|
on Macroeconomics |
|
Issue of 2015‒03‒05
94 papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Bundick, Brent (Federal Reserve Bank of Kansas City); Basu, Susanto |
| Abstract: | Can increased uncertainty about the future cause a contraction in output and its components? This paper examines the role of uncertainty shocks in a one-sector, representative-agent,dynamic, stochastic general-equilibrium model. When prices are flexible, uncertainty shocks are not capable of producing business-cycle comovements among key macroeconomic variables. With countercyclical markups through sticky prices, however, uncertainty shocks can generate fluctuations that are consistent with business cycles. Monetary policy usually plays a key role in o setting the negative impact of uncertainty shocks. If the central bank is constrained by the zero lower bound, then monetary policy can no longer perform its usual stabilizing function and higher uncertainty has even more negative e ects on the economy. We calibrate the size of uncertainty shocks using uctuations in the VIX and nd that increased uncertainty about the future may indeed have played a signi cant role in worsening the Great Recession, which is consistent with statements by policymakers, economists, and the financial press. |
| Keywords: | Uncertainty Shocks; Monetary Policy; Sticky-Price Models; Epstein-Zin Preferences; Zero Lower Bound on Nominal Interest Rates |
| JEL: | E32 E52 |
| Date: | 2014–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:rwp14-15&r=mac |
| By: | Foerster, Andrew T. (Federal Reserve Bank of Kansas City); Mustre-del-Rio, Jose (Federal Reserve Bank of Kansas City) |
| Keywords: | Search; Matching; Inflation; Sticky Prices |
| JEL: | E10 E30 E50 J60 |
| Date: | 2014–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:rwp14-17&r=mac |
| By: | Dudley, William (Federal Reserve Bank of New York) |
| Abstract: | Remarks at the 2015 U.S. Monetary Policy Forum, New York City. |
| Keywords: | Taylor-type rule; inertial monetary policy rule; real short-term interest rate; GDP growth; r*; monetary policy normalization; long-term equilibrium real federal funds rate |
| JEL: | E52 |
| Date: | 2015–02–27 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsp:157&r=mac |
| By: | Basu, Susanto; Bundick, Brent (Federal Reserve Bank of Kansas City) |
| Abstract: | At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this setting, an increase in uncertainty about future shocks causes significant contractions in the economy and may lead to non-existence of an equilibrium. The form of the monetary policy rule is crucial for avoiding catastrophic outcomes. State-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility in the recent macroeconomic data. |
| Keywords: | Endogenous volatility; Zero lower bound; Optimal stabilization policy |
| JEL: | E32 E52 |
| Date: | 2015–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:rwp15-01&r=mac |
| By: | Cavalieri, Duccio |
| Abstract: | This is a theoretical analysis of structural interdependence in monetary economics. Some recent attempts to integrate money and finance in the theory of income and expenditure are critically examined. The Sraffian dichotomic interpretation of classical political economy is refused. A version of the classical surplus approach devoid of separating connotations is sketched, where flows and stocks are consistently reconciled and net financial wealth vanishes in the aggregate. Marx’s law of value is criticized and set aside, as historically outdated by the advent of cognitive capitalism. New Consensus and New Neoclassical Synthesis macroeconomic models are criticized from an orthodox Keynesian point of view. Two further results emerge from the analysis: the illegitimacy of Marx’s asymmetrical treatment of constant and variable capital in the theory of value and the suggestion of a correct method for measuring the unit cost of real capital. Some reasons for reconsidering in this perspective the traditional approaches to monetary theory and policy are indicated. |
| Keywords: | monetary theory; monetary policy; fiscal policy; structural interdependence; Sraffian dichotomy; post-Keynesian economics; SFCA; MMT; MEV |
| JEL: | B22 E12 E44 E52 M41 |
| Date: | 2015–02–25 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:62403&r=mac |
| By: | Engen, Eric M. (Board of Governors of the Federal Reserve System (U.S.)); Laubach, Thomas (Board of Governors of the Federal Reserve System (U.S.)); Reifschneider, David L. (Board of Governors of the Federal Reserve System (U.S.)) |
| Abstract: | After reaching the effective lower bound for the federal funds rate in late 2008, the Federal Reserve turned to two unconventional policy tools--quantitative easing and increasingly explicit and forward-leaning guidance for the future path of the federal funds rate--in order to provide additional monetary policy accommodation. We use survey data from the Blue Chip Economic Indicators to infer changes in private-sector perceptions of the implicit interest rate rule that the Federal Reserve would use following liftoff from the effective lower bound. Using our estimates of the changes over time in private expectations for the implicit policy rule, and estimates of the effects of the Federal Reserve's quantitative easing programs on term premiums derived from other studies, we simulate the FRB/US model to assess the actual economic stimulus provided by unconventional policy since early 2009. Our analysis suggests that the net stimulus to real activity and inflation was limited by the gradual nature of the changes in policy expectations and term premium effects, as well as by a persistent belief on the part of the public that the pace of recovery would be much faster than proved to be the case. Our analysis implies that the peak unemployment effect--subtracting 1-1/4 percentage points from the unemployment rate relative to what would have occurred in the absence of the unconventional policy actions--does not occur until early 2015, while the peak inflation effect--adding 1/2 percentage point to the inflation rate--is not anticipated until early 2016. |
| Keywords: | Monetary policy reaction function; federal funds rate; forward guidance; large-scale asset purchases; zero lower bound |
| JEL: | E50 |
| Date: | 2015–01–14 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2015-05&r=mac |
| By: | Jensen, Henrik; Ravn, Søren Hove; Santoro, Emiliano |
| Abstract: | In the last decades, capital markets across the industrialized world have undergone massive deregulation, involving increases in the loan-to-value (LTV) ratios of households and firms. We study the business-cycle implications of this phenomenon in a dynamic general equilibrium model with multiple credit-constrained agents. Starting from low LTV ratios, a progressive relaxation of credit constraints leads to both higher macroeconomic volatility and stronger comovement between debt and real variables. This pattern reverses at LTV ratios not far from those currently observed in many advanced economies, since credit constraints become non-binding more often. As expansionary shocks may make credit constraints non-binding, while contractionary shocks cannot, recessions become deeper than expansions. The non-monotonic relationship between credit market conditions and macroeconomic fluctuations poses a serious challenge for regulatory and macroprudential policies. |
| Keywords: | business cycles; capital-market liberalization; capital-market regulation; occasionally non-binding contract constraints |
| JEL: | E32 E44 |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10462&r=mac |
| By: | Fujio Takata (Graduate School of Economics, Kobe University) |
| Abstract: | When governments levy taxes on labor income on the basis of a balanced budget rule, two steady states in an economy exist, which can cause two movement patterns, namely, indeterminacy paths and a saddle path. Many economists deal with this issue based on indivisiblelabor. On an general assumption of increasing marginal disutility of labor, that is, divisible labor, however, we demonstrate that for indeterminacy, an upper limitation concerning the share of capital in output is needed. |
| Keywords: | Two movement patterns; Balanced budget rule; Labor income taxation; Divisible labor |
| JEL: | E13 E21 E32 E62 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:koe:wpaper:1510&r=mac |
| By: | Thomas Gilbert (University of Washington); Chiara Scotti (Federal Reserve System, Board of Governors); Georg H. Strasser (Department of Economics, Boston College); Clara Vega (Federal Reserve System, Board of Governors) |
| Abstract: | A large literature documents a heterogeneous asset price response to macroeconomic news announcements. In order to explain these differences, we define the intrinsic value of a macroeconomic announcement as its ability to nowcast GDP growth, inflation and the federal funds target rate. We then decompose this intrinsic value into announcement characteristics that capture its relation to fundamentals, timing, and revision noise. We find that between the years 1998 and 2013 a significant fraction of the variation in price impact of surprises on the Treasury bond futures market can be explained by differences in intrinsic value. More precisely, the timing of a news release is more important than its link to fundamentals, and revision noise plays little role. While the release of Nonfarm Payroll, the so-called "king of announcements", has the largest price impact, the University of Michigan Consumer Confidence Index and the Philadelphia Fed Manufacturing Index have larger intrinsic values, primarily because they are released earlier. |
| Keywords: | Macroeconomic announcements, price discovery, public information, macroeconomic forecasting, learning, coordination role of public information, central bank policy |
| JEL: | C53 D83 E27 E37 E44 E47 E5 G1 |
| Date: | 2015–02–26 |
| URL: | http://d.repec.org/n?u=RePEc:boc:bocoec:874&r=mac |
| By: | Tanweer Akram; Anupam Das |
| Abstract: | John Maynard Keynes held that the central bank's actions determine long-term interest rates through short-term interest rates and various monetary policy measures. His conjectures about the determinants of long-term interest rates were made in the context of advanced capitalist economies, and were based on his views on ontological uncertainty and the formation of investors' expectations. Are these conjectures valid in emerging markets, such as India? This paper empirically investigates the determinants of changes in Indian government bonds' nominal yields. Changes in short-term interest rates, after controlling for other crucial variables such as changes in the rates of inflation and economic activity, take a lead role in driving changes in the nominal yields of Indian government bonds. This vindicates Keynes's theories, and suggests that his views on long-term interest rates are also applicable to emerging markets. Higher fiscal deficits do not appear to raise government bond yields in India. It is further argued that Keynes's conjectures about investors' outlooks, views, and expectations are fairly robust in a world of ontological uncertainty. |
