nep-mac New Economics Papers
on Macroeconomics
Issue of 2015‒06‒13
ninety-two papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Business Management

  1. Self-Fulfilling Debt Crises: Can Monetary Policy Really Help? By Philippe Bacchetta; Elena Perazzi; Eric van Wincoop
  2. "Inside Money in a Kaldor-Kalecki-Steindl Fiscal Policy Model: The Unit of Account, Inflation, Leverage, and Financial Fragility" By Greg Hannsgen; Tai Young-Taft
  3. Income redistribution, consumer credit, and keeping up with the riches By Klein, Mathias; Krause, Christopher
  4. The natural yield curve: its concept and measurement By Kei Imakubo; Haruki Kojima; Jouchi Nakajima
  5. Natural Experiments in Macroeconomics By Nicola Fuchs-Schuendeln; Tarek Alexander Hassan
  6. Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security By Daniel Harenberg; Ludwig, Alexander
  7. Communication about future policy rates in theory and practice: A Survey By Richhild Moessner; David-Jan Jansen; Jakob de Haan
  8. Labor market reforms and current account imbalances: Beggar-thy-neighbor policies in a currency union? By Baas, Timo; Belke, Ansgar
  9. Real or nominal shock – which one does more to destabilize developing economies? The case of money velocity in Kazakhstan By Murat Alikhanov; Leon Taylor
  10. A Small Model for Output Gap and Potential Growth Estimation. An Application to Bulgaria By Kaloyan Ganev
  11. Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero By Jinill Kim; Seth Pruitt
  12. Deflation expectations and Japan's lost decade By Roberto Piazza
  13. Every cloud has a silver lining. The sovereign crisis and Italian potential output By Andrea Gerali; Alberto Locarno; Alessandro Notarpietro; Massimiliano Pisani
  14. Money Multiplier under Reserve Option Mechanism By Akturk, Halit; Gocen, Hasan; Duran, Suleyman
  15. Does the central bank respond to credit market factors? A Bayesian DSGE approach By Paul Kitney
  16. Macroprudential policies: a discussion of the main issues By Paolo Angelini
  17. How Important Are Terms Of Trade Shocks? By Stephanie Schmitt-Grohé; Martín Uribe
  18. Financial Flows and the International Monetary System By Passari, Evgenia; Rey, Hélène
  19. Reviving the Limit Cycle View of Macroeconomic Fluctuations By Beaudry, Paul; Galizia, Dana; Portier, Franck
  20. Fiscal Consolidation and Economic Growth: A Case Study of Pakistan By Ahmed Waqar Qasim; M. Ali Kemal; Omer Siddique
  21. Optimal Level of Government Debt: Matching Wealth Inequality and the Fiscal Sector By Vogel, Edgar
  22. Reviving the Limit Cycle View of Macroeconomic Fluctuations By Paul Beaudry; Dana Galizia; Franck Portier
  23. US Health and Aggregate Fluctuations By Aleksandar Vasilev
  24. Monetary dialogue 2009-2014: Looking backward, looking forward By Belke, Ansgar
  25. Time-Varying Trend Inflation and the New Keynesian Phillips Curve in Australia By Lie, Denny; Yadav, Anirudh S.
  26. Crowdsourcing of economic forecast: Combination of forecasts using Bayesian model averaging By Kim, Dongkoo; Rhee, Tae-hwan; Ryu, Keunkwan; Shin, Changmock
  27. Why does financial sector growth crowd out real economic growth? By Cecchetti, Stephen G; Kharroubi, Enisse
  28. Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk By Harenberg, Daniel; Ludwig, Alexander
  29. Household Risk Management and Actual Mortgage Choice in the Euro Area By Ehrmann, Michael; Ziegelmeyer, Michael
  30. Budgetary rigour with stimulus in lean times: Policy advices from an agent-based model By Andrea Teglio; Andrea Mazzocchetti; Linda Ponta; Marco Raberto; Silvano Cincotti
  31. Cyclical Reallocation of Workers Across Employers by Firm Size and Firm Wage By John Haltiwanger; Henry Hyatt; Erika McEntarfer
  32. Trends and Cycles in China's Macroeconomy By Chun Chang; Kaiji Chen; Daniel F. Waggoner; Tao Zha
  33. Weather, the forgotten factor in business cycle analyses By Döhrn, Roland; an de Meulen, Philipp
  34. A Macroeconomic Framework for Quantifying Systemic Risk By He, Zhiguo; Krishnamurthy, Arvind
  35. Sacrifice ratios for euro area countries: New evidence on the costs of price stability By Belke, Ansgar; Böing, Tobias
  36. State-of-play in implementing macroeconomic adjustment programmes in the euro area: Short version By Gros, Daniel; Alcidi, Cinzia; Belke, Ansgar; Coutinho, Leonor; Giovannini, Alessandro
  37. Exit strategies and their impact on the Euro area: A model based view By Belke, Ansgar
  38. Directed Technical Change and Capital Deepening: A Reconsideration of Kaldor’s Technical Progress Function By Schlicht, Ekkehart
  39. Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets By Imane El Ouadghiri; Remzi Uctum
  40. "Colonial New Jersey’s Provincial Fiscal Structure, 1709-1775: Spending Obligations, Revenue Sources, and Tax Burdens in War and in Peace" By Farley Grubb
  41. Identifying interbank loans, rates, and claims networks from transactional data By León, C.; Cely, Jorge; Cadena, Carlos
  42. Are Ethical and Social Banks Less Risky? Evidence from a New Dataset By Marlene Karl
  43. Overcoming the Forecast Combination Puzzle: Lessons from the Time-Varying Effciency of Phillips Curve Forecasts of U.S. Inflation By Christopher G. Gibbs
  44. Household wealth in the euro area: The importance of intergenerational transfers, homeownership and house price dynamics By Mathä, Thomas Y.; Porpiglia, Alessandro; Ziegelmeyer, Michael
  45. Asymmetric Perceptions of the Economy: Media, Firms, Consumers, and Experts By Konstantin Kholodilin; Christian Kolmer; Tobias Thomas; Dirk Ulbricht
  46. Aging and Pension Reform: Extending the Retirement Age and Human Capital Formation By Vogel, Edgar; Ludwig, Alexander; Börsch-Supan, Axel
  47. Generalized Statistical Means and New Price Index Formulas, Notes on some unexplored index formulas, their interpretations and generalizations By von der Lippe, Peter
  48. Comments on "Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve" By Gumbau-Brisa, Fabiá; Lie, Denny; Olivei, Giovanni P.
  49. The role of central banks in supporting economic growth and creation of productive employment : the case of Pakistan By Sayeed, Asad; Abbasi, Zubair Faisal
  50. Business cycles accounting for Paraguay By Koehler-Geib,Fritzi; Hnatkovska,Viktoria
  51. Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods By Ludwig, Alexander; Schön, Matthias
  52. Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation By Laurent Callot; Johannes Tang Kristensen
  53. Changing prices ... changing times: evidence for Italy By Silvia Fabiani; Mario Porqueddu
  54. Las tensiones actuales de la economía argentina como resultado de la evolución de los determinantes estructurales de su ciclo económico By Damián Kennedy
  55. Smets-Wouters '03 model revisited - an implementation in gEcon By Klima, Grzegorz; Podemski, Karol; Retkiewicz-Wijtiwiak, Kaja; Sowińska, Anna E.
  56. Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation By Laurent Callot; Johannes Tang Kristensen
  57. Declining Desire to Work and Downward Trends in Unemployment and Participation By Regis Barnichon; Andrew Figura
  58. The role of targeted predictors for nowcasting GDP with bridge models: Application to the Euro area By Kitlinski, Tobias; an de Meulen, Philipp
  60. Regulatory influence on market conditions in the banking union: The cases of macro-prudential instruments and the bail-in tool By Tröger, Tobias H.
  61. Labour market dynamics and worker heterogeneity during the Great Recession: Evidence from Europe By Bachmann, Ronald; Bechara, Peggy; Kramer, Anica; Rzepka, Sylvi
  62. The role of education and household composition for transitory and permanent income inequality: Evidence from PSID data By Ludwig, Johannes
  63. Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates By Fuchun Li
  64. Heterogeneidad de los Índices de Producción Sectoriales de la Industria Colombiana By Davinson Stev Abril Salcedo; Luis Fernando Melo Velandia; Daniel Parra Amado
  65. Escaping stagnation and restoring shared prosperity : a macroeconomic policy framework for job-rich growth By Palley, Thomas
  66. Banking union as a shock absorber By Belke, Ansgar; Gros, Daniel
  67. Measuring sovereign contagion in Europe By Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto
  68. Pacific Private Sector Development Initiative Progress Report 2013-2014 By Asian Development Bank (ADB); Asian Development Bank (ADB); Asian Development Bank (ADB); Asian Development Bank (ADB)
  69. How Large is the Stock Component of Human Capital? By Mark Huggett; Greg Kaplan
  70. The demand for euro banknotes in Germany: Structural modelling and forecasting By Bartzsch, Nikolaus; Seitz, Franz; Setzer, Ralph
  71. The Financial Background of the European Deposit Guarantee Schemes and the Resolution Mechanism By Tóth, József
  72. Income shocks or insurance: What determines consumption inequality? By Ludwig, Johannes
  73. The Labor Wedge and Business Cycle in Chile By David Coble; Sebastián Faúndez
  74. Bangladesh Quarterly Economic Update September 2014 By Asian Development Bank (ADB); Asian Development Bank (ADB); Asian Development Bank (ADB); Asian Development Bank (ADB)
  75. Estimating the Impacts of Program Benefits: Using Instrumental Variables with Underreported and Imputed Data By Melvin Stephens, Jr.; Takashi Unayama
  76. The U.S. Dollar and Global Imbalances By Liu, Kai; Zhou, Xuan
  77. The robustness of the effects of public investment in infrastructure on private output: Evidence for Germany By Kitlinski, Tobias
  78. With or without you: Do financial data help to forecast industrial production? By Kitlinski, Tobias
  79. Discovering and disentangling effects of US macro-announcements in European stock markets By Rühl, Tobias R.; Stein, Michael
  80. Dinamica cheltuielilor guvernamentale în functie de ciclurile electorale – Cazul României (International Conference “EUROPEAN PERSPECTIVE OF LABOR MARKET - INOVATION, EXPERTNESS, PERFORMANCE”) By Daniel Belingher
  82. A Ricardian Model of Forestry By Silvia Faggian; Giuseppe Freni
  83. Leading indicators of financial stress: New evidence By Borek Vašícek; Diana Žigraiová; Marco Hoeberichts; Robert Vermeulen; Katerina Šmídková; Jakob de Haan
  84. La distribución del ingreso. Un enfoque alternativo By Eduardo Antonelli
  85. Going where the money is: strategies for taxing economic elites in unequal democracies By Tasha Fairfield
  86. Measuring economic uncertainty using news-media textual data By Peter, Eckley
  87. Securities Transactions Taxes and Financial Crises By Benoît Carmichael; Jean Armand Gnagne; Kevin Moran
  88. Australia’s renewable energy policy: the case for intervention By Byrnes, Liam; Brown, Colin
  89. The most unkindest cuts: speaker selection and expressed government dissent during economic crisis By Alexander Herzog; Kenneth Benoit
  90. A Statistical Analysis on Production of Chili and Its' Prospect in Bangladesh By Hossen, Sayed Mohibul
  91. Do Seemingly Smarter Consumers Get Better Advice? By Bucher-Koenen, Tabea; Koenen, Johannes
  92. Harmonising Hayek and Posner: revisiting Posner, Hayek & the economic analysis of Law By Ojo, Marianne

  1. By: Philippe Bacchetta; Elena Perazzi; Eric van Wincoop
    Abstract: This paper examines quantitatively the potential for monetary policy to avoid self-fullling sovereign debt crises. We combine a version of the slow-moving debt crisis model proposed by Lorenzoni and Werning (2014) with a standard New Keynesian model. We consider both conventional and unconventional monetary policy. Under conventional policy the central bank can preclude a debt crisis through inflation, lowering the real interest rate and raising output. These reduce the real value of the outstanding debt and the cost of new borrowing, and increase tax revenues and seigniorage. Unconventional policies take the form of liquidity support or debt buyback policies that raise the monetary base beyond the satiation level. We find that generally the central bank cannot credibly avoid a self-fulfilling debt crisis. Conventional policies needed to avert a crisis require excessive inflation for a sustained period of time. Unconventional monetary policy can only be effective when the economy is at a structural ZLB for a sustained length of time.
    Keywords: Monetary Policy; Sovereign Debt; Self-fulfilling Crises
    JEL: E52 E60 E63
    Date: 2015–06
  2. By: Greg Hannsgen; Tai Young-Taft
    Abstract: We hope to model financial fragility and money in a way that captures much of what is crucial in Hyman Minsky's financial fragility hypothesis. This approach to modeling Minsky may be unique in the formal Minskyan literature. Namely, we adopt a model in which a psychological variable we call financial prudence (P) declines over time following a financial crash, driving a cyclical buildup of leverage in household balance sheets. High leverage or a low safe-asset ratio in turn induces high financial fragility (FF). In turn, the pathways of FF and capacity utilization (u) determine the probabilistic risk of a crash in any time interval. When they occur, these crashes entail discrete downward jumps in stock prices and financial sector assets and liabilities. To the endogenous government liabilities in Hannsgen (2014), we add common stock and bank loans and deposits. In two alternative versions of the wage-price module in the model (wage-Phillips curve and chartalist, respectively), the rate of wage inflation depends on either unemployment or the wage-setting policies of the government sector. At any given time t, goods prices also depend on endogenous markup and labor productivity variables. Goods inflation affects aggregate demand through its impact on the value of assets and debts. Bank rates depend on an endogenous markup of their own. Furthermore, in light of the limited carbon budget of humankind over a 50-year horizon, goods production in this model consumes fossil fuels and generates greenhouse gases. The government produces at a rate given by a reaction function that pulls government activity toward levels prescribed by a fiscal policy rule. Subcategories of government spending affect the pace of technical progress and prudence in lending practices. The intended ultimate purpose of the model is to examine the effects of fiscal policy reaction functions, including one with dual unemployment rate and public production targets, testing their effects on numerically computed solution pathways. Analytical results in the penultimate section show that (1) the model has no equilibrium (steady state) for reasons related to Minsky's argument that modern capitalist economies possess a property that he called "the instability of stability," and (2) solution pathways exist and are unique, given vectors of initial conditions and parameter values and realizations of the Poisson model of financial crises.
