RT Dissertation/Thesis
T1 Essays on heterogeneous agent models
A1 Rachedi, Omar
AB There is a continued interest among economists on the interconnections between financialmarkets, credit markets and the real economy. The three main chapters of this dissertationcontribute to the understanding of how financial and credit frictions - either at the fi rmor household level - can aff ect the real economy, and even trigger a  financial crisis.Chapter 1 studies the causes of fi nancial crises. I show that shocks to the volatility oftotal factor productivity (TFP) can generate endogenous variations in loan-to-value (LTV)ratios and trigger credit crunches, without appealing to fi nancial shocks. Using a panelof countries, I  find that  nancial crises coincide with the reversal of a long period of lowvolatility of TFP. To explain this new fact, I develop a general equilibrium model in whichvolatility shocks to TFP interact with an occasionally binding borrowing constraint andhousing serves as collateral. I introduce search frictions in the housing market to capturethe liquidity of housing and endogenize the LTV ratio: households borrow at higher LTVratios when the collateral is more liquid. In this environment, volatility shocks cause financial crises by changing the liquidity of the collateral. In a quantitative exercise, Ifeed the model with the stochastic volatility of the U.S. Solow residual. I fi nd that theinteraction of volatility shocks and search frictions in the housing market increases thefrequency of fi nancial crises by 47% and the associated output drop by 30%. In addition,volatility shocks generate volatile LTV ratios, thus providing a foundation for fi nancialshocks.Chapter 2 studies whether households’ limited attention to the stock market can quantitativelyaccount for the bulk of asset prices. I address this question introducing an observationcost in a production economy with heterogeneous agents, incomplete marketsand idiosyncratic risk. In this environment inattention changes endogenously over timeand across agents. I calibrate the observation cost to match the observed duration ofinattention of the median agent in the data. The model generates limited participationin the stock market, a weak correlation between consumption growth and stock returns,and countercyclical dynamics for both the stock returns volatility and the excess return. Italso generates forms of predictability in stock returns and consumption growth. Nonetheless,the level of the equity premium is still low, around 1%. Finally, I fi nd that inattentiona ects asset prices if borrowing constraints are tight enough.Chapter 3 - which is joint work with Alessandro Peri - studies the series of US annualcorporate default rates from 1950 until 2012. We document the presence of one structuralbreak in the unconditional mean, which is dated in 1986. Meanwhile credit spreads hardlymoved. We present a dynamic equilibrium model where the development of credit marketsaccounts for this empirical evidence. Financial development increases both the default rateand fi rms’ expected recovery rates. These two e ffects off set each other and translate intoconstant credit spreads. In the model  nancial development explains 64% of the rise in default rates and predicts just a 2 basis point increase in the credit spreads. Furthermore,the model accounts for a number of trends that characterized public fi rms over the lastdecades: the fall in the number of  firms distributing dividends, the rise in the degree ofdividend smoothing, and the increase in the volatility of public fi rms.
YR 2015
FD 2015-05
LK https://hdl.handle.net/10016/21498
UL https://hdl.handle.net/10016/21498
LA eng
DS e-Archivo
RD 4 jun. 2024