| Keywords: | Government Bond Yields; India; Emerging Markets |
| JEL: | E43 E50 E60 O16 |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_834&r=mac |
| By: | Jonathan Heathcote; Fabrizio Perri |
| Abstract: | Periods of low household wealth in United States macroeconomic history have also been periods of high business cycle volatility. This paper develops a simple model that can exhibit self-fulfilling fluctuations in the expected path for unemployment. The novel feature is that the scope for sunspot-driven volatility depends on the level of household wealth. When wealth is high, consumer demand is largely insensitive to unemployment expectations and the economy is robust to confidence crises. When wealth is low, a stronger precautionary motive makes demand more sensitive to unemployment expectations, and the economy becomes vulnerable to confidence-driven fluctuations. In this case, there is a potential role for public policies to stabilize demand. Microeconomic evidence is consistent with the key model mechanism: during the Great Recession, households with relatively low wealth, ceteris paribus, cut expenditures more sharply. |
| JEL: | E12 E21 E32 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:20994&r=mac |
| By: | Kiminori Matsuyama (Northwestern University (E-mail:k-matsuyama@ northwestern.edu)); Iryna Sushko (Institute of Mathematics, National Academy of Science of Ukraine (E-mail: sushko@imath.kiev.ua)); Laura Gardini (University of Urbino (E-mail:laura.gardini@uniurb.it)) |
| Abstract: | The contribution of this paper is twofold. First, it reformulates the model of endogenous credit cycles by Matsuyama (2013, Sections 2-4). It is shown that the same dynamical system that generates the equilibrium trajectory can be obtained under a much simpler set of assumptions. Such a streamlined presentation should help to highlight the key mechanisms through which financial frictions cause instability and persistent fluctuations. Second, it discusses the nature of fluctuations in greater detail for the case where the production function of the final good sector is Cobb-Douglas. For example, the unique steady state possesses corridor stability (i.e., stable against small shocks but unstable against large shocks) for empirically relevant parameter values. This also means that, when a parameter change causes the steady state to lose its stability, its effects are catastrophic and irreversible so that even a small, temporary shock could have large, permanent effects on volatility. Other notable features of the present model include an immediate transition from the stable steady state to a stable asymmetric cycle of period n >= 3, along which n -1 >= 2 consecutive periods of gradual expansion is followed by one period of sharp downturn, or to robust chaotic attractors. |
| Keywords: | borrower net worth, composition of credit flows, financial instability, corridor stability, asymmetric cycles, regime-switching, bifurcation analysis of a piecewise smooth nonlinear dynamical system |
| JEL: | C61 E32 E44 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:ime:imedps:15-e-02&r=mac |
| By: | Andrea Gerali (Bank of Italy); Alessandro Notarpietro (Bank of Italy); Massimiliano Pisani (Bank of Italy) |
| Abstract: | We assess the short- and medium-term macroeconomic effects of competition-friendly reforms in the service sector when the monetary policy rate is stuck at the zero lower bound (ZLB) in a monetary union. We calibrate a large-scale multi-country multi-sector dynamic general equilibrium model to one region within the euro area, the rest of the euro area and the rest of the world. We find first, that unilateral reforms by a single country do not affect the number of periods for which the ZLB holds and have mild medium-term expansionary effects on GDP. Second, reforms simultaneously implemented in the entire euro area can favor an earlier exit from the ZLB if they have sufficiently inflationary effects, which happens when the gradual increase in the supply of goods and services is matched by a sufficiently large increase in investment, associated with higher expected levels of output. Reforms have expansionary effects because of their positive wealth effect, which more than counterbalances the recessionary substitution effect associated with higher real interest rates. If investment cannot immediately react to the reforms, then the latter has a deflationary impact and the duration of the ZLB is not reduced. |
| Keywords: | competition, markups, monetary policy, zero lower bound |
| JEL: | C51 E31 E52 |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1002_15&r=mac |
| By: | Heathcote, Jonathan (Federal Reserve Bank of Minneapolis); Perri, Fabrizio (Federal Reserve Bank of Minneapolis) |
| Abstract: | Periods of low household wealth in United States macroeconomic history have also been periods of high business cycle volatility. This paper develops a simple model that can exhibit self-fulfilling fluctuations in the expected path for unemployment. The novel feature is that the scope for sunspot-driven volatility depends on the level of household wealth. When wealth is high, consumer demand is largely insensitive to unemployment expectations and the economy is robust to confidence crises. When wealth is low, a stronger precautionary motive makes demand more sensitive to unemployment expectations, and the economy becomes vulnerable to confidence-driven fluctuations. In this case, there is a potential role for public policies to stabilize demand. Microeconomic evidence is consistent with the key model mechanism: during the Great Recession, consumers with relatively low wealth, ceteris paribus, cut expenditures more sharply. |
| Keywords: | Business cycles; Aggregate demand; Precautionary saving; Multiple equilibria |
| JEL: | E12 E21 |
| Date: | 2015–02–23 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedmsr:508&r=mac |
| By: | Angeletos, George-Marios; Collard, Fabrice; Dellas, Harris |
| Abstract: | We enrich workhorse macroeconomic models with a mechanism that proxies strategic uncertainty and that manifests itself as waves of optimism and pessimism about the short-term economic outlook. We interpret this mechanism as variation in "confidence" and show that it helps account for many salient features of the data; it drives a significant fraction of the volatility in estimated models that allow for multiple structural shocks; it captures a type of fluctuations in "aggregate demand" that does not rest on nominal rigidities; and it calls into question existing interpretations of the observed recessions. We complement these findings with evidence that most of the business cycle in the data is captured by an empirical factor which is unlike certain structural forces that are popular in the literature but similar to the one we formalize here. |
| Keywords: | aggregate demand; business cycles; confidence; coordination failure; DSGE models; higher-order beliefs; strategic uncertainty |
| JEL: | E32 |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10463&r=mac |
| By: | Heathcote, Jonathan; Perri, Fabrizio |
| Abstract: | Periods of low household wealth in United States macroeconomic history have also been periods of high business cycle volatility. This paper develops a simple model that can exhibit self-fulfilling fluctuations in the expected path for unemployment. The novel feature is that the scope for sunspot-driven volatility depends on the level of household wealth. When wealth is high, consumer demand is largely insensitive to unemployment expectations and the economy is robust to confidence crises. When wealth is low, a stronger precautionary motive makes demand more sensitive to unemployment expectations, and the economy becomes vulnerable to confidence-driven fluctuations. In this case, there is a potential role for public policies to stabilize demand. Microeconomic evidence is consistent with the key model mechanism: during the Great Recession, consumers with relatively low wealth, ceteris paribus, cut expenditures more sharply. |
| Keywords: | aggregate demand; business cycles; multiple equilibria; precautionary saving |
| JEL: | E12 E21 |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10453&r=mac |
| By: | Bennani, Hamza |
| Abstract: | Since 2009, European central bankers have supported some reforms, in order to draw roadmaps to get out of the euro debt crisis. This paper tests whether the educational and professional background of European central bankers matter for the type of reforms each of them advocated. Through a textual analysis of public speeches delivered by the European central bankers, we draw a cognitive map for each of them and, thus, of the reforms they propose as ways out of the euro debt crisis. Our results show that their occupational background is an important determinant of their respective economic reform proposals. |
| Keywords: | European Central Bank, Monetary Policy, Euro debt crisis, Cognitive mapping |
| JEL: | E42 E52 E58 H12 |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:62371&r=mac |
| By: | Galina V. Kolev |
| Abstract: | The paper analyzes the sources of exchange rate movements in emerging economies in the context of monetary tapering by the Federal Reserve. A structural vector autoregression framework with a long-run restriction is used to decompose the movements of nominal ex-change rates into two components: one component driven solely by the adjustment of the real exchange rate to permanent shocks and one resulting from transitory shocks such as monetary policy measures. Imposing the restriction that temporary shocks should not affect the real exchange rate in the long run, the analysis shows that the recent depreciation of the Russian ruble and the Turkish lira is largely driven by transitory shocks, like for instance monetary policy measures. Furthermore, the response of the lira to transitory shocks is sluggish and further depreciation is possible in the next months. In Brazil and India, on the contrary, nominal exchange rate behavior is mainly driven by permanent shocks. The recent depreciation is not caused by short-lived shocks but rather by changing long-term macroeconomic fundamentals. The foreign exchange interventions of the central bank to avoid large depreciation are therefore largely misplaced, especially in Brazil. They aggravate the use of nominal exchange rate flexibility as an efficient adjustment mechanism for real exchange rate changes, i.e. changes in relative prices across borders, and efficient allocation of resources. |
| Keywords: | Exchange rates, emerging economies, SVAR, monetary policy |
| JEL: | F31 E58 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:wsr:wpaper:y:2015:i:146&r=mac |
| By: | Skott, Peter (The University of Massachusetts at Amherst) |
| Abstract: | This note -- written in response to von Arnim and Barrales (2015) -- shows that (i) the Kaldor-Goodwin models in Skott (1989a, 1989b) and Skott and Zipperer (2012) provide good approximations to models with fast but finite adjustment of prices, (ii) the models can generate cyclical patterns that match the stylized facts, and (iii) an alternative model with instantaneous output adjustment and fixed prices produces a dynamic system that is virtually identical to the Kaldor-Goodwin; this model may describe parts of the service sector. |
