|
on Macroeconomics |
|
Issue of 2011‒10‒09
fifty-four papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Susanto Basu (Boston College; NBER); Brent Bundick (Boston College) |
| Abstract: | This paper examines the role of uncertainty shocks in a one-sector, representative-agent dy- namic stochastic general-equilibrium model. When prices are flexible, uncertainty shocks are not capable of producing business-cycle comovements among key macro variables. With countercycli- cal markups through sticky prices, however, uncertainty shocks can generate fluctuations that are consistent with business cycles. Monetary policy usually plays a key role in offsetting the negative impact of uncertainty shocks. If the central bank is constrained by the zero lower bound, then mon- etary policy can no longer perform its usual stabilizing function and higher uncertainty has even more negative effects on the economy. Calibrating the size of uncertainty shocks using fluctuations in the VIX, we find that increased uncertainty about the future may indeed have played a signifi- cant role in worsening the Great Recession, which is consistent with statements by policymakers, economists, and the financial press. |
| Keywords: | Uncertainty Shocks, Monetary Policy, Sticky-Price Models |
| JEL: | E32 E52 |
| Date: | 2011–09–08 |
| URL: | http://d.repec.org/n?u=RePEc:boc:bocoec:774&r=mac |
| By: | Willem Van Zandweghe; Alexander Wolman |
| Abstract: | We study discretionary equilibrium in the Calvo pricing model for a monetary authority that chooses the money supply. The steady-state inflation rate is above 8 percent for a baseline calibration, but it varies substantially with alternative structural parameter values. If the initial condition involves inflation higher than steady state, discretionary policy generates an immediate drop in inflation followed by a gradual increase to the steady state. Unlike the two-period Taylor model, discretionary policy in the Calvo model does not accommodate predetermined prices in a way that inevitably leads to multiple private-sector equilibria. |
| Keywords: | Inflation (Finance) ; Monetary policy ; Prices |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedrwp:11-03&r=mac |
| By: | Seedwell Hove; Albert Touna Mama; Fulbert Tchana Tchana |
| Abstract: | Most emerging market economies (EMEs) which have implemented inflation targeting (IT) have continued to experience large, frequent and sometimes persistent inflation target misses. At the same time these countries had reformed their institutional structures when implementing IT. In this paper we empirically study the importance of central bank independence, fiscal discipline and financial sector development for the achievement of inflation targets in EMEs using the panel ordered logit model. We find that when we control for variables such as output gap, exchange rate gap and openness, the improvement in central bank independence, fiscal discipline and financial systems reduces the probability of inflation target misses. Importantly, some control variables lead to the missing of inflation target bands. These are, in order of importance; exchange rate gap, output gap, inflation target horizon and level of openness. The combined impact of institutional structures is quite large, indicating their signifi…cant contribution to the infl‡ation performance and credibility of IT. |
| Keywords: | In‡ation targeting, Institutions, Credibility |
| JEL: | E52 G28 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:rza:wpaper:247&r=mac |
| By: | Philip Arestis; Michail Karouglou; Kostas Mouratidis (Department of Economics, The University of Sheffield) |
| Abstract: | This paper estimates central bank policy preferences in the case of the European Monetary Union and of the UK. We do so, by adopting the framework suggested by Cecchetti and Ehrmann (1999), which, however, we extent in two respects. First, we allow policy preferences to be asymmetric by assuming that inflation and output follow a Markov process. Second, following Bean (1998) we introduce dynamics in the supply and demand relationships. In doing so we estimate state-dependent policy frontiers. Empirical results from the static model show that monetary policy in the European Monetary Union and in the UK put a lot of weight on price stability. However, there is evidence of 'price puzzle' especially in the high volatility regime. The price puzzle might be the by-product of frequent realignments in the European Monetary System currency crises in 1992, 1993 and 1995 and of the more recent 2008 financial crisis. Estimates of the optimal policy frontier suggest that although the UK enjoys higher anti-inflatonary credibility, it also faces a higher trade-off between inflation and output variability than the European Monetary Union. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:shf:wpaper:2011019&r=mac |
| By: | Fernando M. Martin |
| Abstract: | I study how the general and specific details of a micro founded monetary framework affect the determination of policy when the government has limited commitment. The conduct of policy depends on the interaction between the incentive to smooth distortions intertemporally and a time-consistency problem. In equilibrium, fiscal and monetary policies are distortionary, but long-run policy is not afflicted by time-consistency problems. Policy variables in specific applications of the general framework react similarly to variations in fundamentals. Nevertheless, resolving certain environment frictions affect long-run policy significantly. The response of government policy to aggregate shocks is qualitatively similar across the studied model variants. However, there are significant quantitative differences in the response of government policy to productivity shocks, mainly due to the idiosyncratic behavior of the money demand. Environments with no trading frictions display the best fit to post-war U.S. data. |
| Keywords: | Economic policy |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2011-026&r=mac |
| By: | Stefano Eusepi; Bruce Preston |
| Abstract: | This paper examines how the scale and composition of public debt can affect economies that implement a combination of “passive” monetary policy and “active” fiscal policy. This policy configuration is argued to be of both historical and contemporary interest in the cases of the U.S. and Japanese economies. It is shown that higher average levels and moderate average maturities of debt can induce macroeconomic instability under a range of policies specified as simple rules. However, interest rate pegs in combination with active fiscal policies almost always ensure macroeconomic stability. This finding suggests that in periods where the zero lower bound on nominal interest rates is a relevant constraint on policy design, a switch in fiscal regime is desirable. |
| Keywords: | Monetary policy ; Debts, Public ; Fiscal policy ; Interest rates ; Price levels |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:515&r=mac |
| By: | Giancarlo Corsetti; Keith Kuester; Andre Meier; Gernot J. Muller |
| Abstract: | The authors analyze the effects of government spending cuts on economic activity in an environment of severe fiscal strain, as reflected by a sizeable risk premium on government debt. Specifically, they consider a "sovereign risk channel," through which sovereign default risk spills over to the rest of the economy, raising funding costs in the private sector. The authors' analysis is based on a variant of the model suggested by Cúrdia and Woodford (2009). It allows for costly financial intermediation and inter-household borrowing and lending in equilibrium, but maintains the tractability of the baseline New Keynesian model. They show that, if monetary policy is constrained in offsetting the effect of higher sovereign risk on private-sector borrowing conditions, the sovereign risk channel exacerbates indeterminacy problems: private-sector beliefs of a weakening economy can become self-fulfilling. Under these conditions, fiscal retrenchment can limit the risk of macroeconomic instability. In addition, if fiscal strain is very severe and monetary policy is constrained for an extended period, fiscal retrenchment may actually stimulate economic activity. |
