|
on Macroeconomics |
|
Issue of 2012‒10‒06
twenty-six papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Susanto Basu; Brent Bundick |
| Abstract: | Can increased uncertainty about the future cause a contraction in output and its components? This paper examines the role of uncertainty shocks in a one-sector, representative-agent, dynamic, stochastic general-equilibrium model. When prices are flexible, uncertainty shocks are not capable of producing business-cycle comovements among key macroeconomic variables. With countercyclical 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 monetary policy can no longer perform its usual stabilizing function and higher uncertainty has even more negative effects on the economy. We calibrate the size of uncertainty shocks using fluctuations in the VIX and find that increased uncertainty about the future may indeed have played a significant role in worsening the Great Recession, which is consistent with statements by policymakers, economists, and the financial press. |
| JEL: | E32 E52 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18420&r=mac |
| By: | Stefan Reitz; Ulf. D. Slopek |
| Abstract: | Whereas microeconomic studies point to pronounced downward rigidity of nominal wages in the US economy, the standard Phillips curve neglects such a feature. Using a stochastic frontier model we find macroeconomic evidence of a strictly nonnegative error in an otherwise standard Phillips curve in post-war data on the US nonfinancial corporate sector. This error depends on growth in the profit ratio, output, and trend productivity, which should all determine the flexibility of wage adjustments. As the error usually surges during an economic downturn, the empirical model suggests that the downward pressure on inflation arising from higher unemployment in a standard Phillips curve framework is significantly cushioned. This might help to understand the robustness of inflation especially in the most recent past. In general, the cyclical dynamics of inflation appear to be more complex than captured by a conventional Phillips curve |
| Keywords: | Wage rigidities; inflation dynamics; stochastic frontier model |
| JEL: | E24 E32 E52 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:kie:kieliw:1795&r=mac |
| By: | Josheski, Dushko; Lazarov, Darko |
| Abstract: | In this paper we test New Keynesian propositions about inflation and unemployment trade off with the New Keynesian Phillips curve and the proposition of non-neutrality of money. The main conclusion is that there is limited evidence in line with the New-Keynesian theory. Money and growth are cointegrated series and that money growth influences the economics growth with one quarter lag. Cointegration means also that if the two series are cointegrated they have long run equilibrium. St.Louis model in the paper showed overall that increase in money growth leads to decrease in the economy growth. But the effect in the equation at three quarters lag is positive. The NAIRU rate in the unemployment inflation trade off model is almost similar as high to the actual unemployment. In the New Keynesian Phillips curve not surprisingly, there appears to be no statistically significant relationship between inflation and unemployment – even in the classical Philips curve and in adaptive expectations Philips curve by Modigliani-Papademos (1975). Or the Friedman-Phelps-Lucas expectations augmented one between the difference of actual and expected inflation rate and the gap between actual and the natural rate of unemployment presented in the next equation. -- |
| Keywords: | New-Keynesian Macroeconomics,NAIRU |
| JEL: | B22 B23 |
| Date: | 2012–09–25 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:64403&r=mac |
| By: | Chun Chang; Zheng Liu; Mark M. Spiegel |
| Abstract: | We examine optimal monetary policy under prevailing Chinese policy – including capital controls and nominal exchange rate targets – in a DSGE model calibrated to Chinese and global data. Under the closed capital account, domestic citizens are prohibited from holding foreign assets. Foreign currency revenues are sold to the central bank, which then sterilizes these purchases by issuing domestic debt. Uncovered interest parity conditions do not hold, so sterilization results in transfers between the private sector and the government. Given a negative shock to relative foreign interest rates, similar to that which occurred during the global financial crisis, sterilization costs increase and optimal policy calls for a reduction in sterilization activity, resulting in an easing of monetary policy and an increase in Chinese inflation. We then compare these dynamics to three alternative liberalizations: A partial opening of the capital account, removing the exchange rate peg, or doing both simultaneously. The regime with liberalized capital accounts and floating exchange rate yields the lowest losses to the central bank under the foreign interest rate shock. However, intermediate reforms do less well. In particular, letting the exchange rate float without opening the capital account results in higher losses following the interest rate shock than the benchmark case of no liberalization. |
