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on Macroeconomics |
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Issue of 2005‒04‒09
nine papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Bussiness Management |
| By: | Li-Chun Yuan |
| Abstract: | Les évolutions technologiques apportent des solutions de paiement de détail innovantes (paiements par téléphone mobile par exemple). Ce cahier d'études aborde le sujet de la qualification des nouveaux instruments de paiement. Il contient une analyse basée sur la définition des différentes formes de monnaie (dont la monnaie électronique) et des instruments de paiement, dans le cadre général des paiements et des systèmes de paiement, ainsi que dans leur contexte réglementaire national et européen. Parmi les nouvelles possibilités technologiques, les systèmes de téléphonie mobile offrent des atouts techniques et commerciaux pour le développement de solutions de paiements mobiles d'ambition ubiquitaire. Comme pour certaines solutions électroniques de paiement de détail, les paiements mobiles sont l'occasion pour des entrepreneurs non liés au secteur bancaire de devenir des prestataires de paiement de masse. L'observation des caractéristiques et des modèles de solutions de paiement électroniques et mobiles permet d'identifier si cette participation tend à être coopérative ou concurrentielle avec les banques. S'agissant des paiements, la garantie de sécurité est primordiale. L'utilisation de réseaux de télécommunication ouverts (la téléphonie mobile, Internet, etc.) génère des craintes supplémentaires liées à la fraude et à la sécurité. Une partie est consacrée aux risques associés aux paiements électroniques et à leurs composantes de sécurité. Finalement sont abordées les différentes initiatives publiques et privées qui ont pour but de promouvoir la sécurité et l'efficience des paiements électroniques. Le Système européen de banques centrales est assez entreprenant en la matière. |
| Date: | 2003–11 |
| URL: | http://d.repec.org/n?u=RePEc:bcl:bclwop:cahier_etude_10&r=mac |
| By: | Ieva Rubene; Paolo Guarda |
| Abstract: | The New Keynesian Phillips curve (NPC) differs from the conventional expectations-augmented Phillips curve in that it is forward-looking and links inflation to a measure of marginal cost instead of unemployment or the output gap. More fundamentally, the NPC is derived from New Keynesian models that combine nominal rigidities with individual optimising behaviour and model-consistent (rational) expectations. Because the NPC is grounded in micro-theory (unlike the conventional expectations-augmented Phillips curve), it is robust to some forms of the Lucas critique and may serve to analyse the impact structural changes such as increased price flexibility may have on inflation. New Keynesian Phillips curve estimates for Luxembourg using the Galí and Gertler (1999) hybrid form suggest that firms change prices often but tend to use backward-looking rules-of-thumb instead of resetting prices optimally using forward-looking expectations. In terms of policy implications, although the results suggest prices in Luxembourg are relatively flexible, the prevalence of backward-looking price setting implies greater inflation persistence and a higher sacrifice ratio attached to disinflationary monetary policy. From the perspective of individual firms, backward-looking price setting may be a rational response in a very small open economy because of its vulnerability to external shocks. Small size and openness plausibly imply higher costs of collecting information and lower benefits from optimal price setting. |
| Date: | 2004–06 |
| URL: | http://d.repec.org/n?u=RePEc:bcl:bclwop:cahier_etude_11&r=mac |
| By: | Patrick Lunnemann; Thomas Y. Mathä |
| Abstract: | The aim of this paper is to analyse the degree of inflation persistence in Luxembourg using disaggregate price index data from the Harmonised Index of Consumer Prices. The degree of inflation persistence is then compared to estimates for the EU15 and for the euro area as well as for the individual member countries according to a unified approach. In order to assess the robustness of our estimates both a parametric and a non-parametric measure of inflation persistence is used. Overall, our results suggest a relatively low degree of inflation persistence in Luxembourg. For a large number of sub-indices we are not only able to reject the unit root hypothesis, but also we find a low degree of inflation persistence relative to other EU15 countries and relative to the EU15 and euro area aggregates. For Luxembourg as well as the other EU15 countries, our results suggest substantial heterogeneity in the degree of inflation persistence across sub-indices. We find some support for the presence of aggregation effects, both across indices and countries. Structural break tests for all EU15 countries suggest the presence of structural changes in the inflation process owing to the inception of the single monetary policy and/or to the modified treatment of sales. |
| Date: | 2004–10 |
| URL: | http://d.repec.org/n?u=RePEc:bcl:bclwop:cahier_etude_12&r=mac |
| By: | Abdelaziz Rouabah |
| Abstract: | La balance des transactions courantes de la balance des paiements luxembourgeoise est confrontée à une forte modification de ses composantes: déficit persistant de la balance des biens, dégradation du solde des revenus d’investissement, évolution inquiétante des transferts courants,… Mais quelles en sont les causes? Sont-elles d’origine structurelle ou sont-elles d’une nature passagère? Sont-elles liées à une perte de compétitivité ou sont-elles la consequence d’une croissance économique atone favorisant ainsi le déséquilibre de la balance des operations courantes? C’est à cet ensemble de questions que nous allons essayer de répondre en adoptant deux types d’approches. La première consiste à utiliser des modèles de la balance commerciale (biens et services) de type «Mundell-Fleming» afin d’estimer des élasticités critiques (condition de Marshall Lerner) ou de déterminer l’existence d’une courbe en J. La seconde approche consiste à utiliser les modèles intertemporels de la balance courante dans lesquels les économies échangent un même bien (ou deux biens échangeables: importation et exportation) afin de tester les comportements de lissage intertemporel de la consommation, de l’épargne et de l’investissement des agents. Length: 40 pages |
| Date: | 2005–02 |
