|
on Macroeconomics |
|
Issue of 2021‒05‒03
seventy papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Calvin He (Reserve Bank of Australia) |
| Abstract: | Central banks analyse copious amounts of information to assess the economic outlook to then set monetary policy. So, could changes in monetary policy reveal some additional information about the economic outlook to the public? This channel is known as the 'information effect'. The information effect posits that, in addition to the usual effects of monetary policy, agents interpret an interest rate increase as signalling some additional positive economic information. This effect, if strong enough, could then lead to dynamics where an increase in interest rates causes an expansion in economic activity. I evaluate whether the information effect can be detected in Australia through the lens of equity markets. I find that, contrary to the predictions of the information effect, a surprise monetary tightening from a monetary policy announcement causes equity prices to fall. I also show that this response in equity prices is, at least in part, driven by downward adjustments in expected earnings growth. These responses are consistent with conventional views of the effects of monetary policy. However, looking beyond monetary policy announcements yields some evidence that an information effect could be present through other forms of Reserve Bank of Australia (RBA) communication. I find speeches delivered by the RBA Governor generate responses in equity prices and earnings forecasts consistent with the information effect. But this result appears to be the exception rather than the rule. For most monetary policy communication, at least in equity markets, the information effect is not an important channel of monetary policy. |
| Keywords: | monetary policy; information effect; equity markets; equity prices; earnings forecasts |
| JEL: | E40 E43 E44 E50 E52 E58 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:rba:rbardp:rdp2021-04&r= |
| By: | Dany Brouillette; Guyllaume Faucher; Martin Kuncl; Austin McWhirter; Youngmin Park |
| Abstract: | La croissance de la production potentielle devrait être plus forte que celle prévue lors de la réévaluation d’octobre 2020. D’ici 2024, elle sera légèrement supérieure à la croissance moyenne observée de 2010 à 2019. D’après notre évaluation, le taux nominal neutre au Canada se situe toujours dans une fourchette allant de 1,75 à 2,75 %. |
| Keywords: | Economic models; Interest rates; Labour markets; Monetary policy; Potential output; Productivity |
| JEL: | E2 E23 E24 E3 E37 E4 E43 E5 E52 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocsan:21-6fr&r= |
| By: | Greta Meggiorini; Fabio Milani |
| Abstract: | This paper estimates a New Keynesian model with new and old behavioral elements. Agents in the model exhibit cognitive discounting, or myopia: they discount variables far into the future at higher rates than typically implied in the benchmark model. We investigate the model under different expectational assumptions: rational expectations, subjective expectations with infinite-horizon learning, and subjective expectations with Euler-equation learning. Under rational expectations, the model necessitates of large, possibly unrealistically so, degrees of myopia. The same result persists under infinite-horizon learning, given that agents are still remarkably far-sighted. But, under Euler-equation learning, the model can fit the data with only minimal estimated degrees of myopia. The results indicate that the empirical evidence for cognitive discounting may be sensitive to the modeling of expectations, and they highlight learning as a key behavioral feature to understand macroeconomic fluctuations. |
| Keywords: | behavioural macroeconomics, cognitive discounting, myopia, inattention, constant-gain learning, behavioural New Keynesian model |
| JEL: | E31 E32 E52 E58 E70 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9039&r= |
| By: | Dany Brouillette; Guyllaume Faucher; Martin Kuncl; Austin McWhirter; Youngmin Park |
| Abstract: | We expect potential output growth to be higher than in the October 2020 reassessment. By 2024, growth will be slightly above its average growth from 2010 to 2019. We assess that the Canadian nominal neutral rate continues to lie in the range of 1.75 to 2.75 percent. |
| Keywords: | Economic models; Interest rates; Labour markets; Monetary policy; Potential output; Productivity |
| JEL: | E2 E23 E24 E3 E37 E4 E43 E5 E52 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocsan:21-6&r= |
| By: | Helmut Herwartz (University of Goettingen); Christian Ochsner (University of Goettingen); Hannes Rohloff (University of Goettingen) |
| Abstract: | We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real economy (output, inflation and unemployment). Specifically, two components of global credit boost the business cycle and lower unemployment in the short-run, namely government credit demand and business credit supply, whereas household credit supply is found to deteriorate output. We find substantial heterogeneity with respect to prevalence and amplitude of global sectoral credit effects on real aggregates within the time and cross-sectional (country) dimension. |
| Keywords: | Credit shocks, credit composition, real economy, structural VAR, FAVAR |
| JEL: | C22 E32 E44 E51 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:mar:magkse:202116&r= |
| By: | Takuji Kawamoto (Bank of Japan); Takashi Nakazawa (Bank of Japan); Yui Kishaba (Bank of Japan); Kohei Matsumura (Bank of Japan); Jouchi Nakajima (Bank of Japan) |
| Abstract: | This paper estimates the macroeconomic effects of the Bank of Japan's expansionary monetary policies since the introduction of Quantitative and Qualitative Monetary Easing (QQE) using the Bank of Japan's large-scale macroeconomic model, Q-JEM (Quarterly Japanese Economic Model). We consider counterfactual paths of major financial variables, such as real interest rates, constructing hypothetical scenarios where the QQE and subsequent easing measures had not been introduced. We then conduct counterfactual simulations to examine how Japan's macroeconomic variables such as real GDP and CPI would have evolved under those hypothetical scenarios. In this setting, we estimate the policy effects on the macroeconomic variables as the difference between actual values and the counterfactual. Estimation results show that, on average during the period from the introduction of QQE to the July-September quarter of 2020, the policy effect on the level of real GDP is between around +0.9 and +1.3 percent and that on the year-on-year rate of change in the CPI (all items less fresh food and energy) is between around +0.6 and +0.7 percentage points. |
| Keywords: | Monetary Policy; Policy effect; Large-scale macroeconomic model; Simulation |
| JEL: | C53 E37 E47 E52 E58 |
| Date: | 2021–04–30 |
| URL: | http://d.repec.org/n?u=RePEc:boj:bojwps:wp21e04&r= |
| By: | Pincheira, Pablo; Hardy, Nicolas |
| Abstract: | In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the lowest correlation with the target variable. Given that violations of efficiency are usual in the forecasting literature, this opposite behavior in terms of accuracy and correlation with the target variable may be a fairly common empirical finding that we label here as "the MSPE Paradox." We characterize "Paradox zones" in terms of differences in correlation with the target variable and conduct some simple simulations to show that these zones may be non-empty sets. Finally, we illustrate the relevance of the Paradox with two empirical applications. |
| Keywords: | Mean Squared Prediction Error, Correlation, Forecasting, Time Series, Random Walk. |
| JEL: | C1 C10 C12 C18 C2 C22 C4 C40 C5 C52 C53 C58 E0 E00 E30 E31 E37 E44 E47 E52 E58 F30 F31 F37 G00 G12 G15 G17 Q0 Q00 Q02 Q1 Q2 Q3 Q33 Q4 Q43 Q47 |
| Date: | 2021–04–24 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:107403&r= |
| By: | Minetti, Raoul (Michigan State University, Department of Economics); Moreland, Timothy (Michigan State University, Department of Economics); Kokas, Sotirios (Essex Business School, University of Essex) |
| Abstract: | We study the impact of the concentration and complexity of the banking sector on firms' financing and investment behavior over the business cycle. We find that, after the late 1990s, while debt issuance remained procyclical for U.S. firms of all sizes, equity issuance and liquidity accumulation switched from countercyclical to procyclical for small and medium-sized publicly-traded firms. Using matched firm-bank data, we provide evidence that bank consolidation contributed to this change. We rationalize these findings in a general equilibrium business cycle model. After bank consolidation, the weakening in firms' bargaining power and relational ties with banks enhances firms' precautionary demand for liquidity and equity issuance incentives following positive shocks. The change in financing behavior increases investment and employment sensitivity to aggregate productivity shocks. |
| Keywords: | Financial frictions; business cycles; nancial structure; credit shocks |
| JEL: | E22 E32 E44 G32 |
| Date: | 2021–04–06 |
| URL: | http://d.repec.org/n?u=RePEc:ris:msuecw:2021_001&r= |
| By: | Thomas J. Carter; Xin Scott Chen; Ali Jaffery; Christopher Hajzler; Jonathan Lachaine; Peter Shannon; Subrata Sarker; Graeme Westwood; Beiling Yan |
| Abstract: | We expect global potential output growth to rise to 3 percent by 2022. Relative to the last assessment in October 2020, potential output growth has been revised up across all the regions. The range of the US neutral rate remains unchanged relative to the autumn 2020 assessment. |
| Keywords: | Interest rates; Monetary policy; Potential output; Productivity |
| JEL: | E1 E2 E4 E5 F0 O4 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocsan:21-5&r= |
| By: | Greta Meggiorini (Department of Economics, University of California-Irvine); Fabio Milani (Department of Economics, University of California-Irvine) |
