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on Macroeconomics |
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Issue of 2012‒09‒22
35 papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Yasin Mimir; Enes Sunel; Temel Taskin |
| Abstract: | This paper conducts a quantitative investigation of the role of reserve requirements as a macroprudential policy tool. We build a monetary DSGE model with a banking sector in which (i) an agency problem between households and banks leads to endogenous capital constraints for banks in obtaining funds from households, (ii) banks are subject to time-varying reserve requirements that countercyclically respond to expected credit growth, (iii) households face cash-in-advance constraints, requiring them to hold real balances, and (iv) standard productivity and money growth shocks are two sources of aggregate uncertainty. We calibrate the model to the Turkish economy which is representative of using reserve requirements as a macroprudential policy tool recently. We also consider the impact of financial shocks that affect the net worth of financial intermediaries. We find that (i) the time-varying required reserve ratio rule countervails the negative effects of the financial accelerator mechanism triggered by adverse macroeconomic and financial shocks, (ii) in response to TFP and money growth shocks, countercyclical reserves policy reduces the volatilities of key real macroeconomic and financial variables compared to fixed reserves policy over the business cycle, and (iii) a time-varying reserve requirement policy is welfare superior to a fixed reserve requirement policy. The credit policy is most effective when the economy is hit by a financial shock. Time-varying required reserves policy reduces the intertemporal distortions created by the credit spreads at expense of generating higher inflation volatility, indicating an interesting trade-off between price stability and financial stability. |
| Keywords: | Banking sector, time-varying reserve requirements, macroeconomic and financial shocks |
| JEL: | E44 E51 G21 G28 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:tcb:wpaper:1224&r=mac |
| By: | McKelvie, S.; Hall, Viv B. |
| Abstract: | Key features of NZ business cycles were established for the period 1966q4 to 1990q1 by Kim, Buckle and Hall (1994) (KBH), but the conduct of fiscal, monetary and labour market policy and the behaviour of New Zealand's economy have changed considerably since then. Our results for the period 1987q2 to 2010q4 show a reduction in volatility and a rise in persistence for both the real economy and for price and monetary variables. Government sector, open economy, monetary and labour market results differ from those advanced in KBH. Overall, we establish a more credible set of benchmark regularities, to help underpin the construction and use of contemporary NZ macroeconomic models. |
| Keywords: | Business cycle stylised facts, New Zealand, Growth cycle analysis, |
| Date: | 2012–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:vuw:vuwecf:2364&r=mac |
| By: | Zaghini, Andrea; Bencivelli, Lorenzo |
| Abstract: | In the paper we propose an assessment of the role of financial innovation in shaping US macroeconomic dynamics. We extend an existing model by Christiano, Eichenbaum and Evans which studied the transmission of monetary policy impulses to business and corporate sector financing variables just before the Great Moderation period. By investigating the properties of the model over a longer time span we show that in the later period a change in the monetary policy transmission mechanism is likely to have occurred. In particular, we argue that the role of financial innovation has significantly altered the transmission of shocks |
| Keywords: | Great Moderation; Monetary policy; Financial Innovation |
| JEL: | C32 E32 E52 |
| Date: | 2012–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41263&r=mac |
| By: | Bruno Freitas Boynard de Vasconcelos; José Angelo Divino |
| Abstract: | This paper has estimated the DSGE model proposed by Smets and Wouters (2007) for the Brazilian economy, using Bayesian techniques, aiming at analyzing the recent performance of the inflation targeting monetary policy. It was obtained estimates of barely known structural parameters and the dynamics of the economy under distinct exogenous shocks was revealed. Among the major results, one can mention the antiinflationary feature of the monetary policy in the period, the role of the inflation expectation over the interest rates and the negative relationship between technological shock and hours worked. In general, the behavior of the Brazilian monetary policy is compatible with international practices, as observed in developed economies. |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:bcb:wpaper:291&r=mac |
