|
on Macroeconomics |
|
Issue of 2011‒09‒05
thirty papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | José De Gregorio; Felipe Labbé |
| Abstract: | This paper examines the impact of the copper price on macroeconomic performance in Chile. We explore particular features of the Chilean business cycle focusing on economic activity and the real exchange rate. We find that the Chilean economy has become increasingly resilient to copper price shocks in the last twenty-five years, and especially during this last decade. The evidence shows that output volatility has dramatically decreased over the last twenty years, and the contribution of copper price fluctuations to output volatility has also declined. Moreover, the real exchange rate has acted as a shock absorber, and although during the last decade its short-run volatility has increased, its longrun volatility has remained stable and more recently has slightly declined. The decliningimpact of copper prices on the business cycle is due to macroeconomic policies. The evidence shows that a flexible exchange rate, a rule-based fiscal policy, and a flexible inflation targeting regime play a central role in these results. |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:chb:bcchwp:640&r=mac |
| By: | Romuald Morhs |
| Abstract: | The aim of this work is to study the interactions between monetary policy, credit, house prices and the macroeconomy in Luxembourg using a VAR model with quarterly data in levels from 1986 to 2009. The results of the structural analysis provide valuable information concerning the monetary policy transmission mechanism, the interactions between credit and house prices, and the importance of foreign shocks for the behaviour of domestic variables. Some tentative explanations related to the particular economic and financial structures of the Luxembourg economy are moreover suggested to interprete this empirical evidence. More specifically, the structural analysis leads to the following conclusions: (1) In accordance with the existing VAR literature, a contractionary monetary policy shock leads to a temporary decrease in output and to a gradual decline in prices. (2) Monetary policy transmission to the real economy is relatively strong in Luxembourg, a result that could be associated with the variable interest rate structure of loans to the private sector, the high degree of openness and the preponderance of the financial services industry. (3) The response of credit and GDP following a residential property price shock provides some scope for the existence of a house price channel of monetary policy transmission in Luxembourg. (4) Finally, domestic variables respond strongly to foreign shocks, as evidenced by both the impulse response functions and the forecast error variance decomposition. |
| Keywords: | Monetary policy, small open economy, VAR, macroeconomic shocks |
| JEL: | C32 E52 F41 |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:bcl:bclwop:bclwp049&r=mac |
| By: | Gerlach, Stefan; Jordan, Thomas J. |
| Abstract: | This paper reviews the tactics and strategy of monetary policy in Switzerland, using a selection of Benjamin Friedman’s papers to organize the discussion, and starting in the early 1970s, when his academic papers started to appear in scholarly journals. The review focuses on the SNB’s experience with monetary targets in 1975-1999, the policy strategy adopted by the SNB in 2000, and the SNB’s experiences during the financial crisis that started in August 2007. On many occasions, Benjamin Friedman’s and the SNB’s thinking converge, while on others, they diverge. |
| Keywords: | financial crisis; inflation targeting; monetary policy; monetary targeting; Swiss National Bank |
| JEL: | E43 E53 E58 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:8547&r=mac |
| By: | Eduardo López E.; Víctor Riquelme P.; Ercio Muñoz S. |
| Abstract: | The financial crisis of 2008, the subsequent fiscal stimulus, and damage to the fiscal< position –especially in the developed countries—, raised the concerns about their impact on long-term interest rates. Using a stylized model, we establish the link between long-term interest rates and the main fiscal policy variables, such as fiscal deficit and public debt. We estimate a panel data model of the long-term interest rate for the period 1990-2009, considering a sample of 54 emerging and developed economies. We find that, when the fiscal deficit expands by 1%, the long-term interest rate rises between 10 and 12 basis points. When we consider the role of monetary policy and its credibility and fiscal rules as stabilizers of the business cycle, we find that: (i) credibility helps maintain lower interest rate than otherwise, and ii) fiscal rules help attenuate the impact of fiscal deficit on longterm interest rates. Finally, it is found that fiscal policy explained nearly 40% of the long term interest rate for G7 countries during 2007-2010. |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:chb:bcchwp:633&r=mac |
| By: | Peter McAdam (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.); Alpo Willman (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.) |
