Burda, WyploszMACROECONOMIA: UNA PROSPETTIVA EUROPEA ©EGEA 2006 Capitolo 6 La Domanda del settore privato: consumo e investimento.

Burda, Wyplosz MACROECONOMIA: UNA PROSPETTIVA EUROPEA

©EGEA 2006

Capitolo 6

La Domanda del settore privato:

consumo e investimento


©EGEA 2006

Variability of GDP Components, 1970-2001

0%

2%

4%

6%

8%

10%

12%

14%

C/Y I/Y G/Y

Consumption Investment GovernmentConsumption

USA

euro area

Fig. 6.01


©EGEA 2006

Con

sum

ptio

n to

mor

row

0

Indifference curves: Normal case

Consumption today

Fig. 6.02(a)


©EGEA 2006

Con

sum

ptio

n to

mor

row

0

Indifference curves: Zero substitution

Consumption today

Fig. 6.02(b)


©EGEA 2006

Con

sum

ptio

n to

mor

row

0

Indifference curves: Constant substitution

Consumption today

Fig. 6.02(c)


©EGEA 2006

Optimal consumption

Fig. 6.03


©EGEA 2006Consumption today

Con

sum

ptio

n to

mor

row

0

Optimal consumption: borrower

IC1

IC2

IC3

B

D

R

C1

C2

M

Y1

Y2

(i)

(i) Consumption today financed on credit

(ii) (ii) Consumption loan repayment (including interest)

Fig. 6.03

-(1+r)


©EGEA 2006

Con

sum

ptio

n to

mor

row

0

Optimal consumption: lender

A

Y1

Y2

B

IC1

IC2

IC3

D

R

C1

C2

(i)

(i) Saving from this period’s income

(ii)

(ii) Additional consumption next period

Fig. 6.03

Consumption today

-(1+r)


©EGEA 2006

Ciclo di vita del consumo

Fig. 6.04


©EGEA 2006

Consumo ottimale


©EGEA 2006

La funzione di utilità sopra scritta si ottiene sostituendo al posto di C1 l’espressione del lucido precedente e trascurando che è costante


©EGEA 2006

Borrowing

Saving

Time

Income,Consumption

0

Life-cycle consumption

Income

ConsumptionPermanentincome

Fig. 6.04


©EGEA 2006

Variazioni permanenti e temporanee del reddito

Fig. 6.05


©EGEA 2006

Y1´

Temporary income changeC

onsu

mpt

ion

tom

orro

w

0

D´

B´B

D

Fig. 6.05

Consumption today

A´

Y1

Y2 A=R

R´


©EGEA 2006

Permanent income changeC

onsu

mpt

ion

tom

orro

w

0

R´

A´´R´´

Y1

Y2

Y1´ B

D

A=R A´

B´ B´´

D´

Fig. 6.05

Consumption today

Y2´


©EGEA 2006

Temporary vs. permanent income changeC

onsu

mpt

ion

tom

orro

w

0

R´

A´´R´´

Y1

Y2

Y1´ B

D

A=R A´

B´ B´´

D´

Y2´

Temporary: R to R´

Permanent: R to R´´

Fig. 6.05

Consumption today


©EGEA 2006

Real GDP and retail sales growth:Czech Republic, 1997-2002

Fig. 6.06

-10

-8

-6

-4

-2

0

2

4

6

8

10

12

Q 1/1997 Q 1/1998 Q 1/1999 Q 1/2000 Q 1/2001 Q 1/2002

Gro

wth

in

re

al

GD

P a

nd

sa

les

(% p

er

an

nu

m)

Retail sales real GDP


©EGEA 2006

Real price of crude oil, 1956-2002

Fig. 6.07

0

50

100

150

200

250

300

350

400

450

1956 1960 1964 1968 1972 1976 1980 1984 1988 1992 1996 2000

Ind

ex (

1995

=10

0)


©EGEA 2006

-6

-4

-2

0

2

4

6

8

1956 1960 1964 1968 1972 1976 1980 1984 1988 1992 1996 2000

Netherlands

Denmark

United Kingdom

Current accounts in three countries, 1956-2002

Fig. 6.08


©EGEA 2006

Gli effetti di un aumento del tasso di interesse

Fig. 6.09


©EGEA 2006

Recall: borrowers consume to the right of their endowment A, lenders to the left of A.

