nep-mac New Economics Papers
on Macroeconomics
Issue of 2005‒02‒20
25 papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Bussiness Management

  1. Permanent vs Transitory Components and Economic Fundamentals By Anthony Garratt; Donald Robertson; Stephen Wright
  2. UK Real-Time Macro Data Characteristics By Anthony Garratt; Shaun P Vahey
  4. Characterizing the Optimal Composition of Government Expenditures By Rafaela Pérez Sánchez
  5. The Effect of Monetary Unification on Public Debt and its Real Return By Roel Beetsma; Koen Vermeylen
  6. Policy Mix and Debt Sustainability: Evidence from Fiscal Policy Rules By Peter Claeys
  7. Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series By Jean-Marie Dufour; Abdeljelil Farhat; Marc Hallin
  8. Forecasting Dutch GDP using Large Scale Factor Models By A.H.J. den Reijer
  9. Clearing vs. Leakage: Does Note Monopoly Increase Money and Credit Cycles? By Hortlund, Per
  10. Precautionary Saving Over the Lifecycle By John Laitner
  11. Sustainability of Portuguese Fiscal Policy in Historical Perspective By Carlos Fonseca Marinheiro
  12. Personal Security Accounts and Mandatory Annuitization in a Dynastic Framework By Luisa Fuster; Ayse Imrohoroglu; Selahattin Imrohoroglu
  13. Junior is Rich: Bequests as Consumption By George M. Constantinides; John B. Donaldson; Rajnish Mehra
  14. Trends in Hours, Balanced Growth, and the Role of Technology in the Business Cycle By Jordi Gali
  15. Sudden Stops and Output Drops By V.V. Chari; Patrick Kehoe; Ellen R. McGrattan
  16. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk By Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Jin (Ginger) Wu
  17. The U.S. Current Account and the Dollar By Oliver Blanchard; Francesco Giavazzi; Filipa Sa
  18. A Simple Recursive Forecasting Model By Wiliam Branch; George W. Evans
  19. Inflation Targeting, Committee Decision Making and Uncertainty: The Case of the Bank of England’s MPC By Arnab Bhattacharjee; Sean Holly
  20. Weird Ties? Growth, Cycles and Firm Dynamics in an Agent-Based Model with Financial-Market Imperfections By Mauro Napoletano, Domenico Delli Gatti, Giorgio Fagiolo, Mauro Gallegati
  21. Welfare Effects of Tax Policy in Open Economies: Stabilization and Cooperation. By Henry Kim
  22. Air Pollution Convergente and Economic Growth across European Countries By Francisco Álvarez; Gustavo A. Marrero; Luis Puch
  23. China’s Employment Challenges and Strategies after the WTO Accession By Douglas Zhihua Zeng
  24. Representative versus real households in the macro-economic modeling of inequality By François Bourguignon; Anne-Sophie Robilliard; Sherman Robinson
  25. Financial Intermediation and Credit Market Equilibrium: A Model of Matching Market By Kaniska Dam

  1. By: Anthony Garratt (School of Economics, Mathematics & Statistics, Birkbeck College); Donald Robertson; Stephen Wright (School of Economics, Mathematics & Statistics, Birkbeck College)
    Abstract: Any non-stationary series can be decomposed into permanent (or "trend") and transitory (or "cycle") components. Typically some atheoretic pre-filtering procedure is applied to extract the permanent component. This paper argues that analysis of the fundamental underlying stationary economic processes should instead be central to this process. We present a new derivation of multivariate Beveridge-Nelson permanent and transitory components, whereby the latter can be derived explicitly as a weighting of observable stationary processes. This allows far clearer economic interpretations. Different assumptions on the fundamental stationary processes result in distinctly different results; but this reflects deep economic uncertainty. We illustrate with an example using Garratt et al's (2003a) small VECM model of the UK economy. Any non-stationary series can be decomposed into permanent (or "trend") and transitory (or "cycle") components. Typically some atheoretic pre-filtering procedure is applied to extract the permanent component. This paper argues that analysis of the fundamental underlying stationary economic processes should instead be central to this process. We present a new derivation of multivariate Beveridge-Nelson permanent and transitory components, whereby the latter can be derived explicitly as a weighting of observable stationary processes. This allows far clearer economic interpretations. Different assumptions on the fundamental stationary processes result in distinctly different results; but this reflects deep economic uncertainty. We illustrate with an example using Garratt et al's (2003a) small VECM model of the UK economy.
