Download or read book Essays on Firm Heterogeneity and Macroeconomic Dynamics written by Roberto Naim Jorge Fattal Jaef and published by . This book was released on 2011 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Household Heterogeneity and Macroeconomic Dynamics written by Julia Isabelle Otten and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Heterogeneity and Macroeconomic Dynamics written by Giacomo Caracciolo and published by . This book was released on 2019 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: Limited asset market participation is a well-known stylized fact and a widespread phenomenoneven in developed economies. While existing models have already examinedthe effects of social security and its reforms on welfare and inequality, little attentionhas been devoted to the role of public pensions in the context of limited asset marketparticipation. I develop a quantitative overlapping generations general equilibriummodel where heterogenous agents face a financial friction limiting access to capital markets.I examine how, in presence of the market imperfection, a public pay-as-you-gosystem affects consumption and wealth inequality and compare the results with a standardmodel that does not account for limited asset market participation. In a secondexercise, I study the implications, in terms of inequality, of an increase in the retirementage in response to a population ageing shock. I find that limited asset participation isimportant for the analysis of the impact of social security on overall inequality and oninequality within age groups.

Download or read book Essays on Macroeconomic Dynamics written by Mallory Yeromonahos and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Macroeconomics and the Role of Household Heterogeneity in the Great Recession written by Kieran P. Larkin and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Heterogeneity in Macroeconomics written by Minsu Chang and published by . This book was released on 2019 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two chapters that explore how micro-level heterogeneity helps us understand the dynamics of macroeconomic variables. Chapter 2 shows that the evolving likelihood of marriage and divorce is an essential factor in accounting for the changes in housing decisions over time in the United States. I build and estimate a life-cycle model of single and married households who face exogenous age-dependent marital transition shocks and then conduct a decomposition analysis between 1970 and 1995. The results show that household formation shocks could account for about 30% of the increase in the single's homeownership rate and play a crucial role in generating the observed sign of change in portfolio share of married households. The extended analysis on recent years after 1995 shows that the continuing decrease in marriage prospects contributed to push up the single's homeownership rate during the housing boom in the mid 2000s. Chapter 3 develops a state-space model with a state-transition equation that takes the form of a functional vector autoregression and stacks macroeconomic aggregates and a cross-sectional density. The measurement equation captures the error in estimating log densities from repeated cross-sectional samples. The log densities and the transition kernels in the law of motion of the states are approximated by sieves, which leads to a finite-dimensional representation in terms of macroeconomic aggregates and sieve coefficents. We illustrate how the model works based on the simulation of the Krusell-Smith economy and conduct an empirical analysis on the joint dynamics of technology shocks, per capita GDP, employment rates, and the earnings distribution.

Download or read book Macroeconomic Dynamics written by Bernard J. F. Lonergan and published by University of Toronto Press. This book was released on 1988-01-01 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomic Dynamics represents the economic thought of Lonergan at the end of his career. His analysis breaks from centralist theory and practice towards a radically democratic perspective on surplus income and non-political control, and explores more fully the ideas introduced in For a New Political Economy.

