http://lists.repec.org/mailman/listinfo/nep-mac Macroeconomics 2013-05-11 Soumitra K Mallick http://d.repec.org/n?u=RePEc:snb:snbwpa:2013-05&r=mac This paper evaluates the relative importance of commodity price shocks in the U.S. business cycle. Therefore, we extend the standard set of business cycle shocks to include unexpected changes in commodity prices. The resulting SVAR shows that commodity price shocks are a very important driving force of macroeconomic fluctuations - second only to investment-specific technology shocks - particularly with respect to inflation. Neutral technology shocks and monetary policy shocks, on the other hand, seem less relevant at business cycle frequencies. Neutral technology shocks rather play an important role at low frequencies. Matthias Gubler, Matthias S. Hertweck 2013 business cycles, commodity price shocks, structural VAR http://d.repec.org/n?u=RePEc:nav:ecupna:1304&r=mac We describe a dynamic macroeconomic model that incorporates firm-level borrowing constraints, competitive CES loan production, and rigidities on both setting prices and wages. The external finance premium (interest-rate spread) is countercyclical with technology and financial shocks, and procyclical with consumption spending shocks. The real effects of financial shocks are significantly amplified when either considering greater rigidities for price/wage setting or a low elasticity of substitution in loan production (banking real rigidities). In the monetary policy analysis, a stabilizing Taylor (1983)-style rule performs slightly better when incorporating a positive and small response coefficient to the external finance premium. Miguel Casares, Luca Deidda, Jose E. Galdon-Sanchez 2013 financial accelerator, nominal rigidities, real rigidities donations http://d.repec.org/n?u=RePEc:nbr:nberwo:19009&r=mac When limited commitment hinders unsecured credit, assets help by serving as collateral. We study models where assets differ in pledgability – the extent to which they can be used to secure loans – and hence liquidity. Although many previous analyses of imperfect credit focus on producers, we emphasize consumers. Household debt limits are determined by the cost households incur when assets are seized in the event of default. The framework, which nests standard growth and asset-pricing theory, is calibrated to analyze the effects of monetary policy and financial innovation. We show that inflation can raise output, employment and investment, plus improve housing and stock markets. For the baseline calibration, optimal inflation is positive. Increases in pledgability can generate booms and busts in economic activity, but may still be good for welfare. Venky Venkateswaran, Randall Wright 2013-05 http://d.repec.org/n?u=RePEc:nbr:nberwo:19015&r=mac Do fluctuations of the labor wedge, defined as the gap between the firm’s marginal product of labor (MPN) and the household's marginal rate of substitution (MRS), reflect fluctuations of the gap between the MPN and the real wage or fluctuations of the gap between the real wage and the MRS? For many countries, fluctuations of the labor wedge reflect predominantly fluctuations of the gap between the real wage and the MRS. As a result, business cycle theories of the labor wedge should primarily focus on improving the household side of the labor market. Explanations of the labor wedge based on departures of the representative firm’s MPN from the real wage are rejected by the data because the labor share of income is not strongly procyclical. Loukas Karabarbounis 2013-05 http://d.repec.org/n?u=RePEc:shf:wpaper:2013007&r=mac This paper examines the asymmetric impact of monetary policy shocks on real output growth considering the role of financial depth. We carry out our examination using quarterly US data over 1980:q1-2011:q4 and implement an instrumental variables Markov regime switching methodology to account for the endogeneity between monetary policy and output growth. Our investigation shows that the impact of monetary policy shocks on output growth is stronger during recessions than expansions. More interestingly, we show that financial depth dampens the real effects of monetary policy shocks. We show that the results are robust to several alternative financial depth measures. Mustafa Caglayan, Ozge Kandemir Kocaaslan, Kostas Mouratidis 2013 Output growth; asymmetric effects; monetary policy; financial depth; Markov switching; instrumental variables http://d.repec.org/n?u=RePEc:ulp:sbbeta:2013-06&r=mac Using a New Keynesian model with the cost channel, characterized by distortions due to monopolistic competition and the firms’ need to pre-finance their production, we show that central bank transparency affects the economy not only through the