Uno de los problemas principales de la literature moderna de ciclos es la imposibilidad de replicar el comportamiento de los rendimientos de activos financieros. Varios autores han incorporado mercados financieros en el modelo basico de ciclos, demonstrando que, para cualquier calibracion, este tipo de modelos predice una prima de riesgo de practicamente cero. Una de las razones del fracaso de estos modelos es que utilizan un agente representativo. En este caso los mercados financieros son completos. En esta tesis relajamos este supuesto al incorporar riesgo idiosincratico, que genera heterogeneidad entre la poblacion. Uno de los objectivos principales es ver si estas extensiones pueden ayudar a mejorar las predicciones del modelo basico con respecto a los rendimientos de activos financieros. Debemos mencionar que, desde la formulacion original de los puzzles financieros de Mehra y Prescott (85), ha surgido una enorme literatura que intenta analizar las implicaciones de modelos con heterogeneidad respecto a los rendimientos de los activos financieros. Entre otros Aiyagari and Gertler (91), Heaton and Lucas (96), Lucas (94), Marcet and Singleton (99), y Telmer (93) han estudiado este problema bajo el supuesto de que el consumo es exogeno. Si embargo, en nuestro analisis incorporamos production y por tanto ofrecemos un modelo mucho mas apropiado para estudiar los rendimientos financieros. En particular, el consumo se deriva de la maximizacion de la utilidad y por tanto no es exogeno. Ademas, el valor de las acciones se determina a traves de la optimizacion de la empresa. La presencia de un sector de produccion implica que tenemos que tratar un tema al que no se le ha dado demasiada importancia hasta ahora en la literatura. Con mercados financieros incompletos y heterogeneidad de los accionistas, el problema de maximizacion del valor de la empresa no esta bien definido. Esto significa que tenemos que incorporar objectivos que no son estandares. Una de las contribuciones importantes de este trabajo es demostrar como se puede solucionar este problema. / One of the main problems with the modern real business cycle (RBC) literature is its inability to replicate the empirical behavior of the main asset returns in the data. Several authors have incorporated financial markets into the basic model showing that, regardless of the parameterization or the incorporation of other frictions, like capital adjustment costs, these models are unable to replicate the key financial statistics in the data, predicting an equity premium which is essentially zero, and asset return volatilities that are also far from reality. One of the main reasons for the lack of success of the previous models may be the fact that they are using a representative agent environment. In this case, financial markets are effectively complete, independently of the existing asset structure. In the present thesis, this assumption is relaxed by incorporating both, idiosyncratic labor income risk and imperfect risk sharing, leading to ex-post household heterogeneity and to an incomplete financial market structure. One of the main objectives is therefore to see, if these extensions can help to improve the asset pricing implications of the standard model. We have to mention that, since the original statement of the asset pricing puzzles by Mehra and Prescott (85), there has been a large strand of literature trying to analyze the asset pricing implications of a context with household heterogeneity and incomplete financial markets. Among others, Aiyagari and Gertler (91), Heaton and Lucas (96), Lucas (94), Marcet and Singleton (99), and Telmer (93) have studied such a framework under the assumption of exogenously determined asset returns and consumption processes. Note, however, that our analysis goes one step further in the sense that it incorporates a production technology, offering a better foundation of asset prices than the standard exchange economy. In particular, consumption is derived from explicit utility maximization instead of being specified exogenously. In addition, the value of price of equity is determined endogenously via the optimization problem of the firm, which also breaks the identity between dividends and consumption processes in exchange economies. We indeed believe, that a detailed and rigorous analysis of asset pricing requires a general equilibrium model of this type. Note also that the presence of a non-trivial production sector involves addressing an important issue, which has not been given very much attention in the previous asset pricing literature. Under incomplete financial markets and household (shareholder) heterogeneity, the usual profit maximization of the firm is no longer well defined. Thus, unless one assumes that the firm is myopic, in the sense that it solves a static optimization problem by maximizing period by period profits, one has to incorporate non-standard firm objectives into the model. A second important objective or contribution of the present thesis is therefore to illustrate how to get around the problem of the firm by incorporating a firm objective which is adequate for the case in which financial markets are incomplete.

Diss. (sammanfattning) Stockholm : Handelshögskolan, 2006.

In this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stochastic Differential Equations). Applications in mathematical finance, financial economics and financial econometrics are discussed. Numerical examples show the effectiveness of our methods.