| Abstract: | This paper estimates a New Keynesian model with new and old behavioral elements. Agents in the model exhibit cognitive discounting, or myopia: they discount variables far into the future at higher rates than typically implied in the benchmark model. We investigate the model under different expectational assumptions: rational expectations, subjective expectations with infinite-horizon learning, and subjective expectations with Euler-equation learning. Under rational expectations, the model necessitates of large, possibly unrealistically so, degrees of myopia. The same result persists under infinite-horizon learning, given that agents are still remarkably far-sighted. But, under Euler-equation learning, the model can fit the data with only minimal estimated degrees of myopia. The results indicate that the empirical evidence for cognitive discounting may be sensitive to the modeling of expectations, and they highlight learning as a key behavioral feature to understand macroeconomic fluctuations. |
| Keywords: | Behavioral Macroeconomics; Cognitive Discounting; Myopia; Inattention; Constant-Gain Learning; Behavioral New Keynesian Model |
| JEL: | C32 E32 E50 E52 E70 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:irv:wpaper:202103&r= |
| By: | Lengwiler, Yvan; Orphanides, Athanasios |
| Abstract: | Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external assessments of the creditworthiness of its member states, such as credit ratings, to determine eligibility and the haircut it imposes on such debt. The authors show how such features in a central bank's collateral framework can give rise to cliff effects and multiple equilibria in bond yields and increase the vulnerability of governments to external shocks. This can potentially induce sovereign debt crises and defaults that would not otherwise arise. |
| Keywords: | monetary policy,government finance,yields,liquidity premium,default premium,collateral,cliff effect,multiple equilibria |
| JEL: | E58 E62 E43 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:imfswp:157&r= |
| By: | Oliver Hülsewig; Horst Rottmann |
| Abstract: | This paper examines the reaction of house prices in a panel of euro area countries to monetary policy surprises over the period 2010-2019. Using Jordà’s (2005) local projection method, we find that real house prices rise in response to expansionary monetary policy shocks that can be related to unconventional policy measures. In the core countries including Ireland, we also find that lending for house purchases increases relative to nominal output. Thus, household debt rises. |
| Keywords: | Euro area house prices, unconventional monetary policy, local projection method |
| JEL: | E52 E58 E32 G21 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9045&r= |
| By: | Lengwiler, Yvan (University of Basel); Orphanides, Athanasios |
| Abstract: | Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external assessments of the creditworthiness of its member states, such as credit ratings, to determine eligibility and the haircut it imposes on such debt. We show how such features in a central bank's collateral framework can give rise to cliff effects and multiple equilibria in bond yields and increase the vulnerability of governments to external shocks. This can potentially induce sovereign debt crises and defaults that would not otherwise arise. |
| Keywords: | monetary policy, government finance, yields, liquidity premium, default premium, collateral, cliff effect, multiple equilibria. |
| JEL: | E58 E62 E43 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bsl:wpaper:2021/06&r= |
| By: | Alexandra Mitschke (University of Paderborn) |
| Abstract: | In consequence of the progressive digitalization and declining trend of cash- usage in payments, the majority of central banks is currently researching the topic of Central Bank Digital Currencies (CBDCs). Since 2020, the ECB is preparing a review into whether to issue a digital complement to physical cash and central bank deposits, the so-called digital euro. This study investigates its potential impact on the transmission of monetary policy. We fiÂ…rst survey and interpret key properties of money and money-like assets in the current monetary framework, which motivates a discussion of the proposed forms of CBDCs and the digital euro. Against this background, we extend and close the arbitrage model of Meaning et al. (2018) to investigate the effect of CBDCs on the effectiveness of monetary policy transmission and the ability of the banking sector to fulÂ…fil regulatory liquidity requirements. We conclude that monetary policy would be effective following the introduction of interest-bearing CBDCs, potentially reinforcing the mechanism. Further, we confiÂ…rm that an increase in non-pecuniary benefiÂ…ts of holding bank deposits in relation to CBDCs can mitigate the risk of a potential disintermediation of the banking sector. |
| Keywords: | Central Bank Digital Currencies, Monetary System, Monetary Policy |
| JEL: | E41 E42 E52 E58 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:pdn:dispap:74&r= |
| By: | Thomas J. Carter; Xin Scott Chen; Ali Jaffery; Christopher Hajzler; Jonathan Lachaine; Peter Shannon; Subrata Sarker; Graeme Westwood; Beiling Yan |
| Abstract: | La croissance de la production potentielle mondiale devrait augmenter pour atteindre 3 % en 2022 : nos estimations pour toutes les régions ont été revues à la hausse par rapport à notre évaluation précédente, publiée en octobre 2020. Quant à la fourchette des estimations du taux neutre aux États-Unis, elle est restée inchangée depuis l’évaluation de l’automne 2020. |
| Keywords: | Interest rates; Monetary policy; Potential output; Productivity |
| JEL: | E1 E2 E4 E5 F0 O4 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocsan:21-5fr&r= |
| By: | Gulnihal Tuzun |
| Abstract: | The purpose of this study is to assess how do the domestic and foreign shocks affect the fundamental macroeconomic variables of a small-open economy, and in particular Turkey. The domestic supply, demand and monetary policy shocks as well as their global counterparts are identified by employing a Bayesian structural VAR model with sign and zero restrictions. After a US monetary tightening shock, the results demonstrate an appreciation of US Dollar against Turkish lira, a rise in the consumer price level in the Turkish economy, a contractionary monetary policy shock accompanied by a fall in the real output level. This reaction is a strong evidence of the existence of a global interest rate contagion present in the international macroeconomics literature. |
| Keywords: | Bayesian VAR, Sign and zero restrictions, Shock identification, Monetary policy |
| JEL: | C11 C32 E52 F41 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:tcb:wpaper:2109&r= |
| By: | Helmut Herwartz (University of Goettingen); Christian Ochsner (University of Goettingen); Hannes Rohloff (University of Goettingen) |
| Abstract: | We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic factor model. Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows directed at businesses, households and governments. We show that this decomposition enhances the understanding of global liquidity considerably. Whereas global government sector credit supply is best understood as a safe-haven lending factor from an investors perspective, lenders supply the businesses and households with credit to maximize profits along the financial cycle. Moreover, the government sector demands credit in times of bust-episodes, whereas private entities demand credit in times of booms. In particular, we find that our global credit estimates explain substantial variance shares of a large panel of international financial aggregates. |
| Keywords: | global liquidity, credit composition, nancial cycle, dynamic factor model |
| JEL: | C32 C38 E32 E44 E51 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:mar:magkse:202115&r= |
| By: | Michael Ehrmann |
| Abstract: | Inflation targeting is implemented in different ways – most often by adopting point targets, by having tolerance bands around a point target, or by specifying target ranges. Using data for 20 economies, this paper tests whether the various target types affect the anchoring of inflation expectations at shorter horizons differently. It tests two contradictory hypotheses, namely that targets with intervals lead to (i) less anchoring, e.g. because they provide more flexibility to the central bank, or (ii) better anchoring, because they are missed less often, leading to an enhanced credibility. The evidence refutes the first hypothesis, and generally finds that target ranges or (in some cases) tolerance bands outperform the other types. However, the effects partially depend on the economic context and no target type consistently outperforms all others. This suggests that there are some benefits to adopting intervals, but the central bank can anchor inflation expectations also by other means. |
| Keywords: | inflation targeting, inflation expectations, point target, tolerance band, target range |
| JEL: | E52 E58 E31 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9034&r= |
| By: | Christian Moser (Columbia University, Federal Reserve Bank of Minneapolis, and CEPR); Farzad Saidi (University of Bonn and CEPR); Benjamin Wirth (Bavarian State Office for Statistics); Stefanie Wolter (Institute for Employment Research (IAB)) |
| Abstract: | We study the distributional consequences of monetary policy-induced credit supply in the labor market. To this end, we construct a novel dataset that links worker employment histories to firm financials and banking relationships in Germany. Firms in relationships with banks that are more exposed to the introduction of negative interest rates in 2014 experience a relative contraction in credit supply, associated with lower average wages and employment. These effects are heterogeneous within and between firms. Within firms, initially lower-paid workers are more likely to leave employment, while initially higher-paid workers see a relative decline in wages. Between firms, wages fall by more at initially higher-paying employers. In this way, credit affects the distribution of pay and employment in line with predictions of an equilibrium model with both credit and search frictions. |
| Keywords: | Wages, Employment, Worker and Firm Heterogeneity, Monetary Policy, Negative Interest Rates |
| JEL: | J31 E24 J23 G21 E51 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:ajk:ajkdps:086&r= |