    Keywords: Multivariate Beveridge-Nelson, VECM, Economic Fundamentals, Decomposition.
    JEL: C1 C32 E0 E32 E37
    Date: 2005–02
  2. By: Anthony Garratt (School of Economics, Mathematics & Statistics, Birkbeck College); Shaun P Vahey
    Abstract: We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real-time forecasting, we use a vector autoregression to generate real-time one-step-ahead probability event forecasts for 1990Q1 to 1999Q2. Ignoring the predictability in initial measurements understates considerably the probability of above trend output growth.
    Keywords: real-time data, structural breaks, probability event forecasts
    JEL: C22 C82 E00
    Date: 2005–02
  3. By: E Philip Davis; Yu-Wei Hu
    Date: 2005–02
  4. By: Rafaela Pérez Sánchez (Universidad Complutense de Madrid)
    Abstract: This paper extends the neoclassical growth model with productive public capital by including an infrastructure efficiency index, which is assumed to depend on a public choice variable, in particular, the share of public spending allocated to productive public consumption. A golden rule for the allocation of public expenditure between productive consumption and investment is specified. Under this framework, the observed path for the stock of infrastructures and the proposed efficiency index in the US economy during the last fifty years have been close to optimal: a lower stock of infrastructures has been accumulated, but it has been used more efficiently.
    Keywords: Public Expenditure Composition, Public Investment, Public Consumption, Nominal and Effective Infrastructures, Infrastructures Efficiency Index
    JEL: E62 E65 H40 H54 O41
    Date: 2004
  5. By: Roel Beetsma; Koen Vermeylen
    Abstract: We explore the implications of monetary unification for real interest rates and (relative) public debt levels. The adoption of a common monetary policy renders the risk-return characteristics of the participating countries more similar, so that the substitutability of their public debt increases after unification. This implies that the average expected real return on the debt increases. Also, the share of the unionwide debt issued by relatively myopic governments or of countries that initially have a relatively dependent central bank increases after unification. This may put the political sustainability of the union under pressure. A transfer scheme that penalizes debt increases beyond the union average is able to undo the interest rate effect of unification, but magnifies the spread in relative debt levels.
    Keywords: monetary union, (relative) public debt, interest rates, externalities, substitutability, central bank independence
    JEL: E42 E62 E63 F33
    Date: 2005
  6. By: Peter Claeys
    Abstract: This paper characterises rules-based fiscal policy setting. Basically, we translate a standard monetary policy rule into a simple fiscal policy rule. We then infer on fiscal policymakers' reaction coefficients by testing the rule with GMM. Interaction is also tested directly by the inclusion of monetary policy setting. Our results qualify existing evidence on systematic fiscal policy in two respects. First, fiscal policy usually stabilises public debt. And there is indeed substantial interaction between fiscal and monetary policy via the debt channel. Second, sustainability is achieved with a “stop-go” cycle of consolidation. Consolidation does not come at the cost of less cyclical stabilisation unless debt ratios are high.
    Keywords: monetary policy, fiscal policy, policy interaction and policy rules, debt sustainability
    JEL: E61 E63
    Date: 2005
  7. By: Jean-Marie Dufour; Abdeljelil Farhat; Marc Hallin
    Abstract: We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential bounds, Eaton-type bounds, Chebyshev bounds and Berry-Esséen-Zolotarev bounds. The bounds are exact in finite samples, distribution-free and easy to compute. The performance of the bounds is evaluated and compared with traditional serial dependence tests in a simulation experiment. The procedures proposed are applied to U.S. data on interest rates (commercial paper rate). <P>Nous étudions le problème qui consiste à tester l’hypothèse que des observations X1, · · ·, Xn d’une série chronologique sont indépendantes avec des distributions non spécifiées (possiblement non identiques) symétriques autour d’une médiane connue. Nous proposons plusieurs bornes sur les distributions des coefficients d’autocorrélation : bornes exponen-tielles, bornes de type Eaton, bornes de Chebyshev et bornes de Berry-Esséen-Zolotarev. Les bornes sont exactes dans les échantillons finis, non paramétriques et faciles à calculer. Nous évaluons par simulation la performance des bornes et comparons celle-ci à celle de tests d’autocorrélation traditionnels. Les procédures proposées sont appliquées à des données de taux d’intérêt américaines (“commercial paper rate”).