| By: | Qian, Z. (Tilburg University) |
| Abstract: | Abstract: This thesis focuses on three interlinked topics. Chapter 2 studies the determinants of sovereign CDS spreads in Greece, Ireland, Italy, Portugal and Spain during the recent global financial crisis and European debt crisis. Chapter 3 introduces a model on the interactions between monetary policy rules and long-run financial stability. Chapter 4 studies the effect of openness on the output gap-inflation tradeoff faced by central banks. |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:ner:tilbur:urn:nbn:nl:ui:12-5590844&r=mac |
| By: | Yuzo Honda (Kansai University); Minoru Tachibana (Osaka Prefectural University) |
| Abstract: | The purpose of this paper is to provide objective statistical evidence on the effectiveness of nontraditional monetary policy. The quantitative easing monetary policy, adopted by the Bank of Japan for the period from March 2001 to March 2006, had a stimulating effect on investment and production at least through the Tobinfs q channel. |
| Keywords: | Quantitative easing, Stock prices, Newly issued stocks, Investment, Vector autoregression |
| JEL: | E51 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:1216&r=mac |
| By: | Ruslan Aliyev |
| Abstract: | The economic literature acknowledges that to avoid the resource curse, resource- rich countries should restrict fiscal expansion and save a significant part of resource revenues outside the domestic economy. However, in these countries governments tend to ineffectively spend a considerable part of windfall revenues in the short run. In this research I construct a DSGE model for a small, open economy to show that if fiscal indiscipline in the form of immediate responses to foreign resource revenue changes is inevitable, then monetary policy can help improve the allocation problem. The simulation results indicate that targeting the exchange rate or price level through foreign exchange interventions by the central bank can soften the negative effects of Dutch Disease and stabilize the economy in the face of volatile natural resource revenues in the short run. I also find that a fixed exchange rate regime outperforms price level targeting by delivering higher isolation and hence less vulnerability to shocks in natural resource revenues. In contrast, if the central bank chooses to pursue a laissez faire policy, i.e., not to intervene, then the economy becomes vulnerable to shocks in foreign resource revenues and the resource curse becomes more severe. |
| Keywords: | monetary policy; Dutch disease; resource-rich countries; macroeconomic stabilization; |
| JEL: | E52 E63 F4 |
| Date: | 2012–08 |
| URL: | http://d.repec.org/n?u=RePEc:cer:papers:wp466&r=mac |
| By: | Gomes, Orlando |
| Abstract: | Traditionally, observed fluctuations in aggregate economic time series have been mainly modelled as being the result of exogenous disturbances. A better understanding of macroeconomic phenomena, however, surely requires looking directly at the relations between variables that may trigger endogenous nonlinearities. Several attempts to justify endogenous business cycles have appeared in the literature in the last few years, involving many types of different settings. This paper intends to contribute to such literature by investigating how we can modify the well-known information stickiness macro model, through the introduction of a couple of reasonable new assumptions, in order to trigger the emergence of endogenous fluctuations. -- |
| Keywords: | endogenous cycles,information stickiness,macroeconomic fluctuations,general equilibrium,periodicity and chaos |
| JEL: | E10 C62 E32 C61 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwedp:201246&r=mac |
| By: | Ben Cheikh, Nidhaleddine |
| Abstract: | This paper examines the presence of nonlinear mechanism in the exchange rate pass-through (ERPT) to CPI inflation for 12 euro area (EA) countries. Using logistic smooth transition models, we explore the existence of nonlinearity with respect to economic activity along the business cycle. Our results provide a strong evidence of nonlinearity in 6 out of 12 EA countries with significant differences in the degree of ERPT between the periods of expansion and recession. However, we find no clear direction in this regime-dependence of pass-through to business cycle. In some countries, ERPT is higher during expansions than in recessions; however, in other countries, this result is reversed. These cross-country differences in the nonlinear mechanism of pass-through would have important implications for the design of monetary policy and the control of inflation in the EA context. |
| Keywords: | Exchange Rate Pass-Through; Inflation; Smooth Transition Regression |
