nep-mac New Economics Papers
on Macroeconomics
Issue of 2009‒10‒17
fifty-two papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Bussiness Management

  1. Inflation Target Shocks and Monetary Policy Inertia in the Euro Area By Fève,P.; Materon,J.; Sahuc, J-G.
  2. Money in a DSGE framework with an application to the Euro Zone By Benchimol, Jonathan; Fourçans, André
  3. Did the crisis affect inflation expectations? By Gabriele Galati; Steven Poelhekke; Chen Zhou
  4. Large shocks in U.S. macroeconomic time series: 1860–1988 By Olivier Darné; Amélie Charles
  5. Risk Premium Shocks and the Zero Bound on Nominal Interest Rates By Robert Amano; Malik Shukayev
  6. Medium Term Business Cycles in Developing Countries By Diego A. Comin; Norman Loayza; Farooq Pasha; Luis Serven
  7. Macroeconomic Forecasting and Structural Change By Antonello D'Agostino; Luca Gambetti; Domenico Giannone
  8. The Importance of Global Shocks for National Policymakers: Rising Challenges for Central Banks By Ansgar Belke; Andreas Rees
  9. Consumption, Housing Collateral, and the Canadian Business Cycle By Ian Christensen; Paul Corrigan; Caterina Mendicino; Shin-Ichi Nishiyama
  10. Currency Runs, International Reserves Management and Optimal Monetary Policy Rules By Mika Kato; Christian R. Proano; Willi Semmler
  11. How Endogenous Is Money? Evidence from a New Microeconomic Estimate By Cuberes, David; Dougan, William
  12. The Announcement of Monetary Policy Intentions By Giuseppe Ferrero; Alessandro Secchi
  13. Does inflation targeting lead to excessive exchange rate volatility? By Thórarinn G. Pétursson
  14. Activist Fiscal Policy to Stabilize Economic Activity By Alan J. Auerbach; William G. Gale
  15. The Macroeconomic Performance of the Inflation Targeting Policy : An Approach Based on the Evolutionary Co-spectral Analysis By Zied Ftiti
  16. Memories of high inflation. By Michael Ehrmann; Panagiota Tzamourani
  17. Financial Development, Shocks, and Growth Volatility By Mallick, Debdulal
  18. The impact of oil price changes on Spanish and euro area consumer price inflation By Luis J. Álvarez; Samuel Hurtado; Isabel Sánchez; Carlos Thomas
  19. Why Do Politicians Implement Central Bank Independence Reforms? By Daunfeldt, Sven-Olov; Hellström, Jörgen; Landström, Mats
  20. Monetary policy as a source of uncertainty By André P. Calmon; Thomas Vallée; João B. R. Do Val
  21. Comportement du banquier central en environnement incertain By Avouyi-Dovi, S.; Sahuc, J-G.
  22. Determinants of government bond spreads in new EU countries. By Ioana Alexopoulou; Irina Bunda; Annalisa Ferrando
  23. Bond Liquidity Premia By Jean-Sébastien Fontaine; René Garcia
  24. Adjustment in EMU: Is Convergence Assured? By Sebastian Dullien; Ulrich Fritsche; Ingrid Groessl; Michael Paetz
  25. The relationship between public and private saving in Spain: does Ricardian equivalence hold? By Francisco de Castro; José Luis Fernández
  26. Why are we in a recession? The Financial Crisis is the Symptom not the Disease! By Ravi Jagannathan; Mudit Kapoor; Ernst Schaumburg
  27. Estimation of quasi-rational DSGE monetary models By Luca Fanelli
  28. Stochastic Growth in the United States and Euro Area By Peter N. Ireland
  29. Technology, convergence and business cycles. By Galo Nuño
  30. Signals from housing and lending booms. By Irina Bunda; Michele Ca’ Zorzi
  31. The Theorem of Proportionality in Mainstream Capital Theory: An Assessment of its Applicability By Bitros, George/ C
  32. Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator By Domenico Giannone; Lucrezia Reichlin; Saverio Simonelli
  33. Konjunktur und Rentenversicherung - gegenseitige Abhängigkeiten und mögliche Veränderungen durch diskretionäre Maßnahmen By Volker Meinhardt; Katja Rietzler; Rudolf Zwiener
  34. The Feldstein-Horioka Fact By Domenico Giannone; Michele Lenza
  35. Productivity Growth and the Future of the U.S. Saving Rate By Talan Iscan
  36. Health Investment over the Life-Cycle By Timothy J. Halliday; Hui He; Hao Zhang
  37. Sincronia e distanza nel ciclo economico delle regioni italiane By Andrea Brasili; Cristina Brasili
  38. Declines in the Volatility of the US Economy; A Detailed Look By Bruce T. Grimm; Brian K. Sliker
  39. Optimal taxation in the presence of bailouts By Stavros Panageas
  40. Corporate Taxation and Investment: Explaining Investment Dynamics with Firm-Level Panel Data By Nadja Dwenger
  41. Taking Home Bias Seriously: Absolute and Relative Measures Explaining Consumption Risk-Sharing By Holinski Nils; Kool Clemens; Muysken Joan
  42. Measuring the Price of Research and Development Output By Adam Copeland; Dennis Fixler
  43. What Drives the Skill Premium: Technological Change or Demographic Variation? By Hui He
  44. Illiquidity and All Its Friends By TIROLE, Jean
  45. A general equilibrium analysis of parental leave policies By Andrés Erosa; Luisa Fuster; Diego Restuccia
  46. The Impact of Medical and Nursing Home Expenses and Social Insurance Policies on Savings and Inequality By Karen Kopecky; Tatyana Koreshkova
  47. The European Credit Market and Institutions By Cândida Ferreira
  48. Banque coloniales, crédit et circulation: l'exemple de la Martinique 1848-1871 By Agnès Festré; Alain Raybaut
  49. Terms of Trade Effects: Theory and Methods of Measurement By Marshall Reinsdorf
  50. Leadership in Public Good Provision: a Timing Game Perspective By Kempf, H.; Rota Graziosi, G.
  51. Essai sur les déterminants empiriques de développement des marchés obligataires By Jamel Boukhatem
  52. Brazilian Football League Technical Efficiency: A Bootstrap Approach By Carlos Pestana Barros; Albert Assaf; Fabio Sá-Earp

  1. By: Fève,P.; Materon,J.; Sahuc, J-G.
    Abstract: The Euro area as a whole has experienced a marked downward trend in inflation over the past decades and, concomitantly, a protracted period of depressed activity. Can permanent and gradual shifts in monetary policy be held responsible for these dynamics? To answer this question, we embed serially correlated changes in the inflation target into a DSGE model with real and nominal frictions. The formal Bayesian estimation of the model suggests that gradual changes in the inflation target have played a major role in the Euro area business cycle. Following an inflation target shock, the real interest rate increases sharply and persistently, leading to a protracted decline in economic activity. Counter--factual exercises show that, had monetary policy implemented its new inflation objective at a faster rate, the Euro zone would have experienced more sustained growth than it actually did.