| By: | Blanco, Cesar; Diz, Sebastian |
| Abstract: | This paper explores the optimal design of monetary policy in a multisector model where agents' preferences are non-homothetic. Non-homotheticity derives from the existence of a minimum consumption requirement for food, which households need to satisfy for subsistence. We find that the introduction of a minimum consumption requirement reduces the weight on food inflation in the optimal index that the monetary authority should target. We identify three motives for such prescription. First, non-homothetic preferences turn the stabilization of food inflation more costly, as it requires larger deviations of output from the efficient level. Second, proximity to the subsistence level turns the demand for food insensitive to monetary policy. Inflation in this sector thus becomes difficult to control. Third, non-homothetic preferences imply that households spend only a small share of any additional income on food. This means that prices in this sector have a reduced impact on aggregate consumption demand. Hence, responding to inflation in this sector becomes less relevant. Importantly, our results provide a rationale for targeting an index that excludes (or attaches a limited weight to) food inflation, a usual practice amongst central bankers. |
| Keywords: | Inflation, Price Index, Monetary Policy |
| JEL: | E31 E52 |
| Date: | 2021–04–26 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:107427&r= |
| By: | Thomas Gries (University of Paderborn); Alexandra Mitschke (University of Paderborn) |
| Abstract: | Interbank markets have infrequently exhibited sudden interest rate spikes. These disruptions in a key …financial market can undermine fi…nancial stability. Imperfections, such as moral hazard, …financial frictions, and negative externali- ties have been suggested as potential explanations for interbank market disrup- tions. However, we still know very little how the interbank market works (Allen et al., 2018). We complement traditional stock analyses by modelling dynamics in the interbank credit market, focusing on the ‡flow process between lending and borrowing institutions. In our theoretical model credit supply is restricted by the availability of stochastic liquidity in‡ows to lending institutions. Follow- ing a shock in the form of an increase in volatility of these liquidity in‡flows, a sequential fl‡ow adjustment process sets in. In "“normal times" ”the fl‡ow dynamics remain smooth within a stable adjustment regime. However, a higher volatility can change the lending process, resulting in a bifurcation of the equilibrium. Defi…ning interbank "market resilience" as the probability of remaining in the stable regime, we examine the impact of monetary policy tightening on inter- bank market stability. A change in the volatility of reserve fl‡ows, which is more likely when central banks tighten monetary policy, may threaten the resilience of interbank markets and increase the probability of the market to fall into a regime of unstable dynamics. Thus, we stress that tightening monetary policy could incidentally reduce interbank market resilience up to a potential market collapse, even in the absence of contagion phenomena. |
| Keywords: | Financial Markets, Interbank Lending, Monetary Policy |
| JEL: | E44 E52 G11 G21 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:pdn:dispap:75&r= |
| By: | Domenico Delli Gatti; Elisa Grugni |
| Abstract: | We explore the macro-financial consequences of the disruption of a supply chain in an agent based framework characterized by two networks, a credit network connecting banks and firms and a production network connecting upstream and down-stream firms. We consider two scenarios. In the first one, because of the lockdown all the upstream firms are forced to cut production. This generates a sizable down-turn during the lockdown due to the indirect effects of the shock (network based financial accelerator). In the second scenario, only those upstream firms located in the “red zone” are forced to contract production. In this case the recession is milder and the recovery begins earlier. Upstream firms hit by the shock, in fact, will be abandoned by their customers who will switch to suppliers who are located outside the red zone. In this way firms endogenously reconstruct (at least in part) the supply chain after the disruption. This is the main determinant of the mitigated impact of the shock in the “red zone” type of lockdown. |
| Keywords: | supply chain disruption, agent based macroeconomic model |
| JEL: | E17 E44 E70 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9029&r= |
| By: | Ben salem, salha; slama, ines |
| Abstract: | The uncertainty of COVID-19 seriously disrupts the world through various macroeconomic and financial channels. For Tunisia, the Pandemic came when the economy was confronting persevering macroeconomic imbalances, regardless of new progress with policy and reform implementation. This context hits the Tunisian economy, especially as it has not yet exited from the negative effect of the 2011 revolution. This paper aims to analyze how the coronavirus uncertainty shock affects the monetary policy's conduct and the banking system's vulnerability in Tunisia. Using the structural VAR model, we find that the adaptation of an easing credit' policy by the bank can attenuate the uncertainty of COVID-19 uncertainty in a short period but it causes negative consequences on the Tunisian economy in a subsequent period. The empirical results show also that uncertainty decreases the ability of the central bank to improve economic activity and control inflation. |
| Keywords: | COVID-19 uncertainty, bank vulnerability, monetary policy conduct, economic implication |
| JEL: | E4 E6 G1 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:107391&r= |
| By: | Francisco J. Buera; Roberto N. Fattal-Jaef; Hugo Hopenhayn; P. Andres Neumeyer; Yongseok Shin |
| Abstract: | What are the effects of a temporary lockdown of the economy? Do firms' deteriorating balance sheets and labor market frictions propagate and prolong the effects? We answer these questions in a model with financial and labor market frictions. The model makes quantitative predictions about the effect of lockdowns of varying magnitude and duration on output, employment and firm dynamics. We find that the effects are not persistent if (i) workers on temporary layoff can be recalled by their previous employers without having to go through the frictional labor market and (ii) the government provides employment subsidies to firms during the lockdown. However, the effects are heterogeneous and young non-essential firms are disproportionately affected. In addition, if lockdowns lead to more permanent reallocation across industries, the recession becomes more protracted. Although the paper is motivated by the lockdowns during the Covid-19 pandemic, the framework can be readily applied to large, temporary shocks of different nature. |
| JEL: | E32 E44 L25 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28704&r= |
| By: | Gabriele Galati; Richhild Moessner; Maarten van Rooij |
| Abstract: | We provide new evidence on the level and probability distribution of consumers' longterm expectations of inflation in the euro area and the Netherlands, using a representative Dutch survey. We find that consumers' long-term (ten years ahead) euro area inflation expectations are not well anchored at the ECB's inflation aim. First, median long-term euro area inflation expectations are 4%, 2pp above the ECB's inflation aim of 2%. Second, individual probability distributions of long-term euro area inflation expectations show that expected probabilities of higher inflation (2pp or more above the ECB's inflation aim) are much higher, at 28% on average, than those of lower inflation (2pp or more below the ECB's inflation aim), at 12%. This suggest that the de-anchoring of Dutch consumers' long-term euro area inflation expectations is mainly due to expected high inflation, rather than to expected low inflation (or deflation). This finding is in contrast to recent concerns by ECB monetary policymakers about a possible deanchoring of long-term inflation expectations on the downside. Furthermore, we find that consumers' long-term euro area inflation expectations are significantly higher if respondents have lower incomes. Based on measures of anchoring calculated directly from individual consumers' probability distributions of expected long-term inflation, namely the probability of inflation being close to target, the probability of inflation being far above target, and the probability of deflation, we also find that long-term euro area inflation expectations are better anchored for consumers with higher net household income. |
| Keywords: | inflation expectations |
| JEL: | E31 E58 F62 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:936&r= |
| By: | Daniel Fehrle; Johannes Huber |
| Abstract: | We take the neoclassical perspective and apply the business cycle accounting method as proposed by Chari, Kehoe, and McGrattan (2007, Econometrica) for the Great Recession and the associated stimulus program in Germany 2008-2009. We include wedges to the variables government consumption, durables, investment, labor, net exports, and efficiency. The results suggest: The crisis was mainly driven by the efficiency wedge, followed by the net exports and the investment wedge. The government consumption wedge and in particular the durables wedge acted counter-cyclical. We attribute the latter to an internationally incomparably large cash for clunkers program and conclude that this subsidy on durable goods was more effective than pure government consumption. We introduce a strategy for likelihood maximization, which reliably and quickly locates the maximum; enables a detailed evaluation of the likelihood function and allows large robustness checks. |
| Keywords: | Fiscal stimulus, Great Recession, Business cycle accounting, Maximum-Likelihood |
| JEL: | C32 E20 E32 H12 H31 |
| Date: | 2020–06 |
| URL: | http://d.repec.org/n?u=RePEc:bav:wpaper:197_fehrlehuber&r= |
| By: | Snir, Avichai; Chen, Haipeng (Allan); Levy, Daniel |
