Les imperfections de marché et fluctuations endogènes : rôle des externalités en préférences et les contraintes financiers, Market imperfections and endogenous fluctuations : on the role of externalities in preferences and financial constraints

Riham Barbar

Description

Sous la direction de Stéfano Bosi, Jean-Paul Barinci
Thèse soutenue le 05 novembre 2010: Evry-Val d'Essonne
Basé sur la théorie de cycle endogène, cette thèse de doctorat étudie la question d'instabilité macro-économique et des fluctuations endogènes dans trois économies distinctes : I) avec des effets externes en consommation dans un modèle de Ramsey; II) avec des effets externes en loisir dans un modèle de générations imbriquées; et III) avec imperfection de marché du crédit dans un modèle de croissance endogène monétaire.
-Contrainte financière
Based on the endogenous cycle theory, this doctoral thesis studies the issue of macroeconomic instability and fluctuations in three distinct economies: i) with consumption externalities in Ramsey model; ii) with leisure externalities in an overlapping generations model; and iii) with credit market imperfection in a monetary endogenous growth model.
-Cash-in-advance constraint
Source: http://www.theses.fr/2010EVRY0027/document

Informations

• Publié par: Thesee
• Nombre de lectures: 17
• Langue: English

Extrait

Année 2010

UNIVERSITE DEVRY-VAL-DESSONNE

UFR de Sciences Economiques et Juridiques

Numéro attribué par la bibliothèque

|2|0|1|0|E|V|R|Y|||||

T H E S E pour le Doctorat en Sciences Economiques (arrêté du 30 mars 1992, arrêté du 18 janvier 1994) présentée et soutenue publiquement par Riham BARBAR Novembre 2010 Market Imperfections and Endogenous Fluctuations On the Role of Externalities in Preferences and Financial Constraints

D irecteurs

Monsieur Stefano BOSI, Professeur à lUniversité de Cergy-Pontoise Monsieur Jean-Paul BARINCI, Maître de Conférence à lUniversité dEvry-Val-dEssonne

J ury

Monsieur Francesco MAGRIS, Professeur à lUniversité dEvry-Val-dEssonne Monsieur Thomas SEEGMULLER, Chargé de recherche au CNRS, GREQAM (Rapporteur) Monsieur Alain VENDITTI, Directeur de recherche au CNRS, GREQAM (Rapporteur)

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To

my

parents

and

Palestine

Acknowledgments

I would like to express my gratitude to all those who contributed to the completion of this thesis. My utmost gratitude goes to my principal supervisor, Stefano Bosi, for his encourage- ment and continued valuable suggestions during this research. He rst brought me into the frontiers of dynamic macroeconomicresearch and shared with me a lot of his expertise as well as research insight. I also express my gratitude to my co-supervisor, Jean-Paul Barinci, who provided continued helpful suggestions. Working with him has been a very enriching experience. I thank the EPEE and in particular, Michel Guillard, for welcoming me. I also thank all EPEE seminar organizers and participants for their benecial comments and discussions. I am very grateful to Thomas Seegmuller, Alain Venditti and Carine Nourry for their helpful comments and the participants of the Dynamic Day held in the GREQAM and the 19th Doctoral Spring School in Economics held in the University of Aix-Marseille. I thank my family and all the friends that have always been there for me during good times and hard times of the Ph.D., even when they are far away. Their warmth and a¤ection have been essential ingredients of this thesis. Especially, I thank my parents, Aouatif El Fakir, Lamia Kamel, Mohanad Ismael and Zobeïda Limam.

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Contents

1 Introduction 6 1.1 Consumption externalities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 1.2 Leisure externalities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 1.3 Collaterals in a partial Cash-In-Advance model . . . . . . . . . . . . . . . . . . . 23

2 Consumption Externalities in a Ramsey Model 26 2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 2.2 The model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 2.2.1 Households . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 2.2.2 Production . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 2.3 Intertemporal equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 2.4 Local dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 2.5 Discussion of the results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 2.5.1 Heterogeneous agents without consumption externalities . . . . . . . . . . 40 2.5.2 Intragroup consumption externalities . . . . . . . . . . . . . . . . . . . . . 41 2.5.3 Intergroup and intragroup consumption externalities . . . . . . . . . . . . 42 2.6 Interpretation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 2.6.1 Benchmark framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 2.6.2 Our model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 2.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44 2.8 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 2.8.1 Proof of Lemma 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45

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2.8.2 Proof of Proposition 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 2.8.3 Proof of Lemma 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 2.8.4 Proof of Proposition 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 2.8.5 Proof of Proposition 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50

Consumption Externalities and Discounting in a Ramsey Model 52 3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 3.2 The model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55 3.2.1 Households . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56 3.2.2 Production . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 3.2.3 Intertemporal equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . . 58 3.2.4 The steady state . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 3.3 Endogenous cycles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61 3.4 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63 3.5 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65 3.5.1 Proof of Proposition 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65 3.5.2 Proof of Lemma 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68 3.5.3 Critical values . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68 3.5.4 Proof of Proposition 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71