| Keywords: | Monetary policy ; Foreign exchange ; China |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2012-13&r=mac |
| By: | Oliver Röhn; Rauf Gönenç; Vincent Koen; Ramazan Karaşahin |
| Abstract: | Effective macroeconomic and structural policies helped Turkey bounce back quickly and strongly from the global crisis, with annual growth averaging close to 9% over 2010-11. However, the current account deficit widened to around 10% of GDP in 2011 and consumer price inflation rose to over 10%. The external deficit, which is far too large for comfort, is a source of vulnerability. So is high inflation, even if it partly reflects transient factors. These imbalances signal competitiveness problems and a dearth of domestic saving. They need to be addressed using both macroeconomic and structural policy levers. Monetary policy has recently tried to reduce the volatility of capital flows but inflation has been high and volatile. The inflation target needs to be given greater prominence. The fiscal stance remains broadly appropriate but could be tighter, if warranted, to complement monetary restraint and help keep the real exchange rate on a sustainable path. More balanced growth through strengthened competitiveness and greater private saving calls inter alia for increased labour force participation, accelerated formalisation, stronger productivity growth, improvements in financial literacy and a more attractive menu of saving instruments. Improvements in the business environment would spur foreign direct investment, making for healthier funding of the external gap. This Working Paper relates to the 2012 OECD Economic Survey of Turkey (www.oecd.org/eco/surveys/turkey).<P>Corriger les déséquilibres macroéconomiques externes et internes en Turquie<BR>Des politiques macroéconomiques et structurelles efficaces ont permis à l’économie turque de sortir rapidement de la crise mondiale, avec une croissance annuelle moyenne proche de 9 % en 2010-11. Néanmoins, le déficit de la balance des opérations courantes s'est creusé pour atteindre près de 10 % du PIB en 2011, alors que la hausse des prix à la consommation a dépassé les 10 %. Le déficit extérieur constitue une source de vulnérabilité. Cela vaut également pour le taux d'inflation, même s'il est en partie imputable à des facteurs transitoires. Ces déséquilibres sont révélateurs de problèmes de compétitivité et d'une pénurie d'épargne intérieure. Il faut y remédier en s'appuyant à la fois sur les politiques macroéconomiques et structurelles. Les autorités monétaires se sont efforcées de réduire l’instabilité des flux de capitaux, mais l'inflation est restée élevée et fluctuante. Une plus grande importance doit être attachée à l'objectif d'inflation. L’orientation budgétaire reste à peu près satisfaisante, mais pourrait devoir être resserrée, au besoin, pour compléter la politique de restriction monétaire et contribuer au maintien du taux de change réel sur une trajectoire viable. Une croissance plus équilibrée reposant sur une compétitivité renforcée et une augmentation de l'épargne passe, entre autres, par une hausse du taux d'activité, la réduction de l'économie informelle, la croissance de la productivité, l'éducation financière et la mise en place d'une palette plus attrayante d'instruments d'épargne. Une amélioration de l'environnement des entreprises stimulerait l'investissement direct étranger, ce qui permettrait une couverture plus saine des besoins de financement extérieur. Ce Document de travail se rapporte à l’Étude économique de l’OCDE de la Turquie, 2012 (www.oecd.org/eco/surveys/turkey). |
| Keywords: | fiscal policy, monetary policy, competitiveness, Turkey, current account, saving, financial market policy, politique budgétaire, politique monétaire, compétitivité, Turquie, épargne, politique des marchés financiers |
| JEL: | E2 E3 E44 E52 E62 F32 F41 G18 O11 O52 |
| Date: | 2012–09–13 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:986-en&r=mac |
| By: | D'Amico, Stefania; English, William; López-Salido, J David; Nelson, Edward |