| JEL: | E31 C22 F31 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41179&r=mac |
| By: | Weonho Yang; Jan Fidrmuc; Sugata Ghosh |
| Abstract: | We investigate the macroeconomic effects of government spending shocks in Korea. We compare results obtained with two alternative approaches: the narrative approach and Structural Vector-Autoregressive model (SVAR). We propose a new methodology for identifying exogenous and unexpected fiscal shocks under the narrative approach: natural disasters and the associated government emergency spending in the wake of such disasters. Our results suggest that when government spending increases, the responses of GDP, private consumption, real wage and investment are all positive, which is in accord with the New Keynesian model. Similar results are obtained with both approaches. However, comparing the two approaches suggests that the timing is very important in identifying government spending shocks due to the anticipation effects of fiscal policy. |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:edb:cedidp:12-05&r=mac |
| By: | Yun Kim (Department of Economics, Trinity College) |
| Abstract: | We develop a stock-flow consistent neo-Kaleckian macro model which incorporates consumption emulation and consumer debt accumulation. Income distributional dimension is also incorporated via the conflict-claims approach of inflation. Using this model, we investigate the macroeconomic effects of lower income group's consumption emulation of higher income group through borrowing. We find that emulation could expand aggregate demand and hence generate a faster economic growth. Our results also indicate that consumption emulation could be a source of widening income inequality. |
| Keywords: | consumer debt, emulation, income distribution, growth |
| JEL: | E12 E44 O41 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:tri:wpaper:1208&r=mac |
| By: | Dai, Meixing |
| Abstract: | International commentators seem to have a consensus view that the Chinese yuan is substantially undervalued and the Chinese monetary authority must take speedy actions to redress the currency misalignment by rapid nominal revaluation. This paper argues for a gradualist but comprehensive strategy for adjusting RMB’s exchange rate. Taking into consideration of the facts that the yuan’s undervaluation is caused by an array of domestic and international factors and the Chinese central bank cannot effectively invest its growing holdings of foreign reserves, we develop a framework to provide a theoretical underpinning for the optimal strategy for renminbi’s gradual revaluation. With this strategy, the renminbi undervaluation problem is gradually redressed through a combination of nominal appreciation and higher inflation plus some other structural and macroeconomic policies. This strategy can also allow absorb external imbalances hence strengthening the foundation of China’s long-term growth. |
| Keywords: | Real revaluation; renminbi (RMB); foreign reserves; external imbalances; macroeconomic adjustment |
| JEL: | E52 F41 E61 F31 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41047&r=mac |
| By: | Edward P. Lazear; James R. Spletzer |
| Abstract: | The recession of 2007-09 witnessed high rates of unemployment that have been slow to recede. This has led many to conclude that structural changes have occurred in the labor market and that the economy will not return to the low rates of unemployment that prevailed in the recent past. Is this true? The question is important because central banks may be able to reduce unemployment that is cyclic in nature, but not that which is structural. An analysis of labor market data suggests that there are no structural changes that can explain movements in unemployment rates over recent years. Neither industrial nor demographic shifts nor a mismatch of skills with job vacancies is behind the increased rates of unemployment. Although mismatch increased during the recession, it retreated at the same rate. The patterns observed are consistent with unemployment being caused by cyclic phenomena that are more pronounced during the current recession than in prior recessions. |
| JEL: | E24 J6 M5 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18386&r=mac |
| By: | Simona Cociuba (University of Western Ontario); Alexander Ueberfeldt (Bank of Canada) |