| Keywords: | Fiscal policy ; Monetary policy |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:11-43&r=mac |
| By: | Bernd Hayo (University of Marburg); Ummad Mazhar (Université Libre de Bruxelles and Université de Strasbourg) |
| Abstract: | This paper studies monetary policy committee transparency (MPCT) based on a new index that measures central bankers’ educational and professional backgrounds as disclosed through central bank websites. Based on a novel cross-sectional data set covering 75 central banks, we investigate the determinants of MPCT as well as its economic consequences. We find that past inflation, quality of institutional setup, and extent of Internet use in a country are important determinants of MPCT. MPCT has a robust and significantly negative impact on inflation variability, even after controlling for important macroeconomic variables and institutional transparency, as well as instrumenting MPCT in various ways. |
| Keywords: | Monetary Policy Committee, Transparency, Monetary Policy Transparency, Monetary Policy, Central Banks |
| JEL: | E52 E58 D12 D83 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:mar:magkse:201140&r=mac |
| By: | Michael D. Bauer |
| Abstract: | How do interest rates react to news? This paper presents a new methodology, based on a simple dynamic term structure model, which provides for an integrated analysis of the effects of monetary policy actions and macroeconomic news on the term structure of interest rates. I find several new empirical results: First, monetary policy directly affects distant forward rates. Second, policy news is more complex than macro news. Third, while payroll news causes the most action in interest rates, it does not affect distant forward rates. Fourth, the term structure response to macro news is consistent with considerable interest rate smoothing. |
| Keywords: | Interest rates ; Monetary policy |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2011-20&r=mac |
| By: | Lengnick, Matthias; Wohltmann, Hans-Werner |
| Abstract: | We combine a simple agent-based model of financial markets and a New Keynesian macroeconomic model with bounded rationality via two straightforward channels. The result is a macroeconomic model that allows for the endogenous development of business cycles and stock price bubbles. We show that market sentiments exert important influence on the macroeconomy. They introduce high volatility into impulse-response functions of macroeconomic variables and thus make the effect of a given shock hard to predict. We also analyze the impact of different financial transaction taxes (FTT, FAT, progressive FAT) and find that such taxes can be used to stabilize the economy and raise funds from the financial sector as a contribution to the costs produced by the recent crisis. Our results suggest that the FTT leads to higher tax revenues and better stabilization results then the FAT. However, the FTT might also create huge distortion if set too high, a threat which the FAT does not imply. -- |
| Keywords: | Agent-based modeling,stock market,New Keynesian macroeconomics,financial transaction tax,financial activities tax |
| JEL: | E0 E62 G18 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cauewp:201109&r=mac |
| By: | Ippei Fujiwara; Yasuo Hirose |
| Abstract: | Recent studies document the deteriorating performance of forecasting models during the Great Moderation. This conversely implies that forecastability is higher in the preceding era, when the economy was unexpectedly volatile. We offer an explanation for this phenomenon in the context of equilibrium indeterminacy in dynamic stochastic general equilibrium models. First, we analytically show that a model under indeterminacy exhibits richer dynamics that can improve forecastability. Then, using a prototypical New Keynesian model, we numerically demonstrate that indeterminacy due to passive monetary policy can yield superior forecastability as long as the degree of uncertainty about sunspot fluctuations is relatively small. |
| Keywords: | Forecasting ; Mathematical models ; Monetary policy |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddgw:91&r=mac |
| By: | Roman Horvath; Jakub Mateju |
| Abstract: | This paper contributes to a better understanding of how inflation targets are set. First, we gather evidence on how inflation targets are set from official central bank and government publications and from a questionnaire of our own design. Second, we estimate the determinants of the level of the inflation target in 19 inflation-targeting countries using unbalanced panel interval regressions to deal with the issue that targets are typically set as a range rather than as a point. We find that both a higher level and higher variability of inflation are associated with a higher target. The setting of the inflation target is also found to have an important international dimension, because higher world inflation is positively correlated with inflation targets. Rapidly growing countries exhibit higher inflation targets. Our results also show that authorities establish a wider target range for the inflation rate when the macroeconomic environment is less stable. We find that central bank credibility is negatively associated with the level of the inflation target, suggesting that less credible central banks are likely to recognize the risks related to anchoring inflation expectations at low levels. On the other hand, government party orientation does not matter, even in less independent central banks. |
| Keywords: | Central bank, credibility, independence, inflation, inflation targeting. |
| JEL: | E31 E42 E52 E58 |
| Date: | 2011–07 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2011/06&r=mac |
| By: | Ahrens, Steffen; Sacht, Stephen |
| Abstract: | This paper estimates a high-frequency New Keynesian Phillips curve via the Generalized Method of Moments. Allowing for higher-than-usual frequencies strongly mitigates the well-known problems of small-sample bias and structural breaks. Applying a daily frequency allows us to obtain estimates for the Calvo parameter of nominal rigidity over a very short period - for instance for the recent financial and economic crisis - which can then be easily transformed into their monthly and quarterly equivalences and be employed for the analysis of monetary and fiscal policy. With Argentine data from the end of 2007 to the beginning of 2011, we estimate the daily Calvo parameter and find that on average, prices remain fixed for approximately two to three months which is in line with recent microeconomic evidence. -- |
| Keywords: | Calvo Staggering,High-Frequency NKM,GMM |
| JEL: | E31 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cauewp:201108&r=mac |
| By: | Rojas-Breu, M. |
| Abstract: | The rate-of-return-dominance puzzle asks why low-return assets, like fiat money, are used in actual economies given that risk-free higher-return assets are available. As long as this question remains unresolved, most conclusions from monetary models which arbitrarily restrict the marketability properties of alternative assets to make money valuable are difficult to assess. In this paper, I provide a framework in which fiat money has value in equilibrium, even though a higher-return asset is available and there are neither restrictions nor transaction costs in using it. I suggest that the use of money is associated with frictions underlying debt contracts. In an environment where full enforcement is not feasible, the actual rate of return on assets is determined by incentives eliciting voluntary debt repayment. I show that the inflation rate or, more generally, the depreciation rate of an asset in which debts are denominated may function as a commitment device. As a result, money is used in equilibrium and the optimal inflation rate is positive. |
| Keywords: | Money, Inflation, Debt Enforcement, Banking. |
| JEL: | E41 E50 E51 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:bfr:banfra:345&r=mac |
| By: | S. Boragan Aruoba; Francis X. Diebold; Jeremy Nalewaik; Frank Schorfheide; Dongo Song |