    Keywords: Chartalism; Consumer Debt; Debt Deflation; Demand-led Growth; Financial Fragility Hypothesis; Fiscal Policy; Margin Loans; MMT; Money; Nonequilibrium Economics; Nonlinear Dynamics; Neo-Kaleckian Growth Models; SFC Models; Stagnation; Wage Contour
    JEL: E12 E31 E32 E37 O42
    Date: 2015–06
  3. By: Klein, Mathias; Krause, Christopher
    Abstract: In this study, the relation between consumer credit and real economic activity during the Great Moderation is studied in a dynamic stochastic general equilibrium model. Our model economy is populated by two different household types. Investors, who hold the economy's capital stock, own the firms and supply credit, and workers, who supply labor and demand credit to finance consumption. Furthermore, workers seek to minimize the difference between investors' and their own consumption level. Qualitatively, an income redistribution from labor to capital leads to consumer credit dynamics that are in line with the data. As a validation exercise, we simulate a three-shock version of the model and find that our theoretical set-up is able to reproduce important business cycle correlations.
    Keywords: income redistribution,consumer credit,relative consumption motive,business cycles
    JEL: E21 E32 E44
    Date: 2014
  4. By: Kei Imakubo (Bank of Japan); Haruki Kojima (Bank of Japan); Jouchi Nakajima (Bank of Japan)
    Abstract: This paper illustrates the concept of the natural yield curve and how to measure it. The natural yield curve extends the idea of the natural rate of interest defined at a single maturity to one defined for all maturities. If the actual real yield curve matches the natural yield curve, the output gap will converge to zero. An empirical analysis using data for Japan shows that past monetary easing programs expanded the gap between the actual real yield curve and the natural yield curve mainly for short and medium maturities and led to accommodative financial conditions. By contrast, the quantitative and qualitative monetary easing policy has expanded the gap for long maturities as well as short and medium maturities. The natural yield curve is expected to provide a useful benchmark in the conduct of both conventional monetary policy and unconventional monetary policy aiming to influence the entire yield curve.
    Keywords: Natural yield curve; Yield curve gap; Natural rate of interest; Interest rate gap; Term structure
    JEL: C32 E43 E52 E58
    Date: 2015–06–04
  5. By: Nicola Fuchs-Schuendeln; Tarek Alexander Hassan
    Abstract: A growing literature relies on natural experiments to establish causal effects in macroeconomics. In diverse applications, natural experiments have been used to verify underlying assumptions of conventional models, quantify specific model parameters, and identify mechanisms that have major effects on macroeconomic quantities but are absent from conventional models. We discuss and compare the use of natural experiments across these different applications and summarize what they have taught us about such diverse subjects as the validity of the Permanent Income Hypothesis, the size of the fiscal multiplier, and about the effects of institutions, social structure, and culture on economic growth. We also outline challenges for future work in each of these fields, give guidance for identifying useful natural experiments, and discuss the strengths and weaknesses of the approach.
    JEL: C1 C9 E21 E62 H31 O11 O14 O43 O50
    Date: 2015–06
  6. By: Daniel Harenberg; Ludwig, Alexander (Munich Center for the Economics of Aging (MEA))
    JEL: C68 E27 E62 G12 H55
    Date: 2015–05–08
  7. By: Richhild Moessner; David-Jan Jansen; Jakob de Haan
    Abstract: We discuss the theoretical rationale for central bank communication about future policy rates as part of inflation targeting or of forward guidance. We also summarize actual central bank communication about future policy rates in major advanced countries as well as empirical evidence on the effectiveness of both types of communication. We argue that there is a disconnect between the theory and practice of forward guidance, with theory assuming commitment by the central bank, while in practice central banks generally do not commit. Future theoretical research on forward guidance should therefore take the absence of commitment by central banks into account.
    Keywords: Central bank communication; interest rate forecasts; forward guidance; inflation targeting
    JEL: E52 E58
    Date: 2015–06
  8. By: Baas, Timo; Belke, Ansgar
    Abstract: Member countries of the European Monetary Union (EMU) initiated wideranging labor market reforms in the last decade. This process is ongoing as countries that are faced with serious labor market imbalances perceive reforms as the fastest way to restore competitiveness within a currency union. This fosters fears among observers about a beggar-thy-neighbor policy that leaves non-reforming countries with a loss in competitiveness and an increase in foreign debt. Using a two-country, two-sector search and matching DSGE model, we analyze the impact of labor market reforms on the transmission of macroeconomic shocks in both, non-reforming and reforming countries. By analyzing the impact of reforms on foreign debt, we contribute to the debate on whether labor market reforms increase or reduce current account imbalances.
    Abstract: In den letzten zehn Jahren begannen einzelne Mitgliedstaaten der EU, weitreichende Arbeitsmarktreformen durchzuführen. Dieser Prozess hält an, da Arbeitsmarktreformen als schnellster Weg wahrgenommen werden, die Wettbewerbsfähigkeit der Volkswirtschaft zu erhöhen und Arbeitsmarktungleichgewichte zu beseitigen. Von einigen Beobachtern wird diese Politik als "beggar-thy-neighbor" kritisiert, da die erhöhte Wettbewerbsfähigkeit zu Lasten der Handelspartner innerhalb der EU gehe, die Zahlungsbilanzungleichgewichte erhöhe und so die Auslandsverschuldung erhöhe. In diesem Artikel verwenden wir ein Zwei-Länder DSGE Modell mit Arbeitsmarktfriktionen, um die Wirkung von Arbeitsmarktreformen in dem Reform- wie auch dem Nichtreformland zu analysieren. Da wir insbesondere die Auswirkungen auf die Auslandsverschuldung berücksichtigen, tragen wir zur Debatte um die Wirkung von Arbeitsmarktreformen auf Zahlungsbilanzungleichgewichte innerhalb der Eurozone bei.
    Keywords: current account deficit,labor market reforms,DSGE models,search and matching labor market
    JEL: E24 E32 J64 F32
    Date: 2014
  9. By: Murat Alikhanov; Leon Taylor (KIMEP University, Almaty, Kazakhstan)
    Abstract: Volatility in money velocity destabilizes spending and output, generating business cycles. This note develops a gauge of this volatility, based on the quantity equation of exchange. In contrast to ad hoc regression, the gauge measures the impacts on volatility of the three determinants of velocity – money supply, output, and the price level. The algorithm allows covariances among these variables. An application to a fast-growing transition economy, Kazakhstan, finds that at the margin, price shocks affect volatility more than do real shocks, by several orders of magnitude. An oil exporter, Kazakhstan may be vulnerable to the gyrating price of crude.
    Keywords: real shocks, monetary shocks, monetary policy, simulations, forecasting in transitional economies
    JEL: E47 E52
    Date: 2015–05
  10. By: Kaloyan Ganev (St Kliment Ohridski University of Sofia, Faculty of Economics and Business Administration)
    Abstract: This paper presents the logic and structure of a small and parsimonious macroeconometric model designed for output gap and potential growth estimation in a data-poor environment. Such results can be useful in calculating the cyclically adjusted budget balances which are a key indicator for fiscal policies design in the framework of the EU Stability and Growth Pact. Empirical results using Bulgarian data are also included for llustrative purposes.
    Keywords: business cycle, output gap, potential growth
    JEL: E32 E37
    Date: 2015–03
  11. By: Jinill Kim (Department of Economics, Korea University, Seoul, Republic of Korea); Seth Pruitt (Federal Reserve Board)
    Abstract: Did the Federal Reserve's response to economic fundamentals change with the onset of the Global Financial Crisis? Estimation of a monetary policy rule to answer this question faces a censoring problem since the interest rate target has been set at the zero lower bound since late 2008. Surveys by forecasters allow us to sidestep the problem and to use conventional regressions and break tests. We nd that the Fed's in ation response has decreased and that the unemployment response has remained as strong, which suggests that the Federal Reserve's commitment to stable in ation has become weaker in the eyes of the professional forecasters.
    Keywords: monetary policy, policy rule, zero lower bound, survey data, market perceptions, censoring, Tobit, Blue Chip survey
    JEL: E53 E58
    Date: 2015
  12. By: Roberto Piazza (Bank of Italy)
    Abstract: Starting from the early 1990s, GDP in Japan stagnated for about a decade while inflation has been persistently low, at times even negative. This paper provides new stylized facts about the Japanese deflationary process and puts these facts into the context of the literature addressing the origins of the Japanese "lost decade". In order to properly understand the evolution of inflation in Japan and the role of monetary and fiscal policy, a crucial question is whether the deflationary process, a phenomenon specific only to Japan during the period under consideration, was anticipated by agents. The paper suggests a positive answer to the question. In particular, I show that once a "global" inflation forecasting error, common across advanced countries, is removed from Japanese inflation expectations, then the remaining "idiosyncratic" inflation forecasting error is close to zero at various forecasting horizons. This indicates that the Japan-specific deflationary process was fully anticipated by agents, with medium-term (and "idiosyncratic") inflation expectations disanchoring very soon along the deflationary path.
    Keywords: deflation, lost decade, inflation expectations
    JEL: E2 E5 G21
    Date: 2015–06
  13. By: Andrea Gerali (Bank of Italy); Alberto Locarno (Bank of Italy); Alessandro Notarpietro (Bank of Italy); Massimiliano Pisani (Bank of Italy)
    Abstract: This paper evaluates the direct and indirect effects of the sovereign debt crisis on Italy’s potential output. The direct effects are captured by the increase in the interest rate paid by Italian borrowers in the second half of 2011, the indirect effects by the policy responses to the crisis (fiscal consolidation and structural reforms). Using a New Keynesian dynamic general equilibrium model, we compute potential output as the “natural” level of output in the absence of nominal price and wage rigidities. The evaluation posits a no-crisis scenario in line with the pre-2011 potential output projections and government budget rules. We find first that the fiscal and financial shocks that caused the 2011-2013 recession subtracted 1.6 percentage points from potential output growth, while the structural reforms in 2013 have limited the reduction in output capacity to about 1.4 points; second, that the structural reforms have a long-run growth-enhancing impact on potential output of around 3 points from now to 2030; and third, that once budget balance is achieved in the medium term (2019), reductions in either labor or capital income taxes would boost potential output growth by about 0.2 points per year.
    Keywords: sovereign risk, fiscal policy, potential output
    JEL: C51 E31 E52
    Date: 2015–06
  14. By: Akturk, Halit; Gocen, Hasan; Duran, Suleyman
    Abstract: This paper introduces a generalized money (M2) multiplier formula to the literature for a monetary system with Reserve Option Mechanism (ROM). Various features of the proposed multiplier are then explored using monthly Turkish data during the decade 2005 to 2015. We report a step increase in the magnitude and a slight upward adjustment in the long-run trend of the multiplier with the adoption of ROM. We provide evidence for substantial change in the seasonal pattern of the multiplier, cash ratio, required and excess reserves under ROM. We show that money (M2) multiplier is less volatile in a monetary system with ROM and discuss the subsequent stabilizing influence of more predictable multiplier on the foreign exchange market.
    Keywords: Money multiplier, macroprudential policy, reserve option mechanism, reserve requirements, financial stability
    JEL: E51 E52 E58 F31
    Date: 2015–06
  15. By: Paul Kitney
    Abstract: This paper estimates a version of a New Keynesian Dynamic Stochastic General Equilibrium model with financial frictions for the United States using Bayesian techniques. Various Henderson-McKibbin-Taylor style monetary policy rules are examined, which react to inflation, output and credit market factors including credit spreads, financial leverage and credit growth. The central question is whether the central bank responds to credit market factors in setting the policy interest rate, which is investigated using posterior odds tests. The paper explores whether there is evidence of stabilization, if indeed the central bank is responding to credit market factors. This is conducted using impulse response analysis and an examination of parameter posterior distributions. The most compelling result during the period under study is the US Fed responded to credit spreads in setting the policy rate. The empirical results also confirm that credit spreads offer stabilization benefits. This result is robust to variations in the policy rule. It is also found that while financial leverage improves model fit when included in the policy rule, the response is pro-cyclical, which would unlikely be a feature of stabilization policy. Finally, there is no evidence that the policy interest rate responded to credit growth.
