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We present in this thesis three distinct models in Financial Economics. In the first chapter we present a pure exchange economy model with collateral constraints in the spirit of Kiyotaki and Moore (1997). As a first result in this chapter we prove the existence of an equilibrium for this type of economies. We show that in this type of models bubbles can exist and provide a bubble example in which the asset containing the bubble pays positive dividends. We also show for the case of high interest rates the equivalence between this type of models and the Arrow-Debreu market structure. In the second chapter we present a model with limited commitment and one-side exclusion from financial markets in case of default. For this type of models we prove a no-trade theorem in the spirit of Bulow and Rogoff (1989). This is done for an economy with and without bounded investment in a productive activity. The third chapter presents a 2 period economy with complete markets, and 250 states of the world and assets. For this economies we generate a sequence of observed returns, and we show that a market proxy containing only 80% of the assets in the economy provides similar results as the true market portfolio when estimating the CAPM. We also show that for the examples we present a vast amount of observations is required in order to reject the CAPM. This raises the question what the driving force behind the bad empirical performance of the CAPM is.

Essa dissertação estuda os efeitos de políticas de direcionamento de crédito sobre alocação de recursos na economia brasileira. Esse é um tópico particularmente importante para o Brasil, dado que a proporção do crédito que é direcionada no Brasil é próxima a 40%. As regras de direcionamento provavelmente geram distorções no preço de empréstimos, afetando assim o retorno marginal de fatores entre firmas e entre setores, consequentemente gerando misallocation de recursos. Fazendo uso de um modelo de agentes heterogêneos em tempo contínuo, se é capaz de estudar efeitos distributivos de tais políticas e explorar vantagens computacionais na solução do modelo. Calibra-se o modelo usando dados da economia brasileira e estatísticas de microdados de crédito que conectam informações sobre crédito e tamanho de firmas. Adicionalmente, verifica-se como tais políticas de direcionamento de crédito interagem com restrições ao crédito. / This paper looks at misallocation effects of earmarked credit in the Brazilian Economy. This is a very important topic in Brazil, where the proportion of credit earmarked for specific types of loans reach about 40% of total credit. The earmarking rules are likely to generate distortions in loan\'s prices, producing differences in marginal returns to inputs across firms and sectors, and therefore misallocation of resources. Using a heterogeneous agents in continuous time model, we are able to study distributional effects of such policies and explore some computational advantages to solve the model. Furthermore, we calibrate such model using Brazilian credit microdata statistics linking firm size and loans. Additionally, we will verify how these earmarked resources interact with credit constraints that are probably present in the Brazilian economy

Essa dissertação estuda os efeitos de políticas de direcionamento de crédito sobre alocação de recursos na economia brasileira. Esse é um tópico particularmente importante para o Brasil, dado que a proporção do crédito que é direcionada no Brasil é próxima a 40%. As regras de direcionamento provavelmente geram distorções no preço de empréstimos, afetando assim o retorno marginal de fatores entre firmas e entre setores, consequentemente gerando misallocation de recursos. Fazendo uso de um modelo de agentes heterogêneos em tempo contínuo, se é capaz de estudar efeitos distributivos de tais políticas e explorar vantagens computacionais na solução do modelo. Calibra-se o modelo usando dados da economia brasileira e estatísticas de microdados de crédito que conectam informações sobre crédito e tamanho de firmas. Adicionalmente, verifica-se como tais políticas de direcionamento de crédito interagem com restrições ao crédito. / This paper looks at misallocation effects of earmarked credit in the Brazilian Economy. This is a very important topic in Brazil, where the proportion of credit earmarked for specific types of loans reach about 40% of total credit. The earmarking rules are likely to generate distortions in loan\'s prices, producing differences in marginal returns to inputs across firms and sectors, and therefore misallocation of resources. Using a heterogeneous agents in continuous time model, we are able to study distributional effects of such policies and explore some computational advantages to solve the model. Furthermore, we calibrate such model using Brazilian credit microdata statistics linking firm size and loans. Additionally, we will verify how these earmarked resources interact with credit constraints that are probably present in the Brazilian economy

Introduction: A general guideline was introduced on October first 2010 regarding a mortgage cap, limiting the degree of leverage of housing as collateral. Through the new guidelines the marked conditions concerning consumers’ choice of mortgage has changed. The consumers are limited in the sense that they can’t only use mortgage when purchasing a house. In this context there is a higher burden on the consumers in different aspects. In this study we intend to investigate how the consumers’ conditions affect choice of financing option when buying a home. Purpose: The study aims to highlight how consumers situation affect the choice of financing option. Furthermore, the study intends to describe the consumer’s choice of financing. That is how the consumer approaches the purchase with the mortgage cap of 85 per cent. Method: For the study, we have used a quantitative research method. The starting point has been a deductive study, where we from theory collect empirical data. In the collection of empirical data we used a convenience sample. Theory: The study’s frame of reference includes a description of the financing options that consumers can use. Further, how the decision-making process appears in the choice of financing a house purchase as well as how socio-demographic factors; age, income and family affect the process and choice of financing. Conclusion: The study shows that age and income are the two socio-demographic factorsthat have the greatest impact on consumer choice of option in the decision-makingprocess. Further, data from the study shows that mortgage and own savings are the mostrecurring funding option that consumers use. In the use of private loans, we see thatconsumers’ families have a great influence, since the majority have received private loansfrom their parents. Similar relationship can be seen in the usage of guarantor. Forunsecured debt, we see that the use is concentrated among younger consumers.