Download or read book Three Essays on Heterogeneity in Macroeconomics written by Ryan Douglas Edwards and published by . This book was released on 2002 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonlinear Economic Dynamics and Financial Modelling written by Roberto Dieci and published by Springer. This book was released on 2014-07-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Download or read book Essays in Heterogeneous Agent Macroeconomics written by Nobuhide Okahata and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In these essays, I study the implications of macroeconomic policies under the environment with rich heterogeneities of economic agents. The analyses in these essays highlight that income and wealth inequality among agents could change the responses of macroeconomic policies and large aggregate shocks from those in the representative agent models. These results could modify our understanding of economic dynamics and the effect of macroeconomic policies. As an illustration, I focus on the monetary policy in a closed economy model and capital controls in an open economy model. I also develop a new nonlinear and global numerical solution method to analyze a class of heterogeneous-agent macroeconomic models. In the first chapter, ''An Alternative Solution Method for Continuous-Time Heterogeneous Agent Models with Aggregate Shocks'', I propose an alternative solution method for continuous-time heterogeneous agent models with aggregate shocks by extending the Backward Induction method developed initially for discrete-time models by Reiter (2010). The existing methods commonly used in the literature essentially rely on the local linearization and are only applicable to the problems where certainty equivalence with respect to aggregate shocks holds. On the other hand, the proposed method is nonlinear and global with respect to both idiosyncratic and aggregate shocks and thus suitable to investigate models where large aggregate shocks exist or nonlinearity matters. I apply this method to solve a Krusell and Smith (1998) economy and evaluate its performance along two dimensions: accuracy and computation speed. I find that the proposed method is accurate even with large aggregate shocks and high curvature without surrendering computation speed (the baseline economy is solved within a few seconds). This new method is also applied to a model with recursive utility and an Overlapping Generations (OLG) model, and it is able to solve both models quickly and accurately. In the second chapter, ''Consumption Inequality and Monetary Policy in a Heterogeneous-Agent New Keynesian Model'', I consider a continuous-time heterogenous-agent New Keynesian model with the wealth effect of the labor supply and study quantitative implications of additional insurance mechanisms available to the households. Our numerical experiment illustrates cross-sectional consumption inequality increases after a contractionary monetary policy shock which is consistent with the previous empirical result while it contradicts with predictions of the model without the wealth effect of the labor supply. Furthermore, consumption response to contractionary monetary policy shock is dampened, and a cross-sectional average of utilities decreases while the opposite is true in the model without wealth effect. These results suggest that propagation of monetary policy shock to the aggregate variables and welfare depends critically on additional insurance instruments available to agents. The third chapter, ''Capital Controls under Income Heterogeneity'', studies the welfare implication of capital controls under the small open economy model with the idiosyncratic income risks and the borrowing constraints. A calibrated model computes the change in welfare for different levels of capital controls. Compared to the recent studies, welfare gain of capital controls becomes small under agent income heterogeneity. For the economy with low borrowing capacity, capital controls become more effective compared to the baseline case.

Download or read book Essays on Macroeconomics with Heterogeneity and Inequality written by Zhigang Ge and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract Chapter 1. Heterogeneous Entrepreneurial Ability and Wealth Inequality Models with entrepreneurship can reproduce high wealth concentration at the top. The key assumption is the borrowing constraint, that is, households are unable to borrow enough assets to start a business or invest optimally in the business. However, some empirical evidences show that borrowing constraint does not matter for the majority of households in the US. This paper seeks to generate high wealth concentration at the top without assuming borrowing constraint. The baseline model that introduces heterogeneity in entrepreneurial ability is able to match the wealth distribution while the model assuming same entrepreneurial ability fails. Besides wealth distribution, the baseline model generates other moments that are consistent with the data. Chapter 2. Taxing Top Earners: The Role of Entrepreneurs This paper studies the optimal top marginal income tax rate in a quantitative framework with entrepreneurial choice, financing constraints, and realistic earnings and wealth distributions. I find that the revenue-maximizing top tax rate is approximately 41 percent -- close to the recent levels in the US. In contrast, when calibrated with only workers to match realistic earnings and wealth distributions, the model predicts a revenue-maximizing top tax rate of 81 percent -- close to the established view. There are two channels through which the baseline model has a lower revenue-maximizing top tax rate. First, the wealth distribution channel: increasing the top tax rate decreases wealth accumulation and leads to a less skewed wealth distribution in the long run (there are more top entrepreneurs with low wealth and less top entrepreneurs with high wealth). With financing constraints, there is a similar change in the business earnings distribution, implying a fall in the average business earnings at the top. Second, the general equilibrium effect on labor earnings of workers: in the model with entrepreneurs, increasing the top tax rate reduces the capital stock much more than labor supply, which decreases the capital-labor ratio and thus the equilibrium wage rate in the model economy. Finally, I find that the welfare-maximizing top marginal income tax rate is close to the revenue-maximizing one. Chapter 3. Household Heterogeneity and Consumption Amplification Macroeconomic models with household heterogeneity in wealth can generate larger consumption response to aggregate shocks compared to a representative-agent economy. In other words, there is consumption amplification associated with wealth heterogeneity. However, I find that in a Krusell-Smith type real business cycle (RBC) model, this amplification effect is only significant at the onset of a recession and gradually dies out as the recession proceeds. The finding is of interest because part of the motivation for the widely adoption of models with wealth heterogeneity is their different and empirically plausible implications for consumption dynamics compared with representative-agent models. I then introduce household heterogeneity in housing and find that the model with housing has more persistent amplification effect on consumption during the recession.