| Abstract: | We provide empirical estimates of the effect of large-scale asset purchase (LSAP)-style operations on longer-term U.S. Treasury yields within a framework that nests the alternative theoretical perspectives on LSAPs. As the principal channels through which LSAPs migh tmatter for longer-term interest rates, we concentrate on (i) the scarcity (available local supply) channel associated with the traditional preferred habitat literature, and (ii) the duration channel associated with the general notion of interest rate risk. Wealso clarify LSAPs’ role in the broader context of monetary policy strategy, bringing out the connections between purchases of longer-term assets and historical Federal Reserve policy approaches. Our results indicate that the impact of LSAP-style operations on longer-term interest rates is mainly felt on the nominal term-premium component; moreover, within the nominal term premium, it is the real term premium that experiences the greatest response. The estimates suggest that the scarcity and duration channels have both been of considerable importance for the transmission of purchases to longer-term Treasury yields. Finally, by isolating the degree to which scarcity and duration impinge on term premiums, our estimates indicate the direction in which macroeconomic models should develop in order to encompass the transmission channels associated with LSAPs. |
| Keywords: | CUSIP-level data; history of unconventional monetary policy; large-scale asset purchases; monetary transmission mechanism |
| JEL: | E52 E58 G12 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:9145&r=mac |
| By: | Görtz, Christoph; Tsoukalas, John D. |
| Abstract: | We estimate a two-sector DSGE model with financial intermediaries—a-la Gertler and Karadi (2011) and Gertler and Kiyotaki (2010)—and quantify the importance of news shocks in accounting for aggregate and sectoral fluctuations. Our results indicate a significant role of financial market news as a predictive force behind fluctuations. Specifically, news about the value of assets held by financial intermediaries, reflected one to two years in advance in corporate bond markets, generate countercyclical corporate bond spreads, affect the supply of credit, and are estimated to be a significant source of aggregate fluctuations, accounting for approximately 31% of output, 22% of investment and 31% of hours worked variation in cyclical frequencies. Importantly, asset value news shocks generate both aggregate and sectoral co-movement with a standard preference specification. Financial intermediation is key for the importance and propagation of asset value news shocks. |
| Keywords: | news; financial intermediation; business cycles; DSGE; Bayesian estimation |
| JEL: | E2 E3 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpm:dynare:012&r=mac |
| By: | Athanasios Geromichalos; Lucas Herrenbrueck (Department of Economics, University of California Davis) |
| Abstract: | We revisit a traditional topic in monetary economics: the relationship between asset prices and monetary policy. We study a model in which money helps facilitate trade in decentralized markets, as in Lagos andWright (2005), and real assets are traded in an over-the-counter (OTC) market, as in Duffie, Gˆarleanu, and Pedersen (2005). Agents wish to hold liquid portfolios, but liquidity comes at a cost: inflation. The OTC market serves as a secondary asset market, in which agents can rebalance their positions depending on their liquidity needs. Hence, a contribution of our paper is to provide a micro-founded explanation of the assumption that different investors have different valuations for the same asset, which is the key for generating gains from trade in the Duffie et al framework. In equilibrium, assets can be priced higher than their fundamental value because they help agents avoid the inflation tax. |
| Keywords: | monetary-search models, liquidity, asset prices, over-the-counter markets |
| JEL: | E31 E50 E52 G12 |
| Date: | 2012–09–25 |
| URL: | http://d.repec.org/n?u=RePEc:cda:wpaper:12-20&r=mac |
| By: | Yi Wen |
| Abstract: | This paper develops an analytically tractable Bewley model of money featuring capital and financial intermediation. It is shown that when money is a vital form of liquidity to meet uncertain consumption needs, the welfare costs of inflation can be extremely large. With log utility and parameter values that best match both the aggregate money demand curve suggested by Lucas (2000) and the variance of household consumption, agents in our model are willing to reduce consumption by 7% ~ 10% (or more) to avoid 10% annual inflation. In other words, raising the U.S. inflation target from 2% to 3% amounts to roughly a 0:5 percentage reduction in aggregate consumption. The astonishingly large welfare costs of inflation arise because inflation tightens liquidity constraints by destroying the buffer-stock value of money, thus raising the volatility of consumption