[pt] Este trabalho desenvolve e estabelece a existência de equilíbrio para um modelo sequencial com dois estágios, mercados financeiros incompletos, risco de crédito e colateral endógeno. No primeiro estágio, ao escolherem o colateral, de acordo com uma regra exogenamente determinada, os agentes emitem ativos personalizados que serão transacionados no segundo estágio, em uma economia Walrasiana com dois períodos. A nossa estrutura permite o surgimento de modelos nos quais os próprios agentes escolhem suas garantias, de forma similar aos modelos já existentes de colateral endógeno. Tais modelos exibem o que podemos chamar de A Maldição do Vencedor, situação na qual o agente escolhe, racionalmente, oferecer colateral nulo, inviabilizando, em equilíbrio, a transação de ativos. Com isso, a economia é jogada para um equilíbrio Pareto inferior no qual não existem mercados financeiros. Ao introduzir uma sequencialidade nas escolhas, conseguimos resolver esse problema, pois os agentes antecipam o efeito da escolha de colateral sobre os payoffs de equilíbrio, escolhendo, racionalmente, colaterais positivos. Assim, conseguimos não somente solucionar uma limitação dos modelos existentes, como ainda, permitir o surgimento de inúmeros sub-modelos através das diversas possibilidades para a regra de escolha na determinação do colateral. / [en] This paper develops and establishes the existence of equilibrium for a sequential model with two stages, incomplete financial markets, credit risk and endogenous collateral. In the first stage, by choosing the collateral, according to a predetermined and exogenously given rule, the agents issue personalized securities that will be traded in the second stage in aWalrasian economy with two periods. Our structure allows for models in which the agents choose their own collateral, similar to the existing endogenous collateral models. Those models exhibit what we might call, The Winner s Curse, a situation in which the agent choose, rationally, to offer no collateral, making asset trading impossible, in equilibrium. The economy is then thrown in a Paretoinferior equilibria in which there are no financial markets. By introducing the agent s choice in a sequential fashion, we avoid such a problem, because the agents anticipate the effects of their collateral choice over the equilibrium payoffs, therefore choosing rationally, positive collateral. That way, we are able, not only to solve a shortcoming of the existing models, but also to allow for a variety of sub-models through the several possible choices for the collateral determining rule.

This dissertation studies a class of path-dependent stochastic control problems with applications to Finance. In particular, we solve the open problem of the continuous time expected utility maximization with addictive consumption habit formation in incomplete markets under two independent scenarios. In the first project, we study the continuous time utility optimization problem with consumption habit formation in general incomplete semimartingale financial markets. Introducing the set of auxiliary state processes and the modified dual space, we embed our original problem into an abstract time-separable utility maximization problem with a shadow random endowment on the product space. We establish existence and uniqueness of the optimal solution using convex duality by defining the primal value function as depending on two variables, i.e., the initial wealth and the initial standard of living. We also provide market independent sufficient conditions both on the stochastic discounting processes of the habit formation process and on the utility function for the well-posedness of our original optimization problem. Under the same assumptions, we can carefully modify the classical proofs in the approach of convex duality analysis when the auxiliary dual process is not necessarily integrable. In the second project, we examine an example of the optimal investment and consumption problem with both habit-formation and partial observations in incomplete markets driven by It\^{o} processes. The individual investor develops addictive consumption habits gradually while only observing the market stock prices but not the instantaneous rates of return, which follow an Ornstein-Uhlenbeck process. Applying the Kalman-Bucy filtering theorem and Dynamic Programming arguments, we solve the associated Hamilton-Jacobi-Bellman(HJB) equation fully explicitly for this path dependent stochastic control problem in the case of power utility preferences. We provide the optimal investment and consumption policy in explicit feedback form using rigorous verification arguments. / text

