|
on Macroeconomics |
|
Issue of 2017‒08‒13
eighty-one papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Carlos E. Posada; Alfredo Villca |
| Abstract: | Resumen: Teniendo como marco de referencia la “estrategia de inflación objetivo” es usual discutir lo que es m ?as conveniente para una sociedad en cuanto al grado de “dureza” o “agresividad” de una autoridad monetaria para defender su meta de inflación, y la credibilidad en esta entre los agentes económicos. En este documento utilizamos un modelo de equilibrio general dinámico estocástico (DSGE, por sus siglas en inglés) neo-keynesiano tanto con expectativas racionales como con adaptativas para analizar esta cuestión. Nuestros resultados sugieren que el problema que se puede derivar de una autoridad “blanda” es arriesgar la pérdida de credibilidad en su (supuesto) empeño para alcanzar una determinada meta de inflación. Además, presentamos y utilizamos una solución del modelo lo suficientemente simple como para permitir que sus simulaciones sean implementadas en una hoja de cálculo. Abstract: Within the framework of the so-called “inflation targeting” strategy there is a discussion about the convenience for a society as to the degree of “hardness” of a monetary authority looking to defend its inflation target, and the credibility that this authority enjoys between the private agents about it. In this paper we use a neo-Keynesian stochastic dynamic general equilibrium (DSGE) model with both rational and adaptive expectations to answer this question. Our results suggest that the social problem that can be derived from a “soft” authority is that it risks losing credibility in its effort to reach a certain inflation target. In addition, we present and use a solution of the rational expectations version of the model simple enough to allow its simulations to be performed using a spreadsheet. |
| Keywords: | Inflación, meta de inflación, autoridad monetaria, equilibrio general dinámico y estocástico, regla de Taylor, credibilidad. |
| JEL: | C63 C68 E31 E32 E37 E58 |
| Date: | 2017–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:col:000122:015673&r=mac |
| By: | Wei Cui (Department of Economics University College London (UCL); Centre for Macroeconomics (CFM)) |
| Abstract: | This paper studies macroeconomic effects of financial shocks through the lens of delayed capital liquidation and reallocation among firms. I develop a model in which firms face idiosyncratic productivity risks, financial constraints, and random liquidation costs. Liquidation costs generate an option value of staying and a liquidation delay for unproductive firms. A novel feature arising from the delay is that unproductive firms have a higher debt-to-asset ratio than productive ones. I find that adverse financial shocks that tighten financial constraints can raise the option value. The financial shocks also have general equilibrium effects that further raise the option value and delay capital liquidation. Capital is thus persistently misallocated, leading to a long-lasting economic contraction. Using U.S. data from 1971-2015, I show that financial shocks can explain almost 67% of the variation in the capital liquidation-to-expenditures ratio and 72% of the variation in output |
| Keywords: | Financial constraints and financial shocks, Capital liquidation, Option value of staying |
| JEL: | E22 E32 E44 G11 |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:cfm:wpaper:1719&r=mac |
| By: | Luca Benati (University of Bern); Peter N. Ireland (Boston College) |
| Abstract: | Shocks to the M1 multiplier–in particular, shocks to the reserves/deposits ratio–played a key role in driving U.S. macroeconomic fluctuations during the interwar period, but their role in the post-WWII era has been almost uniformly negligible. The only exception are shocks to the currency/deposits ratio, which played a sizeable role for inflation and M1 velocity. By contrast, shocks to the multiplier of the non-M1 component of M2, which had been irrelevant in the interwar period, have played a significant role in driving the nominal side of the economy during the post-WWII period up to the collapse of Lehman Brothers, in particular during the Great Inflation episode. During either period, the multiplier of M2-M1 has been cointegrated with the short rate. The monetary base had exhibited a non-negligible amount of permanent variation during the interwar period, whereas it has been trend-stationary during the post-WWII era. In spite of the important role played by shocks to the multiplier of M2-M1 during the post-WWII period, we still detect a non-negligible role for a nonmonetary permanent inflation shock, which has the natural interpretation of a disturbance originating from the progressive de-anchoring of inflation expectations which started in the mid-1960s, and their gradual re-anchoring following the beginning of the Volcker disinflation. |
| Keywords: | Money multiplier; money demand; Lucas critique; structural VARs; unit roots; cointegration; long-run restrictions. |
| JEL: | E31 E32 E41 E42 E51 E52 E58 |
| Date: | 2017–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:boc:bocoec:933&r=mac |
| By: | Tanweer Akram; Huiqing Li |
| Abstract: | This paper undertakes an empirical inquiry concerning the determinants of long-term interest rates on US Treasury securities. It applies the bounds testing procedure to cointegration and error correction models within the autoregressive distributive lag (ARDL) framework, using monthly data and estimating a wide range of Keynesian models of long-term interest rates. While previous studies have mainly relied on quarterly data, the use of monthly data substantially expands the number of observations. This in turn enables the calibration of a wide range of models to test various hypotheses. The short-term interest rate is the key determinant of the long-term interest rate, while the rate of core inflation and the pace of economic activity also influence the long-term interest rate. A rise in the ratio of the federal fiscal balance (government net lending/borrowing as a share of nominal GDP) lowers yields on long-term US Treasury securities. The short- and long-run effects of short-term interest rates, the rate of inflation, the pace of economic activity, and the fiscal balance ratio on long-term interest rates on US Treasury securities are estimated. The findings reinforce Keynes's prescient insights on the determinants of government bond yields. |
| Keywords: | Government Bond Yields; Long-term Interest Rates; Short-term Interest Rates; Monetary Policy; Central Bank; John Maynard Keynes |
| JEL: | E43 E50 E58 E60 G10 G12 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_894&r=mac |
| By: | Blanchard, Olivier (MIT); Portugal, Pedro (Banco de Portugal) |
| Abstract: | Over the past 20 years, Portugal has gone through a boom, a slump, a sudden stop, and now a timid recovery. Unemployment has decreased, but remains high, and output is still far below potential. Competitiveness has improved, but more is needed to keep the current account in check as the economy recovers. Private and public debt are high, both legacies of the boom, the slump and the sudden stop. Productivity growth remains low. Because of high debt and low growth, the recovery remains fragile. We review the history and the main mechanisms at work. We then review a number of policy options, from fiscal consolidation to fiscal expansion, cleaning up of non-performing loans, labor market reforms, product market reforms, and euro exit. We argue that at this point, the main focus of macroeconomic policy should be twofold. The first is the treatment of non- performing loans, which would allow for an increase in demand in the short run and an increase in supply in the medium run. We argue that, to the extent that such treatment requires recapitalization, it makes sense to finance it through an increased fiscal deficit, even in the face of high public debt. The second is product market reforms, and reforms aimed at increasing micro-flexibility in the labor market. Symmetrically, we also argue that at this point, some policies would be undesirable, among them faster fiscal consolidation, measures aimed at decreasing nominal wages and prices, and euro exit. |
| Keywords: | competitiveness, debt, productivity growth, structural reforms |
| JEL: | E32 E62 J30 J60 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izapps:pp131&r=mac |
| By: | DiGabriele, Jim; Ojo, Marianne |
| Abstract: | As well as a two-fold contribution to the literature as highlighted in their paper“, Financial Disruptions and the Cyclical Upgrading of Labor” (2017:8), and elaborated on by Epstein et al, the reconciliation of two quantitative limitations of current general equilibrium theories constituting part of such contribution, this paper highlights the need to incorporate other theories such as those relating to the economics of the firm – in explaining firm performance – given the previously highlighted limitations of “canonical models”. The inability to account for variables which are independent of exogenously or endogenously determined factors and which are outside their model, also necessitates the incorporation of other theories and factors to be taken into account in arriving at more accurate conclusions which determine firm performance. |
| Keywords: | efficiency wage hypothesis; pro cyclicality; financial cycles; firm performance; corporate governance |
| JEL: | D4 D8 E3 E5 E6 G2 G3 M4 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80710&r=mac |
| By: | Thorsten Drautzburg; Jesús Fernández-Villaverde; Pablo Guerrón-Quintana |
| Abstract: | We argue that political distribution risk is an important driver of aggregate fluctuations. To that end, we document significant changes in the capital share after large political events, such as political realignments, modifications in collective bargaining rules, or the end of dictatorships, in a sample of developed and emerging economies. These policy changes are associated with significant fluctuations in output and asset prices. Using a Bayesian proxy-VAR estimated with U.S. data, we show how distribution shocks cause movements in output, unemployment, and sectoral asset prices. To quantify the importance of these political shocks for the U.S. as a whole, we extend an otherwise standard neoclassical growth model. We model political shocks as exogenous changes in the bargaining power of workers in a labor market with search and matching. We calibrate the model to the U.S. corporate non-financial business sector and we back up the evolution of the bargaining power of workers over time using a new methodological approach, the partial filter . We show how the estimated shocks agree with the historical narrative evidence. We document that bargaining shocks account for 34% of aggregate fluctuations. |
| JEL: | E32 E37 E44 J20 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:23647&r=mac |
| By: | Dennis Bonam; Jakob de Haan; Beau Soederhuizen |
| Abstract: | We estimate the effects of government consumption and investment shocks during prolonged episodes of low interest rates, which we consider as proxy for the effective lower bound. Using a panel VAR model for 17 advanced countries, in which we include real government spending, output, inflation, and the real interest rate, we find that both the cumulative government consumption and investment multipliers are significantly higher (and exceed unity) when interest rates are persistently low. These results are robust for using different threshold values for the nominal interest rate or the length of the period with low interest rates to proxy the ELB. |
| Keywords: | fiscal multipliers; effective lower bound; panel VAR |
| JEL: | E6 E62 E65 |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:565&r=mac |
| By: | Bauer, Michael D. (Federal Reserve Bank of San Francisco); Rudebusch, Glenn D. (Federal Reserve Bank of San Francisco) |