    Date: 2015–06
  16. By: Paolo Angelini (Bank of Italy)
    Abstract: Systemic risk, which macroprudential policies aim to minimize, is conceptually easy to define, but it is very difficult to identify ex ante. The search for indicators that may allow to activate macroprudential policies in time to prevent or contain crises, has given disappointing results so far, with the important exception of the class of indicators based on credit growth. A set of macroprudential tools is emerging through practice and legislation, but its outlines are not yet well defined. Also, the effects, effectiveness, and mutual interactions of the tools are not quite clear yet. Moreover, little is known about the interactions between macroprudential policy and other policies � e.g. monetary and microprudential. A reliable theoretical-analytical system to understand its functioning, and to calibrate and measure the effectiveness of macroprudential policies, is not available yet. In Europe, additional challenges arise from the complex architecture of the system of financial supervision and the changes introduced recently - the establishment of National Macroprudential Authorities and the start of the Single Supervisory Mechanism. On the economic front, while the macroeconomic developments in the Euro Area would suggest that expansionary macroprudential policies should be implemented, the measures adopted so far in many countries were almost exclusively of a restrictive nature. Overall, the analysis highlights several areas of uncertainty but also the strong potential of the new macroprudential policies, which can contribute, together with monetary policy, to a more stable macrofinancial system.
    Keywords: macroprudential policies, macroprudential instruments, monetary policy, systemic risk
    JEL: G21 E44 E58
    Date: 2015–06
  17. By: Stephanie Schmitt-Grohé; Martín Uribe
    Abstract: According to conventional wisdom, terms of trade shocks represent a major source of business cycles in emerging and poor countries. This view is largely based on the analysis of calibrated business-cycle models. We argue that the view that emerges from empirical SVAR models is strikingly different. We estimate country-specific SVARs using data from 38 poor and emerging countries and find that terms-of-trade shocks explain only 10 percent of movements in aggregate activity. We then build a fully-fledged, open economy model with three sectors, importables, exportables, and nontradables, and use data from each of the 38 countries to obtain country-specific estimates of key structural parameters, including those defining the terms-of-trade process. In the estimated theoretical business-cycle models terms-of-trade shocks explain on average 30 percent of the variance of key macroeconomic indicators, three times as much as in SVAR models.
    JEL: E32 F41 F44
    Date: 2015–06
  18. By: Passari, Evgenia; Rey, Hélène
    Abstract: We review the findings of the literature on the benefits of international financial flows and find that they are quantitatively elusive. We then present evidence on the existence of a global cycle in gross cross-border flows, asset prices and leverage and discuss its impact on monetary policy autonomy across different exchange rate regimes. We focus in particular on the effect of US monetary policy shocks on the UK's financial conditions.
    Keywords: Monetary policy autonomy; Financial Flows; International Monetary System;
    JEL: E42 E52 G15
    Date: 2015–05
  19. By: Beaudry, Paul; Galizia, Dana; Portier, Franck
    Abstract: There is a long tradition in macroeconomics suggesting that market imperfections may explain why economies repeatedly go through periods of booms and busts, with booms sowing the seeds of the subsequent busts. This idea can be captured mathematically as a limit cycle. For several reasons, limit cycles play almost no role in current mainstream business cycle theory. In this paper we present both a general structure and a particular model with the aim of giving new life to this mostly dismissed view of fluctuations. We begin by showing why and when models with strategic complementarities---which are quite common in macroeconomics---give rise to unique equilibrium dynamics characterized by a limit cycle. We then develop and estimate a fully-specified dynamic general equilibrium model that embeds a demand complementarity to see whether the data favors a configuration supportive of a limit cycle. Booms and busts arise endogenously in our setting because agents want to concentrate their purchases of goods at times when purchases by others are high, since in such situations unemployment is low and therefore taking on debt is perceived as being less risky. A key feature of our approach is that we allow limit-cycle forces to compete with exogenous disturbances in explaining the data. Our estimation results indicate that US business cycle fluctuations in employment and output can be well explained by endogenous demand-driven cycles buffeted by technological disturbances that render those fluctuations irregular.
    Keywords: Business Cycle; Limit Cycle; Unemployment
    JEL: E3
    Date: 2015–06
  20. By: Ahmed Waqar Qasim (Pakistan Institute of Development Economics, Islamabad); M. Ali Kemal (Pakistan Institute of Development Economics, Islamabad); Omer Siddique (Pakistan Institute of Development Economics, Islamabad)
    Keywords: Microfinance, Subsidy Un certainty, Outreach, Mission Drift, Sustainability
    JEL: O47 E62 H20 H5 H62 C26
    Date: 2015
  21. By: Vogel, Edgar (Munich Center for the Economics of Aging (MEA))
    Abstract: We calibrate an incomplete markets large scale OLG model to the US income and wealth distribution and examine the effects of alternative government debt levels and adjustment policies on macroeconomic aggregates and welfare. We find that the government should hold negative debt. Due to the high degree of wealth and income dispersion ex ante lifetime utility increases with increasing wages (falling interest rates) by around 6% of lifetime consumption at optimal debt levels. The optimal level depends on the adjustment policy can vary by up to 70% of GDP (between -180% and -110%). With lower government debt, high income/wealth agents are always worse off. Adjusting transfers benefits the lowest income/wealth group. The largest gains are, however, experienced by agents in the middle of the income/wealth distribution: they benefit from higher wages and transfers but do not lose too much capital income.
    JEL: C54 C68 D52 D60 E20 E62 H2 H6
    Date: 2014–04–02
  22. By: Paul Beaudry; Dana Galizia; Franck Portier
    Abstract: There is a long tradition in macroeconomics suggesting that market imperfections may explain why economies repeatedly go through periods of booms and busts, with booms sowing the seeds of the subsequent busts. This idea can be captured mathematically as a limit cycle. For several reasons, limit cycles play almost no role in current mainstream business cycle theory. In this paper we present both a general structure and a particular model with the aim of giving new life to this mostly dismissed view of fluctuations. We begin by showing why and when models with strategic complementarities—which are quite common in macroeconomics—give rise to unique equilibrium dynamics characterized by a limit cycle. We then develop and estimate a fully-specified dynamic general equilibrium model that embeds a demand complementarity to see whether the data favors a configuration supportive of a limit cycle. Booms and busts arise endogenously in our setting because agents want to concentrate their purchases of goods at times when purchases by others are high, since in such situations unemployment is low and therefore taking on debt is perceived as being less risky. A key feature of our approach is that we allow limit-cycle forces to compete with exogenous disturbances in explaining the data. Our estimation results indicate that US business cycle fluctuations in employment and output can be well explained by endogenous demand-driven cycles buffeted by technological disturbances that render those fluctuations irregular.
    JEL: E3
    Date: 2015–06
  23. By: Aleksandar Vasilev (American University in Bulgaria)
    Abstract: This paper aims to shed light on the importance of health considerations for business cycle uctuations and the effect of health status on labor productivity and availability of labor input for productive use. To this end, Grossman's (2000) partial-equilibrium framework with endogenous health is incorporated in an otherwise standard Real-Business-Cycle (RBC) model. Health status in this setup is modelled as a utility-enhancing, intangible, and non-transferrable capital stock, which depreciates over time. The household can improve their health ("produce health") through investment using a health-recovery technology. The main results are: (i) overall, the model compares well vis-a-vis data; (ii) the behavior of the price of healthcare is adequately approximated by the shadow price of health in the model; (iii) the model-generated health variable exhibits moderate- to high correlation with a large number of empirical health indicators.
    Keywords: real business cycles, health status, health investment
    JEL: E32 E37 I11 I13
    Date: 2015–02
  24. By: Belke, Ansgar
    Abstract: This Paper comments on the role of the Monetary Dialogue in the context of an evolving monetary policy. The discussion is conducted in terms of the adoption of forward guidance on interest rates by the European Central Bank (ECB), the ECB's model choice and data revision policies in inflation forecasts, its membership in the Troika, its activities as a financial supervisor, as well as regards its bond purchasing activities and the implication for ECB monetary policy stemming from Fed's envisaged exit from unconventional monetary policies. This paper also assesses on a case-by-case basis the actual exchange of information between the European Parliament (EP) and the ECB. We argue that the new ECB supervisory role has made the Monetary Dialogue exercise even more important 'now' than in 'normal' times. Still, we suggest changes, both procedural as well as regarding its focus range, to make it even more effective. In our view, the transparency/accountability issue represented by a Supervisory Board 'hosted' by ECB needs to be addressed. A crucial challenge for the Monetary Dialogue is also to assess the optimal degree of ECB transparency and accountability towards the EP, the key democratic institution.
    Abstract: Dieses Paper kommentiert die Bedeutung des vom Europa-Parlament seit Jahren fest institutionalisierten und viel beachteten 'Monetary Dialogue' des EZB-Präsidenten mit dem Unterausschuss Wirtschaft und Währung im Kontext einer sich gegenwärtig stark verändernden Geldpolitik. Die Diskussion wird geführt im Hinblick auf die Verwendung eines Zinsausblicks ('Forward Guidance') durch die Europäische Zentralbank (EZB) im Rahmen ihrer Transparenzoffensive, die Modellwahl und Datenbereinigungsverfahren der Inflationsprognosen der EZB, die Mitgliedschaft der EZB in der Troika, die EZB-Aktivitäten als Finanzaufsicht, die angekündigten EZB-Staatsanleihekäufe und die Folgen der Abkehr der US-Fed von unkonventionellen Geldpolitiken ('Exit') für die Geldpolitik der EZB.
    Keywords: accountability,European Parliament,forward guidance,monetary dialogue,transparency
    JEL: E52 E58
    Date: 2014
  25. By: Lie, Denny; Yadav, Anirudh S.
    Abstract: This paper investigates whether the persistence and the time-varying nature of trend inflation can explain the persistence of inflation in Australia - that is, whether it can explain the apparent need for the backward-looking inflation term in the New Keynesian Phillips curve (NKPC) estimated using Australian data. We derive and estimate an extended open-economy NKPC equation, accounting explicitly for time-varying trend inflation. The paper finds that although the estimated role for backward-looking indexation is near zero in some difference-equation specifications, when one considers the closed-form specifications of the NKPC, the parameter estimate increases dramatically, implying a high degree of indexation to past inflation. Thus, in contrast to Cogley and Sbordones (2008) result for the US economy, our estimates suggest that accounting for time variation in trend inflation in the NKPC cannot explain away the inertia in the Australian inflation data. Our preferred estimates suggest that lagged inflation and future expectations of inflation enter the NKPC with almost equal weights. Finally, notwithstanding the previous results, we find a marked decline in the role of the backward-looking inflation terms since the adoption of an inflation targeting regime by the Reserve Bank in 1993.
    Date: 2015–05
  26. By: Kim, Dongkoo; Rhee, Tae-hwan; Ryu, Keunkwan; Shin, Changmock
    Abstract: Economic forecasts are quite essential in our daily lives, which is why many research institutions periodically make and publish forecasts of main economic indicators. We ask (1) whether we can consistently have a better prediction when we combine multiple forecasts of the same variable and (2) if we can, what will be the optimal method of combination. We linearly combine multiple linear combinations of existing forecasts to form a new forecast ('combination of combinations'), and the weights are given by Bayesian model averaging. In the case of forecasts on Germany's real GDP growth rate, this new forecast dominates any single forecast in terms of root-mean-square prediction errors.
    Keywords: Combination of forecasts,Bayesian model averaging
    JEL: E32 E37
    Date: 2015
  27. By: Cecchetti, Stephen G; Kharroubi, Enisse
    Abstract: We examine the negative relationship between the rate of growth of the financial sector and the rate of growth of total factor productivity. Using a panel of 20 countries over 30 years, we establish that there is a robust correlation: the faster the financial sector expands, the slower the real economy grows. We then proceed to build a model in which this relationship arises from the fact that investment projects that are easier to pledge as loan collateral have lower productivity. As the financiers improve their ability to recover collateral in default, entrepreneurs expect credit to grow more quickly. As a consequence, they choose to invest in more pledgeable/less productive projects, reducing total factor productivity growth. We take this theoretical prediction to the data and find that financial growth disproportionately harms industries the less tangible their assets or the more R&D intensive they are.
    Keywords: asset tangibility; credit booms; financial development; growth; R&D intensity
    JEL: D92 E22 E44 O4
    Date: 2015–06
  28. By: Harenberg, Daniel; Ludwig, Alexander (Munich Center for the Economics of Aging (MEA))
    Abstract: When markets are incomplete, social security can partially insure against idiosyncratic and aggregate risks. We incorporate both risks into an analytically tractable model with two overlapping generations and demonstrate that they in- teract over the life-cycle. The interactions appear even though the two risks are orthogonal and they amplify the welfare consequences of introducing social security. On the one hand, the interactions increase the welfare benefits from insurance. On the other hand, they can in- or decrease the welfare costs from crowding out of capital formation. This ambiguous effect on crowding out means that the net effect of these two channels is positive, hence the interactions of risks increase the total welfare benefits of social security.
    JEL: C68 E27 E62 G12 H55
    Date: 2014–09–22
  29. By: Ehrmann, Michael; Ziegelmeyer, Michael (Munich Center for the Economics of Aging (MEA))
    Abstract: Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between fixed-interest-rate mortgages (FRMs) and adjustable-interest-rate mortgages (ARMs). However, so far, no comprehensive cross-country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for the euro area. Our results support the hypothesis of Campbell and Cocco (2003) that the decision is best described as one of household risk management: income volatlity reduces the take-out of ARMs, while increasing duration and relative size of the mortgages increase it. Controlling for other supply factors through country fixed effects, loan pricing also matters, as expected, with ARMs becoming more attractive when yield spreads rise. The paper also conducts a simulation exercise to identify how the easing of monetary policy during the financial crisis affected mortgage holders. It shows that the resulting reduction in mortgage rates produced a substantial decline in debt burdens among mortgage-holding households, especially in countries where households have higher debt burdens and a larger share of ARMs, as well as for some disadvantaged groups of households, such as those with low income.