effects of inflation shocks but also of demand shocks. The economy is affected by opacity in the same way, but with smaller amplitude, in the case of demand shocks than in the case of inflation shocks except when the latter have a significantly lower variance. Generally, imperfect transparency could discipline the price-setting behavior of firms by reducing the average reaction of inflation to inflation and demand shocks and hence the volatility of inflation while increasing these of the output gap, and more so when these shocks are highly persistent. It could thus significantly improve social welfare if the society assigns a very low weight to output-gap stabilization. The presence of the cost channel reinforces significantly the effects of opacity on the responses of endogenous variables and their volatility to inflation shocks. Meixing Dai, Qiao Zhang 2013 Cost channel, central bank transparency, distortions, disciplining effect of imperfect transparency. http://d.repec.org/n?u=RePEc:ris:duthrp:2013_004&r=mac We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observations over the period 1967:1 to 2011:4. In doing so, we use two alternative vector autoregressive systems in order to construct the fiscal policy shocks: one with the simple sum monetary aggregate MZM and one with the alternative CFS Divisia MZM aggregate. From each one of these systems we extracted four types of shocks: a negative and a positive government spending shock and a negative and a positive government revenue shock. These eight different types of unanticipated fiscal shocks were used next to empirically examine their effects on the growth rate and cyclical component of real private GNP in two sets of regressions: one that assumes only contemporaneous effects of the shocks on output and one that is augmented with four lags of each fiscal shock. Gogas, Periklis, Pragidis, Ioannis 2013-05-04 Fiscal Policy; Asymmetric Effects; VAR http://d.repec.org/n?u=RePEc:pra:mprapa:46836&r=mac In this paper we suggest a simple empirical and model-independent measure of Central Banks' Conservatism, based on the Taylor curve. This new indicator can easily be extended in time and space, whatever the underlying monetary regime of the considered countries. We demonstrate that it evolves in accordance with the monetary experiences of 32 OECD member countries from 1980, and is largely equivalent to the model-based measure provided by Krause & Méndez [Southern Economic Journal, 2005]. We finally bring forward the interest of such an indicator for further empirical analysis dealing with the preferences of Central Banks. Levieuge, Grégory, Lucotte, Yannick 2012-04-28 Central Banks' preferences; Conservatism; Taylor curve; Taylor rule http://d.repec.org/n?u=RePEc:mse:cesdoc:13033&r=mac In this paper we suggest a new measure of discretionary government spending for OECD countries over the period 1980-2011. To identify the components of discretionary expenditure, we use the volatility and persistence properties of the expenditure series. Discretionary policy cannot be inertial and should be free from prior obligations. Commonly used measures of discretionary fiscal policy do not satisfy these two criteria. We find that discretionary expenditure accounts on average for about 30 per cent of total primary expenditure, suggesting that most government spending is driven by inertial and automatic components. These features help explain why government expenditure is generally not counter-cyclical even is advanced economies. Furthermore, the small share of discretionary expenditure over total expenditure significantly reduces the room of manoeuvre for counter-cyclical fiscal policy during recessions. Fabrizio Coricelli, Riccardo Fiorito 2013-04 Discretion, government spending, volatility. http://d.repec.org/n?u=RePEc:lvl:lacicr:1309&r=mac Inflation definitely has costs, but they remain difficult to quantify for rates below 10-15 per cent. Aiming for a low rate of inflation, as Canada has done in the last 20 years, carries with it various risks, such as debt deflation, reduced flexibility of interest rates, and downwardly rigid nominal wages. In this paper, I focus on the latter problem. As James Tobin pointed out in 1972, economy-wide downward nominal wage rigidity generates a long-run negative relation between inflation and unemployment, implying that permanently low inflation can be bought only at the cost of permanently high unemployment. In contrast, the classical assumption of full wage flexibility implies that low inflation carries no permanent unemployment costs. The literature has produced compelling evidence that firm and worker resistance to nominal wage cuts is fierce, extensive and persistent in advanced economies, including