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Essays in general equilibrium with borrowing constraints, optimal growth, and FDI

Abstract : The dissertation contains five chapters. The first one considers an infinite horizon monetary economy. There is a Central Bank lending money to households by creating short- and long-term loans. Heterogeneous households can deposit and borrow money on both short- and longterm maturity loans. If households want to sell a financial asset, they are required to hold certain commodities as collateral. There is also a borrowing constraint when households want to borrow a long-term loan. Moreover, they face cash-in-advance constraints when buying commodities and financial assets. I introduce Uniform (resp., Sequential) Gains to Trade Hypothesis under which the existence of collateral monetary equilibrium is ensured and prices are uniformly (resp., only for the product topology) bounded. We also provide some properties of monetary equilibria, for example, the structure of interest rates and the liquidity trap. The second considers a general equilibrium model with heterogeneous agents, borrowing constraints, and exogenous labor supply. First, the existence of intertemporal equilibrium is proved even if the aggregate capitals are not uniformly bounded above and the production functions are not time invariant. Second, we call by physical capital bubble a situation in which the fundamental value of physical capital is lower than its market price. We show that there is a physical capital bubble if and only if the sum (over time) of capital returns is finite. We also point out that there is no causal relationship between physical capital bubble and the fact that the present value of output is finite. Last, with linear technologies, every intertemporal equilibrium is efficient in sense of Malinvaud (1953). Moreover, there is a room for both efficiency and bubble. The third studies the root of financial asset bubble in an infinite horizon general equilibrium model with heterogeneous agents and borrowing constraints. We say that there is a bubble at equilibrium if the price of the financial asset is greater than its fundamental value. First, we found that bubble can occur only if there exists an agent and an infinite sequence of date such that borrowing constraints of this agent are binding at each date of this sequence. Second, we prove that there is a bubble if and only if interest rates are low, which means that the sum (over time) of interest rates (in term of financial asset) is finite. Last, we give a condition on exogenous variables, under which a financial asset bubble occurs at equilibrium. In the fourth chapter, we build an infinite-horizon dynamic deterministic general equilibrium model in which heterogeneous agents invest in capital and/or financial asset, and consume. We proved the existence of intertemporal equilibrium in this model, even if aggregate capital is not uniformly bounded and technologies are not stationary. By using this framework, we studied the relationship between the financial market and the productive sector: When productivity is low and financial dividends are bounded away from zero, the productive sector will produce nothing at infinitely many dates. However, when productivity is low and the financial dividend is high, there is investment in the productive sector. This is due to the fact that part of the financial dividend is used for the purchase of the physical capital. When productivity is high enough, the economy will produce at any period. We pointed out impacts of the financial asset. Fluctuations on financial dividends can create fluctuations on the aggregate capital stocks [...]
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Submitted on : Thursday, August 4, 2022 - 1:34:11 PM
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Pham Ngoc-Sang. Essays in general equilibrium with borrowing constraints, optimal growth, and FDI. Economics and Finance. Université Panthéon-Sorbonne - Paris I, 2014. English. ⟨NNT : 2014PA010076⟩. ⟨tel-03745631⟩



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