| Abstract: | Two often-divergent U.S. GDP estimates are available, a widely-used expenditure-side version GDPE, and a much less widely-used income-side version GDI . The authors propose and explore a "forecast combination" approach to combining them. They then put the theory to work, producing a superior combined estimate of GDP growth for the U.S., GDPC. The authors compare GDPC to GDPE and GDPI , with particular attention to behavior over the business cycle. They discuss several variations and extensions. |
| Keywords: | Business cycles ; Recessions ; Expenditures, Public |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:11-41&r=mac |
| By: | Andrew T. Foerster |
| Abstract: | This paper considers a model with financial frictions and studies the role of expectations and unconventional monetary policy response to financial crises. During a financial crisis, the financial sector has reduced ability to provide credit to productive firms, and the central bank may help lessen the magnitude of the downturn by using unconventional monetary policy to inject liquidity into credit markets. The model allows parameters to change according to a Markov process, which gives agents in the economy expectation about the probability of the central bank intervening in response to a crises, as well as expectations about the central bank's exit strategy post-crises. Using this Markov regime switching specification, the paper addresses three issues. First, it considers the effects of different exit strategies, and shows that, after a crisis, if the central bank sells off its accumulated assets too quickly, the economy can experience a double-dip recession. Second, it analyzes the effects of expectations of intervention policy on pre-crises behavior. In particular, if the central bank increases the probability of intervening during crises, this increase leads to a loss of output in pre-crisis times. Finally, the paper considers the welfare implications of guaranteeing intervention during crises, and shows that providing a guarantee can raise or lower welfare depending upon the exit strategy used, and that committing before a crisis can be welfare decreasing but then welfare increasing once a crisis occurs. |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:rwp11-04&r=mac |
| By: | Kuikeu, Oscar |
| Abstract: | As inflation looks forever transactions, while, under the assumption of closed economy and Okun's law, we can consider that the ultimate goal of economic policy is to increase economic growth, about the debate on the suitable foreign exchange regime for Sub-Saharan African economies in the Cfa franc zone, we will examine in CEMAC, as representative of the Cfa franc zone, first, the teaching from the study of inflation (chapter 1 and chapter 2), secondly, the lessons from the study of economic growth (chapter 3 and chapter 4): in Chapter 1, the aim is to describe the strategy, of fighting against inflation, followed by BEAC, in a period of resurgence of inflation, after the devaluation of the Cfa franc in January 1994 and to check the idea, well established in the literature, of a monetary policy oriented toward the controlling inflation after the devaluation of the Cfa franc in January 1994, in Chapter 2, following Gali and Gertler (1999), we will examine the parameters associated to the neo-keynesian phillips curve of the CEMAC, because, those parameters describe the behavior of agents against price, we will have we will have some teachings about the inflation persistance in CEMAC, in Chapter 3, the aim is to study the effect on the cameroonian's economic growth of its real exchange rate misalignment, otherwise, episodes of appreciation or depreciation of the real exchange rate, because, we can show that the real exchange rate misalignment is an indicator of the stability or the instability of the macroeconomic framework, we will have some teachings about the sensibility of the cameroonian economy to the macroeconomic framework, in Chapter 4, the aim is to study the standard of living convergence. Oscar KUIKEU is Doctor in economics from the University of Pau (FRANCE). |
| Keywords: | C22; E31 |
| JEL: | E31 C22 |
| Date: | 2011–09–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:33710&r=mac |
| By: | Scott Davis |
| Abstract: | This paper investigates the effect of international financial integration on international business cycle co-movement. We first show with a reduced form empirical approach how capital market integration (equity) has a negative effect on business cycle co-movement while credit market integration (debt) has a positive effect. We then construct a model that can replicate these empirical results.> ; In the model, capital market integration is modeled as crossborder equity ownership and involves wealth effects. Credit market integration is modeled as cross-border borrowing and lending between credit constrained entrepreneurs and banks, and thus involves balance sheet effects. The wealth effect tends to reduce cross-country output correlation, but balance sheet effects serve to increase correlation as a negative shock in one country causes loan losses on the balance sheets of foreign banks.> ; In versions of the model with a financial accelerator and balance sheet effects, credit market integration has a positive effect on cyclical correlation. However, in versions of the model without the financial accelerator and balance sheet effects, credit market integration has a negative effect on cyclical correlation. |
| Keywords: | International finance ; Business cycles ; Equity ; Debt |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddgw:89&r=mac |
| By: | Zoltán Szalai (Magyar Nemzeti Bank (central bank of Hungary)) |
| Abstract: | Modern central banks have adopted a ‘risk management’ approach in assessing and presenting risks to macroeconomic stability. This paper seeks to contribute to the improvement of central banks’ current strategies for Central and Eastern European countries, first by assessing the potential size of macroeconomic risks, and secondly by empirically relating these risks to certain selected financial variables. Our results suggest that risks to GDP and the Price Level are significantly higher than commonly supposed based on a normal distribution of their cyclical components. However, relating these risks to the selected financial variables generated mixed results and is rarely significant in economic terms. We conclude that central banks currently risk underestimating the probability of large deviations in GDP and Price Level from their trends. A combination of financial variables and the inclusion of international financial variables could result in more significant results than the ones used separately in this study, when looking for useful indicators of such events. |
| Keywords: | central bank policy, financial imbalances, GDP-at-risk, CPI-at-risk |
| JEL: | E44 E52 E58 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:mnb:wpaper:2011/8&r=mac |
| By: | Yunus Aksoy (Department of Economics, Mathematics & Statistics, Birkbeck); Giovanni Melina (Department of Economics, Mathematics & Statistics, Birkbeck; University of Surrey) |
| Abstract: | In addition to containing stable information to explain inflation, state-local expenditures have also a larger share of the forecast error variance of US inflation than the Federal funds rate. Non-defense federal expenditures are useful in predicting real output variations and, starting from the early 1980s, present also a larger share of the forecast error variance of US real output than the Federal funds rate. |
| Keywords: | Information value, state-local expenditures, forecast error variance decomposition |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:bbk:bbkefp:1105&r=mac |
| By: | Miguel Casares (Departamento de Economía-UPNA); Jean-Christophe Poutineau (Faculté des Sciences Economiques, Université de Rennes I, Rennes, France) |
| Abstract: | Introducing both endogenous firm entry and a requirement for external finance in a general-equilibrium model leads to three main results. First, the financial constraint has contractionary effects on both equity investment and the labor supply as they are inversely related to the marginal finance cost. Second, net firm creation amplifies the steady-state impact of changes in either productivity or banking efficiency due to procyclical firm entry. Third, a higher elasticity of substitution (that implies a lower mark-up) cuts the number of firms and makes aggregate output fall in steady state, opposite to standard models with constant number of firms. |