Canada. But the macroeconomic significance of this phenomenon is still disputed. After presenting the details of the competing classical and Tobin views on wage flexibility or rigidity, I review the theoretical and empirical objections to the macroeconomic relevance of downward nominal wage rigidity that can be found in the literature. I then present new macroeconomic evidence on the matter based on Canadian macrodata for the 56-year period 1956-2011. This evidence suggests that the real world is more Tobin-like than classical, implying that the permanent unemployment costs of aiming for a low rate of inflation such as the current 2-per-cent target could be significant. According to the results I obtain, sticking to this target would keep the national unemployment rate between 1.0 and 2.7 percentage points in excess of the asymptotic minimum rate that would be attainable at a somewhat higher inflation rate. Pierre Fortin 2013 Wage rigidities, Canadian Phillips Curve, Inflation-unemployment trade off http://d.repec.org/n?u=RePEc:mse:cesdoc:13042&r=mac This paper investigates the relevance of the No-Ponzi game condition for public debt (i.e. the public debt growth rates has to be lower than the real interest rate, a necessary assumption for Ricardian equivalence) and of the transversality condition for the GDP growth rate (i.e. the GDP growth rate has to be lower than the real interest rate). First, on the unbalanced panel of 21 countries from 1961 to 2010 available in OECD database, those two conditions were simultaneously validated only for 29% of the cases under examination. Second, those two conditions were more frequent in the 1980s and the 1990s when monetary policies were more restrictive. Third, in tune with the Keynesian view, when the real interest rate is higher than the GDP growth, it corresponds to 75% of the cases of the increases of the debt/GDP ratio but to only 43% of the cases of the decreases of the debt/GDP ratio (fiscal consolidations). Karim Azizi, Nicolas Canry, Jean-Bernard Chatelain, Bruno Tinel 2013-04 Government solvency, austerity, fiscal consolidation, No-Ponzi game condition, transversality condition, Keynesian countercyclical budgetary policy, monetary policy, economic growth. http://d.repec.org/n?u=RePEc:zbw:esprep:72550&r=mac This paper investigates the relevance of the No-Ponzi game condition for public debt (i.e. the public debt growth rate has to be lower than the real interest rate, a necessary assumption for Ricardian equivalence) and of the transversality condition for the GDP growth rate (i.e. the GDP growth rate has to be lower than the real interest rate). First, on the unbalanced panel of 21 countries from 1961 to 2010 available in OECD database, those two conditions were simultaneously validated only for 29% of the cases under examination. Second, those two conditions were more frequent in the 1980s and the 1990s when monetary policies were more restrictive. Third, in tune with the Keynesian view, when the real interest rate is higher than the GDP growth, it corresponds to 75% of the cases of the increases of the debt/GDP ratio but to only 43% of the cases of the decreases of the debt/GDP ratio (fiscal consolidations). -- Azizi, Karim, Canry, Nicolas, Chatelain, Jean-Bernard, Tinel, Bruno 2013-04-29 Government solvency,Austerity,Fiscal consolidation,No-Ponzi game condition,transversality condition,budgetary policy,monetary policy,economic growth http://d.repec.org/n?u=RePEc:tow:wpaper:2013-02&r=mac We construct a dynamic general equilibrium model to analyze the effects of large energy subsidies in a small open economy. The model includes domestic energy production and consumption, trade in energy at world market prices, as well as private and public sector production. The model is calibrated to Egypt and used to study reforms such as reductions in energy subsidies with corresponding reductions in various tax instruments, or increases in infrastructure investment. We calculate the new steady states, transition paths to the new steady state and the size of the associated welfare losses or gains. In response to a 15 percent cut in energy subsidies, GDP may fall as less energy is used in production. Excess energy is exported and capital imports fall. Welfare in consumption equivalent terms can rise by up to 0.6 percent of GDP. Gains in output can be realized only if the government re-invests into infrastructure. Gerhard Glomm, Juergen Jung 2013-02 Energy subsidies, fiscal policy reform, public sector reform, growth. http://d.repec.org/n?u=RePEc:pra:mprapa:46727&r=mac In the context of the theory of the optimum currency areas, Frankel and Rose [1998] have proposed the endogeneity thesis of the optimality criteria which they demonstrate by highlighting