at the household level. Such an inflation-induced increase in the idiosyncratic consumption-volatility at the micro level cannot be captured by representative- agent models or the Bailey triangle. Although the development of a credit and banking system can reduce the welfare costs of inflation by alleviating liquidity constraints, with realistic credit limits the cost of moderate inflation still remains several times larger than estimations based on the Bailey triangle. Our finding not only provides a justification for adopting a low inflation target by central banks, but also offers a plausible explanation for the robust positive relationship between inflation and social unrest in developing countries where money is the major form of household financial wealth. |
| Keywords: | Liquidity (Economics) ; Welfare |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2012-037&r=mac |
| By: | Roger E.A. Farmer |
| Abstract: | This paper is about the effectiveness of qualitative easing; a government policy that is designed to mitigate risk through central bank purchases of privately held risky assets and their replacement by government debt, with a return that is guaranteed by the taxpayer. Policies of this kind have recently been carried out by national central banks, backed by implicit guarantees from national treasuries. I construct a general equilibrium model where agents have rational expectations and there is a complete set of financial securities, but where agents are unable to participate in financial markets that open before they are born. I show that a change in the asset composition of the central bank’s balance sheet will change equilibrium asset prices. Further, I prove that a policy in which the central bank stabilizes fluctuations in the stock market is Pareto improving and is costless to implement. |
| JEL: | E0 E5 E52 E62 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18421&r=mac |
| By: | Fabio C. Bagliano (Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, Italy); Claudio Morana (Department of Economics, University of Milan-Bicocca) |
| Abstract: | The recent financial crisis has highlighted the fragility of the US (and other countries') financial system under several respects. In this paper, the properties of a summary index of financial fragility, obtained by combining information conveyed by the "Agency", "Ted" and "BAA-AAA" spreads, timely capturing changes in credit and liquidity risk, distress in the mortgage market, and corporate default risk, are investigated over the 1986-2010 period. The empirical results show that observed fluctuations in the financial fragility index can be attributed to identified (global and domestic) macroeconomic (20%) and financial disturbances (40% to 50%), over both short- and long-term horizons, as well as to oil-supply shocks in the long-term (25%). The investigation of specific episodes of financial distress, occurred in 1987, 1998 and 2000, and, more recently, over the 2007-2009 period, shows that sizable fluctuations in the index are largely determined by financial shocks, while macroeconomic disturbances have generally had a stabilizing effect. |
| Keywords: | financial fragility, US, macro-?nance interface, international business cycle, factor vector autoregressive models, ?financial crisis, Great Recession |
| JEL: | C22 E32 G12 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:tur:wpapnw:11&r=mac |
| By: | Gagnon, Etienne; López-Salido, J David; Vincent, Nicolas |
| Abstract: | Firms employ a rich variety of pricing strategies whose implications for aggregate price dynamics often diverge. This situation poses a challenge for macroeconomists interested in bridging micro and macro price stickiness. In responding to this challenge, we note that differences in macro price stickiness across pricing mechanisms can often be traced back to price changes that are either triggered or cancelled by shocks. We exploit observed micro price behavior to quantify the importance of this margin of adjustment for the response of inflation to shocks. Across a range of empirical exercises, we find strong evidence that changes in the timing of price adjustments contribute significantly to the flexibility of the aggregate price level. |
| Keywords: | extensive margin; inflation; intensive margin |
| JEL: | E31 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:9143&r=mac |
| By: | Mueller, Andreas I. (Columbia University) |