| Abstract: | Theory predicts that the equilibrium real interest rate, r*, and the perceived trend in inflation, pi*, are key determinants of the term structure of interest rates. However, term structure analyses generally assume that these endpoints are constant. Instead, we show that allowing for time variation in both r* and pi* is crucial for understanding the empirical dynamics of U.S. Treasury yields and risk pricing. Our evidence reveals that accounting for fluctuations in both r* and pi* substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of the term premium in long-term interest rates, and captures a substantial share of interest rate variability at low frequencies. |
| JEL: | E43 E44 E47 |
| Date: | 2017–07–10 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2017-16&r=mac |
| By: | Bitros, George C.; Nadiri, M. Ishaq |
| Abstract: | Using data from the U. S. Bureau of Economic Analysis for the period 1947-2015, we test two investment models of neoclassical decent. Model A is based on the conceptualization that business firms have an active replacement investment policy, which renders the replacement rate a determinant of business investment behavior, whereas Model B is based on the traditional hypothesis that replacement investment is an engineering proportion of the capital stock, thus turning into a constant. The evidence that emerges from the estimations is heavily in favor of Model A on at least three grounds. Namely, first it establishes that the replacement rate is a decisive determinant of investment at all levels of aggregation; Second, it leads to estimates of investment equations with succinct short run and long run dynamics, thus facilitating policy applications; and thirdly, it gives rise to remarkably robust estimates of the elasticities of substitution of capital for labor, output and the replacement rate. When Model B is estimated for the period 1947-1960, it performs as expected, most likely because in short periods remains fairly constant due to long swings in replacement investment. |
| Keywords: | Neoclassical models of business investment, elasticities of substitution and output, modes of replacement investment |
| JEL: | E22 E52 E62 |
| Date: | 2017–07–18 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80594&r=mac |
| By: | Joel Wagner |
| Abstract: | The existence of downward nominal wage rigidity (DNWR) has often been used to justify a positive inflation target. It is traditionally assumed that positive inflation could “grease the wheels” of the labour market by putting downward pressure on real wages, easing labour market adjustments during a recession. A rise in the inflation target would attenuate the long-run level of unemployment and hasten economic recovery after an adverse shock. Following Daly and Hobijn (2014), we re-examine these issues in a model that accounts for precautionary motives in wage-setting behaviour. We confirm that DNWR generates a long-run negative relation between inflation and unemployment, in line with previous contributions to the literature. However, we also find that the increase in the number of people bound by DNWR following a negative demand shock rises with inflation, offsetting the beneficial effects of a higher inflation target. As an implication, contrary to previous contributions that neglected precautionary behaviour, the speed at which unemployment returns to pre-crisis levels during recessions is relatively unaffected by variations in the inflation target. |
| Keywords: | Inflation targets, Labour markets |
| JEL: | E24 E52 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:17-31&r=mac |
| By: | François Gourio; Anil K Kashyap; Jae Sim |
| Abstract: | Credit booms sometimes lead to financial crises which are accompanied with severe and persistent economic slumps. Does this imply that monetary policy should “lean against the wind” and counteract excess credit growth, even at the cost of higher output and inflation volatility? We study this issue quantitatively in a standard small New Keynesian dynamic stochastic general equilibrium model which includes a risk of financial crisis that depends on “excess credit”. We compare monetary policy rules that respond to the output gap with rules that respond to excess credit. We find that leaning against the wind may be attractive, depending on several factors, including (1) the severity of financial crises; (2) the sensitivity of crisis probability to excess credit; (3) the volatility of excess credit; (4) the level of risk aversion. |
| JEL: | E52 E58 G28 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:23658&r=mac |
| By: | Yamaguchi, Masao |
| Abstract: | This paper argues how an increase in minimum wage affects employment, consumption, and social welfare with dynamic general equilibrium model without market frictions. The study demonstrates that a minimum wage hike reduces an actual unemployment rate and has positive effects on an employment rate under the demand-shortage economy whereas they do not under a non-demand shortage economy. The study also shows that optimal minimum wage which maximize social welfare and minimize an actual unemployment rate when the economy faces the demand-shortage initially. These findings imply that the minimum wage can be considered as one of the effective policy for overcoming deflation and stagnation although it increases the natural rate of unemployment. |
| Keywords: | Minimum wage, Unemployment, Natural rate of unemployment, Deflation, Stagnation, Demand shortage, Dynamic general equilibrium model |
| JEL: | E24 E31 J38 |
| Date: | 2017–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80359&r=mac |
| By: | Rilind Kabashi (National Bank of the Republic of Macedonia) |
| Abstract: | This study empirically investigates the short- to medium-term effects of fiscal policy on output and other macroeconomic variables in European Union countries between 1995 and 2012, with particular reference to transition countries. It applies Panel Vector Auto Regression with recursive identification of government spending shocks as the most appropriate method for the aim of the study and the sample used. The main results indicate that expansionary spending shocks have a positive, but a relatively low effect on output, with the fiscal multiplier around one in the year of the shock and the following year, and lower thereinafter. There are indications that this result is driven by the recent crisis, as multipliers are considerably lower in the pre-crisis period. Effects of fiscal policy are strongly dependent on country structural characteristics. Fiscal multipliers are higher in new European Union member states, in countries with low public debt and low trade openness. Further, spending shocks are followed by rising debt levels in old member states, which could be related well to the recent European debt crisis. Finally, the analysis of the transmission mechanism of fiscal policy yields results that are consistent with both extended Real Business Cycle models and extended New Keynesian models. |
| Keywords: | fiscal policy; panel VAR; European Union; transition countries |
| JEL: | E62 C33 H30 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:mae:wpaper:2017-03&r=mac |
| By: | Sanchez, Manuel (University of Bristol); Wellschmied, Felix (Universidad Carlos III de Madrid) |
| Abstract: | We study workers' idiosyncratic earnings risk over the life-cycle using a German administrative data set. Positive and negative earnings shocks both contain a highly persistent component. The variance and average size of positive persistent shocks is decreasing over the life-cycle. The (absolute) size of negative persistent shocks is increasing. The probability to experience either of these shocks is U-shaped in age; during prime-age it is around 35 percent. Negative transitory shocks are relatively larger and more dispersed than positive transitory shocks. Their size and variance are increasing over the life-cycle. Large persistent positive shocks early in life generate large wealth holdings for the top one percent of workers in an incomplete markets model. Moreover, age-varying risk implies a linear increase in consumption inequality late in working life. |
| Keywords: | life-cycle, earnings risk, wealth dispersion |
| JEL: | E21 E24 J31 |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp10925&r=mac |
| By: | Robert J. Kurtzman; David Zeke |
| Abstract: | Central bank large-scale asset purchases, particularly the purchase of corporate bonds of nonfinancial firms, can induce a misallocation of resources through their heterogeneous effect on firms cost of capital. First, we analytically demonstrate the mechanism in a static model. We then evaluate the misallocation of resources induced by corporate bond buys and the associated output losses in a calibrated heterogeneous firm New Keynesian DSGE model. The calibrated model suggests misallocation effects from corporate bond buys can be large enough to make them less effective than government bond buys, which is not the case without accounting for misallocation effects. |
| Keywords: | QE ; LSAPs ; Misallocation |
| JEL: | E22 E51 E52 G21 |
| Date: | 2017–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2017-76&r=mac |
| By: | Alok Johri; Md Mahbubur Rahman |
| Abstract: | The behavior of the relative price of investment in India stands in fascinating contrast to its steady fall in the US. Relative to a world benchmark, the relative price of investment in India rose 55 percent from 1980 to 1991 and fell 26 percent from 1991 to 2006. The sudden shift is tantalizingly coincident with a period of rapid economic reform and increase in the growth rate of India's GDP. We build a simple DGE model calibrated to Indian data in order to explore the role played by capital import substitution policies and their removal post-1991 in accounting for the rise and fall of the relative price of investment. An interesting feature of the model is an endogenously rising policy distortion in the pre-reform period which increases with the growth of the economy. Quantitatively, our model delivers a 14 percent rise in the relative price of investment before reform and a 22 percent fall during the reform period. The calibration suggests that GDP per worker was 2 percent lower in 1991 compared to a decade earlier purely due to the rising distortion caused by import restrictions on capital goods. In addition the removal of import restrictions accompanied by a 64 percentage point reduction in capital import tariff rates raised GDP per worker permanently by 13.5 percent. These reform measures alone account for one- fth of the rise in the growth rate of GDP per worker observed between 1991 and 2006 in India. |
| JEL: | O11 E17 E2 |
| Date: | 2017–08–04 |
| URL: | http://d.repec.org/n?u=RePEc:mcm:deptwp:2017-12&r=mac |
| By: | Elena Gerko; Hélène Rey |
| Abstract: | The importance of financial markets and international capital flows have increased greatly since the 1990s. How does this affect the effectiveness of monetary policy? We analyse the transmission of monetary policy in two important financial centres, the United States and the United Kingdom. Studying the responses of mortgage and corporate spreads we find evidence in favour of an important financial channel in both countries. Our identification strategy allows us to study movements in the policy rates and the effect of forward guidance, broadly defined. We also analyse international financial spillovers, which we find to be asymmetric. |
| JEL: | E4 E52 E58 F41 G15 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:23651&r=mac |
| By: | International Monetary Fund |
| Abstract: | The economy continues to recover, unemployment and nonperforming loans have declined somewhat from their crisis peaks, and public debt appears to be stabilizing. Growth remains moderate, however, despite exceptional monetary accommodation and fiscal easing, and Italy continues to underperform its euro area peers, owing to persistent structural weaknesses, imbalances, and financial fragilities. Thin policy buffers leave the economy exposed, including to the start of withdrawal of monetary accommodation. Meanwhile, real disposable incomes per capita have fallen below pre-euro accession levels and the distribution of the burden of adjustment has been uneven, potentially contributing to public discontent. |