| Keywords: | firm creation, financial frictions, steady-state analysis. |
| JEL: | E13 E44 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:nav:ecupna:1102&r=mac |
| By: | Mishra, Prachi; Montiel, Peter J; Spilimbergo, Antonio |
| Abstract: | This paper surveys the evidence on the effectiveness of monetary transmission in developing countries. We summarize the arguments for expecting the bank lending channel to be the dominant means of monetary transmission in such countries, and present a simple model that suggests why this channel may be both weak and unreliable under the conditions that usually characterize those economies. Next, we review the empirical methodologies that have been employed in the recent literature to assess monetary policy effectiveness, both in developing countries as well as in industrial and emerging economies, essentially based on vector autoregressions (VARs). It is very hard to come away from this review of the evidence with much confidence in the strength of monetary transmission in developing countries. We distinguish between the 'facts on the ground' and 'methodological deficiencies' interpretations of the absence of evidence for strong monetary transmission. We suspect, however, that 'facts on the ground' are indeed an important part of the story. The fact that a wide range of empirical approaches have failed to yield evidence of effective monetary transmission in developing countries, and that the strongest evidence for effective monetary transmission has arisen for relatively prosperous and more institutionally-developed countries such as some central and Eastern European transition economies (at least in the later stages of their transition) and Tunisia, makes us doubt whether methodological shortcomings are the whole story. If this conjecture is correct, the stabilization challenge in developing countries is acute indeed, and identifying the means of enhancing the effectiveness of monetary policy in such countries is an important challenge |
| Keywords: | developing countries; exchange rate; institutions; monetary policy |
| JEL: | E5 O11 O16 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:8577&r=mac |
| By: | Michael Dotsey; Shigeru Fujita; Tom Stark |
| Abstract: | The Phillips curve has long been used as a foundation for forecasting inflation. Yet numerous studies indicate that over the past 20 years or so, inflation forecasts based on the Phillips curve generally do not predict inflation any better than a univariate forecasting model. In this paper, the authors take a deeper look at the forecasting ability of Phillips curves from both an unconditional and a conditional view. Namely, they use the test results developed by Giacomini and White (2006) to examine the forecasting ability of Phillips curve models. The authors' main results indicate that forecasts from their Phillips curve models are unconditionally inferior to those of their univariate forecasting models and sometimes the difference is statistically significant. However, the authors do find that conditioning on various measures of the state of the economy does at times improve the performance of the Phillips curve model in a statistically significant way. Of interest is that improvement is more likely to occur at longer forecasting horizons and over the sample period 1984Q1—2010Q3. Strikingly, the improvement is asymmetric — Phillips curve forecasts tend to be more accurate when the economy is weak and less accurate when the economy is strong. It, therefore, appears that forecasters should not fully discount the inflation forecasts of Phillips curve-based models when the economy is weak. |
| Keywords: | Phillips curve ; Unemployment |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:11-40&r=mac |
| By: | Jakob B Madsen; Sarah J Carrington |
| Abstract: | Microeconomic studies have found cash flow to be important for the investment decision and this result is often interpreted as is evidence of adverse selection in credit markets. Using direct survey evidence on banks’ willingness to lend, this research examines the role of credit in the investment decision while allowing for cash-flow, Tobin’s q, income, uncertainty and default risks. Regression analysis reveals that banks’ willingness to lend, income and uncertainty are the key drivers of cyclical fluctuations in corporate investment. These results have important implications for the conduct of monetary policy as well as research on business cycles. |
| Keywords: | credit constraints, corporate investment, Tobin’s q |
| JEL: | E22 E5 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2011-18&r=mac |
| By: | Jayaraman, T. K.; Choong , Chee-Keong |
| Abstract: | This paper investigates the effect of changes in exchange rate on consumer price level, in Fiji, known as exchange rate pass-through during a thirty year period (1982-2009). Specifically, three time periods are focused on: the pre-coup years (1982-1986); post coup years (1987-2009); and full time period (1982-2009). Monthly data on consumer price index, nominal exchange rate, monetary aggregate and interest rate are utilized. The study results show that the degree of exchange rate pass-through to domestic price was relatively low during the entire sample period at 0.183. It was 0.453 and 0.373 for the pre and post coups periods. Regardless of the sample periods under study, the monetary aggregate, as a variable plays a pivotal in stabilizing the price level. |
| Keywords: | Exchange rate pass-through; price; monetary measure; cointegration; Granger causality |
| JEL: | E31 F31 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:33719&r=mac |
| By: | Fabio Ghironi (Boston College); Sanjay K. Chugh (University of Maryland) |
| Abstract: | We study Ramsey-optimal fiscal policy in an economy in which product varieties are the result of forward-looking investment decisions by firms. There are two main results. First, depending on the particular form of variety aggregation in preferences, firms' dividend payments may be either subsidized or taxed in the long run. This policy balances monopoly incentives for product creation with consumers' welfare benefit of product variety. In the most empirically relevant form of variety aggregation, socially efficient outcomes entail a substantial tax on dividend income, removing the incentive for over-accumulation of capital, which takes the form of variety. Second, optimal policy induces dramatically smaller, but efficient, fluctuations of both capital and labor markets than in a calibrated exogenous policy. Decentralization requires zero intertemporal distortions and constant static distortions over the cycle. The results relate to Ramsey theory, which we show by developing welfare-relevant concepts of efficiency that take into account product creation. |
| Keywords: | zero intertemporal distortions, endogenous product variety, optimal taxation |
| JEL: | E20 E21 E22 E32 E62 |
| Date: | 2011–08–11 |
| URL: | http://d.repec.org/n?u=RePEc:boc:bocoec:775&r=mac |
| By: | Ludwig, Björn |
| Abstract: | The Basel III Framework introduces a countercyclical capital buffer to reduce the procyclical-ity of the minimum capital requirements. The reference point for the decision to impose the buffer is based on the credit-to-GDP ratio. However, this guidance will exacerbate the prob-lem of procyclicality in a rule based application, because in periods with a low GDP growth it sends a signal to increase the capital requirements and in periods with a high GDP growth it sends a signal to reduce the capital requirements. Instead of the credit-to-GDP ratio the credit growth and the credit impulse should be used as reference point, because these variables are high correlated with the real GDP growth. -- Das Basel III Rahmenwerk führt einen antizyklischen Kapitalpuffer, um das durch die Krise eindrucksvoll bestätigte Problem der Prozyklizität der Eigenkapitalanforderungen zu lösen. Das Entscheidungskriterium zu Abgrenzung der konjunkturell guten Phase von der schlechten Phase, das den Kapitalaufbau beziehungsweise Kapitalabbau begründen soll, basiert auf dem Verhältnis vom nominellen Kreditvolumen zum nominalen BIP. Anstelle das Problem der Prozyklizität zu lösen, wird der in dieser Form von der Bankenaufsicht konzipierte antizyklische Kapitalpuffer bei einer regelgebundenen Anwendung das Problem eher verschärfen, denn in konjunkturell schlechten Zeiten mit niedrigem BIP Wachstum signalisiert der Indikator die Erhebung des zusätzlichen Kapitalpuffers und in konjunkturell guten Zeiten mit einem hohen BIP Wachstum nicht. Anstelle dieser Konzeption sollte besser das Kreditwachstum und der Kreditimpuls als Entscheidungskriterium verwendet werden, da bei diesen Größen ein hinreichend guter Zusammenhang zum Wachstum des realen BIP besteht. |