| Abstract: | We argue that the New-Keynesian Phillips Curve literature has failed to deliver a convincing measure of “fundamental inflation”. We start from a careful modeling of optimal price setting allowing for non-unitary factor substitution, non-neutral technical change and timevarying factor utilization rates. This ensures the resulting real marginal cost measures match volatility reductions and level changes witnessed in many US time series. The cost measure comprises conventional counter-cyclical cost elements plus pro-cyclical (and co-varying) utilization rates. Although pro-cyclical elements dominate, real marginal costs are becoming less cyclical over time. Incorporating this richer driving variable produces more plausible price-stickiness estimates than otherwise and suggests a more balanced weight of backward and forward-looking inflation expectations than commonly found. Our results challenge existing views of inflation determinants and have important implications for modeling inflation in New-Keynesian models. JEL Classification: E20, E30. |
| Keywords: | Inflation, real marginal costs, production function, labor share, cyclicality, utilization, intensive labor, overtime premia. |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20111369&r=mac |
| By: | Hwee Kwan Chow (School of Economics, Singapore Management University); Paul D. McNelis (SDepartment of Finance, Graduate School of Business Administration, Fordham University) |
| Abstract: | This paper uses a DSGE-VAR model to examine the managed exchange-rate system at work in Singapore and asks if the country has any reason to fear floating the exchange rate with a Taylor rule inflation-targeting mechanism that uses the short term interest rate instead of the exchange rate as the benchmark monetary policy instrument. Our simulation results show that the use of a more flexible exchange rate system will reduce volatility in inflation and investment but consumption volatility will increase. Overall, there are neither signi ficant welfare gains or losses in the regime shift. Given the highly open and trade dependent nature of the Singapore economy where the policy preference is for exchange rate stability, there is no impetus to abandon the present monetary regime. |
| JEL: | E52 E62 F41 |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:siu:wpaper:29-2010&r=mac |
| By: | Bom, P.R.D.; Ligthart, J.E. (Tilburg University, Center for Economic Research) |
| Abstract: | We study the dynamic output and welfare effects of public infrastructure investment under a balanced budget fiscal rule, using an overlapping generations model of a small open economy. The government finances public investment by employing distortionary labor taxes. We find a negative short-run output multiplier, which (in absolute terms) exceeds the positive long-run output multiplier. In contrast to conventional results regarding public investment shocks, we obtain dampened cycles in output and the labor tax rate. The cyclical dynamics are induced by the interaction of households' finite life spans, the wealth effect on labor supply, and the balanced budget fiscal rule. Finally, we show that, for a plausible calibration of our model, households' lifetime welfare improves. |
| Keywords: | Infrastructure capital;public investment;distortionary taxation;fiscal policy;Yaari-Blanchard overlapping generations. |
| JEL: | E62 F41 H54 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:kubcen:2011092&r=mac |
| By: | Björn Hilberg (Goethe-Universität Frankfurt am Main, Grüneburgplatz 1, D-60629 Frankfurt am Main, Germany.); Josef Hollmayr (Goethe-Universität Frankfurt am Main, Grüneburgplatz 1, D-60629 Frankfurt am Main, Germany.) |
| Abstract: | In this paper we set up a New-Keynesian model that features an interbank market. The introduction of an interbank market is important to analyze liquidity problems among heterogenous agents within the financial sector. First, because this allows for a situation where increased liquidity supply by the central bank is only partially passed on to the interbank market. Second, this framework allows us to analyze one additional policy measure besides the common interest rate policy undertaken by central banks to alleviate the liquidity shortage on the interbank market. Namely haircuts on eligible assets in repurchase agreements (“Repos”). By varying haircuts applied to securities that serve as collateral in repurchase agreements the stress on the interbank market can be mitigated by bringing down the interest rate charged among banks. Furthermore an exogenous bubble process is modeled which enables us to examine the effects of a deviation of the market price of capital from its fundamental price. This leads to a discussion whether central banks should ”lean against the wind”, i.e. react to deviations of asset prices in the setting of their policy instrument. Finally, this paper tries to shed some light on the “exit strategy” that a central bank should follow after the asset price bubble bursted and the interbank market begins to work properly again. JEL Classification: E4, E5, E61, G21. |
| Keywords: | DSGE, monetary policy, collateral, haircuts, exit strategy. |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20111373&r=mac |
| By: | Paresh Kumar Narayan; Seema Narayan |