| Date: | 2017–07–27 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/237&r=mac |
| By: | Sanches, Daniel R. (Federal Reserve Bank of Philadelphia) |
| Abstract: | This paper develops a dynamic general equilibrium model with an essential role for an illiquid banking system to investigate output dynamics in the event of a banking crisis. In particular, it considers the ex-post efficient policy response to a banking crisis as part of the dynamic equilibrium analysis. It is shown that the trajectory of real output following a panic episode crucially depends on the cost of converting long-term assets into liquid funds. For small values of the liquidation cost, the recession associated with a banking panic is protracted as a result of the premature liquidation of a large fraction of productive banking assets to respond to a panic. For intermediate values, the recession is more severe but short-lived. For relatively large values, the contemporaneous decline in real output in the event of a panic is substantial but followed by a vigorous rebound in real activity above the long-run level. |
| Keywords: | Banking panic; deposit contract; suspension of convertibility; time-consistent policies |
| JEL: | E32 E42 G21 |
| Date: | 2017–07–24 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:17-20&r=mac |
| By: | Gabriel Jiménez; José-Luis Peydró; Rafael Repullo; Jesús Saurina |
| Abstract: | We analyze new lending to firms by a state-owned bank in crisis times, the potential adverse selection faced by the bank, and the causal real effects associated to its lending. For identification, we exploit: (i) a new credit facility set up in Spain by its state-owned bank during the credit crunch of 2010-2012; (ii) the bank’s continuous scoring system, together with firms’ individual credit scores and the threshold for granting vs. rejecting loan applications; (iii) the rich credit register matched with firm- and bank-level data. We show that, compared to privately-owned banks, the state-owned bank faces a worse pool of applicants, is tighter (softer) in lending to firms with observable (unobservable) riskier characteristics, and has substantial higher loan defaults. Using a regression discontinuity approach around the threshold, we show that the supply of credit causes large positive real effects on firm survival, employment, investment, total assets, sales, and productivity, as well as crowding-in of new credit by private banks. |
| Keywords: | adverse selection, real effects of credit supply, crowding-in, state-owned, banks, credit crunch, credit scoring, loan defaults, countercyclical policies |
| JEL: | E44 G01 G21 G28 H81 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:bge:wpaper:984&r=mac |
| By: | Enrico Gabriele (LUMSA University) |
| Abstract: | This paper starts from Keynes’ General Theory to demonstrate the existence of a non-linear Keynesian multiplier on the grounds of cross-country data. Thus, we prove the effectiveness of short-run countercyclical exogenous stimuli during downturns. The role of fiscal spending is discussed in light of different schools of thought, including the well-known “expansionary fiscal contraction” theory. Moreover, we examine the European fiscal rules of convergence – aimed to sovereign debt sustainability – that affect the size of “fiscal space”. Empirical data from several Eurozone countries provide evidence of traditional multipliers. Furthermore, the Greek economy displays a non-linear case of multiplier. This leads to rejecting the assumption of a weak Keynesian setting, which supported instead the IMF-backed fiscal contraction. |
| Keywords: | Keynesian Multiplier; Expansionary Fiscal Contraction; Euro Sovereign Crisis |
| JEL: | E12 E17 E61 E63 E65 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:lsa:wpaper:wpc21&r=mac |
| By: | Paul J.J. Welfens; Samir Kadiric (Europäisches Institut für Internationale Wirtschaftsbeziehungen (EIIW)) |
| Abstract: | Die vorliegende Analyse thematisiert die Nachwirkungen der Transatlantischen Bankenkrise und richtet den Analysefokus auf die Entwicklung von Risikoprämien. Analytisch beleuchtet werden vor allem ausgewählte EU-Entwicklungen im Bereich der makroprudenziellen Finanzmarktaufsicht; darüber hinaus auch Probleme aus der internationalen Kapitalmarktdynamik. Zudem werden rating- bzw. aufsichtsrelevante Aspekte von Quantitative Easing in einer mittelfristigen Anschlussperspektive des Branson-Modells angesprochen sowie ausgewählte QE-Politikperspektiven thematisiert. Eine Darstellung der EU-Bankenaufsichtsreform ist Basis für wirtschaftspolitische Reformaspekte, die ergänzt werden um ausgewählte neue BREXIT-Perspektiven für die Bankenaufsicht. Schließlich wird Fragen der ausländischen Finanzmarkt- bzw. Banken-Deregulierung besondere Aufmerksamkeit gewidmet – im BREXIT-Kontext gibt es hier aus EU27-Sicht mittelfristig neue Probleme. Nach der Bankenkrise hat man in der EU und den USA erhebliche qualitative Verbesserungen bei der Bankaufsicht erreicht. Allerdings gibt es Verbindungs- bzw. Konsistenzprobleme zwischen Bankenaufsichtsmaßnahmen und der Geldpolitik (exemplarisch an den USA verdeutlicht). In der EU wird es noch Zeit brauchen, ein gemeinsames rationales Verständnis der Euro-Länder bei Banken- und Kapitalmarktunion bzw. politisch gemeinsam interpretierte Standards zu entwickeln; eine schwierige Herausforderung gerade auch im Kontext des denkbaren Austritts des Vereinigten Königreiches aus der EU. Direktinvestitions- und Deregulierungsfragen im BREXIT- bzw. Eurozonen-Kontext sind bislang kaum untersucht worden, was als wichtiger Forschungskomplex identifiziert wird. Eine Reihe von möglichen institutionellen Innovationen bzw. Verbesserungen wird vorgeschlagen. |
| Keywords: | Banking, Deregulation, Macroeconomics, OECD, Financemarket, EU, FDI |
| JEL: | E44 F3 G01 G1 G2 E5 |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:bwu:eiiwdp:disbei239&r=mac |
| By: | Lerbs, Oliver; Voigtländer, Michael |
| Abstract: | Die Bundesregierung hat neue Instrumente der makroprudenziellen Regulierung für den deutschen Hypothekenmarkt geschaffen. Dieser Aufsatz untersucht die Notwendigkeit der Anwendung dieser Instrumente vor dem Hintergrund bestehender Finanzierungsgewohnheiten und Regulierungen. Angesichts der im internationalen Vergleich bereits als konservativ anzusehenden Ausgestaltung der Wohnimmobilienfinanzierung erscheint ein Einsatz makroprudenzieller Instrumente auf absehbare Zeit nicht erforderlich. Grundsätzlich sollten Entscheidungen hierüber regelgebunden auf Grundlage belastbarer Einzelkreditdaten erfolgen. Dafür bedarf es insgesamt eines besseren Monitorings des Immobilienfinanzierungsmarktes. |
| Keywords: | Makroprudenzielle Regulierung,Hypothekenfinanzierung,Hauspreise,Verschuldung,Finanzstabilität |
| JEL: | E44 E58 G21 G28 R21 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:17029&r=mac |
| By: | Fasoranti, Modupe Mary; Alimi, Rasaq Santos |
| Abstract: | Nigeria has had an uninterrupted democratisation wave since 1999 and the country has had its share of macroeconomic instability in terms of high rates of inflation and huge debt profile due to high cost of governance. Against this background, this study test the hypothesis that government in young democracies tend to generates large government size and test also the hypothesis that the outgoing dictatorships of the day engaged in activities which would bequest the young democracies big bills to be repaid at the initial stages of those new democratic regimes. Applying time series analysis on Nigeria data for the period of 1960 to 2015, the study found that (i) democracy in Nigeria is associated with bigger government and huge public debts (ii) the hypothesis that outgoing dictatorship bequest the young democracies with big bills is not confirmed for Nigeria. Moreover, the study found evidence that as democracy mature over the long run, the size of government tends to decrease, this is suggestive that democracy needs time to adapt and evolve over time. This study has provided deeper understanding of the recent history of Nigeria in terms of its dynamics during political transitions. |
| Keywords: | Democracy, government size, external debt, public debt, Nigeria |
| JEL: | C52 E62 H11 O43 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80562&r=mac |
| By: | Le, Vo Phuong Mai (Cardiff Business School); Meenagh, David (Cardiff Business School); Minford, Patrick (Cardiff Business School) |
| Abstract: | A number of studies have found that news shocks account for a large part of the aggregate fluctuations of the main macroeconomic variables. We show that when taking rational expectations into consideration there is a limit on the size of the variance of the news shocks, which has not been considered in the literature. We offer an explanation to why this restriction should be imposed and show, with an empirical example from a recent paper, that if you do impose the rational expectations restriction the importance of the news is drastically reduced. |
| Keywords: | News shocks; DSGE; Rational Expectations |
| JEL: | E2 E3 |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:cdf:wpaper:2017/7&r=mac |
| By: | International Monetary Fund |
| Abstract: | To assist in the economic recovery from a prolonged political crisis, Madagascar launched an ECF-supported program in July 2016. The program aims to break a cycle of low investment and low growth. Macroeconomic policy has faced unexpected challenges in 2016 and early 2017 however, including a cyclone, a drought (that hit hydropower production), and a costly restructuring of the national airline. |
| Keywords: | Sub-Saharan Africa;Madagascar; |
| Date: | 2017–07–18 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/223&r=mac |
| By: | International Monetary Fund |
| Abstract: | A fragile economy in a complex socio-political environment. Tunisia’s political transition advanced, but social discontent remains elevated. After almost stagnating over 2015–16, growth will pick up in 2017 to 2.3 percent helped by tourism and phosphates. Structural deficiencies, an overvalued real exchange rate and weak confidence after the 2015 attacks continue to weigh on investment. Exogenous shocks and policy slippages contributed to widen the current account deficit by more than 10 percent of GDP in the first quarter of 2017. The dinar depreciated by 23 percent in nominal effective terms since end-2015; this and a broad-based rise in prices led the Central Bank to increase its policy interest rate by 75 bps to 5 percent over the last month to contain inflation below 5 percent in 2017. |
| Keywords: | Tunisia;Middle East; |
| Date: | 2017–07–10 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/203&r=mac |
| By: | Nino Kokashvili, Irakli Barbakadze, Ketevani Kapanadze |
| Abstract: | This paper examines the relationship between the growth of Latvian firms and their involvement in the shadow economy in 2015. When up to 10% of the overall economic activity of firms is in the shadow economy, this had a growth-enhancing effect on firms that recorded non-positive growth during the last five years. Using the perceptions of corruption and interview languages as instruments of measuring the shadow economy participation rate, the authors conclude that there is a positive relationship between perceptions of corruption and the shadow economy participation rate. |
| Keywords: | Shadow Economy, Firm Growth, Company Managers, Latvia |
| JEL: | O17 E26 E24 J28 D22 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:mtk:febawb:101&r=mac |
| By: | International Monetary Fund |
