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on Macroeconomics |
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Issue of 2015‒07‒25
120 papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Melesse Wondemhunegn Ezezew (Department of Economics, University Of Venice Cà Foscari) |
| Abstract: | In the last few years, macroeconomic modelling has emphasised the role of credit market frictions in magnifying and transmitting nominal and real disturbances and their implication for macro-prudential policy design. In this paper, we construct a modest New Keynesian general equilibrium model with active banking sector. In this set-up, the financial sector interacts with the real side of the economy via firm balance sheet and bank capital conditions and their impact on investment and production decisions. We rely on the financial accelerator mechanism due to Bernanke et al. (1999) and combine it with a bank capital channel as demonstrated by Aguiar and Drumond (2007). We calibrate the resulting model from the perspective of a low income economy reflecting the existence of relatively high investment adjustment cost, strong fiscal dominance, and underdeveloped financial and capital markets where the central bank uses money growth in stabilizing the national economy. Then we examine the impulse response of selected endogenous variables to shocks stemming from the fiscal authority, the monetary policy process, and technological progress. The findings are broadly consistent with previous studies that demonstrated stronger role for credit market imperfections in amplifying and propagating monetary policy shocks. Moreover, we also compare the trajectory of the model economy under alternative monetary policy instruments. The results suggest that the model with money growth rule generates higher volatility in output and inflation than the one with interest rate rule. |
| Keywords: | Firm net worth, bank equity, monetary policy transmission, macro-prudential regulation, business cycle |
| JEL: | E32 E44 E50 C68 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:ven:wpaper:2015:20&r=mac |
| By: | Antonio M. Conti (Bank of Italy); Stefano Neri (Bank of Italy); Andrea Nobili (Bank of Italy) |
| Abstract: | Inflation in the euro area has been falling steadily since early 2013 and at the end of 2014 turned negative. Part of the decline has been due to oil prices, but the weakness of aggregate demand has also played a significant role. This paper uses a VAR model to quantify the contribution of oil supply, aggregate demand and monetary policy shocks (identified by means of sign restrictions) on inflation in the euro area. The analysis suggests that in the last two years inflation has been driven down by all three factors, as the effective lower bound to policy rates has prevented the European Central Bank from reducing the short-term rates to support economic activity and align inflation with the definition of price stability. Remarkably, the joint contribution of monetary and demand shocks is at least as important as that of oil price developments to the deviation of inflation from its baseline. Country-by-country analysis shows that both aggregate demand and oil supply shocks have driven inflation down everywhere, albeit with varying intensity. The findings stand confirmed after a series of robustness checks. |
| Keywords: | oil supply, monetary policy, inflation, VAR models, Bayesian methods |
| JEL: | C32 E31 E32 E52 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1019_15&r=mac |
| By: | Isoré, Marlène; Szczerbowicz, Urszula |
| Abstract: | This paper analyzes the effects of a change in a small but time-varying “disaster risk” à la Gourio (2012) in a New Keynesian model. In a real business cycle framework, the disaster risk has been successful in replicating observed moments of equity premia. However, responses of macroeconomic variables critically depend on the value of the elasticity of intertemporal substitution (EIS). In particular, we show here that an increase in the probability of disaster causes a recession only in case of an EIS larger than unity, which may be arbitrarily large. Nevertheless, we also find that incorporating sticky prices allows to conciliate recessionary effects of the disaster risk with a plausible value of the EIS. A higher disaster risk is then also associated with an increase in the discount factor and with deflation, making it consistent with the preference shock literature (Christiano et al., 2011). |
| Keywords: | disaster risk, rare events, uncertainty, asset pricing, DSGE models, New Keynesian models, business cycles |
| JEL: | E20 E31 E32 E44 G12 Q54 |
| Date: | 2015–07–15 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65643&r=mac |
| By: | Barrdear, John (Bank of England) |
| Abstract: | Modifying the standard New-Keynesian model to replace firms' full information and sticky prices with flexible prices and dispersed information, and imposing mild and plausible restrictions on the monetary authority's decision rule, produces the striking results that (i) there exists a unique and globally stable steady-state rate of inflation, despite the possibility of a lower bound on nominal interest rates; and (ii) in the vicinity of steady-state, the price level is determinate (and not just the rate of inflation), despite the central bank targeting inflation. The specification of firms' signal extraction problem under dispersed information removes the need to make use of Blanchard-Kahn conditions to solve the model,thereby removing the need to adhere to the Taylor principle and consequently circumventing the critique of Cochrane (2011). The model admits a determinate, stable solution with no role for sunspot shocks when the monetary authority responds by less than one-for-one to changes in expected inflation,including under an interest rate peg. An extension to include incomplete information on the part of the central bank permits the consideration of (rational) errors of judgement on the part of policymakers and provides a theoretical basis for inertial policymaking without interest rate smoothing, in support of Rudebusch (2002, 2006. |