    Keywords: Inflation target shocks , Gradualism , DSGE models , Bayesian econometrics.
    JEL: E31 E32 E52
    Date: 2009
  2. By: Benchimol, Jonathan (ESSEC Business School); Fourçans, André (ESSEC Business School)
    Abstract: In the current New Keynesian literature, the role of monetary aggregates is generally neglected. Yet it’s hard to imagine money completely “passive” to the rest of the system. By entering real money balances in a non-separable utility function, we introduce an explicit role for money via preference redefinition in a simple New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model. It involves new inflation and output gap specifications where money plays a significant role. We use the General Method of Moments (GMM) to calibrate our DSGE model of the Euro area and we show that the European Central Bank –ECB) should react more strongly to economic shocks as far as the role of money is found significant.
    Keywords: ECB; Inflation; Monetary Policy; Money
    JEL: E31 E51 E58
    Date: 2009–09
  3. By: Gabriele Galati; Steven Poelhekke; Chen Zhou
    Abstract: We investigate whether the anchoring properties of long-run inflation expectations in the United States, the euro area and the United Kingdom have changed around the economic crisis that erupted in mid-2007. We document that in these three economies, expectations measures extracted from inflation-indexed bonds and inflation swaps became much more volatile in 2007. Moreover, their sensitivity to news about inflation and other domestic macroeconomic variables – a measure of anchoring – increased first during the oil price rally in 2006–07, and then during the heightened turmoil triggered by the collapse of Lehman Brothers. Liquidity premia and technical factors have significantly influenced the behaviour of inflation-indexed markets since the outburst of the crisis. We show, however, that these factors did not contaminate the relationship between macroeconomic news and financial market-based inflation expectations at the daily frequency. By testing for structural breaks we conclude that in the United States, the euro area and the United Kingdom, long-run inflation expectations have become less firmly anchored during the crisis.
    Keywords: monetary policy; inflation and inflation compensation; anchors for expectations; crisis; liquidity.
    JEL: E31 E44 E52 E58
    Date: 2009–09
  4. By: Olivier Darné (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272); Amélie Charles (Audencia Nantes, School of Management - Audencia, School of Management)
    Abstract: In this paper we examine the large shocks due to major economic or financial events that affected U.S. macroeconomic time series on the period 1860–1988, using outlier methodology. We show that these shocks can have temporary or permanent effects on the series and that most of them can be explained by the Great Depression, World War II and recessions as well as by monetary policy for the interest rate data. We also find that macroeconomic time series do not seem inconsistent with a stochastic trend once we adjusted the data of these shocks.
    Date: 2009
  5. By: Robert Amano; Malik Shukayev
    Abstract: There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that the zero bound does not constrain (optimal) monetary policy. This paper attempts to shed some light on this disconnect by studying a broader range of shocks within a standard DSGE model. Without denying the possibility of other factors, we find that risk premium shocks are key to building quantitative models where the zero bound is relevant for monetary policy design. The risk premium mechanism operates by increasing the spread between the rates of return on private capital and risk-free government bonds. Other common shocks, such as aggregate productivity, investment-specific productivity, government spending and money demand shocks, are unable to push nominal bond rates close to zero as the same risk premium spread mechanism is not at play.
    Keywords: Monetary policy framework
    JEL: E32 E52
    Date: 2009
  6. By: Diego A. Comin (Harvard Business School, Business, Government and the International Economy Unit); Norman Loayza (Economics Research, World Bank Group); Farooq Pasha (Boston College, Economics); Luis Serven (World Bank - Office of the Chief Economist)
    Abstract: We build a two country asymmetric DSGE model with two features: (i) a product cycle structure determines the range of intermediate goods used to produce new capital in each country and (ii) there are investment flow adjustment costs in the developing economy. We calibrate the model to match the Mexico-US trade and FDI flows. The model is able to explain (i) why US shocks have a larger effect on Mexico than in the US and hence why the Mexican economy is more volatile than the US; (ii) why US business cycles lead over medium term fluctuations in Mexico and (iii) why Mexican consumption is not less volatile than output.
    Keywords: Business Cycles in Developing Countries, Co-movement between Developed and Developing economies, Volatility, Extensive Margin of Trade, Product Life Cycle, FDI.
    JEL: E3 O3
    Date: 2009–10
  7. By: Antonello D'Agostino; Luca Gambetti; Domenico Giannone
    Abstract: The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coe±cients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error, all the competing models: fixed coefficients VARs, Time-Varying ARs and the naaive random walk model. These results are also shown to hold over the most recent period in which it has been hard to forecast inflation.
    Keywords: Forecasting, infation, stochastic Volatility, time varying vector autoregression.
    JEL: C32 E37 E47
    Date: 2009
  8. By: Ansgar Belke; Andreas Rees
    Abstract: We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due to globalization-driven changes in the national economic structure. A FAVAR framework is applied to derive structural shocks on a worldwide level and their impact on other global and also national variables. We estimate our macro model using quarterly data from Q1 1984 to Q4 2007 for the G7 countries plus the euro area. According to our results, global liquidity shocks are a driving force of the global economy and various national economies. However, some other shocks originating in house prices, GDP, technology and long-term interest rates play a role at the global level as well. These results prove to be robust across different specifications. Structural break tests indicate that global liquidity shocks have recently become more important as a determinant for house prices. In general, global variables have become more powerful over time in driving national variables.
