Essays on credit, durable goods and public debt in an incomplete market framework

• Autor(a) principal: Abreu, Rodrigo Soares de
• Data de Publicação: 2016
• Tipo de documento: Tese
• Idioma: eng
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: https://hdl.handle.net/10438/17456
• topic: Mercados incompletos; Crise de crédito; Bens duráveis; Bem-estar; Desigualdade; Incomplete markets; Credit crisis; Durable goods; Welfare; Inequality; Economia; Crise financeira - Estados Unidos; Créditos; Reforma tributária; Empréstimos; Dívida pública

This thesis is an essay composed of three articles, each of them representing a chapter, about quantitative macroeconomics in an environment of incomplete markets. In all chapters the United States economy is used as a reference for the calibration of models and simulations performed. In the first chapter the goal is to explore the connection between risk sharing and duration of debt instruments used by households, in an environment where agents are exposed to an unexpected credit shock similar to that observed in 2007/8 recession. As a result, we obtain that the increase in the duration of assets reduces the macroeconomic impacts of a credit shock once the higher price volatility arising from longer duration intensifies the precautionary motives and causes individuals to be less debt exposed. The second chapter deals with the evaluation of the impact on welfare and macroeconomic aggregates of different revenue-neutral tax reforms that eliminates asset return taxes in an economy where loans are collateralized by durable goods. The results of the simulations performed in this chapter show that the presence of durable goods and the degree of progressivity of the tax system are critical factors on determining the outcome of this type of reform. In the third and final chapter the objective is to analyze the impact of an unexpected reduction in the government debt stock on indicators of welfare and inequality. The results presented in this chapter indicate that when debt reduction is funded by tax increase occurs, in the short term, a fall of welfare accompanied by a reduction of inequality. When the drop of debt is followed by a reduction in public spending, in the short term there is welfare gain due to relief in the budget of families, however, the distribution of wealth deteriorates due to increase in individual’s leverage.