| Abstract: | In this paper we study the relationship between output and inflation for India, Brazil, and South Africa using the EGARCH model. For India and South Africa, we find evidence for: (1) the Cukierman and Meltzer hypothesis that inflation volatility raises inflation; (2) the Friedman hypothesis that inflation raises inflation volatility; and (3) the Black hypothesis that output volatility raises output growth, and that output volatility reduces inflation. For Brazil, we do not find any evidence of a systematic relationship between inflation and output growth. |
| Keywords: | Output, inflation, EGARCH model, volatility |
| JEL: | C22 E31 E32 |
| Date: | 2011–08–29 |
| URL: | http://d.repec.org/n?u=RePEc:dkn:ecomet:fe_2011_06&r=mac |
| By: | Maria Demertzis; Nicola Viegi |
| Abstract: | We use an overlapping generations model to show that a bail-out is the optimal response to a fiscal crisis when the level of integration in a Monetary Union is high and the departure from Ricardian equivalence is significant. As it may not be optimal expost, the no bail-out rule is not credible ex-ante. To make it credible, one would have to look for arrangements that make the cost of one country defaulting sufficiently small, such that it does not impose a risk to the viability of the whole Monetary Union. One way to do that that we exploit is by reducing the relative size of the individual fiscal authority (from national to regional, for example). |
| Keywords: | Debt Default; Monetary Union; Bail-Out |
| JEL: | E62 F33 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:309&r=mac |
| By: | Olivier Armantier; Wändi Bruine de Bruin; Giorgio Topa; Wilbert van der Klaauw; Basit Zafar |
| Abstract: | We compare the inflation expectations reported by consumers in a survey with their behavior in a financially incentivized investment experiment designed such that future inflation affects payoffs. The inflation expectations survey is found to be informative in the sense that the beliefs reported by the respondents are correlated with their choices in the experiment. Furthermore, most respondents appear to act on their inflation expectations showing patterns consistent (both in direction and magnitude) with expected utility theory. Respondents whose behavior cannot be rationalized tend to be less educated and to score lower on a numeracy and financial literacy scale. These findings are therefore the first to provide support to the microfoundations of modern macroeconomic models. |
| Keywords: | Consumer surveys ; Inflation (Finance) |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:509&r=mac |
| By: | Liutang Gong (Guanghua School of Management, Peking University; Institute for Advanced Study, Wuhan University); Heng-fu Zou (Guanghua School of Management, Peking University; Institute for Advanced Study, Wuhan University; Development Research Group, The World Bank) |
| Abstract: | This paper sets up a theoretical model linking the growth rate of the economy to the growth rate and volatility of different government expenditures. On a theoretical basis, it is found that volatility in government spending can be positively or negatively associated with economic growth depending on the intertemporal elasticity in consumption. On an empirical basis, it is rather surprising to find no association between growth in capital expenditure and output growth, whereas growth in current expenditure seems to stimulate output growth. In particular, growth in transportation and communication seems to have a negative effect on output growth. It is also very interesting to find that the rises in the volatility in the growth of general public services, transportation, and communication have a positive effect on output growth. |
| Keywords: | Public expenditures, Volatility, Economic growth |
| JEL: | E62 I00 H5 O4 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:cuf:wpaper:494&r=mac |
| By: | Mikhail Golosov; John Hassler; Per Krusell; Aleh Tsyvinski |
| Abstract: | We analyze a dynamic stochastic general-equilibrium (DSGE) model with an externality through climate change from using fossil energy. A central result of our paper is an analytical derivation of a simple formula for the marginal externality damage of emissions. This formula, which holds under quite plausible assumptions, reveals that the damage is proportional to current GDP, with the proportion depending only on three factors: (i) discounting, (ii) the expected damage elasticity (how many percent of the output flow is lost from an extra unit of carbon in the atmosphere), and (iii) the structure of carbon depreciation in the atmosphere. Very importantly, future values of output, consumption, and the atmospheric CO2 concentration, as well as the paths of technology and population, and so on, all disappear from the formula. The optimal tax, using a standard Pigou argument, is then equal to this marginal externality. The simplicity of the formula allows the optimal tax to be easily parameterized and computed. Based on parameter estimates that rely on updated natural-science studies, we find that the optimal tax should be a bit higher than the median, or most well-known, estimates in the literature. We also show how the optimal taxes depend on the expectations and the possible resolution of the uncertainty regarding future damages. Finally, we compute the optimal and market paths for the use of energy and the corresponding climate change. |
| JEL: | E13 E17 E6 H23 Q28 Q4 Q5 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:17348&r=mac |