| Abstract: | A cyclical upswing in growth is under way driven by goods trade. But improved momentum has yet to extend beyond the export-oriented sectors, and structural headwinds to growth from aging, tighter foreign worker policies, and slow productivity growth remain. Inflation has turned positive after two years of subzero readings and the financial cycle is firming. Singapore’s external position continues to be substantially stronger than warranted by medium-term fundamentals and desired policies. Risks to the outlook are broadly balanced. Being highly open to trade and financial flows, Singapore stands to benefit from improving global sentiment. But more inward-looking policies in major economies and slowdowns in emerging economies would have an adverse impact. Domestic risks mainly relate to elevated household and corporate sector leverage, and the disruptive potential of economic restructuring through new technologies and automation for employment and inequality. |
| Date: | 2017–07–28 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/240&r=mac |
| By: | Lo Duca, Marco; Koban, Anne; Basten, Marisa; Bengtsson, Elias; Klaus, Benjamin; Kusmierczyk, Piotr; Lang, Jan Hannes; Detken, Carsten; Peltonen, Tuomas |
| Abstract: | This paper presents a new database for financial crises in European countries, which serves as an important step towards establishing a common ground for macroprudential oversight and policymaking in the EU. The database focuses on providing precise chronological definitions of crisis periods to support the calibration of models in macroprudential analysis. An important contribution of this work is the identification of financial crises by combining a quantitative approach based on a financial stress index with expert judgement from national and European authorities. Key innovations of this database are (i) the inclusion of qualitative information about events and policy responses, (ii) the introduction of a broad set of non-exclusive categories to classify events, and (iii) a distinction between event and post-event adjustment periods. The paper explains the two-step approach for identifying crises and other key choices in the construction of the dataset. Moreover, stylised facts about the systemic crises in the dataset are presented together with estimations of output losses and fiscal costs associated with these crises. A preliminary assessment of the performance of standard early warning indicators based on the new crises dataset confirms findings in the literature that multivariate models can improve compared to univariate signalling models. JEL Classification: G01, E44, E58, E60, H12 |
| Keywords: | central bank statistics, crises database, early warning models, financial crises, macroprudential |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbops:2017194&r=mac |
| By: | Alfredo Marvão Pereira (Department of Economics, The College of William and Mary, Williamsburg VA 23187); Rui Manuel Pereira (Department of Economics, The College of William and Mary, Williamsburg VA 23187) |
| Abstract: | Using a newly-developed data set, we analyze the effects of infrastructure investment on economic performance in Portugal. A vector-autoregressive approach estimates the elasticity and marginal products of twelve types of infrastructure investment on private investment, employment and output. We find that the largest long-term accumulated effects come from investments in railroads, ports, airports, health, education, and telecommunications. For these infrastructures, the output multipliers suggest that these investments pay for themselves through additional tax revenues. For investments in ports, airports and education infrastructures, the bulk of the effects are short-term demand-side effects, while for railroads, health, and telecommunications, the impact is mostly of a long term and supply side nature. Finally, investments in health and airports exhibit decreasing marginal returns, with railroads, ports, and telecommunications being relatively stable. In terms of the other infrastructure assets, the economic effects of investments in municipal roads, electricity and gas, and refineries are insignificant, while investments in national roads, highways, and waste and waste water have positive economic effects, but too small to improve the public budget. Clearly, from a policy perspective, not all infrastructure investments in Portugal are created equal. |
| Keywords: | Infrastructure Investment, Multipliers, Budgetary Effects, VAR, Portugal |
| JEL: | C32 E22 E62 H54 H60 O47 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:mde:wpaper:0075&r=mac |
| By: | Sergey V. Smirnov (National Research University Higher School of Economics); Nikolay V. Kondrashov (National Research University Higher School of Economics) |
| Abstract: | Regional statistics published by the Russian Federal State Statistics Service (Rosstat) are reviewed in terms of quality, and radical disagreement between “month-on-month” and “year-on-year” monthly statistics is identified. In view of this, an original method is proposed for estimating the level of Regional Economic Activity (REA), based on monthly official regional statistics in five key sectors of the Russian economy: industry, construction, retail trade, wholesale trade, and paid services for the population. This method transforms current “year-on-year” growth rates into specially constructed dichotomous variables, which eliminate the excessive volatility and inaccuracy of the initial time series. On these grounds, REA indices are estimated for all Russian constituent entities for the period from January 2005 to May 2017. Composite REA indices for all five economic sectors, eight federal districts, and Russia as a whole are then calculated. Methods for visualising multidimensional regional data are also proposed. They allow us to track the regional peculiarities of the Russian economy and to discern the current phase of the business cycle more accurately and without any additional lag. Several illustrative examples for the possible application of these indices in real time monitoring and analyses are provided |
| Keywords: | business cycles, economic activity, regions, federal districts of Russia. |
| JEL: | E32 R11 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:hig:wpaper:169/ec/2017&r=mac |
| By: | International Monetary Fund |
| Abstract: | Abenomics has improved economic conditions and engendered structural reforms but has not yet achieved a durable exit from deflation. The economy has expanded at a pace above potential the last five consecutive quarters, and unemployment has fallen to record low levels. Short-term fiscal stimulus and rising global demand have been key drivers. However, inflation, public debt sustainability, and growth objectives remain to be secured. Risks to the outlook are tilted to the downside, particularly in the medium term. The current favorable economic environment is an opportunity to accelerate reforms. A comprehensive and mutually reinforcing package of accelerated structural reform, coordinated demand and income polices, strengthened policy frameworks, and enhanced financial sector policies is needed. The reform agenda should prioritize structural measures aimed at facilitating reflation (particularly labor market reforms to boost wages), followed by policies to lift potential growth. |
| Date: | 2017–07–31 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/242&r=mac |
| By: | International Monetary Fund |
| Abstract: | Since its independence, Armenia has made significant strides in enhancing macroeconomic stability. Growth has been satisfactory with inflation under control and the fiscal situation broadly well managed. Lately, adverse external developments have led to significant falls in remittances and the price of copper, Armenia’s main export. Following subdued growth in 2016, the economy is expected to gradually recover in 2017, but the outlook is clouded by downside risks and tough challenges remain: growth continues to be volatile and narrowly based, trade opportunities remain limited, and public debt has increased sharply. Following important reforms in the energy sector and the tax code, the government is determined to tackle corruption, improve competition, and promote sustainable growth. |
| Keywords: | Middle East;Armenia; |
| Date: | 2017–07–19 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/226&r=mac |
| By: | Pham, Ngoc-Sang |
| Abstract: | We consider an infinite-horizon general equilibrium model with heterogeneous agents and financial market imperfections. We investigate the role of dividend taxation on economic growth and asset price. The optimal dividend taxation is also studied. |
| Keywords: | Intertemporal equilibrium, recession, growth, R&D, dividend taxation, asset price bubbles. |
| JEL: | C62 D31 D91 E44 G10 |
| Date: | 2017–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80580&r=mac |
| By: | Engelbert Stockhammer; Rafael Wildauer (Kingston University) |
| Abstract: | The past decades have witnessed a strong increase in household debt and high growth of private consumption expenditures in many countries. This paper empirically investigates four explanations: First, the expenditure cascades hypothesis argues that an increase in inequality induced lower income groups to copy the spending behaviour of richer peer groups and thereby drove them into debt (‘keeping up with the Joneses’). Second, the housing boom hypothesis argues that increasing property prices encourage household spending and household borrowing due to wealth effects, eased credit constraints and the prospect of future capital gains. Third, the low interest hypothesis argues that low interest rates encouraged households to take on more debt. Fourth, the financial deregulation hypothesis argues that deregulation of the financial sector boosted credit supply. The paper tests these hypotheses by estimating the determinants of household borrowing using a panel of 11 OECD countries (1980-2011). Results indicate that real estate prices and low interest rates were the most important drivers of household debt. In contrast the data does not support the expenditure cascades hypothesis as a general explanation of debt accumulation across OECD countries. Our results are consistent with the financial deregulation hypothesis, but its explanatory power for the 1995-2007 period is low. |
| Keywords: | household debt, income distribution, property prices |
| JEL: | D31 E12 E51 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:pke:wpaper:pkwp1710&r=mac |
| By: | Corsetti, Giancarlo; Kuester, Keith; Müller, Gernot |
| Abstract: | The zero lower bound problem during the Great Recession has exposed the limits of monetary autonomy, prompting a reevaluation of the relative benefits of currency pegs and monetary unions (see e.g. Cook and Devereux, 2016). We revisit this issue from the perspective of a small open economy. While a peg can be beneficial when the recession originates domestically, we show that a float dominates in the face of deflationary demand shocks abroad. When the rest of the world is in a liquidity trap, the domestic currency depreciates in nominal and real terms even in the absence of domestic monetary stimulus (if domestic rates are also at the zero lower bound) -- enhancing the country's competitiveness and insulating to some extent the domestic economy from foreign deflationary pressure. |
| Keywords: | Benign coincidence; Currency union; Exchange rate; Exchange rate peg; external shock; Fiscal Multiplier; great recession; zero lower bound |
| JEL: | E31 F41 F42 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:12197&r=mac |
| By: | International Monetary Fund |
| Abstract: | The steady recovery and political developments provide an opportune moment for advancing much-needed reforms to strengthen the architecture of the Economic and Monetary Union. Pro-EU political parties have gained momentum, while strong private consumption and supportive policies have boosted growth. Unemployment is falling amid solid job creation, although it remains elevated in some countries. Productivity growth has been lagging in some countries, leading convergence across countries to stall and competitiveness gaps to persist. While the recovery has been resilient to shocks so far, risks remain and continued monetary policy support is required. |