| JEL: | E32 E37 G28 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ciwdps:72011&r=mac |
| By: | Yongsung Chang; Andreas Hornstein |
| Abstract: | Many cases of successful economic development, such as South Korea, exhibit long periods of sustained capital accumulation rates. This empirical feature is at odds with the standard neoclassical growth model which predicts initially high and then declining capital accumulation rates. We show that minor modifications of the neoclassical model go a long way towards accounting for the transition dynamics of the South Korean economy. Our modifications recognize that (1) agriculture essentially does not use reproducible capital, and that during the transition period (2) the relative price of capital declines substantially, and (3) the nonfarm employment share increases substantially. |
| Keywords: | Economic growth ; Business cycles ; Economic development |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedrwp:11-04&r=mac |
| By: | Livshits, Igor; MacGee, James; Tertilt, Michèle |
| Abstract: | Financial innovations are a common explanation of the rise in consumer credit and bankruptcies. To evaluate this story, we develop a simple model that incorporates two key frictions: asymmetric information about borrowers’ risk of default and a fixed cost to create each contract offered by lenders. Innovations which reduce the fixed cost or ameliorate asymmetric information have large extensive margin effects via the entry of new lending contracts targeted at riskier borrowers. This results in more defaults and borrowing, as well as increased dispersion of interest rates. Using the Survey of Consumer Finance and interest rate data collected by the Board of Governors, we find evidence supporting these predictions, as the dispersion of credit card interest rates nearly tripled, and the share of credit card debt of lower income households nearly doubled. |
| Keywords: | bankruptcy; consumer credit; endogenous financial contracts |
| JEL: | E21 E49 G18 K35 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:8580&r=mac |
| By: | Don Bredin (School of Business, University College Dublin); Stilianos Fountas (Department of Economics, University of Macedonia) |
| Abstract: | We use over two hundred years of US inflation data to examine the impact of inflation uncertainty on inflation. An analysis of the full period without allowing for various regimes shows no impact of uncertainty on inflation. However, once we distinguish between recessions and non recessions, we find that inflation uncertainty has a negative effect on inflation only in recession times, thus providing support to the Holland hypothesis. |
| Keywords: | asymmetric GARCH, recession, inflation uncertainty. |
| JEL: | C22 E31 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:mcd:mcddps:2011_13&r=mac |
| By: | Plante, Michael |
| Abstract: | Analytical and numerical results show how the presence of a subsidy on household and firm purchases of oil products distorts long-run macroeconomic aggregates in an oil-importing developing country. Beyond leading to over-consumption of oil products these subsidies also lead to increased labor supply, a distorted emphasis on producing traded goods, and higher real wages. The subsidy also impacts the relative price of non-traded goods, causing it to fall when the non-traded sector is more oil-intensive than the traded sector and vice-versa. |
| Keywords: | oil; fuel-price subsidies; developing countries; fiscal policy |
| JEL: | E62 O23 H30 Q43 |
| Date: | 2011–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:33823&r=mac |
| By: | Allen Head (Queen's University); Huw Lloyd-Ellis (Queen's University); Hongfei Sun (Queen's University) |
| Abstract: | We characterize the dynamics of relative house prices, construction rates and population growth across US cities. In response to fluctuations in relative incomes, we find that population growth rates adjust more rapidly than construction rates in the short run and that price appreciation exhibits considerable serial correlation in the short-run and mean reversion in the long-run. We develop a competitive search model of the housing market in which construction, the entry of buyers, house prices and rents are endogenously determined in equilibrium. Our theory generates dynamics that are qualitatively consistent with our empirical observations. In particular, in a version of the economy calibrated to match long-run features of the housing market in U.S. cities, variation in the time it takes to sell a house (i.e. the house's liquidity) induces house values and transaction prices to exhibit momentum, or serially correlated growth. |
| Keywords: | House prices, liquidity, search, construction, dynamic panel |
| JEL: | E30 R31 R10 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:qed:wpaper:1276&r=mac |
| By: | Wenjuan Chen |
| Abstract: | This paper employs a Markov regime-switching approach to investigate whether the Great Moderation is over since the start of the late 2000s recession. The results conrm that the recent nancial crisis did cause a simultaneous high-volatility period among the G7 countries. However, the nancial crisis may not mark the end of the Great Moderation. There is strong evidence that each G7 country has again returned to the low-variance state since 2009 or the beginning of 2010. |
| Keywords: | Output Fluctuations, Financial crisis, Regime switching |
| JEL: | E20 F01 N10 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2011-060&r=mac |
| By: | Andreas Orland; Michael W.M. Roos |
| Abstract: | Empirical estimations of the New Keynesian Phillips curve support hybrid versions with a positive weight on lagged infl ation and a weight less than one on expected infl ation. We argue that myopic price setting of some agents explains the low weight on expected infl ation. The lagged term can be explained by trend extrapolation if information about the future is costly. In a laboratory experiment we implement the Calvo (1983) microfoundations of the Phillips curve. Both of our hypotheses are supported by the experimental data. About half of the subjects set optimal Calvo prices while about a third is myopic. |
| Keywords: | Hybrid Phillips curve; experimental economics; myopia; behavioral macroeconomics |
| JEL: | C91 D92 E52 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:rwi:repape:0281&r=mac |
| By: | Junko Koeda (Faculty of Economics, University of Tokyo) |
| Abstract: | This paper applies a tractable two-regime macro-finance affine term structure model to empirically investigate macroeconomic effects on Japanese government bond (JGB) yields in and out of a zero interest rate environment. The estimated results qualitatively assess how differently deflation and low growth contribute to lowering longer-term JGB yields between the normal and zero rate regimes. |
| Date: | 2011–10 |
| URL: | http://d.repec.org/n?u=RePEc:cfi:fseres:cf254&r=mac |
| By: | Barbara Annicchiarico (Faculty of Economics, University of Rome "Tor Vergata"); Alessandra Pelloni (Faculty of Economics, University of Rome "Tor Vergata") |
| Abstract: | We study the implications of having different sources of nominal rigidities on the relationship between productivity growth and shocks volatility in a model with procyclical R&D and imperfect competition in goods and labour markets. We show that the effects of uncertainty on long-term growth not only depends on the source of fluctuations, as recent literature shows, but also, and crucially, on whether prices and/or wages are rigid. |