Download or read book Essays on Macroeconomics with Plant Heterogeneity written by Jinhee Woo and published by . This book was released on 2016 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The theme of this thesis is to understand the role of plant heterogeneity in shaping the dynamics of aggregate economy along business cycles. The first chapter investigates the cyclicality of plant entry and exit and its role in shaping the dynamics of aggregate economy along business cycles. The second chapter provides micro founded explanations regarding the dynamics of capital utilization in response to the news shock. The United States establishment exit rate is acyclical. This poses a challenge to canonical models of industry dynamics-e.g., Hopenhayn (1992), which imply a strongly counter-cyclical exit rate. To reconcile this gap between theory and data, imperfect information is introduced. Potential entrants have imperfect information about their productivity, leading to a signal extraction problem. When the volatility of idiosyncratic productivity dominates that of aggregate, as we observe in the micro data, potential entrants overestimate their productivity, and the value of entering, in booms. This amplified entry further increases factor prices and crowds out marginal incumbents, making the exit rate almost acyclical. The imperfect information mechanism proposed here also yields three testable implications: (i) entry is more cyclical in the industries where idiosyncratic components dominate; (ii) plant entry by new firms is more cyclical than that by existing firms; (iii) plants established by new firms during booms are more likely to exit rapidly. We show that all three predictions are consistent with the data. In the second chapter, by estimating a panel VAR on two-digit manufacturing data using the identification scheme proposed by Beadury and Portier (2006), I find positive co-movement between investment and capital utilization (the workweek of capital) in response to a news shock. This is inconsistent with the canonical q-theory model of capital adjustment dynamics where good news about the future raises the marginal value of capital and leads the firm to preserve its capital for later use through less utilization today. With fixed costs in capital adjustment, plants make discrete, or "lumpy", adjustments such that if plants are subject to decreasing returns, q declines as they near the point of investment. Since good news makes large investments more likely, this triggers a fall in q and reduces the opportunity cost of utilization. To simultaneously explain the co-movement of investment and capital utilization with plant level investment behavior, I propose a heterogeneous plant model that combines fixed adjustment costs and an endogenous capital utilization choice. When the model economy is calibrated to match salient features of the plant level investment rate distribution, it generates positive co-movement between investment and capital utilization."--Pages v-vi.

Download or read book Essays on Macroeconomic Policies and Household Heterogeneity written by Gergő Motyovszki and published by . This book was released on 2021 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is composed of three independent chapters, but all centered around the broader topic of how macroeconomic policies interact with various aspects of household heterogeneity. Monetary Policy and Inequality under Labor Market Frictions and Capital-Skill Complementarity We provide a new channel through which monetary policy has distributional consequences at business cycle frequencies. We show that an unexpected monetary easing increases labor income inequality between high and less-skilled workers. In particular, this effect is prominent in sectors intensive in less-skilled labor, that exhibit high degree of capital-skill complementarity (CSC) and are subject to matching inefficiencies. To rationalize these findings we build a New Keynesian DSGE model with asymmetric search and matching (SAM) frictions across the two types of workers and CSC in the production function. We show that CSC on its own introduces a dynamic demand amplification mechanism: the increase in high-skilled employment after a monetary expansion makes complementary capital more productive, encouraging a further rise in investment demand and creating a multiplier effect. SAM asymmetries magnify this channel. Monetary-Fiscal Interactions and Redistribution in Small Open Economies Ballooning public debts in the wake of the covid-19 pandemic can present monetary-fiscal policies with a dilemma if and when neutral real interest rates rise, which might arrive sooner in emerging markets: policymakers can stabilize debts either by relying on fiscal adjustments (AM-PF) or by tolerating higher inflation (PM-AF). The choice between these policy mixes affects the efficacy of the fiscal expansion already today and can interact with the distributive properties of the stimulus across heterogeneous households. To study this, I build a two agent New Keynesian (TANK) small open economy model with monetary-fiscal interactions. Targeting fiscal transfers more towards high-MPC agents increases the output multiplier of a fiscal stimulus, while raising the degree of deficitfinancing for these transfers also helps. However, precise targeting is much more important under the AM-PF regime than the question of financing, while the opposite is the case with a PM-AF policy mix: then deficit-spending is crucial for the size of the multiplier, and targeting matters less. Under the PM-AF regime fiscal stimulus entails a real exchange rate depreciation which might offset "import leakage" by stimulating net exports, if the share of hand-to-mouth households is low and trade is price elastic enough. Therefore, a PM-AF policy mix might break the Mundell-Fleming prediction that open economies have smaller fiscal multipliers relative to closed economies. Weak Wage Recovery and Precautionary Motives after a Credit Crunch During the economic recovery following the financial crisis many advanced economies saw subdued wage dynamics, in spite of falling unemployment and an increasingly tight labour market. We propose a mechanism which can account for this puzzle and work against usual aggregate demand channels. In a heterogeneous agent model with incomplete markets we endogenize uninsurable idiosyncratic risk through search-and-matching (SAM) frictions in the labour market. In this setting, apart from the usual precautionary saving behaviour, households can self-insure also by settling for lower wages in order to secure a job and thereby avoid becoming borrowing constrained. This channel is especially pronounced for asset-poor agents, already close to the constraint. We introduce a credit crunch into this framework modelled as a gradual tightening of the borrowing constraint (and utilizing a continuous time approach, known as HACT). The perfect foresight transition dynamics feature falling wages despite a tightening labour market and expanding employment. As households suddenly find themselves closer to the borrowing constraint, the increased precautionary motive drives them to accept lower wages in the bargaining process, while firms respond to this by posting more vacancies, leading to a tighter labour market and falling unemployment. If the household deleveraging pressure is persistent enough after the credit crunch, it can explain the weak wage recovery in spite of already stronger aggregate demand.

