A presente dissertação tem por objetivo discutir diferentes aspectos de um método de modelagem econômica conhecido por Modelos Stock-Flow Consistent (SFC). Essa classe de modelos tem como principais características a presença de matrizes que representam os balanços patrimoniais dos setores modelados, bem como os fluxos de transações e de fundos financeiros. A primeira etapa do trabalho consiste em analisar as origens dos modelos SFC, apresentando os trabalhos que precederam as primeiras formulações. Em seguida, é feito um survey completo da literatura SFC corrente. Essas duas etapas são realizadas através de uma revisão bibliográfica de artigos, working papers, teses e dissertações. A terceira etapa do trabalho consiste em discutir aspectos metodológicos da modelagem SFC, em especial a modelagem de equações comportamentais de expectativas. Por fim, um modelo SFC é elaborado com o objetivo de analisar o comportamento de uma economia sob quatro regimes fiscais diferentes: (i) balanço equilibrado; (ii) meta de gastos do governo como proporção do PIB; (iii) meta de déficit do governo como proporção do PIB; (iv) meta de dívida pública como proporção do PIB. O comportamento em estado estacionário desses regimes é analisado, bem como sua resiliência a choques. Entre as conclusões, percebeu-se que o segundo regime apresenta a maior taxa de crescimento no steady state, além de ser mais resiliente a choques negativos. / The general goal of this dissertation is to discuss different dimensions of a class of Post-Keynesian models known as Stock-Flow Consistent Models. The main features of these models are: (i) the presence of balance sheets matrices of the sectors to be modeled, guaranteeing the consistency in the economic stocks; (ii) the flow of funds matrix, that records the real and financial transactions of the economy. The first step of the work is to analyze the origins of the SFC models, presenting the works that preceded the first elaborations. Next to it, the current SFC literature is surveyed. These two steps are accomplished by means of a survey of the literature in academic journals, working papers, dissertations and thesis. The third step of the work is a discussion of methodological issues such as the role of expectations in the behavioral functions for consumption. Finally, the fourth step consists of elaborating a SFC model in order to analyze four fiscal policy regimes: (i) balanced budget, (ii) a target for government’s expenditures , (iii) a target for government deficit, and (iv) a target for government debt. The steady state behavior of each regime is analyzed, as well as its resilience to adverse shocks. The second regime is the one with the higher steady state growth rate and also is the more resilient to negative shocks.

A presente dissertação tem por objetivo discutir diferentes aspectos de um método de modelagem econômica conhecido por Modelos Stock-Flow Consistent (SFC). Essa classe de modelos tem como principais características a presença de matrizes que representam os balanços patrimoniais dos setores modelados, bem como os fluxos de transações e de fundos financeiros. A primeira etapa do trabalho consiste em analisar as origens dos modelos SFC, apresentando os trabalhos que precederam as primeiras formulações. Em seguida, é feito um survey completo da literatura SFC corrente. Essas duas etapas são realizadas através de uma revisão bibliográfica de artigos, working papers, teses e dissertações. A terceira etapa do trabalho consiste em discutir aspectos metodológicos da modelagem SFC, em especial a modelagem de equações comportamentais de expectativas. Por fim, um modelo SFC é elaborado com o objetivo de analisar o comportamento de uma economia sob quatro regimes fiscais diferentes: (i) balanço equilibrado; (ii) meta de gastos do governo como proporção do PIB; (iii) meta de déficit do governo como proporção do PIB; (iv) meta de dívida pública como proporção do PIB. O comportamento em estado estacionário desses regimes é analisado, bem como sua resiliência a choques. Entre as conclusões, percebeu-se que o segundo regime apresenta a maior taxa de crescimento no steady state, além de ser mais resiliente a choques negativos. / The general goal of this dissertation is to discuss different dimensions of a class of Post-Keynesian models known as Stock-Flow Consistent Models. The main features of these models are: (i) the presence of balance sheets matrices of the sectors to be modeled, guaranteeing the consistency in the economic stocks; (ii) the flow of funds matrix, that records the real and financial transactions of the economy. The first step of the work is to analyze the origins of the SFC models, presenting the works that preceded the first elaborations. Next to it, the current SFC literature is surveyed. These two steps are accomplished by means of a survey of the literature in academic journals, working papers, dissertations and thesis. The third step of the work is a discussion of methodological issues such as the role of expectations in the behavioral functions for consumption. Finally, the fourth step consists of elaborating a SFC model in order to analyze four fiscal policy regimes: (i) balanced budget, (ii) a target for government’s expenditures , (iii) a target for government deficit, and (iv) a target for government debt. The steady state behavior of each regime is analyzed, as well as its resilience to adverse shocks. The second regime is the one with the higher steady state growth rate and also is the more resilient to negative shocks.