| Abstract: | From 1980 until 2007, U.S. average hours worked increased by thirteen percent, due to a large increase in female hours. At the same time, the U.S. labor wedge, measured as the discrepancy between a representative household's marginal rate of substitution between consumption and leisure and the marginal product of labor, declined substantially. We examine these trends in a model with heterogeneous households: married couples, single males and single females. Our quantitative analysis shows that the shrinking gender wage gaps and increasing labor income taxes observed in U.S. data are key determinants of hours and the labor wedge. Changes in our model's labor wedge are driven by distortionary taxes and non-distortionary factors, namely the cross-sectional differences in households' labor supply and productivity. We conclude that the labor wedge measured from a representative household model partly reflects inaccurate household aggregation. |
| Keywords: | Female and Male Labor Supply; Labor Wedge; Gender Wage Gap; Labor Income Taxation; Household Aggregation |
| JEL: | E24 H20 H31 J22 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:uwo:hcuwoc:20124&r=mac |
| By: | Hall, Jamie |
| Abstract: | This article describes a new approximation method for dynamic stochastic general equilibrium (DSGE) models. The method allows nonlinear models to be estimated efficiently and relatively quickly with the fully-adapted particle filter. The article demonstrates the method by estimating, on US data, a nonlinear New Keynesian model with a zero lower bound on the nominal interest rate. |
| Keywords: | DSGE; nonlinear; particle filter |
| JEL: | E0 C1 |
| Date: | 2012–09–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41218&r=mac |
| By: | Gabrisch, Hubert; Pusch, Toralf; Orlowski, Lucjan T |
| Abstract: | This study examines the key drivers of sovereign default risk in five euro area periphery countries and three euro-candidates that are currently pursuing independent monetary policies. We argue that the recent proliferation of sovereign risk premiums stems from both domestic and international sources. We focus on contagion effects of external financial crisis on sovereign risk premiums in these countries, arguing that the countries with weak fundamentals and fragile financial institutions are particularly vulnerable to such effects. The domestic fiscal vulnerabilities include: economic recession, less efficient government spending and a rising public debt. External ‘push’ factors entail increasing liquidity- and counter-party risks in international banking, as well as risk-hedging appetites of international investors embedded in local currency depreciation against the US Dollar. We develop a model capturing the internal and external determinants of sovereign risk premiums and test for the examined country groups. The results lead us to caution against premature fiscal consolidation in the aftermath of the global economic crisis, since such policy might actually worsen sovereign default risk. The model works well for the euro-periphery countries; it is less robust for the euro-candidates that upon a future euro adoption will have to pursue real economy growth oriented policies in order to mitigate a potential increase in sovereign default risk. |
| Keywords: | sovereign default risk; euro area; euro-candidate countries; public debt; liquidity risk; counter-party risk |
| JEL: | E43 E63 G13 |
| Date: | 2012–09–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41265&r=mac |
| By: | Bussière, M.; Ristiniemi, A. |
| Abstract: | This paper analyses the role of credit rating agencies in sovereign debt crises. Using a panel of 53 emerging and developing countries with annual data going back to 1977, the paper shows that credit ratings are not very good predictors of debt distress events once tested against a simple benchmark model with standard macroeconomic variables. Next, the paper turns to higher frequency data for a subset of countries to analyze the link between credit ratings and bond spreads. The results indicate that bond spreads react strongly to credit ratings, especially to downgrades in the non-investment grade category. The results are robust to a variety of additional tests. |
| Keywords: | Credit rating agencies, debt crises, fiscal policy, emerging market economies, developing countries, panel estimation. |
| JEL: | E60 C33 C35 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:bfr:banfra:396&r=mac |
| By: | Bonner, Clemens; Eijffinger, Sylvester C W |
| Abstract: | This paper analyses the impact of the Basel 3 Liquidity Coverage Ratio (LCR) on the unsecured interbank money market and therefore on the implementation of monetary policy. Combining two unique datasets, we show that banks which are just above/below their short-term regulatory liquidity requirement charge higher interest rates for unsecured interbank loans. The effect is larger for longer maturities and increases after the failure of Lehman Brothers. During a crisis, being close to the minimum liquidity requirement induces a negative impact on lending volumes. Given the high importance of a well-functioning interbank money market, our results suggest that the current design of the LCR is likely to dampen the effectiveness of monetary policy. |