| By: | Stephane Auray (CREST (Ensai), Universite du Littoral Cote d'Opale (EQUIPPE), Universite de Shebrooke (GREDI) and CIRPEE); Aureline Eyquem (GATE, UMR 5824, Universite de Lyon, and Ecole Normale Superieure de Lyon, and GREDI); Paul Gomme (Concordia University and CIREQ) |
| Abstract: | Recent financial crises in Europe as well as the periodic battles in the U.S. over the debt ceiling point to the importance of fiscal discipline among developed countries. This paper develops an open economy model, calibrated to the U.S. and a subset of the EMU, to evaluate the impact of various permanent tax changes. The first set of experiments considers a targeted one percentage point reduction in the government deficit-to-GDP ratio through raising one of: the consumption tax, the labor income tax, or the capital income tax. In terms of welfare, the consumption tax is found to be the least costly of the tax increases. A second set of experiments looks at deficit-neutral tax changes: partially replacing the capital income tax with either a higher labor income tax or higher consumption tax; and partially replacing the labor income tax with an increased consumption tax. Reducing reliance on capital income taxation is welfare-enhancing, although it leads to short term losses. Reducing labor income taxation improves international competitiveness and is welfare-improving. |
| Keywords: | Fiscal policies, open economies, public deficits, tax reforms |
| JEL: | E31 E62 F41 |
| Date: | 2011–08–15 |
| URL: | http://d.repec.org/n?u=RePEc:crd:wpaper:11004&r=mac |
| By: | Zeng, Xiangquan (Renmin University of China); Yuxue, Cui (China Institute of Industrial Relations); Shisong, Qing (China Institute for Employment Research); Yumei, Yang (Renmin University of China) |
| Abstract: | Coordination of macro-economic development and employment is an essential issue for China's social development, which largely depends on economic expansion, as well as integration into the global market to create jobs. Through the literature review and empirical test, this paper analyses the relationship between macro-economic policy and employment, and discusses the impact of real exchange rate and foreign trade on employment. The research indicates that a stable and competitive exchange rate policy plays an indispensable role in employment promotion, more effective than monetary and fiscal policies, while the export growth also plays a positive role in employment promotion. |
| Keywords: | China, employment, foreign trade, real exchange rate |
| JEL: | E24 O23 O24 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp5931&r=mac |
| By: | Albers, Scott A.; Albers, Andrew L. |
| Abstract: | The Long-Wave theories of Nikolai Kondratiev and others claim to find mathematic waves in economic and other social data which are at present in dispute. Currently the theory is considered outside the scope of mainstream economics under several rationales. Despite the lack of mainstream acceptance, we make a strong case for the existence of long waves in the Real GNP of the United States with a 56 year cycle. Our analysis bypasses many of the issues cited by Long-Wave theory critics and in fact clarifies the mathematical structure of the theory. |
| Keywords: | Real GNP; Golden Mean; Fibonacci Series; Arab Spring; Phi; Long Wave; Long Cycle; Kondratiev Wave; Economic Forecasting; Economic Model; Global Financial Crisis; Constitutional Law; American Economic History; Revolution; Consolidation; GNP Spiral; Okun's Law; “The Great Moderation” |
| JEL: | E0 B4 C19 E01 E27 C02 E39 K19 E3 N1 K0 O11 C53 A13 E19 E00 B59 E37 |
| Date: | 2011–07–21 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:33004&r=mac |
| By: | Quamrul H. Ashraf; David N. Weil; Joshua Wilde |
| Abstract: | We assess quantitatively the effect of exogenous reductions in fertility on output per capita. Our simulation model allows for effects that run through schooling, the size and age structure of the population, capital accumulation, parental time input into child-rearing, and crowding of fixed natural resources. The model is parameterized using a combination of microeconomic estimates, data on demographics and natural resource income in developing countries, and standard components of quantitative macroeconomic theory. We apply the model to examine the effect of an intervention that immediately reduces TFR by 1.0, using current Nigerian vital rates as a baseline. For a base case set of parameters, we find that an immediate decline in the TFR of 1.0 will raise output per capita by approximately 13.2 percent at a horizon of 20 years, and by 25.4 percent at a horizon of 50 years. |
| JEL: | E17 J11 J13 J18 O11 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:17377&r=mac |
| By: | Oguro, Kazumasa; Sato, Motohiro |
| Abstract: | In this paper, we analyze the relationship between interest rates on government bonds (GB) and fiscal consolidation rule by using an overlapping generation model with endogenous and stochastic growth settings. Our key findings are summarized as follows. First, interest rates of GB may be declining as public debt accumulates relative to private capital, as opposed to the conventional view that buildup of public debt accompanies a rise in interest rates. Second, fiscal consolidation rule plays a key role in determining interest rates in equilibrium. Third, the economy may exhibit discrete changes with interest rates diverging, implying that our observation of relatively low GB interest rates does not assure the continuation of that trend in the future. Fourth, a preventive tax increase to contain public debt at sustainable levels will not gain the political support of existing generations, whose life span is limited. Citizens prefer to shift the ultimate burden of public debt to future generations. |