a significantly positive relation between business cycles synchronization and trade intensity of the monetary union countries. This demonstration admits limits and can lead to erroneous conclusions. It hides an important dimension of the endogeneity of the optimality criteria: the business cycles convergence. From the experience of three monetary unions, we first demonstrate that the endogeneity of the monetary unions can only and rigorously be verified afterwards. We demonstrate secondly that, in addition to a positive relation between business cycles synchronization and trade integration, a cyclical convergence of the economies over the period prior to the monetary union would make the thesis of endogeneity more plausible. Gammadigbé, Vigninou 2013-05 Optimum currency area, Cyclical convergence, Trade integration, Asymmetric shocks http://d.repec.org/n?u=RePEc:mlb:wpaper:1169&r=mac This paper re-examines the VAR analysis of the price puzzle with regard to the issues of measurement, identification and misspecification. In an empirical analysis conducted for the US economy, we consider alternative measures of economic activity and inflation, alternative assumptions to identify the monetary policy shock and various VAR specifications making use of contemporaneous and forward looking variables. All three issues are found to be important for the resolution of the price puzzle and a robust preferred specification is proposed. Shuyun May Li, Roshan Perera, Kalvinder Shields 2013 Price puzzle;Monetary policy;Output gap;Expectations http://d.repec.org/n?u=RePEc:red:sed012:654&r=mac We estimate a DSGE model where rare large shocks can occur, by replacing the commonly used Gaussian assumption with a Student-t distribution. We show that the latter is favored by the data in the context of a Smets and Wouters-type model estimated on macro variables, even if we allow for low frequency variation in the shocks' volatility. The evidence is even stronger when we introduce financial frictions as in Bernanke, Gertler and Gilchrist (1999), and correspondingly include a measure of interest rate spreads among the observables. We provide some evidence that introducing Student-t shocks reduces the importance of low-frequency time-variation in volatility. In particular, we show that the Great Recession of 2008-09 does not result in significant increases in estimated time-varying volatility (i.e., it is not a reversal of the Great Moderation) but is largely the outcome of large shocks. Marco Del Negro, Vasco Curdia 2012 http://d.repec.org/n?u=RePEc:anc:wmofir:82&r=mac This paper analyses aggregate household wealth in Canada, France, Germany, Italy, Japan, Spain, the UK and the US. Building on a new data set for the time span 1980-2011, we discuss the trends in household financial assets in the last thirty years, the reasons for differences across countries, the tendency towards convergence, the economic interpretation of breaks in time series and the effects of the recent financial crisis. We also comment on the evolution of household debt and real assets. In discussing the empirical evidence, the paper summarises some of the recent literature on household wealth. Riccardo De Bonis, Daniele Fano, Teresa Sbano 2013-05 financial systems, household wealth and debt http://d.repec.org/n?u=RePEc:pra:mprapa:46803&r=mac The present study examines the dynamic interactions among macroeconomic variables such as real output, prices, money supply, interest rate and exchange rate in India during the pre-economic crisis and economic crisis periods, using the ARDL bounds test for cointegration, Johansen and Juselius (1990) multivariate cointegration test, Granger causality/Block exogeneity Wald test based on Vector Error Correction Model, variance decomposition analysis and impulse response functions. The empirical results reveal a stronger long-run bilateral relationship between real output, price level, interest rate and exchange rate during the pre-crisis sample period. Moreover, the empirical results confirm a unidirectional short-run causality running from price level to exchange rate, interest rate to price level and real output to money supply during the pre-crisis period. Also, it is evident from the test results that there exist short-run bidirectional relationships running between real output and exchange rate, price level and interest rate in the pre-crisis era. In addition, the feedback relationship is also observed between interest rate and exchange rate variables in the short-run. Most importantly, long-run bidirectional causality is found between real output, exchange rate and interest rate during the economic crisis period. And the study results indicate short-run bidirectional causality between money supply