Essays on Frictions in Financial Decisions
| Název práce v češtině: | Essays on Frictions in Financial Decisions |
|---|---|
| Název v anglickém jazyce: | Essays on Frictions in Financial Decisions |
| Klíčová slova: | výběr investičního fondu, omezené zohlednění, finanční gramotnost, refinancování hypotéky, hledání hypotečního úvěru, fiskální multiplikátory, heterogenita bohatství |
| Klíčová slova anglicky: | investment fund choice, limited consideration, financial literacy, mortgage refinancing, mortgage search, fiscal multipliers, wealth heterogeneity |
| Akademický rok vypsání: | 2018/2019 |
| Typ práce: | disertační práce |
| Jazyk práce: | čeština |
| Ústav: | CERGE (23-CERGE) |
| Vedoucí / školitel: | PhDr. Mgr. Ctirad Slavík, Ph.D. |
| Řešitel: | skrytý - zadáno a potvrzeno stud. odd. |
| Datum přihlášení: | 01.10.2018 |
| Datum zadání: | 01.10.2018 |
| Datum potvrzení stud. oddělením: | 01.10.2018 |
| Datum odevzdání elektronické podoby: | 20.03.2024 |
| Seznam odborné literatury |
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| Předběžná náplň práce |
| Tato disertační práce analyzuje individuální finanční rozhodování a jejich důsledky pro heterogenitu v bohatství. V kapitole 1 vytvářím strukturální rámec diskrétní volby investičního fondu. Na základě údajů z Průzkumu spotřebitelských financí (Survey of Consumer Finances, SCF) ukazuji, že domácnosti zvažují výběr investičního fondu omezeně. Odhady strukturálního modelu konkrétně ukazují, že domácnosti se při výběru fondu rozhodují pouze na základě podmnožiny dostupných možností. V závislosti na bohatství jsou peněžní ztráty z omezeného zvažování vyšší u méně finančně gramotných domácností, což naznačuje, že jejich volba je zjednodušená.
V kapitole 2 se zaměřujeme na rozhodování domácností o čerpání hypoték a refinancování. Naše nové odhady na amerických datech ukazují, že rozdíly v hypotečních sazbách závisí na úrovni finančních dovedností a úsilí jednotlivců při hledání. Konkrétně implementujeme stochastické propojení záznamů a zjišťujeme, že domácnosti s nízkou finanční gramotností mají až o 4% nižší pravděpodobnost, že budou zvažovat více věřitelů a zafixují se na sazbách vyšších o 15-20 bazických bodů. Po poskytnutí hypotéky se nekvalifikovaní dlužníci potýkají s o 35-45% vyšší delikvencí a nakonec mají o 30% nižší pravděpodobnost refinancování. Pokračujeme v kvantifikaci peněžních ztrát způsobených neefektivním vyhledáváním a ukazujeme, že domácnosti s nízkými finančními dovednostmi zaplatí při poskytnutí hypotéky o více než 10% více. Kapitola 3 se rozšiřuje na obecnou rovnováhu a rozvíjí novokeynesiánský model s heterogenními agenty s podrobným popisem finančního zprostředkování a věrohodnými mezními sklony ke spotřebě (MPC). Pro motivaci modelu zkoumáme údaje z šetření domácností v Eurozóně a dokumentujeme značnou heterogenitu v podílech bohatých a chudých domácností, které se chovají jako ‚hand-to-mouth‘ (HtM, z ruky do úst), a v držbě likvidních a nelikvidních aktiv. Zohlednění heterogenních MPC umožňuje věrohodně předpovědět účinnost fiskální politiky v krátkodobém i dlouhodobém horizontu. Pomocí modelu ukazujeme, že financování vládního dluhu dluhem a vládními transfery má největší pozitivní dlouhodobý vliv na HDP. Pro vysvětlení agregátní reakce na fiskální stimuly zavádíme nový kvantitativní rozklad agregátní spotřeby založený na statusu HtM a bohatství domácností. |
| Předběžná náplň práce v anglickém jazyce |
| This dissertation analyzes individual financial decisions and their implications for wealth heterogeneity. In Chapter 1, I build a structural framework of a discrete investment fund choice. Using the Survey of Consumer Finances (SCF) data, I show that households exhibit limited consideration when choosing an investment fund. Specifically, the structural model estimates show that households make their fund choice based only on a subset of available options. Conditional on wealth, monetary losses from limited consideration are higher for
less financially literate households, suggestive of their choice simplification. In Chapter 2, we focus on household mortgage take-up and refinancing decisions. Our novel U.S. data estimates show that the variation in mortgage rates depends on individual financial skill level and search effort. Specifically, we implement stochastic record linkage and find that households with low financial literacy are up to 4% less likely to consider more lenders and lock in at 15-20 b.p. higher rates. Upon origination, unskilled borrowers face a 35-45% higher mortgage delinquency and end up with a 30% lower likelihood of refinancing. We proceed to quantify monetary losses due to ineffective search, and we show that households with low financial skills pay more than 10% extra at the time of origination. Chapter 3 extends to the general equilibrium and develops a Heterogeneous Agents New Keynesian model with a detailed outline of financial intermediation and plausible marginal propensities to consume (MPC). To motivate the model, we explore household survey data for the Euro area and document substantial heterogeneity in wealthy and poor hand-to-mouth (HtM) shares and in households’ liquid and illiquid asset holdings. Accounting for heterogeneous MPCs allows plausible predictions of the effectiveness of fiscal policy in the short and long term. Using the model, we show that financing government debt with debt and government transfers has the largest positive long-term effect on output. To explain aggregate responses to fiscal stimulus, we introduce a new quantitative decomposition of aggregate consumption based on households’ HtM status and wealth. |