| Abstract: | This paper establishes a new fact about the compositional changes in the pool of unemployed over the U.S. business cycle and evaluates a number of theories that can potentially explain it. Using micro-data from the Current Population Survey for the years 1962-2011, it documents that in recessions the pool of unemployed shifts towards workers with high wages in their previous job. Moreover, it shows that these changes in the composition of the unemployed are mainly due to the higher cyclicality of separations for high-wage workers, and not driven by differences in the cyclicality of job-finding rates. A search-matching model with endogenous separations and worker heterogeneity in terms of ability has difficulty in explaining these patterns, but an extension of the model with credit-constraint shocks does much better in accounting for the new facts. |
| Keywords: | sorting, unemployment, business cycles, search-matching, vacancies |
| JEL: | E24 E32 J63 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp6849&r=mac |
| By: | Escudé, Guillermo J. |
| Abstract: | This paper builds a DSGE model for a SOE in which the central bank systematically intervenes both the domestic currency bond and the FX markets using two policy rules: a Taylor-type rule and a second rule in which the operational target is the rate of nominal currency depreciation. For this, the instruments used by the central bank (bonds and international reserves) must be included in the model, as well as the institutional arrangements that determine the total amount of resources the central bank can use. The ‘corner’ regimes in which only one of the policy rules is used are particular cases of the model. The model is calibrated and implemented in Dynare for 1) simple policy rules, 2) optimal simple policy rules, and 3) optimal policy under commitment. Numerical losses are obtained for ad-hoc loss functions for di¤erent sets of central bank preferences (styles). The results show that the losses are systematically lower when both policy rules are used simultaneously, and much lower for the usual preferences (in which only inflation and/or output stabilization matter). It is shown that this result is basically due to the central bank’ enhanced ability, when it uses the two policy rules, to influence capital flows through the effects of its actions on the endogenous risk premium in the (risk-adjusted) interest parity equation. |
| Keywords: | DSGE models; small open economy; exchange rate policy; optimal policy |
| JEL: | E58 F41 O24 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpm:dynare:015&r=mac |
| By: | Charpe, Matthieu; Kühn, Stefan |
| Abstract: | This paper depicts the negative impact of a falling real wage caused by reduced bargaining power of workers on aggregate demand and employment. Contrary to standard New Keynesian models, the presence of consumers not participating in financial markets (rule of thumb consumers) causes an immediate negative response of output and employment, which is amplified when the economy faces a lower bound on the nominal interest rate. Additionally, the paper shows that by supporting consumption demand, minimum wages might enhance output and employment. |
| Keywords: | real wage; search and matching; aggregate demand; household heterogeneity |
| JEL: | E21 E24 E32 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpm:dynare:013&r=mac |
| By: | Daniel L. Thornton |
| Abstract: | In February 2005 Federal Reserve Chairman Alan Greenspan noticed that the 10-year Treasury yields failed to increase despite a 150-basis-point increase in the federal funds rate as a “conundrum.” This paper shows that the connection between the 10-year yield and the federal funds rate was severed in the late 1980s, well in advance of Greenspan’s observation. The paper hypothesize that the change occurred because the Federal Open Market Committee switched from using the federal funds rate as an operating instrument to using it to implement monetary policy and presents evidence from a variety of sources supporting the hypothesis. The analysis has implications for central banks’ interest rate policies. |
| Keywords: | Federal funds rate ; Greenspan, Alan |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2012-036&r=mac |
| By: | Brent Meyer; Guhan Venkatu |
| Abstract: | This paper reinvestigates the performance of trimmed-mean inflation measures some 20 years since their inception, asking whether there is a particular trimmed mean measure that dominates the median CPI. Unlike previous research, we evaluate the performance of symmetric and asymmetric trimmed-means using a well-known equality of prediction test. We fi nd that there is a large swath of trimmed-means that have statistically indistinguishable performance. Also, while the swath of statistically similar trims changes slightly over different sample periods, it always includes the median CPI—an extreme trim that holds conceptual and computational advantages. We conclude with a simple forecasting exercise that highlights the advantage of the median CPI relative to other standard inflation measures. |
