Submitted by Felipe Dexheimer (felipe.dex@gmail.com) on 2017-08-30T17:01:27Z No. of bitstreams: 1 DissertacaoEnvio.pdf: 1900582 bytes, checksum: 347a4791d6eeac1e6b4919e40e275ffa (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2017-08-30T19:13:58Z (GMT) No. of bitstreams: 1 DissertacaoEnvio.pdf: 1900582 bytes, checksum: 347a4791d6eeac1e6b4919e40e275ffa (MD5) / Made available in DSpace on 2017-08-31T12:32:24Z (GMT). No. of bitstreams: 1 DissertacaoEnvio.pdf: 1900582 bytes, checksum: 347a4791d6eeac1e6b4919e40e275ffa (MD5) Previous issue date: 2017-08-11 / The objective of this paper is to seek insights into the Great Recession, which started after the Financial Shock of 2008 and still casts a shadow on the growth of Developed Economies. Common features such as near zero interest rates, disappointing growth and low inflation - with a constant fear of deflation - have been observed in most of these countries in the last few years. The Secular Stagnation Hypothesis argues that the causes are a depressed demand, both for investments and finished products and services, and that to avoid a deflation trap governments should step in, helping economies reach their potential again. The Credit Supercycle Hypothesis puts the deleveraging cycle on focus: the large credit expansion that happened prior to the shock must be dealt with, through inflation, growth, restructuring or a combination of those, before economic agents go back to their normal behavior. The analysis of their main differences leads to the investigation of the credit cycle and its impact on productivity growth. Two approaches are used, with the time frame ranging from 1995 to 2014: a Vector Autoregressive (VAR) analysis focused on twenty developed countries and a Real Business Cycle analysis of the American Economy, both replicated from previous studies with similar focus, but different context. The results show the importance of credit formation to the growth of productivity, both directly and through fixed capital investment, and also that the low productivity growth on recent years may be not a symptom of slow technological improvement, but instead caused by the lack of credit access, notwithstanding the low interest rates and credit spreads. Policy makers overlooking this evidence might be surprised by an unforeseen rise in productivity growth after the financial system returns to a more normal behavior. / O objetivo deste artigo é buscar informações sobre a Grande Recessão, que começou após o Choque Financeiro de 2008 e ainda gera uma sombra sobre o crescimento das Economias Desenvolvidas. Características comuns, como taxas de juros próximas de zero, decepções de crescimento e baixa inflação - com um medo constante da deflação - foram observados na maioria desses países nos últimos anos. A Hipótese da Estagnação Secular argumenta que as causas é uma demanda deprimida, tanto para investimentos quanto para produtos e serviços finais, e para evitar uma armadilha de deflação, os governos devem intervir, ajudando as economias a alcançar seu potencial novamente. A Hipótese do Superciclo de Crédito coloca o processo de desalavancagem em foco: a grande expansão de crédito que aconteceu antes do choque deve ser tratada, por meio da inflação, crescimento, reestruturação ou uma combinação desses, antes que os agentes econômicos voltem ao seu comportamento normal. A análise das principais diferenças dessas hipóteses leva à investigação acerca do ciclo do crédito e seu impacto no crescimento da produtividade. São utilizadas duas abordagens, com o intervalo de tempo entre 1995 e 2014: um modelo Vetorial Autoregressivo (VAR) focado em vinte países desenvolvidos e uma análise de Ciclo Real de Negócios (Real Business Cycle) da economia americana, ambas replicadas de estudos anteriores que tinham foco semelhante, mas contexto diferente. Os resultados mostram a importância da formação de crédito para o crescimento da produtividade, tanto diretamente como através do investimento em capital fixo, e também que o baixo crescimento da produtividade nos últimos anos pode não ser um sintoma de melhoria tecnológica lenta, mas sim causado pela falta de acesso a crédito, não obstante as baixas taxas de juros e spreads de crédito. Ao negligenciar essas evidências formadores de políticas econômicas podem se surpreender com um aumento imprevisto do crescimento da produtividade após o sistema financeiro retornar a um comportamento mais normal.

