Le premier chapitre questionne l'intuition conventionnelle selon laquelle une forte concentration au plus haut de la distribution des revenus devrait favoriser l'émergence de bulles d'actifs rationnelles. J'utilise un modèle OLG avec des fictions financières et des agents hétérogènes qui diffèrent en termes de taux d'épargne, portefeuilles d'actifs et talents. Je montre qu'une forte concentration promeut l'émergence de bulles si et seulement si ces bulles sont illiquides ou si tous les actifs offrent les mêmes rendements. A l'inverse, lorsque les bulles sont liquides et les actifs liquides paient une prime de liquidité, une faible concentration promeut l'émergence de bulles. Le deuxième papier étudie les conditions sous lesquelles une bulle d'actif augmente le PIB dans un modèle OLG-Nouveau Keynesien incluant le capital. Je montre que la stagnation séculaire est une condition nécessaire mais non suffisante. En effet, les bulles ne stimulent le PIB que si la demande agrégée est très fortement déficiente. Le troisième papier démontre que les modèle Nouveaux Keynesiens (NK) font des prédictions paradoxales lorsque la demande agrégée est chroniquement déficiente - un boom séculaire plutôt qu'une stagnation séculaire, et analyse comment ajuster ces modèles pour qu'ils deviennent viables dans l'environnement actuel. Je souligne l'importance cruciale des élasticités de l'offre et de la demande d'actifs par rapport au PIB à long terme ; j'effectue également une connexion entre le boom séculaire et d'autres prévisions paradoxales du modèle NK. / The first chapter questions the conventional intuition that a high concentration of income at the top of the distribution should promote the emergence of rational asset bubbles. I use an OLG model with financial fictions and heterogeneous agents that differ in terms of savings rate, portfolio choices and skills. I show that a high concentration at the top promotes the emergence of asset bubbles if and only if those asset bubbles are illiquid or financial markets are arbitrage-free. Instead, if asset bubbles are liquid and liquid assets pay a premium under illiquid assets, a low concentration promotes the emergence of asset bubbles. The second chapter studies the circumstances under which asset bubbles are expansionary in an OLG-New Keynesian that includes capital. I show that secular stagnation is a necessary but not sufficient condition. Indeed, asset bubbles stimulate investment, consumption and output if and only if there's a strong shortage of aggregate demand. Finally, the third paper shows that "standard" New Keynesian models make puzzling predictions when aggregate demand is chronically deficient they predict a secular boom, and seeks to understand how those models must be adjusted to analyze secular stagnation. I emphasize the crucial role of the long run elasticities of asset demand and supply with respect to the output gap in general equilibrium; and I also connect the secular boom to other puzzling predictions of the New Keynesian model.

[pt] Eu desenvolvo um modelo de ciclo de vida para avaliar a importância relativa de vários determinantes de londo prazo da taxa de juros. O modelo é uma generalização de Gertler (1999), incluindo imperfeições no mercado de crédito e heterogeneidade entre trabalhadores para capturar totalmente os efeitos da transição demográfica. O modelo é calibrado para a economia brasileira, incluindo perfis para os gastos do governo, gastos com previdência, dívida pública, crescimento da produtividade e variáveis demográficas. O modelo explica 71 porcento da variação total na taxa de juros brasileira entre 2000 e 2019. Fatores demográficos, especialmente aumentos na expectativa de vida, são os principais determinantes da queda nas taxas de juros reais. Essas forças são parcialmente compensadas por aumentos na dívida pública e nos gastos com previdência. Além disso, o arcabouço sugere que as taxas de juros reais continuarão caindo nos próximos 20 anos, atingindo o patamar de 1.5 porcento a.a., apesar de aumentos razoáveis na dívida pública. No entanto, possíveis efeitos de prêmios de risco e juros globais nas taxas de juros domésticas não são incluídos na análise. / [en] I develop a life cycle model to evaluate the relative importance of several long-term drivers of real interest rates. The model is a generalization of Gertler (1999), including credit market imperfections and heterogeneity among workers to fully capture the effects of the demographic transition. I calibrate the model to the Brazilian economy, feeding it with profiles for government spending, public debt, productivity growth and demographic variables. The model explains 71 percent of the overall change in real interest rates in Brazil between 2000 and 2019. Demographic factors, especially increases in life expectancy, are the key drivers of the fall in real interest rates. These forces are partially compensated by increases in public debt and social security spending. Moreover, the framework suggests that real interest rates will keep falling over the next 20, reaching a level of 1.5 percent despite reasonable increases in government debt. However, possible effects of risk premia and global rates on domestic interest rates are absent from the analysis.

This study explores the possibility that cheep credit, provided to firms when profit opportunities on real investments are low, and when opportunities of financial investments are present, will loose some of it’s stimulus effect due to a crowding out effect of financial investments on real investments. Analyzing the changes in debt, and it’s channels of use during the recession of the covid19 pandemic, between firms with a history of stock buybacks, and firms without such a history, the study finds a significantly higher increase in debt for firms with a history of doing stock buybacks. The study concludes that this effect is due to firms finding financial uses of more cheap credit, which does crowd out real investments.

The treatment of owner-occupied housing (OOH) is probably the most important unresolved issue in inflation measurement. How -- and whether -- it is included in the Consumer Price Index (CPI) affects inflation expectations, the measured level of real interest rates, and the behavior of governments, central banks and market participants. We show that none of the existing treatments of OOH are fit for purpose. Hence we propose a new simplified user cost method with better properties. Using a micro-level dataset, we then compare the empirical behavior of eight different treatments of OOH. Our preferred user cost approach pushes up the CPI during housing booms (by 2 percentage points or more). Our findings relate to the following important debates in macroeconomics: the behavior of the Phillips curve in the US during the global financial crisis, and the response of monetary policy to housing booms, secular stagnation, and globalization. / Series: Department of Economics Working Paper Series

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.