Portfolio rebalancing and asset pricing with heterogeneous inattention

Incluye bibliografía¿Puede la desatención de los hogares a la bolsa de valores explicar cuantitativamente la inercia en el rebalanceo de las carteras? Para abordar esta pregunta, este documento introduce un coste de observación en una economía de producción con agentes heterogéneos. En este entorno, la desatención cambia de forma endógena en el tiempo y entre los agentes. En el análisis cuantitativo, la desatención explica la inercia en el rebalanceo de la cartera y su heterogeneidad entre los hogares. La desatención también racionaliza la limitada participación en el mercado de valores observada en los datos y mejora el rendimiento de los precios de los activos del modelo. Por último, se presenta una novedosa implicación comprobable que vincula los efectos de la desatención en las elecciones de cartera y los precios de los activos a la liquidez de financiación de los hogaresCan households’ inattention to the stock market quantitatively account for the inertia in portfolio rebalancing? I address this question by introducing an observation cost into a production economy with heterogeneous agents. In this environment inattention changes endogenously over time and across agents. I find that inattention explains the inertia in portfolio rebalancing and its heterogeneity across households. Inattention also rationalises the limited stock market participation observed in the data, and improves the asset pricing performance of the model. Finally, I present a novel testable implication linking the effects of inattention on portfolio choices and asset prices to households’ funding liquidit

Structural transformation in the Spanish economy

Este artículo estudia la variación de la composición sectorial de la economía española desde 1980 hasta 2015 desarrollando un modelo de equilibrio general de transformación estructural con dos sectores: servicios y manufacturas. Utilizando las sendas de productividad sectoriales observadas en los datos como shocks exógenos, el modelo reproduce la variación de la cuota de los servicios en el producto bruto total de la economía española entre 1980 y 2015. Incluso en ausencia de cambios en las tendencias de las productividades sectoriales, en el modelo la tasa de crecimiento anual del PIB entre 2015 y 2050 se reduce en 0,6 puntos porcentuales con respecto a la tasa de crecimiento promedio hasta 2015. Por lo tanto, el crecimiento anual del PIB disminuiría de 2,3% a 1,7%. Si las productividades sectoriales fueran iguales a los niveles de la zona del euro, la tasa media de crecimiento del PIB español entre 2015 y 2050 sería del 2,1%.This paper studies how the variation in sectoral productivities shapes the sectoral composition of the Spanish economy from 1980 to 2015. I first document an asymmetric behavior of sectoral productivities: the productivity of services declines over time, whereas the productivity of manufacturing increases until the 1990s, before slowing down. I feed the path of sectoral productivities observed in the data into a model of structural transformation with two sectors (services and manufacturing) which are connected by an Input-Output matrix. The model reproduces the variation of the gross output services share of the Spanish economy between 1980 and 2015. The model implies that – even absent changes in the trends of sectoral productivities – the annual growth rate of GDP between 2015 and 2050 shrinks by 0.6 percentage points with respect to the average growth rate between 1980 and 2015. Hence, annual GDP growth would decline from 2.3% to 1.7%. If sectoral productivities were to equal the levels observed in the Euro Area between 1980 and 2015, the average growth rate of Spanish GDP between 2015 and 2050 would be 2.1%

The changing structure of government consumption spending

Este artículo documenta un aumento secular en la proporción de compras del sector privado en el gasto de consumo del gobierno: con el tiempo, el gobierno compra relativamente más bienes del sector privado y depende menos de su propia producción de valor agregado. Construimos un modelo de equilibrio general en el que el cambio tecnológico específico de la inversión explica la variación en la estructura del gasto público. El modelo predice que este proceso secular altera la transmisión de los shocks de gasto público, al aumentar la respuesta del valor añadido privado, mientras que la respuesta de las horas trabajadas se reduce. Validamos estos resultados con evidencia empírica novedosa sobre los efectos del gasto públicoWe document a secular increase in the share of purchases from the private sector in government consumption spending: over time the government purchases relatively more private-sector goods, and relies less on its own production of value added. We build a general equilibrium model in which investment-specific technological change accounts for the changing structure of government spending. The model predicts that this secular process alters the transmission of government spending shocks by raising the response of private value added, while dampening the response of hours. We validate these results with novel empirical evidence on the effects of government spending across countrie