(a) Student Crusoe(borrower)

(b) Professional athlete(lender)

Consumption today

Con

sum

ptio

n to

mor

row

Consumption todayC

onsu

mpt

ion

tom

orro

w

B

D

B

D

A

A

R

Fig. 6.09

R


©EGEA 2006

Effect of an increase in the interest rate: negative income effect for borrowers, positive for lenders



Consumption today

Con

sum

ptio

n to

mor

row

Consumption todayC

onsu

mpt

ion

tom

orro

w

B´ B

D

B

D

B´

A

A

R R

R´

R´

Fig. 6.09


©EGEA 2006

For borrowers: income and substitution effects work in the same direction (to increase saving)



Consumption today

Con

sum

ptio

n to

mor

row

Consumption todayC

onsu

mpt

ion

tom

orro

w

B´ B

D

B

D

B´

A

A

R R

R´

R´

Fig. 6.09


©EGEA 2006

For lenders: income and substitution effects work in opposite directions (below income effect wins)



Consumption today

Con

sum

ptio

n to

mor

row

Consumption todayC

onsu

mpt

ion

tom

orro

w

B´ B

D

B

D

B´

A

A

R R

R´

R´

Fig. 6.09


©EGEA 2006

300

400

500

600

700

800

900

1000

1100

1200

1300

1000 3000 5000 7000 9000

Net wealth (Euro bn.)

Co

ns

um

pti

on

( E

uro

bn

.)

300

400

500

600

700

800

900

1000

1100

1200

1300

400 600 800 1000 1200 1400

Disposable income (Euro bn.)

Co

ns

um

pti

on

(E

uro

bn

.)

Consumption, wealth and disposable income:France, 1980-2002

Fig. 6.10


©EGEA 2006

I vincoli al credito

Fig. 6.11


©EGEA 2006

Con

sum

ptio

n to

mor

row

0

When the household is not credit constrained...

D

C

A

borrow

repay

Fig. 6.11

Consumption today

R


©EGEA 2006

Con

sum

ptio

n to

mor

row

0

With a credit constraint, the choice set is reduced.

D

C

B

A

R

Fig. 6.11

Consumption today


©EGEA 2006

♦ Funzione del consumo:

C = C(, Yd)


©EGEA 2006

GDP, domestic demand and the current account:Poland and East Germany

Fig. 6.12


©EGEA 2006

Lo stock ottimale di capitale

Fig. 6.13


©EGEA 2006

Marginal productivity of capital

Output

= 1+rslope

MPK

R

K

K

Marginal cost of capital1+r

Y=F K( )

K

K

Optimal capital stock is larger than starting capital stock

We start with

Fig. 6.13

Output

Capital stock

Capital stock


©EGEA 2006


Output

= 1+rslope

MPK

R

K

K

Marginal cost of capital1+r

Y=F K( )

K

K

MPK>1+r, so it is

profitable to invest up

to K

Fig. 6.13

Output

Capital stock

Capital stock


©EGEA 2006

Technological progress

Fig. 6.14


©EGEA 2006

We will start with an optimal capital stock...


Output

= 1+rslope

R

K

K

1+r

MPK

Fig. 6.14

Output

Capital stock

Capital stock


©EGEA 2006

Technological progress makes more output possible with the same capital stock. Desired capital stock increases.


OutputR

= 1+rslope

K

K

MPK´

New

1+r

Old

MPK

K

K

Fig. 6.14

Output

Capital stock

Capital stock


©EGEA 2006

♦ Funzione di investimento

I è una qualche funzione della differenza tra K* e K corrente; dal momento che K è una funzione inversa di r, anche I dipenderà inversamente da r

I = I(r)


©EGEA 2006

♦ Modello accelerativoK* = vY

I1 = K2* – K1* = v(Y2 – Y1) = vY2

v?Y = AK MPK = Y/K Y/K = 1 + rK* = Y/(1+r)v = /(1+r)2 < v < 3

I1 = vY2 + K1


©EGEA 2006

♦ Modello della q di Tobin

I prezzi delle azioni (PAZ) riflettono i profitti futuri

Variazioni di PAZ sono una stima delle aspettative future dei profitti

Tale stima dei profitti può differire dal prezzo dei beni capitali che costituiscono l’impresa, a volte definito costo di sostituzione di K


