The Representative Agent is nowadays a ubiquitous methodological tool used in modern economics. However its history is not fully developed. This thesis contributes to fill that gap by analyzing three separate, yet overlapping, contexts. The first chapter examines the rise of the representative consumer from the 1950s to the 1970s in the contributions to intertemporal economics by Tjalling Koopmans. In the first decade, the 1950s, Koopmans was an important figure in the Cowles Commission\'s incursion into decision theory, and, as an econometrician, an active participant in the debate on aggregation problems in economics. In the 1960s, Koopmans wrote the bulk of his contributions to the subfield of infinite horizon economies (including his optimal growth model) and it is in this decade that he fully articulated his views on the representative agent. Finally, in the 1970s, Koopmans continued contributing to the preference-based approach to individual decision-making leading to his intertemporally separable utility functions. Over these three decades, Koopmans went from an ambiguous stance toward the representative consumer to a more supportive one. Interestingly, his 1965 growth paper, that helped spread the use of the representative agent in macroeconomics, can be seen as a turning point. Part of this change is due to the ever-increasing use of the device in macroeconomics, a movement that he did not initiate but helped intensify. The second chapter asks whether the representative agent might have emerged as the outcome of transformations that occurred in microeconomics from the 1930s throughout the 1940s, especially in the subfield of demand theory. To tell this story, I begin with a particular historical interpretation of this subfield, propounded by Wade Hands and Philip Mirowski in the 1990s, centered on the theoretical formulations and the ensuing econometric testing of the system of demand functions that involved the mathematician Harold Hotelling and the economist Henry Schultz, known as the Hotelling-Schultz impasse. Although this impasse was abandoned by the end of the 1930s, this debate continued in the profession, including at the Cowles Commission, then directed by Koopmans. He played an important role in the emergence of the representative agent in the microeconomics of aggregation problems. The significance of Paul Samuelson\'s introduction of homothetic preferences into general equilibrium theory and its connection to Koopmans\'s writings during the 1950s is also scrutinized. The third chapter identifies the emergence of the representative agent in the development of the optimal growth literature. Although Paul Samuelson used infinitely-lived representative consumers to shed light on macroeconomic topics in his works from the mid-1930s to the early 1950s, this tool only gained more adepts after it was \"agreed upon\" at the beginning of the 1960s. It is shown that the main center of research in growth economics at the time, the Massachusetts Institute of Technology (MIT), by congregating faculty members and graduate students working with the golden rule of growth as well as the turnpike theory, helped sanction the representative agent as a legitimate tool for macroeconomic investigations. Furthermore, in communities beyond MIT, economists such as Koopmans and Lionel McKenzie could have also played a role in spreading the methodological device, given the possible sway Samuelson had on them. / O Agente representativo é atualmente uma ferramenta metodológica onipresente em economia. No entanto sua história ainda não está totalmente desenvolvida. Essa tese contribui com esse estudo histórico através da análise de três contextos separados, mas, sobrepostos. O primeiro capítulo examina a ascensão do consumidor representativo nas décadas de 1950 a 1970 nas contribuições à economia intertemporal de Tjalling Koopmans. Na primeira década, de 1950, Koopmans foi um nome importante na incursão da Comissão Cowles na teoria da decisão e, como econometrista, também participou ativamente do debate sobre problemas de agregação na economia. Na década de 1960, Koopmans escreveu a maior parte de suas contribuições para o subcampo da economia do horizonte infinito (incluindo seu modelo de crescimento ótimo) e é nessa década que ele articulou de forma completa suas visões sobre o agente representativo. Finalmente, na década de 1970, Koopmans continuou contribuindo para a teoria das decisões individuais baseada nas preferências, levando-o à elaboração das funções de utilidade intertemporalmente separáveis. Ao longo dessas três décadas, Koopmans passou de um posicionamento ambíguo em relação ao consumidor representativo para outro mais inclusivo. Curiosamente, seu artigo de crescimento de 1965, que ajudou a disseminar o agente representativo em macroeconomia, pode ser visto como um ponto de virada no entendimento de Koopmans. Parte dessa mudança se deve ao uso cada vez maior do dispositivo na macroeconomia, um movimento que ele não iniciou mas ajudou a intensificar. O segundo capítulo pergunta se o agente representativo