| Date: | 2017–07–25 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/235&r=mac |
| By: | International Monetary Fund |
| Abstract: | Paraguay’s macroeconomic performance has been robust. For the expansion to be durable, however, it needs to continue broadening to more sectors and be more inclusive. The recovery in key partners remains uncertain, while domestic risks include weather-related shocks and ongoing adjustments in banks’ balance sheets. Strengthening institutions and closing infrastructure gaps is essential to overcome challenges to faster income convergence and more inclusive growth. |
| Keywords: | Paraguay;Western Hemisphere; |
| Date: | 2017–07–24 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/233&r=mac |
| By: | Liu, Zheng (Federal Reserve Bank of San Francisco); Wang, Pengfei (Hong Kong University of Sciences and Technology); Xu, Zhiwei (Shanghai Jiao Tong University) |
| Abstract: | We study the consequences of interest-rate liberalization in a two-sector general equilibrium model of China. The model captures a key feature of China's distorted financial system: state-owned enterprises (SOEs) have greater incentive to expand production and easier access to credit than private firms. In this second-best environment, liberalizing interest rate controls improves capital allocations within each sector, but exacerbates misallocations across sectors. Under calibrated parameters, interest-rate liberalization may reduce aggregate productivity and welfare, unless other policy reforms are also implemented to alleviate SOEs' distorted incentives or improve private firms' credit access. |
| JEL: | E44 G18 O41 |
| Date: | 2017–07–10 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2017-15&r=mac |
| By: | Giovanni Melina; Stefania Villa |
| Abstract: | Using an estimated dynamic stochastic general equilibrium model with banking, this paper first provides evidence that monetary policy reacted to bank loan growth in the US during the Great Moderation. It then shows that the optimized simple interest-rate rule features no response to the growth of bank credit. However, the welfare loss associated to the empirical responsiveness is small. The sources of business cycle fluctuations are crucial in determining whether a “leaning-against-the-wind” policy is optimal or not. In fact, the predominant role of supply shocks in the model gives rise to a trade-off between inflation and financial stabilization. |
| Date: | 2017–07–31 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:17/179&r=mac |
| By: | Konstantakis, Konstantinos N.; Michaelides, Panayotis G. |
| Abstract: | The purpose of this paper is to deal with questions of instability and economic crisis, deriving theoretical arguments from Schumpeter’s works and presenting relevant empirical evidence for the case of the US economy by sector of economic activity in the time period 1957-2006, just before the first signs of the global recession made their appearance. More precisely, we make an attempt to interpret the economic fluctuations in the US economy by sector of economic activity and find causal relationships between the crucial variables dictated by Schumpeterian theory. In this context, a number of relevant techniques have been used, such as cointegration analysis, periodograms, Granger causality tests as well as stepwise bi-directional causality test a la Dufour and Renault. Our findings seem to give credit to certain aspects of the Schumpeterian theory of business cycles. The results are discussed in a broader context, related to the US sectoral economy. |
| Keywords: | Economic Crisis, US Sectoral Economy, Schumpeter, Business Cycles. |
| JEL: | C01 N0 O3 O4 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80636&r=mac |
| By: | - |
| Abstract: | In the first quarter of 2017, the U.S. economy grew at an annualized rate of 1.4%. Fixed investment was the main driver of growth, while inventories were a large drag. Consumer spending slowed significantly from its pace in previous quarters, but still accounted for about half of GDP growth in the first quarter. · U.S. employers added a seasonally adjusted 1,079,000 jobs during the first six months of 2017, the weakest first-half performance since 2010, according to data the Labor Department. · Productivity was flat in the first three months of the year. Slumping productivity gains have led to disappointing real GDP growth this expansion. · Unit labor costs rose 2.2%. Hourly compensation, encompassing everything from salaries to retirement benefits and health care costs, also rose at a 2.2% annual rate in the first quarter. · Over the last 12 months, the all items Consumer Price Index rose 1.9% before seasonal adjustment. The core CPI was up 1.7% on the year. Core inflation appears to have moderated, as year-over-year growth was weaker than the 2.2% gain in May 2016. · Regarding the external sector, the current account deficit, the broadest measure of U.S. trade with the rest of the world, widened to US$ 116.8 billion in the first quarter of 2017, an increase of US$ 2.8 billion. In May, the U.S. trade deficit narrowed 2.3% to a seasonally adjusted US$ 46.51 billion, as exports rose to their highest level in more than two years. · The Federal Open Market Committee (FOMC) raised interest rates by a quarter point two times in the first half of 2017: in March and in June. |
| Keywords: | CONDICIONES ECONOMICAS, ESTADISTICAS ECONOMICAS, ESTUDIOS ECONOMICOS, ECONOMIC CONDITIONS, ECONOMIC STATISTICS, ECONOMIC SURVEYS |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:ecr:col896:41986&r=mac |
| By: | Köppl-Turyna, Monika; Lorenz, Hanno |
| Abstract: | We analyze the effectiveness of an increase in government consumption for stimulating growth for diverse levels of public debt in the European Union. We conclude, that growth rate can be stimulated in the short run by an increase in government consumption but only at low levels of public debt. Moreover, we find that an increase in intermediate consumption is more effective than an increase in compensation of public employees in stimulating output growth. |
| Keywords: | growth,fiscal stimulus,government consumption,public debt |
| JEL: | E62 H30 H50 H63 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:agawps:02&r=mac |
| By: | International Monetary Fund |
| Abstract: | Brazil’s deep recession appears close to an end. But risks remain. The government that took office last year found an economy in recession and structural problems that threatened fiscal sustainability. The recession, triggered by large macroeconomic imbalances and a loss of confidence, was exacerbated by declining terms of trade, tight financing conditions, and a political crisis. Buoyed by congressional and market support, the government has pursued an ambitious reform agenda. A constitutional amendment that caps growth in federal noninterest spending in real terms has been passed and progress has been made on the discussion of social security and other structural reforms. Disinflation has gathered momentum, providing more room for monetary easing. While the end of the recession appears to be in sight, a recent rise in political uncertainty has cast a shadow over the outlook. The government’s ability to deliver on social security reform, a necessary step toward securing fiscal sustainability, has become more uncertain—and, with national elections scheduled for 2018, the window for legislative action is closing. |
| Keywords: | Brazil;Western Hemisphere; |
| Date: | 2017–07–13 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/215&r=mac |
| By: | International Monetary Fund |
| Abstract: | Jordan has made significant progress since the 2014 Article IV consultation, but challenges are still pressing. The economy has proven resilient in the face of severe external shocks. The exchange rate peg remains an important anchor, reserves are comfortable, and the financial system is sound. The fiscal deficit has narrowed, while monetary policy has supported growth. However, Jordan’s performance has lagged other emerging markets, with growth below potential, high unemployment, and elevated public debt—and with regional conflicts and Syrian refugees continuing to weigh on social conditions, public finances, investment, and the current account. |
| Keywords: | Jordan;Middle East; |
| Date: | 2017–07–24 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/231&r=mac |
| By: | Williams, John C. (Federal Reserve Bank of San Francisco) |
| Abstract: | Presentation to the Economic Club of Las Vegas, Las Vegas, Nevada, John C. Williams, President and CEO, Federal Reserve Bank of San Francisco, August 2, 2017 |
| Date: | 2017–08–02 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfsp:181&r=mac |
| By: | International Monetary Fund |
| Abstract: | The near-term growth momentum remains strong, supported by accommodative monetary and fiscal policies and sizable EU transfers. The economy is operating above potential, with the unemployment rate at a historical low. But long-term growth will be more subdued, unless adverse demographics and structural constraints on investment and total factor productivity (TFP) growth are addressed. Some recent policies, notably the reversal of the 2013 retirement age increase, will likely exacerbate the decline in the working-age population and require additional fiscal consolidation efforts. While the external environment has improved, both global and domestic policy uncertainties continue to weigh on sentiment. |
| Keywords: | Poland;Europe; |
| Date: | 2017–07–17 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/220&r=mac |
| By: | OKIMOTO Tatsuyoshi; TAKAOKA Sumiko |
| Abstract: | We introduce an affine term structure model with observed macroeconomic factors for the government bond yield and credit spread curves. Empirical results based on the model selection using Japanese data demonstrate that the government bond yield and credit spread curves are dominated by monetary policy and suggest that the flight-to-quality behavior considerably affects the government bond yield. In addition, our results indicate that global economic forces, such as the U.S. Treasury yield and Baa-Aaa credit spread, play a major role in the joint dynamics of government yield and credit spread curves, complementing a growing body of literature explaining what drives the yield and credit spread curves. Our contemporaneous response and historical decomposition analyses find that monetary policy and global economic and financial forces have large impacts on all maturities and curves. |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:17104&r=mac |
| By: | Willem THORBECKE |
| Abstract: | In 2008, U.S. demand collapsed and triggered deflation. The U.S. Federal Reserve (Fed) employed large-scale asset purchases (LSAP) to fight deflation. How did news of LSAP affect inflationary expectations? If investors believed that LSAP would raise inflation, they would sell assets exposed to inflation and purchase inflation hedges. This would lower the prices of assets that are exposed to inflation and raise the prices of assets that benefit from inflation. Examining the relationship between asset price changes and inflation sensitivities can thus shed light on how financial markets process LSAP news. The results indicate that initially LSAP announcements lowered expected inflation. Only as inflation approached its target did news of LSAP raise expected inflation. |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:17097&r=mac |
| By: | DiGabriele, Jim; Ojo, Marianne |