| Keywords: | Productivity growth, volatility, nominal rigidities, uncertainty |
| JEL: | E32 E52 O42 |
| Date: | 2011–09–26 |
| URL: | http://d.repec.org/n?u=RePEc:rtv:ceisrp:211&r=mac |
| By: | Vitor Castro (University of Coimbra and NIPE) |
| Abstract: | This paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets. A duration dependent Markov-switching model is estimated over monthly growth rates of the Portuguese Stock Index for the period 1989-2010. Six episodes of bull/bear markets are identified during that period, as well as the presence of positive duration dependence in bear but not in bull markets. |
| Keywords: | stock market cycles; bull and bear markets; duration dependence; Markov-switching. |
| JEL: | E32 G19 C41 C24 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:gmf:wpaper:2011-17&r=mac |
| By: | Gomme, Paul; Zhao, Yan |
| Abstract: | Consumption is more volatile than output in developing countries while it is less volatile than output in developed economies. This paper shows that the relatively large home sector in developing economies contributes to this difference, and the driving force for this difference is technology. Thus this paper suggests that volatile market consumption is almost inevitable at the start of industrialization, when the technology level in the market sector is just above that of the home sector. |
| Keywords: | Consumption volatility; Industralization |
| JEL: | E21 |
| Date: | 2010–10–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:33721&r=mac |
| By: | Cimoli, Mario; Porcile, Gabriel |
| Abstract: | The Latin American Structuralism (LAS) is a significant part of the heterodox tradition in the theory of long run growth, with a focus on the problems of developing economies which started their industrialization process when other regions had already accumulated substantial technological capabilities. The emergence of a centre-periphery system posed specific problems to growth and distribution in laggard economies which LAS discusses in a systematic way. In this paper we presented a simple model which,firstly, captures key insights of the LAS school, such as the persistency of technological asymmetries and structural heterogeneity; secondly, it can be used to analyze the impacts of shocks and policies based on how they affect supply-side and demand side parameters of the model; thirdly, it links more closely (Post-) Keynesian macroeconomics based on the BOP constraint with the evolutionary microeconomics concerned with the dynamics of learning; lastly, it can be used as a toolbox and a teachable model in the analysis of the interactions between structural change, technological catching up and long run growth. |
| Keywords: | technology gap - structural change -- structuralist model |
| JEL: | E12 E24 B50 O33 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:33800&r=mac |
| By: | Hess, Dieter; Immenkötter, Philipp |
| Abstract: | We study the effect of the business cycle on optimal capital structure choice and the benefit to leverage. We propose a regime switching model with a state-dependent cash flow process to capture macroeconomic risk in a firm's cash flow. Our model is parsimonious but still realistic and allows for a wide range of analysis. We find pro-cyclical optimal leverage ratios, benefits to leverage, and costs of operating at a non-optimal leverage. If macroeconomic risk decreases, i.e. earnings become more stable and growth rates less volatile, optimal leverage and its benefits increase due to lower default risk. The regime switching property of EBIT traces observed EBIT paths closely and is applicable to a wide range of corporate valuation models. Our model offers novel empirically testable implications, such as higher tax benefits after the change in macroeconomic risk since the late 1980s and common capital structure adjustments in recessions and around turning points. -- |
| Keywords: | capital structure,macroeconomic risk,regime switching,benefit to leverage |
| JEL: | E44 G12 G32 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cfrwps:1112&r=mac |
| By: | António Afonso; João Tovar Jalles |
| Abstract: | This paper investigates the sustainability of fiscal policy in a set of 19 countries by taking a longer-run secular perspective over the period 1880-2009. Via a systematic analysis of the stationarity properties of the first-differenced level of government debt, and disentangling the components of the debt series using Structural Time Series Models, we are able to conclude that the solvency condition would be satisfied in mostly all cases since non-stationarity can be rejected, and, therefore, longer-run fiscal sustainability cannot be rejected (Japan and Spain can be exceptions). The same would be true for the panel sample analysis. |
| Keywords: | fiscal sustainability, government debt, unit roots, breaks, structural time series models Classification-C23, E62, H62 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:ise:isegwp:wp172011&r=mac |
| By: | Cristián Ducoing |
| Abstract: | The present paper revisits an old theme in Latin American and Chilean economic history; the early industrialization in the XIX - XX centuries. The difference with previous approaches is the elaboration of new quantitative series of Chilean machinery investment in the long run and its relative prices and composition, in the period when some authors have sited the beginning of the industrialization in the continent. Initial findings, based on the participation of capital formation in machinery imports and GDP, do not reinforce the idea of early industrialization in Chile. |
| Keywords: | industrialization; capital formation; machinery; Chile. |
| JEL: | E22 L60 N16 N66 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:upf:upfgen:1282&r=mac |
| By: | Michael D. Bauer; Glenn D. Rudebusch |
| Abstract: | Previous research has emphasized the portfolio balance effects of Federal Reserve bond purchases, in which a reduced bond supply lowers term premia. In contrast, we find that such purchases have important signaling effects that lower expected future short term interest rates. Our evidence comes from dynamic term structure models that decompose declines in yields following Fed announcements into changes in risk premia and expected short rates. To overcome problems in measuring term premia, we consider unbiased model estimation and restricted risk price estimation. We also characterize the estimation uncertainty regarding the relative importance of the signaling and portfolio balance channels. |
| Keywords: | Monetary policy ; Interest rates ; Bond market |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2011-21&r=mac |
| By: | António Afonso; João Tovar Jalles |
| Abstract: | We assess the relevance of budgetary components for private and public investment using data for a panel of 95 countries for the period 1970-2008, and accounting for the usually encountered econometric pitfalls. Our results show a positive effect attributed to total government expenditures and to public investment in fostering private investment, and negative effects of government expenditure on wages and government consumption spending on private investment. Interest payments and subsidies have a negative effect on both types of investment (particularly in the emerging economies sub-group). Social security spending has a negative effect on private investment for the full and OECD samples, whereas government health spending has a positive and significant impact on private investment. |
| Keywords: | budgetary decomposition, panel analysis, causality, non-linearities, fiscal-rules Classification-C23, E62, H50 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:ise:isegwp:wp162011&r=mac |
| By: | Neus Herranz; Javier Ruiz-Castillo |