pode ter emergido como o resultado de transformações que ocorreram na microeconomia ao longo das décadas de 1930 e 1940, especialmente no subcampo da teoria da demanda. Para contar essa história, começo com uma interpretação histórica particular desse subcampo, proposta por Wade Hands e Philip Mirowski na década de 1990, centrada nas formulações teóricas e nos testes econométricos subsequentes do sistema de funções de demanda que envolviam o matemático Harold Hotelling e o economista Henry Schultz, conhecido como o impasse de Hotelling-Schultz. Embora esse impasse tenha sido abandonado ao final da década de 1930 por Schultz e Hotelling, o mesmo continuou na profissão, inclusive na Comissão Cowles, então dirigida por Koopmans. Ele desempenhou um papel importante no surgimento do agente representativo na microeconomia derivado dos problemas de agregação. O significado da introdução de preferências homotéticas de Paul Samuelson na teoria do Equilíbrio Geral e sua conexão com os escritos de Koopmans durante a década de 1950 também é examinado. O terceiro capítulo identifica o surgimento do agente representativo no desenvolvimento da literatura de crescimento ótimo. Embora Paul Samuelson tenha usado consumidores representativos de vida infinita para lançar luz sobre tópicos macroeconômicos em seus trabalhos de meados da década de 1930 até o início da década de 1950, essa ferramenta só ganhou mais adeptos depois de ter sido \"acordada\" no início dos anos 60. É mostrado que o principal centro de pesquisa em economia de crescimento na época, o Instituto de Tecnologia de Massachusetts (MIT), reunindo membros do corpo docente e estudantes de pós-graduação que trabalhavam com a regra de ouro do crescimento, bem como a Teoria da Turnpike, ajudou a sancionar o agente representativo como ferramenta legítima para investigações macroeconômicas. Além disso, em comunidades além do MIT, economistas como Koopmans e Lionel McKenzie também poderiam ter desempenhado um papel na divulgação do dispositivo metodológico dado uma possível influência que Samuelson teve sobre eles.

The assumption in economics of a representative agent is often made. However, it is a very rigid assumption. Hall and Jones (2004b) presented an economic model that essentially provided for a representative agent for each age group in determining the group's health level function. Our work seeks to extend their theoretical version of the model by allowing for two representative agents for each age—one for each of “Healthy” and “Sick” risk-factor groups—to allow for additional heterogeneity in the populace. The approach to include even more risk-factor groups is also briefly discussed. While our “extended” theoretical model is not applied directly to relevant data, several techniques that could be applicable were the relevant data to be obtained are demonstrated on other data sets. This includes examples of using linear classification, fitting baseline-category logit models, and running the genetic algorithm.

The Representative Agent is nowadays a ubiquitous methodological tool used in modern economics. However its history is not fully developed. This thesis contributes to fill that gap by analyzing three separate, yet overlapping, contexts. The first chapter examines the rise of the representative consumer from the 1950s to the 1970s in the contributions to intertemporal economics by Tjalling Koopmans. In the first decade, the 1950s, Koopmans was an important figure in the Cowles Commission\'s incursion into decision theory, and, as an econometrician, an active participant in the debate on aggregation problems in economics. In the 1960s, Koopmans wrote the bulk of his contributions to the subfield of infinite horizon economies (including his optimal growth model) and it is in this decade that he fully articulated his views on the representative agent. Finally, in the 1970s, Koopmans continued contributing to the preference-based approach to individual decision-making leading to his intertemporally separable utility functions. Over these three decades, Koopmans went from an ambiguous stance toward the representative consumer to a more supportive one. Interestingly, his 1965 growth paper, that helped spread the use of the representative agent in macroeconomics, can be seen as a turning point. Part of this change is due to the ever-increasing use of the device in macroeconomics, a movement that he did not initiate but helped intensify. The second chapter asks whether the representative agent might have emerged as the outcome of transformations that occurred in microeconomics from the 1930s throughout the 1940s, especially in the subfield of demand theory. To tell this story, I begin with a particular historical interpretation of this subfield, propounded by Wade Hands and Philip Mirowski in the 1990s, centered on the theoretical formulations and the ensuing econometric testing of the system of demand functions that involved the mathematician Harold Hotelling and the economist Henry Schultz, known as the Hotelling-Schultz impasse. Although this impasse was