| Keywords: | Basel 3; Interbank Market; Interest Rate |
| JEL: | E42 E43 G21 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:9124&r=mac |
| By: | Emmanuel Farhi; Iván Werning |
| Abstract: | We provide explicit solutions for government spending multipliers during a liquidity trap and within a fixed exchange regime using standard closed and open-economy models. We confirm the potential for large multipliers during liquidity traps. For a currency union, we show that self-financed multipliers are small, always below unity. However, outside transfers or windfalls can generate larger responses in out- put, whether or not they are spent by the government. Our solutions are relevant for local and national multipliers, providing insight into the economic mechanisms at work as well as the testable implications of these models. |
| JEL: | E52 E62 F41 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18381&r=mac |
| By: | Sanglim Lee (University of Connecticut) |
| Abstract: | It is well known that the uncovered interest parity condition does not hold empirically, implying that investments in high-interest rate currencies in foreign currency markets result in a positive expected excess return. Verdelhan (2010) successfully explains this phenomenon by referring to exogenous consumption processes and external habit formation. In this paper, I extend his model by using an international real business cycle model (Backus, Kehoe, and Kydland 1994) with internal habit formation. When the production-based stochastic discount factor is used, this benchmark model, driven by total factor productivity, accounts for this empirical evidence as well. JEL Classification: E32, E44, F31, F44 Key words: Currency Excess Return, Real Business Cycle, Forward Premium Puzzle |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:uct:uconnp:2012-16&r=mac |
| By: | Russell Cooper |
| Abstract: | This paper studies debt fragility. It provides conditions under which fundamentals and strategic uncertainty jointly determine the price of sovereign debt. Default arises in equilibrium both because of fundamental shocks and beliefs. The probability of default depends on borrowing rates and, in equilibrium, on the beliefs of lenders about this probability. This interaction creates a strategic complementarity and thus the basis for strategic uncertainty. The paper analyzes the role of debt guarantees as a means of sharing both fundamental and strategic uncertainty. It provides conditions for the credibility of those guarantees as well as ex post bailouts. The effects of debt purchases by a monetary authority are analyzed as well. |
| JEL: | E61 E63 F34 H87 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18377&r=mac |
| By: | Gary B. Gorton |
| Abstract: | Economic growth involves metamorphosis of the financial system. Forms of banks and bank money change. These changes, if not addressed, leave the banking system vulnerable to crisis. There is no greater challenge in economics than to understand and prevent financial crises. The financial crisis of 2007-2008 provides the opportunity to reassess our understanding of crises. All financial crises are at root bank runs, because bank debt—of all forms—is vulnerable to sudden exit by bank debt holders. The current crisis raises issues for crisis theory. And, empirically, studying crises is challenging because of small samples and incomplete data. |
| JEL: | E02 E3 E30 E32 E44 G01 G1 G2 G21 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18397&r=mac |
| By: | Enrique G. Mendoza; Marco E. Terrones |
| Abstract: | What are the stylized facts that characterize the dynamics of credit booms and the associated fluctuations in macro-economic aggregates? This paper answers this question by applying a method proposed in our earlier work for measuring and identifying credit booms to data for 61 emerging and industrial countries over the 1960-2010 period. We identify 70 credit boom events, half of them in each group of countries. Event analysis shows a systematic relationship between credit booms and a boom-bust cycle in production and absorption, asset prices, real exchange rates, capital inflows, and external deficits. Credit booms are synchronized internationally and show three striking similarities in industrial and emerging economies: (1) credit booms are similar in duration and magnitude, normalized by the cyclical variability of credit; (2) banking crises, currency crises or Sudden Stops often follow credit booms, and they do so at similar frequencies in industrial and emerging economies; and (3) credit booms often follow surges in capital inflows, TFP gains, and financial reforms, and are far more common with managed than flexible exchange rates. |