| Keywords: | Endogenous cycles, Harrodian instability, price ?exibility, rationing, labor hoarding, behavioral foundations. |
| JEL: | E12 E32 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:ums:papers:2015-03&r=mac |
| By: | Gonzalo De Cadenas Santiago; Alicia Garcia-Herrero; Alvaro Ortiz Vidal-Abarca |
| Abstract: | Portfolio flows across Emerging Markets (EMs) have been particularly volatile over the last years. Financial distress at the beginning of the crisis was followed by monetary policy reactions in developed economies and emerging countries triggering push and pull forces favourable for flow dynamics across Emerging Markets. Subsequent actions and discussion over the exit strategies of central banks in developed economies – particularly the Fed - were behind the various waves of risk-on/-off sentiment in financial markets. We propose a cross over approach (Dinamic Linear Model / Factor Augmented VAR) to disentangle the net effects of global shocks. This paper will focus on the effects of Monetary Policy in the North (more specifically, monetary policy normalization by the FED and the QE by the ECB) on cross border portfolio flows to the South (Emerging Markets) under six alternative plausible scenarios. |
| Keywords: | QE, tapering, emerging markets, monetary policy, porfolio flows |
| JEL: | C32 E32 F32 G12 |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:bbv:wpaper:1429&r=mac |
| By: | Andrei A. Levchenko (University of Michigan and NBER); Nitya Pandalai-Nayar (University of Michigan) |
| Abstract: | We propose a novel identification scheme for a non-technology business cycle shock, that we label Òsentiment.Ó This is a shock orthogonal to identified surprise and news TFP shocks that maximizes the short-run forecast error variance of an expectational variable, alternatively a GDP forecast or a consumer confidence index. We then estimate the international transmission of three identified shocks -- surprise TFP, news of future TFP, and ÒsentimentÓ -- from the US to Canada. The US sentiment shock produces a business cycle in the US, with output, hours, and consumption rising following a positive shock, and accounts for the bulk of short-run business cycle fluctuations in the US. The sentiment shock also has a significant impact on Canadian macro aggregates. In the short run, it is more important than either the surprise or the news TFP shocks in generating business cycle comovement between the US and Canada, accounting for up to 50% of the forecast error variance of Canadian GDP and about one-third of Canadian hours, imports, and exports. The news shock is responsible for some comovement at 5-10 years, and surprise TFP innovations do not generate synchronization. |
| Keywords: | Sentiments, Demand Shocks, News Shocks, International Business Cycles |
| JEL: | E32 F41 |
| URL: | http://d.repec.org/n?u=RePEc:mie:wpaper:640&r=mac |
| By: | Piacentini, Paolo; Prezioso, Stefano; Testa, Giuseppina |
| Abstract: | Abstract: This paper contributes to a growing body of work within ‘fiscal policy studies’, investigating for the recent role of fiscal policy on the Italian economy. Using annual data collected on regional basis, this study estimates and compares the (impact and cumulative) fiscal multipliers across the North and the South, the less developed area, of Italy. With recourse to a simultaneous equation model for the two macro-regions of Italy, it estimates the overall impact of the measures of budget consolidation policies in the period 2011-2013. Our analysis reveals that tax rises and spending cuts hit the South harder than the North. |
| Keywords: | Keywords: Tax multiplier, Government spending multiplier, Fiscal Policy. |
| JEL: | E23 E62 H20 H24 |
| Date: | 2015–02–24 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:62372&r=mac |
| By: | Nicolini, Juan Pablo (Federal Reserve Bank of Minneapolis) |
| Abstract: | Most economic models used by central banks prior to the recent financial crisis omitted two fundamental elements: financial markets and liquidity measures. Those models therefore failed to foresee the crisis or understand the policy reaction that followed. In contrast to more orthodox models, we develop a theory in which credit markets and measures of liquidity are central. Our model emphasizes the role of collateral constraints on credit lines and the role of money in transactions, and it can be used to study the effects of alternative monetary policies during and after a financial crisis. A key insight from our approach is that a credit crisis characterized by tightened collateral constraints can cause a bout of deflation that exacerbates the constraints and reduces investment, productivity, employment and economic output. Policymakers can curb deflation and soften the recession by issuing more bonds and money, exactly as U.S. fiscal and monetary officials did in 2008. But our model also reveals an important trade-off in the aftermath of the crisis. Additional liquidity injections necessary to maintain low inflation will partially crowd out private investment and thereby slow economic recovery. The cost of curbing the recession’s depth is thus to extend its duration. |
| Date: | 2015–02–23 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedmep:15-2&r=mac |
| By: | Hiroaki Sasaki; Shinya Fujita |
| Abstract: | This study builds a two-country Kaleckian model and investigates the effect of one country’s economic policy on both countries. In contrast to preceding studies, we consider monetary aspects as well as real aspects. Our results show that the effects on output of an increase in the nominal wage rate and in the mark-up rate differ from the results obtained from one-country Kaleckian models. Moreover, we show that the success of monetary easing in one country may depend on the other country’s policy, implying the need for policy coordination between the two countries. |
| Keywords: | two-country Kaleckian model; income distribution; monetary policy |
| JEL: | E12 E41 E52 F31 F41 F42 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:kue:dpaper:e-14-017&r=mac |
| By: | Alla Semenova; L. Randall Wray |
| Abstract: | This paper explores the rise of money and class society in ancient Greece, drawing historical and theoretical parallels to the case of ancient Egypt. In doing so, the paper examines the historical applicability of the chartalist and metallist theories of money. It will be shown that the origins and the evolution of money were closely intertwined with the rise and consolidation of class society and inequality. Money, class society, and inequality came into being simultaneously, so it seems, mutually reinforcing the development of one another. Rather than a medium of exchange in commerce, money emerged as an "egalitarian token" at the time when the substance of social relations was undergoing a fundamental transformation from egalitarian to class societies. In this context, money served to preserve the façade of social and economic harmony and equality, while inequality was growing and solidifying. Rather than "invented" by private traders, money was first issued by ancient Greek states and proto-states as they aimed to establish and consolidate their political and economic power. Rather than a medium of exchange in commerce, money first served as a "means of recompense" administered by the Greek city-states as they strived to implement the civic conception of social justice. While the origins of money are to be found in the origins of inequality, a well-functioning democratic society has the power to subvert the inequality-inducing characteristic of money via the use of money for public purpose, following the principles of Modern Money Theory (MMT). When used according to the principles of MMT, the inequality-inducing characteristic of money could be undermined, while the current trends in rising income and wealth disparities could be contained and reversed. |
| Keywords: | Nature of Money; Chartalism; Metallism; Origins of Money; Origins of Coinage; Inequality; Class; Ideology; Religious Ideology; State Formation; State Theory of Money; Modern Money Theory |
| JEL: | B5 B25 B41 E11 E12 E42 E52 E62 E63 H6 N1 N2 P1 P4 P5 Z1 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_832&r=mac |
| By: | Haroon Mumtaz (Queen Mary University of London); Gabor Pinter (Bank of England); Konstantinos Theodoridis (Bank of England) |
| Abstract: | This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external instruments is effective in recovering the underlying shock. In contrast, identification based on recursive schemes and heteroscedasticity suffer from a number of biases. When applied to US data, the estimates from the best performing VAR models indicate, on average, that credit supply shocks that raise spreads by 10 basis points reduce GDP growth and inflation by 1% after one year. These shocks were important during the Great Recession, accounting for about half the decline in GDP growth. |
| Keywords: | Credit supply shocks, Proxy SVAR, Sign restrictions, Identification via heteroscedasticity, DSGE models |
| JEL: | C15 C32 E32 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:qmw:qmwecw:wp739&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Currencies and Exchange Rates Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth Environment Environment - Environmental Economics & Policies Macroeconomics and Economic Growth - Economic Theory & Research |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21084&r=mac |
| By: | Rose, Andrew K. (University of California, Berkeley); Spiegel, Mark M. (Federal Reserve Bank of San Francisco) |
| Abstract: | This paper explores the relationship between inflation and the existence of a local, nominal, publicly-traded, long-maturity, domestic-currency bond market. Bond holders are exposed to capital losses through inflation and therefore represent a potential anti-inflationary force; we ask whether their influence is apparent both theoretically and empirically. We develop a simple theoretical model with heterogeneous agents where the issuance of such bonds leads to political pressure on the government to choose a lower inflation rate. We then check this prediction empirically using a panel of data, examining inflation before and after the introduction of a domestic bond market. Inflation-targeting countries with a bond market experience inflation approximately three to four percentage points lower than those without one. This effect is economically and statistically significant; it is also insensitive to a variety of estimation strategies, including using political and fiscal variables suggested by theory to account for the potential endogeneity of domestic bond issuance. Notably, we do not find a similar effect for short-term or foreign-currency bonds. |
| Keywords: | empirical; panel; long; maturity; domestic; currency; risk; fixed; effect; nominal; debt |