    JEL: D12 E43 E52 G21
    Date: 2014–04–14
  30. By: Andrea Teglio (Department of Economics, Universitat Jaume I, Castell—n, Spain); Andrea Mazzocchetti (Universitˆ di Genova, DIME-CINEF, Genova, Italy); Linda Ponta (Universitˆ di Genova, DIME-CINEF, Genova, Italy); Marco Raberto (Universitˆ di Genova, DIME-CINEF, Genova, Italy); Silvano Cincotti (Universitˆ di Genova, DIME-CINEF, Genova, Italy)
    Abstract: The 2008 financial crisis, and the subsequent global recession, triggered a widespread economic and political debate on the proper policy combination to deal with the crisis and to prevent similar ones in the future. Probably, the main dispute has been around the use of fiscal instruments in order to foster growth while keeping public debt under control. The European Union, for instance, endorsed measures for fiscal consolidation but has been sharply criticized by several scholars as well as Nobel Laureates. This paper aims at contributing to this debate by presenting the outcomes of a computational study performed with the Eurace agent-based model. We set up an experiment with two base policy scenarios, i.e., stability and growth pact and fiscal compact, incrementally enriching them with complementary policies which relax fiscal rigidity and introduce quantitative easing. We are therefore able to compare eight policy combinations, spanning different degrees of fiscal and monetary expansion. Results show that budgetary rigour performs well if and only if some mechanisms of fiscal relaxation and monetary accommodation are considered during bad times; thus confirming in a richer and more realistic model setting the fundamental tenet of Keynesian economics about the importance of sustaining aggregate demand during recessions.
    Keywords: fiscal policy, quantitative easing, financial stability, economic crisis, agent-based modelling
    JEL: E63 G01 H12 C63
    Date: 2015
  31. By: John Haltiwanger; Henry Hyatt; Erika McEntarfer
    Abstract: Do the job-to-job moves of workers contribute to the cyclicality of employment growth at different types of firms? In this paper, we use linked employer-employee data to provide direct evidence on the role of job-to-job flows in job reallocation in the U.S. economy. To guide our analysis, we look to the theoretical literature on on-the-job search, which predicts that job-to-job flows should reallocate workers from small to large firms. While this prediction is not supported by the data, we do find that job-to-job moves generally reallocate workers from lower paying to higher paying firms, and this reallocation of workers is highly procyclical. During the Great Recession, this firm wage job ladder collapsed, with net worker reallocation to higher wage firms falling to zero. We also find that differential responses of net hires from non-employment play an important role in the patterns of the cyclicality of employment dynamics across firms classified by size and wage. For example, we find that small and low wage firms experience greater reductions in net hires from non-employment during periods of economic contractions.
    JEL: E24 E32 J63
    Date: 2015–06
  32. By: Chun Chang; Kaiji Chen; Daniel F. Waggoner; Tao Zha
    Abstract: We make four contributions in this paper. First, we provide a core of macroeconomic time series usable for systematic research on China. Second, we document, through various empirical methods, the robust findings about striking patterns of trend and cycle. Third, we build a theoretical model that accounts for these facts. Fourth, the model's mechanism and assumptions are corroborated by institutional details, disaggregated data, and banking time series, all of which are distinctive of Chinese characteristics. We argue that preferential credit policy for promoting heavy industries accounts for the unusual cyclical patterns as well as the post-1990s economic transition featured by the persistently rising investment rate, the declining labor income share, and a growing foreign surplus. The departure of our theoretical model from standard ones offers a constructive framework for studying China's modern macroeconomy.
    JEL: E2 F4 G1 H81
    Date: 2015–06
  33. By: Döhrn, Roland; an de Meulen, Philipp
    Abstract: In periods of unusual weather, forecasters face a problem of interpreting economic data: Which part goes back to the underlying economic trend and which part arises from a special weather effect? In this paper, we discuss ways to disentangle weather-related from business cycle-related influences on economic indicators. We find a significant influence of weather variables at least on a number of monthly indicators. Controlling for weather effects within these indicators should thus create opportunities to increase the accuracy of indicator-based forecasts. Focusing on quarterly GDP growth in Germany, we find that the accuracy of the RWI short term forecasting model improves but advances are small and not significant.
    Keywords: weather,short term forecasting,bridge equations,forecast accuracy
    JEL: C53 E37
    Date: 2015
  34. By: He, Zhiguo (University of Chicago); Krishnamurthy, Arvind (Stanford University)
    Abstract: Systemic risk arises when shocks lead to states where a disruption in financial intermediation adversely affects the economy and feeds back into further disrupting financial intermediation. We present a macroeconomic model with a financial intermediary sector subject to an equity capital constraint. The novel aspect of our analysis is that the model produces a stochastic steady state distribution for the economy, in which only some of the states correspond to systemic risk states. The model allows us to examine the transition from "normal" states to systemic risk states. We calibrate our model and use it to match the systemic risk apparent during the 2007/2008 financial crisis. We also use the model to compute the conditional probabilities of arriving at a systemic risk state, such as 2007/2008. Finally, we show how the model can be used to conduct a macroeconomic "stress test" linking a stress scenario to the probability of systemic risk states.
    JEL: E44 G12 G20
    Date: 2015–03
  35. By: Belke, Ansgar; Böing, Tobias
    Abstract: The purpose of this article is to deliver new estimates of the sacrifice ratio of Euro area countries. A high sacrifice ratio means a large loss of gross domestic product (GDP) or employment for a given reduction in inflation. In order to estimate the cost of adjustments in inflation rates by the sacrifice ratio, we apply, firstly, a structural vector autoregressive technique following Cecchetti and Rich (2001) and, secondly, one by Ball (1994) based on historical disinflationary episodes. Our findings indicate that most countries have sacrifice ratios of between -1 and 2 per cent of real GDP for a reduction in inflation of one percentage point. In some cases, these estimates deliver negative sacrifice ratios.
    Abstract: In diesem Artikel werden neue Schätzungen der Opferquote (engl.: sacrifice ratio) für Mitgliedsländer der Eurozone präsentiert. Eine hohe Opferquote ist gleichbedeutend mit einem starken Rückgang des Bruttoinlandsproduktes (BIP) oder der Beschäftigung für eine gegebene Reduktion der Inflationsrate. Um die Anpassungen der Inflationsraten mit Hilfe der Opferquote zu schätzen, verwenden wir zum einen ein strukturelles Vektor-autoregressives Modell nach Cecchetti und Rich (2001) und zum anderen eine Methode basierend auf Disinflationsperioden nach Ball (1994). Unsere Resultate deuten darauf hin, dass die meisten Länder Opferquoten zwischen -1 % und 2 % des realen Bruttoinlandsproduktes für eine Reduktion der Inflationsrate um einen Prozentpunkt haben. In einigen Fällen liefern die Schätzungen der Opferquote negative Werte.
    Keywords: sacrifice ratio,structural adjustment,Euro area,VAR,episode method,Phillips curve
    JEL: E31 F49
    Date: 2014
  36. By: Gros, Daniel; Alcidi, Cinzia; Belke, Ansgar; Coutinho, Leonor; Giovannini, Alessandro
    Abstract: Two of the four macroeconomic adjustment programmes, Portugal and Ireland's, can be considered a success in the sense that the initial expectations in terms of adjustment, both fiscal and external, were broadly fulfilled. A rebound based on exports has taken hold in these two countries, but a full recovery will take years. In Greece the initial plans were insufficient. While the strong impact of the fiscal adjustment on demand could have been partially anticipated at the time, the resistance to structural reforms was more surprising and remains difficult to cure. The fiscal adjustment is now almost completed, but the external adjustment has not proceeded well. Exports are stagnating despite impressive falls in wage costs. In Cyprus, the outcome has so far been less severe than initially feared. It is still too early to find robust evidence in any country that the programmes have increased the long-term growth potential. Survey-based evidence suggests that structural reforms have not yet taken hold. The EU-led macroeconomic adjustment programmes outside the euro area (e.g. Latvia) seem to have been much stricter, but the adjustment was quicker and followed by a stronger rebound.
    Abstract: Das Europa-Parlament unterzog soeben das Wirken der Troika im Hinblick auf Rechenschaftslegung, Demokratieprinzip und Transparenz einer kritischen Prüfung. Dieser Beitrag fasst die Kernaussagen einer vom Committee on Economic and Monetary Affairs (ECON) des Europäischen Parlaments in Auftrag gegebenen ausführlichen Studie zusammen. Zwei der vier makroökonomischen Anpassungsprogramme, dasjenige für Portugal und das für Irland, können in dem Sinne als erfolgreich angesehen werden, dass die ursprünglichen Erwartungen bezüglich der fiskalpolitischen und der außenwirtschaftlichen Anpassung weitestgehend erfüllt wurden. Eine auf Exporten basierende Wende ist in beiden Ländern bereits eingetreten. Eine vollständige Erholung wird aber noch viele Jahre benötigen. In Griechenland waren schon die ursprünglichen Pläne unzureichend. Während der starke Einfluss der fiskalpolitischen Anpassung auf die gesamtwirtschaftliche Nachfrage im Prinzip hätte beizeiten antizipiert werden können, war der Widerstand gegen Strukturreformen überraschender und bleibt nur schwer zu überwinden. Die fiskalpolitische Anpassung ist nunmehr fast vollendet. Die außenwirtschaftliche Anpassung ist jedoch nur wenig vorangekommen. Die Exporte stagnieren trotz eindrucksvoller Senkung der Lohnkosten. Anders als Irland und Portugal hat Griechenland nach wie vor Probleme, die Ziele seines Anpassungsprogramms zu erfüllen, seine Wirtschaft schrumpft wieder und die Regierung steht in scheinbar endlosen Verhandlungen über ein neuerliches multilaterales Finanzierungspaket. Warum? Das Problem lässt sich mit einem Wort zusammenfassen: Exporte (oder vielmehr: Mangel an Exportwachstum). Zwei Zahlen zeigen das Dilemma des Landes. Die Regierung hat in 2013 einen primären Haushaltsüberschuss (Haushaltssaldo minus Schuldendienst) erzielt, und Griechenland hat 2013 weniger exportiert als 2012. Dass der griechische Staat erstmals seit Jahrzehnten in der Lage ist, seine Ausgaben mit seinen eigenen Einnahmen zu bezahlen, ist zwar in der Tat ein Meilenstein. Doch wir glauben, dass die zweite Nachricht (der Mangel an Exportwachstum) langfristig die bedeutsamere ist. Für Zypern war das Ergebnis weniger einschneidend als ursprünglich befürchtet. Es ist jedoch noch für alle Programmländer zu früh, robuste Evidenz fuer eine Erhöhung des langfristigen Produktionspotenzials durch die Anpassungsprogramme zu finden. Survey-basierte Evidenz legt nahe, dass Strukturreformen bisher kaum gewirkt haben. Die von der EU geführten makroökonomischen Anpassungsprogramme außerhalb der Eurozone (z.B. Lettland) waren noch viel strikter. Trotzdem erfolgte die Anpassung schneller und mündete in eine schnellere Wende und Erholung.
    Keywords: current account imbalance,Euro area,fiscal multiplier,investment,macroeconomic adjustment programme
    JEL: E22 E62 F32
    Date: 2014
  37. By: Belke, Ansgar
    Abstract: This paper comments on the pros and cons of exit strategies. The focus is on the impact on the Euro area economy of the exit from unconventional monetary policies (UMP) by the Fed, which appears to be the first central bank to lay out an exiting path. In this context, it discusses the issue of policy coordination between central banks in the light of the substantial potential spillover effects via capital flows and exchange rate adjustments of unconventional monetary policies. The risks of a premature versus a delayed exit are assessed. In particular, the paper looks at the risk associated to spillover effects from UMP exit and the different shapes of exit paths. It also analyses exit strategies in a wider context and the associated financial stability risks, with a specific focus on the role of uncertainty. The paper presents estimates of the impact of the Feds exit from UMP in 2014 on the Euro area economy using new and innovative global IMF models. Finally, specific policy options to minimize exit risks are discussed and compared.
    Abstract: Dieser Beitrag untersucht die Argumente für und gegen einen Ausstieg aus der expansiven Geldpolitik. Der Fokus liegt dabei auf der Betrachtung der Effekte eines Ausstiegs der amerikanischen Notenbank Fed auf die Eurozone. Dies erscheint sinnvoll, da die Fed als eine der ersten großen Zentralbanken einen Fahrplan für eine geldpolitische Straffung skizziert hat. In diesem Zusammenhang wird ein Schwerpunkt auf die Koordination der Geldpolitiken gelegt, da es bei einem Ausstieg zu Übertragungseffekten durch Kapitalflüsse oder Wechselkurse kommen dürfte. Weiterhin werden die Risiken eines zu frühen bzw. zu späten Zurückfahrens der expansiven Maßnahmen erörtert. Vor allem werden die Gefahren, die aus verschiedenen Ausstiegsszenarien und Übertragungseffekten herrühren, betrachtet. Zusätzlich werden auch die Risiken in Bezug auf die Finanzmarktstabilität einbezogen, wobei die Rolle der Unsicherheit herausgestellt wird. Abschließend stellt dieser Beitrag Schätzungen des Einflusses eines geldpolitischen Ausstiegs der Fed auf die Eurozone auf Basis eines IWF-Modells dar. Abschließend werden die Optionen der Geldpolitk, um die Ausstiegsrisiken zu minimieren, dargelegt und verglichen.
    Keywords: federal funds rate,exit strategies,global spillovers,international policy coordination,sudden stop
    JEL: G01 G12 E58 H12
    Date: 2014
  38. By: Schlicht, Ekkehart
    Abstract: This note proposes a growth model that is derived from the standard Solow growth model by replacing the neoclassical production function with Kaldor’s technical progress function while maintaining a marginalist theory of factor prices in the spirit suggested by von Weizsäcker (1966, 1966b). The hybrid model so obtained accounts for balanced growth in a way that appears less arbitrary than the Solow model, especially because it directly accounts for Harrod neutral technical change, without any need for further assumptions.