| Abstract: | We use micro level retail price data from convenience stores to study the link between 0-ending price points and price rigidity during a period of a runaway inflation, when the annual inflation rate was in the range of 60%–430%. Surprisingly, we find that 0-ending prices are less likely to adjust, and when they do adjust, the average adjustments are larger. These findings suggest that price adjustment barriers associated with round prices are strong enough to cause a systematic delay in price adjustments even in a period of a runaway inflation, when 85 percent of the prices change every month. |
| Keywords: | Sticky Prices; Rigid Prices; 0-Ending Price Points; 9-Ending Price points; Runaway Inflation; Hyperinflation; Cost of Price Adjustment; Menu Cost |
| JEL: | D4 D40 D91 E31 L11 L16 M20 M30 |
| Date: | 2021–04–27 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:107438&r= |
| By: | Böhl, Gregor; Hommes, Cars H. |
| Abstract: | Can boundedly rational agents survive competition with fully rational agents? The authors develop a highly nonlinear heterogeneous agents model with rational forward looking versus boundedly rational backward looking agents and evolving market shares depending on their relative performance. Their novel numerical solution method detects equilibrium paths characterized by complex bubble and crash dynamics. Boundedly rational trend-extrapolators amplify small deviations from fundamentals, while rational agents anticipate market crashes after large bubbles and drive prices back close to fundamental value. Overall rational and non-rational beliefs co-evolve over time, with time-varying impact, and their interaction produces complex endogenous bubble and crashes, without any exogenous shocks. |
| Keywords: | Heterogeneous agents,trend-extrapolation,bubbles,numerical solution method |
| JEL: | C63 E03 E32 E44 E51 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:imfswp:156&r= |
| By: | Cândida Ferreira |
| Abstract: | Using panel fixed and random effects estimations as well as panel dynamic GMM estimations this paper analyses the contribution of the financial development, measured through the nine IMF financial development indices, to five macro performance indicators. The paper considers a panel with 46 developed countries, and a panel including only the sub-sample of the 28 EU countries, both over the interval 1990-2017. There are no remarkable differences between the results obtained for the two panels, and despite the lack of full convergence regarding the sign and strength of all estimation results, it is still possible to conclude that the IMF financial development indices have a dynamic and robust influence on all the five macro performance indicators. Overall, these indices contribute positively to the real GDP and negatively to the deflator, to the unemployment rate, to the current account, as well as to the net international investment position. There is also evidence that the results regarding the indices related to the different aspects of the financial institutions (access, depth, and efficiency) are statistically more robust than the results regarding the indices addressing the same aspects of the financial institutions. |
| Keywords: | Financial development; IMF financial development indices; macroeconomic performance; panel estimations; fixed and random effects estimations; panel dynamic GMM estimations. |
| JEL: | C33 E02 E44 G20 O43 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:ise:remwps:wp01732021&r= |
| By: | Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta |
| Abstract: | We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are unbiased and efficient on average, however there is evidence of state dependence. In particular, the ECB tends to overpredict (underpredict) inflation at intermediate forecast horizons when inflation is below (above) target. The magnitude of the bias is larger when inflation is above the target. These results hold even after accounting for errors in the external assumptions. We also find evidence of inefficiency, in the form of underreaction to news, but only when inflation is above the target. Our findings bear important implications for the ECB forecasting process and ultimately for its communication strategy. |
| JEL: | C12 C22 C53 E31 E52 |
| Date: | 2021–04–29 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2021_007&r= |
| By: | Tanaka, Yasuhito |
| Abstract: | We present a game-theoretic analysis of fiscal policy under economic growth from the perspective of MMT using a simple two-periods overlapping generations (OLG) model. We show the following results. 1) Sustained budget deficits are necessary to maintain full-employment under economic growth driven by technological progress. 2) An excessive budget deficit triggers inflation, and after one period inflation full-employment is maintained by sustained budget deficits with constant price. 3) Insufficient government deficit causes involuntary unemployment, and we need extra budget deficit over its steady state value to recover full-employment. These budget deficits need not be, and must not be redeemed. Therefore, if it is institutionally and legally possible, they should be financed by seigniorage not by public debt. |
| Keywords: | Overlapping generations model, Full-employment, Budget deficit, Growth, MMT |
| JEL: | E12 E24 |
| Date: | 2021–04–25 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:107402&r= |
| By: | Marina Emiris (Economics and Research Department, NBB); François Koulischer (University of Luxembourg, Department of Finance) |
| Abstract: | We study how changes in interest rates affect the borrowing of households and the distribution of debt within the population. In a model of household borrowing with credit constraints and endogenous house prices, we show that less constrained households with more pre-existing housing wealth increase their borrowing most when interest rates fall. We then use unique loan level data on the universe of household credit in Belgium to document a shift in the distribution of debt over age, with older households borrowing more as interest rates fell in the last decade. First-time borrowers, who are more likely to be constrained, do not contribute to the rise in household debt. To identify the elasticity of household debt to the interest rate, we use regulatory data on foreign exposures of banks and on the location of bank branches. We find that a 1 percentage point fall in the interest rate is associated with a 15% growth in household debt. |
| Keywords: | Interest Rates, Household Debt, Mortgages, Credit Constraints |
| JEL: | D14 E43 E58 G51 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:nbb:reswpp:202103-398&r= |
| By: | Martinez, Tomás R.; Fuster Pérez, Luisa; Erosa Etchebehere, Andrés |
| Abstract: | What are the aggregate effects of informality in a financially constrained economy? We develop and calibrate an entrepreneurship model to data on matched employer-employee from both formal and informal sectors in Brazil. The model distinguishes between informality on the business side (extensive margin) and the informal hiring by formal firms (intensive margin). We find that when informality is eliminated along both margins, aggregate output increases 9.3%, capital 14.7%, TFP 5.4%, and tax revenue37%. The output and TFP increases would be much larger if informality were only eliminated on the extensive margin, a result that supports the view that the informal economy can play a positive role in an economy with financial frictions. Finally, we find that the output cost of financing social security in our baseline model is about twice as large as the one in an economy with no frictions. |
| Keywords: | Tax Revenue; Social Security; Financial Frictions; Informality; Occupational Choice |
| JEL: | O16 L26 H55 H20 E26 E22 |
| Date: | 2021–04–27 |
| URL: | http://d.repec.org/n?u=RePEc:cte:werepe:32495&r= |
| By: | Davide Ferrari (Free University of Bozen-Bolzano, Italy); Francesco Ravazzolo (Free University of Bozen-Bolzano, Italy; BI Norwegian Business School, Norway); Joaquin Vespignani (University of Tasmania, Tasmanian School of Business and Economics, Australia) |
| Abstract: | This paper focuses on forecasting quarterly nominal global energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies, overall accounting for more than 80% of the global GDP. To deal with the information on this large database, we apply dynamic factor models based on a penalized maximum likelihood approach that allows to shrink parameters to zero and to estimate sparse factor loadings. The estimated latent factors show considerable sparsity and heterogeneity in the selected loadings across variables. When the model is extended to predict energy commodity prices up to four periods ahead, results indicate larger predictability relative to the benchmark random walk model for 1-quarter ahead for all energy commodities and up to 4 quarters ahead for gas prices. Our model also provides superior forecasts than machine learning techniques, such as elastic net, LASSO and random forest, applied to the same database. |
| Keywords: | Energy Prices; Forecasting; Dynamic Factor model; Sparse Estimation; Penalized Maximum Likelihood. |
| JEL: | C1 C5 C8 E3 Q4 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bzn:wpaper:bemps83&r= |
| By: | Rumen Kostadinov; Francisco Roldán |
| Abstract: | We study the optimal design of a disinflation plan by a planner who lacks commitment and has imperfect control over inflation. The government’s reputation for being committed to the plan evolves as the public compares realized inflation to the announced targets. Reputation is valuable as it helps curb inflation expectations. At the same time, plans that are more tempting to break lead to larger expected reputational losses in the ensuing equilibrium. Taking these dynamics into consideration, the government announces a plan which balances promises of low inflation with dynamic incentives that make them credible. We find that, despite the absence of inflation inertia in the private economy, a gradual disinflation is preferred even in the zero-reputation limit. |
| Keywords: | Imperfect credibility; reputation; optimal monetary policy; time inconsistency |
| JEL: | E52 C73 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:mcm:deptwp:2021-06&r= |