    Keywords: autocorrelation; serial dependence; nonparametric test; distribution-free test; heterogeneity; heteroskedasticity; symmetric distribution; robustness; exact test; bound; exponential bound; large deviations; Chebyshev inequality; Berry-Esséen; interest rates, autocorrelation; serial dependence; nonparametric test; distribution-free test; heterogeneity; heteroskedasticity; symmetric distribution; robustness; exact test; bound; exponential bound; large deviations; Chebyshev inequality; Berry-Esséen; interest rates
    JEL: C14 C22 C12 C32 E4
    Date: 2005–02–01
  8. By: A.H.J. den Reijer
    Abstract: This paper applies large scale factor models to Dutch quarterly data inorder to generate forecasts of GDP growth rates for an horizon up to 8 quarters ahead. The data set consists of the series underlying the cen- tral bank´s macroeconomic structural model for the Netherlands sup- plemented with leading indicator variables. In a pseudo out-of-sample forecasting context, we select optimal models in the time dimension and the optimal size of the ordered data set in the cross-sectional dimension. The main empirical ?ndings of this paper are that the cross-sectional opti- mization substantially improves the forecasting performance of the factor models. However, only the dynamic factor model systematically outper- forms and encompasses the autoregressive benchmark model with an op- timal subset of the data of around 110 series. The forecasting gains in terms of mean squared errors range from 10% to 30% for forecast horizons up to 6 quarters ahead.
    Keywords: Factor models; Forecasting; Leading Indicators.
    JEL: C43 C51 E32
    Date: 2005–02
  9. By: Hortlund, Per (The Ratio Institute)
    Abstract: The effects of note monopolisation on the amplitude of money and credit cycles are studied. Note monopolisation trades clearing for leakage. If the central bank's reserve ratio is larger than that of the commercial banks, and if the currency-deposit ratio is sufficiently large, the leakage effect could domi-nate the loss-of-clearing effect (base expansion), such that the credit capacity of the banking system decreases. This was the case when the Bank of Sweden gained a note monopoly in 1904. Money and credit cycles should therefore have become smaller. Swedish bank data for 1871–1938 reveal that money cycles became smaller, but credit cycles larger. The latter is attributed to an increasing time-demand deposit ratio, which increases the credit capacity of the banking system.
    Keywords: Clearing mechanism; Credit expansion; Currency-deposit ratio; Fiduciary money; Free banking; Leakage; Money multiplier
    JEL: E32 E42 E51
    Date: 2005–02–16
  10. By: John Laitner (Institute for Social Research)
    Abstract: This paper studies the quantitative importance of precautionary wealth accumulation relative to life—cycle saving for retirement. Section 1 examines panel data on earnings from the PSID. Using a bivariate normal model of random effects, we find that second— period—of—life earnings are strongly positively correlated with initial earnings but have a higher variance. Section 2 studies the consequences for life—cycle saving. Households know their youthful earning power as they enter the labor market, but only in midlife do they learn their actual second—period earning ability. For plausible calibrations, precautionary saving only adds 5—6% to aggregative life—cycle wealth accumulation. Nevertheless, we find that, given borrowing constraints on households’ behavior, the variety of earning profiles that our bivariate normal model generates itself stimulates more than twice as much extra wealth accumulation as precautionary saving.
    Date: 2004–03
  11. By: Carlos Fonseca Marinheiro
    Abstract: This paper analyses the sustainability of Portuguese public finances, making use of a long dataset with more than a full century of observations. The use of such a long dataset is appropriate because both unit root and cointegration tests require a long period of data. The sustainability testing procedure is based on unit root and cointegration tests. We find considerable evidence in favour of sustainability for the 1903-2003 period. The overall conclusion of sustainability for the 1903-2003 period is not maintained for the more recent 1975-2003 period, which is characterised by the largest GDP deficit ratios of our sample. This latter period appears to signal a shift to an unsustainable path in Portuguese fiscal policy. Hence, our results suggest that fiscal consolidation efforts must, in fact, be continued in Portugal.