    Keywords: directed technical change; directed technological change; bias in innovation; technical progress function; neoclassical production function; Harrod neutrality; Hicks neutrality; Cambridge theory of distribution; marginal productivity theory; Kaldor; Kennedy; von Weizsäcker; Solow model
    JEL: O30 O40 E12 E13 E25 B59 B31
    Date: 2015–06–19
  39. By: Imane El Ouadghiri; Remzi Uctum
    Abstract: In this paper we examine the intraday effects of surprises from scheduled and unscheduled announcements on six major exchange rate returns (jumps) using an extension of the standard Tobit model with heteroskedastic and asymmetric errors. Since observed volatility at high frequency often contains microstructure noise, we use a recently proposed non parametric test to filter out noise and extract jumps from noise-free FX returns (Lee and Mykland (2012)). We found that the most influential scheduled macroeconomic news are globally related to job markets, output growth indicators and public debt. These surprises impact FX jumps rather in the form of good news, as a result of pessimistic forecasts from traders during the crisis period analyzed. We reconfirmed for most of the currencies the hypothesis that negative volatility shocks have a greater impact on volatility than positive shocks of the same magnitude, reflecting markets' concern about the cost of stabilization policies.
    Keywords: Forex market, announcements, jump detection test, high frequency data, microstructure noise, asymmetric GARCH.
    JEL: G14 G12 E44 C22
    Date: 2015
  40. By: Farley Grubb (Department of Economics, University of Delaware)
    Abstract: The spending obligations and revenue sources of colonial New Jersey's provincial government for the years 1704 through 1775 are reconstituted using forensic accounting techniques from primary sources. Such has not been done previously for any British North American colony. These data are used to assess colonial New Jersey's provincial fiscal structure. The methods for raising revenue to meet normal peacetime and emergency wartime expenses are identified and analyzed. The provincial tax burdens imposed on New Jersey's subjects are calculated. How the British interfered with New Jersey's provincial fiscal structure is identified. What revenues and tax burdens would have been without this interference are estimated.
    Keywords: balanced budgets, bills of credit, forensic accounting, land banks, paper money, zero-coupon bonds
    JEL: E42 E60 H20 H60 N11 N21 N41
    Date: 2015
  41. By: León, C.; Cely, Jorge; Cadena, Carlos
    Abstract: We identify interbank (i.e. non-collateralized) loans from the Colombian large-value payment system by implementing Furfine’s method. After identifying interbank loans from transactional data we obtain the interbank rates and claims without relying on financial institutions’ reported data. Contrasting identified loans with those consolidated from financial institutions’ reported data suggests the algorithm performs well, and it is robust to changes in its setup. The weighted average rate implicit in transactional data matches local interbank rate benchmarks strictly. From identified loans we also build the interbank claims network. The three main outputs (i.e. the interbank loans, the rates, and the claims networks) are valuable for examining and monitoring the money market, for contrasting data reported by financial institutions, and as inputs in models of financial contagion and systemic risk.
    Keywords: Furfine's method; interbank; IBR; TIB
    JEL: E42 E44
    Date: 2015
  42. By: Marlene Karl
    Abstract: This paper introduces a new and comprehensive dataset on “alternative” banks in EU and OECD countries. Alternative banks (e.g. ethical, social or sustainable banking) experienced a recent increase in media interest and have been hailed as an answer to the financial crisis but no research exists on their stability. This paper studies whether alternative banks differ from conventional banks in terms of riskiness. For this I construct a comprehensive dataset of alternative banks and compare their riskiness with an adequately matched control group of conventional banks using mean comparison and panel regression techniques. The main result is that alternative banks are significantly more stable (in terms of z-score) than their conventional counterparts. The results are robust to different estimation methods and data specifications. Alternative banks also have lower loan to asset ratios and higher customer deposit ratios than conventional banks.
    Keywords: Ethical banking, social banking, bank risk, financial crisis
    JEL: G21 G32 E44 M14
    Date: 2015
  43. By: Christopher G. Gibbs (School of Economics, UNSW Business School, UNSW)
    Abstract: This paper proposes a new dynamic forecast combination strategy for forecasting inflation. The procedure draws on explanations of why the forecast combination puzzle exists and the stylized fact that Phillips curve forecasts of inflation exhibit significant time-variation in forecast accuracy. The forecast combination puzzle is the empirical observation that a simple average of point forecasts is often the best forecasting strategy. The forecast combination puzzle exists because many dynamic weighting strategies tend to shift weights toward Phillips curve forecasts after they exhibit a significant period of relative forecast improvement, which is often when their forecast accuracy begins to deteriorate. The proposed strategy in this paper weights forecasts according to their expected performance rather than their past performance to anticipate these changes in forecast accuracy. The forward-looking approach is shown to robustly beat equal weights combined and benchmark univariate forecasts of inflation in real-time out-of-sample exercises on U.S. and New Zealand inflation data.
    Keywords: Forecast combination, inflation, forecast pooling, forecast combination puzzle, Phillips curve
    JEL: E17 E47 C53
    Date: 2015–04
  44. By: Mathä, Thomas Y.; Porpiglia, Alessandro; Ziegelmeyer, Michael (Munich Center for the Economics of Aging (MEA))
    Abstract: Results from the Eurosystem Household Finance and Consumption Survey reveal substantial variation in household net wealth across euro area countries that await explanation. This paper focuses on three main factors for the wealth accumulation process, i) homeownership, ii) housing value appreciation and iii) intergenerational transfers. We show that these three factors, in addition to the common household and demographic factors, are relevant for the net wealth cumulation process in all euro area countries, and moreover that, using various decomposition techniques, differences therein, in particular in homeownership rates and house price dynamics, are important for explaining wealth differences across euro area countries.
    JEL: D31 E21 O52 C42
    Date: 2014–06–01
  45. By: Konstantin Kholodilin; Christian Kolmer; Tobias Thomas; Dirk Ulbricht
    Abstract: This article sheds light on the interaction of media, economic actors, and economic experts. Based on a unique data set of 86,000 news items rated by professional analysts of Media Tenor International and survey data, we first analyze the overall tone of the media, consumers’, firms’, and economic experts’ opinions on the state and outlook of the economy. Second, we assess the protagonist’s ability at correctly predicting GDP. Third, we use Granger causality tests to uncover who is influencing whom when it comes to the formation of opinions on the economy. We find that media reports have a significant negative bias. The economic sentiment of the media, consumers and firms does not reflect the actual situation. Finally, we find that media sentiment is not influenced by any other actor. In contrast, media appear to affect all other actors.
    Keywords: media bias; consensus forecasts; consumer and business sentiment
    JEL: E32 E37 L82
    Date: 2015
  46. By: Vogel, Edgar; Ludwig, Alexander; Börsch-Supan, Axel (Munich Center for the Economics of Aging (MEA))
    JEL: C68 E17 E25 J11 J24
    Date: 2015–03–23
  47. By: von der Lippe, Peter
    Abstract: The theory of (increasingly more generalized types of) statistical means can be used to create a plethora of index formulas. Some of them are new and some were indeed discussed in the past but fallen into oblivion, because their rationale was not well understood. Surprisingly many possess interesting interpretations and attractive properties that deserve being unveiled. We begin with unweighted indices with implications to what now is called "low level aggregation" and proceed to weighted index formulas that lend themselves to productive generalizations and thereby to some new formulas. It turns out that contrary to popular belief the Laspeyres and Paasche formula are not equally well justified and that some indices from the more comprehensive system of statistical means are attractive regarding their economic interpretation and how they are related to indices of "quantity" and purchasing power of money.
    Keywords: Index Numbers, Generalized means, antiharmonic mean, index of purchasing power, unit value indices
    JEL: C43 C82 E0 E01 E31
    Date: 2015–06–10
  48. By: Gumbau-Brisa, Fabiá; Lie, Denny; Olivei, Giovanni P.
    Abstract: This paper reexamines the finding in Cogley and Sbordone ("Trend Inflation, Indexation,and Inflation Persistence in the New Keynesian Phillips Curve," American Economic Review98(5): 2101-26, 2008) that the New Keynesian Phillips curve is purely forward-looking once we account for time-varying trend inflation. We perform various robustness analyses involving the second-stage estimation procedure, the number of indexation lags, and the vantage point of expectations. All in all our analyses show that the main result in Cogley and Sbordone is not robust to these, seemingly innocuous, modifications.
    Date: 2015–05
  49. By: Sayeed, Asad; Abbasi, Zubair Faisal
    Abstract: This study explores different facets of the evolving structure, functions and conduct of Pakistan’s central bank or the State Bank as it is usually called. The study commences by offering an overview of the country’s macroeconomic, labour market and social indicators and evaluates how they have evolved over time. It attempts to gauge the conduct of the State Bank through its response to moments of economic significance faced by the country in the last two and a half decades. Specific attention is paid to the conduct of monetary policy, the role of the State Bank in channelling investment resources to priority sectors and its coordination with fiscal policy.
    Keywords: bank, economic growth, employment creation, Pakistan, banque, croissance économique, création d'emploi, Pakistan, banco, crecimiento económico, creación de empleos, Pakistán
    Date: 2015
  50. By: Koehler-Geib,Fritzi; Hnatkovska,Viktoria
    Abstract: This study investigates the role of domestic and external shocks in business cycle fluctuations in Paraguay during 1991?2012. Time-series methods and a structural model-based approach are used to conduct an integrated analysis of business cycles. First, structural vector autoregression is used to assess the role played by external factors and domestic shocks in driving fluctuations in gross domestic product through impulse response functions and variance decompositions. The analysis finds that external shocks such as terms of trade, world interest rate and foreign demand account for over 50 percent of real gross domestic product fluctuations. Given Paraguay?s strong dependence on agriculture, an analysis is also done for the agricultural and non-agricultural sectors separately. The analysis finds that non-agricultural gross domestic product is to a large extent driven by external shocks, which account for over 50 percent of its volatility. In contrast, the volatility in agricultural gross domestic product is primarily due to shocks to domestic variables, mainly shocks to agricultural output. A further difference between the sectors is that shocks to government consumption are more important for agricultural gross domestic product, while shocks to the domestic real interest rate play a larger role in the volatility of non-agricultural gross domestic product. Second, the paper investigates the sources of business cycle fluctuations through the lens of a neoclassical growth model with an agricultural and non-agricultural sector. The analysis finds some signs of improvements, as labor market distortions have declined, firms? access to credit improved, and agricultural efficiency rose over time. Nevertheless, challenges remain, as gaps in labor and capital returns between agriculture and non-agriculture remain large, efficiency in the non-agricultural sector shows no signs of improvement, and households? access to finance has deteriorated.
    Keywords: Economic Theory&Research,Debt Markets,Emerging Markets,Economic Conditions and Volatility,Labor Policies
    Date: 2015–06–02
  51. By: Ludwig, Alexander; Schön, Matthias (Munich Center for the Economics of Aging (MEA))
    Abstract: This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three dierent categories of algorithms: (i) the conventional method with exogenous grids (EXOGM), (ii) the pure method of endogenous gridpoints (ENDGM) and (iii) a hybrid method (HYBGM). ENDGM comes along with Delaunay interpolation on irregular grids. Comparison of methods is done by evaluating speed and accuracy. We nd that HYBGM and ENDGM both dominate EXOGM. In an innite horizon model, ENDGM also always dominates HYBGM. In a nite horizon model, the choice between HYBGM and ENDGM depends on the number of gridpoints in each dimension. With less than 150 gridpoints in each dimension ENDGM is faster than HYBGM, and vice versa. For a standard choice of 25 to 50 gridpoints in each dimension, ENDGM is 1:4 to 1:7 times faster than HYBGM in the nite horizon version and 2:4 to 2:5 times faster in the innite horizon version of the model.
    JEL: C63 E21
    Date: 2014–06–11
  52. By: Laurent Callot (Faculty of Economics and Business Administration, VU University Amsterdam, the Netherlands); Johannes Tang Kristensen (University of Southern Denmark, Denmark)
    Abstract: This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously time-varying parameters are models with an unknown number of break points at unknown locations. The parameters are assumed to follow a random walk with a positive probability that an increment is exactly equal to zero so that the parameters do not vary at every point in time. The vector of increments, which is high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US macroeconomic series from Stock and Watson (2009). We find that the parameters of both models exhibit a higher degree of instability in the period from 1970:1 to 1984:4 relative to the following 15 years. In our setting the Great Moderation appears as the gradual ending of a period of high structural instability that took place in the 1970s and early 1980s.
    Keywords: Parsimoniously time-varying parameters; factor models; structural break; Lasso
    JEL: C01 C13 C32 C38 E32
    Date: 2015–06–01
  53. By: Silvia Fabiani (Bank of Italy); Mario Porqueddu (Bank of Italy)
    Abstract: This paper examines the process of adjustment of prices in Italy to determine whether nominal flexibility, measured by the frequency of price changes, has increased in the recent years of protracted stagnation and double-dip recession. The analysis is based on a large micro-level dataset of individual prices collected monthly by Istat from 2006 to 2013 for the Consumer Price Index. We find that both the percentage of prices adjusted monthly and the average size of the adjustment have risen significantly since the 1996-2001 period, in particular for downward changes. This greater flexibility is related in part to the spread of modern distribution structures. Our estimates further indicate that the recession has affected the price adjustment mechanism: for manufactures, price cuts have become larger and more frequent, while increases are more moderate; for services, both the frequency and the size of price increases have diminished.
    Keywords: consumer prices, nominal flexibility, frequency of price adjustmen.
