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You searched for +publisher:"Università degli Studi di Milano" +contributor:("phd coordinator: A. Missale"). Showing records 1 – 2 of 2 total matches.

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1. C. Punzo. ESSAYS ON BORROWING-CONSTRAINED AGENTS IN A DSGE MODEL.

Degree: 2016, Università degli Studi di Milano

This thesis is an attempt to contribute to the literature on New-Keynesian Dynamic Stochastic General Equilibrium models with heterogeneous households. In this respect, the economies are characterized by the presence of savers and borrowers that interact in the credit market. Borrowers and savers are modeled using a modified version of the mechanism proposed by Bilbiie, Monacelli and Perotti (2012). They indeed differ in their degree of impatience: both agents are intertemporal maximizers - since borrowing and lending take place in equilibrium; and, financial markets are imperfect. Particularly, we focus on the interaction between fiscal and monetary policy and their redistributive effects. More in the detail, the thesis is composed of three papers. In the first paper, we study the dynamics of the model in response to five shocks, under three different assumptions on the labor income tax rates: a) equal taxes, both agents face the same labor income tax rate; b) partial redistribution, both agents pay a tax but the tax rate on borrower labor income is lower than the tax rate on saver labor income; c) full redistribution, saver labor income is taxed while borrower labor income is subsidized at the same rate. In the analysis of expansionary fiscal policy, public debt increases more in a context of partial redistribution than in a context of full redistribution, due to the internalization of government budget constraint by savers. In addition, a negative saver tax shock has a negative impact on redistribution, which is exacerbated under partial redistribution. Finally, a negative borrower tax shock has a negative impact on redistribution when borrowers receive subsidies, because savers are completely discourages to save. In the second paper, following Galì (2014), we study the effects of a shock to government purchases under two alternative financing regimes: (i) monetary financing; (ii) debt financing. Particularly, we focus on the redistributive effects of the two regimes and we find the following. Both regimes imply a redistributive effect from savers to borrowers, measured in terms of the ratio between the consumption of borrowers and that of savers. The redistribution is much greater in the money-financed fiscal stimulus, where the consumption ratio is more than three times higher than the implied one in the debt-financed fiscal stimulus. Borrowers are better off also in terms of their relative labor supply. Finally, with respect to the representative agent model, the presence of borrowers enhances the impact of the fiscal intervention on aggregate output, when spending is debt financed. Remarkably, with respect to Galì (2014) the same regime implies a reduction of the debt burden instead of an increase. In the third paper, using a Bayesian likelihood approach, we estimate the model presented in the second paper to analyze the main driving forces of output developments in United States. This paper investigates the role of fiscal policy over the aggregate US business cycle. Fiscal policies were substantially muted. Advisors/Committee Members: supervisor: L. Rossi, phd coordinator: A. Missale, MISSALE, ALESSANDRO.

Subjects/Keywords: Public Debt; Redistribution; Borrowing Constraints; DSGE; Heterogeneous Households; Debt-Financed Fiscal Policy; Seigniorage; Bayesian Estimation; US data; New Keynesian; Settore SECS-P/01 - Economia Politica

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APA (6th Edition):

Punzo, C. (2016). ESSAYS ON BORROWING-CONSTRAINED AGENTS IN A DSGE MODEL. (Thesis). Università degli Studi di Milano. Retrieved from http://hdl.handle.net/2434/452068

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Punzo, C.. “ESSAYS ON BORROWING-CONSTRAINED AGENTS IN A DSGE MODEL.” 2016. Thesis, Università degli Studi di Milano. Accessed September 19, 2019. http://hdl.handle.net/2434/452068.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Punzo, C.. “ESSAYS ON BORROWING-CONSTRAINED AGENTS IN A DSGE MODEL.” 2016. Web. 19 Sep 2019.