| JEL: | E52 E58 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2015-05&r=mac |
| By: | World Bank |
| Keywords: | Environmental Economics and Policies Transport Economics Policy and Planning Social Protections and Labor - Labor Policies Economic Theory and Research Finance and Financial Sector Development - Debt Markets Environment Transport Macroeconomics and Economic Growth |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21421&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance Banks and Banking Reform Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21315&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance Finance and Financial Sector Development - Debt Markets Finance and Financial Sector Development - Currencies and Exchange Rates Macroeconomics and Economic Growth Finance and Financial Sector Development - Banks & Banking Reform Macroeconomics and Economic Growth - Economic Theory & Research |
| Date: | 2014–07 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21040&r=mac |
| By: | Hugo Erken; Eric van Loon; Wouter Verbeek |
| Abstract: | The Great Recession has caused unemployment in the Netherlands to rise from 3.1% in 2008 to over 7% at the beginning of 2014. Structural imbalances caused by labour mismatch could be one of the explanations underlying this high rate. The goal of this paper is to examine this hypothesis. We adopt an eclectic approach to study if mismatch has increased during the Great Recession. First, we examine the development of the Beveridge curve. We estimate so-called “steady-state†Beveridge curves based on underlying labour market flows. Outward shifts of these curves are associated with decreasing matching efficiency. Second, we construct a mismatch index which enables us to calculate the contribution of sector mismatch to the unemployment level. Our analyses show little support for the hypothesis that mismatch currently is a problem on the Dutch labour market. At the aggregate level, the Beveridge curve has not shifted outwards. Furthermore, at most one-seventh of Dutch unemployment can be attributed to sector mismatch, which is comparable to or below periods prior to the Great Recession. |
| JEL: | E20 E24 J63 J69 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:cpb:discus:303&r=mac |
| By: | Kakarot-Handtke, Egmont |
| Abstract: | The goal of theoretical economics is to explain how the monetary economy works. The fatal methodological defect of Orthodoxy is that it is based on behavioral axioms. Yet, no specific behavioral assumption whatever can serve as a starting point for economic analysis. From this follows for Constructive Heterodoxy that the subjective axiomatic foundations have to be replaced. This amounts to a paradigm shift. Nobody can rest content with a pluralism of false theories. Based on a set of objective axioms all economic conceptions have to be reconstructed from scratch. In the following this is done for the theory of money. |
| Keywords: | new framework of concepts, structure-centric, Structural Law of Supply and Demand, stock of money, monetary profit, transaction unit, banking unit |
| JEL: | B59 E10 |
| Date: | 2015–02–28 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:62471&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth - Economic Conditions and Volatility Social Protections and Labor - Labor Policies Economic Theory and Research Private Sector Development - Emerging Markets |
| Date: | 2013–12 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21279&r=mac |
| By: | Gauti Eggertsson (Brown University); Bulat Gafarov (Pennsylvania State University); Saroj Bhatarai (Pennsylvania State University) |
| Abstract: | We present a signalling theory of quantitative easing in which open market operations that change the duration of outstanding nominal government debt a§ect the incentives of the central bank in determining the real interest rate. In a time consistent (Markov-perfect) equilibrium of a sticky-price model with coordinated monetary and fiscal policy, we show that shortening the duration of outstanding government debt provides an incentive to the central bank to keep short-term real interest rates low in future in order to avoid capital losses. In a liquidity trap situation then, where the current short-term nominal interest rate is up against the zero lower bound, quantitative easing can be effective to fight deflation and a negative output gap as it leads to lower real long-term interest rates by lowering future expected real short-term interest rates. We show illustrative numerical examples that suggest that the benefits of quantitative easing in a liquidity trap can be large in a way that is not fully captured by some recent empirical studies |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed014:1292&r=mac |
| By: | Nie, Jun (Federal Reserve Bank of Kansas City); Luo, Yulei; Wang, Gaowang; Young, Eric R. |
| Abstract: | This paper derives the general equilibrium effects of rational inattention (or RI; Sims 2003,2010) in a model of incomplete income insurance (Huggett 1993, Wang 2003). We show that,under the assumption of CARA utility with Gaussian shocks, the permanent income hypothesis (PIH) arises in steady state equilibrium due to a balancing of precautionary savings and impatience. We then explore how RI affects the equilibrium joint dynamics of consumption, income and wealth, and find that elastic attention can make the model fit the data better. We finally show that the welfare costs of incomplete information are even smaller due to general equilibrium adjustments in interest rates. |
| Keywords: | Rational inattention; Permanent income hypothesis; General equilibrium; Consumption and income volatility. |
| JEL: | C61 D83 E21 |
| Date: | 2014–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:rwp14-14&r=mac |
| By: | World Bank |
| Keywords: | Macroeconomics and Economic Growth - Fiscal Adjustment Public Sector Expenditure Policy Economic Theory and Research Finance and Financial Sector Development - Debt Markets Public Sector Economics Public Sector Development |
| Date: | 2013–11 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21281&r=mac |
| By: | World Bank |
| Keywords: | Macroeconomics and Economic Growth - Markets and Market Access Transport Economics Policy and Planning Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Transport |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21317&r=mac |
| By: | Fortin Mario (Departement d'economique and GREDI, Faculte d'administration, Universite de Sherbrooke) |
| Abstract: | Â This paper estimates a reduced form model of the Canadian mortgage demand from 1971 to 2010. Three equations are estimated, one for the average real value of new mortgage loans originated, another one for the number of new loans and a third for the flow of real repayment of existing loans. The results show that the nominal interest rate is the main source of change in the number of new loans while real housing price is the main determinant of the value of new loans. Two other variables, the real per-capita disposable income and the inflation rate, are also significant in changing the flow of new loans originated. A fall in the inflation rate accompanied by a concomitant reduction in the interest rate is in average the main source of increase in households' mortgage debt, because it increase the flow of new loans and at the same time reduces the rate of repayment of existing loans. Between 2000 and 2007, the unprecedented increase in real housing price while inflation was stable became the main factor behind the rise in mortgage debt, mostly because the average mortgage debt increased significantly. After that, the reduction in the interest rate sustained an increase in the number of new loans. The model does not find indications that a change in the supply side of the mortgage market played a significant role in the increased level of mortgage debt. |
| Keywords: | Â Mortgage market, household debt, Canada |
| JEL: | D14 D91 E44 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:shr:wpaper:15-03&r=mac |
| By: | World Bank |
| Keywords: | Environmental Economics and Policies Macroeconomics and Economic Growth - Economic Conditions and Volatility Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Environment |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21278&r=mac |
| By: | John Ameriks; Joseph S. Briggs; Andrew Caplin; Matthew D. Shapiro; Christopher Tonetti |
| Abstract: | Older wealthholders spend down assets slowly. To study this pattern, the paper introduces health dependent utility into a model in which different preferences for bequests, expenditures when in need of long-term care (LTC), and ordinary consumption combine with health and longevity uncertainty to determine saving behavior. To help separately identify motives, it develops Strategic Survey Questions (SSQs) that elicit stated preferences. The model is estimated using new SSQ and wealth data from the Vanguard Research Initiative. Estimates of the health-state utility function imply that motives associated with LTC are significantly more important than bequest motives in determining late in life saving. |
| JEL: | D91 E21 H31 I10 J14 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:20973&r=mac |
| By: | World Bank Group |
| Keywords: | Macroeconomics and Economic Growth - Subnational Economic Development Public Sector Expenditure Policy Finance and Financial Sector Development - Debt Markets Public Sector Economics Public Sector Development Macroeconomics and Economic Growth - Taxation & Subsidies |
| Date: | 2014–05 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21063&r=mac |
| By: | Adrian, Tobias |
| Abstract: | This paper explores financial stability policies for the shadow banking system. I tie policy options to economic mechanisms for shadow banking that have been documented in the literature. I then illustrate the role of shadow bank policies using three examples: agency mortgage real estate investment trusts, leveraged lending, and captive reinsurance affiliates. For each example, the economic mechanisms are explained, the potential risks emanating from the activities are described, and policy options to mitigate such risks are listed. The overarching theme of the analysis is that any policy prescription for the shadow banking system is highly specific relative to the particular activity. |
| Keywords: | financial intermediation; shadow bank policies; systemic risk |
| JEL: | E44 G00 G01 G28 |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10435&r=mac |
| By: | Etienne Lalé |
| Abstract: | We study the effects of front-loading the payment of unemployment benefits in an equilibrium matching framework with precautionary savings. Front-loading the benefit system trades off fewer means to smooth consumption at long unemployment durations for improved insurance upon job loss. In the United States where jobless spells are typically frequent but short, we find that front-loading the benefit system yields significant welfare gains for new benefit recipients. The gains are lower in the aggregate, but are not completely offset by general equilibrium effects. Comparison with a search effort model shows that the welfare figures are not specific to matching frictions. |