| Keywords: | Inflation (Finance) ; Consumer price indexes |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwp:1217&r=mac |
| By: | William R. White |
| Abstract: | In this paper, an attempt is made to evaluate the desirability of ultra easy monetary policy by weighing up the balance of the desirable short run effects and the undesirable longer run effects—the unintended consequences. The conclusion is that there are limits to what central banks can do. One reason for believing this is that monetary stimulus, operating through traditional ("flow") channels, might now be less effective in stimulating aggregate demand than previously. Further, cumulative ("stock") effects provide negative feedback mechanisms that over time also weaken both supply and demand. It is also the case that ultra easy monetary policies can eventually threaten the health of financial institutions and the functioning of financial markets, threaten the "independence" of central banks, and can encourage imprudent behavior on the part of governments. None of these unintended consequences is desirable. Since monetary policy is not "a free lunch," governments must therefore use much more vigorously the policy levers they still control to support strong, sustainable and balanced growth at the global level. |
| Keywords: | Banks and banking, Central |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddgw:126&r=mac |
| By: | Jess Benhabib; Pengfei Wang; Yi Wen |
| Abstract: | We formalize the Keynesian insight that aggregate demand driven by sentiments can generate output fluctuations under rational expectations. When production decisions must be made un- der imperfect information about aggregate demand, optimal decisions based on sentiments can generate stochastic self-fulfilling rational expectations equilibria in standard economies without aggregate shocks, externalities, persistent informational frictions, or even any strategic comple- mentarity. Our general equilibrium model is deliberately simple, but could serve as a benchmark for more complicated equilibrium models with additional features. |
| Keywords: | Keynesian economics ; Equilibrium (Economics) |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2012-039&r=mac |
| By: | Michele Fratianni (Indiana University, Kelly School of Business, Bloomington US, Univ. Plitecnica Marche and MoFiR) |
| Abstract: | This Special Issue of Rivista Italiana degli Economisti celebrates the 150th anniversary of Italy's political unity. Since 1861, Italy has evolved from a poor, backward and agrarian economy to a rich and industrial economy; has gone though bouts of economic insularity and integration; has swung from massive emigration to large immigration has experienced an inflation rate much higher than that of the reference industrial countries; has accumulated a debilitating public debt; and has blessed the demise of the lira to embrace a new currency, the euro, which now is under threat of imploding. Amidst all these changes, two features have endured: political unity and a deep economic divide between the North and the South. |
| Keywords: | debt, economic dualism, economic growth, inflation |
| JEL: | E31 N13 N14 O40 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:anc:wmofir:73&r=mac |
| By: | Casey B. Mulligan |
| Abstract: | This paper calculates monthly time series for the overall safety net’s statutory marginal labor income tax rate as a function of skill and marital status. Marginal tax rates increased significantly for all groups between 2007 and 2009, and dramatically so for unmarried household heads. The relationship between incentive changes and skill varies by marital status. Unemployment insurance and related expansions contribute to the patterns by skill while food stamp expansions contribute to the patterns by marital status. Remarkably, group changes in hours worked per capita line up with the statutory measures of incentive changes. |
| JEL: | E24 H31 I38 J22 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18426&r=mac |
| By: | Herrera , Pablo Matías; Masci, Martín Ezequiel |
| Abstract: | The term “macroprudential” is usually used in different ways. Sometimes it refers to macroprudential analysis, others to macro-prudential oversight and it also speaks of macroprudential regulation. In this paper, taking into account these concepts, an analysis of what is meant by macroprudential authority, how should it be implemented and should have powers to ensure the stability of the entire financial system is going to be done. Referring to the local economy, the Charter Reform of the Central Bank of Argentina has entered into force. In regard to financial regulation, within the reform, and unlike it was in force since 1992, it aims to not only to monitor, but to implement regulations on the local financial system to avoid the frequent abuses by various entities . To perform the analysis of the implementation of a macroprudential authority in Argentina, it is going to be considered the evolution of a particular sector of the real economy, namely tourism. Finally, a measure of this economic sector, that should to detect potential problems in the financial system, is proposed. |