abandoned by the end of the 1930s, this debate continued in the profession, including at the Cowles Commission, then directed by Koopmans. He played an important role in the emergence of the representative agent in the microeconomics of aggregation problems. The significance of Paul Samuelson\'s introduction of homothetic preferences into general equilibrium theory and its connection to Koopmans\'s writings during the 1950s is also scrutinized. The third chapter identifies the emergence of the representative agent in the development of the optimal growth literature. Although Paul Samuelson used infinitely-lived representative consumers to shed light on macroeconomic topics in his works from the mid-1930s to the early 1950s, this tool only gained more adepts after it was \"agreed upon\" at the beginning of the 1960s. It is shown that the main center of research in growth economics at the time, the Massachusetts Institute of Technology (MIT), by congregating faculty members and graduate students working with the golden rule of growth as well as the turnpike theory, helped sanction the representative agent as a legitimate tool for macroeconomic investigations. Furthermore, in communities beyond MIT, economists such as Koopmans and Lionel McKenzie could have also played a role in spreading the methodological device, given the possible sway Samuelson had on them. / O Agente representativo é atualmente uma ferramenta metodológica onipresente em economia. No entanto sua história ainda não está totalmente desenvolvida. Essa tese contribui com esse estudo histórico através da análise de três contextos separados, mas, sobrepostos. O primeiro capítulo examina a ascensão do consumidor representativo nas décadas de 1950 a 1970 nas contribuições à economia intertemporal de Tjalling Koopmans. Na primeira década, de 1950, Koopmans foi um nome importante na incursão da Comissão Cowles na teoria da decisão e, como econometrista, também participou ativamente do debate sobre problemas de agregação na economia. Na década de 1960, Koopmans escreveu a maior parte de suas contribuições para o subcampo da economia do horizonte infinito (incluindo seu modelo de crescimento ótimo) e é nessa década que ele articulou de forma completa suas visões sobre o agente representativo. Finalmente, na década de 1970, Koopmans continuou contribuindo para a teoria das decisões individuais baseada nas preferências, levando-o à elaboração das funções de utilidade intertemporalmente separáveis. Ao longo dessas três décadas, Koopmans passou de um posicionamento ambíguo em relação ao consumidor representativo para outro mais inclusivo. Curiosamente, seu artigo de crescimento de 1965, que ajudou a disseminar o agente representativo em macroeconomia, pode ser visto como um ponto de virada no entendimento de Koopmans. Parte dessa mudança se deve ao uso cada vez maior do dispositivo na macroeconomia, um movimento que ele não iniciou mas ajudou a intensificar. O segundo capítulo pergunta se o agente representativo pode ter emergido como o resultado de transformações que ocorreram na microeconomia ao longo das décadas de 1930 e 1940, especialmente no subcampo da teoria da demanda. Para contar essa história, começo com uma interpretação histórica particular desse subcampo, proposta por Wade Hands e Philip Mirowski na década de 1990, centrada nas formulações teóricas e nos testes econométricos subsequentes do sistema de funções de demanda que envolviam o matemático Harold Hotelling e o economista Henry Schultz, conhecido como o impasse de Hotelling-Schultz. Embora esse impasse tenha sido abandonado ao final da década de 1930 por Schultz e Hotelling, o mesmo continuou na profissão, inclusive na Comissão Cowles, então dirigida por Koopmans. Ele desempenhou um papel importante no surgimento do agente representativo na microeconomia derivado dos problemas de agregação. O significado da introdução de preferências homotéticas de Paul Samuelson na teoria do Equilíbrio Geral e sua conexão com os escritos de Koopmans durante a década de 1950 também é examinado. O terceiro capítulo identifica o surgimento do agente representativo no desenvolvimento da literatura de crescimento ótimo. Embora Paul Samuelson tenha usado consumidores representativos de vida infinita para lançar luz sobre tópicos macroeconômicos em seus trabalhos de meados da década de 1930 até o início da década de 1950, essa ferramenta só ganhou mais adeptos depois de ter sido \"acordada\" no início dos anos 60. É mostrado que o principal centro de pesquisa em economia de crescimento na época, o Instituto de Tecnologia de Massachusetts (MIT), reunindo membros do corpo docente e estudantes de pós-graduação que trabalhavam com a regra de ouro do crescimento, bem como a Teoria da Turnpike, ajudou a sancionar o agente representativo como ferramenta legítima para investigações macroeconômicas. Além disso, em comunidades além do MIT, economistas como Koopmans e Lionel McKenzie também poderiam ter desempenhado um papel na divulgação do dispositivo metodológico dado uma possível influência que Samuelson teve sobre eles.

