Download or read book Essays on Incomplete Markets and Macroeconomics written by Juan Carlos Aquino Chavez and published by . This book was released on 2018 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essays on Incomplete Markets and Macroeconomics consists of contributions of theoretical and empirical nature in the sub-field of Macroeconomics through two chapters. In the first chapter, titled Liquidity Regulation in a Monetary Economy, although it is commonly argued that the prevention of bank runs is the main reason to regulate banks' asset portfolios, I show that a market failure that justifies such regulation lies on the incompleteness of financial markets when there is risk about the aggregate distribution of transaction types. I develop a framework in which outside (fiat, government-provided) and inside (plastic, bank-created) money co-exist as means of payment under either complete or incomplete financial markets for aggregate risk. The welfare analysis is reduced to comparing only two parameters: the currency-to-liability ratio [delta] which is set by the government and the fraction [rho] of banks' depositors engaged in cash-only transactions (inside money cannot be accepted). In equilibrium, when [delta]
Download or read book Economic Analysis of Markets and Games written by Partha Dasgupta and published by MIT Press. This book was released on 1992 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: These original essays focus on a wide range of topics related to Frank Hahn'sdistinguished work in economics. Ranging from market analysis and game theory to the microeconomicfoundations of macroeconomics and from equilibrium and optimality with missing markets to economicsand society, they reflect the diversity of modem research in economic theory. What distinguishesHahn's work and many of the essays in this book is that the motivation often comes from practicalconcerns about unemployment, savings and investment, poverty, or the stability of markets.The essaysin Part I deal with the microeconomic foundations of macroeconomics - a field in which Hahn has madeimportant contributions, most notably in the theory of monetary economics. Topics include anevaluation of Hahn's contribution to the theory of distribution and such macroeconomic themes ascoordination failure, multiple equilibria, and strategic issues.Part II contains recentcontributions to game theory reflecting Hahn's interest in the question of what is rationalbehavior. The essays in Part III concentrate on general-equilibrium theory with missing markets, afield in which Hahn has made major advances. Although the essays address a different set of issues,they share with Hahn's works such themes as market failure, indeterminacy of equilibrium, and therole of money.Partha Dasgupta is Professor of Economics at Cambridge University. Douglas Gale isProfessor of Economics at Boston University. Oliver Hart is Professor of Economics at theMassachusetts Institute of Technology. Eric Maskin is Professor of Economics at HarvardUniversity.
Download or read book Issues in Macroeconomics written by Chedtha Intaravitak and published by . This book was released on 2010 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: One active area of recent research in macroeconomics is the business cycle dynamics of the economy when agents are heterogenous and markets are incomplete. The literature has shown that standard results of the representative agents/complete market paradigm could profoundly change when we adopt a heterogenous-agents framework and agents cannot fully insure against risks. This volume is an attempt to contribute to this research program from both quantitative and computational perspectives. In particular, I provide a quantitative analysis of some welfare issues, explore the role of monetary policy in the long run, and examine the robustness of a main idea proposed in the literature. Computationally, the currently-used numerical algorithm has been modified to accommodate these extensive applications resulting in a faster routine that can be applied in much richer setups. The first chapter analyses the welfare consequences of eliminating the economic crisis in an economy with substantial agent heterogeneity. The model is calibrated to match the U.S. wealth distribution, employment features, and the size of the investment drop during the U.S. Great Depression. I find a small gain from eliminating the depression-style economic crisis. There are, however, large differences across different groups: very poor and unemployed consumers gain a lot, while richer and employed individuals gain less and sometimes lose from eliminating the economic crisis. The second chapter examines the validity of Sidrauski's (1967) money superneutrality result in this class of models. I show that the superneutrality result no longer holds in this case. Tobin's (1965) effect and heterogeneity in inflation tax account for the non-superneutrality of money. However, the effects of higher money growth rate on real variables are rather small. The change in money growth rate mostly gets reflected in an increase in the aggregate price level. The third chapter explores the robustness of the "approximate aggregation" insight proposed by Krusell and Smith (1998) in a much richer setting. The conclusion shows that approximate aggregation no longer holds. In an economy featuring a crisis state and two assets; capital and money, we can no longer adequately describe macroeconomic aggregates using only the first moment of the wealth distribution.