    JEL: E31 D21 D40 L11
    Date: 2015–06
  54. By: Damián Kennedy
    Abstract: Luego de una década de importante crecimiento económico y mejoras de las condiciones de vida de la población, hacia el año 2013 la economía argentina ingresó en una etapa de estancamiento económico y retroceso en los niveles de empleo y salario real. Estas tensiones se expresan en el estrangulamiento externo de divisas y, en particular, en las disputas en torno al nivel del tipo de cambio. Las explicaciones más habituales al respecto se centran en la insuficiencia del cambio de la estructura productiva y/o en los desajustes macroeconómicos que condujeron a una apreciación de la moneda. En el presente artículo procuramos argumentar que aquellas tensiones evidenciadas en la coyuntura actual constituyen un momento propio de la reproducción del ciclo económico sobre la base de su menor productividad relativa internacional, característica estructural de nuestra economía.
    Keywords: Valor, renta de la tierra; Salario real; Productividad; Ciclo económico; Argentina
    JEL: E25 E32 J30 Q17
    Date: 2014–12–19
  55. By: Klima, Grzegorz; Podemski, Karol; Retkiewicz-Wijtiwiak, Kaja; Sowińska, Anna E.
    Abstract: This paper presents an implementation of the well-known Smets-Wouters 2003 model for Euro Area using the gEcon package - what we call the ``third generation'' DSGE modelling toolbox. Our exercise serves three goals. First, we show how gEcon can be used to implement an important - from both applications and historical perspective - model. Second, through rigorous exposition enforced by the gEcon’s block-agent paradigm we analyse all the Smets-Wouters model’s building blocks. Last, but not least, the implementation presented here serves as a natural starting point for important from applications point of view extensions, like opening the economy, introducing non-lump-sum taxes, or adding sectors to the model economy. Full model implementation is attached.
    Keywords: DSGE; monetary policy; staggered prices; staggered wages
    JEL: C88 E3 E4
    Date: 2015–02–28
  56. By: Laurent Callot (University of Amsterdam and CREATES); Johannes Tang Kristensen (University of Southern Denmark and CREATES)
    Abstract: This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factormodels.We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously time-varying parameters are models with an unknown number of break points at unknown locations. The parameters are assumed to follow a random walk with a positive probability that an increment is exactly equal to zero so that the parameters do not vary at every point in time. The vector of increments, which is high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US macroeconomic series from Stock andWatson (2009).We find that the parameters of both models exhibit a higher degree of instability in the period from 1970:1 to 1984:4 relative to the following 15 years. In our setting the Great Moderation appears as the gradual ending of a period of high structural instability that took place in the 1970s and early 1980s.
    Keywords: Parsimoniously time-varying parameters, factor models, structural break, Lasso
    JEL: C01 C13 C32 C38 E32
    Date: 2015–06–01
  57. By: Regis Barnichon; Andrew Figura
    Abstract: This paper argues that a key aspect of the US labor market is the presence of time-varying heterogeneity across nonparticipants. We document a decline in the share of nonparticipants who report wanting to work, and we argue that that decline, which was particularly strong in the second half of the 90s, is a major aspect of the downward trends in unemployment and participation over the past 20 years. A decline in the share of "want to work" nonparticipants lowers both the participation rate and the unemployment rate, because a nonparticipant who wants to work has (i) a higher probability of entering the labor force (compared to other nonparticipants), and (ii) a higher probability of joining unemployment conditional on entering the labor force. We use cross-sectional variation to estimate a model of nonparticipants' propensity to want to work, and we find that changes in the provision of welfare and social insurance, possibly linked to the mid-90s welfare reforms, explain about 50 percent of the decline in desire to work among nonparticipants.
    JEL: E24 J6
    Date: 2015–06
  58. By: Kitlinski, Tobias; an de Meulen, Philipp
    Abstract: Using factor models, it has recently been shown that a pre-selection of indicators improves GDP forecasts in the very short-term. The aim of this paper is to adopt this research to the methodology of bridge models in combination with pooling approaches. Focusing on Euro Area GDP between 2005 and 2013, we find that a selection of targeted predictors by means of soft- and hard-threshold algorithms improves the forecasting performance, especially during periods of economic crisis. While a critical number of indicators are needed to include all relevant information, adding additional indicators has a negative effect on forecasting performance, all the more, if the set of indicators becomes unbalanced.
    Abstract: In der Vergangenheit konnte gezeigt werden, dass eine Vorauswahl von Indikatoren die Prognoseleistung von Kurzfristprognosen, die auf Faktormodellen beruhen, deutlich verbessert. In diesem Papier wird untersucht, ob sich dieses Ergebnis auf Brückengleichungen in Kombination mit verschiedenen 'pooling' Ansätzen übertragen lässt. Dabei werden Prognosen für das Bruttoinlandsprodukts (BIP) des Euroraums im Zeitraum 2005 bis 2013 evaluiert. Es zeigt sich, dass eine Auswahl von Indikatoren durch 'soft- threshold ' und 'hard-threshold' Ansätze die Prognoseleistung deutlich verbessert. Dies gilt insbesondere in Zeiten von Wirtschaftskrisen. So wird zwar eine bestimmte Zahl von Indikatoren benötigt, die die notwendigen Informationen für eine möglichst genaue Prognose enthalten. Aber die Hinzunahme weiterer Indikatoren führt zu einer schlechteren Prognoseleistung. Dies gilt insbesondere dann, wenn zu viele Indikatoren aus einer bestimmten Kategorie berücksichtigt werden.
    Keywords: Forecasting,bridge equations,pooling of forecasts
    JEL: C53 E37
    Date: 2015
  59. By: Yuzo Honda (Department of Informatics, Kansai University); Hitoshi Inoue (Faculty of Economics, Sapporo Gakuin University)
    Abstract: We empirically investigate the dynamic nature of three alternative hypotheses on the foreign exchange rate between the Japanese yen and US dollar in a multivariate context, using data from April 1985 to October 2014. The three hypotheses are the uncovered interest rate parity hypothesis, the current account hypothesis, and the quasi purchasing power parity hypothesis. Each hypothesis has significant influence on the yen-dollar exchange rate. Furthermore, it takes two to three years for the yield spread between the yen and dollar to have its largest impact on the exchange rate. In addition, the effects of unexpected shocks to the exchange rate on the export price ratio and current account are long lasting.
    Keywords: Quasi Purchasing Power Parity, Uncovered Interest Rate Parity, Soros Chart, Monetary Policy, Vector Autoregression
    JEL: E52 F31
    Date: 2015–06
  60. By: Tröger, Tobias H.
    Abstract: This paper looks into the specific influence that the European banking union will have on (future) bank client relationships. It shows that the intended regulatory influence on market conditions in principle serves as a powerful governance tool to achieve financial stability objectives. From this vantage, it analyzes macro-prudential instruments with a particular view to mortgage lending markets - the latter have been critical in the emergence of many modern financial crises. In gauging the impact of the new European supervisory framework, it finds that the ECB will lack influence on key macro-prudential tools to push through more rigid supervisory policies vis-à-vis forbearing national authorities. Furthermore, this paper points out that the current design of the European bail-in tool supplies resolution authorities with undue discretion. This feature which also afflicts the SRM imperils the key policy objective to re-instill market discipline on banks' debt financing operations. The latter is also called into question because the nested regulatory technique that aims at preventing bail-outs unintendedly opens additional maneuvering space for political decision makers.
    Keywords: banking union,macro-prudential supervision,real estate lending,bail-in,market discipline
    JEL: E44 G01 G18 G21 G28 K22 K23
    Date: 2015
  61. By: Bachmann, Ronald; Bechara, Peggy; Kramer, Anica; Rzepka, Sylvi
    Abstract: Using harmonized micro data, this paper investigates the effects of the early phase (2008-10) of the recent economic crisis on transitions between labour market states in Europe. Our analysis focuses on individual heterogeneity, on the type of employment contract, and on crosscountry differences. Our analysis shows that specific worker groups, such as men and young persons, were particularly strongly hit by the crisis. Furthermore, more transitions from employment, and especially temporary employment, to unemployment were the main factor behind the rise in unemployment; while reduced unemployment outflows did not contribute substantially to the increase in unemployment during the early phase of the crisis.
    Abstract: Auf Basis von harmonisierten Mikrodaten wird in diesem Artikel der Einfluss der frühen Phase (2008-2010) der aktuellen Wirtschaftskrise auf Arbeitsmarktdynamiken in den EU-Mitgliedsländern und verschiedenen Beitrittskandidaten untersucht. Im Mittelpunkt der Analyse stehen heterogene Effekte für unterschiedliche soziodemografische Gruppen, Vertragstypen sowie Länder. Die Ergebnisse zeigen, dass Transitionen von Beschäftigung in Arbeitslosigkeit besonders stark während der Krise angestiegen sind. Davon waren insbesondere männliche und junge Erwerbspersonen betroffen. Zudem kann die gestiegene Arbeitslosigkeit vor allem durch erhöhte Flüsse von Beschäftigung, und hierbei maßgeblich von befristeter Beschäftigung, in Arbeitslosigkeit erklärt werden. Reduzierte Flüsse aus der Arbeitslosigkeit heraus spielten dagegen nur eine untergeordnete Rolle.
    Keywords: recession,labour market transitions,Markov transition matrices,worker heterogeneity
    JEL: J6 E24
    Date: 2014
  62. By: Ludwig, Johannes
    Abstract: Transitory and permanent shocks to income have been shown to be important determinants of household consumption. This paper shows that there are significant differences in the development of transitory and permanent inequality of household income between demographic groups since the 1980s. Using data from the Panel Study of Income Dynamics the educational attainment and the composition of a household are found to play a key role. While permanent inequality increases steadily for educated households, it is flat over large parts of the sample period for the less educated households. Transitory inequality increases for all households headed by couples whereas it is constant for single households. Taken together, permanent shocks explain on average a larger part of the income variance of educated households whereas transitory shocks are relatively more important for the less educated. These results that can be explained by changes to skill demand and an increased female labor force participation are potentially able to explain empirical findings on the transmission of changes in income inequality to consumption inequality.
    Abstract: Transitorische und permanente Einkommensschocks sind entscheidende Determinanten des Haushaltskonsums. Dieser Artikel zeigt, dass es seit Beginn der 1980er Jahre signifikante Unterschiede im Verlauf von transitorischer und permanenter Ungleichheit des Haushaltseinkommens zwischen verschiedenen Gruppen der US-Bevölkerung gibt. Mit Hilfe von Daten der Panel Study of Income Dynamics stellt sich heraus, dass der Bildungsabschluss und die Zusammensetzung eines Haushalts eine Schlüsselrolle spielen. Während permanente Ungleichheit für gebildete Haushalte stetig wächst, gibt es keinerlei Anstieg für weniger gebildete Haushalte über einen großen Zeitraum der Stichprobe. Transitorische Ungleichheit hingegen steigt für alle Paarhaushalte an, ist aber für Single-Haushalte konstant. Zusammengenommen erklären permanente Schocks durchschnittlich einen größeren Teil der Einkommensvarianz der gebildeten Haushalte, wohingegen transitorische Schocks im Vergleich bedeutender für weniger gebildete sind. Diese Resultate, die potenziell durch Veränderungen in der Nachfrage nach Qualifikationen und einer höheren Arbeitsmarktbeteiligung von Frauen hervorgerufen werden, sind in der Lage, empirische Befunde zu erklären, wie stark sich Veränderungen der Einkommensungleichheit auf Konsumungleichheit übertragen.
    Keywords: income inequality,transitory and permanent inequality,income dynamics
    JEL: D31 E24
    Date: 2014
  63. By: Fuchun Li
    Abstract: The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components. Using theories of degenerate U-statistics, each of these test statistics is shown to follow an asymptotic standard normal distribution under null hypothesis, while diverging to infinity if the component is misspecified over a significant range. Our tests strongly reject the specification of diffusion functions in a variety of popular univariate interest rate models for daily 7-day eurodollar spot rates, and the specification of the diffusion matrix in some popular multivariate affine term-structure models for monthly U.S. Treasury yields.
    Keywords: Asset Pricing, Econometric and statistical methods, Interest rates
    JEL: C12 C14 E17 E43 G12 G20
    Date: 2015
  64. By: Davinson Stev Abril Salcedo; Luis Fernando Melo Velandia; Daniel Parra Amado
    Abstract: En este documento se cuantifican medidas estadísticas sobre el comportamiento de los índices de producción industrial sectoriales en Colombia, las cuales permiten caracterizar su heterogeneidad para el período 1990 ? 2014. Dentro de los resultados más sobresalientes se destacan: i) existen cambios en las tasas de las expansión y en la volatilidad a nivel sectorial entre décadas, ii) todos los sectores estudiados tienen por lo menos un quiebre estructural, iii) la mayoría de industrias se ven afectadas por los efectos calendario de Semana Santa y días festivos, excepto por la refinación de petróleo, las sustancias químicas y vidrio, y iv) el ciclo económico de gran parte de las industrias se encuentra más vinculado al ciclo de la demanda externa que de la interna, aunque ambos son factores relevantes en la explicación del ciclo industrial sectorial. Los resultados obtenidos en el presente estudio apoyan la presencia de heterogeneidad sectorial dentro de la industria colombiana.
    Keywords: Efectos calendario, descomposición de series, ciclos económicos.
    JEL: C22 C50 E23
    Date: 2015–06–01
  65. By: Palley, Thomas
    Abstract: In this succinct piece, the author makes a compelling case for ‘structural Keynesianism’ as a way of responding to the current mix of unsatisfactory growth and uneven progress in reducing unemployment at the global level. Traditional or ‘cyclical’ Keynesianism is, according to the author, good at dealing with short-run shortfalls in aggregate demand, but less able to cope with the structural dimensions of slow growth and slack labour market conditions.