| Keywords: | Unemployment Insurance, Precautionary Savings, Labor-Market Frictions, Welfare Effect. |
| JEL: | E21 I38 J63 J65 |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:bri:uobdis:15/651&r=mac |
| By: | Jacob Assa (Department of Economics, New School for Social Research) |
| Abstract: | This paper investigates the inconsistent treatment of financial services in the national accounts. While net interest income from financial intermediation is netted out as input to other industries and thus does not affect the overall level and trend of Gross Domestic Product (GDP), fee-based net income from financial services is included as value-added, inflating GDP by the same amount. A new measure of economic activity which resolves this inconsistency is introduced, treating all financial income as a cost or intermediate input to the rest of the economy. The resulting aggregate tracks employment and median income far more closely than GDP. |
| Keywords: | Measurement of real output; employment; national accounting; finance |
| JEL: | E01 E20 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:new:wpaper:1501&r=mac |
| By: | World Bank |
| Keywords: | Water Resources - Water and Industry Information and Communication Technologies - ICT Policy and Strategies Social Protections and Labor - Labor Policies Social Protections and Labor - Labor Markets Macroeconomics and Economic Growth Macroeconomics and Economic Growth - Economic Theory & Research |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21082&r=mac |
| By: | Emma Hooper (_Aix-Marseille University (Aix-Marseille School of Economics), CNRS, & EHESS) |
| Abstract: | We study the optimal growth path of a natural resource rich country, which can borrow from international financial markets. More precisely, we explore to what extent international borrowing can overcome resource scarcity in a small open economy, in order to have sustainable growth. First, this paper presents a benchmark model with a constant interest rate. We then introduce technical progress to see if the economy's growth can be sustainable in the long-run. Secondly, we analyse the case of a debt elastic interest rate, with a constant price of natural resources and then with increasing prices. The main finding of this paper is that borrowing on international capital markets does not permit sustainable growth for a country with exhaustible natural resources, when the interest rate is constant. Nevertheless, when we endogenize the interest rate the consumption growth rate can be positive before declining. |
| Keywords: | Exhaustible natural resources, exogenous growth, financial markets |
| JEL: | E20 O40 Q32 E44 |
| Date: | 2015–02–15 |
| URL: | http://d.repec.org/n?u=RePEc:aim:wpaimx:15.10&r=mac |
| By: | James Seward; Mustafa Ulukan; Mee Jung Kim; Hiroshi Tsubota; Timothy Gable |
| Keywords: | Macroeconomics and Economic Growth - Investment and Investment Climate Finance and Financial Sector Development - Debt Markets Private Sector Development - Emerging Markets Finance and Financial Sector Development - Non Bank Financial Institutions Macroeconomics and Economic Growth - Economic Theory & Research |
| Date: | 2014–09 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21102&r=mac |
| By: | World Bank Group |
| Keywords: | Finance and Financial Sector Development - Access to Finance Banks and Banking Reform Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21055&r=mac |
| By: | Hippolyte d'Albis (Paris School of Economics - Centre d'Economie de la Sorbonne); Ekrame Boubtane (CERDI, Université d'Auvergne et Centre d'Economie de la Sorbonne); Dramane Coulibaly (EconomiX, Université Paris Ouest) |
| Abstract: | This paper quantitatively assesses the interaction between permanent immigration into France and France's macroeconomic performance as seen through its GDP per capita and its unemployment rate. It takes advantage of a new database where immigration is measured by the flow of newly-issued long-term residence permits, categorized by both the nationality of the immigrant and the reason of permit issuance. Using a VAR model estimation of monthly data over the period 1994-2008, we find that immigration flow significantly responds to France's macroeconomic performance: positively to the country's GDP per capita and negatively to its unemployment rate. At the same time, we find that immigration itself increases France's GDP per capita, particularly in the case of family immigration. This family immigration also reduces the country's unemployment rate, especially when the families come from developing countries |
| Keywords: | Immigration; Female and Family Migration; Growth; Unemployment; VAR Models |
| JEL: | E20 F22 J61 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:15023&r=mac |
| By: | World Bank |
| Keywords: | Environmental Economics and Policies Public Sector Economics Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Public Sector Development Macroeconomics and Economic Growth Environment |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21282&r=mac |
| By: | Kraft, Holger; Munk, Claus; Wagner, Sebastian |
| Abstract: | We set up and solve a rich life-cycle model of household decisions involving consumption of both perishable goods and housing services, stochastic and unspanned labor income, stochastic house prices, home renting and owning, stock investments, and portfolio constraints. The model features habit formation for housing consumption, which leads to optimal decisions closer in line with empirical observations. Our model can explain (i) that stock investments are low or zero for many young agents and then gradually increasing over life, (ii) that the housing expenditure share is age- and wealth-dependent, (iii) that perishable consumption is more sensitive to wealth and income shocks than housing consumption, and (iv) that non-housing consumption is hump-shaped over life. |
| Keywords: | habit formation,life-cycle household decisions,housing expenditure share,consumption hump,stock market participation,renting vs. owning home,human capital |
| JEL: | G10 D14 D91 E21 R21 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewp:85&r=mac |
| By: | World Bank Group |
| Keywords: | Finance and Financial Sector Development - Access to Finance Banks and Banking Reform Economic Theory and Research Finance and Financial Sector Development - Debt Markets Finance and Financial Sector Development - Currencies and Exchange Rates Macroeconomics and Economic Growth |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21314&r=mac |
| By: | Quang Hong Doan; Tuan Minh Le; Duong Anh Nguyen |
| Keywords: | Finance and Financial Sector Development - Access to Finance Macroeconomics and Economic Growth - Investment and Investment Climate Economic Theory and Research Finance and Financial Sector Development - Debt Markets Finance and Financial Sector Development - Non Bank Financial Institutions |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21044&r=mac |
| By: | Mary M. Everett |
| Abstract: | Using novel data on individual euro area banks' balance sheets this paper shows that exposure to stressed European sovereigns manifested in a liquidity shock to their international funding through two channels: (i) a contraction in cross-border funding, and (ii) a contraction in US wholesale funding. The effectiveness of the ECB's unconventional monetary policy measures, in the form of the 3-year Long-Term Refinancing Operations (VLTROs), in mitigating effects of the European sovereign debt crisis on the supply of private sector credit is assessed. Controlling for banks' risk factors and credit demand, the first round of VLTROs in December 2011 is not found to have been successful in offsetting the decline in credit supply to Households and non-financial corporates. In contrast, the VLTROs in February 2012 are found to have mitigated the effect of the European sovereign debt crisis on credit supply. Moreover, a contraction in credit supply to non-financial corporates, but not households, is documented for euro area banks affected by the international liquidity shock and that drew on ECB liquidity under the VLTRO facilities. |
| Keywords: | European sovereign crisis, cross-border banking, sovereign debt, international transmission, non-standard measures, ECB liquidity |
| JEL: | G21 G15 H63 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:wsr:wpaper:y:2015:i:143&r=mac |
| By: | Gonzalo Hernández Jiménez |
| Abstract: | Using panel data analysis, and focusing on export-structure related aspects of the Latin American economies, this paper finds that output fluctuations in Latin America are synchronized with the United States’ business cycle in the period 1961-2012. Moreover, non-primary commodity exporters and Latin American countries whose exports have mainly been destined for the US market display an intensified output fluctuation co-movement with the US. These findings have crucial implications to address the uneven performance of Latin American economies in the Great Recession as a consequence of the real GDP contraction in the United States in 2009. |
| Keywords: | export-structure, business cycles, Great Recession, Latin America |
| JEL: | F44 O54 |
| Date: | 2015–02–24 |
| URL: | http://d.repec.org/n?u=RePEc:col:000416:012587&r=mac |
| By: | World Bank |
| Keywords: | Governance - National Governance Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Public Sector Economics Public Sector Development Macroeconomics and Economic Growth Macroeconomics and Economic Growth - Taxation & Subsidies |
| Date: | 2014–08 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21107&r=mac |
| By: | Antonakakis, Nikolaos; Gupta, Rangan; Andre, Christophe |
| Abstract: | We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions. |
| Keywords: | Economic policy uncertainty; housing market return; dynamic correlation; US recession |
| JEL: | C32 E60 E66 G10 G18 |
| Date: | 2015–02–28 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:62464&r=mac |
| By: | World Bank |
| Keywords: | Public Sector Expenditure Policy Public Sector Economics Economic Theory and Research Finance and Financial Sector Development - Debt Markets Taxation and Subsidies Public Sector Development Macroeconomics and Economic Growth |
| Date: | 2013–11 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21280&r=mac |
| By: | Nikolaos Antonakakis (Vienna University of Economics and Business, Department of Economics, Vienna, Austria); Rangan Gupta (Department of Economics, University of Pretoria); Christophe Andre (Economics Department, Organisation for Economic Co-operation and Development (OECD)) |
| Abstract: | We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions. |
| Keywords: | Economic policy uncertainty, housing market return, dynamic correlation, US recession |
| JEL: | C32 E60 E66 G10 G18 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:201509&r=mac |
| By: | George, Emmanuel; Odejimi, Deborah; Matthews, Oluwatoyin; Ojeaga, Paul |