and exchange rate, interest rate and price level and interest rate and output in India during the crisis era. Also, a short-run unidirectional causality runs from prices to real output in the crisis period. P., Srinivasan, M., Kalaivani 2013-05-07 Macroeconomic variables, Cointegration, Causality, Variance Decomposition Analysis, Impulse Response Functions http://d.repec.org/n?u=RePEc:pra:mprapa:46670&r=mac The paper aims at investigating the dependency of the Russian economy on natural resources, underlining the causes and the possible consequences of this growth model. The analysis tries to evaluate if the Russian manufacturing has contracted the “Dutch Disease”, that is, if a boom in the oil and gas industry has led to a process of de-industrialization, directly through the resource movement effect and indirectly through the spending effect. In this investigation it will be emphasized the role played by the learning curves as a crucial factor in determining the comparative advantages of a country, and why an excessive reliance on exports of a single product may reduce the welfare of a nation in the long run. Covi, Giovanni 2013-05-02 Economic development - Dutch disease - Natural Resource Curse – Oil dependence – Industrial policy – Russian economic growth http://d.repec.org/n?u=RePEc:mkg:wpaper:1303&r=mac Data from 135 countries covering five decades suggests that creditless recoveries, in which the stock of real credit does not return to the pre-crisis level for three years after the GDP trough, are not rare and are characterised by remarkable real GDP growth rates: 4.7 percent per year in middle-income countries and 3.2 percent per year in high-income countries. However, the implications of these historical episodes for the current European situation are limited, for two main reasons. First, creditless recoveries are much less common in high-income countries, than in low-income countries which are financially undeveloped. European economies heavily depend on bank loans and research suggests that loan supply played a major role in the recent weak credit performance of Europe. There are reasons to believe that, despite various efforts, normal lending has not yet been restored. Limited loan supply could be disruptive for the European economic recovery and there has been only a minor substitution of bank loans with debt securities. Second, creditless recoveries were associated with significant real exchange rate depreciation, which has hardly occurred so far in most of Europe. This stylised fact suggests that it might be difficult to re-establish economic growth in the absence of sizeable real exchange rate depreciation, if credit growth does not return. Zsolt Darvas 2013-02 creditless recoveries, credit growth, financial structure, real exchange rate adjustment http://d.repec.org/n?u=RePEc:ivi:wpasad:2013-02&r=mac This paper uses a model with a matching function in the labor market, where matches last for one period, to obtain the amount of frictional and non frictional (rationed/disequilibrium) unemployment for different standard wage-setting rules when there are matching frictions. We also compute the frictional and non frictional unemployment rate for two economies characterized by different labor market institutions, namely the Spanish and US economies. The empirical analysis takes into account two types of micro-foundations of the matching function: coordination failure and mismatch due to heterogeneity in the labor market. The empirical findings for Spain suggest that approximately half of all unemployment is due to job rationing and the other half to frictional and mismatch problems. However, the rationing unemployment rate for the US economy represents, two thirds of all unemployment on average, while frictional and mismatch problems account for only a third. José Ramón García Martínez, Valeri Sorolla 2013-04 matching frictions, frictional unemployment, disequilibrium unemployment. http://d.repec.org/n?u=RePEc:nbr:nberwo:19008&r=mac In 1790, a U.S. paper dollar was widely held in disrepute (something shoddy was not ‘worth a Continental’). By 1879, a U.S. paper dollar had become ‘as good as gold.’ These outcomes emerged from how the U.S. federal government financed three wars: the American Revolution, the War of 1812, and the Civil War. In the beginning, the U.S. government discriminated greatly in the returns it paid to different classes of creditors; but that pattern of discrimination diminished over time in ways that eventually rehabilitated the reputation of federal paper money as a store of value. George J. Hall, Thomas J. Sargent 2013-05 http://d.repec.org/n?u=RePEc:ris:giamwp:2013_006&r=mac We offer an alternative explanation for the decline in labor force participation of senior workers. Typically, tax and transfer explanations have been proposed. On the contrary, a model with imperfectly competitive labor market allows to consider as well the effects of a drop in bargaining power, which would not be possible in a purely neoclassical framework. We find that a decline in the bargaining power of workers, which has taken place in the last four decades, has largely contributed to the rise in inactivity in Europe. However, we need a combination of these two explanations, along with population aging and a fall in the matching efficiency, in order to correctly reproduce the joint evolutions of other labor market variables such as the employment and unemployment rates. Batyra, Anna, de la Croix, David, Pierrard, Olivier, Sneessens, Henri R. 2013-05-03 Overlapping Generations; Search Unemployment; Labor Force Participation; Ageing; Labor Market Policy and Institutions http://d.repec.org/n?u=RePEc:pke:wpaper:pkwp1304&r=mac This paper estimates the effects of a change in the wage share on growth at a national and global level in the G20 countries. A decrease in the wage share leads to lower growth in the euro area, Germany, France, Italy, UK, US, Japan, Turkey, and Korea, whereas it stimulates growth in Canada, Australia, Argentina, Mexico, China, India, and South Africa. However, a simultaneous decline in the wage share in all these countries leads to a decline in global growth. Furthermore, Canada, Argentina, Mexico, and India also contract when they decrease their wage-share along with their trading partners. Onaran Özlem, Giorgos Galanis 2013-04 wage share, growth, global multiplier, consumption, investment, exports, imports, G20, developed and developing countries http://d.repec.org/n?u=RePEc:npf:wpaper:13/123&r=mac In recent years the role of a sound PFM system to achieve the objectives of fiscal discipline, strategic planning, and improved service delivery has been getting increasing public attention in India. Since public financial management reforms undertaken intermittently over the years, have not delivered anticipated results in these areas, studies and recommendations of Government appointed committees and expert bodies have identified gaps that need attention to strengthen the PFM institutional framework and to improve the efficiency of government spending. This paper examines key PFM reform measures undertaken in India over the past few years and provides suggestions to enhance the effectiveness of these PFM systems. Jena, Pratap Ranjan 2013-04 Public financial management ; Budgeting system ; Performance budgeting ; Fiscal rules ; Audit ; Accounting http://d.repec.org/n?u=RePEc:nbr:nberwo:19010&r=mac We study the lags with which new technologies are adopted across countries, and their long-run penetration rates once they are adopted. Using data from the last two centuries, we document two new facts: there has been convergence in adoption lags between rich and poor countries, while there has been divergence in penetration rates. Using a model of adoption and growth, we show that these changes in the pattern of technology diffusion account for 80% of the Great Income Divergence between rich and poor countries since 1820. Diego A. Comin, Martí Mestieri Ferrer 2013-05 http://d.repec.org/n?u=RePEc:rtv:ceisrp:273&r=mac We consider the optimal factor income taxation in a standard R&D model with technical change represented by an increase in the variety of intermediate goods. Redistributing the tax burden from labor to capital will in most cases increase the employment rate in equilibrium. This has opposite effects on two distortions in the model, one due to monopoly power, the second to the incomplete appropriability of the benefits of inventions. Their relative momentum determines the sign of the welfare effect of the redistribution. We show that, for parameter values consistent with available estimates, the optimal tax rate on capital will be sizable. Xin Long, Alessandra Pelloni 2013-04-19 Capital Income Taxes, R&D, Growth Effect, Welfare Effect. http://d.repec.org/n?u=RePEc:rug:rugwps:13/839&r=mac In light of the importance of banking sector outreach and given concerns that competition may adversely affect it, this study explores the empirical linkage between banking structure and outreach in Turkey for the period 1988–2010. Bank-, province-, and bank-province-level estimation results indicate that competition is in general conducive to the outreach of banks. We do not find evidence for collusive behavior between banks when they have multimarket contact. On the province-level, thepresence of foreign owned banks is associated with higher outreach, while at the bank-province levelwe observe that outreach of domestic banks exceeds that of