    Keywords: macroeconomics, economic policy, employment creation, structural change, globalization, economic growth, model, macroéconomie, politique économique, création d'emploi, changement structurel, mondialisation, croissance économique, modèle, macroeconomía, política económica, creación de empleos, cambio estructural, globalización, crecimiento económico, modelo
    Date: 2015
  66. By: Belke, Ansgar; Gros, Daniel
    Abstract: This study investigates the shock-absorbing properties of a banking union by providing a detailed comparison between the way regional financial shocks have been absorbed at the federal level in the US, but have led to severe regional (national) financial dislocation and tensions in the euro area. The extent to which the institutions of the banking union, which is now emerging in the euro area, should increase its capacity to deal with future regional boom and bust cycles is also discussed. Cross-border capital flows in the form of equity appear to be much more stable than those taking the form of credit, especially inter-bank credit. Moreover, credit booms and bust leave a debt overhang and losses can materialise only via insolvencies, whereas equity flows absorb automatically losses in case of a bust and provide the cross border owner with incentives to continue to provide financing. It follows that cross-border banks can absorb regional shocks. But large banks pose the 'too big to fail' problem and they would also propagate regional shocks, especially if they originate in large countries, to the entire area.
    Keywords: banking union,currency union,default,shock absorber,two-tier reinsurance system
    JEL: E42 E50 F3 G21
    Date: 2015
  67. By: Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto
    Abstract: This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on quantile regressions (standard quantile regression and Bayesian quantile regression with heteroskedasticity) we find that the propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation we have witnessed over the last years come from larger shocks propagated with higher intensity across Europe.
    Keywords: Sovereign Risk,Contagion,Disintegration
    JEL: E58 F34 F36 G12 G15
    Date: 2015
  68. By: Asian Development Bank (ADB); Asian Development Bank (ADB) (Pacific Department, ADB); Asian Development Bank (ADB) (Pacific Department, ADB); Asian Development Bank (ADB)
    Abstract: Since 2006, the Pacific Private Sector Development Initiative (PSDI) has worked to alleviate poverty and promote growth in the Pacific region through reforms that encourage private sector investment and entrepreneurship. This report describes developments and progress for PSDI Phase III’s first year, and covers the period July 2013 to end-June 2014. PSDI is a regional technical assistance facility cofinanced by the Asian Development Bank, the Government of Australia, and the New Zealand Government.
    Keywords: pacific; private sector; PSDI; state-owned enterprises; business law reform; financing growth; economic growth; financial services; public–private partnerships; women's economic empowerment; progress report; cook islands; fiji; kiribati; marshall islands; federated states of micronesia; nauru; palau; papua new guinea; samoa; solomon islands; timor-leste; tuvalu; tonga; vanuatu
    Date: 2014–12
  69. By: Mark Huggett; Greg Kaplan
    Abstract: This paper examines the value of an individual’s human capital and the associated return on human capital using U.S. data on male earnings and financial asset returns. We find that (1) the value of human capital is far below the value implied by discounting earnings at the risk-free rate and (2) the stock component of the value of human capital is smaller than the bond component at all ages. The stock component averages less than 35 percent of the value of human capital at each age.
    JEL: D91 E21 G12 J24
    Date: 2015–06
  70. By: Bartzsch, Nikolaus; Seitz, Franz; Setzer, Ralph
    Abstract: This paper explains and forecasts the demand for banknotes issued in Germany. For small and large denomination notes we estimate vector error correction models (VECM). The results suggest that the long-run demand for German small denomination notes is mainly driven by domestic transactions and demand from outside the euro area. The transaction motive in the rest of the euro area is part of the short-term dynamics. The long-run demand for German large denomination notes is mainly driven by foreign demand both from the rest of the euro area and outside the EMU. The global financial crisis led to a one-time increase in the (real) demand for these notes. Our results are in line with estimates according to which the level and dynamics of banknote demand are mainly determined by foreign demand. Additionally, we present RegARIMA models for the medium denominations as it was not possible to build a VECM for these denominations.
    Keywords: banknotes, vector error correction, RegARIMA, forecasts
    JEL: C22 C32 E41
    Date: 2015–06–10
  71. By: Tóth, József
    Abstract: The new directives of the European Parliament and the European Council issued in 2014 define unified expectations regarding deposit guarantee schemes and regarding banking resolution mechanism to be applied in territory of each EU member states. Moreover, the so called Single Resolution Fund must be implemented by euro member states in order to finance the resolution processes. The article introduces the main rules of the unified systems as well as deals with their financial background. The European Commission declared in its statement the target level of the Single Resolution Fund which is EUR 55 billion. However, we provide evidence that this target level is underestimated.
    Keywords: banking resolution, deposit guarantee scheme
    JEL: E52 E58 G20 G21 G28 G38
    Date: 2015–06–04
  72. By: Ludwig, Johannes
    Abstract: Contrary to the implications of economic theory, consumption inequality in the US did not react to the increases in income inequality during the last three decades. This paper investigates if a change in the type of income inequality - from permanent to transitory - or a change in the ability to insure income shocks is responsible for this. A measure of household consumption is imputed into the Panel Study of Income Dynamics to create panel data on income and consumption for the period 1980-2010. The minimum distance investigation of covariance relationships shows that both explanations work together: the share of transitory shocks increases over time, but the capability to insure permanent and transitory shocks to income also improves. Together, these phenomena can explain the lack of an increase in consumption inequality.
    Abstract: Entgegen der Vorhersage ökonomischer Theorie reagiert die Ungleichheit des Haushaltskonsums in den USA nicht auf den Anstieg der Einkommensungleichheit der letzten drei Jahrzehnte. Dieses Papier untersucht, ob eine Veränderung der Art der Einkommensungleichheit - von permanenter zu transitorischer - dafür verantwortlich ist oder eine Veränderungen in der Fähigkeit der Haushalte, Einkommensschocks abzufedern. Ein Maß für Haushaltskonsum wird in die Daten der Panel Study of Income Dynamics imputiert, um einen Paneldatensatz für die Jahre 1980-2010 zu erstellen, der Einkommen und Konsum beinhaltet. Die Minimum Distance-Analyse der Kovarianzstrukturen zeigt, dass beide Erklärungsansätze gemeinsam wirken: Der Anteil transitorischer Schocks steigt im Zeitverlauf, aber die Fähigkeit, permanente und transitorische Einkommensschocks abzufedern, verbessert sich ebenfalls. Zusammen können diese Phänomene erklären, warum die Ungleichheit des Haushaltskonsums nicht ansteigt.
    Keywords: consumption inequality,income inequality,consumption insurance
    JEL: D12 D31 E21
    Date: 2015
  73. By: David Coble; Sebastián Faúndez
    Abstract: Recent studies have documented the importance of the labor wedge in accounting for the level of business cycle fluctuations in Chile. None of these papers, however, extensively studies the labor wedge fluctuations and its possible sources. This paper takes a closer look at the labor wedge in Chile, with special emphasis on its cyclicality. We use a flexible model to implicitly derive the Frisch elasticity of labor, and construct a set of labor wedges. We find that the labor wedge in Chile is counter-cyclical. Finally, we show that the labor wedge can be written as the sum of two components: the firm's and the household's. We find that household component is the main driver of Chilean labor market fluctuations.
    Date: 2015–04
  74. By: Asian Development Bank (ADB); Asian Development Bank (ADB) (Southeast Asia Department, ADB); Asian Development Bank (ADB) (Southeast Asia Department, ADB); Asian Development Bank (ADB)
    Abstract: The Bangladesh Quarterly Economic Update (QEU) has been produced by the Bangladesh Resident Mission of the Asian Development Bank since March 2001. The QEU provides information and analysis on Bangladesh’s macroeconomic and sector developments, key development challenges, and policy and institutional reforms. The QEU has wide readership in government, academia, development partners, private sector, and civil society.
    Keywords: Economics, Development, ADB
    Date: 2014–12
  75. By: Melvin Stephens, Jr.; Takashi Unayama
    Abstract: Survey non-response has risen in recent years which has increased the share of imputed and underreported values found on commonly used datasets. While this trend has been well-documented for earnings, the growth in non-response to government transfers questions has received far less attention. We demonstrate analytically that the underreporting and imputation of transfer benefits can lead to program impact estimates that are substantially overstated when using instrumental variables methods to correct for endogeneity and/or measurement error in benefit amounts. We document the importance of failing to account for these issues using two empirical examples.
    JEL: C80 E21 H53 H55
    Date: 2015–06
  76. By: Liu, Kai; Zhou, Xuan
    Abstract: Global Imbalances are mainly featured by the massive and long-lasting U.S. trade deficit. Since the Breton Woods system collapsed and was replaced by the Jamaica Agreement, the U.S. trade deficit has been lasting for about 40 years. This paper proves that permanent global imbalances can be sustainable due to the special role of the U.S. dollar, by building a two-country cash-in-advance growth model with a dollar standard in the international trade. The permanent U.S. trade deficit is an increasing function of the strength of off-shore dollar demand, the long-run growth rate of global nominal GDP, the openness of the international trade, the elasticity of substitution between domestic and foreign goods, and the relative size of the U.S. economy to the rest of the world. The long-run non-neutrality of the U.S. dollar as the world currency exists. Structural global imbalances are accompanied by an unequal international trade with the terms of trade being beneficial to the U.S., and the welfare analysis indicates that: a weakened U.S. dollar in the international trade will reduce the welfare of the U.S. households, but increase the welfare of the whole world.
    Keywords: U.S. dollar, global imbalances, dollar standard, cash in advance
    JEL: E42 F32 F41
    Date: 2015–06–04
  77. By: Kitlinski, Tobias
    Abstract: This paper investigates the effects of public investment in infrastructure on private output for Germany. Using a multivariate framework we explore the impact of a diverging selection of variables on the ensuing estimates and document confidence intervals computed following the bootstrap procedure. Our results suggest that the effect of public investment in infrastructure is positive on GDP and private investment while the labor market is negatively affected. However, the size of the estimated effects strongly depends on the choice of the variables. Furthermore, an investigation of a recursive estimation reveals that the estimated effects decrease over time.
    Abstract: In diesem Papier wird die Wirkung von Verkehrsinfrastrukturinvestitionen auf die deutsche Gesamtwirtschaft untersucht. Dabei wird ein multivariater Ansatz gewählt und der Einfluss von einer unterschiedlichen Wahl von Variablen auf die anschließende Schätzung der Effekte analysiert. Zudem werden Konfidenzintervalle auf Grundlage von einem 'bootstrapping' Ansatz berechnet. Es zeigt sich, dass Verkehrsinfrastrukturinvestitionen einen positiven Effekt auf das Bruttoinlandsprodukt und die privaten Investitionen haben. Dagegen ist der Effekt für den Arbeitsmarkt negativ. Im Allgemeinen hängt die Größe der Effekte von der Wahl der Variablen ab. Zudem zeigt sich durch eine rekursive Schätzung, dass die Effekte im Zeitablauf abnehmen.
    Keywords: Public investment,infrastructure,vector autoregressive models,cointegration
    JEL: E6 H54 R4
    Date: 2015
  78. By: Kitlinski, Tobias
    Abstract: This paper analyzes the forecasting performance of financial market data in comparison to other indicator groups to forecast industrial production for Germany and the US. We focus on single-indicator models and various weighting schemes and evaluate the forecasting performance using a significance test. In addition, we investigate the stability of forecasting models before and during the recent financial crisis. This paper shows that financial market indicators are useful for short-term forecasting, especially for the US and longer forecast horizons. Nevertheless, the results indicate that the Great Recession was not foreseeable even if financial market indicators were taking into account. Furthermore, the reliability of pooled forecasts is higher than most of the forecasts obtained from single-indicator models.
    Abstract: In diesem Papier wird die Fähigkeit von Finanzmarktindikatoren im Vergleich zu anderen Kategorien von Indikatoren für die Prognose der Industrieproduktion in Deutschland und der USA verglichen. Dafür werden einzelne Gleichungen, in die die Indikatoren einfließen, und verschiedene Gewichtungsschemen herangezogen, um die Prognoseleistung zu evaluieren. Darüber hinaus wird die Stabilität der Prognosegüte untersucht, indem sie vor und während der Finanzmarktkrise verglichen wird. Es zeigt sich, dass Finanzmarktindikatoren durchaus nützlich für Kurzfristprognosen sind, insbesondere für die USA und wenn der Prognosezeitraum mehrere Monate umfasst. Nichtsdestotrotz lässt sich festhalten, dass auch unter Berücksichtigung von Finanzmarktindikatoren die Große Rezession nicht hätte vorhergesehen werden können. Zudem zeigt sich, dass Prognosen, die auf Gewichtungsschemen beruhen, stabiler sind als die von einzelnen Indikatorenmodellen.
    Keywords: forecasting,financial market data,single-indicator model,pooling of forecasts
    JEL: C53 E37
    Date: 2015
  79. By: Rühl, Tobias R.; Stein, Michael
    Abstract: In this study, we analyze the effect of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We find that certain announcements are generally more important to the European stock market than others, and that the direction of news is important for returns. We provide first evidence that a stock-individual analysis is crucial to disentangle overall market reactions from stock-specific impacts and that effects vary dramatically between stocks. The analysis of quoted spreads reveals that return volatility affects the spread size positively, and that spreads are systematic ally higher directly after news releases. This is followed by structurally lower spreads, indicating quickly decreasing asymmetric information in the market after announcements. Additionally, spreads tend to react to announcements even if the returns or the volatility of the underlying stock is not significantly affected. This points at the importance of the analysis of news events beyond return and volatility analyses.