Submitted by Rodrigo Abreu (rodrigo.fea@hotmail.com) on 2012-12-19T16:46:04Z No. of bitstreams: 1 Fiscal_Multipliers_final_19122012.pdf: 610827 bytes, checksum: 9524182b559dc768fd1e52b1b19e872b (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-01-18T17:10:51Z (GMT) No. of bitstreams: 1 Fiscal_Multipliers_final_19122012.pdf: 610827 bytes, checksum: 9524182b559dc768fd1e52b1b19e872b (MD5) / Made available in DSpace on 2013-01-18T17:11:15Z (GMT). No. of bitstreams: 1 Fiscal_Multipliers_final_19122012.pdf: 610827 bytes, checksum: 9524182b559dc768fd1e52b1b19e872b (MD5) Previous issue date: 2012-09-19 / This paper studies the behavior of fiscal multipliers in two different economic environments: complete markets and incomplete markets. Based on steady state analysis, output multipliers are found within a range between 0.49 and 0.66, when the markets are complete. Under incomplete markets, output multiplier was found in an interval between 0.75 and 0.94. These results indicates that the market structure, which reflects the degree of risk sharing and the intensity of the precautionary motive faced by individuals, plays a key role in determining the fiscal multipliers. In the second part of the paper, was performed an exercise to analyze the dynamic response of macroeconomic aggregates to an exogenous and unexpected rise in government spending financed by lump-sum taxes. In this case, impact output multipliers varies in a range between 0.64 and 0.68, under complete markets, and within 1.05 and 1.20 when markets are incomplete. The results found under incomplete markets are very close to that found on related literature which usually uses an econometric approach or calibrated/estimated New Keynesian models. These results shows that taking into account the deficiencies in the insurance mechanisms can be an interesting way to reconcile theoretical models with the results found on related current literature, without the need of ad-hoc assumptions relative to price stickness. / Este artigo estuda o comportamento dos multiplicadores fiscais em dois ambientes Econômicos distintos: mercados completos e incompletos. Com base na análise do estado estacionário de ambas economias, são encontrados multiplicadores do produto em um intervalo entre 0:49 e 0:66, quando os mercados são completos. Quando os mercados são incompletos, o multiplicador do produto encontrado ficou em um intervalo entre 0:75 e 0:94. Estes resultados indicam que a estrutura de mercado, que reflete o nível de compartilhamento de risco e o grau do motivo precaucionário enfrentado pelos indivíduos, desempenha um papel fundamental na determinação dos multiplicadores fiscais. Na segunda parte do artigo, foi realizado exercício para analisar a resposta dinâmica dos agregados macroeconômicos em relação a um aumento exógeno e inesperado dos gastos do governo financiado por meio de impostos lump-sum. Neste caso, os multiplicadores de impacto sobre o produto ficaram entre 0:64 e 0:68, quando os mercados são completos, e entre 1:05 e 1:20 quando os mercados são incompletos. Os resultados obtidos _a partir da análise dinâmica sob mercados incompletos ficaram bastante próximos daqueles encontrados na literatura relacionada, que geralmente obtém multiplicadores dessa magnitude usando uma abordagem econométrica ou por meio de modelos Novo Keynesianos. Estes resultados mostram que levar em consideração as deficiências nos mecanismos de seguro podem ser uma forma interessante de reconciliar os modelos teóricos com os resultados encontrados na literatura relacionada, sem a necessidade de adotar hipóteses ad-hoc sobre a estrutura da rigidez de preços.

Wetter stellt für die Landwirtschaft einen Hauptunsicherheitsfaktor dar. Angesichts der Kli-maveränderung gilt es als wahrscheinlich, dass Wetterschwankungen und die Häufigkeit extremer Wetterereignisse in Zukunft zunehmen werden. Vor diesem Hintergrund spielt die Entwicklung von Wetterrisikomanagementinstrumenten eine wichtige Rolle zur Einkom-mensstabilisierung in der Landwirtschaft sowohl in entwickelten Volkswirtschaften als auch in Entwicklungsländern. Seit Mitte der neunziger Jahre werden auf Finanzmärkten sogenannte Wetterderivate angebo-ten, die den Austausch von Wetterrisiken zwischen Marktteilnehmern ermöglichen. Zielsetzung der vorliegenden Arbeits ist es, die Einsatzmöglichkeiten von Wetterderivaten in der Landwirtschaft zu untersuchen. Dazu sind verschiedene methodische Vorarbeiten zu leisten. Erstens, wird ein statistisches Modell benötigt, das die Unsicherheit des betrachteten Wetterereignisses (z.B. Temperatur oder Niederschlag) beschreibt. Zweitens, muss der Zusammenhang zwischen Wetter und landwirtschaftlicher Produkti-on abgebildet werden. Drittens, schließlich bedarf es eines theoretischen Modells, um das Wetterderivat zu bepreisen. Liegen die genannten Modellkomponenten vor, kann die Hedgingeffektivität eines Wetterde-rivats aus Sicht eines landwirtschaftlichen Produzenten bestimmt werden. Dies geschieht in der vorliegenden Arbeit beispielhaft für Getreideproduzenten in Deutschland. Es zeigt sich, dass die Hedgigeffektivität und damit die Zahlungsbereitschaft für Wetterderivate produkt- und regionsspezifisch ist. Angesichts eines ausgeprägten Basisrisikos ist es unwahrscheinlich, dass Wetterderivate in Deutschland eine breite Anwendung durch Landwirte erfahren werden. Ihr Anwendungspotenzial bei landwirtschaftlichen Versicherern und Rückversicheren er-scheint dagegen höher, da diese mit Hilfe von Wetterderivaten einen Teil ihres systematischen Risikos aus landwirtschaftlichen Ertragsversicherungen auf den Kapitalmarkt transferieren können. / Weather is a major factor of uncertainty for agriculture. The effects of climate change means that it is likely that in the future there will be increased fluctuations in weather patterns and extreme meteorological events will become more regular. In this context, the development of weather risk management instruments plays an important role in the stabilising of incomes in the agricultural sector, both in developed economies as well as in developing countries. Since the mid-nineties, so-called weather derivatives have been emerged on the market which enables participants in the market to exchange weather risks. This work aims to investigate the implementation possibilities of weather derivatives in agriculture. A range of methodological preliminary investigations will be carried out. First of all it is necessary to find a statistical model which describes the uncertainty of observed weather events (e.g. temperature or precipitation). Secondly, the relationship between weather and agricultural production needs to be mapped. Thirdly, a theoretical model needs to be devised which is capable of pricing the weather derivatives. The hedging effectiveness of a weather derivative can be determined from the point of view of an agricultural producer using the model components described above. This study will use the example of grain producers in Germany. It will demonstrate that hedging effectiveness and with it willingness to pay for weather derivatives depends on the product and region. A pronounced basis risk means that it is unlikely that weather derivatives will be widely used by farmers in Germany. Their application potential for agricultural insurers and reinsurers, however, seems greater, since they can use weather derivatives to transfer a part of their systematic risk from agricultural income insurance onto the capital market.