    Keywords: fiscal sustainability, sustainability of public debt, intertemporal budget constraint, government deficits and debt, Portugal
    JEL: E60 H60
    Date: 2005
  12. By: Luisa Fuster; Ayse Imrohoroglu; Selahattin Imrohoroglu
    Abstract: The aging of the populations in the OECD countries has prompted various calls for reforming the existing pay-as-you-go (PAYG) pension systems. Currently, there is renewed discussion in the United States about partial privatization where a fraction of the social security payroll tax would be diverted to Personal Security Accounts. In this paper, we quantitatively evaluate the welfare effects of reforming social security by introducing a PSA with and without mandatory annuitization in an economic environment with bequests and borrowing constraints. Our setup allows us to assess whether mandatory saving or mandatory annuitization of accumulated PSA wealth at retirement is welfare enhancing, and if so, for what type of individuals. Our setup follows Fuster, Imrohoroglu, and Imrohoroglu (2003) and studies various pension schemes in a two-sided altruistic framework where social security provides insurance against individual income and lifespan uncertainty. This framework is well suited to consider the annuity role of social security for single individuals versus for households where families also provide annuity insurance to their members. Our main findings can be summarized as follows: - A majority of households prefer a PSA reform (with or without mandatory annuitization) over the current PAYG pension system. Aggregate capital, output, and consumption, as well as individuals' lifetime welfare, are higher in the reformed pension system. - Mandatory annuitization benefits most households. In light of these findings, structuring the social security reform along a two-tiered system with a safety net for low income households that do not have access to family insurance, and allowing all households to accumulate retirement wealth faster through PSAs, and finally, requiring some level of annuitization of this wealth appear welfare improving for a large fraction of households.
    JEL: E20 E60
    Date: 2005
  13. By: George M. Constantinides; John B. Donaldson; Rajnish Mehra
    Abstract: We explore the consequences for asset pricing of admitting a bequest motive into an otherwise standard overlapping generations model where agents trade equity and perpetual debt securities. Prices of securities are seen to be approximately 50% higher in an economy with bequests as compared to an otherwise identical one where bequests are absent. Robust estimates of the equity premium are obtained in several cases where the desire to leave bequests is modest relative to the desire for old age consumption.
    JEL: D91 D1 E2 E60 G11
    Date: 2005–02
  14. By: Jordi Gali
    Abstract: The present paper revisits a property embedded in most dynamic macroeconomic models: the stationarity of hours worked. First, I argue that, contrary to what is often believed, there are many reasons why hours could be nonstationary in those models, while preserving the property of balanced growth. Second, I show that the postwar evidence for most industrialized economies is clearly at odds with the assumption of stationary hours per capita. Third, I examine the implications of that evidence for the role of technology as a source of economic fluctuations in the G7 countries.
    JEL: E32
    Date: 2005–02
  15. By: V.V. Chari; Patrick Kehoe; Ellen R. McGrattan
    Abstract: In recent financial crises and in recent theoretical studies of them, abrupt declines in capital inflows, or sudden stops, have been linked with large drops in output. Do sudden stops cause output drops? No, according to a standard equilibrium model in which sudden stops are generated by an abrupt tightening of a country's collateral constraint on foreign borrowing. In this model, in fact, sudden stops lead to output increases, not decreases. An examination of the quantitative effects of a well-known sudden stop, in Mexico in the mid-1990s, confirms that a drop in output accompanying a sudden stop cannot be accounted for by the sudden stop alone. To generate an output drop during a financial crisis, as other studies have done, the model must include other economic frictions which have negative effects on output large enough to overwhelm the positive effect of the sudden stop.
    JEL: F4 F41 E3 E32
    Date: 2005–02
  16. By: Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Jin (Ginger) Wu
    Abstract: We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized variance and covariance parts and to underlying macroeconomic fundamentals.
    JEL: G12
    Date: 2005–02
  17. By: Oliver Blanchard; Francesco Giavazzi; Filipa Sa
    Abstract: There are two main forces behind the large U.S. current account deficits. First, an increase in the U.S. demand for foreign goods. Second, an increase in the foreign demand for U.S. assets. Both forces have contributed to steadily increasing current account deficits since the mid--1990s. This increase has been accompanied by a real dollar appreciation until late 2001, and a real depreciation since. The depreciation has accelerated recently, raising the questions of whether and how much more is to come, and if so, against which currencies, the euro, the yen, or the renminbi. Our purpose in this paper is to explore these issues. Our theoretical contribution is to develop a simple portfolio model of exchange rate and current account determination, and to use it to interpret the past and explore alternative scenarios for the future. Our practical conclusions are that substantially more depreciation is to come, surely against the yen and the renminbi, and probably against the euro.