| Keywords: | Macroprudential Regulation; Macroprudential Authority; Charter Reform |
| JEL: | E02 C82 E58 C81 |
| Date: | 2012–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41591&r=mac |
| By: | Ugo Albertazzi (Banca d'Italia); Tiziano Ropele (Banca d'Italia); Gabriele Sene (Banca d'Italia); Federico M. Signoretti (Banca d'Italia) |
| Abstract: | We assess the effects of the sovereign debt crisis on Italian banksÂ’ activity using aggregate data on funding and loan rates, lending quantities and income statements for the period 1991-2011. We augment standard reduced-form equations for the variables of interest with the spread on 10-year sovereign bonds as an additional explanatory variable. We find that, even when controlling for the standard economic variables that influence bank activity, a rise in the spread is followed by an increase in the cost of wholesale and of certain forms of retail funding for banks and in the cost of credit to firms and households; the impact tends to be larger during periods of financial turmoil. An increase in the spread also has a direct negative effect on lending growth, beyond that implied by the rise in lending rates. Finally, we document a negative impact of the spread on banksÂ’ profitability, stronger for larger intermediaries. |
| Keywords: | sovereign spread, bank loan rates, bank lending |
| JEL: | E44 E51 G21 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:opques:qef_133_12&r=mac |
| By: | Aurelio Bruzzo; Fabio Mantovani |
| Abstract: | The main International Financial Institutions and the systemic crisis in Europe: from Greece to Italy? This study is divided into two main parts: in the first part we present an overview as comprehensive as possible and updated of financial institutions that operate in the world and in Europe, while, the second part, describes the way in which they have intervened to try to resolve the serious economic and financial crisis exploded recently in Greece. In this way, we try to help formulate an initial assessment of the effectiveness demonstrated by the agencies instructed to avert a default of the Greek economy, avoiding in this way the possible and feared propagation of the crisis to other countries belonging to European Monetary Union, for example Italy and Spain. |
| Keywords: | International financial institutions; European systemic crisis |
| JEL: | E42 E50 E60 F33 F36 F42 F53 |
| Date: | 2012–06–30 |
| URL: | http://d.repec.org/n?u=RePEc:udf:wpaper:201211&r=mac |
| By: | Moayedi, Vafa |
| Abstract: | By employing a parsimonious econometric approach, based on an ARIMA model, this study detects significant Islamic calendar effects on U.S. meat consumption. This surprising finding strengthens the assumption that the size of the Muslim community is considerably larger than assumed by U.S. authorities and NGOs. This study fills a gap in the existing literature which has not addressed this issue with such an approach before. Furthermore, this study suggests considering Islamic festivities for the seasonal adjustment of U.S. time series data. |
| Keywords: | ARIMA; Calendar Effects; Islamic Festivities; Muslims; Seasonal Adjustment |
| JEL: | E27 C22 |
| Date: | 2012–03–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:41554&r=mac |
| By: | Andersen, Torben M; Bhattacharya, Joydeep |
| Abstract: | In this paper, we assume away standard distributional and static-efficiency arguments for public health, and instead, seek a dynamic efficiency rationale. We study a lifecycle model wherein young agents make health investments to reduce mortality risk. We identify a welfare rationale for public health under dynamic efficiency and exogenous mortalityeven when private and public investments are perfect substitutes. If health investment reduces mortality risk but individuals do not internalize its effect on the life-annuity interest rate, the Philipson-Becker effect emerges; when the young are net borrowers, it works together with dynamic efficiency to support a role for public health. |
| Keywords: | public health; moral hazard; overlapping generations; mortality risk |
| JEL: | E21 H3 I18 |
| Date: | 2012–09–24 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:35503&r=mac |