    Abstract: In diesem Beitrag analysieren wir die Effekte von makroökonomischen Ankündigungen auf europäische Aktienrenditen, deren Volatilität und deren Geld-Brief Spannen. Unter Verwendung von ultrahochfrequenten Daten zeigt sich, dass bestimmte Ankündigungen generell wichtiger für den Europäischen Aktienmarkt sind als andere, und dass die Richtung der neuen Informationen in den Ankündigungen für die Reaktion von Aktienrenditen wichtig ist. Positive Neuigkeiten führen zu positiven Reaktionen und vice versa. Des Weiteren zeigen wir, dass eine aktienindividuelle Betrachtung entscheidend ist, um Gesamtmarktreaktionen von unternehmensspezifischen Reaktionen auf Ankündigungen zu unterscheiden. Es zeigt sich, dass sich die unternehmensspezifischen Reaktionen zwischen den einzelnen Unternehmen teilweise drastisch unterscheiden. Die Analyse zeigt außerdem, dass Geld-Brief Spannen positiv von der Volatilität der Renditen abhängen, und dass Geld-Brief Spannen direkt nach den Ankündigungen systematisch höher ausfallen. Systematisch niedrigere Geld-Brief Spannen in den Folgeminuten deuten jedoch auf eine rasche Anpassung an die neue Informationslage und schnell abnehmende asymmetrische Information hin. Des Weiteren zeigen unsere Ergebnisse, dass Geld-Brief Spannen auch von Ankündigungen beeinflusst werden, die keinen signifikanten Einfluss auf die Renditen oder die Volatilität der zugrunde liegenden Aktie haben. Dieses Ergebnis unterstreicht die Wichtigkeit der Analyse von Ankündigungen, selbst wenn diese für Renditen oder Volatilitäten unwichtig erscheinen.
    Keywords: macroeconomic announcement effects,european stock market,market microstructure,intraday analysis,bid-ask spreads
    JEL: E44 G14 G15
    Date: 2014
  80. By: Daniel Belingher (Institute for Economic Forecasting, Romanian Academy, Bucharest)
    Abstract: Această lucrare realizează o analiză statistică a dinamicii ciclurilor electorale din România. Perioada studiată începe în 2001 şi durează până la începutul anului 2013 (frecvenţă trimestrială). Pentru a determina aceste tendinţe economico-electorale, au fost folosite două variabile- dinamica cheltuielilor guvernamentale şi totalul încasărilor din taxe şi contribuţii sociale la bugetul de stat. Rezultatele preliminare au arătat faptul că nu există o strânsă legătură între momentele în care există alegeri şi dinamica acestor două variabile.
    Keywords: cicluri electorale, cheltuieli guvernamentale, taxe
    JEL: E62 D72 H20
    Date: 2015–05
  81. By: GHARDACH, jaouad
    Abstract: The present working paper aims to examine theoretically and empirically the long run relationship of the exchange rate pass-through to import prices. Using a heterogeneous panel approach to estimate the ERPT for four developing countries. Our methodology consists of a no stationary panel estimation and a coïntegration test, our results show that the ERPT in developing countries has a heterogeneous character.
    Keywords: ERPT, Panel coïntégration, heterogeneous panel, Pooled Mean Group Estimator
    JEL: C33 D21 E31 F31
    Date: 2014–06–10
  82. By: Silvia Faggian (Department of Economics, University Of Venice Ca’ Foscari, Italy); Giuseppe Freni (Department of Business and Economics, University of Naples “Parthenope”, Naples, Italy.)
    Abstract: This paper provides a continuous-time “Ricardian” model of forestry, where, in response to an increase in timber demand, forest cultivation is progressively intensified on the most fertile lands and/or extended to less fertile qualities of lands. It is shown that, at a given level of the rate of interest, a set of “break-through timber prices” gives the order of fertility (i.e., the order in which the different qualities of land are taken into cultivation) and that, for each land, prices of standing trees are positive above a “threshold timber price”. Since, for each land, the break-through price is higher than the threshold price, Ricardo is shown to be right: a higher demand for timber could simply raise those components of the landlord compensation which are not rent.
    Keywords: Vintage Capital, Ricardian extensive rent theory, Harvesting problems, Forest Management
    JEL: C61 C62 E22 D90 Q23
    Date: 2015
  83. By: Borek Vašícek; Diana Žigraiová; Marco Hoeberichts; Robert Vermeulen; Katerina Šmídková; Jakob de Haan
    Abstract: This paper examines which variables have predictive power for financial stress in a sample of 25 OECD countries, using a recently constructed Financial Stress Index (FSI). First, we employ Bayesian model averaging to identify leading indicators of our FSI. Next, we use those indicators as explanatory variables in a panel model for all our countries and in models at the individual country level. It turns out that panel models can hardly explain FSI dynamics. Although better results are achieved in models estimated at the country level, our findings suggest that (increases in) financial stress is (are) hard to predict out-of-sample.
    Keywords: financial stress index; Bayesian model averaging; early warning indicators
    JEL: E5 G10
    Date: 2015–06
  84. By: Eduardo Antonelli
    Abstract: Se propone un nuevo enfoque para explicar la distribución funcional del ingreso, el cual está basado en curvas de oferta y demanda a escala unitaria. Este enfoque obvia las críticas de la teoría de la distribución basada en la productividad marginal.
    Keywords: Distribución; Brecha distributiva; Controversia de Cambridge
    JEL: E0 J0
    Date: 2014–12–19
  85. By: Tasha Fairfield
    Abstract: How can policymakers circumvent obstacles to taxing economic elites? This question is critical for developing countries, especially in Latin America where strengthening tax capacity depends significantly on tapping under-taxed, highly-concentrated income and profits. Drawing on diverse literatures and extensive fieldwork, the paper identifies six strategies that facilitate enactment of modest tax increases by mobilizing popular support and/or tempering elite antagonism. Case studies from Chile, Argentina, and Bolivia illustrate the effect of these strategies on the fate of tax reform initiatives. The analysis builds theory on tax politics and yields implications for research on reform coalitions and gradual institutional change.
    Keywords: comparative politics; economic elites; inequality; Latin America; politics of policymaking; tax reform
    JEL: E6
    Date: 2013–07
  86. By: Peter, Eckley
    Abstract: We develop a news-media textual measure of aggregate economic uncertainty, defined as the fraction of Financial Times articles that contain uncertainty-related keyphrases, at frequencies from daily to annual, from January 1982 to April 2014. We improve on existing similar measures in several ways. First, we reveal extensive and irregular duplication of articles in the news database most widely used in the literature, and provide a simple but effective de-duplication algorithm. Second, we boost the uncertainty ‘signal strength’ by 14% through the simple addition of the word “uncertainties” to the conventional keyword list of “uncertain” and “uncertainty”, and show that adding further uncertainty-related keyphrases would likely constitute only a second-order adjustment. Third, we demonstrate the importance of normalising article counts by total news volume and provide the first textual uncertainty measure to do so for the UK. We empirically establish the plausibility of our measure as an uncertainty proxy through a detailed narrative analysis and a detailed comparative analysis with another popular uncertainty proxy, stock returns volatility. We show the relationship between these proxies is strong and significant on average, but breaks down periodically. We offer plausible explanations for this behaviour. We also establish the absence of Granger causation between the measures, even down to daily (publication) frequency.
    Keywords: economic uncertainty; news-media; text-mining; stock returns volatility
    JEL: C80 D80 E66 G10
    Date: 2015–01–30
  87. By: Benoît Carmichael; Jean Armand Gnagne; Kevin Moran
    Abstract: This paper assesses the impact that a widely-based Securities Transaction Tax (STT) could have on the likelihood of systemic financial crises. We apply the methodology developed by Demirgüç-Kunt and Detragiache (1998) [IMF Staff Papers 45 (1)] to a panel dataset of 34 OECD countries for the sample 1973 – 2012, using a measure of a country’s average bid-ask spread in financial markets as a proxy for the likely effect of a STT on transactions costs. Our results indicate that the establishment of a STT could sizeably increase the risk of financial crises.
    Keywords: Securities Transaction Tax, Tobin Tax, Regulation, Financial Crises
    JEL: E13 G15 G17
    Date: 2015
  88. By: Byrnes, Liam; Brown, Colin
    Abstract: As Australia grapples with increasing renewable energy penetration and the appropriate climate change strategy, renewable energy policy plays an increasingly important role. In recent years the renewable energy policy environment has become increasingly politicised and uncertain. The implications for the industry are significant. In light of this policy environment, this paper sets out the economic theory behind public sector market intervention and contextualises it within the Australian renewable energy context. It highlights the barriers facing renewable energy deployment and explores the current status of Australian renewable energy policy. This analysis reveals market failures and other barriers to deployment as well as entrenched enabling policy, regulatory and institutional frameworks for fossil fuel industries. This context was found to justify government intervention to support the renewables sector and improve overall economic efficiency. Building on this analysis, five observations relevant to the development of future renewable energy policy are outlined.
    Keywords: Energy Policy; Energy; Renewable Energy Policy; Renewable; Policy Development; Australia
    JEL: E61 E65 H0 H3 O2 O3
    Date: 2015–05
  89. By: Alexander Herzog; Kenneth Benoit
    Abstract: Economic crisis and the resulting need for austerity budgets have divided many governing parties and coalitions in Europe, despite strong party discipline in the legislative voting on these harsh budgets. We measure these divisions using automated text analysis methods to scale the positions that legislators express in budget debates, in an effort to avoid punishment by voters for supporting austerity measures, while still adhering to strict party discipline by voting along party lines. Our test case is Ireland, a country that has experienced both periods of rapid economic growth as well as one deep financial and economic crisis. Tracking dissent from 1987 to 2013, we show that austerity measures undermine government cohesion, as verbal opposition markedly increases in direct response to the economic pain felt in a legislator’s constituency. The economic vulnerability of a legislator’s constituency also directly explains position taking on austerity budgets among both government and opposition.
    Keywords: Text analysis; intra-party politics; economic crisis; budget debates; parliamentary speeches
    JEL: E6
    Date: 2015
  90. By: Hossen, Sayed Mohibul
    Abstract: Chili is one of the most significant marketable crops of Bangladesh. It is grown almost all over the country. There are more than 400 different varieties of Chili’s found all over the world. It is also called as hot pepper, sweet pepper, bell pepper, etc. Both chili and capsicum belong to same family as well as same genus that is Capsicum. C. frutescent is used for their small and very pungent fruits in hot sauces and as spices. It contains large amounts of vitamin C, small amounts of carotene (Provitamin A), vitamin B, vitamin B6, potassium, magnesium, and iron (USDA Nutrient Database). Bangladesh is one of the best producers, but there is no enough industry for preserving this fruit. So, all the production become indeed in consumption. The aim of the research is to know the cultural practices of chili in Bangladesh and how to make sweetened chili dishes that can play a vital role in our economy. This research considers the annual time series data for the period 2001-02 to 2010-11 and over seven divisions of Bangladesh. The data have been collected from various publications of BBS (Bangladesh Bureaus of Statistics) and BARC (Bangladesh Agriculture Research Council), the data of districts have been aggregated for seven divisions namely, Dhaka, Chittagong, Rajshahi, Khulna, Barisal, Sylhet, and Rangpur. Realizing the limitations of data availability, only nine variables are considered in the present research. Total production of Chili is taken as the dependent (endogenous) variable. The price of the Chili and seven divisions are considering as independent (exogenous) variables. The number of variables to be included in the model depends on the nature of the phenomenon under consideration and the purpose of the research.
    Keywords: Chili, Production, Prospect, Bangladesh
    JEL: D24 E23 L11 M11 R32
    Date: 2015–06–06
  91. By: Bucher-Koenen, Tabea; Koenen, Johannes (Munich Center for the Economics of Aging (MEA))
    Abstract: In this paper, we study the interaction between financial advisors and customers with a potential conflict of interest. We show in a simple analytical framework that advisors have an incentive to provide better advice to consumers who appear to be better informed. From this, we derive an identification strategy to infer the quality of advice received from variables observed in a representative survey of German consumers. Our identification strategy makes use of the fact that we observe both a generally observable signal of a customer's financial literacy as well as an objective measure, which is not observed by the advisor. We apply this strategy to three different empirical settings. In each of these settings, we find consistent evidence that consumers with worse signals of financial literacy on average receive worse financial advice. In particular, both women and individuals without tertiary education are negatively affected.
    JEL: G2 E2 D8
    Date: 2015–02–26
  92. By: Ojo, Marianne
    Abstract: This paper is aimed at highlighting Posner and Hayek’s consensus on the importance of decentralization, as well as the significance of the incorporation of non-legal actors as tools for facilitating the efficient allocation of resources in common law. In addition to highlighting the consensus on the views of Posner and Hayek, in respect of de centralization of information within the judicial process, this paper aims to address why de centralization serves as a vital tool in facilitating the objective of common law as an efficiency allocation mechanism. Whilst it is argued that lower court judges may not and should not be given such flexibility to make and unmake the law, the principles and decisions of law lords acting in the capacity of legislature, have also illustrated in several leading cases that the flexibility intended by Parliament may be misinterpreted and wrongly applied in future cases. This has also resulted in the criticism of extrinsic aids to statutory interpretation. This paper analyses and expands on these observations.
    Keywords: legitimate expectations; certainty; flexibility; judicial precedents; statutory interpretation; allocative efficiency; Pepper v Hart; Daubert; common law; regulatory capture; regulation
    JEL: D8 E3 G3 K2 M4
    Date: 2015–06

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