| Keywords: | Overlapping generation model, interest rate on government bond, fiscal consolidation rule, default risk |
| JEL: | E17 H30 H5 H60 E62 H63 |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:hit:cisdps:517&r=mac |
| By: | James Costain (Banco de España, C/Alcalá 48, 28014 Madrid, Spain.); Anton Nakov (Banco de España, C/Alcalá 48, 28014 Madrid, Spain and European Central Bank.) |
| Abstract: | This paper proposes two models in which price stickiness arises endogenously even though firms are free to change their prices at zero physical cost. Firms are subject to idiosyncratic and aggregate shocks, and they also face a risk of making errors when they set their prices. In our first specification, firms are assumed to play a dynamic logit equilibrium, which implies that big mistakes are less likely than small ones. The second specification derives logit behavior from an assumption that precision is costly. The empirical implications of the two versions of our model are very similar. Since firms making sufficiently large errors choose to adjust, both versions generate a strong "selection effect" in response to a nominal shock that eliminates most of the monetary nonneutrality found in the Calvo model. Thus the model implies that money shocks have little impact on the real economy, as in Golosov and Lucas (2007), but fits microdata better than their specification. JEL Classification: E31, D81, C72. |
| Keywords: | Logit equilibrium, state-dependent pricing, (S,s) adjustment, near rationality, information-constrained pricing. |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20111375&r=mac |
| By: | Evguenia Tsiroulnitchenko; Elspeth Hazell |
| Abstract: | This report develops estimates of Gross Domestic Product (GDP) for reserves in Canada by estimating total earnings for reserves and multiplying these results by the national share of total earnings in income-based GDP. Two estimation approaches are used in the analysis. The first, which is the focus of this report, is a “top-down approach” based on provincial/territorial full year, full-time and part-year/part-time employment and average earnings data for the on-reserve Aboriginal population from the 2001 and 2006 Census. Estimates are also developed using a second, “bottom-up” approach that employs community-level average earnings and employment data from the 2006 Aboriginal Population Profiles. This second approach results in the development of reserve-specific GDP estimates for those reserves which had the required data available. The most notable finding of this report is that the on-reserve Aboriginal population in Canada, despite accounting for 0.99 per cent of the general Canadian population in 2006, accounted for just 0.30 per cent of national GDP in 2005. |
| Keywords: | gross domestic product (GDP), total earnings, Aboriginal, on-reserve |
| JEL: | E01 O11 J15 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:sls:resrep:1108&r=mac |
| By: | Andrew K. Rose; Mark M. Spiegel |
| Abstract: | While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical studies of the success of these efforts have yielded mixed results, in part because their timing is likely to be endogenous. In this paper, we examine the cross-sectional impact of these interventions. Theory consistent with dollar appreciation in the crisis suggests that their impact should be greater for countries that have greater exposure to the United States through trade and financial channels, less transparent holdings of dollar assets, and greater illiquidity difficulties. We examine these predictions for observed cross-sectional changes in CDS spreads, using a new proxy for innovations in perceived changes in sovereign risk based upon Google-search data. We find robust evidence that auctions of dollar assets by foreign central banks disproportionately benefited countries that were more exposed to the United States through either trade linkages or asset exposure. We obtain weaker results for differences in asset transparency or illiquidity. However, several of the important announcements concerning the international swap programs disproportionately benefited countries exhibiting greater asset opaqueness. |
| JEL: | E42 E58 F31 F33 F41 F42 G15 O24 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:17359&r=mac |
| By: | Craig, Ben; Fecht, Falko |