| Keywords: | New-Keynesian; indeterminacy; dispersed information; FTPL; Blanchard-Kahn; Taylor rules; Taylor principle. |
| JEL: | D82 D84 E31 E52 |
| Date: | 2015–07–10 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0532&r=mac |
| By: | Hollmayr, Josef; Matthes, Christian |
| Abstract: | What happens when fiscal and/or monetary policy changes systematically? We construct a DSGE model in which agents have to estimate fiscal and monetary policy rules and assess how uncertainty surrounding the conduct of policymakers influences transition paths after policy changes. We find that policy changes of the magnitude often considered in the literature can lead private agents to hold substantially different views about the nature of equilibrium than would be predicted by a full information analysis. In particular, random walk-like behavior can be observed for a large number of periods in equilibrium, even though the models we use admit stationary dynamics under full-information rational expectations. |
| Keywords: | DSGE,Monetary-Fiscal Policy Interaction,Learning |
| JEL: | E32 D83 E62 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:142015&r=mac |
| By: | Blanchard, Olivier (International Monetary Fund); Erceg, Christopher J. (Federal Reserve Board); Lindé, Jesper (Research Department, Central Bank of Sweden) |
| Abstract: | We show that a fiscal expansion by the core economies of the euro area would have a large and positive impact on periphery GDP assuming that policy rates remain low for a prolonged period. Under our preferred model specification, an expansion of core government spending equal to one percent of euro area GDP would boost periphery GDP around 1 percent in a liquidity trap lasting three years, about half as large as the effect on core GDP. Accordingly, under a standard ad hoc loss function involving output and inflation gaps, increasing core spending would generate substantial welfare improvements, especially in the periphery. The benefits are considerably smaller under a utility-based welfare measure, reflecting in part that higher net exports play a material role in raising periphery GDP. |
| Keywords: | Monetary Policy; Fiscal Policy; Liquidity Trap; Zero Bound Constraint; DSGE Model; Currency Union |
| JEL: | E52 E58 |
| Date: | 2015–07–01 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:rbnkwp:0304&r=mac |
| By: | Medel, Carlos A. |
| Abstract: | This article critically reviews and proposes further extensions to Posch, J. and F. Rumler (2015), 'Semi-Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve,' Journal of Forecasting 34(2): 145-62. |
| Keywords: | New Keynesian Phillips Curve; inflation forecasts |
| JEL: | C22 C53 E31 E37 E47 |
| Date: | 2015–07–17 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65665&r=mac |
| By: | Matias Escudero; Martin Gonzalez-Rozada; Martin Sola |
| Abstract: | Using a dynamic stochastic general equilibrium model with financial frictions we study the effects of a rule that incorporates not only the interest rate but also the legal reserve requirements as instruments of the monetary policy. We evaluate the effectiveness of both instruments to accomplish the inflationary and/or financial stability objectives of the Central Bank of Uruguay. The main findings are that: (i) reserve requirements can be used to achieve the inflationary objectives of the Central Bank. However, reducing inflation using this instrument, it also produces a real appreciation of the Uruguayan peso; (ii) when the Central Bank uses the monetary policy rate as an instrument, the effect of the reserve requirements is to contribute to reduce the negative impact over consumption, investment and output of an eventual increase in this rate. Nevertheless, the quantitative results in terms of inflation reduction are rather poor; and (iii) the monetary policy rate becomes more effective to reduce inflation when the reserve requirement instrument is solely directed to achieve financial stability and the monetary policy rate used to achieve the inflationary target. Overall, the main policy conclusion of the paper is that having a non-conventional policy instrument, when well-targeted, can help effectively inflation control. Moving reserve requirements can also be instrumental in offsetting the impact of monetary policy on the real exchange rate. |
| Keywords: | dynamic stochastic general equilibrium models, financial frictions, monetary policy, reserve requirements, inflation targeting, non-conventional policy instruments |
| JEL: | E52 E58 |
| Date: | 2014–01 |
| URL: | http://d.repec.org/n?u=RePEc:udt:wpecon:2014-01&r=mac |
| By: | Theodoros S. Papaspyrou (Bank of Greece) |
| Abstract: | This paper, drawing on the lessons from the sovereign debt crisis, tries to give answers to some key questions: Was the strategy and specific actions to cope with the crisis appropriate? Was the priority given to preserving financial stability justified? Are stability and growth objectives possible in EMU? What is the scope for national economic policy in the new policy framework? It emerges from the analysis that, after some initial weaknesses in policy action, decisive initiatives by EU authorities, supported by significant progress to strengthen further economic and financial governance and reduce macroeconomic imbalances succeeded in preserving the stability and integrity of the euro area. While the priority given by the EU policy action to financial stability was fully justified, it is also clear that robust economic growth is essential for durable financial stability and overall welfare. Policies enhancing both stability and growth are possible in EMU and some of them have started being implemented while others are at an advanced stage of development. There is ample scope for national economic policies which, if well-designed and properly implemented, will enhance the growth potential of member countries. However, legacy problems such as the excessive government debt burden in some countries must be resolved |