Vancouver:

Punzo C. ESSAYS ON BORROWING-CONSTRAINED AGENTS IN A DSGE MODEL. [Internet] [Thesis]. Università degli Studi di Milano; 2016. [cited 2019 Sep 19]. Available from: http://hdl.handle.net/2434/452068.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Punzo C. ESSAYS ON BORROWING-CONSTRAINED AGENTS IN A DSGE MODEL. [Thesis]. Università degli Studi di Milano; 2016. Available from: http://hdl.handle.net/2434/452068

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

2. D. Bazzana. ENDOGENOUS FLUCTUATIONS IN MACROECONOMICS: THE ROLE OF HETEROGENEITY.

Degree: 2016, Università degli Studi di Milano

My Ph.D. thesis contributes to the growing literature investigating the role of heterogeneity in the macroeconomics volatility. Particularly, it focuses on bounded rationality and heterogeneous expectations in financial accelerator frameworks. In the first paper, I present a literature review tackling the theoretical and the empirical challenges of bounded rationality and heterogeneous expectations. More precisely, I decided to analyse the Adaptive Belief System (ABS) because it is relevant to the purpose of solving the “wilderness problem” of bounded rationality. Moreover, it introduces complex dynamical evolution in the system and it can describe many stylized financial and macroeconomics phenomena, like fat tails, unpredictable returns and excess volatility. I conclude the survey showing some experimental analyses suggesting the importance of heterogeneity and bounded rationality in the expectations formation and in the evolution of the economic system. In the other two papers, I elaborate two financial accelerator (FA) frameworks focusing on the role of heterogeneous expectations, investment decisions and macroeconomic fluctuations. In the first one, starting from the Bernanke-Gertler-Gilchrist financial accelerator (1999), I develop an Agent-Based financial accelerator introducing bounded rationality, heterogeneous expectations, actual bankruptcy and a balance sheet for the financial intermediary. I specify a setup in which the heterogeneity is inserted in the agents’ wealth as well as in their heuristics. The agents make mistakes in forecasting future macroeconomic variables and update their beliefs when new information becomes available. Since they commit mistakes in their investment and borrowing decisions, the entrepreneurs may not be able to fulfil their debt and therefore go bankrupt. To account for the losses of defaults I introduce the balance sheet of the financial intermediary. Then, the bankruptcy affects the credit channel: firstly because the bank will settle an extra cost to the defaulted entrepreneur, secondly because banks with lower financial soundness will fix on average higher interest rate on loans. Finally, I explore the macroeconomic volatility running some simulations which consider different heuristics and different monetary policies. My results suggest that a monetary authority should take into account the “sentiment of the market” when designing its policy. Indeed, applying the same monetary policy may have different consequences on macroeconomic volatility when the expectations are non-identical. However, if two monetary policies are implemented in the same scenario, it seems that the strongest monetary policy will reduce the waves of optimism and pessimism better stabilizing the macroeconomic environment. In the second model, I propose a financial accelerator in which the evolution of expectations is based on the adaptive belief system. Within this framework, the entrepreneurs have cognitive limitations and are not able to forecast in advance the actual return on capital. … Advisors/Committee Members: Supervisor: D. Delli Gatti, phd coordinator: A. Missale, MISSALE, ALESSANDRO.

Subjects/Keywords: Heterogeneity; Financial Accelerator; Bounded Rationality; Bankruptcy; Agent-Based Model; Adaptive Belief System; Settore SECS-P/01 - Economia Politica

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Bazzana, D. (2016). ENDOGENOUS FLUCTUATIONS IN MACROECONOMICS: THE ROLE OF HETEROGENEITY. (Thesis). Università degli Studi di Milano. Retrieved from http://hdl.handle.net/2434/384286

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Bazzana, D.. “ENDOGENOUS FLUCTUATIONS IN MACROECONOMICS: THE ROLE OF HETEROGENEITY.” 2016. Thesis, Università degli Studi di Milano. Accessed September 19, 2019. http://hdl.handle.net/2434/384286.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Bazzana, D.. “ENDOGENOUS FLUCTUATIONS IN MACROECONOMICS: THE ROLE OF HETEROGENEITY.” 2016. Web. 19 Sep 2019.

Vancouver:

Bazzana D. ENDOGENOUS FLUCTUATIONS IN MACROECONOMICS: THE ROLE OF HETEROGENEITY. [Internet] [Thesis]. Università degli Studi di Milano; 2016. [cited 2019 Sep 19]. Available from: http://hdl.handle.net/2434/384286.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bazzana D. ENDOGENOUS FLUCTUATIONS IN MACROECONOMICS: THE ROLE OF HETEROGENEITY. [Thesis]. Università degli Studi di Milano; 2016. Available from: http://hdl.handle.net/2434/384286

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.