Submitted by Cristiane Shirayama (cristiane.shirayama@fgv.br) on 2011-08-20T18:24:47Z No. of bitstreams: 1 TESE_CAIO CESAR MUSSOLINI.pdf: 657119 bytes, checksum: 255ea8ba1370490f062bc5487a79a09d (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-08-22T12:12:58Z (GMT) No. of bitstreams: 1 TESE_CAIO CESAR MUSSOLINI.pdf: 657119 bytes, checksum: 255ea8ba1370490f062bc5487a79a09d (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-08-22T12:25:32Z (GMT) No. of bitstreams: 1 TESE_CAIO CESAR MUSSOLINI.pdf: 657119 bytes, checksum: 255ea8ba1370490f062bc5487a79a09d (MD5) / Made available in DSpace on 2011-08-22T13:04:14Z (GMT). No. of bitstreams: 1 TESE_CAIO CESAR MUSSOLINI.pdf: 657119 bytes, checksum: 255ea8ba1370490f062bc5487a79a09d (MD5) Previous issue date: 2011-05-20 / This thesis aims to contribute with the debate regarding fiscal policy role on a macroeconomic level, from either the impact over short run output fluctuations and aggregate variables or the effect on long run growth and welfare. We focus on the productive government spending role. The short run analysis is based on a Real Business Cycle (RBC) model, where public capital is an additional input in the production function, along with private capital and labor, while the government keeps a balanced budget every period. The model captures quite well the high volatility of government spending (consumption and investment) and the procyclical behavior of the Brazilian fiscal policy, in the period 1950-2003. Subsequently, we estimate the main parameters that influence fiscal policy using bayesian methods. The fiscal variables (investment, consumption and tax rate) help in explaining the private variables behavior. The welfare analysis predicts that increasing government investment through lowering its consumption raises welfare, as well as reducing the tax rate. The long run analysis is based on an overlapping generations model with endogenous growth and public debt, where the government sector can choose between productive and nonproductive spending. The theoretical model‘s results indicate that the impact of productive government spending over long run growth depends negatively on debt size, tax burden and primary deficit, where a multiple equilibrium outcome is possible. In order to check the theoretical claims, we estimate a growth regression that depends on the productive spending and its interactions with the other fiscal variables for a heterogeneous sample of countries. Indeed, the main theoretical results are substantiated by the empirical analysis. / O objetivo desta tese é colaborar com a discussão sobre o papel da política fiscal em nível macroeconômico, seja em termos do impacto sobre as flutuações de curto prazo no produto e demais variáveis agregadas, ou no efeito que esta exerce sobre o crescimento e bem estar de longo prazo, sendo que uma atenção especial será dada ao papel dos gastos produtivos do governo. A análise de curto prazo é baseada em um modelo de Real Business Cycle (RBC) em que o capital público entra na função de produção como um insumo adicional ao capital privado e ao trabalho, sendo que o governo mantém o orçamento equilibrado a cada período. Os resultados indicam que o modelo consegue reproduzir bem a alta volatilidade dos gastos do governo e o caráter procíclico da política fiscal no Brasil, para o período de 1950 a 2003. Posteriormente, é feita a estimação dos principais parâmetros que influenciam a política fiscal pelo método bayesiano. As variáveis fiscais (investimento, consumo e taxa de impostos) ajudam a explicar boa parte do comportamento das variáveis privadas. Em termos de bem estar, o modelo prevê que aumentar o investimento do governo através de uma diminuição no consumo do mesmo gera um ganho de bem estar considerável, bem como reduções na taxa de impostos. A análise de longo prazo é baseada um modelo de gerações sobrepostas e crescimento endógeno com dívida pública, onde o governo executa gastos considerados produtivos e improdutivos. Os resultados do modelo teórico indicam que o impacto dos gastos produtivos do governo sobre o crescimento de longo prazo depende negativamente do tamanho da dívida, da carga tributária e do déficit primário, podendo ocorrer um cenário com equilíbrios múltiplos. De maneira a testar as predições teóricas, é estimada uma equação de crescimento em função do gasto produtivo e interações com as demais variáveis fiscais para uma amostra de países heterogêneos, e de fato, comprovam-se empiricamente os resultados do modelo teórico.