| Abstract: | Has macroeconomic management succeeded in making privatization promote growth in Africa? What are the probable strategies that should accompany the privatization reform process to promote growth in Africa? To what extent has the privatization process succeeded in attracting foreign direct investment to Africa? The study investigates the relationship between macroeconomic management and privatization. Many African countries have embarked on one form of privatization reform or the other since 1980 as one of the stringent conditions for accessing capital from the IMF and the World Bank. Secondly globalization and the gradually integration of the African economy into the global economy also means that Africa has to strategically develop its domestic market to cushion itself from fluctuations and probable contagion associated with global economic crisis that are always inevitable Stiglitz (2000) and Ojeaga P. (2012). The methods of estimation used are the OLS, linear mixed effects (LME), 2SLS and the GMM method of estimation. It was found that macroeconomic management has the capacity to affect the success of the privatization reform process. It was also found that privatization was not promoting growth in Africa; privatization could promote growth if long run growth strategies are implemented together with the privatization reform process. Privatization was also found not to have the capacity to attract foreign investment to many African countries. |
| Keywords: | Africa, Political Economy, Game Theory, Macroeconomic Management and Privatization |
| JEL: | C23 C72 E61 E62 F42 G22 H5 O11 O23 |
| Date: | 2013–08–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:62211&r=mac |
| By: | Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique |
| Abstract: | We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum likelihood with many series from multiple regions. We also derive convenient expressions for the spectral scores and information matrix, which allows us to switch to the scoring algorithm near the optimum. We explore the ability of a model with a global factor and three regional ones to capture inflation dynamics across 25 European countries over 1999-2014. |
| Keywords: | euro area; inflation convergence; spectral maximum likelihood; Wiener-Kolmogorov filter |
| JEL: | C32 C38 E37 |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10461&r=mac |
| By: | Berg, Tim Oliver |
| Abstract: | In this paper I assess the ability of Bayesian vector autoregressions (BVARs) and dynamic stochastic general equilibrium (DSGE) models of different size to forecast comovements of major macroeconomic series in the euro area. Both approaches are compared to unrestricted VARs in terms of multivariate point and density forecast accuracy measures as well as event probabilities. The evidence suggests that BVARs and DSGE models produce accurate multivariate forecasts even for larger datasets. I also detect that BVARs are well calibrated for most events, while DSGE models are poorly calibrated for some. In sum, I conclude that both are useful tools to achieve parameter dimension reduction. |
| Keywords: | BVARs, DSGE Models, Multivariate Forecasting, Large Dataset, Simulation Methods, Euro Area |
| JEL: | C11 C52 C53 E37 |
| Date: | 2015–02–24 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:62405&r=mac |
| By: | Tuan Minh Le; Gael Raballand; Patricia Palale |
| Keywords: | Macroeconomics and Economic Growth - Investment and Investment Climate Finance and Financial Sector Development - Debt Markets Social Protections and Labor - Labor Policies Finance and Financial Sector Development - Non Bank Financial Institutions Finance and Financial Sector Development - Bankruptcy and Resolution of Financial Distress |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21052&r=mac |
| By: | Danisewicz, Piotr (Lancaster University); Reinhardt, Dennis (Bank of England); Sowerbutts, Rhiannon (Bank of England) |
| Abstract: | This paper examines whether cross-border spillovers of macroprudential regulation depend on the organisational structure of banks’ foreign affiliates. Our analysis compares the response of foreign banks’ branches versus subsidiaries in the United Kingdom to changes in macroprudential regulations in foreign banks’ home countries. By focusing on branches and subsidiaries of the same banking group, we are able to control for all the factors affecting parent banks’ decisions regarding the lending of their foreign affiliates. We document that there are important differences between the type of regulation and the type of lending. Following a tightening of capital regulation, branches of multinational banks reduce interbank lending growth by 6 percentage points more relative to subsidiaries of the same banking group. Lending to non-banks does not exhibit such differences. A tightening in lending standards or reserve requirements at home does not have differential effects on both interbank and non-bank lending in the United Kingdom. |
| Keywords: | Macro prudential regulation; cross-border lending; credit supply; foreign banks organisational structure |
| JEL: | E51 E58 G21 G28 |
| Date: | 2015–02–20 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0524&r=mac |
| By: | Soldatos, Gerasimos T. |
| Abstract: | This note makes the following two points based on Cournot utility functions of the legislators and on the government budget constraint viewed from the perspective of the equation of exchange. Without logrolling, i.e. with different perceptions of the budget constraint, there can be such a legislature preference structure that can turn a pork-barrel project into welfare-enhancing public expenditure depending on economic circumstances. With logrolling, i.e. with agreement at least regarding the size of the budget, the “pork” may be taken out of the project regardless the economic conjuncture. These results are independent of the utility function used, while the use of the quantity equation serves only as the simplest macroeconomic framework in which the two general points herein may be made. |
| Keywords: | Pork-barrel spending, budget deficit, quantity equation, Cournot legislators, logrolling |
| JEL: | D72 E31 H61 |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:61116&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance International Economics and Trade - Trade Policy Economic Theory ; Research Private Sector Development - E-Business Macroeconomics and Economic Growth - Markets and Market Access |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21103&r=mac |
| By: | Francisco Blasques; Falk Bräuning; Iman van Lelyveld |
| Abstract: | We introduce a structural dynamic network model of the formation of lending relationships in the unsecured interbank market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash bargain about loan conditions. To reduce credit risk uncertainty, banks can engage in costly peer monitoring of counterparties. We estimate the structural model parameters by indirect inference using network statistics of the Dutch interbank market from 2008 to 2011. The estimated model accurately explains the high sparsity and stability of the lending network. In particular, peer monitoring and credit risk uncertainty are key factors in the formation of stable interbank lending relationships that are associated with improved credit conditions. Moreover, the estimated degree distribution of the lending network is highly skewed with a few very interconnected core banks and many peripheral banks that trade mainly with core banks. Shocks to credit risk uncertainty can lead to extended periods of low market activity, amplified by a reduction in peer monitoring. Finally, our monetary policy analysis shows that a wider interest rate corridor leads to a more active market through a direct effect on the outside options and an indirect multiplier effect by increasing banks' monitoring and search efforts. |
| Keywords: | Interbank liquidity; financial networks; credit risk uncertainty; peer monitoring; monetary policy; trading relationships; indirect parameter estimation |
| JEL: | C33 C51 E52 G01 G21 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:460&r=mac |
| By: | Tian, Mary (Board of Governors of the Federal Reserve System (U.S.)) |
| Abstract: | I examine the effect of a firm's tradability, the proportion of output that is exported abroad, on its stock returns. There are three novel empirical findings: (1) firms with higher tradability have more cyclical asset returns; (2) firms with higher tradability have more cyclical earnings growth; (3) returns of a portfolio long on firms with the highest tradability and short on firms with the lowest tradability can predict the real exchange rate. The empirical patterns are consistent with the relative price adjustment of tradable and non-tradable goods to business cycles driven by endowment shocks. |
| Keywords: | Asset returns; cyclicality; tradability |
| Date: | 2015–01–08 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2015-03&r=mac |
| By: | World Bank |
| Keywords: | Macroeconomics and Economic Growth - Subnational Economic Development Urban Development - Municipal Financial Management Governance - National Governance Public Sector Expenditure Policy Finance and Financial Sector Development Public Sector Development Finance and Financial Sector Development - Banks & Banking Reform |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21099&r=mac |
| By: | Berrospide, Jose M. (Board of Governors of the Federal Reserve System (U.S.)); Meisenzahl, Ralf R. (Board of Governors of the Federal Reserve System (U.S.)) |
| Abstract: | Do firms use credit line drawdowns to finance investment? Using a unique dataset of 467 COMPUSTAT firms with credit lines, we study the purpose of drawdowns during the 2007-2009 financial crisis. Our data show that credit line drawdowns had already increased in 2007, precisely when disruptions in bank funding markets began to squeeze aggregate liquidity. Consistent with theory, our results confirm that firms use drawdowns to sustain investment after an idiosyncratic liquidity shock. Using an instrumental variable approach based on institutional features of credit line contracts, we find that a one standard deviation increase in credit line drawdown is associated with an increase of 9 percent in average capital expenditures. Low aggregate liquidity amplifies this effect significantly. During the financial crisis, the effect of drawdowns on investment increased to 16 percent. The effect was even larger for smaller and financially constrained firms. We find only limited evidence, mostly for large and investment grade firms, that drawdowns were used to boost (precautionary) cash holdings during the crisis. |
| Keywords: | Credit Lines; Financial Crisis; Investment; Liquidity Management |
| JEL: | E22 G01 G31 G32 |
| Date: | 2015–02–04 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2015-07&r=mac |
| By: | Christine Wong |
| Keywords: | Finance and Financial Sector Development - Access to Finance Macroeconomics and Economic Growth - Investment and Investment Climate Finance and Financial Sector Development - Debt Markets Finance and Financial Sector Development - Non Bank Financial Institutions Banks and Banking Reform |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21045&r=mac |