| JEL: | E32 E44 E51 G21 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18379&r=mac |
| By: | Vargas, Jose P Mauricio |
| Abstract: | The paper presents estimations of the informal economy size in Bolivia from an application of a Dynamic General Equilibrium Model. The parameter estimation is performed using maximum likelihood method to obtain, as an intermediate result, a latent variable estimation of the informal economy size. This procedure is new, as the estimate of the size of the informal economy using a dynamic structural model represents an alternative study area to latent variable models which assume relationships without a strong support in theory (MIMIC models). The results suggest that the size of the informal economy represents 60% of Bolivian GDP in 2010 and that the trend has been decreasing in the last decade. In addition, we simulated four alternative policies to reduce the size of the underground economy. Some of them allow to identify surprising response mechanisms which allows to analyze the flow of workers from the informal sector into the formal sector and vice versa. The research, besides quantifying the informal economy size, tries to provide a tool and methodology for evaluating alternative policy scenarios related to fiscal policy and labor mobility in a framework of an economy with a large informal sector and evasion. |
| Keywords: | Informal Economy; Kalman filter; Structural Model; Underground Economy |
| JEL: | E62 O43 C61 E26 |
| Date: | 2012–05–18 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41290&r=mac |
| By: | DE KONING, Kees |
| Abstract: | Both the United States and the United Kingdom publish data on the balance sheet of Households and Non-profit organisations. Eurostat is studying the issue. The time series provide a unique tool to assess whether collectively the individual households are getting richer or poorer. They allow to establish the collective profit and loss account for a country: Its Country Profit or Loss level. The P/L data are more relevant than economic growth data as they include incomes and asset values at the same time. The P/L result is the true reflection of the interaction between assets ( financial and non-financial) and incomes -consumption spending, tax transfers and savings-. All funding sources in a country are directly or indirectly provided by the collective of individual households (sometimes from overseas). The managers of these assets are risk managers on behalf of the households.Only in the case of a home, owned by the individual, is the individual the personal risk manager. Risk managers can make mistakes. When banks made mistakes -like in the subprime mortgage debacle- risks were spread around the world. The multiplier effect was more than 10 for the U.S. as the whole subprime market size was U.S.$1.2trillion and the 2008 U.S. Country Loss was $12.7trillion. The collective households' reactions to these losses were to start paying off home mortgages and consumer loans, rather than incurring more debt. The effect was a relative decline in consumption levels, which led to higher unemployement levels. The banking crisis simultaneously led to sharp increases in government debt due to bail-outs.The effect was also a capital flight to safety, to preserve the principal sum of savings. On basis of these balance sheet data and the derived P/L accounts, some policy recommendations were formulated in the paper:one of a preventative nature to avoid future crises; the others to stimulate economic growth through economic easing using pension fund savings to turn such savings partially into cash and back into savings later. Also a possible solution for avoiding capital flight has been included as such actions harm Country Profit making both in the capital exporting as well as the importing country. For countries like Spain and Italy use of the European Financial Stability Fund could be a solution. Finally capitalism no longer works if it cannot solve the excesses of unemployment as are happening in some Eurozone countries. |
| Keywords: | economic crisis; financial crisis; government debt crisis; capital flight; balance sheet of households and non-profit organisations; Country Profit and Loss; collective liquidity; quantitative easing; economic easing; capitalism; risk management |
| JEL: | E58 E44 E21 E61 |
| Date: | 2012–09–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41331&r=mac |
| By: | Daron Acemoglu; Alexander Wolitzky |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:cla:levarc:786969000000000502&r=mac |
| By: | Ignacio Hernando (Banco de España); Jimena Llopis (Banco de España); Javier Vallés (Banco de España) |