This paper presents a post-Keynesian ecological macro model that combines three strands of literature: the directed technological change mechanism developed in mainstream endogenous growth theory models, the ecological economic literature which highlights the role of green innovation and material flows, and the post-Keynesian school which provides a framework to deal with the demand side of the economy, financial flows, and inter- and intra-sectoral behavioral interactions. The model is stock-flow consistent and introduces research and development (R&D) as a component of GDP funded by private firm investment and public expenditure. The economy uses three complimentary inputs - Labor, Capital, and (non-renewable) Resources. Input productivities depend on R&D expenditures, which are determined by relative changes in their respective prices. Two policy experiments are tested; a Resource tax increase, and an increase in the share of public R&D on Resources. Model results show that policy instruments that are continually increased over a long-time horizon have better chances of achieving a "green" transition than one-of climate policy shocks to the system, that primarily have a short-run affect. / Series: Ecological Economic Papers

Orientador: Antonio Carlos Macedo e Silva / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-20T06:16:51Z (GMT). No. of bitstreams: 1 Leite_FabricioPitombo_D.pdf: 2446150 bytes, checksum: 480758239821863520f38091dcf2d5f8 (MD5) Previous issue date: 2012 / Resumo: Essa tese esta dividida em três partes. Na primeira, discute-se o curto período subjacente ao multiplicador tradicional dos gastos autonomos, de modo que estejam explicitados os grandes agregados macroeconômicos e as conexoes entre os mesmos, para que a separação entre as parcelas autonoma e induzida com relacao a renda e crucial. Em um segundo capitulo, integrante dessa primeira parte, procede-se a estimativas dos parâmetros envolvidos em uma dada especificação do multiplicador, para o Brasil, nas quais tenta-se ainda captar o período de tempo (cronológico) inerente ao período (teórico) do multiplicador. Na segunda parte, realiza-se a tarefa de justificar o tratamento dado ao investimento, considerado autônomo com relacao a renda, lançando Mao de uma explicação a partir das relações intersetoriais existentes num sistema econômico. Mais uma vez, efetua-se a divisão em dois capítulos, um explicitando a base teórica utilizada, a partir de um esquema multissetorial, e outro apresentando resultados empíricos, baseados em matrizes insumo-produto. Finalmente, na terceira parte, empregando modelos de consistência entre fluxos e estoques, são derivadas algumas implicações dinâmicas para alem do curto período do multiplicador, decorrentes de uma dada estrutura observada. Para tal, as estimativas dos parâmetros e do próprio período do multiplicador são utilizadas, passando-se de um modelo teórico de simulação a uma estratégia aplicada que incorpora o papel dos estoques em um arcabouço trivial de analise dos agregados macroeconômicos / Abstract: This thesis is divided into three parts. The first one discusses the short period behind the traditional autonomous expenditure multiplier, in a way that exposes the major macroeconomic aggregates and their interconnections; at this point the separation between the autonomous and induced parcels with respect to income is crucial. A second chapter, compounding the first part, presents estimations of the parameters involved in a given specification of the multiplier, for Brazil, trying also to capture the chronological period of time inherent to the theoretical period of the multiplier. Considering the presentation of the investment in the previous part as autonomous with respect to income, the second part explores this hypothesis arguing from the inter-sectoral relationships existent in a economic system. Once more, the division in two chapters was made, one outlining the theoretical basis, from a multi-sectoral scheme, and another featuring empirical results, based on input-output matrices. Finally, the third part employs stock-flow consistent models to derive some dynamical implications to beyond the short period of multiplier, resulting from a given observed structure. To this end, the estimations of the parameters and of the multiplier period are used, moving from a theoretical simulation model to an applied strategy that incorporates the role of stocks in a trivial framework of analysis of the macroeconomic aggregates / Doutorado / Teoria Economica / Doutor em Ciências Econômicas

We aim to investigate the stability of various stock-flow consistent economic models, and the potential causes for economic collapse therein. Through parameter sensitivity analysis, we study models that feature a public sector, an active central bank, and a household sector with independent consumption. Our final, most comprehensive economic system combines all of the intricacies of each model, prominently featuring a demand-driven economy that is stabilized by an expansionary monetary policy. In addition, we incorporate a climate module for each economic system, and analyze public sector intervention through carbon taxes and abatement subsidies. We find that the most common feature of economic instability is a lack of demand, driven by decreases in capital investment from firms, as well as a decline in household consumption. In order to maintain a stable growth path and prevent a permanent economic contraction, we propose the implementations of an expansionary monetary policy, increased public sector subsidies of abatement costs, and stricter carbon taxes. / Thesis / Master of Science (MSc)