Submitted by Kelson Anthony de Menezes (kelson@ucb.br) on 2016-10-18T16:39:43Z No. of bitstreams: 1 MarcelStanleiMonteiroDissertacao2014.pdf: 1251084 bytes, checksum: afa38f20436a6e1254867ae41af7763c (MD5) / Made available in DSpace on 2016-10-18T16:39:43Z (GMT). No. of bitstreams: 1 MarcelStanleiMonteiroDissertacao2014.pdf: 1251084 bytes, checksum: afa38f20436a6e1254867ae41af7763c (MD5) Previous issue date: 2014-08-13 / This research investigated the existence of representative agents ' consumption habit of the Brazilian economy, using for this purpose, the model of Dubey, Geanakoplos and Shubik (2005), which received the incorporation of a term that represents the penalty applied to agents who take credit and subsequently missing with their financial commitments. It was used the model known as the Consumption-Based Capital Asset Pricing Model-CCAPM, to assign to the model of Dubey, Geanakoplos and Shubik (2005) generalization of infinite periods, instead of just two periods. Thus, to meet the objectives of this research, it has been estimated, through two utility functions, using the Generalized Method of Moments GMM, the inter-temporal discount factor consumption, also known as the impatience of the agents, the coefficient of relative risk aversion and the parameter that governs the separability of the time consumption. In addition, the penalty rate was calculated and, also, the scroll rate of these agents, debt relating to these calculations and estimates, information on the Brazilian economy, since 2000, making it possible to conclude that, for the period under examination, existed the habit in the consumption of representative agents, all of whom were penalized whenever preferred not to pay their obligations, which occasioned in the scrolling your debt. In addition, it was concluded that these agents are impatient and risk-averse and, also, that the important role played credit to contribute to growth and economic development. / Esta disserta????o investigou a exist??ncia do h??bito no consumo dos agentes representativos da economia brasileira, utilizando, para tanto, o modelo de Dubey, Geanakoplos e Shubik (2005), que recebeu a incorpora????o de um termo que representa a penalidade aplicada aos agentes que tomam cr??dito e, posteriormente, faltam com seus compromissos financeiros assumidos. Utilizou-se, ainda, o modelo conhecido como Consumption-Based Capital Asset Pricing Model CCAPM, para que fosse poss??vel atribuir ao modelo de Dubey, Geanakoplos e Shubik (2005) a generaliza????o de infinitos per??odos, ao inv??s de apenas dois per??odos. Assim, para atender aos objetivos desta pesquisa, estimou-se, atrav??s de duas fun????es de utilidade, pelo M??todo dos Momentos Generalizados GMM, o fator de desconto intertemporal do consumo, tamb??m conhecido como a impaci??ncia dos agentes, o coeficiente de avers??o relativa ao risco e o par??metro que rege a separabilidade do consumo no tempo. Al??m disso, foi calculada a taxa penalidade e, tamb??m, a taxa da rolagem da d??vida desses agentes, relacionando a esses c??lculos e estima????es, informa????es sobre a economia brasileira, desde 2000, o que possibilitou concluir que, para o per??odo analisado, existiu o h??bito no consumo dos agentes representativos, os quais foram penalizados sempre que preferiram n??o pagar seus compromissos assumidos, o que ocasionou na rolagem de sua d??vida. Al??m disso, chegou-se ?? conclus??o de que esses agentes s??o impacientes e avessos ao risco e, tamb??m, que o cr??dito desempenhou o importante papel de contribuir para o crescimento e o desenvolvimento econ??mico.