| Abstract: | While net settlement systems make more efficient use of liquidity than gross settlement systems, they are known to generate systemic risk. What does that tendency imply for the stability of the payments [or financial] system when the two settlement systems coexist? Do liquidity shortages induce banks to settle more transactions in net settlement system, thereby increasing systemic risk? Or do banks require their counterparties to send payments through gross settlement system when default risks are high, increasing the need for liquidity and the money market rate but reducing overall systemic risk? This paper studies the factors that drive the relative importance of net and gross settlement systems over the short run, using daily data on transaction volumes from the large-volume payment systems of all euro area countries that have had both a net and a gross settlement system at the same time. Applying a large portfolio of different econometric techniques, we find that it is actually the transactions volumes in gross settlement systems that affect the daily price of liquidity and the credit risk spread in money markets. -- |
| Keywords: | Payment System,financial stability,interbank market,financial contagion |
| JEL: | E44 G21 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:201116&r=mac |
| By: | Samuel Hurtado (Banco de España); Elena Fernández; Eva Ortega (Banco de España); Alberto Urtasun (Banco de España) |
| Abstract: | El Modelo Trimestral del Banco de España (MTBE) constituye una herramienta fundamental para la elaboración de proyecciones a medio plazo de la economía española y para la cuantificación de los posibles efectos de distintas medidas de política económica o de perturbaciones de diversa índole. Dentro del proceso de continua mejora de este instrumento, en los últimos meses se ha procedido a una remodelación sustancial del mismo. Los cambios introducidos son tanto de actualización de la estimación, ampliando la muestra de datos hasta finales de 2008, como metodológicos, y afectan a todas las facetas del modelo. Además, se han incorporado un conjunto de variables explicativas que aproximan los efectos de la confianza y de las restricciones crediticias sobre las decisiones de gasto, y que permiten analizar de forma adecuada el período más reciente de la economía española. |
| Keywords: | Spanish economy, macroeconometric model |
| JEL: | E10 E17 E20 E60 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:bde:opaper:1106&r=mac |
| By: | Claudia Olivetti; Barbara Petrongolo |
| Abstract: | The gender wage gap varies widely across countries and across skill groups within countries. Interestingly, there is a positive cross-country correlation between the unskilled-to-skilled gender wage gap and the corresponding gap in hours worked. Based on a canonical supply and demand framework, this positive correlation would reveal the presence of net demand forces shaping gender differences in labor market outcomes across skills and countries. We use a simple multi-sector framework to illustrate how differences in labor demand for different inputs can be driven by both within-industry and between-industry factors. The main idea is that, if the service sector is more developed in the US than in continental Europe, and unskilled women tend to be over-represented in this sector, we expect unskilled women to suffer a relatively large wage and/or employment penalty in the latter than in the former. We find that, overall, the between-industry component of labor demand explains more than half of the total variation in labor demand between the US and the majority of countries in our sample, as well as one-third of the correlation between wage and hours gaps. The between-industry component is relatively more important in countries where the relative demand for unskilled females is lowest. |
| JEL: | E24 J16 J31 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:17349&r=mac |
| By: | Tomoki Fujii (School of Economics, Singapore Management University) |
| Abstract: | We propose a method to decompose the logarithmic change of the Divisia price index into the pure price effect, the prefernce effect and the substitution effect. Our empirical results in the Philippines shows the effects of preference change on the Divisia price index are heterogeneous but positive across all regions and income deciles. However, they are dominated by the pure price effect. |
| Keywords: | Divisia price index, preference change, decomposition, Philippines |
| JEL: | E31 I32 O10 |
| Date: | 2011–03 |
| URL: | http://d.repec.org/n?u=RePEc:siu:wpaper:06-2011&r=mac |
| By: | Dimitris Georgarakos; Roman Inderst |
| Abstract: | We introduce professional financial advice in households? choice to hold risky financial assets. Consistent with the predictions from a formal model, we present evidence that households? trust in financial advice only matters when their perceived own financial capability is low. Instead, for households with higher financial capability, only the perception of legal protection in financial markets matters for stock market participation. Our empirical analysis highlights economically significant differences in households? perception of their rights as consumers of financial services, even when their objective circumstances should not be much different. |
| Keywords: | Financial Advice, Trust, Consumer Protection, Household Finance |
| JEL: | E1 G2 D8 |
| Date: | 2011–02 |
| URL: | http://d.repec.org/n?u=RePEc:bcl:bclwop:bclwp051&r=mac |
| By: | Olivetti, Claudia; Petrongolo, Barbara |