This dissertation consists of three independent essays. The first essay, “Long Waves and Short Cycles in a Model of Endogenous Financial Fragility,” presents a stock flow consistent macroeconomic model in which financial fragility in firm and household sectors evolves endogenously through the interaction between real and financial sectors. Changes in firms’ and households’ financial practices produce long waves. The Hopf bifurcation theorem is applied to clarify the conditions for the existence of limit cycles, and simulations illustrate stable limit cycles. The long waves are characterized by periodic economic crises following long expansions. Short cycles, generated by the interaction between effective demand and labor market dynamics, fluctuate around the long waves. The second essay,“Macroeconomic Implications of Financialization,” examines macroeconomic effects of changes in firms’ financial behavior (retention policy, equity financing, debt financing), and household saving and portfolio decisions using models that pay explicit attention to financial stock-flow relations. Unlike the first essay, the second essay focuses on the effects of financial change on steady growth path. The results are insensitive to the precise specification of household saving behavior but depend critically on the labor market assumptions (labor-constrained vs dual) and the specification of the investment function (Harrodian vs stagnationist). The last essay, “Finance, Sectoral Structure and the Big Push,” studies the role of finance in the presence of investment complementarities using a big push model. Due to complementarities between different investment projects, simultaneous industrialization of many sectors (big push) may be needed for an underdeveloped economy to escape from an underdevelopment trap. Such simultaneous industrialization requires costly coordination by a third party, such as the government. Some recent papers show that private banks with significant market power may also solve the problem of coordination failure. We show that private coordination may not work since even large private banks may find it more profitable to finance firms in the traditional sector than in the modern sector.

Questo lavoro si compone di due parti. La prima parte, costituita dal capitolo primo, fornisce una comparazione teorica di due teorie economiche in ambito di dottrina monetaria, ovvero la teoria New Keynesiana e quella Post Keynesiana. Nella seconda parte, viene ideato e implementato attraverso il software un modello teorico macroeconomico di impostazione Post Keynesiana. L’argomento di analisi è il processo di cartolarizzazione – illustrato nel capitolo 2 – che è stato al centro della crisi finanziaria che ha colpito gli Stati Uniti nel 2007-2009. L’obiettivo del lavoro è quello di analizzare, attraverso la costruzione di un modello – esposto nel capitolo 3 – che utilizza la metodologia Stock-Flow Consistent, i collegamenti tra il settore finanziario e il mercato delle case al fine di stabilire la natura della crisi: si è trattato di una crisi trainata dalla finanza o dal comportamento delle famiglie? La novità del nostro lavoro consiste nella descrizione dettagliata nell’ambito dell’approccio Stock-Flow Consistent del comportamento delle banche private, assumendo una gestione attiva di bilancio da parte delle banche di investimento. / This work is basically divided into two parts. The first part – chapter 1 – provides a comparison between two theory of monetary economics: New Keynesian and Post Keynesian. The second part is represented by the elaboration and implementation of a theoretical macroeconomic model, grounded in Post Keynesian theory. The subject under investigation is the securitization process – illustrated in chapter 2 – which has been at the centre of the 2007-2009 crisis in the United States. The aim is to analyze, through the construction of an elaborate model – in chapter 3 – the links between the financial sector and the housing market and to assess the nature of the crisis: was the 2007-2009 financial crisis a households-led or a finance-led crisis? The novelty of our work is represented by the detailed description in the Stock-Flow Consistent approach of the private banking sector, assuming that investment banks carry out an active management of their balance sheets.

Economic policy in the EU faces a trilemma of solving three challenges simultaneously - growth, distribution, and the environment. In order to assess policies that address these issues simultaneously, economic models need to account for both sector-sector and sector-environment feedbacks within a single framework.This paper presents a multi-sectoral stock-flow consistent (SFC) macro model where a demand-driven economy consisting of multiple institutional sectors - firms, energy, households, government, and financial - interacts with the environment. The model is calibrated for the EU region and five policy scenarios are evaluated; low consumption, a capital stock damage function, carbon taxes, higher share of renewable energy, and technological shocks to productivity. Policy outcomes are tracked on overall output, unemployment, income and income distributions, energy, and emission levels. Results show that investment in mitigation technologies allows for absolute decoupling and ensures that the above three issues can be solved simultaneously. / Series: WWWforEurope