| URL: | http://d.repec.org/n?u=RePEc:bcl:bclwop:cahier_etude_13&r=mac |
| By: | Diego Martínez López (Centro de Estudios Andaluces y Universidad Pablo de Olavide) |
| Abstract: | Literature describes a positive effect of public investment on private capital accumulation. This paper seeks to provide new empirical evidence on this latter relationship for the case of Spanish regions over period 1965-1997. We use a crowding-out theoretical framework and panel data methodology. The results show a positive effect of productive and social public investment (especially in education) on private investment. The spillover effects generated by productive infrastructures located in other regions do not seem to encourage private investment in neighbouring regions. Public consumption and interest rate exert a negative influence on private capital accumulation. These results are robust to changes in the econometric specification. |
| Keywords: | Crowding-out, regional economics, investment, panel data. |
| JEL: | R53 H54 E62 C33 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:cea:doctra:e2001_04revision&r=mac |
| By: | Carin van der Cruijsen; Maria Demertzis |
| Abstract: | In contrast to previous empirical attempts to examine the effect ofincreasing central bank transparency on macroeconomic magnitudes, we investigate how the link between inflation and inflation expectations alters with increasing transparency. Our motivation stems from the belief that changes in the institutional features or operations of the Central Bank affect, first and foremost, the way that private agents form their expectations about the future behaviour of the Central Bank, and only through them, inflation. We apply the framework used by Levin et al (2004) who differentiate between inflation targeters and countries that do not have explicit quantitative objectives. They discover that inflation targeters benefit from a weaker link between inflation and expectations, and the more so for longer horizons. We, in turn, examine whether this observation still holds as central banks become more transparent. Our attempt is facilitated by the recent development of quantitative measures for transparency, used in the main text. We find that our results provide some evidence to substantiate the beneficial impact of transparency, on helping fix private sector expectations. |
| Keywords: | Central Bank Transparency; Infl;ation Expectations; Monetary Policy |
| JEL: | E31 E52 E58 |
| Date: | 2005–03 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:031&r=mac |
| By: | Harold L. Cole; Lee E. Ohanian; Ron Leung |
| Abstract: | This paper presents a dynamic, stochastic general equilibrium study of the causes of the international Great Depression. We use a fully articulated model to assess the relative contributions of deflation/monetary shocks, which are the most commonly cited shocks for the Depression, and productivity shocks. We find that productivity is the dominant shock, accounting for about 2/3 of the Depression, with the monetary shock accounting for about 1/3. The main reason deflation doesn't account for more of the Depression is because there is no systematic relationship between deflation and output during this period. Our finding that a persistent productivity shock is the key factor stands in contrast to the conventional view that a continuing sequence of unexpected deflation shocks was the major cause of the Depression. We also explore what factors might be causing the productivity shocks. We find some evidence that they are largely related to industrial activity, rather than agricultural activity, and that they are correlated with real exchange rates and non-deflationary shocks to the financial sector. |
| JEL: | E0 N1 |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11237&r=mac |
| By: | Ya-Hwei Yang; Jia-Dong Shea |
| Abstract: | From 1999 to 2003, Taiwan faced a deflationary situation. The reasons for this deflation can be attributed to both domestic and global factors. Domestic changes including local political unrest, tensions with China, outbound investment to China, a weakened financial system, and a deteriorating government financial situation, provided the backdrop for the economic slowdown and corresponding deflation. A number of global factors, especially the bursting of the Internet and IT bubbles in late 2000 and the rise of China%u2019s economy, also heavily influenced both global and Taiwanese prices. This paper adopts a simplified aggregate demand and aggregate supply model to derive a deterministic equation of the GDP deflator (PGDP), and then applies quarterly data covering the period from 1982 to 2003 to estimate the PGDP equation using 2SLS. The empirical results are used to identify the sources of PGDP deflation in Taiwan. In addition, the phenomenon of price divergence appears since 2002 where the WPI increased and the CPI decreased. The causes of the WPI-CPI divergence are also investigated in this paper. |
| JEL: | E0 E3 E5 |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11244&r=mac |
| By: | Luca Benzoni; Pierre Collin-Dufresne; Robert S. Goldstein |
| Abstract: | Empirical evidence shows that changes in aggregate labor income and stock market returns exhibit only weak correlation at short horizons. As we document below, however, this correlation increases substantially at longer horizons, which provides at least suggestive evidence that stock returns and labor income are cointegrated. In this paper, we investigate the implications of such a cointegrated relation for life-cycle optimal portfolio and consumption decisions of an agent whose non-tradable labor income faces permanent and temporary idiosyncratic shocks. We find that, under economically plausible calibrations, the optimal portfolio choice for the young investor is to take a substantial {\em short} position in the risky portfolio, in spite of the large risk premium associated with it. Intuitively, this occurs because the cointegration effect makes the present value of future labor income flows `stock-like' for the young agent. However, for older agents who have shorter times-to-retirement, the cointegration effect does not have sufficient time to act, and the remaining human capital becomes more `bond-like.' Together, these effects create a hump-shaped optimal portfolio decision for the agent over the life cycle, consistent with empirical observation. |
| JEL: | G1 E2 E3 |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11247&r=mac |