| By: | Ko Adachi (Bank of Japan); Kazuhiro Hiraki (Bank of Japan); Tomiyuki Kitamura (Bank of Japan) |
| Abstract: | This paper provides an empirical investigation of the effects of the Bank of Japan's exchange traded funds (ETF) purchases on risk premia in the stock markets. The analysis examines the following two indicators of risk premia: equity risk premium implied by Nikkei 225 option prices, and yield spreads of individual stocks. The former indicator is analyzed at daily frequency, and the latter is analyzed at weekly frequency. The analysis also examines how the effects of ETF purchases vary depending on market conditions and the size of ETF purchases. The results show that the Bank of Japan's ETF purchases have lowering effects on risk premia. The results also suggest that the lowering effects are larger (1) the lower the stock price index relative to its moving average trend, (2) the higher the volatility in the stock market when the stock price index is below its trend, (3) the larger the percentage decline in the stock price index immediately before the purchases, and (4) the larger the size of the purchases. |
| Keywords: | Monetary Policy; ETF Purchases; Risk Premia; Purchase Effect Function |
| JEL: | E52 E58 G10 G12 |
| Date: | 2021–04–30 |
| URL: | http://d.repec.org/n?u=RePEc:boj:bojwps:wp21e03&r= |
| By: | Ortigueira, Salvador; Siassi, Nawid |
| Abstract: | We characterize the optimal reform of U.S. income support for low-income single parents. We develop a heterogeneous agents model with idiosyncratic risk and incomplete asset markets where single parents evolve through three life stages defined by their children's care needs. Using the U.S. tax-transfer system as the benchmark policy and a sample of single mothers drawn from the CPS, we assess reforms that maximize the expected utility of entering mothers. When policy cannot be tagged by the single mothers' life stage, the optimal reform calls for an increase in out-of-work income support by 11 percent, from $6,320 to $7,080, and a decrease in the wage subsidy to low-wage workers from 34 to 22 percent. This reform delivers substantial welfare gains for single mothers-to-be, and has the support of a vast majority of incumbent mothers. Tagging policy by the life stage makes the government's trade-off between providing insurance to single mothers in stage one (child in pre-schooling age) and incentivizing them to work when they transit to stage two (child in school age) more favorable, thus increasing their scope for smoothing marginal utility throughout life stages. Single mothers in stage one receive $8,950 in out-of-work support, and no subsidies to low-wages. For single mothers in stage two the optimal reform prescribes a reduction in out-of-work income support and an increase in work subsidies. Tagging brings additional welfare gains. |
| Keywords: | Optimal income transfers,Single-parent households,Intertemporal savings and labor supply |
| JEL: | D15 E21 E61 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:tuweco:052021&r= |
| By: | Audra Bowlus; Émilien Gouin-Bonenfant; Huju Liu; Lance Lochner; Youngmin Park |
| Abstract: | This paper studies the evolution of individual earnings inequality and dynamics in Canada from 1983 to 2016 using tax files and administrative records. Linking these individuals to their employers (and rich administrative records on firms) beginning in 2001, it also documents the relationship between the earnings dynamics of workers and the size and growth of their employers. It highlights three main patterns over this period: First, with a few exceptions (sharp increase in top 1% and declining gender gap), Canada experienced relatively modest changes in overall earnings inequality, volatility, and mobility between 1983 and 2016. Second, there is considerable variability in earnings inequality and volatility over the business cycle. Third, the earnings dynamics of individuals are strongly related to the size and employment growth of their employers. |
| Keywords: | Econometric and statistical methods; Firm dynamics; Labour markets; Potential output; Productivity |
| JEL: | D22 D31 E24 J24 J31 J63 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:21-20&r= |
| By: | Mario Gonzalez; Raul Cruz Tadle |
| Abstract: | Around the world, several countries have adopted inflation targeting as their monetary policy framework. These institutions set their target interest rates in monetary policy meetings. The policy decisions are then circulated through press releases that explain those decisions. The information contained in these press releases includes current policies, economic outlook, and signals about likely future policies. In this paper, we examine and compare the information contained in the monetary press releases of a group of inflation targeting countries using linguistic methods, such as Latent Dirichlet Allocation (LDA), an automated linguistic method. In addition, using Semi-automated Content Analysis, we create a measure that we call the Sentiment Score index based on this information for each of the countries in the sample. We use this index to compare the communication strategy of the central banks and how predictable monetary policy movements are based on the information given in the press releases. |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:chb:bcchwp:912&r= |
| By: | Georgii Riabov; Aleh Tsyvinski |
| Abstract: | The paper develops a general methodology for analyzing policies with path-dependency (hysteresis) in stochastic models with forward looking optimizing agents. Our main application is a macro-climate model with a path-dependent climate externality. We derive in closed form the dynamics of the optimal Pigouvian tax, that is, its drift and diffusion coefficients. The dynamics of the present marginal damages is given by the recently developed functional Itô formula. The dynamics of the conditional expectation process of the future marginal damages is given by a new total derivative formula that we prove. The total derivative formula represents the evolution of the conditional expectation process as a sum of the expected dynamics of hysteresis with respect to time, a form of a time derivative, and the expected dynamics of hysteresis with the shocks to the trajectory of the stochastic process, a form of a stochastic derivative. We then generalize the results. First, we propose a general class of hysteresis functionals that permits significant tractability. Second, we characterize in closed form the dynamics of the stochastic hysteresis elasticity that represents the change in the whole optimal policy process with an introduction of small hysteresis effects. Third, we determine the optimal policy process. |
| JEL: | E0 H23 Q4 Q5 Q54 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28712&r= |
| By: | Davide Fantino (Bank of Italy); Sara Formai (Bank of Italy); Alessandro Mistretta (Bank of Italy) |
| Abstract: | We apply a growth accounting approach to estimate the contribution to potential output growth in Italy by firms with different characteristics. We do so by exploiting time series obtained by aggregating individual firm data. Results show that during the double-dip recession smaller firms provided the strongest negative contribution to potential output growth, while the recovery was driven by big ones. Young firms always give a positive contribution. Growth within sectors is the main driver of the dynamic of both aggregate trend total factor productivity and the capital labor ratio. Looking at sectoral composition effects, between 2014 and 2018 sectors with lower capital deepening have increased their share in the economy, holding back the aggregate figures. |
| Keywords: | potential output, heterogeneity |
| JEL: | D24 E23 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:opques:qef_616_21&r= |
| By: | Jan de Loecker; Jan Eeckhout; Simon Mongey |
| Abstract: | We propose a general equilibrium model with oligopolistic output markets where two channels can cause a change in market power: (i) technology, via changes to productivity shocks and the cost of entry, (ii) market structure, via changes to the number of potential competitors. First, we disentangle these narratives by matching data on markups, labor reallocation and costs, finding that both channels are necessary to account for the data. Second, we show that changes in technology and market structure yield positive welfare effects through reallocation and selection, but off-setting negative effects from dead-weight loss and overhead. Overall, welfare is 9 percent lower in 2016 than in 1980. Third, the changes we identify explain and decompose cross-sectional patterns in declining business dynamism, declining equilibrium wages and labor force participation via reallocation toward larger, more productive firms. |
| Keywords: | business dynamism, market power in the aggregate economy, technological change, market structure, reallocation, Endogenous markups, wage stagnation, labor share, passthrough |
| JEL: | C6 D4 D5 L1 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bge:wpaper:1251&r= |
| By: | Chen, Yi-Hsuan; Vinogradov, Dmitri V. |
| Abstract: | Cryptocurrencies come with benefits, such as anonymity of payments and positive network effects of user adoption, and transaction risks including unconfirmed transactions, hacks, and frauds. They compete with central-bank-regulated money but consumers may prefer one currency over the other. In our arbitrage-free world utility from consumption depends on benefits, which are governed by distinct stochastic processes, implying incomplete markets and distinct pricing kernels. We characterize the cryptocurrency kernels, evaluate the otherwise unobservable benefits, and show their contribution to pricing. The model explains both the co-existence of the two currencies and the high volatility of the cryptocurrency price. |
| Keywords: | Bitcoin,cryptocurrency,pricing kernel,currency competition |
| JEL: | A1 D0 E21 G12 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:irtgdp:2021006&r= |
| By: | Felix Ward (Erasmus University Rotterdam); Yao Chen (Erasmus University Rotterdam); Nuno Palma (University of Manchester) |