Structural transformation, services deepening, and the transmission of monetary policy

Las economías avanzadas están experimentando una transformación estructural de la industria hacia los servicios. Nosotros documentamos que el cambio estructural viene con un proceso de services deepening: a lo largo del tiempo, tanto los servicios como la industria utilizan más y más bienes intermedios del sector servicios. Nosotros argumentamos que la transformación estructural y el services deepening afectan a la transmisión de la política monetaria mediante el aumento de la importancia relativa de los servicios, que tienen precios más rígidos que la industria. En este documento, estudiamos las implicaciones de la reasignación sectorial de Estados Unidos con un modelo neokeynesiano con dos sectores conectados por una matriz de entrada/salida, que varía con el tiempo de forma endógena. El aumento de los servicios disminuye las respuestas de las tasas de inflación agregadas y sectoriales a un choque de política monetaria. Los cambios en las respuestas de las tasas de inflación sectoriales están enteramente determinados por el services deepeningAdvanced economies are undergoing a structural transformation from manufacturing to services. We document that structural change comes with a process of services deepening: over time, both services and manufacturing become more intensive in service inputs. We argue that structural transformation and services deepening affect the transmission of monetary policy by increasing the relative importance of services, which have stickier prices than manufacturing. We study the implications of the U.S. sectoral reallocation with a New Keynesian model with two sectors connected by an input-output matrix, which varies endogenously over time. The rise of services dampens the responses of aggregate and sectoral inflation rates to a monetary policy shock. The changes in the responses of sectoral inflation rates are entirely driven by services deepenin

The young, the old, and the government : demographics and fiscal multipliers

Este artículo muestra que el tamaño del multiplicador fiscal depende de la estructura demográfica de la población de una economía. Usando la variación en el gasto militar y las tasas de natalidad en los estados de los EE. UU., mostramos los multiplicadores fiscales locales aumentan con la proporción de jóvenes en la población total. Racionalizamos este hecho con un parsimonioso modelo neo-keynesiano de economía abierta, y con generaciones solapadas e imperfecciones del mercado crediticio. El modelo explica el 65 % de la relación entre los multiplicadores fiscales locales y la demografía. Usamos el modelo para estudiar las implicaciones del envejecimiento de la población y encontramos que en la actualidad los multiplicadores fiscales nacionales de los Estados Unidos son 36 % más bajos que en 1980We document that fiscal multipliers depend on the age structure of the population. Using the variation in military spending and birth rates across U.S. states, we show that local fiscal multipliers increase with the share of young people in total population. We rationalize this fact with a parsimonious life-cycle open-economy New Keynesian model with credit market imperfections. The model explains 65% of the relationship between local fiscal multipliers and demographics. We use the model to study the implications of population aging, and find that nowadays U.S. national fiscal multipliers are 36% lower than in 198

The China syndrome affects banks : the credit supply channel of foreign import competition

Este artículo estudia el efecto del aumento en la competencia de las importaciones chinas a principios de la década de los 2000 en las políticas de oferta de crédito de los bancos españoles. El uso de información a nivel banco-empresa del universo de préstamos concedidos a empresas no financieras españolas nos permite explotar la heterogeneidad existente entre los bancos, en términos de la exposición de sus carteras de préstamos a empresas que compiten con las importaciones chinas. Los bancos más expuestos a este último grupo de empresas equilibraron sus carteras reduciendo la oferta de crédito a las empresas afectadas por la competencia china y, a su vez, aumentando el crédito a los sectores no afectados. Esta reasignación del crédito deprimió, aún más, la actividad económica de las empresas que competían con las importaciones chinasWe study the effect of rising Chinese import competition in the early 2000s on banks’ credit supply policies. Using bank-firm-level data on the universe of Spanish corporate loans, we exploit heterogeneity across banks in the exposure of their loan portfolios towards firms competing with Chinese imports. Exposed banks rebalanced their loan portfolios by cutting the supply of credit to firms affected by Chinese competition, while raising their lending towards non-exposed sectors. This portfolio reallocation depressed further the economic activity of firms competing with Chinese import