    Keywords: Global shocks, international business cycle, international policy coordination and transmission, factor augmented vector autoregressive (FAVAR) models, common factors
    JEL: C22 E31 E32 F42
    Date: 2009
  9. By: Ian Christensen; Paul Corrigan; Caterina Mendicino; Shin-Ichi Nishiyama
    Abstract: Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Our findings show that the presence of borrowing constraints improves the performance of the model in terms of overall goodness of fit. In particular, the presence of housing collateral generates a positive correlation between consumption and house prices. Finally we find that housing collateral induced spillovers account for a large share of consumption growth during the housing market boom-bust cycle of the late 1980s.
    Keywords: Business fluctuations and cycles; Credit and credit aggregates; Transmission of monetary policy
    JEL: E21 E32 E44 E52 R21
    Date: 2009
  10. By: Mika Kato (Howard University, Washington, D.C., USA); Christian R. Proano (IMK at the Hans Boeckler Foundation); Willi Semmler (New School Univeristy New York, USA)
    Abstract: This paper studies the design of optimal monetary policy rules for emerging economies confronted to sharp capital outflows and speculative attacks. We extend Taylor type monetary policy rules by allowing the central bank to give some weight to the level of precautionary foreign reserve balances as one of its targets. We show that a currency crisis scenario can easily occur when the weight is zero, and that it can be avoided when the weight is positive. The impacts of the central bank's monetary control on the output level, the inflation rate, the exchange rate, and the foreign reserve level are investigated as well. By applying both the Hamiltonian as well as the Hamilton-Jacobi-Bellman (HJB) equation (the latter leading to a dynamic programming formulation of the problem), we can explore safe domains of attractions in a variety of complicated model variants. Given the uncertainties the central banks faces, we also show of how central banks can enlarge safe domains of attraction.
    Keywords: Currency Crises, Capital Outflows, Monetary Policy Rules
    JEL: E5 F3
    Date: 2009
  11. By: Cuberes, David; Dougan, William
    Abstract: This paper uses microeconomic data on firms’ money demand and investment in physical capital for the period 1983-2006 to estimate the extent to which variation in the U.S. money supply is an endogenous response to variation in firms’ demand for liquidity. We estimate a simple model in which each firm’s desired money balances in any period depend on that firm’s current transactions, current investment, and its planned future investment, as well as aggregate variables such as interest rates and common policy forecasts. Calculations based on our estimates suggest that only a very small fraction of the variability in the aggregate stock of money represents an endogenous response to autonomous changes in firms’ investment plans.
    Keywords: Money demand; money supply; endogenous money; monetary neutrality
    JEL: E51 E41
    Date: 2009–10
  12. By: Giuseppe Ferrero (Bank of Italy); Alessandro Secchi (Bank of Italy)
    Abstract: Whether a central bank should share with the public its views about the future evolution of short term interest rates is an unresolved issue. Disclosing this information might allow a more precise control of market expectations and a more effective achievement of the ultimate goals of the monetary authority. Yet, if the public do not understand the conditional nature of this forecast, it could also undermine the credibility of the central bank. We provide new evidence on the effects of this announcement on private expectations about future short term interest rates. The communication of policy intentions tends to be associated with a greater predictability of monetary policy decisions. Moreover, focussing on New Zealand, where the central bank releases interest rate projections, we find that market expectations react significantly and persistently to the unexpected part of such forecasts. Finally it emerges that the predicted component of the changes in these projections is large, suggesting that market operators understand their conditionality.
    Keywords: monetary policy, communication, interest rates
    JEL: E58 E52 E43
    Date: 2009–09
  13. By: Thórarinn G. Pétursson
    Abstract: This paper analysis whether the adoption of inflation targeting affects excessive exchange rate volatility, i.e. the share of exchange rate fluctuations not related to economic fundamentals. Using a signal-extraction approach to estimate this excessive volatility in multivariate exchange rates in a sample of forty-four countries, the empirical results show no systematic relationship between inflation targeting and excessive exchange rate volatility. Joint analysis of the effects of inflation targeting and EMU membership shows, however, that a membership in the monetary union significantly reduces this excessive volatility. Together, the results suggest that floating exchange rates not only serve as a shock absorber but are also an independent source of shocks, and that these excessive fluctuations in exchange rates can be reduced by joining a monetary union. At the same time the results suggest that adopting inflation targeting does not by itself contribute to excessive exchange rate volatility.
    Date: 2009–10
  14. By: Alan J. Auerbach; William G. Gale
    Abstract: We review the evidence on the practice and effects of discretionary fiscal policy, particularly in the context of recent efforts to stimulate the economy, reaching two main conclusions. First, policy interventions have increased in this decade, pre-dating the 2009 stimulus. Second, despite a large economic literature on the topic, the state of theory and evidence is not as "shovel ready" as one would like. Although consumption and investment clearly respond to tax incentives and structural vector autoregressions show that lower taxes and higher government purchases can boost output, it is difficult to apply the findings in the current context, in part because multipliers and policy lags are likely to vary with economic conditions. Dynamic stochastic general equilibrium models can be adapted to address extreme economic conditions, but yield an extremely wide range of predicted impacts. The experience from large downturns – the U.S. Great Depression and the Japanese Lost Decade – is illuminating, but provides little evidence about policy effectiveness because systematic and sustained fiscal interventions were not attempted in either case.
    JEL: E62 H3
    Date: 2009–10
  15. By: Zied Ftiti (GATE Lyon Saint-Etienne - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)
    Abstract: This paper proposes a new methodology to check the economic performance of a monetary policy and in particular the inflation targeting policy (ITP). The main idea of this work is to consider the ITP as economically efficient when it generates a stable monetary environment. The latter is considered as stable when a long-run equilibrium exists to which the paths of economic variables (inflation rate, interest rate and GDP growth) converge. The convergence of the variables' paths implies that these variables are more predictable and implies a lower degree of uncertainty in the economic environment. To measure the degree of convergence between economic variables, we propose, in this paper, a dynamic time-varying variable presented in the frequency approach named cohesion. This variable is estimated from the evolutionary co-spectral theory as defined by Priestley and Tong (1973) and Priestley (1988-1996). We apply this theory to the measure of cohesion presented by Croux et al (2001) to obtain a dynamic time-varying measure. In the last step of the study, we apply the Bai and Perron test (1998-2003b) to determine the change in the cohesion path. The results show that the implementation of the ITP generates a high degree of convergence between economic series that implies less uncertainty into the monetary environment. We conclude that the inflation targeting generates a stable monetary environment. This result allows us to conclude that the ITP is relevant in the case of industrialized countries.