foreign banks. Together, these results suggest that there are pro-competitive spillover effects from foreign banks to their domestic counterparts. A. FARUK AYSAN, M. DISLI, K. SCHOORS 2013-04 bank competition, multimarket contact, bank outreach. http://d.repec.org/n?u=RePEc:ilo:ilowps:478309&r=mac Guerra, Maria Lucia 2012 employment, decent work, employment policy, economic policy, economic recession, Peru, emploi, travail décent, politique de l'emploi, politique économique, récession économique, Pérou, empleo, trabajo decente, política de empleo, política económica, recesión económica, Perú http://d.repec.org/n?u=RePEc:zbw:fzgdps:52&r=mac A major aim of the recent updates of National Accounting standards (SNA2008 and ESA2010) is to provide a more complete picture of households' wealth. In this course it will become mandatory for European countries to publish annual estimates of unfunded public pension entitlements (UPPE) from 2017 onwards. This study describes the methodological concepts behind this new figure of national accounts. After a review of past studies on the subject of UPPE we provide a large cross-country comparison for 18 EU countries of this new pension wealth figures and discuss a number of possible applications for policy makers and researchers. This includes the use to estimate the offset between UPPE and savings (Feldstein 1974). Finally, we show the distribution of households' wealth across Europe including financial wealth, dwellings and UPPE. Many prosperity differences between countries with Beveridgean and Bismarkian pension systems as well as between western and central eastern European countries are eliminated when considering these three wealth categories. In addition, a direct comparison of UPPE with replacement rates shows that these two proxies for the generosity of pension systems are completely uncorrelated at the cross-country level. -- Kaier, Klaus, Müller, Christoph 2013 households' wealth,pension liabilities,pension entitlements,household saving http://d.repec.org/n?u=RePEc:ulp:sbbeta:2013-07&r=mac From Olsen Financial Studies data on the Euro-Dollar currency pair (2008-2010), we conduct a time-series analysis to explain the role of trading volume on exchange rate volatility (Mixture Distribution Hypothesis), taking into account non-linearity. We find evidence that the MDH holds in turbulent periods, during which spreads and volume trading are high. When spreads and the volume are high, the relationship between trading volume and volatility tends to increase. Linking this result with the Tobin tax debate implies that a Tobin tax would be effective for curbing speculation and reducing exchange rate volatility, even in turbulent periods. This paper provides the first empirical corroboration of this proposition and seems to confirm some previous theoretical papers in the vein of Tobin. All in all, two main results emerged. First, the abundant literature on the MDH, but exclusively based on linear econometrics, should take into account non-linearities. Second, the effect of a Tobin tax on volatility would be slightly context-dependent and always negative. A Tobin tax would have been stabilizing and effective in the 2008 crisis when spreads, volume and volatility were very high. Olivier Damette 2013 Tobin Tax, exchange rate volatility, STR models, non-linearity, Mixture Distribution Hypothesis. http://d.repec.org/n?u=RePEc:sef:csefwp:330&r=mac We present an intertemporal portfolio choice model where individuals invest in financial literacy, save, allocate their wealth between a safe and a risky asset, and receive a pension when they retire. Financial literacy affects the excess return and the cost of stock market participation. Since literacy depreciates over time and has a cost related to current consumption, investors simultaneously choose how much to save, the portfolio allocation, and the optimal investment in literacy. This last depends on households' resources, its preference parameters and on how much financial literacy affects the returns on risky assets and the stock market participation cost, and the returns on social security wealth. The model implies one should observe a positive correlation between stock market par- ticipation (and risky asset share, conditional on participation) and financial literacy, and a negative correlation between the generosity of the social security system and financial literacy. The model also implies that the stock of financial literacy accumulated early in life is positively correlated with the individual's wealth and portfolio allocations later in life. Using microeconomic cross-country data, we find support for these predictions. Tullio Jappelli, Mario Padula 2013-04-22 Financial Literacy, Portfolio Choice, Saving