| Abstract: | The gender wage gap varies widely across countries and across skill groups within countries. Interestingly, there is a positive cross-country correlation between the unskilled-to-skilled gender wage gap and the corresponding gap in hours worked. Based on a canonical supply and demand framework, this positive correlation would reveal the presence of net demand forces shaping gender differences in labor market outcomes across skills and countries. We use a simple multi-sector framework to illustrate how differences in labor demand for different inputs can be driven by both within-industry and between-industry factors. The main idea is that, if the service sector is more developed in the US than in continental Europe, and unskilled women tend to be over-represented in this sector, we expect unskilled women to suffer a relatively large wage and/or employment penalty in the latter than in the former. We find that, overall, the between-industry component of labor demand explains more than half of the total variation in labor demand between the US and the majority of countries in our sample, as well as one-third of the correlation between wage and hours gaps. The between-industry component is relatively more important in countries where the relative demand for unskilled females is lowest. |
| Keywords: | demand and supply; education; gender gaps; industry structure |
| JEL: | E24 J16 J31 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:8545&r=mac |
| By: | Minchung, Hsu; Junsang, Lee |
| Abstract: | This paper aims to investigate impacts of public provision of universal health insurance (UHI) in an environment with household heterogeneity and financial market incompleteness. Various UHI polices with both distortionary (payroll-tax) and non-distortionary (lump-sum tax) financing methods are compared to address the trade-off between risk reduction and tax distortion as well as corresponding welfare implications. We undertake a dynamic equilibrium model with endogenous insurance choice and labor supply decisions to perform quantitative analyses. The results suggest that the UHI expenditure coverage rate would be too high in most OECD countries when the distortion effect is considered. We find a clear crowding out effect on asset holdings. Implications for private health insurance (PHI) purchases when UHI is introduced depend on the pricing and the design of coverage. We find the rich are sensitive to the price of PHI, and would prefer a supplemental plan when UHI is introduced. |
| Keywords: | universal health insurance; complementary/supplemental health insurance |
| JEL: | E62 H51 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:32974&r=mac |
| By: | Kalemli-Ozcan, Sebnem; Sorensen, Bent E; Yesiltas, Sevcan |
| Abstract: | We present new stylized facts on bank and firm leverage for 2000-2009 using extensive internationally comparable micro level data from several countries. The main result is that there was very little buildup in leverage for the average non-financial firm and commercial bank before the crisis, but the picture was quite different for large commercial banks States and for investment banks worldwide. We document the following patterns: a) there was an increase in leverage ratios of investment banks and financial firms during the early 2000s; b) there was no visible increase for commercial banks and non-financial firms; c) off balance-sheet items constitute a big fraction of assets, especially for large commercial banks in the United States; d) the leverage ratio is procyclical for investment banks and for large commercial banks in the United States; e) banks in emerging markets with tighter bank regulation and stronger investor protection experienced significantly less deleveraging during the crisis. These results show that excessive risk taking before the crisis was not easily detectable because the risk involved the quality rather than the amount of assets. |
| Keywords: | banks; crisis; firms; international; leverage |
| JEL: | E32 F15 F36 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:8549&r=mac |
| By: | Olivetti, Claudia (Boston University); Petrongolo, Barbara (London School of Economics) |
| Abstract: | The gender wage gap varies widely across countries and across skill groups within countries. Interestingly, there is a positive cross-country correlation between the unskilled-to-skilled gender wage gap and the corresponding gap in hours worked. Based on a canonical supply and demand framework, this positive correlation would reveal the presence of net demand forces shaping gender differences in labor market outcomes across skills and countries. We use a simple multi-sector framework to illustrate how differences in labor demand for different inputs can be driven by both within-industry and between-industry factors. The main idea is that, if the service sector is more developed in the US than in continental Europe, and unskilled women tend to be over-represented in this sector, we expect unskilled women to suffer a relatively large wage and/or employment penalty in the latter than in the former. We find that, overall, the between-industry component of labor demand explains more than half of the total variation in labor demand between the US and the majority of countries in our sample, as well as one-third of the correlation between wage and hours gaps. The between-industry component is relatively more important in countries where the relative demand for unskilled females is lowest. |
| Keywords: | gender gaps, education, demand and supply, industry structure |
| JEL: | E24 J16 J31 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp5935&r=mac |