    Keywords: Inflation Targeting ; Co-Spectral Analysis ; Cohesion, Stability Environment ; Economic Performance and Structural Change
    Date: 2009
  16. By: Michael Ehrmann (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Panagiota Tzamourani (Bank of Greece, 21, E. Venizelos Avenue, GR-10250 Athens, Greece.)
    Abstract: Inflation has been well contained over the last decades in most industrialized countries. This implies, however, that memories of high inflation are likely to fade, because over time larger parts of the population have never experienced high inflation, whereas those who have might forget. This paper tests whether memories of high inflation affect agents’ preferences about the importance attached to price stability, using a large database covering over 52,000 survey responses from 23 countries over the years 1981-2000. It finds that memories of hyperinflation are there to last, whereas those of less drastic inflation experiences tend to erode after around 10 to 15 years. The recent decline in the importance attached to price stability does therefore most likely reflect mitigated inflation concerns in an environment of low and stable inflation, but also the consequences of fading memories of high inflation. The longer central banks have successfully delivered price stability, the more important it is for them to engage in a proactive communication, especially with the younger generations, about the merits of low and stable inflation. JEL Classification: D10, E31, E52.
    Keywords: Inflation aversion, inflation memories, hyperinflation, World Values Survey, inflation targeting.
    Date: 2009–09
  17. By: Mallick, Debdulal
    Abstract: This paper argues that studying the effect of financial development and shocks on aggregate growth volatility will not be informative because they affect growth volatility through its different components. Volatility declines either a consequence of a change in the nature of shocks or a change in how the economy reacts to shocks. If two economies differ only in terms of volatility of shocks experienced, the GDP growth spectrum of one economy will lie proportionately below that of another at all frequency ranges so that both business cycle and long-run variances will be lower. Conversely, if change in volatility is due to propagation mechanism such as financial development, a country having developed financial markets will have disproportionately lower variance at the business cycle than at other frequencies relative to that of a country having less developed financial markets. Therefore, the variance at only the business cycle frequency range will be influenced by financial development. The novelty of this paper is that different components of growth volatility are extracted using spectral method. Empirical evidence provides qualified support for both hypotheses. Higher private credit, which is used as proxy of financial development, dampens business cycle volatility but not the long-run volatility. Shocks, as measured by changes in the terms of trade, affect both business cycle and long-run volatility negatively. These results are robust to alternative market-based measure of financial development, and corrections for reverse causality. These results have important implications for growth theory as they shed lights on the factors causing permanent and transitory deviations from the steady state.
    Keywords: Financial development; growth volatility; business cycle; spectral analysis
    JEL: E32 O16 C22 E44 O50 C21
    Date: 2009–10
  18. By: Luis J. Álvarez (Banco de España); Samuel Hurtado (Banco de España); Isabel Sánchez (Banco de España); Carlos Thomas (Banco de España)
    Abstract: This paper assesses the impact of oil price changes on Spanish and euro area consumer price inflation. We find, consistently with recent international evidence, that the inflationary effect of oil price changes is limited, even though crude oil price fluctuations are a major driver of inflation variability. The impact on Spanish inflation is found to be somewhat higher than in the euro area. Direct effects are increasing over time, reflecting the higher spending of households on refined oil products, whereas indirect ones, defined in broad terms, are losing importance.
    Keywords: oil prices, consumer price infl ation, Spanish and Euro area infl ation, DSGE models
    JEL: E20 E31 E37
    Date: 2009–10
  19. By: Daunfeldt, Sven-Olov (The Ratio Institute); Hellström, Jörgen (Department of Economics, Umeå University); Landström, Mats (Department of Economics, University of Gävle)
    Abstract: This paper is a first empirical attempt to investigate why politicians around the world have chosen to give up power to independent central banks, thereby reducing their ability to fine-tune the economy. A new data-set covering 132 countries, of which 89 countries had implemented such reforms, was collected. Politicians in non-OECD countries were more likely to delegate power to independent central banks if their country has been characterized by a high variability in historical inflation and if they faced a high probability of being replaced. No such effects were found for OECD-countries.
    Keywords: inflation; institutional reforms; monetary policy; time-inconsistency
    JEL: E52 E58 P48
    Date: 2009–10–07
  20. By: André P. Calmon (FAPESP - Department of Telematics of the School of Electrical and Computer Engineering - University of Campinas,); Thomas Vallée (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272); João B. R. Do Val (FAPESP - Department of Telematics of the School of Electrical and Computer Engineering - University of Campinas,)
    Abstract: This paper proposes a model in which control variations induce an increase in the uncertainty of the system. The aim of our paper is to provide a stochastic theoretical model that can be used to explain under which uncertainty conditions monetary policy rules should be less or more aggressive, or, simply, applied or not.
    Date: 2009
  21. By: Avouyi-Dovi, S.; Sahuc, J-G.
    Abstract: Several recent papers are devoted to the examination of the central banker's behaviour in an uncertain economic environment. This paper proposes, from a central banker's point of view, a synthesis of the main sources of uncertainty as well as an illustration of their effects within an analytical framework. In particular, it shows that depending on the type of uncertainty and the choice of the selected loss function, the recommendations for monetary policy can be noticeably different. Retaining an ad hoc loss function - discretionary choice - in place of an endogenous loss function - choice consistent with the structural parameters - can involve considerable welfare losses.
    Keywords: Monetary policy , Uncertainty , Macroeconomic Model.
    JEL: D81 E52 E61
    Date: 2009
  22. By: Ioana Alexopoulou (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Irina Bunda (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Annalisa Ferrando (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
    Abstract: Based on a rich database of government bond spreads and macroeconomic indicators over the period 2001-2008, we propose an empirical assessment of the role of fundamentals in driving long-term sovereign bond spreads of the new EU countries (Bulgaria, Czech Republic, Latvia, Lithuania, Hungary, Poland, Romania and Slovakia). The results of a dynamic panel error correction model that accounts for both common long-run determinants and cross-country heterogeneities in sovereign bond spreads tend to suggest that fundamentals still matter for market’s assessment of a country creditworthiness. Countries’ levels of external debt, fiscal and current account balances, exchange and inflation rates, their degree of trade openness as well as short-term interest rate spreads play an important role in the new EU countries’ access to long-term finance. We furthermore challenge the pooled mean approach in order to check whether other factors may become relevant in the long-run for two subgroups of countries according to the developments in their current account balances. Fiscal fundamentals seem to matter most for one group of countries, those characterised by widening external imbalances and historically high levels of spreads. In a context of heightened risk aversion and potential for spill over effects, this group of countries are more exposed to domestic sources of vulnerability as well as to swings in market perceptions of sovereign risks. JEL Classification: G12, H60, E62.
    Keywords: long-term government bond spreads, new EU countries, pooled mean group estimation.
    Date: 2009–09
  23. By: Jean-Sébastien Fontaine; René Garcia
    Abstract: Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets. This observation leads to the following identification strategy. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on LIBOR loans, swap contracts and corporate bonds. Moreover, the impact is large and pervasive through crisis and normal times. We check the interpretation of the liquidity factor. It varies with transaction costs, S&P500 valuation ratios and aggregate uncertainty. More importantly, the liquidity factor varies with narrow measures of monetary aggregates and measures of bank reserves. Overall, the results suggest that different securities serve, in part, and to varying degrees, to fulfill investors' uncertain future needs for cash depending on the ability of intermediaries to provide immediacy.
    Keywords: Financial markets; Financial stability
    JEL: E43
    Date: 2009
  24. By: Sebastian Dullien (HTW Berlin, University of Applied Sciences, Germany); Ulrich Fritsche (University Hamburg, Germany); Ingrid Groessl (University Hamburg, Germany); Michael Paetz (University Hamburg, Germany)
    Abstract: Using a modified version of the model presented by Belke and Gros (2007), we analyze the stability of adjustment in a currency union. Using econometric estimates for parameter values we check the stability conditions for the 11 original EMU countries and Greece. We found significant instability in the model for a large number of countries. We then simulate the adjustment process for some empirically observed parameter values and find that even for countries with relatively smooth adjustment, the adjustment to a price shock in EMU might take several decades. Keywords: EMU, convergence, stability.
    Keywords: EMU, convergence, stability, inflation
    JEL: E32 E61 C32
    Date: 2009
  25. By: Francisco de Castro (Banco de España); José Luis Fernández (Banco de España)
    Abstract: This paper aims to test the validity of the Ricardian proposition for the Spanish economy from three different approaches: a) by testing its theoretical implications on the stability of national saving and the relationship between fiscal and current account balances, b) by carrying a number of tests on different structural consumption equations and, c) by testing this hypothesis in consumption functions stemming from the Euler equations derived from a consumer’s maximization problem. Our results lean toward rejection of the Ricardian proposition, although some degree of substitution between public and private saving is detected. In terms of policy implications, these results would suggest that there is some room for fiscal policy to exert its countercyclical role in the case of Spain. However, the effectiveness of such a policy might be limited in a context of rising debt ratios that trigger sustainability concerns and make consumers increasingly Ricardian.
    Keywords: Ricardian equivalence, debt neutrality, saving, fiscal policy
    JEL: E62 E21 H30
    Date: 2009–10
  26. By: Ravi Jagannathan; Mudit Kapoor; Ernst Schaumburg
    Abstract: Globalization has brought a sharp increase in the developed world’s labor supply. Labor in developing countries – countries with vast pools of underemployed people – can now more easily augment labor in the developed world, without having to relocate, in ways not thought possible only a few decades ago. We argue that the large increase in the developed world’s labor supply, triggered by geo-political events and technological innovations, is the major underlying cause of the global macro economic imbalances that led to the great recession. The inability of existing institutions in the US and the rest of the world to cope with this shock set the stage for the great recession: The inability of emerging economies to absorb savings through domestic investment and consumption due to inadequate national financial markets and difficulties in enforcing financial contracts; the currency controls motivated by immediate national objectives; and the inability of the US economy to adjust to the perverse incentives caused by huge money inflows leading to a breakdown of checks and balances at various financial institutions. The financial crisis in the US was but the first acute symptom that had to be treated. A sustainable recovery will only occur when the natural flow of capital from developed to developing nations is restored.
    JEL: E0 E00 E2 E3 G0 G00 G2
    Date: 2009–10
  27. By: Luca Fanelli (Alma Mater Studiorum Università di Bologna)
    Abstract: This paper proposes the estimation of small-scale dynamic stochastic general equilibrium (DSGE) monetary models under the quasi-rational expectations (QRE) hypothesis. The QRE-DSGE model is based on the idea that the determinate reduced form solution associated with the structural model, if it exists, must have the same lag structure as the ‘best fitting’ vector autoregressive (VAR) model for the observed time series. After discussing solution properties and the local identifiability of the model, a likelihood-based iterative algorithm for estimating the structural parameters and testing the data adequacy of the system is proposed. A Monte Carlo experiment shows that, even controlling for the omitted dynamics bias, the over-rejection of the nonlinear cross-equation restrictions when asymptotic critical values are used and variables are highly persistent is a relevant issue in finite samples. An application based on euro area data illustrates the advantages of using error-correcting formulations of the QRE-DSGE model when the inflation rate and the short-term interest rate are approximated as difference stationary processes. A parametric bootstrap version of the likelihood-ratio test for the implied cross-equation restrictions does not reject the estimated QRE-DSGE model.
    Keywords: Dynamic stochastic general equilibrium model, Maximum Likelihood estimation, Quasi-Rational Expectations, VAR. Modelli DSGE, Stima di massima verosimiglianza, Aspettative Quasi-Razionali, Modelli VAR.
    Date: 2009
  28. By: Peter N. Ireland (Boston College)
    Abstract: This paper constructs a two-country stochastic growth model in which neutral and investment-specific technology shocks are nonstationary but cointegrated across economies. It uses this model to interpret data showing that while real investment has grown faster than real consumption in the United States since 1970, the opposite has been true in the Euro Area. The model, when estimated with these data, reveals that the EA missed out on the rapid investment-specific technological change enjoyed in the US during the 1990s; the EA, however, experienced more rapid neutral technological progress while the US economy stagnated during the 1970s.
    Keywords: growth, shocks, Euro area, technological change
    JEL: E32 F41 F43 O41 O47
    Date: 2009–09–30
  29. By: Galo Nuño (Banco de España)
    Abstract: In this paper we integrate Schumpeterian endogenous growth into a general equilibrium framework. By explicitely modelling the innovation and technology adoption process we are able to match some stylized economic facts such as entry rates and survival times of firms in the U.S. economy or the maximum convergence rates accross countries. Additionally, it allows us to propose a new definition of what a technology shock is and to compare it with the standard definition. Results show how this framework provides a plausible description of how economies grow and respond to the arrival of new technologies.
    Keywords: Medium-term business cycles, Schumpeterian growth, technology adoption
    JEL: E3 O3 O4
    Date: 2009–10
  30. By: Irina Bunda (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Michele Ca’ Zorzi (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
    Abstract: The contribution of this paper is to revisit the Early Warning System (EWS) literature by analysing selected episodes of financial market crisis, i.e. those preceded by a spell of credit and real estate expansions. The aim is to disentangle instances when this constitutes a natural phenomenon associated with a process of financial development and innovation from those where it constitutes a worrisome signal. We identify economic variables that have leading indicator properties, thus helping to distinguish between “benign” episodes from those likely ending with downward pressures on the exchange rate or even a fully-fledged banking crisis. We find that a large current account deficit, a fall in price competitiveness, strong real growth and high public debt-to-GDP ratio increase the probability that a lending or housing boom would be accompanied by financial market tensions shortly after the peak. JEL Classification: E32, F31, F37.
    Keywords: Early warning system, financial crises, house prices, credit booms.
    Date: 2009–09
  31. By: Bitros, George/ C
    Abstract: This paper surveys and assesses the empirical literature that bears on the applicability of the theorem of proportionality, which asserts that depreciation is proportional to the outstanding capital stock. All available evidence shows that: a) the rates of depreciation and retirements vary from year to year in response to changes in conventional economic forces like utilization, maintenance and repair, the prices of new capital goods, etc., and b) while the approximation of the distribution of depreciation rates by a single parameter may be characterized by simplicity and ease of use, at the same time it thwarts the advances that can be achieved by returning to a general equilibrium model centered on the time structure of capital and the useful lives of its components. For this reason, it is concluded that, the sooner this theorem is replaced by an endogenous theory of depreciation and replacement, the better for economic theory and policy.
    Keywords: Capital longevity; replacement; depreciation; scrappage; maintenance; utilization; obsolescence.
    JEL: E22
    Date: 2009–10–15
  32. By: Domenico Giannone; Lucrezia Reichlin; Saverio Simonelli
    Abstract: This paper assesses the role of surveys for the early estimates of GDP in the euro area in a model-based automated procedures which exploits the timeliness of their release. The analysis is conducted using both an historical evaluation and a real time case study on the current conjuncture.
    Keywords: Forecasting, factor model, real time data, large data sets, survey.
    JEL: E52 C33 C53
    Date: 2009
  33. By: Volker Meinhardt; Katja Rietzler; Rudolf Zwiener (Macroeconomic Policy Institute (IMK) at Hans Boeckler Foundation, Duesseldorf)
    Abstract: The study provides an empirical analysis of the effects of cyclical fluctuations - including those of the current economic crisis - on revenues and expenditures of the German public pay-as-you-go pension system on the one hand. On the other hand the pension reforms of the most recent decade are scrutinised in terms of their repercussions on the business cycle. Special emphasis is placed on the gradual reduction of the public pension level and the subsidisation of private fully funded so-called "Riester" pension schemes. For the analysis the authors develop an econometric model of the public pension system and integrate it into the IMK's existing macro model of the German economy. The analysis shows several weaknesses of the current public pension formula. Firstly, it should not include the effects of short-time working on the aggregate of gross wages and salaries per employee. Otherwise the current extensive use of short-time working to avoid unemployment will first reduce pensions and then raise them again. Secondly, the time lag between cyclical changes and their repercussions on the expenditures of the pension system could be further increased to improve the stabilising effects of the pension system on the business cycle. And thirdly, the pension system's provisions for revenue fluctuations should be raised in order to avoid increasing contributions in a severe and protracted crisis. A separate section of the study deals with the cyclical effects of private households' increased savings for old age. To a significant extent the increase of the savings ratio since the beginning of this decade is due to the "Riester" reforms and has retarded growth and employment.
    Date: 2009
  34. By: Domenico Giannone; Michele Lenza
    Abstract: This paper shows that general equilibrium effects can partly rationalize the high correlation between saving and investment rates observed in OECD countries. We find that once controlling for general equilibrium effects the saving-retention coefficient remains high in the 70’s but decreases considerably since the 80’s, consistently with the increased capital mobility in OECD countries.
    Keywords: Saving-Investment correlation, capital mobility, international comovement, dynamic factor model.
    JEL: C23 F32 F41
    Date: 2009
  35. By: Talan Iscan (Department of Economics, Dalhousie University)
    Keywords: consumption-income ratio; saving rate; medium-run; productivity growth; U.S.
    Date: 2009–09–21
  36. By: Timothy J. Halliday (Department of Economics, University of Hawaii at Manoa; Institute for the Study of Labor (IZA)); Hui He (Department of Economics, University of Hawaii at Manoa); Hao Zhang (Department of Economics, University of Hawaii at Manoa)
    Abstract: We study the evolution of health investment over the life-cycle by calibrating a model of endogenous health accumulation. The model is able to produce the decline in labor supply with age as well as the hump-shaped consumption profile. In both cases, health and health investment play a crucial role as the former encroaches upon healthy time and the latter crowds out non-medical expenditures as people age. Finally, we quantify the value of health as both an investment and a consumption good. We show that the investment motive is about three times higher than the consumption motive during the early 20s, but decreases over the life-cycle until it disappears at retirement. In contrast, the consumption motive increases with age and surpasses the investment motive during the mid 40s.
