對於以遺傳規劃建構的學習型交易者而言, 其虛擬智商的參數愈高, 學習的效果也愈佳。此研究因此可作為未來在代理人基經濟學模型中, 更深入地探討智商水準不同所造成之行為差異的基礎。 / The study of a series of human-agent interactions as well as computerized trading tournaments in double auction markets has exhibited a general superiority of computerized trading strategies over learning agents. The ineffectiveness of learning motivates the study of learning versus designed trading agents in this research. We therefore initiates a series of experiments to test the capability of learning GP agents and rationally-designed trading strategies. The results shows that with the cost of time, eventually learning agents can beat all other trading strategies. At the same time, the notion of intelligence is introduced into the model to investigate the influence of individual intelligence on learning ability. We utilize the population size of the GP trader as the proxy variable of IQ which is a measure of general intelligence. The results show that individuals with higher intelligence can perform better than those with lower intelligence, which manifests its importance discovered in Psychological research.

Cette thèse traite des interactions entre les sphères financière et réelle de l'économie. Elle se compose de quatre chapitres. Dans les deux premiers chapitres, nous étudions l'existence et les fluctuations d'une bulle spéculative rationnelle, comme source de la volatilité des prix d'actifs, en prenant en compte les imperfections financières dans la modélisation des choix des ménages. L'existence d'un choix de portefeuille et de frictions financières favorisent l'émergence des fluctuations d'une bulle et des cycles économiques endogènes. Dans un tel contexte, nous analysons le rôle stabilisateur des politiques fiscales et/ou monétaires. Dans le chapitre 1, nous montrons qu'une politique monétaire répondant aux prix des actifs permet de stabiliser l'économie dans son ensemble. Dans le chapitre 2, nous comparons les vertus stabilisatrices d'un impôt progressif sur le revenu de capital à celles d'une politique monétaire régie par une règle de Taylor. Nous montrons qu'un impôt progressif sur le capital permet de stabiliser l'économie en réduisant la probabilité d'apparition des fluctuations endogènes, alors qu'une règle de Taylor a des vertus stabilisatrices mitigées. Nous étudions, dans le chapitre 3, l'existence de bulles rationnelles dans une économie ouverte à deux pays et la transmission internationale de leur éclatement. L'éclatement de la bulle dans un pays se transmet nécessairement à l'autre pays. L'effet de l'éclatement peut être positif ou négatif sur l'autre pays. Dans le chapitre 4, nous analysons le rôle de l'hétérogénéité sur la dynamique des prix d'actifs et les inégalités lorsque les agents ont des préférences pour la richesse. / This thesis deals with the interplay between the financial and real sectors of the economy. This thesis consists of four chapters. In the first two chapters, we study the existence and endogenous fluctuations of rational speculative bubbles, as a source of volatility in asset prices, taking into account the financial imperfections at the household level. We argue that the existence of a portfolio choice and financial frictions promote the emergence of bubble fluctuations and endogenous business cycles. In this context, we analyze the stabilizing role of fiscal and/or monetary policies. In Chapter 1, we show that a monetary policy responding to asset prices can stabilize the economy as a whole. In Chapter 2, we compare the stabilizing virtues of a progressive taxation on capital income with those of a monetary policy managed by a Taylor rule. We show that a progressive taxation on capital may rule out endogenous fluctuations, whereas a monetary policy under a Taylor rule has a mitigated stabilizing role. In Chapter 3, we study, the existence of rational bubbles in a two-country economy, and the international transmission of their bursting. A bubble bursting in a country necessarily transmits to the othercountry. The effect of a bubble crash in one country onthe bubble issued by the other country can be positive or negative. In Chapter 4, we analyze the role of heterogeneity on the dynamics of asset prices and inequalities when economic agents have preferences for wealth. Heterogeneity in preferences, but also in income, can heighten social inequalities and increase the asset price in the long run, but also promote asset price volatility in the short run.