| Abstract: | This paper evaluates the European Paradox according to which Europe plays a leading world role in terms of scientific excellence, measured in terms of the number of publications, but lacks the entrepreneurial capacity of the U.S. to transform this excellent performance into innovation, growth, and jobs. Citation distributions for the U.S., the European Union (EU), and the rest of the world are evaluated using a pair of high- and low-impact indicators, as well as the mean citation rate. The dataset consists of 3.6 million articles published in 1998-2002 with a common five-year citation window. The analysis is carried at a low aggregation level: the 219 sub-fields identified with the Web of Science categories distinguished by Thomson Scientific. The problems posed by international co-authorship and the multiple assignments of articles to sub-fields are solved following a multiplicative strategy. In the first place, we find that, although the EU has more publications than the U.S. in 113 out of 219 sub-fields, the U.S. is ahead of the EU in 189 and 163 sub-fields in terms of the high- and low-impact indicators. In the second place, we verify that using the high-impact indicator the U.S./EU gap is usually greater than when using the mean citation rate. |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:cte:werepe:we1127&r=mac |
| By: | João Sousa Andrade (University of Coimbra and GEMF); Adelaide Duarte (University of Coimbra and GEMF) |
| Abstract: | This paper analyses the fundamentals of the Portuguese crisis. The financial crisis of 2007 worsened and triggered the current Portuguese crisis. We argue that the main problem that the economy is facing is its output stagnation due to a kind of Dutch disease that has created high and increasing levels of indebtedness, low and decreasing levels of saving and has reduced Portuguese competitiveness. Moreover, the existence of a dualist labour market and a new vague of emigration reproduces inefficiency increasing unemployment of younger workers and the supply of human capital abroad funded by the Portuguese taxpayers. Governance problems such as bad public budget governance, lack of transparency and accountability are also at stake and have to be solved to allow the economy to return to its long-run growth path. |
| Keywords: | Growth, Debt, Saving, Dutch disease, Unemployment, Budget policy. |
| JEL: | E21 F34 H10 H63 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:gmf:wpaper:2011-16&r=mac |
| By: | Bartzsch, Nikolaus; Rösl, Gerhard; Seitz, Franz |
| Abstract: | In dem vorliegenden Papier versuchen wir den Bestand der Euro-Banknoten zu ermitteln, der sich von der deutschen Banknotenemission im Ausland befindet. Dabei unterscheiden wir nach Beständen, die außerhalb des Euro-Währungsraumes gehalten werden, und solchen, die in anderen Ländern der EWU zirkulieren. Die Analyse basiert auf Ansätzen, die den Auslandsumlauf auf indirektem Wege abschätzen. Der Untersuchungszeitraum reicht von 2002 bis 2009. Wir finden heraus, dass Ende 2009 insgesamt rund zwei Drittel der deutschen kumulierten Nettoemissionen im Ausland umliefen. Der größte Teil, etwa 160 Mrd. €, befand sich außerhalb des Euro-Raums, der Rest - 80 Mrd. € - lief in anderen EWU-Ländern um. Somit entsprach der Inlandsumlauf deutscher Euro-Banknoten nur rund einem Drittel aller von der Bundesbank in Höhe von 350 Mrd. € in Umlauf gegebenen Banknoten. Damit werden die Ergebnisse direkter Ansätze bestätigt. -- In this paper, we endeavour to determine the volume of euro banknotes issued by Germany that is in circulation outside Germany. In so doing, we draw a distinction between banknotes outstanding in non-euro-area countries and those that are in circulation in other euro-area countries. The analysis is based on approaches that estimate the volume of banknotes in circulation outside Germany indirectly. The observation period runs from 2002 to 2009. We discover that, at the end of 2009, a total of roughly two-thirds of Germany's cumulated net issuance of euro banknotes was in circulation outside Germany. The lion's share of roughly €160 billion was in non-euro-area countries, with the remaining €80 billion in other euro-area countries. Thus, the volume of German euro banknotes in circulation in Germany accounted for only roughly one-third of all banknotes issued by the Deutsche Bundesbank (€350 billion). This confirms the results of direct approaches. |
| Keywords: | Banknoten,Euro,Auslandsumlauf,Hortung,Transaktionskasse,Binnenmigration,Banknotes,euro,foreign demand,hoarding,transaction balances,domestic migration |
| JEL: | E41 E42 E58 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:201121&r=mac |
| By: | Susana Santos |
| Abstract: | A SAM (Social Accounting Matrix) approach can be an important aid for the modelling of economic policy and a valuable support in the decision-making process, since it provides a description of the measurable part of a society’s activity. Richard Stone made the first and most fundamental contribution to the System of National Accounts (SNA), implemented by the United Nations. Benefiting from successive improved versions since 1953, this system has defined the rules for using the above-mentioned measurement tool. In turn, statistical offices have considered these rules and adapted them to their specific realities, thus defining their own systems, which they have then used as guidelines for measuring the activity of their countries or groups of countries. With these successive improvements, as embodied in the SNA’s latest version from 2008, the description of the activity of a society, its specific characteristics and the problems that it faces have become more realistic. Therefore, the use of the SNA in a SAM-based approach will certainly contribute towards a better modelling of economic policy. Numerical and algebraic versions of the SAM will be examined, with special attention being paid to the former and to the method of its construction from the SNA. Its basic structure and its consistency within the whole system will be studied, as well as any possible disaggregations, extensions, aggregates, indicators, and balances that can be calculated. Other aspects beyond that basic structure will also be examined. An application will be made to Portugal. |
| Keywords: | Social Accounting Matrix; National Accounts; Economic Modelling; Socio-Economic Modelling Classification-C82; E01; E61 |
| Date: | 2011–09 |
| URL: | http://d.repec.org/n?u=RePEc:ise:isegwp:wp182011&r=mac |
| By: | Bartzsch, Nikolaus; Rösl, Gerhard; Seitz, Franz |
| Abstract: | In dem vorliegenden Papier versuchen wir, den Bestand der Euro-Banknoten zu ermitteln, der sich von der deutschen Banknotenemission im Ausland befindet. Dabei unterscheiden wir nach Beständen, die außerhalb des Euro-Währungsraums umlaufen, und solchen, die in anderen Ländern der EWU zirkulieren. Die Auswertung basiert auf verschiedenen verfügbaren Statistiken und Befragungen, die hilfsweise verwendet werden (direkte Ansätze). Der Untersuchungszeitraum geht von 2002 bis 2009. Wir finden heraus, dass insgesamt ca. 220 Mrd. € an deutschen Euro-Banknoten im Ausland umlaufen. Der größte Teil, etwa 160 Mrd. €, befindet sich außerhalb des Euro-Raums, der Rest - 60 Mrd. € - läuft in anderen EWU-Ländern um. Damit entspricht der Inlandsumlauf von Euro-Banknoten in Deutschland Ende 2009 (rd. 130 Mrd. €) nur rund einem Drittel aller von der Deutschen Bundesbank in Umlauf gegebenen Banknoten (350 Mrd. €). -- In this paper, we endeavour to determine the volume of euro banknotes issued by Germany that is in circulation outside Germany. In so doing, we draw a distinction between banknotes outstanding in non-euro-area countries and those that are in circulation in other euro-area countries. The analysis is based on various available statistics and, as an additional aid, on surveys (direct approaches). The observation period runs from 2002 to 2009. We discover that German euro banknotes to a total amount of approximately €220 billion are in circulation outside Germany. The lion's share of roughly €160 billion is in non-euro-area countries, with the remaining €60 billion in other euro-area countries. Thus, the volume of outstanding euro banknotes in Germany at the end of 2009 (around €130 billion) accounts for only roughly one-third of all banknotes issued by the Deutsche Bundesbank (€350 billion). |
| Keywords: | Banknoten,Euro,Auslandsumlauf,Hortung,Transaktionskasse,Binnenmigration,Banknotes,euro,foreign demand,hoarding,transaction balances,domestic migration |
| JEL: | E41 E42 E58 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:201120&r=mac |
| By: | Alexandre Laurin (C.D. Howe Institute); Finn Poschmann (C.D. Howe Institute) |
| Abstract: | What impact do the tax systems of Canada’s Western provinces have on families’take-home pay and seniors’ pension income, and how does it compare to other provinces? This report answers the question by looking at marginal effective tax rates (METRs) on personal income, which measure the impact of federal and provincial income taxes combined with reductions and clawbacks of income-tested tax credits and benefits. |
| Keywords: | Fiscal and Tax Competitiveness, marginal effective tax rates (METRs), Canada, Canadian western provinces |
| JEL: | E52 E61 E64 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:cdh:ebrief:121&r=mac |
| By: | Bartzsch, Nikolaus; Rösl, Gerhard; Seitz, Franz |
| Abstract: | In this paper, we endeavour to determine the volume of euro banknotes issued by Germany that is in circulation outside Germany. In so doing, we draw a distinction between banknotes outstanding in non-euro-area countries and those that are in circulation in other euro-area countries. The analysis is based on approaches that estimate the volume of banknotes in circulation outside Germany indirectly. The observation period runs from 2002 to 2009. We discover that, at the end of 2009, a total of roughly two-thirds of Germany's cumulated net issuance of euro banknotes was in circulation outside Germany. The lion's share of roughly €160 billion was in non-euro-area countries, with the remaining €80 billion in other euro-area countries. Thus, the volume of German euro banknotes in circulation in Germany accounted for only roughly one-third of all banknotes issued by the Deutsche Bundesbank (€350 billion). This confirms the results of direct approaches. -- In dem vorliegenden Papier versuchen wir den Bestand der Euro-Banknoten zu ermitteln, der sich von der deutschen Banknotenemission im Ausland befindet. Dabei unterscheiden wir nach Beständen, die außerhalb des Euro-Währungsraumes gehalten werden, und solchen, die in anderen Ländern der EWU zirkulieren. Die Analyse basiert auf Ansätzen, die den Auslandsumlauf auf indirektem Wege abschätzen. Der Untersuchungszeitraum reicht von 2002 bis 2009. Wir finden heraus, dass Ende 2009 insgesamt rund zwei Drittel der deutschen kumulierten Nettoemissionen im Ausland umliefen. Der größte Teil, etwa 160 Mrd. €, befand sich außerhalb des Euro-Raums, der Rest - 80 Mrd. € - lief in anderen EWU-Ländern um. Somit entsprach der Inlandsumlauf deutscher Euro-Banknoten nur rund einem Drittel aller von der Bundesbank in Höhe von 350 Mrd. € in Umlauf gegebenen Banknoten. Damit werden die Ergebnisse direkter Ansätze bestätigt. |
| Keywords: | Banknotes,euro,foreign demand,hoarding,transaction balances,domestic migration,Banknoten,Euro,Auslandsumlauf,Hortung,Transaktionskasse,Binnenmigration |
| JEL: | E41 E42 E58 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:201121e&r=mac |
| By: | Bartzsch, Nikolaus; Rösl, Gerhard; Seitz, Franz |
| Abstract: | In this paper, we endeavour to determine the volume of euro banknotes issued by Germany that is in circulation outside Germany. In so doing, we draw a distinction between banknotes outstanding in non-euro-area countries and those that are in circulation in other euro-area countries. The analysis is based on various available statistics and, as an additional aid, on surveys (direct approaches). The observation period runs from 2002 to 2009. We discover that German euro banknotes to a total amount of approximately €220 billion are in circulation outside Germany. The lion's share of roughly €160 billion is in non-euro-area countries, with the remaining €60 billion in other euro-area countries. Thus, the volume of outstanding euro banknotes in Germany at the end of 2009 (around €130 billion) accounts for only roughly one-third of all banknotes issued by the Deutsche Bundesbank (€350 billion). -- In dem vorliegenden Papier versuchen wir, den Bestand der Euro-Banknoten zu ermitteln, der sich von der deutschen Banknotenemission im Ausland befindet. Dabei unterscheiden wir nach Beständen, die außerhalb des Euro-Währungsraums umlaufen, und solchen, die in anderen Ländern der EWU zirkulieren. Die Auswertung basiert auf verschiedenen verfügbaren Statistiken und Befragungen, die hilfsweise verwendet werden (direkte Ansätze). Der Untersuchungszeitraum geht von 2002 bis 2009. Wir finden heraus, dass insgesamt ca. 220 Mrd. € an deutschen Euro-Banknoten im Ausland umlaufen. Der größte Teil, etwa 160 Mrd. €, befindet sich außerhalb des Euro-Raums, der Rest - 60 Mrd. € - läuft in anderen EWU-Ländern um. Damit entspricht der Inlandsumlauf von Euro-Banknoten in Deutschland Ende 2009 (rd. 130 Mrd. €) nur rund einem Drittel aller von der Deutschen Bundesbank in Umlauf gegebenen Banknoten (350 Mrd. €). |
| Keywords: | Banknotes,euro,foreign demand,hoarding,transaction balances,domestic migration,Banknoten,Euro,Auslandsumlauf,Hortung,Transaktionskasse,Binnenmigration |
| JEL: | E41 E42 E58 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:201120e&r=mac |
| By: | Judit Páles (Magyar Nemzeti Bank (central bank of Hungary)); Zsolt Kuti (Magyar Nemzeti Bank (central bank of Hungary)); Csaba Csávás (Magyar Nemzeti Bank (central bank of Hungary)) |
| Abstract: | The basic purpose of this study is to didactically demonstrate the factors shaping the currency swap stock of domestic banks prior to the crisis and to provide a descriptive analysis of how the structure and the functioning of the market changed during the crisis. The main conclusions of the study are as follows. In addition to the wide ranging applicability of the transaction, the rise in the currency swap stock of domestic credit institutions is also attributable to macroeconomic factors. The bulk of the exchange rate risk resulting from the high external borrowing requirement and rising external debt was carried by the domestic private sector, while the foreign sector shared a decreasing portion of the risk. The rapid increase in the swap stock was also due to the fact that the synthetic production of foreign currency funds with currency swaps was often more successful than the direct inflow of foreign currency funds. On the basis of the decomposition of the domestic banking system’s on-balance sheet foreign currency position, we can state that it increased mainly as a result of items that also increased the balance sheet total. Following the outbreak of the global financial crisis in the autumn of 2008, the conditions for ensuring foreign currency liquidity deteriorated significantly, which had a substantial effect on implied forint yields, and the turnover and structure of the swap market. While the total average turnover of the domestic FX swap market did not drop radically when the crisis was spreading, market liquidity did decline significantly for a few days and access to foreign currency liquidity became limited. The active role assumed by parent banks and shortening maturities contributed to moderating the decline in turnover. Anecdotal information relating to the tightening of counterparty limits vis-a-vis domestic banks is supported by the decline in the number of non-resident counterparties. The crisis also contributed to changes in the structure of the swap stock. The average remaining maturity of the gross stock began to decline directly after the Lehman bankruptcy, at the time of global dollar liquidity problems, followed by a rise starting from early 2009, principally owing to transactions concluded with parent banks. Domestic subsidiary banks managed to increase maturity primarily through cross-currency swap transactions concluded with intra-group counterparties, but non-group counterparties also concluded transactions with longer maturity with domestic banks. |
| Keywords: | FX swap, currency swap, foreign currency based loan, crisis, counterparty limit, margin call, liquidity requirement |
| JEL: | E44 F31 F32 F34 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:mnb:opaper:2011/90&r=mac |
| By: | Serge REY |
| Abstract: | La Macroéconomie des PSEM : état des lieux et relations avec l'Union européenne |
| Date: | 2011–12 |
| URL: | http://d.repec.org/n?u=RePEc:tac:wpaper:2011-2012_3&r=mac |