Download or read book Essays in Macroeconomics and Dynamic Factor Models written by Ziyi Guo and published by . This book was released on 2013 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Macroeconomics and Firm Dynamics written by Liyan Shi and published by . This book was released on 2018 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contributes towards the understanding of the macroeconomic effects of micro-level firm dynamics, in particular firm entry, exit, and innovation activities in driving aggregate economic dynamism and growth. It focuses on the frictions affecting firms in these activities when contracting with their managers and workers, as well as peers, and the corrective role policies can play. The dissertation consists of two chapters. The first chapter, "Restrictions on Executive Mobility and Reallocation: The Aggregate Effect of Non-Competition Contracts", assesses the aggregate effect of non-competition employment contracts, agreements that exclude employees from joining competing firms for a duration of time, in the managerial labor market. These contracts encourage firm investment but restrict manager mobility. To explore this tradeoff, I develop a dynamic contracting model in which firms use non-competition to enforce buyout payment when their managers are poached, ultimately extracting rent from outside firms. Such rent extraction encourages initial employing firms to undertake more investment, as they partially capture the external payoff, but distorts manager allocation. I show that the privately-optimal contract over-extracts rent by setting an excessively long non-competition duration. Therefore, restrictions on non-competition can improve efficiency. To quantitatively evaluate the theory, I assemble a new dataset on non-competition contracts for executives in U.S. public firms. Using the contract data, I find that executives under non-competition are associated with a lower separation rate and higher firm investment. I also provide new empirical evidence consistent with non-competition reducing wage-backloading in the model. The calibrated model suggests that the optimal restriction on non-competition duration is close to banning non-competition. The second chapter, "Knowledge Creation and Diffusion with Limited Appropriation" (joint with Hugo Hopenhayn), studies the interaction of innovation and imitation in driving economic growth. In relation to a series of recent papers in the macro literature have emphasized the interaction between the two forces, we introduce two key elements in considering the incentives to innovate versus imitate. First, we consider frictions in matching innovators and imitators in the process of knowledge diffusion. Second, while most of the recent literature assume that imitators capture the entire surplus from knowledge diffusion, we consider a general bargaining problem between the innovators and imitators in dividing surplus. In a simple one period model, we derive a Hosios condition for the optimal surplus division when firms are ex-ante homogeneous. But we also find that as the degree of firm heterogeneity increases, innovators' share of surplus must decrease to maximize growth, approaching zero for sufficiently large heterogeneity. Our calibrated dynamic model suggests that the optimal share of surplus innovators appropriate should be at the lower end, consistent with weak intellectual property rights.

Download or read book Essays on Macroeconomics Monetary Policy and Firm Heterogeneity written by Claire Thürwächter and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Macroeconomic Dynamics written by Jesús Fernández-Villaverde Sánchez and published by . This book was released on 2001 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: