Bruno Ferreira Cordeiro
Doctorate – Essays in Macroeconomics with Heterogeneous Agents
Advisor: Prof. Dr. Fábio Kanczuk
Comission: Profs. Drs. Márcio Issao Nakane, Bruno de Paula Rocha and Gian Paulo Soave
Link YouTube: https://youtu.be/sCKg6njCk4E
Macroeconomic models have evolved considerably in recent years and started to include heterogeneity of income and wealth among individuals, following computational advances. This feature made the study of distributional issues feasible and explained the importance of income distribution for the response of aggregate variables to shocks. This thesis is composed of three chapters and makes use of models with heterogeneous agents to answer numerous questions. In the first chapter we study the effects of a credit crunch, which is a tightening of the borrowing constraint. The results show that a shock that reduces the debt of individuals over GDP (Gross Domestic Product) from 28% to 23% results in a fall in the interest rate, GDP and consumption. The marginal propensity to consume has increased considerably. Regarding distributive aspects, the Gini index decreases after tightening the borrowing constraint, which results in a better income distribution. In the second chapter, we analyze how the government balances its budget constraint, whether by transfers or public debt, impacts the responses of aggregate and distributive variables to shocks. The results show that this choice matters and has distributional effects. For example, if the concern of fiscal policy is focused on the welfare of the poorest, there is a comparative advantage for a transfer shock that is adjusted by the transfers themselves over time to ensure compliance with the budget constraint. Finally, in the last chapter we estimate the HANK model (Heterogeneous Agents New Keynesian) from the previous chapter with Brazilian data using Sequential Monte Carlo, and we analyse impulse response functions, variance decomposition and distributive aspects. The response of the aggregate macroeconomic variables to the three types of shocks present in the model has the direction expected in most cases. Regarding distributive aspects, the evidence suggests that shocks affect consumption, savings and labor supply differently for different ranges of wealth. The chosen fiscal instrument for balancing budget constraint matters for the response of consumption and income Gini indexes.
*Abstract provided by the author