NC, Duke Univ., Dep. of Economics, Diss.--Durham, 2003. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 3 Beitr.

The thesis consists of four chapters. The introductory chapter clarifies different notions of rationality used by economists and gives a summary of the remainder of the thesis. Chapter 2 proposes an explanation for the common empirical observation of the coexistence of infrequently-changing regular price ceilings and promotion-like price patterns. The results derive from enriching an otherwise standard, albeit stylized, general equilibrium model with two elements. First, the consumer-producer interaction is modeled in the spirit of the price dispersion literature, by introducing oligopolistic markets, consumer search costs and heterogeneity. Second, consumers are assumed to be boundedly-rational: In order to incorporate new information about the general price level, they have to incur a small cognitive cost. The decision whether to re-optimize or act according to the obsolete knowledge about prices is itself a result of optimization. It is shown that in this economy, individual retail prices are capped below the monopoly price, but are otherwise flexible. Moreover, they have the following three properties: 1) An individual price has a positive probability of being equal to the ceiling. 2) Prices have a tendency to fall below the ceiling and then be reset back to the cap value. 3) The ceiling remains constant for extended time intervals even when the mean rate of inflation is positive. Properties 1) and 2) can be associated with promotions and properties 1) and 3) imply the emergence of nominal price rigidity. The results do not rely on any type of direct costs of price adjustment. Instead, price stickiness derives from frictions on the consumers’ side of the market, in line with the results of several managerial surveys. It is shown that the developed theory, compared to the classic menu costs-based approach, does better in matching the stylized facts about the reaction of individual prices to inflation. In terms of quantitative assessment, the model, when calibrated to realistic parameter values, produces median price ceiling durations that match values reported in empirical studies.<p><p>The starting point of the essay in Chapter 3 is the observation that the baseline New-Keynesian model, which relies solely on the notion of infrequent price adjustment, cannot account for the observed degree of inflation sluggishness. Therefore, it is a common practice among macro- modelers to introduce an ad hoc additional source of persistence to their models, by assuming that price setters, when adjusting a price of their product, do not set it equal to its unobserved individual optimal level, but instead catch up with the optimal price only gradually. In the paper, a model of incomplete adjustment is built which allows for explicitly testing whether price-setters adjust to the shocks to the unobserved optimal price only gradually and, if so, measure the speed of the catching up process. According to the author, a similar test has not been performed before. It is found that new prices do not generally match their estimated optimal level. However, only in some sectors, e.g. for some industrial goods and services, prices adjust to this level gradually, which should add to the aggregate inflation sluggishness. In other sectors, particularly food, price-setters seem to overreact to shocks, with new prices overshooting the optimal level. These sectors are likely to contribute to decreasing the aggregate inflation sluggishness. Overall, these findings are consistent with the view that price-setters are boundedly-rational. However, they do not provide clear-cut support for the existence of an additional source of inflation persistence due to gradual individual price adjustment. Instead, they suggest that general equilibrium macroeconomic models may need to include at least two types of