©EGEA 2006

♦ Q di Tobin = valore di mercato di K/valore di sostituzione di K

♦ I due valori possono differire per molti motivi, uno dato dai costi di aggiustamento

♦ Quando q>1 vuol dire che il valore di mercato di K è superiore al costo (complessivo, cioè con i costi di aggiustamento) per acquisire e avviare un’impresa.


©EGEA 2006

The q-theory of investment

Tobin’s q

Inve

stm

ent

01

Fig. 6.15


©EGEA 2006

♦ Relazione tasso di interesse e q di Tobin

♦ +r - PAZ - q

♦ In generale, la q di Tobin sintetizza molte variabili; inoltre è rivolta al futuro; ruolo delle aspettative.


©EGEA 2006

Investment and Tobin’s q:Inter-war Germany

Fig. 6.16(a)

0.0

20.0

40.0

60.0

80.0

100.0

120.0

140.0

1925:01 1927:01 1929:01 1931:01 1933:01 1935:01

Year

Ind

ex

(19

27

=1

00

)

Real stock prices Production of capital goods


©EGEA 2006

Investment and Tobin’s q:Modern Germany

Fig. 6.16(b)

b) Tobin's q and Investment Spending in Germany, 1970-2002

0

50

100

150

200

250

300

350

400

450

500

1970 1974 1978 1982 1986 1990 1994 1998 2002

Year

Inve

stm

en

t (b

n e

uro

s)

0.000

0.500

1.000

1.500

2.000

2.500

3.000

Re

al s

tock

pri

ces

(19

95

=1

.00

)

Real investment Real stock prices


©EGEA 2006

q di Tobin Italia

0

1

2

3

4

5

6

7

1968

1970

1972

1974

1976

1978

1980

1982

1984

1986

1988

0

0.05

0.1

0.15

0.2

0.25

0.3

q - Asse di sx Tinv - Asse di dx


©EGEA 2006

Q di Tobin con costi di aggiustamento

K2=I1


©EGEA 2006

K2 = I1+ (1-)K1


©EGEA 2006

Definiamo ora la q di Tobin come


©EGEA 2006

Allora possiamo riscrivere la condizione del 1 ordine come


©EGEA 2006

Tobin’s q=1 in a world of no adjustment costs

(a)

Investment rate (I/K)

Pre

sent

val

ue o

f M

PK

,co

st o

f ca

pita

l

1

I K( )

MPK1

MPK=Marginal return of new investment

C

If there were no costs of adjustment, the present value of the marginal cost of capital would be independent of the investment rate.

Note if there were no depreciation, the investment rate, I/K, = K/K, the rate of change of the capital stock.

Fig. 6.17


©EGEA 2006

Tobin’s q when adjustment costs are significant

(a)

Pre

sent

val

ue o

f M

PK

,co

st o

f ca

pita

l

1

I K( )I K( )

1q

Marginal cost of investment

MPK1

C

However the faster we try to install new capital, the more it adds to the cost of that capital. “Haste makes waste.” Hence the upward slope of the marginal cost of investment with respect to the investment rate.

Fig. 6.17



A


©EGEA 2006

Tobin’s q

(b)

Pre

sent

val

ue o

f M

PK

,co

st o

f ca

pita

l

A

1

1I K( )

1q

Marginal cost of investment

MPK1MPK2

2I K( )

2q B

With the investment rate corresponding to the rate at point A, in the following period there will be more capital and a lower MPK.

The investment rate next period will fall too (as will Tobin’s q), ultimately heading toward a value of unity and no more investment.

Fig. 6.17



Burda, WyploszMACROECONOMIA: UNA PROSPETTIVA EUROPEA ©EGEA 2006 Capitolo 6 La Domanda del settore privato: consumo e investimento.

Documents

b consumption

r r slide

una prospettiva europea

b slide

consumption tomorrow

consumption tomorrow

c consumption

optimal consumption