    JEL: E3 F21 F32 F41
    Date: 2005–02
  18. By: Wiliam Branch (University of Californis - Irvine); George W. Evans (University of Oregon Economics Department)
    Abstract: We compare the performance of alternative recursive forecasting models. A simple constant gain algorithm, used widely in the learning literature, both forecasts well out of sample and also provides the best fit to the Survey of Professional Forecasters.
    Keywords: constant gain, recursive learning, expectations
    JEL: E37 D84 D83
    Date: 2005–02–01
  19. By: Arnab Bhattacharjee; Sean Holly
    Abstract: The transparency and openness of the monetary policymaking process at the Bank of England has provided very detailed information on both the decisions of individual members of the Monetary Policy Committee and the information on which they are based. In this paper we consider this decision making process in the context of a model in which inflation forecast targeting is used but there is heterogeneity among the members of the committee. We find that internally generated forecasts of output and market generated expectations of medium term inflation provide the best description of discrete changes in interest rates. We also find a role for asset prices through the equity market, foreign exchange market and housing prices. There are also identifiable forms of heterogeneity among members of the committee that improves the predictability of interest rate changes. This can be thought of as supporting the argument that full transparency of monetary policy decision making can be welfare enhancing.
    Keywords: Intertemporal macro; Monetary policy; interest rates; monetary policy committee; committee decision making.
    JEL: E42 E43 E50
    Date: 2005–02
  20. By: Mauro Napoletano, Domenico Delli Gatti, Giorgio Fagiolo, Mauro Gallegati
    Abstract: This paper studies how the interplay between technological shocks and financial variables shapes the properties of macroeconomic dynamics. Most of the existing literature has based the analysis of aggregate macroeconomic regularities on the representative agent hypothesis (RAH). However, recent empirical research on longitudinal micro data sets has revealed a picture of business cycles and growth dynamics that is very far from the homogeneous one postulated in models based on the RAH. In this work, we make a preliminary step in bridging this empirical evidence with theoretical explanations. We propose an agent-based model with heterogeneous firms, which interact in an economy characterized by financial-market imperfections and costly adoption of new technologies. Monte-Carlo simulations show that the model is able jointly to replicate a wide range of stylised facts characterizing both macroeconomic time-series (e.g. output and investment) and firms' microeconomic dynamics (e.g. size, growth, and productivity).
    Keywords: Financial Market Imperfections, Business Fluctuations, Economic Growth, Firm Size, Firm Growth, Productivity Growth, Agent-Based Models.
  21. By: Henry Kim
    Abstract: This paper studies optimal tax policy design problem by employing a two-country dynamic general equilibrium model with incomplete asset markets. We investigate the possibility of welfare-improving active, contingent tax policies (tax rates respond to changes in productivity) on consumption, and capital and labor income taxes. Unlike the conventional wisdom regarding stabilization policies, procyclical factor income tax policy is optimal in open economy. Procyclical tax policy generates efficiency gains by correcting market incompleteness. Optimal tax policy under cooperative equilibrium is similar to that under the Nash equilibrium and welfare gains from tax policy coordination is quite small.
    Keywords: optimal tax, procyclical, countercyclical, stabilization, cooperation.
    JEL: F4 E6
  22. By: Francisco Álvarez (Universidad Complutense de Madrid); Gustavo A. Marrero (Universidad Complutense de Madrid); Luis Puch (Universidad Complutense de Madrid. Facultad de CC. Económicas y Empresariales. Dpto. Economía Cuantitativa.)
    Abstract: This paper analyses the role of macroeconomic performance in shaping the evolution of air pollutants in a panel of European countries from 1990 to 2000. The analysis is addressed in connection with EU environmental regulation and taking into account macroeconomic performance. We start by documenting the patterns of crosscountry differences among different pollutants. We then interpret these differences within a neoclassical growth model with pollution. Three main pieces of evidence are presented. First, we analyze the existence of convergence of pollution levels within European economies. Second, we rank countries according to its performance in terms of emissions and growth. Third, we evaluate the evolution of emissions in terms of the targets signed for 2010.