<p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2006 [6], xiii, [1] s.: sammanfattning, s. 1-259, [5] s.: 4 uppsatser. Spikblad saknas</p>

We give a review of classical and recent results on maximization of expected utility for an investor who has the possibility of trading in a financial market. Emphasis will be given to the duality theory related to this convex optimization problem. For expository reasons we first consider the classical case where the underlying probability space is finite. This setting has the advantage that the technical diffculties of the proofs are reduced to a minimum, which allows for a clearer insight into the basic ideas, in particular the crucial role played by the Legendre-transform. In this setting we state and prove an existence and uniqueness theorem for the optimal investment strategy, and its relation to the dual problem; the latter consists in finding an equivalent martingale measure optimal with respect to the conjugate of the utility function. We also discuss economic interpretations of these theorems. We then pass to the general case of an arbitrage-free financial market modeled by an R^d-valued semi-martingale. In this case some regularity conditions have to be imposed in order to obtain an existence result for the primal problem of finding the optimal investment, as well as for a proper duality theory. It turns out that one may give a necessary and sufficient condition, namely a mild condition on the asymptotic behavior of the utility function, its so-called reasonable asymptotic elasticity. This property allows for an economic interpretation motivating the term "reasonable". The remarkable fact is that this regularity condition only pertains to the behavior of the utility function, while we do not have to impose any regularity conditions on the stochastic process modeling the financial market (to be precise: of course, we have to require the arbitrage-freeness of this process in a proper sense; also we have to assume in one of the cases considered below that this process is locally bounded; but otherwise it may be an arbitrary R^d-valued semi-martingale). (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

In the first chapter, I quantify the welfare effect of eliminating the U.S. capital income tax under international financial integration. I employ a two-country, heterogeneous-agent incomplete markets model calibrated to represent the U.S. and the rest of the world. Short-run and long-run factor price dynamics are key: after the tax reform, post-tax interest rate increases less under financial openness relative to autarky. Therefore the wealth-rich households gain less. Post-tax wages also fall less, so the wealth-poor are hurt less. Hence, the fraction in favor of the reform increases, although the majority still prefers the status quo. Aggregate welfare effect to the U.S. is a permanent 0.2 % consumption equivalent loss under financial openness which is 85.5 % smaller than the welfare loss under autarky. The second chapter aims to answer two questions: What helps forecast U.S. inflation? What causes the observed changes in the predictive ability of variables commonly used in forecasting US inflation? In macroeconomic analysis and inflation forecasting, the traditional Phillips curve has been widely used to exploit the empirical relationship between inflation and domestic economic activity. Atkeson and Ohanian (2001), among others, cast doubt on the performance of Phillips curve-based forecasts of U.S. inflation relative to naive forecasts. This indicates a difficulty for policy-making and private sectorâs long term nominal commitments which depend on inflation expectations. The literature suggests globalization may be one reason for this phenomenon. To test this, we evaluate the forecasting ability of global slack measures under an open economy Phillips curve. The results are very sensitive to measures of inflation, forecast horizons and estimation samples. We find however, terms of trade gap, measured as HP-filtered terms of trade, is a good and robust variable to forecast U.S. inflation. Moreover, our forecasts based on the simulated data from a workhorse new open economy macro (NOEM) model indicate that better monetary policy and good luck (i.e. a remarkably benign sample of economic shocks) can account for the empirical observations on forecasting accuracy, while globalization plays a secondary role. / text