|
on International Finance |
| By: | Xiang Fang; Yang Liu; Nikolai Roussanov |
| Abstract: | Do “real” assets protect against inflation? Core inflation betas of stocks are negative while energy betas are positive; currencies, commodities, and real estate also mostly hedge against energy inflation but not core. These hedging properties are reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent both within and across asset classes, uniquely among macroeconomic risk factors. While high core inflation tends to be followed by low real output, consumption, and dividend payouts, it impacts asset prices through both cash-flow and discount rate channels. The relative contribution of core and energy changes over time, helping explain the time-varying correlation between stock and bond returns. A two-sector New Keynesian model qualitatively accounts for these facts and implies that the changing stock-bond correlation can be attributed to the shifting importance of supply and demand shocks in driving energy inflation over time. |
| JEL: | E31 E44 E5 F31 G12 G15 |
| Date: | 2022–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:30169&r= |
| By: | Ms. Prachi Mishra; Mr. Divya Kirti; Yang Liu; Jan Strasky; Soledad Martinez Peria |
| Abstract: | We introduce a new comprehensive announcement-level database tracking the extraordinary fiscal, monetary, prudential, and other policies that countries adopted in response to Covid-19. The database provides detailed information, including sizes where available, for 28 granular policies adopted by 74 countries during 2020. About 5,500 policy measures were announced during this period. Importantly, the database is organized and presented in a format easy for researchers to use in empirical analyses. Announcements were highly correlated across the broad fiscal, monetary, and prudential categories and at more granular levels. Advanced economies (AEs) introduced larger fiscal measures than emerging and developing economies (EMDEs) and relied primarily on large unconventional monetary policies. Bank capital requirements were relaxed widely in both AEs and EMs, while relaxation of provisioning requirements was more common among EMs. Supervisory expectations and reporting requirements were widely relaxed. |
| Keywords: | Monetary policy; Fiscal policy; Macroprudential policy; Covid-19; Advanced economies; policy measure; bank capital requirement; granular policy; asset purchase; Reserve requirements; Central bank policy rate; Countercyclical capital buffers; Global |
| Date: | 2022–06–03 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2022/114&r= |
| By: | Davide Dottori (Bank of Italy); Giacinto Micucci (Bank of Italy); Laura Sigalotti (Bank of Italy) |
| Abstract: | This paper provides an empirical investigation of the substitution hypothesis between trade indebtedness and bank loans, based on a sample of 245,000 Italian firms for the period 2010-15, when episodes of bank credit contraction occurred. The econometric approach is based on a shift-and-share IV strategy aimed at isolating the causal effect of bank credit supply shocks on trade indebtedness. We find a significant negative elasticity of trade debt to bank loans, consistent with the pecking order theory, according to which firms prefer bank debt to (more costly) trade debt and an exogenous reduction in the former spurs the use of the latter. This substitution allows firms to rebalance their financial structure, thus increasing their resilience to external credit shocks. However, we find heterogeneity at geographical level: a significant substitution effect is estimated only for Central and Northern firms; in the South and Islands the financial structure of firms, which tend to rely more on trade debt, consequently appears more vulnerable to external credit shocks. Heterogeneity also seems to occur along other dimensions, suggesting no significant substitutability for smaller, riskier and highly leveraged firms. |
| Keywords: | Trade debt, bank credit supply, Mezzogiorno |
| JEL: | D22 G01 G30 |
| Date: | 2022–06 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:opques:qef_695_22&r= |
| By: | Ms. Adina Popescu |
| Abstract: | Central banks around the world are increasingly exploring central bank digital currencies (CBDCs). This paper investigates the possible impacts of cross-border CBDCs on capital flows and financial stability in a simple open economy extension of a classical model of bank runs, augmented with the presence of a credible foreign central bank, which issues an account-based interest bearing CBDC available to nonresidents. The paper finds that the presence of a foreign CBDC which acts as an international safe asset may increase the risk of financial disintermediation in the domestic banking sector, which can be accompanied by higher and more volatile capital flows. |
| Keywords: | Central bank digital currency; CBDC; capital flows; open-economy; financial stability; deposit contract; capital flows volatility; cross-border CBDCs; model of bank runs; CBDC deposit; CBDC issuer; Central Bank digital currencies; Commercial banks; Foreign banks; Bank deposits; Capital account; Global |
| Date: | 2022–05–06 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2022/083&r= |
| By: | Pierre Bachas (The World Bank - The World Bank - The World Bank); Matthew Fisher-Post (PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Anders Jensen (Harvard Kennedy School - Harvard Kennedy School, NBER - National Bureau of Economic Research [New York] - NBER - The National Bureau of Economic Research); Gabriel Zucman (University of California [Berkeley] - University of California, NBER - National Bureau of Economic Research [New York] - NBER - The National Bureau of Economic Research) |
| Abstract: | How has globalization affected the relative taxation of labor and capital, and why? To address this question we build and analyze a new database of effective macroeconomic tax rates covering 150 countries since 1965, constructed by combining national accounts data with government revenue statistics. We obtain four main findings: (1) The effective tax rates on labor and capital converged globally since the 1960s, due to a 10 percentage-point increase in labor taxation and a 5 percentage-point decline in capital taxation. (2) The decline in capital taxation is concentrated in high-income countries. By contrast, capital taxation increased in developing countries since the 1990s, albeit from a low base.(3) Consistently across a variety of research designs, we find that the rise in capital taxation in developing countries can be explained by a tax-capacity effect of international trade: Trade openness leads to a concentration of economic activity in formal corporate structures, where capital taxes are easier to impose. (4) At the same time, international economic integration reduces statutory tax rates, due to increased tax competition. In highincome countries, this negative tax competition effect of trade has dominated, while in developing countries the positive tax-capacity effect of international trade appears to have prevailed. |
| Date: | 2022–04 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wilwps:halshs-03693211&r= |