Download or read book Essays on Incomplete Markets Liquidity and Risk Sharing written by Martín Gonzalez-Eiras and published by . This book was released on 2000 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Frictions and Incomplete Markets written by Jonathan Heathcote and published by . This book was released on 1998 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomics in the Small and the Large written by Axel Leijonhufvud and published by Edward Elgar Publishing. This book was released on 2009-01-01 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: Roger Farmer is to be congratulated for editing this splendid set of essays in honour of Axel Leijonhufvud. . . I am sure that most of the readers of these essays will be excited and stimulated by their contents. Economic Record This book honors the work of the influential economist Axel Leijonhufvud. His work in macroeconomics, monetary theory and European economic history has spurred great discussion over many years, and the authors of this book comprise some of the very best economists active today. The broad influence of his work is evident in the variety of subjects his readers address. The topics range from Keynesian economics and the economics of high inflation to the micro-foundations of macroeconomics and economic history. The reader will find an intriguing compilation of ideas ranging from bankruptcy and collateral debt, the macroeconomics of broken promises, interest rate setting, growth patterns of macro models, innovation history to macroeconomics with intelligent autonomous agents. Scholars and students of economic history, Keynesian economics and alternative monetary theory will be delighted with the work inspired by this influential thinker.
Download or read book Three Essays on Macroeconomics with Incomplete Factor Markets written by Dmitry Plotnikov and published by . This book was released on 2013 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores persistent unemployment dynamics in the U.S., alternative explanations for this phenomenon and potential policy implications. Chapter 1 develops and estimates a general equilibrium rational expectations model with search and multiple equilibria where aggregate shocks have a permanent effect on the unemployment rate. If agents' wealth decreases, the unemployment rate increases for a potentially indefinite period. This makes unemployment rate dynamics path dependent as in Blanchard and Summers (1987). I argue that this feature explains the persistence of the unemployment rate in the U.S. after the Great Recession and over the entire postwar period. Chapter 2 conducts an empirical exercise to analyze which assumptions prevent a standard model from matching the persistence of the unemployment rate. I do this by using business cycle accounting procedure (Chari et. al. (2007)) on data in wage units (Farmer (2010)). I find that most movements in the unemployment rate are accounted for by the labor supply wedge. In other words, a standard model fits data badly because the assumption that households are on their labor supply is flawed. This finding is consistent with other papers in the literature. It also motivates assumptions that I make in my job market paper. In Chapter 3, I with Roger Farmer focus on the persistent unemployment dynamics during the Great Depression. We explain the period between 1929 and 1950 within a single model which is driven by the stock market as a measure of consumer confidence. We document that the stock market measured by the S & P 500 and unemployment were moving closely between 1929 and 1939, but after 1939 the relationship between the two series seems to completely disappear. In particular, the stock market kept falling, but the employment rate recovered to the pre-recession level by 1942. Using our model we analytically study the effects of temporary bond-financed fiscal expansions that are similar to the actual data. We plug the actual data for the stock market and government expenditures from the Great Depression and WWII in the model and show that the model does a good job replicating consumption and unemployment dynamics during this period.
Download or read book Essays in Macroeconomics and Financial Market Imperfections written by Alexander Wulff and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of four self-contained papers that deal with the implications of financial market imperfections and heterogeneity. The analysis mainly relates to the class of incomplete-markets models but covers different research topics. The first paper deals with the distributional effects of financial integration for developing countries. Based on a simple heterogeneous-agent approach, it is shown that capital owners experience large welfare losses while only workers moderately gain due to higher wages. The large welfare losses for capital owners contrast with the small average welfare gains from representative-agent economies and indicate that a strong opposition against capital market opening has to be expected. The second paper considers the puzzling observation of capital flows from poor to rich countries and the accompanying changes in domestic economic development. Motivated by the mixed results from the literature, we employ an incomplete-markets model with different types of idiosyncratic risk and borrowing...