This thesis examines the response of a representative agent investor to sequences (streaks) of quarterly earnings surprises over a period of twelve quarters using the United States S&P500 constituent companies sample frame in the years 1991 to 2006. This examination follows the predictive performance of the representative agent model of Rabin (2002b) [Inference by believers in the law of small numbers. The Quarterly Journal of Economics. 117(3).p.775 816] and Barberis, Shleifer, and Vishny (1998) [A model of investor sentiment. Journal of Financial Economics. 49. p.307 343] for an investor who might be under the influence of the law of small numbers, or another closely related cognitive bias known as the gambler s fallacy. Chapters 4 and 5 present two related empirical studies on this broad theme. In chapter 4, for successive sequences of annualised quarterly earnings changes over a twelve-quarter horizon of quarterly earnings increases or falls, I ask whether the models can capture the likelihood of reversion. Secondly, I ask, what is the representative investor s response to observed sequences of quarterly earnings changes for my S&P500 constituent sample companies? I find a far greater frequency of extreme persistent quarterly earnings rises (of nine quarters and more) than falls and hence a more muted reaction to their occurrence from the market. Extreme cases of persistent quarterly earnings falls are far less common than extreme rises and are more salient in their impact on stock prices. I find evidence suggesting that information discreteness; that is the frequency with which small information about stock value filters into the market is one of the factors that foment earnings momentum in stocks. However, information discreteness does not subsume the impact of sequences of annualised quarterly earnings changes, or earnings streakiness as a strong candidate that drives earnings momentum in stock returns in my S&P500 constituent stock sample. Therefore, earnings streakiness and informational discreteness appear to have separate and additive effects in driving momentum in stock price. In chapter 5, the case for the informativeness of the streaks of earnings surprises is further strengthened. This is done by examining the explanatory power of streaks of earnings surprises in a shorter horizon of three days around the period when the effect of the nature of earnings news is most intense in the stock market. Even in shorter windows, investors in S&P500 companies seem to be influenced by the lengthening of negative and positive streaks of earnings surprises over the twelve quarters of quarterly earnings announcement I study here. This further supports my thesis that investors underreact to sequences of changes in their expectations about stock returns. This impact is further strengthened by high information uncertainties in streaks of positive earnings surprise. However, earnings streakiness is one discrete and separable element in the resolution of uncertainty around equity value for S&P 500 constituent companies. Most of the proxies for earnings surprise show this behaviour especially when market capitalisation, age and cash flow act as proxies of information uncertainty. The influence of the gambler s fallacy on the representative investor in the presence of information uncertainty becomes more pronounced when I examine increasing lengths of streaks of earnings surprises. The presence of post earnings announcement drift in my large capitalised S&P500 constituents sample firms confirms earnings momentum to be a pervasive phenomenon which cuts across different tiers of the stock markets including highly liquid stocks, followed by many analysts, which most large funds would hold.

Wir befassen uns mit Gleichgewichtsproblemen, die bei dem Zusammentreffen von Märkten und Marktteilnehmern entstehen, zuerst in einem Modell mit konkurrierenden Märkten mit Feedback und asymmetrischer Information und dann mit strategisch interagierenden Händlern. Zudem untersuchen wir spezielle Richtungsableitung im Kontext des pfadweisen Malliavinkalküls. Im ersten Kapitel analysieren wir ein Prinzipal-Agenten-Problem mit einem monopolistischen Dealer, der mit einem Crossing-Netzwerk (CN) um den Handel mit Agenten mit privater Information konkurriert. Wir untersuchen die gewinnmaximierenden Angebote des Dealers für unterschiedliche Outside-Optionen und formulieren hinreichende Bedingungen für die Existenz und Eindeutigkeit einer optimalen Lösung. In unserem Modell ist die Einführung des CN für die Agenten vorteilhaft und ein Gleichgewichtspreis existiert. Im zweiten Kapitel analysieren wir den Einfluss vergleichender Leistungsbewertung von Händlern auf die Preisfindung im Marktgleichgewicht. Ein Derivat soll einen markträumenden Preis bekommen unter Beachtung der strategisch handelnden Agenten. Das Risiko eines Händlers setzt sich aus dem eigenen Risikoprofil und dem Erfolg des Handelns relativ zum durchschnittlichen Handelserfolg aller zusammen und er wird durch eine BSDE gemessen. Wir bestimmen einen repräsentativen Agenten und zeigen so die Existenz und Eindeutigkeit eines Gleichgewichtspreises. Weiterhin können wir diesen charakterisieren