Essays on heterogeneous agent models

There is a continued interest among economists on the interconnections between financial markets, credit markets and the real economy. The three main chapters of this dissertation contribute to the understanding of how financial and credit frictions - either at the fi rm or 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 of total 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 panel of countries, I find that nancial crises coincide with the reversal of a long period of low volatility of TFP. To explain this new fact, I develop a general equilibrium model in which volatility shocks to TFP interact with an occasionally binding borrowing constraint and housing serves as collateral. I introduce search frictions in the housing market to capture the liquidity of housing and endogenize the LTV ratio: households borrow at higher LTV ratios 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, I feed the model with the stochastic volatility of the U.S. Solow residual. I fi nd that the interaction of volatility shocks and search frictions in the housing market increases the frequency 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 nancial shocks. Chapter 2 studies whether households’ limited attention to the stock market can quantitatively account for the bulk of asset prices. I address this question introducing an observation cost in a production economy with heterogeneous agents, incomplete markets and idiosyncratic risk. In this environment inattention changes endogenously over time and across agents. I calibrate the observation cost to match the observed duration of inattention of the median agent in the data. The model generates limited participation in 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. It also 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 inattention a ects asset prices if borrowing constraints are tight enough. Chapter 3 - which is joint work with Alessandro Peri - studies the series of US annual corporate default rates from 1950 until 2012. We document the presence of one structural break in the unconditional mean, which is dated in 1986. Meanwhile credit spreads hardly moved. We present a dynamic equilibrium model where the development of credit markets accounts for this empirical evidence. Financial development increases both the default rate and fi rms’ expected recovery rates. These two e ffects off set each other and translate into constant 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 last decades: the fall in the number of firms distributing dividends, the rise in the degree of dividend smoothing, and the increase in the volatility of public fi rms.Programa Oficial de Doctorado en EconomíaPresidente: Manuel Santos; Secretario: James Costain; Vocal: Ctirad Slavi

The public investment multiplier in a production network

Los efectos agregados y sectoriales de la inversión pública dependen fundamentalmente de la interacción entre la elasticidad de la producción con respecto al capital público y los vínculos de la cadena de suministro. Enseñamos este hecho a través de una red de producción neokeynesiana. Este modelo duplica la cantidad socialmente óptima de capital público en relación con la economía unisectorial, lo que conduce a una amplificación sustancial del multiplicador de la inversión pública. Asimismo, documentamos nuevas implicaciones sectoriales de la inversión pública. Aunque la inversión pública se concentra en muchos menos sectores que el consumo público, sus efectos se distribuyen de una forma relativamente más uniforme entre las industrias. Validamos esta implicación del modelo en los datos.Aggregate and sectoral effects of public investment crucially depend on the interaction between the output elasticity to public capital and input-output linkages. We identify this dependence through the lens of a New Keynesian production network. This setting doubles the socially optimal amount of public capital relative to the average one-sector economy, leading to a substantial amplification of the public investment multiplier. We also document novel sectoral implications of public investment. Although public investment is concentrated in far fewer sectors than public consumption, its effects are relatively more evenly distributed across industries. We validate this model implication in the data

The changing structure of goverment consumption spending

We document a secular change in the structure of government consumption spending: over time the government purchases relatively more private-sector goods, and relies less on its own production of value added. This process alters the transmission of government spending shocks, as the response of hours decreases – whereas the response of output remains constant – when government spending is more intensive in private-sector goods. We rationalize these facts with a general equilibrium model where the slowdown of public-sector relative productivity drives both the changing structure of government spending and the disconnect between the responses of hours and output to government spending shocks

The Changing Structure of Government Spending

We document that advanced economies experience a secular increase in the share of purchases from the private sector in total government spending, implying that over time governments purchase relatively more private-sector goods, and rely less on own production of value added. We build a calibrated general equilibrium model to show that this secular process can be accounted for by investment-specific technological change. We then use the model to measure the effect of this secular process on the transmission of fiscal policy, and find that (i) it shifts the stimulative effects of government spending towards private economic activity and (ii) it dampens the response of hours - but not of output - to fiscal shocks