production sectors, characterized by a contrasting behavior of price-setters. An additional finding stemming from this work is that the idiosyncratic component of the optimal individual price is well approximated by a random walk. This is in line with the assumptions maintained in most of the theoretical literature. <p><p>Chapter 4 of the thesis has been co-authored by Julia Lendvai. In this paper a full-fledged production economy model with Kahneman and Tversky’s Prospect Theory features is constructed. The agents’ objective function is assumed to be a weighted sum of the usual utility over consumption and leisure and the utility over relative changes of agents’ wealth. It is also assumed that agents are loss-averse: They are more sensitive to wealth losses than to gains. Apart from the changes in the utility, the model is set-up in a standard Real Business Cycle framework. The authors study prices of stocks and risk-free bonds in this economy. Their work shows that under plausible parameterizations of the objective function, the model is able to explain a wide set of unconditional asset return moments, including the mean return on risk-free bonds, equity premium and the Sharpe Ratio. When the degree of loss aversion in the model is additionally assumed to be state-dependent, the model also produces countercyclical risk premia. This helps it match an array of conditional moments and in particular the predictability pattern of stock returns. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

思及當前捉襟見肘的財政窘境，無可避免地，債台高築的臺灣實陷入飲鴆止渴般以債養債之無限迴圈中，導致政府政策效能不彰、社會福利運作生弊亦無可厚非；於『公共債務法』之財政規範下，臺灣業已瀕臨法定舉債門檻，故不論是對短期政府支出之排擠、扭曲性稅率之稽徵抑或對長期經濟成長的斲傷，皆是身為中華民國國民真正惶悚不安之所在。 職是之故，本研究係採用一納入政府財政部門及貨幣當局之擴充『實質景氣循環模型』，藉以Sidrauski（1967）所提出的貨幣效用函數為出發點，將實質餘額引進理論模型，並透過計量操作捕捉實證期間起於西元1971年第一季迄至2007年第四季之政府政策函數，過程中，我們不難發現政府購買性支出及稅率皆存在相當的持續性，且對政府未償公債餘額之高低作出某種程度的反應。亦即，若政府實施公債融通政策，俾使期初公債餘額較高之際，則本期甚或往後各期的政府支出將遭受抑制和排擠，尤有甚者，政府勢必擬以提高未來稅率以茲挹注該債務之還本付息所造成的財政缺口；是以，本研究著眼於引進公債餘額對政府支出及稅率存在反饋作用下，財政政策與貨幣政策之總體效果及各總體變數之動態調整過程的風貌。即便公債發行或賒借為政府提供一財務週轉工具以裨益財政政策保有更靈活之彈性，然據模型所產生的結果顯示，就長期而論，政府必須維持一穩定之未償公債餘額，即公債水準具備『均數復歸』性質，而該財政目標係透過削減未來政府支出、調整扭曲性稅率及鑄幣稅融通政策方得以達成預算平衡，準此，該設定將造成公債融通之減稅政策對經濟體系具有實質效果，『公債融通』管道亦『非中立性政策』，從而傳統『李嘉圖等值定理』於本模型中無法成立。 就政策面層次而言，本研究試圖放寬『反饋法則』與政策係數之設定，以檢視透過不同程度之政府支出、稅率甚至貨幣供給途徑的改變來平衡因增加公債發行所造成的財政赤字，對經濟體系之長短期效果有何迥異處；是文亦藉由衝擊反應函數分別探討於政府支出增加、減稅措施及貨幣擴張之下，政策的傳遞機制與各總體變數之動態性質，顯然地，就高債務比率前提下，當政府戮力於刺激景氣而欲積極實施立竿見影的總體經濟政策之際，卻常因狃於急效而欲速不達，非但政策效果有限，亦可能使體系落入更為不景氣的田地，從而，財政惡化不啻為經濟危機的導火線也就不言而喻。再者，貨幣政策對體系之實質變數具有一定程度的作用，是故，本模型於短期內無法一窺『貨幣中立性』之堂奧，唯長期始得以復見。總括言之，政府亟須奉『健全財政』為圭臬，擬定政策時更得戒慎恐懼，並適切權衡利弊得失，以茲裨益有更具信心的經濟表現。 此外，本研究亦透過『效準』實驗以評估模型『配適度』之良窳，即便於反覆疊代法下，該模擬表現係瑕瑜互見而不盡完美，卻也大抵符合景氣循環之『典型化特徵』；然就實質景氣循環模型所為人詬病之勞動市場一隅而論，引進公債之反饋法則下的財政政策操作，無疑地改善了傳統工時與工資率動輒高度正相關之本質，從而獲致相對較低之理論相關係數，亦朝實證資料所呈現工時與工資率存在幾近零相關甚或低度負相關之表徵更邁進一大步。 / With current financial difficulties beyond government capability, it is inevitable that the already deep-in-debt Taiwan opted for momentary relief by paying debt through debt financing and ended up in an infinite loop, causing spiral-down performances in government policies and faulty operations of social welfare instruments. Taiwan has been on the verge of reaching the statutory upper limit of debt financing according to “The Public Debt Act” regulations and all nationals are becoming anxious about such impacts as crowding out of short-run government spending, levying of distorting taxes, and damages on long-run economic growth. To better understand the debt’s impacts, this research uses the “Real Business Cycle Model” extended by taking government treasury agency and monetary institution into account. Starting with Money In Utility Function (MIUF) as proposed by Sidrauski (1967) to introduce real money balance into the theoretical model and, in the process of econometric manipulation, to detect empirical governmental policy functions in the period between the first quarter, 1971 and the fourth quarter, 2007, it is not hard to discover that there are considerable