Cette thèse a pour objectif d‟étudier les déséquilibres globaux avec un modèle multinational empirique en stock-flux cohérent. La dernière crise financière de 2008, qui a été suivie par une crise économique mondiale, a reconfiguré l‟évolution de nombreuses variables macroéconomiques. Les déséquilibres globaux se sont fortement résorbés et le maintien de cet ajustement résulte essentiellement de facteurs macroéconomiques conjoncturels, en raison de l‟effondrement de la demande. Compte tenu des changements majeurs durant ces dernières années, nous examinons dans notre recherche les perspectives de croissance future aux États-Unis, en Chine et en Europe dans le cas des poursuites des politiques économiques actuelles, à l‟horizon 2030. Pour cela, nous utilisons d‟abord le modèle C.A.M développé par F. Cripps, ensuite nous estimons notre propre modèle multinational à cinq régions. L‟analyse se focalise sur l‟évolution des déséquilibres globaux, la croissance économique et le taux de change. Les projections du scénario de base de notre modèle multinational, dans le cas de la poursuite des politiques actuelles, montrent que l‟ajustement des déséquilibres externes est maintenu au prix de déséquilibres internes. / This thesis aims to study the global imbalances with an empirical multinational stock-flow consistent model. The last financial crisis, which was followed by a global economic crisis, has reconfigured the evolution of many macroeconomic variables. Global imbalances have strongly resorbed and this continuing adjustment results mainly from cyclical macroeconomic factors, due to the collapse in demand. Given the major changes in the recent years, we analyze in our research growth prospects in the United States, in China and Europe in the case of the continuation of current economic policies, over the period running up to 2030. For that purpose, we first use the C.A.M model developed by F. Cripps. We then estimate our own five bloc multinational model. We focus on analyzing the evolution of global imbalances, the economic growth and the exchange rate. The baseline scenario projections of our multinational model, in the case of the continuation of the current economic policies, show that the adjustment of the external imbalances is maintained at the cost of internal imbalances.

CCette thèse étudie les impacts de la financiarisation sur le taux de change des paysémergents. La financiarisation entraine la finance vers une logique patrimoniale et plusspéculative au niveau international comme l'indique l'utilisation de produits et pratiquesinnovantes par les gestionnaires de portefeuille internationaux. Parallèlement, on constateune volatilité élevée des taux de change dans certains pays émergents, notamment lors deturbulences sur les marchés financiers internationaux. La thèse analyse la relation entre la financiarisation et cette dynamique du taux de change et pourquoi le taux de change est plus volatile dans certains pays. La thèse émet l'hypothèse que l'inclusion d'actifs des pays émergents et de leur monnaie dans les stratégies innovantes de gestion de portefeuille soumet leurs taux de change aux décisions des money managers et les rend dépendant aux variations des marchés financiers mondiaux. Pour tester cette hypothèse, la thèse propose l'utilisation d'un indicateur d'intégration financiarisée et le compare aux caractéristiques de chaque taux de change. Les résultats démontrent une forte relation entre le niveau de financiarisation de l'intégration d'un pays et la volatilité de son taux de change, la fréquence des dépréciations extrêmes, la corrélation avec les conditions financières internationales ainsi qu'avec d'autres monnaies émergentes. La thèse propose une analyse dans une approche Minskyenne d'économie ouverte qui détaille les mécanismes sous-jacents à ces résultats et des modélisations des éléments importants pour la détermination du taux de change dans un cadre SFC. / This thesis investigates the impacts of financialization on exchange rates of emerging marketeconomies (EMEs). With financialization, finance follows a patrimonial and increasinglyspeculative logic at the international level, reflecting innovations of products and practicessuch as FX derivatives and carry trading by money managers. Through their portfolioallocation decisions, these portfolio investors bridge markets and currencies across the globe, their decisions being key to exchange rate determination. Simultaneously, some EMEs have been facing high exchange rate volatility, especially in moments of turbulence in international financial markets. The thesis seeks to answer whether these dynamics are associated with financialization and why they are stronger in some EMEs. Specifically, it raises the hypothesis that the use of an EME's assets and currency in those innovative strategies increases emerging currencies' fragility to money managers' decisions, thus to conditions of financial markets worldwide. To test this hypothesis an indicator of financialized integration is suggested and compared to countries' exchange-rate features. Results demonstrate a strong association of financialization with higher exchange rate volatility, more frequent extreme depreciations, closer association with international financial conditions, and high correlation with other emerging currencies. Apart from scrutinizing emerging currencies' special dynamics and their reasons, the thesis suggests a Minskyan open-economy framework that details the underlying mechanisms and forms of modeling keyelements to explain exchange rate dynamics in the SFC framework.