| Abstract: | Casi cuatro años después de la quiebra de Lehman Brothers, el tono de la política monetaria en gran parte de las economías avanzadas continúa siendo extraordinariamente laxo, con tipos de intervención próximos a cero y con numerosos estímulos no convencionales todavía en vigor. Este protagonismo de la política monetaria ha respondido tanto a la necesidad de restablecer el funcionamiento normal del mecanismo de transmisión de la política monetaria —contribuyendo a la recuperación de la estabilidad en distintos segmentos de los mercados financieros— como al objetivo de estimular las decisiones de gasto de los agentes económicos. En este contexto, el presente trabajo, tras resumir las medidas de política monetaria adoptadas en las principales economías avanzadas hasta configurar la situación actual de tipos cercanos a cero y vigencia de importantes estímulos extraordinarios, ofrece una reflexión sobre el papel de los distintos instrumentos de política económica a la luz de los resultados de la literatura académica y de las recientes tomas de posición sobre esta materia por parte de instituciones internacionales y autoridades nacionales. El trabajo concluye resumiendo las principales lecciones para la gestión de las políticas económicas que pueden extraerse de la crisis actual e identifica algunas cuestiones sobre las que todavía existe una cierta controversia |
| Keywords: | tipos de interés, política monetaria, políticas macroeconómicas, bancos centrales |
| JEL: | E40 E50 E60 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:bde:opaper:1207&r=mac |
| By: | C. Bora Durdu; Enrique G. Mendoza; Marco E. Terrones |
| Abstract: | We test the hypothesis that net foreign asset positions are consistent with external solvency and examine the dynamics of external adjustment using data for 50 countries over the 1970-2006 period. Our analysis adapts Bohn’s (2007) error-correction reaction function approach—which tests for a negative long-run relationship between net exports (NX) and net foreign assets (NFA) as a sufficiency condition for the intertemporal budget constraint to hold—to a dynamic panel framework. Pooled Mean Group and Mean Group error-correction estimation yield evidence of a statistically significant, negative response of NX to NFA. Moreover, we cannot reject the hypothesis that the response is largely homogeneous across countries. Our sensitivity analysis shows that the countries with relatively weaker fundamentals need to respond more strongly to the changes in NFA to keep their NFAs on a sustainable path. |
| JEL: | E66 F32 F41 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18380&r=mac |
| By: | Ashwin Clarke (Reserve Bank of Australia); Jennifer Hancock (Reserve Bank of Australia) |
| Abstract: | Real-time gross settlement (RTGS) systems often incorporate features designed to economise on liquidity. Such 'hybrid features' have the potential to mitigate the systemic impact of operational disruptions of participants. This paper simulates operational disruptions of participants, using data from Australia's RTGS system – the Reserve Bank Information and Transfer System (RITS) – to analyse the effect of these hybrid features on the systemic impact of such disruptions. The results suggest that the bilateral-offset algorithm and sub-limit feature in RITS generally mitigate the impact of a participant's operational disruption, even if there is less liquidity committed to the RTGS system. The hybrid features of the Australian RTGS system also mean that the size of the participant with the operational disruption has less effect on the systemic impact of that disruption than otherwise. While a central queue, in and of itself, would tend to mitigate the impact of a participant's operational disruption, methodological issues make it difficult to draw any conclusions regarding this hybrid feature in this paper. |
| Keywords: | large-value payment system; operational disruption; liquidity; simulation |
| JEL: | E42 E58 G21 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:rba:rbardp:rdp2012-05&r=mac |
| By: | Carlos Arango; Angelika Welte |
| Abstract: | The authors present the methodology and main findings of the Bank of Canada’s 2009 Methods-of-Payment survey, a detailed investigation of consumer payment behaviour in Canada. The survey targeted the 18- to 75-year-old Canadian resident population. During November 2009, participants answered a questionnaire about their demographics, personal finance, and payment instrument habits and perceptions. Of the 6,868 questionnaire respondents, about half also completed a 3-day shopping diary, recording close to 16,000 shopping transactions. The survey gives a detailed account of Canadians’ cash management habits and payment instrument choices and provides important clues into the reasons why Canadians pay the way they do. |