Download or read book Essays in Macroeconomics Financial Markets and Epidemics written by Cesar Saturnino Salinas Depaz and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters about how access to financial markets and composition of the labor market determine aggregate macroeconomic outcomes. The first chapter examines the macroeconomic consequences of credit uncertainty using a structural vector autoregression model with stochastic volatility (SVAR-SV). Credit supply conditions in the U.S. is captured by the banks' reports on how credit standards for approving loans have change over time (Bank Lending Standards). The empirical analysis shows that the volatility of macroeconomic and financial variables rises in response to an increase in the credit uncertainty shock. The economic activity falls and credit growth and related interest rates decrease persistently. Moreover, credit volatility shocks explain around 10% of the FEV of endogenous variables. A dissagregated analysis shows that the effect of these shocks are mainly explained by their effects on the corporate business sector. The second chapter studies the role of time-varying credit limits through the lens of a life cycle incomplete markets model calibrated for the U.S. Changes in credit card limits are explained by observable household characteristics and the estimated unobservable variation is quite large. The quantitative exercise shows that even though young households are more indebted in an economy with stochastic borrowing limits, aggregate consumption is not greatly affected by transitory or persistent shocks of this type. However, in the presence of these shocks, households lose the ability to self-insure against other uninsurable idiosyncratic shocks, e.g., labor income shocks. A disaggregated analysis shows that the loss of self-insurance capacity is mainly explained by the effects that stochastic borrowing limits have on the wealth distribution, the precautionary savings channel households have to face unexpected risks. The third chapter studies the role of informal markets to explain economic and demographic variables during a pandemic. The quantitative exercise shows that lockdown policies are less effective in economies with large informal markets, infection and death rates will not decrease as much as formal economies. Moreover, the size of the recession would be exacerbated because informal activities are not counted in the calculation of the GDP. To generate similar results to an economy with only formal markets, the economy with informal markets must implement more severe containment policies.
Download or read book Essays in Dynamic General Equilibrium Theory written by Alessandro Citanna and published by Springer Science & Business Media. This book was released on 2005-01-17 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of essays honors David Cass on the 30th anniversary of his joining the faculty of the Department of Economics at the University of Pennsylvania. Prof. Cass’s work has spawned a number of important lines of research in Economics, including the study of dynamic general equilibrium, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. These essays, by his students and co-authors, celebrate his work and his influence on the profession.
Download or read book Three Essays on Marriage Housing and Incomplete Markets written by Guangyu Nie and published by . This book was released on 2015 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation focuses on labor economics and macroeconomics.
Download or read book Essays in Macroeconomics and Finance written by Pavel Krivenko and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the role of financial frictions, uncertainty, and heterogeneity for financial markets and for the real economy. In terms of tools, it uses quantitative models with incomplete markets and heterogeneous agents, and disciplines these models with micro data. The dissertation consists of two essays. The first essay explores the role of unemployment scars - the large, long-lasting impact of unemployment on future earnings - for the U.S. housing bust. The second essay proposes a simple perturbation approach for dynamic models with agents who differ in their perception of exogenous shocks, and applies it, among other things, to study the asset premia that arise from Knightian uncertainty.