| Abstract: | The assumption of a different name for professional purposes dates back centuries – where environments did not encourage certain practices by certain genders. Even presently, the Internet Revolution – fuelled by online transactions and practices, is inducing many to assume measures aimed at the protection of their data – as well as privacy. How important is a professional career or the need to protect privacy such that the necessary, consequent (and ultimate) change involved with official documents also justifies such change? It will be argued by some that getting used to a new name is just a matter which can be adjusted to (and easily over time) – particularly with ease during an age where all documentation is also increasingly becoming digital. And what of those who have done nothing at all to change their names – but who have already been defined by society through their names – even though such definition or expectations may not necessarily accord with their true or real nature? Are they to be criticized for choosing to live genuine lives – which are regarded as contrary to societal expectations – by virtue of prior and already perceived perceptions? A case of the character or person (behind the name) not corresponding to what was expected – hence in the public view, not the real deal? As well as highlighting what should constitute ultimate considerations in determining whether fraudulent acts have been committed, this paper and presentation also aims to highlight challenges faced in an increasingly digital economy – as well as highlight the role of forensic accountants in addressing such challenges. |
| Keywords: | digital economy; fraud and error detection; forensic accounting; privacy protection |
| JEL: | E3 E5 G1 G2 G3 K2 M41 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80709&r=mac |
| By: | International Monetary Fund |
| Abstract: | The three-year arrangement under the Extended Credit Facility (ECF) was approved on July 20, 2016 in an amount of SDR 83.55 million (75 percent of quota). The ECF arrangement provides balance of payments support for the government’s reform agenda to restore macroeconomic stability, boost economic growth and job creation, reduce poverty, and build resilience towards exiting fragility. The first review was completed on December 21, 2016, bringing total disbursements under the arrangement to SDR 25.05 million (22.5 percent of quota). |
| Date: | 2017–07–31 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/245&r=mac |
| By: | International Monetary Fund |
| Abstract: | Gabon is the second largest economy in the Central African Economic and Monetary Union (CEMAC). Since mid-2014, the decline in oil prices has generated a sharp slowdown in economic activity, large drops in oil exports and fiscal revenues, and widening fiscal and current account deficits. The Gabonese authorities are requesting a three-year, extended arrangement under the Extended Fund Facility (EFF) in an amount equivalent to SDR 464.400 million, corresponding to 215 percent of Gabon’s quota at the Fund. |
| Keywords: | Gabon;Sub-Saharan Africa; |
| Date: | 2017–07–11 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/205&r=mac |
| By: | International Monetary Fund |
| Abstract: | Economic growth has slowed. Secular and cyclical factors are at work. Private investment has plateaued in recent years and is skewed toward real estate. Credit to the private sector has stalled, driven by rising non-performing loans that partly reflect government arrears. Uganda has been affected by the drought in the Horn of Africa and regional conflicts. |
| Keywords: | Uganda;Sub-Saharan Africa; |
| Date: | 2017–07–12 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/206&r=mac |
| By: | Ralf Brüggemann (Department of Economics, University of Konstanz, Germany); Christian Kascha (http://www.christiankascha.com/) |
| Abstract: | We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so-called strongly connected components (SCCs). Using this graphical representation, we consider the problem of variable selection. We use the relations among the strongly connected components to select variables that need to be included in a VAR if interest is in forecasting or impulse response analysis of a given set of variables. We show that the set of selected variables from the graphical method coincides with the set of variables that is multi-step causal for the variables of interest by relating the paths in the graph to the coecients of the `direct' VAR representation. Empirical applications illustrate the usefulness of the suggested approach: Including the selected variables into a small US monetary VAR is useful for impulse response analysis as it avoids the well-known `price-puzzle'. We also nd that including the selected variables into VARs typically improves forecasting accuracy at short horizons. |
| Keywords: | Vector autoregression, Variable selection, Directed graphs, Multi-step causality, Forecasting, Impulse response analysis |
| JEL: | C32 C51 E52 |
| Date: | 2017–08–08 |
| URL: | http://d.repec.org/n?u=RePEc:knz:dpteco:1706&r=mac |
| By: | International Monetary Fund |
| Abstract: | Mali is a fragile state, struggling with insurgency and terrorism. Implementation of the June 2015 peace agreement is difficult and attacks by terrorist groups not part of the peace agreement are causing numerous casualties. The economy performed well in 2016, with strong economic growth and low inflation. However, poverty remains high and social discontent is growing. Security efforts and the decentralization process associated with the peace agreement pose fiscal challenges. The near-term outlook for continuing strong growth is subject to downside risks from the volatile security conditions. |
| Keywords: | Sub-Saharan Africa;Mali; |
| Date: | 2017–07–12 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/209&r=mac |
| By: | Jean-Guillaume Poulain; Julien Reynaud |
| Abstract: | We analyze the determinants of IMF lending since the early nineties, a period during which the roles of financial cycles and interconnectedness as amplifiers and transmitters of economic crises have gained prominence. First, we show that the global financial cycle is an important driver of IMF lending cycles. Second, using a panel of 91 advanced, emerging, and frontier economies over 1992-2014, we show that global factors and interconnectedness, as proxied by a countries’ potential exposure to economic spillovers from trade partners, together with more traditional idiosyncratic factors, have a significant impact on the probability that a member country obtains financial assistance from the IMF. Our results are robust to various robustness checks. The approach presented in this paper can be used to assess future demand for IMF financial assistance. |
| Keywords: | IMF Lending;Interconnectedness;Spillovers;global financial cycle, General, International Monetary Arrangements and Institutions, International Lending and Debt Problems, International Policy Coordination and Transmission |
| Date: | 2017–07–10 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:17/155&r=mac |
| By: | Bao H. NGUYEN; OKIMOTO Tatsuyoshi |
| Abstract: | This paper provides new empirical evidence on the asymmetric reactions of the U.S. natural gas market and the U.S. economy to its market fundamental shocks in different phases of the business cycle. To this end, we employ a smooth-transition vector autoregression (STVAR) model to capture the asymmetric responses depending on economic conditions. Our results indicate that the STVAR model provides a plausible explanation to the behavior of the U.S. natural gas market, which reacts asymmetrically in both bad and good times. For example, a positive real oil price shock has a negative impact on natural gas production in recessions, while the responses of natural gas production to the same shock are significantly positive during expansions. In addition, the positive relationship between the oil and natural gas prices is more prominent in expansions in the long run. In addition, U.S. economic activity is found to be much more sensitive to oil and natural gas price shocks occurring in recessions than in expansions. |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:17102&r=mac |
| By: | International Monetary Fund |
| Abstract: | The authorities remain committed to achieving the 3 percent of GDP WAEMU fiscal deficit target one year early in 2018. Containment of current public expenditure and reforms to increase revenues have created space for an increase in public investment, while staying on the planned fiscal consolidation path. Weakness in Treasury operations has required additional borrowing and could undermine fiscal sustainability if not addressed through structural reforms of the Postal system, civil service pensions, as well as measures to strengthen public financial management. |
| Keywords: | Senegal;Sub-Saharan Africa; |
| Date: | 2017–07–24 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/230&r=mac |
| By: | Davide Debortoli; Jinill Kim; Jesper Lindé; Ricardo C Nunes |
| Abstract: | Yes, it makes a lot of sense. This paper studies how to design simple loss functions for central banks, as parsimonious approximations to social welfare. We show, both analytically and quantitatively, that simple loss functions should feature a high weight on measures of economic activity, sometimes even larger than the weight on inflation. Two main factors drive our result. First, stabilizing economic activity also stabilizes other welfare relevant variables. Second, the estimated model features mitigated inflation distortions due to a low elasticity of substitution between monopolistic goods and a low interest rate sensitivity of demand. The result holds up in the presence of measurement errors, with large shocks that generate a trade-off between stabilizing inflation and resource utilization, and also when ensuring a low probability of hitting the zero lower bound on interest rates. |
| Keywords: | Central banks and their policies;Central banks' objectives, simple loss function, monetary policy design, sticky prices and sticky wages, DSGE models, Central banks’ objectives, Time-Series Models |
| Date: | 2017–07–19 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:17/164&r=mac |
| By: | Ahmed Jamal Pirzada |
| Abstract: | The standard New Keynesian model requires large degree of price stickiness to match observed inflation dynamics. This is contrary to micro-evidence on prices. This paper addresses this criticism of the standard model. Firstly, the price mark-up shock is replaced with a sector-specific intermediate input-price shock. Secondly, survey data on long-term inflation expectations are also used when estimating the new model. Estimation results show that marginal costs in the model with intermediate materials are stable unlike in the model without. As a result, the new model does not require a large degree of price stickiness to match marginal costs and observed inflation. The model is estimated for both the US and the Euro area, thus showing that this result is not specific to the US only. |
| Date: | 2017–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:bri:uobdis:17/686&r=mac |
| By: | Savvides, Savvakis C. |
| Abstract: | Cyprus suffers from a developing acute case of Balance Sheet Recession. This means that because of the excessive and quite unprecedented levels of private debt (3 to 4 times the size of the country’s GDP) weighing on households and corporations, it is practically impossible for the country to overcome the recessionary effects of the austerity conditions that were imposed since the bail-in in 2013 and which still constitute the core of the Government policy. The article concludes that therefore the government should stand ready to have in place the institutions and provide for such fiscal measures which will mitigate and cushion the deflationary effects of the coming, but very foreseeable, recession. |
| Keywords: | Private Debt, Balance Sheet recession, Austerity |
| JEL: | E6 G2 O1 |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80627&r=mac |
| By: | International Monetary Fund |