| Abstract: | How did the Spanish money supply evolve in the aftermath of the discovery of large amounts of precious metals in Spanish America? We synthesize the available data on the mining of precious metals and their international flow to estimate the money supply for Spain from 1492 to 1810. Our estimate suggests that the Spanish money supply increased more than ten-fold. Viewed through the equation of exchange this money supply increase can account for most of the price level rise in early modern Spain. |
| Keywords: | early modern period, equation of exchange, quantity theory of money |
| JEL: | E31 E51 N13 |
| Date: | 2021–04–26 |
| URL: | http://d.repec.org/n?u=RePEc:tin:wpaper:20210033&r= |
| By: | Christina Anderl; Guglielmo Maria Caporale |
| Abstract: | This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities and also taking into account the role of interest rate expectations. The analysis is conducted for five inflation targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and three non-targeters (the US, the Euro-Area and Switzerland) using daily data from January 2000 to December 2020. We find that the nonlinear framework is more appropriate to capture the adjustment towards the UIP equilibrium, since the estimated speed of adjustment is substantially faster and the short-run dynamic linkages are stronger. Further, interest rate expectations play an important role: a fast adjustment only occurs when the market expects the interest rate to increase in the near future, namely central banks are perceived as more credible when sticking to their goal of keeping inflation at a low and stable rate. Also, central bank announcements have a more sizeable short-run effect in the nonlinear model. Finally, UIP holds better in inflation targeting countries, where monetary authorities appear to achieve a higher degree of credibility. |
| Keywords: | UIP, exchange rate, nonlinearities, asymmetric adjustment, CVAR (Cointegrated VAR), CVSTAR (Cointegrated Smooth Transition VAR), interest rate expectations, interest rate announcements |
| JEL: | C32 F31 G15 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9027&r= |
| By: | Gustafsson, Björn Anders (University of Gothenburg); Nivorozhkina, Ludmila (Rostov State Economic University); Wan, Haiyuan (Beijing Normal University) |
| Abstract: | The incidence of working for earnings beyond the normal pension age of 55 for females and 60 for males in urban China and Russia is investigated using micro-data for 2002, 2013, and 2018. Estimated logit models show that, in both countries, the probability of working after normal retirement age is positively related to living with a spouse only, being healthy, and having a higher education level but is negatively associated with age, the scale of pension and, in urban China, being female. We find that seniors in urban Russia are more likely to work for earnings than their counterparts in China. Two possible reasons for this difference are ruled out: cross-country differences in health status and the age distribution among elderly people. We also show that working beyond the normal retirement age has a much stronger negative association with earnings in urban China than in urban Russia. This is consistent with the facts that the normal retirement age is strictly enforced in urban China and seniors attempting to work face intensive competition from younger migrant workers. We conclude that China can learn from Russia that it has a substantial potential for increasing employment among healthy people under 70. |
| Keywords: | retirement, older people, employment, China, Russia, labour market |
| JEL: | E24 J14 J J3 P52 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14294&r= |
| By: | Giray Gozgor; Mehmet Huseyin Bilgin; Peter Rangazas |
| Abstract: | In this paper, we conduct an empirical study of how uncertainty alters fertility behavior. The precautionary motive for saving predicts that an increase in income uncertainty increases saving by reducing both consumption and fertility. We examine this prediction using a new measure of economic uncertainty, the World Uncertainty Index and focus on data from 126 countries for the period from 1996 to 2017. The empirical findings indicate that uncertainty decreases the fertility rate, as suggested by theory. This evidence is robust to different model specifications and econometric techniques as well as to the inclusion of various controls. The evidence also indicates that changes in uncertainty may be a factor explaining why fertility is pro-cyclical. |
| Keywords: | fertility, uncertainty, WUI Index, precautionary saving, business cycle, panel data estimation techniques |
| JEL: | J13 D81 D14 E32 C33 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9025&r= |
| By: | Makoto Yano (Institute of Economic Reserch, Kyoto University and RIETI); Yuichi Furukawa (Aichi University and RIETI) |
| Abstract: | Between the 1760s and 1980s, we have experienced at least three industrial revolutions. We explain such cycles as ergodic chaos and relate it to the average long-run interest rate and intellectual property protection. Because innovation dynamics is intrinsically multi-dimensional, we need newly to develop a structural characterization of multi-dimensional ergodic chaos suitable for an economic analysis. Introducing such a characterization for the two-dimensional case, we show that if the monopolistic use of a new invention lasts eight years, an industrial-revolution-like burst of new technologies recurs about every one hundred years, given empirically reasonable values of the determinants of a long-run interest rate. |
| Keywords: | industrial revolutions, chaotic cycles, intellectual properties, market quality dynamics |
| JEL: | C62 E32 O41 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:kyo:wpaper:1057&r= |
| By: | Philip Du Caju (, Economics and Research Department, NBB); Guillaume Périlleux (Université libre de Bruxelles (SBS-EM : CEB andECARES), Brussels, Belgium); François Rycx (Université libre de Bruxelles (SBS-EM : CEB and DULBEA), IRES, humanOrg, GLO & IZA, Brussels, Belgium); lan Tojerow (Université libre de Bruxelles (SBS-EM : CEB and DULBEA) & IZA, Brussels, Belgium) |
| Abstract: | This paper investigates the potentially non-linear relation between households' indebtedness and their consumption between 2010 and 2014 in Belgium. To do so, we use panel data from the two waves of the Household Finance and Consumption Survey. Unlike previous studies, we find a negative effect of households' indebtedness on their consumption, even in the absence of any negative shock on their assets. Our findings suggest that, without such a shock, it is the day-to-day sustainability of the debt, rather than its overall sustainability, that leads households to reduce their consumption. To explore potential non-linearities in this effect, we perform a threshold analysis, whose results suggest that households should not have a debt-service-to-income ratio greater than 30% as this leads to a substantial reduction of their consumption. The effect appears to be robust to various specifications, including the inclusion of other European countries, to result from a trade-off between housing and consumption, and to be more prevalent among more fragile households. |
| Keywords: | Households, Indebtedness, Consumption, Debt-Service-to-Income, Non-linear Heterogeneous Effects |
| JEL: | D12 D14 E21 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:nbb:reswpp:202103-397&r= |
| By: | Hung Ly Dai (Vietnam Institute of Economics, Hanoi, Vietnam) |
| Abstract: | The paper investitages the soundness of macroeconomic fundamentals in Vietnam, by time varying vector autoregression (TVC-BSVAR) method over a quarterly sample over 03/2000-12/2020. The evidence records three macroeconomic princinples: the trade-off between output and inflation, VND depreciation rate enhancing output growth rate, and lower inflation improving economic growth. This structure determines the resilience of economy toward world shocks. Specially, the disturbed FDI capital can substitute the world GDP growth rate on raising domestic GDP growth rate, inflation rate and evaluating domestic currency. The result also suggests that the improvement of FDI absorption capacity, through the institutional quality, needs to be a prioritied policy for the economy to self-insure against the negative schocks from world growth rate and oil price. |
| Keywords: | Macroeconomic Fundamentals,Vector Autoregression,Foreign Capital Inflows |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03195651&r= |
| By: | Francisco Arroyo Marioli; Juan Sebastián Becerra; Matías Solorza |
| Abstract: | In this paper, we estimate a semi-structural model with a banking sector for the Chilean economy. Our innovation consists of incorporating a system of equations that reflects the dynamics of credit, interest rate spreads and loan-loss provisions to the Central Bank of Chile’s semi-structural model “MSEP”. We estimate the model and analyze the macroeconomic effects of incorporating this sector. We find that the banking sector plays a role in accelerating the business cycle through lower spreads and procyclical credit supply, in contrast to the counter-cyclical role it has had in COVID-19 crisis. Additionally, we decompose the effects of this sector’s variables in the historical business cycle. We find that credit growth can explain on average about 0.3 pp of total output gap variation. Moreover, we find that in episodes of severe stress, this role can grow to 1.9 pp, as has been the case of the COVID-19 pandemic. This last fact is important, given that in many cases, monetary policy is faced with the challenge of implementing non-conventional measures, many of them through the commercial banking sector. We find that this specification allows the model to better quantify the impact of measures that have favored the flow of credit specially in periods of stress. |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:chb:bcchwp:911&r= |
| By: | Jonathan Chiu; Tsz-Nga Wong |