We propose a model of a risky mortgage-lending market in which we take explicit account of heterogeneity in household borrowing conditions, by introducing two borrower types: one with a low loan-to-value (LTV) ratio, one with a high LTV ratio, calibrated to U.S. data. We use such framework to study a deleveraging shock, modeled as an increase in housing investment risk, that falls more strongly on, and produces a larger contraction in credit for high-LTV type borrowers, as in the data. We find that this deleveraging experience produces significant aggregate effects on output and consumption, and that the contractionary effects are orders of magnitudes higher in a model version that takes account of borrower heterogeneity, compared to a more standard model version with a representative borrower. / Series: Department of Economics Working Paper Series

La thèse se compose de 5 articles. Le premier article considère une économie monétaire à horizon infini avec actifs financiers collatéralisés. La Banque Centrale fait des prêts à court et à long terme aux ménages. Les agents peuvent déposer ou/et emprunter à court ou à long terme. Néanmoins un plafond est imposé sur les emprunts de long terme. Tous les agents ont accès aux marchés financiers. Toutefois les agents doivent posséder suffisamment de collatéral en biens de consommations pour vendre un actif financier. Les agents font face à des contraintes de liquidité aussi bien lorsqu’ils achètent des biens de consommation que des actifs financiers. Sous des hypothèses de ”Gains `a l’échange”, l’existence de l’équilibre est démontrée. Dans un tel cadre, plusieurs propriétés des équilibres sont démontrées, notamment l’existence d’une trappe à liquidité. Le deuxième considère un modèle d’équilibre général à la Ramsey avec agents hétérogènes, contraintes d’emprunt, et offre de travail exogène. D’abord, l’existence d’un équilibre est démontrée même si les capitaux ne sont pas bornés uniformément et si les fonctions de production ne sont pas stationnaires. Ensuite (i) nous définissons la bulle du capital physique comme la différence strictement positive entre son prix et sa valeur fondamentale (ii) nous montrons qu’une bulle existe si, et seulement si, la somme des rendements du capital est finie. Enfin, lorsque les fonctions de production sont linéaires, tout équilibre intertemporel est efficient. De plus, on peut avoir des équilibres à la fois efficients et avec bulle. Le troisième étudie la nature de la bulle financière dans un modèle d’équilibre général à l’horizon infini avec agents hétérogènes, contraintes d’emprunt endogènes. Nous démontrons l’existence d’un équilibre sans aucune condition sur des dotations initiales des agents. Nous disons qu’il y a une bulle financière à l’équilibre si le prix d’actif financier est supérieur à sa valeur fondamentale. Nous démontrons que les trois conditions suivantes sont équivalentes : (i) Il y a une bulle, (ii) le coût d’emprunt est strictement positif, (iii) les taux d’intérêt sont bas, i.e., la somme des taux d’intérêt au cours du temps est finie. Nous donnons aussi une condition sur les variables exogènes pour que la bulle financière apparaisse à l’équilibre. Le quatrième concerne l’interaction entre le marché financier et le secteur productif. Pour étudier cela, nous construisons un modèle d’équilibre général à horizon infini avec agents hétérogènes, contraintes d’emprunt endogènes dans lequel les agents investissent en actif financier ou/et en capital physique. Il y a une firme qui maximise son profit. D’abord, l’existence d’un équilibre est démontrée. Nous montrons que si la productivité est suffisamment élevée, l’économie ne tombe jamais en récession. Si la productivité est basse, l’économie va tomber en récession avec un nombre infini de fois. Cependant, dans certains cas, l’actif financier pourrait bénéficier à l’économie en finançant l’achat du capital physique. Grâce à cela, une récession économique pourrait être évitée. [...] / No English summary available.