und im Spezialfall von entropischen Risikomaßen konkret berechnen. In diesem Spezialfall führen wir auch eine Parameteranalyse durch. Das dritte Kapitel verknüpft klassischen und pfadweisen Malliavinkalkül. Wir definieren und analysieren pfadweise Richtungsableitungen mit Hilfe von Perturbationen mit Cameron-Martin-Funktionen, mit (Hölder-)stetigen Funktionen, mit unstetigen Funktionen und mit Maßen. Somit sind sowohl die klassische Malliavin-Ableitung als auch Dupires vertikale Ableitung als Spezialfälle enthalten. / We analyze equilibrium problems arising from interacting markets and market participants, first competing markets with feedback and asymmetric information, then strategically interacting traders; moreover we analyze a new notion of a pathwise directional derivative in the context of pathwise Malliavin calculus. The first chapter analyzes a principal-agent game in which a monopolistic profit-maximizing dealer competes with a crossing network (CN) for trading with privately informed agents. We analyze the structure of the dealer’s offered pricing schedules for different outside options. We give sufficient conditions for the existence and uniqueness of a solution to the dealer’s problem and show that in our setting the introduction of the CN is beneficial for the agents. Additionally, we discuss existence and uniqueness of an equilibrium price for the feedback between dealer and CN. In the second chapter we analyze the impact of performance concerns on a problem of equilibrium pricing. A derivative is priced such that the market clears, given strategically behaving agents. Their risk stems from a risky position in the future and the relative trading gains compared to all other agents. The risk measure of each agent is specified by a BSDE. In spite of the strategic interaction, we are able to apply a representative agent approach to obtain existence and uniqueness of the equilibrium market price of external risk. In the special case of entropic risk measures, we perform a parameter analysis. The third chapter provides a link between classical and pathwise Malliavin calculus. We define and analyze pathwise directional derivatives via perturbations with Cameron-Martin functions, (Hölder-)continuous functions, discontinuous functions and measures, thereby including both the traditional Malliavin derivative and the vertical derivative from Dupire’s work.

La mondialisation financière des dernières décennies témoigne du phénomène du déséquilibre mondial dans lequel les comptes déficitaires actuels de certaines grandes économies avancées sont continuellement financés par certains pays en développement avec des taux de croissance élevés et des stocks de capitaux rares. Sur le plan théorique, le modèle de croissance néoclassique implique qu’une économie avec une pénurie de capitaux aurait un produit marginal élevé de capital et un taux d’intérêt élevé d’autarcie. Par conséquent, lors de l’intégration avec la capitale mobile gratuite, ce pays éprouverait les entrées nettes de capitaux nets afin que le taux d’intérêt domestique soit égal au reste du taux mondial (Lucas 1990). De plus, une économie qui se développe plus rapidement que le reste du monde aurait également une demande d’investissement plus élevée et devrait connaître les entrées de capitaux totaux nets (Gourinchas and Jeanne 2013). Les déséquilibres mondiaux sont le résultat de l’hétérogénéité des tendances de l’épargne et des investissements dans tous les pays. En effet, un pays connaît un apport de capitaux si son économie est inférieure à son investissement : ce pays emprunte au reste du monde si sa sauvegarde est supérieure à son investissement. La thèse emploierait la croissance de la productivité pour afficher les sources de lumière sur cette hétérogénéité entre les pays. [...] / The financial globalization for the past decades witnesses the global imbalance phenomenon on which the deficit current accounts by some large advanced economics are continuously financed by some developing economies with the high output growth rates and the scarce capital stocks. On the theoretical ground, the Neo-Classical growth model implies that one economy with scarcity of capital would have a high marginal product of capital and a high autarky interest rate therefore, at the integration with the free mobile capital, that country would experience the net total capital inflows so that the domestic interest rate equals that to the rest of world’s rate (Lucas 1990). Furthermore, one economy growing faster than the rest of the world would also have a higher investment demand and should experience the inflows of net total capitals (Gourinchas and Jeanne 2015). The global imbalances are the result of the heterogeneity in the patterns of savings and investments across countries. Indeed, one country experiences an inflow of capital if its saving is less that its investment: that country borrows from the rest of the world to finance the excess investment demand. Similarly, one country would lend to the rest of the world if its saving is higher than its investment. The thesis would employ the productivity growth to shed the refresh lights on this heterogeneity across countries. [...]