| By: | Vanasco, Victoria (Stanford University); Asriyan, Vladimir (?) |
| Abstract: | We construct a dynamic model of financial intermediation in which changes in the information held by financial intermediaries generate asymmetric credit cycles as the ones documented by Reinhart and Reinhart (2010). We model financial intermediaries as "expert" agents who have a unique ability to acquire information about firm fundamentals. While the level of "expertize" in the economy grows in tandem with information that the "experts" possess, the gains from intermediation are hindered by informational asymmetries. We find the optimal financial contracts and show that the economy inherits not only the dynamic nature of information flow, but also the interaction of information with the contractual setting. We introduce a cyclical component to information by supposing that the fundamentals about which experts acquire information are stochastic. While persistence of fundamentals is essential for information to be valuable, their randomness acts as an opposing force and diminishes the value of expert learning. Our setting then features economic fluctuations due to waves of "confidence" in the intermediaries' ability to allocate funds profitably. |
| Date: | 2014–11 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:stabus:3235&r=mac |
| By: | Ryan Chahrour (Boston College); Gaetano Gaballo (Banque de France, Monetary Policy Division) |
| Abstract: | We show that non-trivial aggregate fluctuations may originate with vanishingly- small common shocks to either information or fundamentals. These "sentiment" fluctuations can be driven by self-fulfilling variation in either first-order beliefs (as in Benhabib et al., 2015) or higher-order beliefs (as in Angeletos and La'O, 2013), due to an endogenous signal structure. We analyze out-of-equilibrium best-response functions in the underlying coordination game to study whether sentiment equilibria are stable outcomes of a convergent process. We nd that limiting sentiment equilibria are generally unattainable under both higher-order belief and adaptive learning dynamics, whereas equilibria without sentiment shocks show strong stability properties. Away from the limit case, however, multiple noisy rational expectations equilibria may be stable. |
| Keywords: | imperfect information, animal spirits, expectational coordination |
| JEL: | D82 D83 E3 |
| Date: | 2015–02–12 |
| URL: | http://d.repec.org/n?u=RePEc:boc:bocoec:873&r=mac |
| By: | Mehmet Balcilar (Department of Economics, Faculty of Business and Economics, Eastern Mediterranean University); Nico Katzke (Department of Economics, Stellenbosch University, South Africa); Rangan Gupta (Department of Economics, University of Pretoria) |
| Abstract: | In this paper we test whether the key metals prices of gold and platinum significantly improve infl ation forecasts for the South African economy. We also test whether controlling for conditional correlations in a dynamic setup, using bivariate Bayesian-Dynamic Conditional Correlation (B-DCC) models, improves infl ation forecasts. To achieve this we compare out-of-sample forecast estimates of the B-DCC model to RandomWalk, Autoregressive and Bayesian VAR models. We find that for both the BVAR and BDCC models, improving point forecasts of the Autoregressive model of in flation remains an elusive exercise. This, we argue, is of less importance relative to the more informative density forecasts. For this we find improved forecasts of infl ation for the B-DCC models at all forecasting horizons tested. We thus conclude that including metals price series as inputs to infl ation models leads to improved density forecasts, while controlling for the dynamic relationship between the included price series and in flation similarly leads to significantly improved density forecasts. |
| Keywords: | Bayesian VAR, Dynamic Conditional Correlation, Density forecasting, Random Walk, Autoregressive model |
| JEL: | C11 C15 E17 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:201510&r=mac |
| By: | Mario Joao Gomes |
| Keywords: | Finance and Financial Sector Development - Microfinance Private Sector Development - Business Environment Private Sector Development - Competitiveness and Competition Policy Private Sector Development - Business in Development Private Sector Development - E-Business |
| Date: | 2014–08 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21468&r=mac |
| By: | John Ameriks; Andrew Caplin; Minjoon Lee; Matthew D. Shapiro; Christopher Tonetti |
| Abstract: | This paper introduces the Vanguard Research Initiative (VRI), a new panel survey of wealthholders designed to yield high-quality measurements of a large sample of older Americans who arrive at retirement with significant financial assets. The VRI links survey data with a variety of administrative data from Vanguard. The survey features an account-by-account approach to asset measurement and a real-time feedback and correction mechanism that are shown to be highly successful in eliciting accurate measures of wealth. Specifically, the VRI data reflect unbiased and precise estimates of wealth when compared to administrative account data. The VRI sample has characteristics similar to populations meeting analogous wealth and Internet access eligibility conditions in the Health and Retirement Study (HRS) and Survey of Consumer Finances (SCF). To illustrate the value of the VRI, the paper shows that the relationship between wealth and expected retirement date is very different in the VRI than in the HRS and SCF—mainly because those surveys have so few observations where wealth levels are high enough to finance substantial consumption during retirement. |
| JEL: | D91 E21 H31 J14 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:20972&r=mac |
| By: | Zahid Hasnain |
| Keywords: | Finance and Financial Sector Development - Access to Finance Macroeconomics and Economic Growth - Investment and Investment Climate Economic Theory and Research Public Sector Management and Reform Finance and Financial Sector Development - Debt Markets Public Sector Development |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21050&r=mac |
| By: | Jorge Thompson Araujo; Markus Brueckner; Mateo Clavijo; Ekaterina Vostroknutova; Konstantin M. Wacker |
| Keywords: | Poverty Reduction - Achieving Shared Growth Governance - Governance Indicators Economic Theory and Research Macroeconomics and Economic Growth - Economic Conditions and Volatility Macroeconomics and Economic Growth - Economic Growth |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21318&r=mac |
| By: | Carlos Carvalho (PUC-Rio); Fernanda Nechio (Federal Reserve Bank of San Francisco) |
| Abstract: | We develop a multisector model in which capital and labor are free to move across firms within each sector, but cannot move across sectors. To isolate the role of sectoral specificity, we compare our model with otherwise identical multisector economies with either economy-wide factor markets (as in Chari et al. 2000) or firm-specific factor markets (as in Woodford 2005). Sectoral specificity induces within-sector strategic substitutability and across-sector strategic complementarity in price setting. Our model can produce either more or less monetary non-neutrality than those other two models, depending on the distribution of price rigidity across sectors. Under the empirical distribution for the U.S., our model behaves similarly to an economy with firm-specific factors in the short-run, and later on approaches the dynamics of the model with economy-wide factor markets. This is consistent with the idea that factor price equalization might take place gradually over time, so that firm-specificity might be a reasonable short-run approximation, whereas economy-wide markets might be a better description of how factors of production are allocated in the longer run. |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed014:1241&r=mac |
| By: | World Bank Group |
| Keywords: | Environmental Economics and Policies Agriculture - Agricultural Research Social Protections and Labor - Labor Policies Economic Theory and Research Agriculture - Agribusiness Environment Macroeconomics and Economic Growth |
| Date: | 2014–05 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21419&r=mac |
| By: | Papanikolaou, Nikolaos |
| Abstract: | The rising delinquencies in the U.S. subprime mortgage market in 2006 and the succeeding collapse in housing prices had a considerably negative impact on the functioning of the European financial systems and the smooth operation of European economies. Indeed, in the Euro-area, what started as a financial crisis escalated to a twin crisis after being doubled by the eruption of a massive sovereign debt crisis in 2010. The lack of an established set of bank supervision and resolution strategies at the Euro-area level, the vicious circle between banks and European nation-states, the threats for the sustainability of the common currency, and the deterioration of the market conditions were the key factors which lately led to the acceleration of the steps towards the creation of a banking union in Europe. The principal aim of the European Banking Union is to shape the necessary legal and institutional framework and provide the authorities with powers and tools to deal with ailing banks in order to prevent the devastating effects that a future shock may have on the financial system, the real economy, and the society. This paper presents the formal reactions of the sovereigns and the European Central Bank to the twin crisis, and critically discusses the key problems and the inherent weaknesses which led to the establishment of a banking union for the Euro-area member states. The structure of the banking union, the various aspects of its operation, and its future prospects are also presented and discussed. |
| Keywords: | Eurozone; European Banking Union; bank regulation and supervision; sovereign risk |
| JEL: | E58 F33 F36 F39 F55 G21 G28 H63 |
| Date: | 2015–02–28 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:62463&r=mac |
| By: | World Bank |
| Keywords: | Public Sector Expenditure Policy Macroeconomics and Economic Growth - Subnational Economic Development Public Sector Management and Reform Finance and Financial Sector Development - Debt Markets Public Sector Economics Public Sector Development |
| Date: | 2014–09 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21277&r=mac |
| By: | Sophia Dimelis, Ioannis Giotopoulos and Helen Louri |
| Abstract: | This paper explores the effects of bank credit on firm growth before and after the recent financial crisis, taking into account different structural characteristics of banking sectors and domestic economies. Panel quantile analysis is used on a sample of 2075 euro area firms in 2005- 2011. The post-2008 credit crunch is found to seriously affect only small, slow-growth firms and especially those operating in concentrated and domestic-dominated banking systems, and in riskier and less financially developed economies. Large, high-growth firms seem to be able to find alternative financial sources and, thus, may act as carriers and facilitators of a credit-less recovery. |