本論文嘗試探討總體經濟中的金融資金面因素， 對於資產價格之決定， 以及價格波動程度與基本面訊息揭露的影響。 本論文包含三篇文章。 第一篇的主旨在於本論文認為投資人所面對的資金成本差異， 是一項解釋資產價格過度波動現象不可或缺的因素。 文獻研究既已指出短期資金市場， 資金成本價差可以有效預測實質產出， 則股價與短期資金市場變數之間似乎也應有所關連。 投資人由於期初財富水準不同， 資金充裕者可以同時持有風險性資產和無風險資產， 資金短缺者則可以採取融資方式投資風險性資產。 一般而言， 融資利率應高於無風險利率， 即使投資人訊息同質， 但因為資金成本不同， 投資需求亦不相同。 當投資人之資金成本差異擴大， 造成平均資金成本變動， 即使基本面沒有任何變化， 資產價格仍然會波動， 並且低於完美市場下的均衡價格。 本篇所建立的部分均衡模型， 可以說明資金成本差異對價格波動性的影響， 以及均衡價格的特性。 第二篇討論加入投資人異質訊息的假設， 投資人在受到資金衝擊之下， 資金借貸限制透過對投資人決策行為的影響， 進而對資產流動性及價格揭露訊息的功能產生何種影響。 本論文嘗試藉由個體結構模式(micro-structure model)， 分析市場資金流動性多寡和訊息效率性(information efficiency)的關聯。 體系存在借貸限制是本論文重點之一， 若沒有借貸限制， 資金將無短缺之虞， 資金流動性多寡就不是問題。 資金流動性若不能轉化為信用(credit)， 則無法探討投資人面對資金衝擊與借貸限制， 所決定的投資決策如何進一步影響基本面訊息反映的程度。 本篇模型特色在於每位投資人， 不論是否擁有關於期末給付的私人訊息， 都可能遭受流動性衝擊。 研究發現當市場資金相對寬鬆時， 借貸行為的比例增加， 但訊息揭露程度反而降低。 第三篇嘗試探討理性投資人或雜訊投資人受到借貸限制， 亦即不是所有想借貸的投資人都能取得可貸資金時， 資金環境對長期資產價格偏離基本面價值所產生之助漲助跌作用， 以及資產價格何時出現高估、 何時出現低估的情形。 本論文舉出兩個基本面完全不同但卻有共同理論模型的故事背景(scenarios)， 用意在顯現我們所觀察到的金融市場價格表現可能來自於兩種不同的市場結構， 單就理論模型來看無法區分究竟是哪一個故事背景之下的結果。 提高融資限制可能妨礙了相關訊息融入， 使得價格更偏離基本面而沒有達到阻卻非理性投機交易的目的。 降低融資限制亦可能是使得非理性投機交易更加猖獗， 而不是刺激基本面相關訊息正確反映。 1 導論 2 資金成本與資產價格波動 2.1 研究動機與目的 2.2 模型 2.3 資本市場均衡 2.4 政策意涵 2.5 結論與相關文獻比較 3 資金流動性與訊息揭露 3.1 研究動機與目的 3.2 模型 3.3 均衡解模擬分析 3.4 結論 4 融資限制與價格穩定性 4.1 研究動機與目的 4.2 模型 4.3 資產均衡價格特性分析 4.4 結論

The thesis is divided into three chapters.1) I study how monetary policy should be optimally designed when households show financial wealth heterogeneity.Main results: thanks to its ability to affect interest payments volatility, monetary policy has real effects even in a flexible-price cashless-limit environment; second, in a setup with nominal rigidities, price stability is no longer optimal. The extent of deviation from price stability depends on the initial level of debt dispersion.2) I assess the role of housing price movements in influencing the optimal design of monetary policy. Under the optimal simple rule, housing price movements should not be a separate target variable in addition to inflation. Furthermore, the welfare loss arising from targeting housing prices becomes quantitatively more significant the higher the degree of access to the credit market.3) I analyze the effects of fiscal policy in a currency area. Results: a public spending shock in one region increases private agents demand for imports and appreciates the terms of trade; second, a countercyclical fiscal rule can restore the Taylor principle, the uniqueness of the equilibrium and reduce macro-volatility.

Esta tesis esta compuesta por tres capítulos. Los dos primeros capítulos estudian los efectos macroeconómicos de una consolidación fiscal y estímulos fiscales cuando la deuda privada es elevada. El tercer capítulo, estudia proyecciones de deuda púbica para el caso español bajo diferentes escenarios macroeconómicos. En el primer capítulo se analiza los efectos macroeconómicos de diferentes planes de consolidación fiscal en los que el gobierno reduce de forma gradual la ratio deuda pública-PIB y el sector privado está altamente endeudado. Lo resultados muestran que en el largo plazo, la consolidación fiscal genera beneficios en términos de output que son mayores en el caso en el que el sector público este altamente endeudado. En el corto plazo, la efectividad de la política fiscal en un escenario de deuda alta, depende del instrumento fiscal utilizado. Finalmente se analiza el bienestar social, encontrando que la política de consolidación fiscal produce una ganancia en términos de bienestar cuando el gasto público o el impuesto al consumo se utilizan como instrumento y este bienestar es mayor en el caso de endeudamiento privado alto. Sin embargo, cuando el instrumento fiscal son los impuestos al trabajo o al capital, se produce una pérdida de bienestar que es amplificada en un escenario de endeudamiento alto. En el segundo capítulo, se estudia como el tamaño de los multiplicadores fiscales depende del nivel de endeudamiento privado. Este artículo contribuye al debate de los efectos de los estímulos fiscales demostrando que el impacto de las políticas fiscales depende del nivel de endeudamiento, considerando el endeudamiento de los hogares y empresas. Finalmente, en el tercer capítulo se examina las proyecciones de deuda para la economía española bajo diferentes escenarios macroeconómicos. Se encuentra que la deuda aumentará hasta un 174% en 2035 si se cumple el escenario macroeconómico que predice la Comisión Europea. En el caso de considerar una subida de impuestos, la deuda disminuye pero lejos de llegar a los niveles pre-COVID.