    Keywords: Health Investment, Consumption motive, investment motive, life-cycle
    JEL: E21 I12
    Date: 2009–10–07
  37. By: Andrea Brasili; Cristina Brasili (Università di Bologna)
    Abstract: This paper is based on the data set of 20 Italian regional high frequency business indicators proposed in Benni, Brasili (2006) and successively developed by RegiosS (Cycle & Trends association). The aim of the present paper is to provide a retrospective analysis of the characteristics of regional cycles and their co-movements to better understand the consequences of the global crisis on the local economies. We will going to apply two methodologies to analyse the distances among the Italian regional business cycle. We calculate the cohesion measure (Croux et al. 2001) on two sub-samples of the indicators, in order to evaluate if co-movements have increased recently. Moreover we calculate the cohesion measure also for the regions before and after the adoption of the Euro currency and respect to the Italian cycle. On the structural side the differential on cycle profiles of the regions is interpreted in terms of the different product specialisation, the degree of financial markets development and the research intensity of firms.
    Keywords: Italian Regional Cycle, Coincident Indicators, Cohesion, Dissimilarity Matrix
    Date: 2009
  38. By: Bruce T. Grimm; Brian K. Sliker (Bureau of Economic Analysis)
    Abstract: Decline in volatility of the U.S.economy that occurred in about 1984 primarily results from declines in covariances between industries, or between states, rather than declines in variances of the individual industries or states
    JEL: E60
    Date: 2009–04
  39. By: Stavros Panageas
    Abstract: The termination of a representative financial firm due to excessive leverage may lead to substantial bankruptcy costs. A government in the tradition of Ramsey (1927) may be inclined to provide transfers to the firm so as to prevent its liquidation and the associated deadweight costs. It is shown that the optimal taxation policy to finance such transfers exhibits countercyclicality and history dependence, even in a complete market. These results are in contrast with pre-existing literature on optimal fiscal policy, and are driven by the endogeneity of the transfer payments that are required to salvage the financial firm.
    JEL: E62 G28 H2 H21
    Date: 2009–10
  40. By: Nadja Dwenger
    Abstract: Using a firm-level panel data set I assess whether dynamic models of in- vestment provide an empirically fruitful framework for analyzing tax effects on changes in capital stock. In particular I estimate a one-step error correction model (ECM) complementing the usual estimation of a distributed lag model. A correction term accounts for non-random sample attrition, which has not been considered in previous studies on investment even though most (if not all) panel data sets on firms are incomplete. Both, ECM and distributed lag model, suggest that user cost of capital and output have an economically and statistically significant influence on capital formation. In the ECM, however, estimates are larger in size and match theoretical pre- dictions more closely. My preferred estimate of -1.3 implies that a decrease in the user cost of capital by 10 percent will increase the firm's capital stock by 13 percent, on average. Taking my elasticity estimate to the Corporate Tax Reform 2008 I would expect that the reform only slightly increases cap- ital stock, since the rather strong reduction in corporate income tax rate was partly compensated for by stricter depreciation allowances. Investment dynamics appear to be crucial for the coefficients of cash flow variables in investment equations. While cash flow effects are present in the (first- differenced) distributed lag model, they vanish in the ECM. This leads me to conclude that well documented cash flow effects point at dynamic misspecification in previous studies.
    Keywords: Taxation, business investment, user cost of capital, dynamic specification
    JEL: E22 H25 H32
    Date: 2009
  41. By: Holinski Nils; Kool Clemens; Muysken Joan (METEOR)
    Abstract: Recent empirical work has shown that ongoing international financial integration facilitates cross-country consumption risk-sharing. While these studies typically employ absolutemeasures to account for a country''s integration in international capital markets, we devise a relative measure that is motivated by the International Capital Asset Pricing Model (I-CAPM) literature. Our measure captures the composition of a country''s international portfolio relative to the world portfolio, which all countries should optimally hold according to the I-CAPM. Using panel-data regression for a group of OECD countries during the financial globalization period 1980-2007, we show that the geography of international portfolioshelps to explain the degree of consumption risk-sharing obtained.
    Keywords: macroeconomics ;
    Date: 2009
  42. By: Adam Copeland; Dennis Fixler (Bureau of Economic Analysis)
    Abstract: This paper develops a framework for constructing an R&D output price index. Based on a model of the innovator, we show that the price of innovation is equal to the expected discounted stream of profits attributable to the adoption of the innovation. Using this relationship, we construct an R&D output price index using data on NAICS 5417, Scientific R&D services.
    JEL: E60
    Date: 2009–02
  43. By: Hui He (Department of Economics, University of Hawaii at Manoa)
    Abstract: This paper quantitatively examines the effects of two exogenous driving forces, investment-specific technological change (ISTC) and the demographic change known as “the baby boom and the baby bust,” on the evolution of the skill premium in the postwar U.S. economy. I develop an overlapping generations general equilibrium model with endogenous discrete schooling choice. The production technology features capital-skill complementarity as in Krusell et al. (2000). ISTC, through capital-skill complementarity, raises the relative demand for skilled labor, while demographic variation affects the skill premium through changing the age structure and hence relative supply of skilled labor. I find that demographic change is more important in shaping the skill premium before 1980. Since then, ISTC takes over to drive the dramatic increase in the skill premium.
    Keywords: Skill Premium; Schooling Choice; Demographic and Technological Change; Capital-Skill Complementarity; Overlapping Generations
    JEL: E25 I21 J11 J24 J31 O33
    Date: 2009–03–01
  44. By: TIROLE, Jean (University of Toulouse Capitole)
    JEL: E44 E52 G28
    Date: 2009–09–12
  45. By: Andrés Erosa (IMDEA Ciencias Sociales); Luisa Fuster (IMDEA Ciencias Sociales); Diego Restuccia (University of Toronto)
    Abstract: Despite mandatory parental-leave policies being a prevalent feature of labor markets in developed countries, the aggregate effects of leave policies are not well understood. In order to assess the quantitative impact of mandated leave policies in the economy, we develop ageneral-equilibrium model of fertility and labor-market decisions that builds on the labormarket framework of Mortensen and Pissarides (1994). We find that females gain substantially with generous policies, but this benefit occurs at the expense of a reduction in the welfare of males. Mandated leave policies have important effects on fertility, leave taking decisions, and employment rate of mothers with infants. These effects are driven by how policy affects bargaining in job matches: Young females anticipate that there are some states in the future in which their threat point in bargaining will be higher. Because the realization of these states depend on the decisions of females to give birth and take a leave, the change in the threat point induced by the policy subsidizes fertility and leave taking. Unpaid parental leaves have a small impact on the time that mothers spend with their children but paid parental leaves can be an effective tool to encourage mothers to spend time with theirchildren after giving birth.
    Keywords: human capital; labor-market equilibrium; parental-leave policies; fertility; temporary separations
    JEL: E24 E60 J2 J3
    Date: 2009–09–30
  46. By: Karen Kopecky (University of Western Ontario); Tatyana Koreshkova (Concordia University)
    Abstract: We consider a life-cycle model with idiosyncratic risk in labor earnings, out-of-pocket medical and nursing home expenses, and survival. Partial insurance is available through welfare, Medicaid, and social security. Calibrating the model to the U.S., we find that nursing home expenses play an important role in the savings of the wealthy. In our policy analysis, we find that elimination of out-of-pocket expenses through public health care would reduce the capital stock by 12 percent, Medicaid and old-age welfare programs crowd out 44 percent of savings and greatly increase wealth inequality, and social security effects are influenced by out-of-pocket health expenses.
    Keywords: health expenses, nursing home, idiosyncratic risk, savings, wealth inequality, old-age social insurance
    JEL: E21 I18 I38
    Date: 2009–06–20
  47. By: Cândida Ferreira
    Abstract: This paper uses polled panel OLS robust estimations with quarterly data for 26 EU countries from the 1980s until 2006, comparing the results of three panels of countries during different time periods. The results obtained confirm the high degree of integration among the EU financial systems and demonstrate not only the quite high degree of openness of the financial markets, but also their indebtedness and the dependence of the EU banking institutions on the financial resources of other countries.
    Keywords: European credit market; European bank institutions; financial integration; panel estimates.
    JEL: E4 E5 G2
    Date: 2009–04
  48. By: Agnès Festré (GREDEG - Groupe de Recherche en Droit, Economie et Gestion - CNRS : UMR6227 - Université de Nice Sophia-Antipolis); Alain Raybaut (GREDEG - Groupe de Recherche en Droit, Economie et Gestion - CNRS : UMR6227 - Université de Nice Sophia-Antipolis)
    Abstract: Cette contribution s'intéresse au fonctionnement de la banque de la Martinique dans la période de transition qui a suivi l'abolition de l'esclavage. L'article souligne le succès mitigé de cette institution en matière d'intermédiation financière. Si la banque a pu rationaliser la distribution de crédit et répondre aux contraintes de financement posées par la transition, elle a progressivement négligé sa vocation agricole initiale au profit d'une activité essentiellement commerciale. L'article met ainsi en évidence les conflits d'intérêts entre le monde agricole et celui du commerce. Il montre que cette situation conflictuelle a rendu d'autant plus délicate la gestion des problèmes monétaires rencontrés dans la période par cette économie mono-productrice.
    Keywords: Banque coloniale; Transition post-esclavagiste; Crises de circulation; Banque de la Martinique
    Date: 2009
  49. By: Marshall Reinsdorf (Bureau of Economic Analysis)
    Abstract: Changes in export and import prices that increase the opportunity for trading gains raise real income, and changes in these prices that reduce trading gains reduce real income. Even though trade is less important for the US economy than it is for many other economies, trading gains have a median absolute effect on US real GDI of 0.2 percentage points in annual data.
    JEL: E60
    Date: 2009–01
  50. By: Kempf, H.; Rota Graziosi, G.
    Abstract: We address in this paper the issue of leadership when two governments provide public goods to their constituencies with cross border externalities as both public goods are valued by consumers in both countries. We study a timing game between two different countries: before providing public goods, the two policymakers non-cooperatively decide their preferred sequence of moves. We establish conditions under which a first- or second-mover advantage emerges for each country, highlighting the role of spillovers and the complementarity or substitutability of public goods. As a result we are able to prove that there is no leader when, for both countries, public goods are substitutable. When public goods are complements for both countries, each of them may emerge as the leader in the game. Hence a coordination issue arises. We use the notion of risk-dominance to select the leading government. Lastly, in the mixed case, the government for whom public goods are substitutable becomes the leader.
    Keywords: Endogenous timing ; First/second-mover advantage ; Public good ; Stackelberg equilibria ; Risk dominance.
    JEL: E31 E42 E58 E62
    Date: 2009
  51. By: Jamel Boukhatem
    Abstract: Based on the methodology adopted by Eichengreen and Luengnaruemitchai (2004), Luengnaruemitchai and Ong (2005), Borensztein and al. (2006), and Eichengreen and al. (2006), this study analyse the development of local bond markets. We show that the development of bond markets is a phenomenon with multiple dimensions. The contribution of our study is threefold. First, we do not limit our analysis to Asian and Latin-American emerging countries, we consider although countries from the Middle East and Africa according to data availability. Then we introduce other factors to better understand the development of bond markets. Finally, we present a dynamic version of the determinants of bond market development.
    Keywords: Bond markets, economic factors, institutional factors, economic policy, dynamic panel data, GMM system
    JEL: E44 E62 F34 G15 G28 I20 J24
    Date: 2009
  52. By: Carlos Pestana Barros; Albert Assaf; Fabio Sá-Earp
    Abstract: This paper introduces a two stage bootstrapped DEA-Data Envelopment analysis model to analyze the technical efficiency of Brazilian first league football clubs, using recent input and output data over the period 2006-2007. In the first stage a bootstrapped DEA model is used to derive the efficiency scores and in the second stage, the determinants of technical efficiency are identified using a bootstrapped truncated regression. Results from the model estimation show that the efficiency ranking is mixed with some clubs of similar characteristics showing different performance. Factors which contributed to these results as well as other policy implications are provided.
    Keywords: Football, Brazil, Bootstrap, DEA, Technical Efficiency
    JEL: E4 E5 G2
    Date: 2009–04

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