| JEL: | L1 L25 E51 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:hel:greese:89&r=mac |
| By: | Ferrari, Stijn; Pirovano, Mara |
| Abstract: | This paper presents a novel methodology to calculate thresholds in an early warning signalling framework for extracting signals useful to predict the occurrence of banking crises. The conditional moments based methodology does not rely on assumptions on an objective function trading off Type I and Type II errors and leads to the identification of zones corresponding to different intensities of the signal. The signalling performance of these signalling zones is similar to that of the traditional early warning method based on the optimisation of a policymaker’s loss function; our methodology in fact outperforms the latter for a number of indicators. The methodology is then extended to allow for country specificities, which leads to a substantial improvement of the signalling power. On average, across all indicators, the country-specific signalling zones outperform the pooled approach, resulting in a larger average true positive rate and a lower false alarms rate. |
| Keywords: | Early-warning indicators; banking crises; panel data; macro prudential policy |
| JEL: | C23 E58 G01 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:62406&r=mac |
| By: | Jan Kregel |
| Abstract: | If emerging markets are to achieve their objective of joining the ranks of industrialized, developed countries, they must use their economic and political influence to support radical change in the international financial system. This working paper recommends John Maynard Keynes's "clearing union" as a blueprint for reform of the international financial architecture that could address emerging market grievances more effectively than current approaches. Keynes's proposal for the postwar international system sought to remedy some of the same problems currently facing emerging market economies. It was based on the idea that financial stability was predicated on a balance between imports and exports over time, with any divergence from balance providing automatic financing of the debit countries by the creditor countries via a global clearinghouse or settlement system for trade and payments on current account. This eliminated national currency payments for imports and exports; countries received credits or debits in a notional unit of account fixed to national currency. Since the unit of account could not be traded, bought, or sold, it would not be an international reserve currency. The credits with the clearinghouse could only be used to offset debits by buying imports, and if not used for this purpose they would eventually be extinguished; hence the burden of adjustment would be shared equally--credit generated by surpluses would have to be used to buy imports from the countries with debit balances. Emerging market economies could improve upon current schemes for regionally governed financial institutions by using this proposal as a template for the creation of regional clearing unions using a notional unit of account. |
| Keywords: | Banking Principle; Bretton Woods; Creditor Countries; Debtor Countries; Emerging Market Economies; Gold Standard; International Monetary Standard; Keynes; Reparations; Schacht; Triffin |
| JEL: | E42 E52 F12 N44 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_833&r=mac |
| By: | Isfandyar Zaman Khan |
| Keywords: | Finance and Financial Sector Development - Access to Finance Banks and Banking Reform Finance and Financial Sector Development - Bankruptcy and Resolution of Financial Distress Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth - Markets and Market Access |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21469&r=mac |
| By: | Montecino, Juan Antonio (The University of Massachusetts at Amherst) |
| Abstract: | The consensus view is that capital controls can effectively lengthen the maturity composition of capital inflows and increase the independence of monetary policy but are not generally effective at reducing net inflows and influencing the real exchange rate. This paper presents empirical evidence that although capital controls may not directly affect the long-run equilibrium level of the real exchange rate, they may enable disequilibria to persist for an extended period of time relative to the absence of controls. Allowing the speed of adjustment to vary according to the intensity of restrictions on capital flows, it is shown that the real exchange rate converges to its long-run level at significantly slower rates in countries with capital controls. This result holds whether permanent or episodic controls are considered. The benchmark estimated half-lives for the speed of adjustment are around 3.5 years for countries with strict capital controls but as low as 2 years in countries with no restrictions on international capital flows. The paper also presents a stylized two-sector dynamic investment model with constraints on externally-funded investment to illustrate potential theoretical channels. |
| Keywords: | Capital Controls, Real Exchange Rates, Undervaluation. |
| JEL: | F2 F31 F36 F41 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:ums:papers:2015-02&r=mac |
| By: | World Bank Group |
| Keywords: | Environment - Climate Change Mitigation and Green House Gases Macroeconomics and Economic Growth - Climate Change Economics Macroeconomics and Economic Growth - Subnational Economic Development Public Sector Expenditure Policy Science and Technology Development - Science of Climate Change Public Sector Development |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21036&r=mac |
| By: | Tuzemen, Didem (Federal Reserve Bank of Kansas City); Becker, Thealexa (Federal Reserve Bank of Kansas City) |
| Abstract: | We study the e ect of the Massachusetts health care reform on the uninsured rate and the self-employment rate in the state. The reform required all individuals to obtain health insurance, required most employers to o er health insurance to their employees, formed a private marketplace that o ered subsidized health insurance options and ex- panded public insurance. We examine data from the Current Population Survey (CPS)for 1994-2012 and its Annual Social and Economic (ASEC) Supplement for 1996-2013. We show that the reform led to a dramatic reduction in the state's uninsured rate due to increased enrollment in both public and private health insurance. Estimation results from di erence-in-di erences models and the synthetic control method indicate that the aggregate self-employment rate was higher in the state after the implementation of the reform. We conclude that easier access to health insurance encouraged self-employment in Massachusetts. There are many similarities between the Massachusetts health care reform and the national health care reform, the Patient Protection and Affordable Care Act (PPACA). Based on Massachusetts' experience, the PPACA will lower the national uninsured rate and may lead to a higher self-employment rate in the nation. |
| Keywords: | Massachusetts health care reform; Patient Protection and Affordable Care Act; self-employment; health insurance; difference-in-differences model; synthetic control method |
| JEL: | C10 C15 E24 I13 I18 I38 L26 |
| Date: | 2014–11–25 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:rwp14-16&r=mac |
| By: | Daria ONORI |
| Keywords: | , open economy, two-stage growth, external debt, GDP-based collaterals, imperfect financial markets, multi-stage optimal control |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:leo:wpaper:1966&r=mac |
| By: | Antoine Coste; Erik von Uexkull |
| Keywords: | International Economics and Trade - Free Trade International Economics and Trade - Trade Policy Economic Theory and Research Finance and Financial Sector Development - Debt Markets Law and Development - Trade Law Macroeconomics and Economic Growth |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21312&r=mac |
| By: | Jhonatan Pérez; Carlos León; Ricardo Mariño |
| Abstract: | Con base en las métricas propias utilizadas para el análisis de redes complejas e información transaccional, este trabajo permite realizar una caracterización del mercado spot peso/dólar y forward peso/dólar colombiano. En particular, es posible establecer que estos pueden ser catalogados como redes de estructura jerárquica donde un reducido grupo de Intermediarios del Mercado Cambiario centrales (periféricas) poseen una gran (pequeña) porción tanto del número de transacciones como del monto promedio negociado. Dichos resultados sugieren que ambos mercados: (i) son robustos ante la extracción aleatoria de participantes; (ii) son frágiles ante la extracción determinística de participantes centrales; y (iii) la mejor manera de “inmunizar” (i.e. la intensidad de la regulación, supervisión y seguimiento) de manera óptima los mercados es enfocarse en los participantes centrales. Adicionalmente, este trabajo resalta el papel que tiene la infraestructura financiera del país como generador de información estandarizada y confiable de mercado, la cual puede ser considerada como insumo en la toma de decisiones que involucran a las entidades involucradas en las funciones de la regulación, supervisión y seguimiento de los mercados financieros. |
| Keywords: | Minimal spanning tree, análisis de redes, centralidad, power-law. |
| JEL: | D85 G2 E42 |
| Date: | 2015–02–23 |
| URL: | http://d.repec.org/n?u=RePEc:col:000094:012583&r=mac |
| By: | Soumia Zenasni |
| Abstract: | Increased globalization over the last two decades has led to strong growth in international business activity and international financial integration. This phenomenon covers a wide array of economic activities, including regional and international integration, investment and trade, international financial shocks and disturbances. This paper takes stock of current trends in regional financial integration and trade liberalization processes for the case of Maghreb countries. It aims also to examine the effects of these recent trends on economic growth in an era of growing globalization and frequent financial shocks. Using Multivariate Threshold Vector Autoregressive (MVTAR) estimation with data from 1990 to 2012, this study argues that the greater and deeper regional financial integration and trade will have positive repercussions for each Maghreb country. In addition, estimation results show that the regional financial integration process plays a positive role in enlarging the borders of countries as well as the market size of each country and, consequently, in stimulating economic growth. Finally, we can assert that the study argues that political and structural impediments continue to hamper regional integration. |
| Keywords: | Regional financial integration, trade libaralization, globalization, Maghreb countries, multivariate threshold analysis |
| JEL: | F36 E44 G01 C3 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:wsr:wpaper:y:2015:i:145&r=mac |