| Abstract: | Digital platforms, such as Alibaba and Amazon, operate an online marketplace to facilitate transactions. This paper studies a platform's business model choice between accepting cash and issuing tokens, as well as the implications for welfare, resiliency, and interoperability. A cash platform free rides on the existing payment infrastructure and profits from collecting transaction fees. A token platform earns seigniorage, albeit bearing the costs of setting up the system and holding reserves to mitigate the cyber risk. Tokens earn consumers a return, insulating transactions from the liquidity costs of using cash, but also expose them to the remaining cyber risk. The platform issues tokens if the interest rate is high, the platform scope is large, and the cyber risk is small. Unbacked floating tokens with zero transaction fees or interest-bearing stablecoins can implement the equilibrium business model, which is not necessarily socially optimal because the platform does not internalize its impacts on off-platform activities. The model explains why Amazon does not issue tokens but Alipay issues tokens circulatable outside its Alibaba platforms. Regulations such as a minimum reserve requirement can reduce welfare. |
| Keywords: | Digital currencies and fintech; Monetary policy; Payment clearing and settlement systems |
| JEL: | E5 L5 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:21-19&r= |
| By: | Niermann, Lennart; Pitterle, Ingo A. |
| Abstract: | The COVID-19 pandemic has caused the most universal health and socio-economic crisis in recent history. However, the magnitude of the economic damage has differed widely; some countries were hit particularly hard, while others have managed to weather the storm much better. In this paper, we employ a cross-country analysis to identify factors that help explain the differences in the growth impact of the COVID-19 shock. Our findings underscore the critical role of balancing health and economic concerns in managing the pandemic as both a country’s exposure to the coronavirus and the stringency of containment measures are strongly correlated with its growth performance. In addition, our results shed light on several aspects of economic resilience. Good governance, provision of fiscal support and strong macroeconomic fundamentals all helped cushion the economic impact. By contrast, a lack of economic diversification – reflected in overreliance on the tourism sector or oil production – has significantly amplified the shock. |
| Keywords: | COVID-19; growth performance; transmission of shocks; economic resilience |
| JEL: | E61 E66 H12 H51 H63 I15 I18 O11 O47 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:107414&r= |
| By: | Mara Leticia Rojas |
| Abstract: | El objetivo del trabajo es observar el comportamiento de un conjunto ampliado de variables macroeconómicas para Argentina en el período 2004-2020, mediante el análisis de funciones de correlación cruzada entre los componentes cíclicos de las series desestacionalizadas y las series desestacionalizadas y preblanqueadas. Este segundo paso implica utilizar una metodología más rigurosa que el filtrado comúnmente utilizado siendo que los componentes cíclicos suelen tener elementos inerciales. Se pretende actualizar los resultados en referencia al tema, establecer comparaciones con trabajos previos a fin de verificar o no la persistencia de los fenómenos observados y ampliar el análisis dado que se incluyen 30 variables representativas del producto, el mercado laboral, el sector público, sector monetario y sector externo. Las principales conclusiones muestran que, mientras que los hechos estilizados comúnmente observados se mantienen para las variables reales, como ser el consumo, la inversión o el salario real, las variables monetarias, el gasto público y variables representativas del sector externo (incluidas algunas referidas a movimientos de capitales) merecen un análisis mucho más detallado. |
| Keywords: | ciclo económico, hechos estilizados, Argentina, filtro HP, preblanqueo |
| JEL: | E3 N1 |
| Date: | 2020–11 |
| URL: | http://d.repec.org/n?u=RePEc:aep:anales:4400&r= |
| By: | Menkhoff, Lukas (HU Berlin and DIW Berlin); Rieth, Malte (DIW Berlin); Stöhr, Tobias (Kiel Institute for the World Economy) |
| Abstract: | Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Applying this approach to the most important, freely floating currencies, we find that FX intervention shocks significantly affect exchange rates and that this impact persists for months. We show for Japan and the US that interest rates tend to fall in response to sales of the domestic currency, whereas stock prices of large (exporting) firms increase after devaluation of the domestic currency. |
| Keywords: | foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices; |
| JEL: | F31 F33 E58 |
| Date: | 2019–12–04 |
| URL: | http://d.repec.org/n?u=RePEc:rco:dpaper:205&r= |
| By: | Alberto Cavallo; Robert C. Feenstra; Robert Inklaar |
| Abstract: | We use the structure of the Melitz (2003) model to compare the cost of living and welfare across countries, while incorporating product variety measured by the count of barcodes or firms. For 47 countries, we compare welfare relative to the United States to conventional measures of real consumption. Relative welfare is similar to or higher than that indicated by real consumption for a select group of nations in Europe and some large countries like China and Russia, but lower in most other countries. This qualitative pattern has some similarities to that found in Jones and Klenow (2016), but for very different reasons. |
| JEL: | E01 F12 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28711&r= |
| By: | Jiaqi Xiao (University of Birmingham); Arturas Juodis (University of Amsterdam); Yiannis Karavias (University of Birmingham); Vasilis Sarafidis (BI Norwegian Business School) |
| Abstract: | This article introduces the xtgranger command in Stata, which implements the panel Granger non-causality test approach developed by Juodis et al. (2021). This test offers superior size and power performance to existing tests, which stems from the use of a pooled estimator that has a faster sqrt(NT) convergence rate. The test has two other useful properties; it can be used in multivariate systems and it has power against both homogeneous as well as heterogeneous alternatives. |
| Keywords: | Panel data, Granger non-causality, Nickell bias, Heterogeneous panels, Fixed effects, Half-panel Jackknife, xtgranger |
| JEL: | E50 E58 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:bir:birmec:21-06&r= |
| By: | Daniel Levy (Bar-Ilan University); Avichai Snir |
| Abstract: | We use micro level retail price data from convenience stores to study the link between 0-ending price points and price rigidity during a period of a runaway inflation, when the annual inflation rate was in the range of 60%–430%. Surprisingly, we find that 0-ending prices are less likely to adjust, and when they do adjust, the average adjustments are larger. These findings suggest that price adjustment barriers associated with round prices are strong enough to cause a systematic delay in price adjustments even in a period of a runaway inflation, when 85 percent of the prices change every month. |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:biu:wpaper:2021-04&r= |
| By: | Pawel Borys; Pawel Doligalski; Pawel Kopiec |
| Abstract: | We construct and estimate a business cycle model with search and matching frictions in the labor market and in the product market. We show that the dynamic structure of the model and the endogenous job separation rate are important to accurately represent the empirical responses to the technology and the demand shocks. Our main finding is that the demand shock explains at least 58% of the unemployment fluctuations in the US, while the technology shock accounts for the residual. |
| Date: | 2021–04–26 |
| URL: | http://d.repec.org/n?u=RePEc:bri:uobdis:21/743&r= |
| By: | Ichiro Iwasaki; Evžen Kocenda; Yoshisada Shida |
| Abstract: | We analyze factors behind 23,213 distressed acquisitions in European emerging markets from 2007–2019. Besides the impact of financial ratios, legal form, ownership structure, firm size, and age, we emphasize the role of institutions and channels of their propagation. We show that the quality and enforcement of insolvency laws are linked with the lower probability of distressed acquisitions, followed by corruption control and progress in banking reforms. The impact of institutions is larger in less-advanced countries as compared to economically stronger ones. The effect of institutions increased after the financial crisis but declined as the economic situation improved. |
| Keywords: | distressed acquisitions, mergers, European emerging markets |
| JEL: | C35 D02 D22 E02 G34 K20 L22 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9026&r= |
| By: | Abel Brodeur (University of Ottawa and IZA); Suraiya Bhuyian (Department of Economics, University of Ottawa); Anik Islam (Department of Economics, University of Ottawa); David Gray (Department of Economics, University of Ottawa) |
| Abstract: | The goal of this piece is to survey the developing and rapidly growing literature on the economic consequences of COVID-19 and the governmental responses, and to synthetize the insights emerging from a very large number of studies. This survey: (i) provides an overview of the data sets and the techniques employed to measure social distancing and COVID-19 cases and deaths; (ii) reviews the literature on the determinants of compliance with and the effectiveness of social distancing; (iii) the macroeconomic and financial impacts, including the modelling of plausible mechanisms; (iv) summarizes the literature on the socio-economic consequences of COVID-19, focusing on those aspects related to labor, health, gender, discrimination, and the environment, and v) summarizes the literature on public policy responses. |
| Keywords: | COVID-19, coronavirus, employment, lockdowns. |
| JEL: | E00 I15 I18 J20 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ott:wpaper:2103e&r= |
| By: | Mikhail Mamonov; Anna Pestova |