| Keywords: | Bank notes; Financial services; Payment; clearing; and settlement systems |
| JEL: | E4 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocadp:12-6&r=mac |
| By: | Tirole, Jean |
| Abstract: | The debate on the Euro crisis understandably has had a strong short term focus. Avoiding short‐term disaster has been tantamount and the long term sustainability issue sometimes neglected; yet, the institutional failure of the Eurozone forces us to reconsider current arrangements in order to restore credibility and sustainability. The article discusses various paths for the reform of the overall governance, from fiscal management to banking regulation, through the recent proposals to mutualize and repackage part of the Sovereign debts into a supranational one or to introduce joint‐and‐several liability. |
| JEL: | E62 F34 H63 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:ner:toulou:http://neeo.univ-tlse1.fr/3214/&r=mac |
| By: | Pashchenko, Svetlana; Porapakkarm, Ponpoje |
| Abstract: | Two key components of the upcoming health reform in the U.S. are a new regulation of the individual health insurance market and an increase in income redistribution in the economy. Which component contributes more to the welfare outcome of the reform? We address this question by constructing a general equilibrium life cycle model that incorporates both medical expenses and labor income risks. We replicate the key features of the current health insurance system in the U.S. and calibrate the model using the Medical Expenditures Panel Survey dataset. We find that the reform decreases the number of uninsured more than twice and generates substantial welfare gains. However, these welfare gains mostly come from the redistributive measures embedded in the reform. If the reform only reorganizes the individual market, introduces individual mandates but does not include any income-based transfers, the welfare gains are much smaller. This result is mostly driven by the fact that most uninsured people have low income. |
| Keywords: | health insurance; health reform; risk sharing; general equilibrium |
| JEL: | E65 D91 D52 E21 I10 |
| Date: | 2012–08–17 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41193&r=mac |
| By: | Stolbov, Mikhail |
| Abstract: | The paper is a survey of theoretical and empirical approaches applied to analyze the impact of financial system on economic growth. The key issues of the modern theories of the finance-growth nexus are discussed and the theories are classified on the basis of the methodology they rely on. The paper extends earlier overviews of the topic, tracking and seeking to explain an inherent logic of this research program, its evolution, and some issues not covered in other surveys such as the finance-growth nexus in resource rich economies. The challenges this research program is facing are also identified. -- |
| Keywords: | financial system,financial development,financial repression,economic growth |
| JEL: | E44 O11 O16 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwedp:201245&r=mac |
| By: | Harin, Alexander |
| Abstract: | В настоящей заметке, для удобства российских и русскоговорящих читателей, на русском языке кратко рассмотрено содержание книги "Введение в Суб-Интервальный Анализ и его Приложения" (в английском варианте – "Introduction to Sub-Interval Analysis and its Applications"). Книга представлена в открытом доступе в виде избранных глав "Введение в Суб-Интервальный Анализ и его Приложения (Избранные Главы)", в английском варианте – "Introduction to Sub-Interval Analysis and its Applications (Selected Chapters)". -- -- In this post, the contents of the book "Introduction to Sub-Interval Analysis and its Applications" are briefly reviewed in the Russian language for the convenience of Russian and Russian-speaking readers. |
| Keywords: | sub-interval analysis; mean value; moment; rupture; probability theory; utility theory; economics; modeling; |
| JEL: | E0 C9 D0 F0 A1 C02 C1 |
| Date: | 2012–09–15 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41361&r=mac |
| By: | Leon Berkelmans (Reserve Bank of Australia); Hao Wang (Reserve Bank of Australia) |
| Abstract: | This paper projects Chinese urban residential construction out to 2040. The paper argues that the extraordinary growth of recent years will not continue, but that construction will stabilise at a high level. This augurs well for steel demand, especially as steel intensity is expected to increase. These projections are subject to upside and downside risks, which are discussed. In addition, this paper argues that official figures understate the extent of urban residential construction. |
| Keywords: | China; residential construction |
| JEL: | E22 R31 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:rba:rbardp:rdp2012-04&r=mac |