Leisure Externalities and Endogenous Cycles in an OLG Model 77 4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77 4.2 The model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81 4.2.1 Households . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81 4.2.2 Production . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83 4.2.3 Intertemporal equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . . 84 4.2.4 Steady state . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84 4.3 Local indeterminacy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86 4.4 Discussion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91 4.4.1 Intuition for local indeterminacy . . . . . . . . . . . . . . . . . . . . . . . 91 4.4.2 Leisure externalities and indeterminacy range . . . . . . . . . . . . . . . . 93

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4.4.3 Propensity to save and indeterminacy range . . . . . . . . . . . . . . . . . 94 4.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94 4.6 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96 4.6.1 Proof of Proposition 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96 4.6.2 Proof of Lemma 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96 4.6.3 Proof of Lemma 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97 4.6.4 Proof of Lemma 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98 4.6.5 Proof of Proposition 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99

Collaterals and Macroeconomic Volatility 100 5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100 5.2 The model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104 5.2.1 Consumers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104 5.2.2 Firms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107 5.2.3 Monetary authority . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108 5.2.4 General equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108 5.3 Steady state . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110 5.3.1 Comparative statics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111 5.3.2 Optimal monetary policy and regulation . . . . . . . . . . . . . . . . . . . 112 5.4 Local dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114 5.4.1 Economic intuition for cycles . . . . . . . . . . . . . . . . . . . . . . . . . 118 5.4.2 Economic intuition for indeterminacy . . . . . . . . . . . . . . . . . . . . 119 5.4.3 Monetary policy and macroeconomic volatility . . . . . . . . . . . . . . . 121 5.5 A numerical example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122 5.5.1 Steady state . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122 5.5.2 Local dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124 5.6 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127 5.7 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129 5.7.1 Proof of Proposition 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129 5.7.2 Proof of Lemma 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129 5.7.3 Proof of Proposition 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130

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Conclusion

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Contents

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Chapter 1

Introduction

Over the last few decades, dynamic general equilibrium models have become a central theoretical framework in the analysis of macroeconomic uctuations. 1 Since the basic formulations of the innite-horizon growth model by Ramsey (1928), Cass (1965) and Koopmans (1965) and the Overlapping Generations (OLG in the sequel) model by Allais (1947), Samuelson (1958) and Diamond (1965), many extensions and generalizations of these standard frameworks have been provided. This doctoral thesis addresses the issue of macroeconomic instability and uctuations in three distinct economies: i) with consumption externalities in Ramsey model; ii) with leisure externalities in a two-period OLG model; and iii) with credit market imperfections in a monetary endogenous growth model. The theory of general competitive equilibrium, initiated by Walras (1874), has been de- veloped and used to address a wide range of theoretical questions in macroeconomics and in particular, to understand macroeconomic uctuations. In the rst half of twentieth century, Burns and Mitchell (1946, p.3) provides a denition for business cycles in their book Measuring Business Cycles as follows: a cycle consists of expansions occurring at about the same time in many economic activities, followed by similarly general recessions, contractions, and revivals which merge into the expansion phase of the next cycle; in duration, business cycles vary from more than one year to ten or twelve years; they are not divisible into shorter cycles of similar characteristics with amplitudes approximating their own .

1 Economists have been aware of certain cyclical characteristics of economic evolution since the works of Smith (1776), Ricardo (1810), Juglar (1862) and many others.

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The interpretation of economic uctuations associated with business cycles has become one of the most controversial topics in the modern macroeconomic theory. Over the years, the proposed theories, that have attempted to explain the causes and characteristics of observed economic uctuations, have been marked by conicting positions. In particular, there are two contrasting viewpoints concerning the explanation of economic uctuations. The rst one is New-Classical viewpoint which assumes that uctuations are driven by exogenous, random shocks to economic system. These external shocks are real (i.e., shocks to the fundamentals such as endowments, technology or preferences) or monetary. In the absence of external shocks, the economy would be stable and converge to a unique steady state. The second approach is the New-Keynesian which assumes that economic uctuations are due to intrinsic processes that endogenously destabilize the economic system, even without any external shocks to the economic fundamentals. More precisely, economic uctuations are driven from self-fullling expectations (animal spirits). This means that if individual expectations about aggregate outcomes are shared by su¢ ciently many people, then they are more likely to be realized and can be a source of economic instability. In line with the second approach, this thesis aims at explaining economic uctuations that are driven from self-fullling expectations in the economies mentioned above. In fact, it is an old Keynesians idea (Keynes 1936) that psychological variables and animal spirits were thought to generate business cycles. Further, Pigou (1927) discussed how peoples errors of optimism and pessimism in their business forecasts created uctuations in industrial activity. This view has however su¤ered from several shortcomings. Namely, the lack of microeconomic founda- tions and, as mentioned by Grandmont (1991, p.2) These models also appeared to rely upon the implausible assumption that economic units were stubbornly myopic and made systematic forecasting errors along the cycle although the periodic macroeconomic pattern was easily recog- nizable: if the requirement that expectations were self-fullling was imposed on these models, cycles seemed not to occur anymore , expectations were treated in an unsatisfactory way and, in particular, they were not derived from rational behaviour. Throughout the seventies, the rst New-Classical models were elaborated to propose an alternative to Keynesian models and in order to explain how monetary factors could generate

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