| Abstract: | Are disruptions of the mortgage market a consequence of financial imbalances accumulated in the past? In this paper, we study the effects of positive and negative credit supply (CS) shocks on subsequent household defaults on debt over the last four decades in U.S. states. We apply sign restrictions within a VAR framework to isolate state-level CS shocks, and identify that 1984 and 2004 were the years of systemic, countrywide, positive CS shocks whereas 1989 and 2009 brought systemic negative shocks. Further, by employing a difference-in-differences framework, we find that both positive and negative CS shocks lead to greater household defaults in the future if they also increase mortgage-to-income ratios. We show that the CS shock-induced (i) shifts of employment between the tradable and non-tradable sectors, (ii) changes in household income and (iii) in house prices facilitate the accumulation of default risks. Our results indicate that positive CS shocks occurred in 1984 did not raise household defaults by more in more exposed states compared to less exposed states because the shocks increased both future income and mortgage debt, while not affecting mortgage-to-income ratios. In contrast, the 1989, 2004 and 2009 CS shocks increased mortgage-to-income ratios in subsequent years, thereby raising debt delinquencies and household defaults. These results provide further empirical evidence to theories of endogenous credit cycles. |
| Keywords: | household finance; banking; credit supply; financial instability; mortgage; difference-in-differences; VARs, U.S. states; PSID; CEX; |
| JEL: | C34 G21 G33 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:cer:papers:wp691&r= |
| By: | Link, Sebastian (ifo Institute, LMU Munich, IZA, CESifo); Peichl, Andreas (LMU Munich, ifo Institute); Roth, Christopher (University of Warwick, briq, CESifo, Cage Warwick, CEPR); Wohlfart, Johannes (CEBI, University of Copenhagen, CESifo, Danish Finance Institute) |
| Abstract: | We leverage survey data from Germany, Italy, and the US to document several novel stylized facts about the extent of information frictions among firms and households. First, firms’ expectations about the central bank policy rate, inflation, and aggregate unemployment are more aligned with expert forecasts and less dispersed than households’. Second, there is substantially more heterogeneity in information frictions within households than within firms. Third, consistent with firms having stronger priors, they update their policy rate expectations significantly less compared to households when provided with an expert forecast. Our results have important implications for modeling heterogeneity in macroeconomic models. |
| Keywords: | Information frictions, firms, households, expectation formation, interest rates. JEL Classification: D83, D84, E71 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:cge:wacage:556&r= |
| By: | Ramis Khbaibullin (Bank of Russia, Russian Federation); Sergei Seleznev (Bank of Russia, Russian Federation) |
| Abstract: | We illustrate the ability of the stochastic gradient variational Bayes algorithm, which is a very popular machine learning tool, to work with macrodata and macromodels. Choosing two approximations (mean-field and normalizing flows), we test properties of algorithms for a set of models and show that these models can be estimated fast despite the presence of estimated hyperparameters. Finally, we discuss the difficulties and possible directions of further research. |
| Keywords: | Stochastic gradient variational Bayes, normalizing flows, mean-field approximation, sparse Bayesian learning, BVAR, Bayesian neural network, DFM. |
| JEL: | C11 C32 C32 C45 E17 |
| Date: | 2020–10 |
| URL: | http://d.repec.org/n?u=RePEc:bkr:wpaper:wps61&r= |
| By: | De Backer, Bruno; Dewachter, Hans; Iania, Leonardo (Université catholique de Louvain, LIDAM/LFIN, Belgium) |
| Abstract: | We use a standard macrofinancial no-arbitrage term structure model to forecast key macroe-conomic variables such as GDP. Simple adaptations to the model are proposed in order to generate plausible forecasts in the context of the COVID-19 crisis. The financial market variables included in the model are shown to improve GDP forecasts. The model forecasts of real GDP conditioned on macrofinancial information up to August 2020 suggest that the shape of the recovery will most likely be between a U and an L in most euro area countries considered, with substantial persistent losses. |
| Keywords: | COVID-19 ; shape of the recovery ; term structure ; sovereign yields |
| Date: | 2021–02–17 |
| URL: | http://d.repec.org/n?u=RePEc:ajf:louvlf:2021002&r= |
| By: | Haan, Peter (DIW Berlin); Prowse, Victoria (Purdue University) |
| Abstract: | We empirically analyze the optimal mix and optimal generosity of unemployment insurance and social assistance programs. To do so, we specify a structural life-cycle model of the labor supply, savings, and social assistance claiming decisions of singles and married couples. Partial insurance against wage and employment shocks is provided by social programs, savings, and the labor supplies of all adult household members. We show that the optimal policy mix is dominated by moderately generous social assistance, which guarantees a permanent universal minimum household income, with only a minor role for temporary earnings-related unemployment insurance. The optimal amount of social assistance is heavily influenced by income pooling in married households. This pooling provides partial insurance against negative economic shocks, reducing the optimal generosity of social assistance. |
| Keywords: | unemployment insurance; social assistance; design of benefi t programs; life-cycle labor supply; family labor supply; intra-household insurance; household savings; employment risk; added worker e ffect; |
| JEL: | J18 J68 H21 I38 |
| Date: | 2019–09–30 |
| URL: | http://d.repec.org/n?u=RePEc:rco:dpaper:189&r= |
| By: | Bruno Jetin (CEPN - Centre d'Economie de l'Université Paris Nord - CNRS - Centre National de la Recherche Scientifique - USPC - Université Sorbonne Paris Cité - UP13 - Université Paris 13, Universiti Brunei Darussalam); Luis Reyes Ortiz (KEDGE Business School [Marseille]) |
| Abstract: | Rebalancing growth in favor of domestic consumption has been an objective of Chinese policy makers for over two decades. However, until recently little progress has been achieved. This article argues that the nature of the demand regime is a major reason for the limited rebalancing operated thus far. Until the great recession (2008-09), Chinese growth was profit-led, which means that an increase in the profit share of income had a positive effect on investment and net exports that exceeded the negative effect on consumption. We show that after the great recession, China's demand regime turned wage-led, which means that an increase in the wage share results in a positive effect on households' consumption which exceeds the negative effect on investment and net exports. The conclusion is that a pro-labor policy may now contribute to rebalance China's growth and make it less dependent on exports, overinvestment and carbon-intensive industries. |
| Keywords: | China,Income distibution,Rebalancing growth,Macroeconomics,Time series analysis |
| Date: | 2019–07–03 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-03193667&r= |
| By: | Gert Bijnens (Economics and Research Department, NBB and KULeuven); John Hutchinson (European Central Bank); Jozef Konings (KULeuven, University of Liverpool and Nazarbayev University); Arthur Saint Guilhem (European Central Bank) |
| Abstract: | Increased investment in clean electricity generation or the introduction of a carbon tax will most likely lead to higher electricity prices. We examine the effect from changing electricity prices on manufacturing employment. Analyzing firm-level data, we find that rising electricity prices lead to a negative impact on labor demand and investment in sectors most reliant on electricity as an input factor. Since these sectors are unevenly spread across countries and regions, the labor impact will also be unevenly spread with the highest impact in Southern Germany and Northern Italy. We also identify an additional channel that leads to heterogeneous responses. When electricity prices rise, financially constrained firms reduce employment more than less constrained firms. This implies a potentially mitigating role for monetary policy. |
| Keywords: | environmental regulation, labor demand, employment, manufacturing industry, monetary policy |
| JEL: | E52 H23 J23 Q48 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbb:reswpp:202104-399&r= |
| By: | Oh, Eun Young (University of Portsmouth); Rosenkranz, Peter (Asian Development Bank) |
| Abstract: | To explore the determinants of peer-to-peer (P2P) lending expansion, this study examines factors that impact P2P lending using a sample of 62 economies over the period 2015–2017. We investigate the effects of financial development and financial literacy on the expansion of P2P lending. The level of development of financial institutions is assessed by access, efficiency, and depth. We find that financial institutions’ efficiency, financial literacy, and lower branch and ATM penetration are positively related with the expansion of P2P lending. This finding suggests that P2P lending can fill funding gaps in economies where traditional financial institutions may be less available, and thus promote financial inclusion. We also find that better information technology infrastructure and high new business density are positively associated with the expansion of P2P lending, suggesting that physical infrastructure is an essential prerequisite for it, while this is more likely to happen in dynamic business environments. |
| Keywords: | financial development; financial literacy; fintech; peer-to-peer lending |
| JEL: | E51 G23 G53 N20 O33 |
| Date: | 2020–03–19 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbewp:0613&r= |
| By: | Cem Cakmakli (Koç University); Selva Demiralp (Koç University); Sevcan Yesiltas (Koç University); Muhammed Ali Yildirim (Koç University and CID, Harvard University) |
| Abstract: | Despite the mounting costs of the pandemic at the global scale, the country-specific costs were rather heterogenous. National performances varied depending on the restrictive measures adopted, institutional strength, as well as adherence to stringency measures. We illustrate that obedience and rule of law strengthen the performance of the containment measures. |
| Keywords: | COVID-19; Stringency; Obedience; Rule of Law. |
| JEL: | I00 C33 E71 Z1 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:koc:wpaper:2103&r= |