| Abstract: | Recent developments are broadly in line with the 2016 Article IV Consultation Staff Report. The 2016 electoral cycle was completed on February 8, with the election of Mohamed Abdullahi Mohamed as President, which provides a fresh mandate for stronger reforms in the next four years and continued donor support. Progress is being made in improving the security situation, developing institutional capacity, and state-building. On May 16, 2016, the IMF Managing Director approved a 12-month Staff-Monitored Program (SMP) (May 2016–April 2017) and the first review under the SMP was completed on February 3, 2017. This is the second and last review under the first SMP, which ended in April 2017. The authorities have requested a second 12-month SMP. |
| Keywords: | Somalia;Middle East; |
| Date: | 2017–07–11 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/204&r=mac |
| By: | Yıldırım, Durmuş Çağrı; Çevik, Emrah İsmail |
| Abstract: | The aim of the study is to examine the effects of financial openness on Turkey economy for the periods of 1993-2016. We consider real GDP for economic growth variable in the study and financial openness variable is calculated regarding to definition by Aizenman (2004). We employ both Granger causality test and asymmetric causality test proposed by Hatemi-J (2012) to determine dynamic relation between economic growth and financial openness. We find bidirectional causal link running from economic growth to financial openness according to symmetric causality test result. Asymmetric causality test results suggest that financial openness is positively affected from economic contraction and economic growth effects financial openness as negatively. |
| Keywords: | Financial openness, GDP, asymmetric causality |
| JEL: | C32 E44 |
| Date: | 2017–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80472&r=mac |
| By: | International Monetary Fund |
| Abstract: | Rwanda has demonstrated strong macroeconomic policy management and implemented an ambitious development strategy that has resulted in high and inclusive growth, lower poverty, and better living standards. The government is drafting a new long-term development strategy aimed at reaching upper middle-income status by 2035. Reforms should build on progress achieved, including: continuing to reorient the economy toward higher value-added activities; further bolstering gender equality through greater inclusion in structural transformation; advancing the use of technology to increase access to financial institutions; and fostering the development of securities markets. Main risks to economic growth continue to be shocks affecting agriculture, regional security issues, and external changes to development assistance. |
| Keywords: | Rwanda;Sub-Saharan Africa; |
| Date: | 2017–07–13 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/217&r=mac |
| By: | Kose, Ayhan; Kurlat, Sergio; Ohnsorge, Franziska; Sugawara, Naotaka |
| Abstract: | This paper presents a comprehensive cross-country database of fiscal space, broadly defined as the availability of budgetary resources for a government to service its financial obligations. The database covers up to 200 countries over the period 1990-2016, and includes 28 indicators of fiscal space grouped into four categories: debt sustainability, balance sheet vulnerability, external and private sector debt related risks as potential causes of contingent liabilities, and market access. We illustrate potential applications of the database by analyzing developments in fiscal space across three time frames: over the past quarter century; during financial crises; and during oil price plunges. The main results are as follows. First, fiscal space had improved in many countries before the global financial crisis. In advanced economies, following severe deteriorations during the crisis, many indicators of fiscal space have virtually returned to levels in the mid-2000s. In contrast, fiscal space has shrunk in many emerging market and developing economies since the crisis. Second, financial crises tend to coincide with deterioration in multiple indicators of fiscal space, but they are often followed by reduced reliance on short-term borrowing. Finally, fiscal space narrows in energy-exporting emerging market and developing economies during oil price plunges but later expands, often because of procyclical fiscal tightening and, in some episodes, a recovery in oil prices. |
| Keywords: | financial crises; fiscal deficit; Fiscal policy; oil prices; private debt; Sovereign debt |
| JEL: | E62 H62 H63 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:12196&r=mac |
| By: | M. Ayhan Kose; Sergio Kurlat; Franziska Ohnsorge; Naotaka Sugawara |
| Abstract: | This paper presents a comprehensive cross-country database of fiscal space, broadly defined as the availability of budgetary resources for a government to service its financial obligations. The database covers up to 200 countries over the period 1990-2016, and includes 28 indicators of fiscal space grouped into four categories: debt sustainability, balance sheet vulnerability, external and private sector debt related risks as potential causes of contingent liabilities, and market access. We illustrate potential applications of the database by analyzing developments in fiscal space across three time frames: over the past quarter century; during financial crises; and during oil price plunges. The main results are as follows. First, fiscal space had improved in many countries before the global financial crisis. In advanced economies, following severe deteriorations during the crisis, many indicators of fiscal space have virtually returned to levels in the mid-2000s. In contrast, fiscal space has shrunk in many emerging market and developing economies since the crisis. Second, financial crises tend to coincide with deterioration in multiple indicators of fiscal space, but they are often followed by reduced reliance on short-term borrowing. Finally, fiscal space narrows in energy-exporting emerging market and developing economies during oil price plunges but later expands, often because of procyclical fiscal tightening and, in some episodes, a recovery in oil prices. |
| Keywords: | Fiscal policy, sovereign debt, fiscal deficit, private debt, financial crises, oil prices |
| JEL: | E62 H62 H63 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2017-48&r=mac |
| By: | Daniel Garcia-Macia |
| Abstract: | Why did the Great Recession lead to such a slow recovery? I build a model where heterogeneous firms invest in physical and intangible capital, and can default on their debt. In case of default, intangible assets are harder to seize by creditors. Hence, intangible capital faces higher financing costs. This differential is exacerbated in a financial crisis, when default is more likely and aggregate risk bears a higher premium. The resulting fall in intangible investment amplifies the crisis, and gradual intangible spillovers to other firms contribute to its persistence. Using panel data on Spanish manufacturing firms, I estimate the model matching firm-level moments regarding intangibles and financing. The model captures the extent and components of the Great Recession in Spanish manufacturing, whereas a standard model without endogenous intangible investment would miss more than half of the GDP fall. A policy of transfers conditional on firm age could speed up the recovery, as young firms tend to be more financially constrained, particularly regarding intangible investment. Conditioning transfers on firm size or subsidizing credit (as in current E.U. policy) appears to be less effective. |
| Date: | 2017–07–31 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:17/176&r=mac |
| By: | DiMaggio, Marco (Harvard Business School and NBER); Kermani, Amir (University of California, Berkeley, and NBER); Ramcharan, Rodney (University of Southern California); Yu, Edison (Federal Reserve Bank of Philadelphia) |
| Abstract: | This paper investigates the impact of uncertainty on consumer credit outcomes. We develop a local measure of economic uncertainty capturing county-level labor market shocks. We then exploit microeconomic data on mortgages and credit-card balances together with the crosssectional variation provided by our uncertainty measure to show strong borrower-specific heterogeneity in response to changes in uncertainty. Among high risk borrowers or areas with more high risk borrowers, increased uncertainty is associated with housing market illiquidity and a reduction in leverage. For low risk borrowers, these effects are absent and the cost of mortgage credit declines, suggesting that lenders reallocate credit towards safer borrowers when uncertainty spikes. A similar pattern is observed in the unsecured credit market. Taken together, local uncertainty might independently affect aggregate economic activity through consumer credit markets and could engender greater inequality in consumption and housing wealth accumulation across households. |
| Keywords: | consumer credit; mortgages; credit cards; lending practices; |
| JEL: | D14 D80 E52 G21 |
| Date: | 2017–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:17-21&r=mac |
| By: | International Monetary Fund |
| Abstract: | The U.S. is in its third longest expansion since 1850, job growth has been persistently strong, inflation is subdued, and the economy is effectively at full employment. However, like many other advanced economies, the U.S. is confronting secular shifts on multiple fronts. These include technological change that is reshaping labor and product markets, low productivity growth, rising skills premia, and an aging population. Even with high per capita income and one of the most flexible, competitive, and innovative economies in the world, the U.S. model appears to be having difficulties adapting to these changes. Most critically, relative to historical performance, growth has been too low and too unequal. The challenge for the U.S. administration is to realign policies to raise productivity and labor force participation, reduce poverty and income polarization, and help restore the economy’s adaptability and dynamism. |
| Date: | 2017–07–26 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:17/239&r=mac |
| By: | Gete, Pedro; Zecchetto, Franco |
| Abstract: | We analyze the removal of the credit-risk guarantees provided by the government sponsored enterprises (GSEs) in a model with agents heterogeneous in income and house price risk. We find that wealth inequality increases, driven by higher mortgage spreads and housing rents. Housing holdings become more concentrated. Foreclosures fall. The removal benefits high-income households, while hurting low- and mid-income households (renters and highly leveraged mortgagors with conforming loans). GSE reform requires compensating transfers, sufficiently high elasticity of rental supply, or linking GSE reform with the elimination of the mortgage interest deduction. |
| Keywords: | Default, Loan Guarantees, Housing, Inequality, Mortgages, Rents |
| JEL: | E51 G21 H81 R2 |
| Date: | 2017–04 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80643&r=mac |
| By: | Andrey G. Shulgin (National Research University Higher School of Economics) |
| Abstract: | This paper constructs a theoretical general equilibrium model for exchange rate determination in a small open commodity exporting economy based on an imperfect capital market a la Gabaix-Maggiori and appropriate for estimation on high frequency data and could be used for the evaluation of sterilized intervention effectiveness. To find empirical confirmation of the theoretical setup validity I use Russian daily statistics to estimate the model and investigate the reaction of the Russian ruble-US dollar exchange rate to sterilized interventions in the form of foreign currency repo auctions conducted by the Bank of Russia in the period of 2014-2017. I also estimate a vector error correction model on the same dataset and use it as important empirical benchmark for the theoretical model. The empirical analysis revealed a temporary statistically significant effect of sterilized intervention on exchange rate level, which peaked eight working days after the auction day. The combination of theoretical and empirical approaches demonstrates the effectiveness of the portfolio and the ineffectiveness of signalling channels in the transmission mechanism of the sterilized intervention instrument in Russian case |
| Keywords: | sterilized interventions; intervention effectiveness; repo auctions; commodity export; imperfect capital market; Russia. |
| JEL: | E58 F32 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:hig:wpaper:170/ec/2017&r=mac |
| By: | Schwärzler, Marion Cornelia; Kronenberg, Tobias |
| Abstract: | The Multiregional Health Account is a satellite account focusing on the economic impact of the health economy in German federal states. It was developed as an enhancement of the existing National Health Account for Germany. In contrast to the subject of matter over here, the calculations of the National Health Account are based on available national supply and use tables. Since there are no according tables available for the German federal states, we developed a methodology, which allows to calculate supply and use tables at the subnational multiregional level. The present paper focusses on the results of the MRHA for the reason of a thorough validation procedure of the developed approach. We evaluate regional direct effects of the health economy by comparing derived characteristics with company data and evaluate the performance of the algorithm in a time series. We find that the elaborated approach shows reasonable results in both dimensions evaluated. |
| Keywords: | national accounts, satellite account, health economy, Germany, regionalization, supply and use tables, SUT-RAS |
| JEL: | C67 E01 I15 R11 R15 |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80717&r=mac |
| By: | Maupin, Julie |
| Abstract: | Blockchain technologies hold the key to building an inclusive global digital economy that is auditably secure and transparently accountable to the world's citizens. At a time when governments must fight to restore the public's faith in cross-border economic cooperation, blockchains can play a critical role in strengthening economic resilience while ensuring the global economy works to the benefit of all. The G20 must take decisive steps to harness this technology in service of its policy goals across the core focus areas of economic resilience, financial inclusion, taxation, trade and investment, employment, climate, health, sustainable development, and women's empowerment. Failure to do so risks further fragmenting the global economy, undermining public trust in international economic institutions, and pushing the most cutting-edge blockchain developments into dark web deployments that are beyond the reach of government influence. By acting now to embrace blockchains' socially beneficial properties and minimize their potential downside risks, the G20 governments can lay the foundation for a just, prosperous, and truly shared global economy. |
| Keywords: | blockchain,distributed ledger,tangle,cryptocurrency,Bitcoin,Ethereum,G20,WTO,Basel Agreements,Paris Agreement,international law,regulation,technology,innovation,transnational cooperation,trade,environment,financial system,monetary system |
| JEL: | E42 E58 F33 G15 K33 O33 Q56 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwedp:201748&r=mac |
| By: | Alfredo Marvão Pereira (Department of Economics, The College of William and Mary, Williamsburg VA 23187); Rui Manuel Pereira (Department of Economics, The College of William and Mary, Williamsburg VA 23187) |
| Abstract: | We use the industry-specific effects of twelve different infrastructure investments in Portugal to inform about the mechanisms through which such investments affect economic activity. Our main findings are as follows. First, demand-side effects that are approximated by adding the short-term and long-term construction effects are very important. They are over 60% of total effects for airport investments, ports, refineries, and water, and over 45% for national roads, municipal roads, telecommunications, health and education. Second, site-location effects that are approximated by real-estate effects are also very significant, in particular for national roads, highways and railroads, with 30%, 35% and 64% of the total effects, respectively. They are negative for water and electricity, and zero for municipal roads, airports, and refineries, and negligible for ports, i.e., all these are cases in which we would expect adverse or small location effects. Third, the functional channel relating to internationally-traded goods, approximated by the effects on the primary sector, on manufacturing, and on transportation, is much less significant, although we estimate meaningful effects on heavy industry from investments in all types of road infrastructures, ports, health, and education, as well as on light industry from ports. Fourth, a functional effect affecting non-traded industries, mostly private and public services is much more relevant. It accounts for more than 30% of the effects in the cases of municipal roads, airports, and refineries, and in excess of 20% for highways, railroads, telecommunications, health and education. The fact that most functional effects accrue to non-traded industries is likely to affect international competitiveness adversely. Naturally, these results cannot be automatically generalized, as the nature of the effects of infrastructure investments crucially depends on the level of development of the country in question, on the maturity of its existent infrastructure systems, and on the rigor of all decisions pertaining to infrastructure investment. Nevertheless, they establish that, as infrastructure investments are concerned, the dominance of virtuous supply side effects is not a foregone conclusion and, conversely, the relevance of Keynesian effects cannot be dismissed. |
| Keywords: | Infrastructure investment, Output, Industry-level, Supply-side effects; Demand-side effects, Vector-autoregressive, Portugal |
| JEL: | C32 E22 H54 L90 L98 O52 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:mde:wpaper:0076&r=mac |
| By: | Gani Ramadani (National Bank of the Republic of Macedonia) |
| Abstract: | This paper analyses the role of the intensity of output market competition, firm’s technology and of the incidence of collective wage-bargaining on firm’s adjustment strategies to adverse shocks using firm-level data for Macedonia. We find that international character of product market competition reduces the relevance of firms’ price reactions to cost shocks, whereas firms’ exposure to domestic competition seems to have an opposite effect. The presence of collective wage agreements at national level makes a price increase less likely. The results suggest that labour intensity in production process makes firms more likely to increase prices after wage shock. The second part of the paper focuses on cost-cutting strategies and the factors that explain the choice of the strategy. The data indicate that market competition and wage agreements signed outside the firm increase the likelihood of cost-cutting strategies via labour costs, particularly through employment reduction, after cost shock. On the contrary, empirical results indicate that fluctuations in permanent employment to cost and wage shock are safeguarded by presence of temporary and part time employment. |
| Keywords: | survey data, product market competition, labour market institutions, firm’s technology, Macedonia |
| JEL: | C42 D21 E30 J38 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:mae:wpaper:2017-02&r=mac |
| By: | Christian Fons-Rosen; Sebnem Kalemli-Ozcan; Bent E. Sorensen; Carolina Villegas-Sanchez; Vadym Volosovych |
| Abstract: | We study the impact of foreign direct investment (FDI) on total factor productivity (TFP) of domestic firms using a new, representative firm-level data set spanning six countries. A novel finding is that firm-level spillovers from foreign firms to domestic companies can be significantly positive, non-existent, or even negative, depending on which sectors receive FDI. When foreign firms produce in the same narrow sector as domestic firms, the latter are negatively affected by increasing competition and positively affected by knowledge spillovers. We find that the positive spillovers dominate if foreign firms enter sectors where firms are “technologically close,” controlling for the endogeneity of their entry decision into such sectors. Positive technology spillovers also affect firms in other sectors, if those sectors are technologically close to the sectors receiving FDI. Increasing FDI in sectors that are technologically close to other sectors boosts TFP of domestic firms by twice as much as increasing FDI by the same amount across all sectors. |
| JEL: | E32 F15 F36 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:23643&r=mac |
| By: | Thomas Goda (Universidad EAFIT (CO)); Santiago Sanchez |
| Abstract: | This paper uses national accounts data to adjust market and disposable Top 10% and Top 1% household survey income shares for 39 developed and developing countries that are part of the Luxembourg Income Study (LIS). An additional novelty of this study is the distinction between labor and capital income. The obtained results suggest that for most countries top income shares are significantly higher than those reported in household surveys, which mainly underestimate top capital income. While the presented results should be treated with some caution, our easy-to-implement approach seems suitable for countries for which no tax data is available. |
| Keywords: | top income shares, personal income inequality, income distribution, LIS household surveys, system of national accounts (SNA) |
| JEL: | D31 E25 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:pke:wpaper:pkwp1711&r=mac |
| By: | Thomas Goda; Santiago Sanchez |
| Abstract: | This paper uses national accounts data to adjust market and disposable Top 10% and Top 1% household survey income shares for 39 developed and developing countries that are part of the Luxembourg Income Study (LIS). An additional novelty of this study is the distinction between labor and capital income. The obtained results suggest that for most countries top income shares are significantly higher than those reported in household surveys, which mainly underestimate top capital income. While the presented results should be treated with some caution, our easy-to-implement approach seems suitable for countries for which no tax data is available. |
| Keywords: | top income shares, personal income inequality, income distribution, LIS household surveys, system of national accounts (SNA) |
| JEL: | D31 E25 |
| Date: | 2017–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:col:000122:015674&r=mac |
| By: | Schwärzler, Marion Cornelia; Kronenberg, Tobias |
| Abstract: | The Multiregional Health Account is a methodological enhancement of the National Health Account and adds a subnational regional dimension to the latter. Both satellite accounts aim to quantify the contribution of the German health economy in terms of gross value added, employment and trade. Moreover, since they are based on supply and use tables and thus input-output tables of the national accounting system, both models allow input-output analysis for a more thorough evaluation of the national and multiregional health economy. The challenge addressed in this paper consists in questioning the reliability of the results from multiregional input-output analysis based on the Multiregional Health Account. This is necessary due to the circumstance that no official multiregional input-output tables are available for German federal states and we elaborated a new methodology to derive multiregional tables on our own. Hence, we conduct input-output analysis to evaluate the performance of the multiregional input-output table in modelling intra- and interregional interdependencies. We find that the model succeeds in reproducing certain regional characteristics. |
| Keywords: | Input-output analysis, regionalization, satellite account, health economy, Germany, supply and use tables, SUT-RAS |
| JEL: | C67 E01 I15 R11 R15 |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:80719&r=mac |