    Date: 2004
  23. By: Douglas Zhihua Zeng
    Abstract: Although China has made impressive progress in economic development and improving social well-being, it is facing many daunting challenges while transforming toward a knowledge and service-based economy and further opening up to international competition after its WTO accession in the context of knowledge revolution. One of the biggest challenges is how to create 100–300 million new jobs in the coming decade to absorb the millions of laid-offs, rural emigrants, and newly added labor force. China has been successful in building high-technology parks and information and communications technology (ICT) industries, but they are limited in terms of employment generation, while most of the traditional labor-intensive industries are losing competitiveness due to low productivity. To combat the unprecedented employment challenge, China must implement a systemic and sustained strategy, which may consist of the following policy thrusts: encouraging the private sector; promoting small and medium enterprises; expanding the service sector; reforming the state-owned enterprises; strengthening the social security system; improving labor market flexibility; and establishing mass retraining programs. This paper—a product of the Knowledge for Development Division, World Bank Institute—is part of a larger effort in the institute to provide country-focused knowledge services for client countries.
    Keywords: Industry; Labor & Employment; Macroecon & Growth
    Date: 2005–02–11
  24. By: François Bourguignon (DELTA - World Bank, Paris); Anne-Sophie Robilliard (DIAL, IRD, Paris); Sherman Robinson (IFPRI, Washington D.C.)
    Abstract: To analyze issues of income distribution, most disaggregated macroeconomic models of the Computable General Equilibrium (CGE) type specify a few representative household groups (RHG) differentiated by their endowments of factors of production. To capture “within-group” inequality, it is often assumed, in addition, that each RHG represents an aggregation of households in which the distribution of relative income within each group follows an exogenously fixed statistical law. Analysis of changes in economic inequality in these models focuses on changes in inequality between RHGs. Empirically, however, analysis of household surveys indicates that changes in overall inequality are usually due at least as much to changes in within-group inequality as to changes in the between-group component. One way to overcome this weakness in the RHG specification is to use real households, as they are observed in standard household surveys, in CGE models designed to analyze distributional issues. In this integrated approach, the full heterogeneity of households, reflecting differences in factor endowments, labor supply, and consumption behavior, can be taken into account. With such a model, one could explore how household heterogeneity combines with market equilibrium mechanisms to produce more or less inequality in economic welfare as a consequence of shocks or policy changes. An integrated microsimulation-CGE model must be quite large and raises many issues of model specification and data reconciliation. This paper presents an alternative, top-down method for integrating micro-economic data on real households into modelling. It relies on a set of assumptions that yield a degree of separability between the macro, or CGE, part of the model and the micro-econometric modelling of income generation at the household level. This method is used to analyze the impact of a change in the foreign trade balance, and the resulting change in the equilibrium real exchange rate, in Indonesia (before the Asian financial crisis). A comparison with the standard RHG approach is provided. _________________________________ Ce papier présente une méthodologie qui permet de s’affranchir de l’hypothèse de l’agent représentatif couramment utilisée dans les modèles d’Equilibre Général Calculable (EGC). Il s’agit de remplacer les traditionnels agrégats correspondant à d’hypothétiques « ménages représentatifs » par un échantillon de ménages réels, tirés d’une enquête budget-consommation. Cette approche permet de prendre en compte toute l’hétérogénéité des ménages étudiés, non seulement économique mais également démographique, sociologique, etc. Ce type d’approche présente néanmoins l’inconvénient de la taille puisqu’il s’agit de manipuler des bases de données de plusieurs milliers d’individus. Ce papier présente un modèle appliqué à l’Indonésie pour étudier l’impact social d’un choc d’épargne extérieure et l’évolution du taux de change reel d’équilibre qui résulte de ce choc (avant la crise financière asiatique). Les résultats obtenus sont comparés à ceux obtenus avec un modèle plus “standard” à ménages représentatifs.
    Date: 2003–09
  25. By: Kaniska Dam (School of Economics, Universidad de Guanajuato / UCL-CORE)
    Keywords: Financial Intermediation, Moral Hazard, Negatively Assorted Matching
    JEL: C78 D82 E44 G24

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