persistence in both government purchases and tax rates, with manifestation of certain degree of responses to the total amount of outstanding bonds the government has yet to pay. In other words, a governmental bond financing policy designed to render high initial bonds outstanding tends to cause suppression and crowding out of government spending in current and even later periods. Furthermore, the government is bound to plan on raising taxes in the future in order to cut financial deficit gap caused by paying back the principles and interests of the debt. Therefore, this study focuses on presenting the macroeconomic effects of fiscal policies and monetary policies, as well as the dynamic adjustment processes of macroeconomic variables based on the impact of feedback effect of bonds outstanding on government spending and tax rates. Even thought public bonds issuance or debt financing serves as a governmental fiscal instrument for financial turnover to ensure flexibility of fiscal policies, our model shows that the government should, from a long-run perspective, maintain a stable amount of bonds outstanding. Put in a different way, the level of bonds outstanding shows “mean-reverting” characteristics which rely on future government spending cut, distorting tax adjustment and seigniorage financing policy to achieve balance of budget. As a result, such setup would cause the bond-financing backed tax deduction policies to create practical effects on economies and, as the bond financing instruments are “Non-Neutrality” policies, would render the “Ricardian Equivalence Theorem” invalid in our model. In the policy aspect, this study tries to relax both “feedback rules” and setup of policy parameters for investigating the differences between long-run and short-run effects on the economy by different degrees of changes in government spending, tax rates and even money supply channels which are used to balance the fiscal deficit caused by increased bond issuance. This article also studies, through the impulse response function, the policy propagation mechanism and the dynamics of key macroeconomic variables under the situation of government spending increase, tax deduction and monetary expansion. It is obvious that the government, in the case of high debt ratios and when making all endeavors to spur economy by implementing macroeconomic policies aimed for instant results, is accustomed to seeking quick fixes only to achieve very limited effects, sometimes even to drive the economy into further recession. It is therefore evident that fiscal degradation could lead to economic disaster. Moreover, as the monetary policies have certain degrees of influence on real variables of the economy, this model will not be able to clearly analyze the “neutrality of money” in such a short period of time. The effect will only reveal in the long run. In summary, the government should keep “sound finance” as the highest guiding principle and be extremely cautious in formulating policies in order to weigh all pros and cons discreetly, thus help to achieve a benefiting economic performance that generates more confidence. Furthermore, this study assesses “goodness of fit” of the model through a “calibration” experiment. Although the simulation results show, under recursive method, intermingled good and poor occasions that are beyond satisfaction, they generally agree with the “typical characteristics” of business cycles. However, in the aspect of long-criticized labor market of the real business cycle model, the fiscal policy operation under feedback rules with introduction of public debts for sure has greatly improved on the conventional intrinsic property of high correlation between labor hours and real wage rates, by delivering a relatively low theoretical correlation coefficient, which is a big step towards the empirical results of almost zero or even weakly negative correlation between labor hours and real wage rates.