Download or read book Essays on Macroeconomics and Information Economics written by Jorge Andres Zambrano Riveros and published by . This book was released on 2012 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: My research interests are in the intersection of macroeconomics and information economics. I am particularly interested in the optimal design of incentives for individuals who interact over time in uncertain environments with imperfect information, and its consequences for aggregates. The dissertation is composed by three chapters that address three particular environments within this area. The first chapter studies the optimal contract in a principal-agent model where a risk-neutral principal delegates to a risk-neutral agent the decision of whether to pursue a risky project or a safe one. The return from the risky project is unknown and the agent can acquire costly unobservable information about it before taking the decision. The optimal contract suggests that the principal should only reward the agent for outcomes that are significantly better than the safe return. It is also optimal to distort the project choice in favor of the risky one as a mechanism to induce the direct revelation of the uncertain state. In a managerial context, the findings explain why options and profit sharing compensation induce better decision making from CEOs, as well as why excessive risk taking might be optimal. The second chapter explores the role of effort and human capital as mechanisms to alleviate the idiosyncratic risk faced by individuals in the presence of incomplete markets. I construct a DSGE model where effort and human capital determine the probability of being employed the next period. I show how in the stationary equilibrium individuals diversify between these mechanisms. As a result, I obtain a wealth distribution that better approximates the real one. The results shed light on the potential implication of combining policies of unemployment insurance and subsidies to education to improve the wealth distribution. The third chapter studies dynamic stochastic models where current actions are constrained by a current state and determine the distribution over future states. The purpose of this paper is to provide a general learning process that allows agents to take the optimal decision when these endogenous transitions are unknown. Our paper generalizes previous results by not imposing parametric restrictions on the unknown transition functions.
Download or read book Three Essays in Macroeconomics and Finance written by David Henry Bowman and published by . This book was released on 1993 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Macroeconomics Development and Financial Markets written by Erick Sager and published by . This book was released on 2013 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Macroeconomics and Financial Markets written by Ariel Zetlin-Jones and published by . This book was released on 2012 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Macroeconomics written by Ali Güneş and published by . This book was released on 2013 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation considers two different issues in macroeconomics. The first chapter reconciles the savings rate profile with the earnings profile by education. The second chapter tries to uncover the health production function. In the first chapter, I reconcile the savings rate profile with the earnings profile by education. The permanent income hypothesis suggests that an individual with a steeper income profile should save a lower fraction of his income. However, life-cycle profiles of the savings rate in U.S. data are at odds with this prediction. College graduates, who on average experience a much steeper income profile than non-college graduates, exhibit a higher savings rate profile. To reconcile this, I incorporate imperfect information about deterministic (ability, skill) and stochastic (shock) components of earnings profiles into a life-cycle model of consumption with heterogeneous agents and incomplete markets. I find that the imperfect information model is able to achieve a higher savings rate profile for college graduates. Higher skill heterogeneity for college graduates, which calls for a precautionary savings motive under imperfect information, accounts for this at the early ages. As labor market outcomes are realized, this uncertainty is gradually resolved. However, agents with low ability, who fail to accumulate assets in the early period, are unable to dissave in the later period. This accounts for the higher savings rate for college graduates at the later ages. I also quantitatively assess an alternative hypothesis, different time preference rates, for the savings rate gap by education. I conclude that accounting for the savings rate profile that we see in the data requires an unrealistically large gap between the time preference rates of the two groups. In the second chapter, I try to uncover the health production function. Just like any production or consumption activity, the production of health involves both time and goods. For example, a typical household in the U.S. spends $3,000 on health each year and 20 minutes per day on exercise activity. However, most existing studies that incorporate health accumulation into life-cycle models focus on the expenditure as the only input for health production. Based on detailed data from the Medical Expenditure Panel Survey (MEPS) and the American Time Use Survey (ATUS), I construct the life-cycle profiles of health status, health expenditure, and time allocated to exercise. I find that there are important and interesting differences in the profile of inputs and output of health: (i) more educated individuals are persistently healthier, (ii) health expenditures across education groups are similar, and (iii) more educated individuals allocate persistently more time to exercise. These profiles imply that the educational gaps in time allocated to exercise might contribute to the educational gaps in health capital. To quantitatively assess this, I compute a life-cycle model with an augmented health production function. I find that the higher relative efficiency of exercise to expenditure for more educated individuals might account for inputs and output of health at the early ages. However, it does not have much effect at the later ages, since the aging effect trivializes the education effect in the health production technology"--Page iv-v.