| Keywords: | Economic governance in EMU; the sovereign debt crisis; adjustment in a monetary union; European economic and financial integration; financial stability and growth; national economic policy in EMU |
| JEL: | E42 E44 E52 E61 F32 F33 F41 |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:bog:wpaper:192&r=mac |
| By: | Fabio C. Bagliano (Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, Italy); Claudio Morana (Department of Economics, University of Milan-Bicocca) |
| Abstract: | A large-scale model of the global economy is used to investigate the structural determinants of the Great Moderation and the transition to the Great Recession (1986-2010). Beside the global economy perspective, the model presents the novel feature of a broad range of included financial variables and risk factors measures. The results point to the relevance of various mechanisms related to the global monetary policy stance (Great Deviation), financial institutions’ risk taking behavior (Great Leveraging) and global imbalances (savings glut), in shaping aggregate ‡uctuations. The paper finally contributes to the literature on early warning indicators, assessing the information content of risk factor innovations for the prediction of the timing and depth of the Great Recession. |
| Keywords: | Great Moderation, Great Recession, risk factors, early warning system, macro-...nancial instability; FAVAR models. |
| JEL: | E32 E44 G01 G15 C22 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:tur:wpapnw:031&r=mac |
| By: | Congressional Budget Office |
| Abstract: | Although federal deficits have shrunk markedly in recent years, increased spending for Social Security and major health care programs, along with increasing interest costs, would cause debt to rise steadily over the long term. The larger deficits would cause federal debt to grow faster than the economy. By 2040, CBO projects debt would be more than 100 percent of GDP and continue on an upward path—a trend that cannot be sustained indefinitely. |
| JEL: | E20 E60 E61 E62 E66 H50 H51 H53 H55 H60 H61 H62 H63 H68 |
| Date: | 2015–06–16 |
| URL: | http://d.repec.org/n?u=RePEc:cbo:report:50250&r=mac |
| By: | Fabrice Murtin (Departement d'Economie de Sciences Po); Jean-Marc Robin (Département d'économie) |
| Abstract: | In this paper, we quantify the contribution of labor market reforms to unemployment dynamics in nine OECD countries (Australia, France, Germany, Japan, Portugal, Spain, Sweden, the United Kingdom and the United States). We build and estimate a dynamic stochastic search-matching model with heterogeneous workers, where aggregate shocks to productivity fuel up the cycle, and unanticipated policy interventions shift structural parameters and displace the long-term equilibrium. We show that the heterogeneous-worker mechanism proposed by Robin (2011) to explain unemployment volatility by productivity shocks works well in all countries. The amount of resources injected into placement and employment services, the reduction of UI benefits and product market deregulation stand out as the most prominent policy levers for unemployment reduction. All other LMPs have a significant but lesser impact. We also find that business cycle shocks and LMPs explain about the same share of unemployment volatility (except for Japan, Portugal and the US). |
| Keywords: | Unemployment Dynamics; Turnover; Labor Market Institutions; Job Search; Matching Function |
| JEL: | E24 E31 J21 |
| Date: | 2014–01 |
| URL: | http://d.repec.org/n?u=RePEc:spo:wpmain:info:hdl:2441/42tkpm5t7862r5ipdeiq2voou&r=mac |
| By: | Marcello Pericoli (Bank of Italy); Giovanni Veronese (Bank of Italy) |
| Abstract: | We analyze the impact of US macroeconomic surprises and forecaster heterogeneity on the USD/EUR exchange rate and US and German long-term interest rates from 1999 to 2014. We show how a direct proxy of macroeconomic disagreement, given by the heterogeneity of beliefs among forecasters regarding the upcoming macroeconomic release, matters to explain the daily and intra-day movements. Surprises impact more strongly long-term yields and the exchange rate when forecaster heterogeneity is smaller. This result, holds for the main US macroeconomic surprises and is robust to the frequency of the data used in the estimation. However the sensitivity changes with the sample. To this end, we show how estimating the same regressions in a pre-crisis period, a crisis period, and an unconventional monetary policy period there is evidence of time variation in the responses: unconventional monetary policies attenuated the response of the exchange rate to US\ macroeconomic news, while no major change occurred for long-term interest rates in the US and in the euro area. The disagreement regimes remain relevant in determining an asymmetric response of these asset prices. Our finding underscores the importance of considering beliefs heterogeneity to describe the behavior of asset prices even at high frequency. |
| Keywords: | surprises, forecaster heterogeneity, foreign exchange, long-term interest rates, unconventional monetary policy |
| JEL: | E44 E52 F31 G14 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1020_15&r=mac |
| By: | Leeper, Eric M. (Indiana University and NBER); Nason, James M. (zNorth Carolina State University and CAMA) |
| Abstract: | This paper arms central bank policy makers with ways to think about interactions between financial stability and monetary policy. We frame the issue of whether to integrate financial stability into monetary policy operating rules by appealing to the observation that in actual economies financial markets are incomplete. Incomplete markets create financial market frictions that prevent economic agents from perfectly sharing risk; in the absence of frictions, financial (in)stability would be of no concern. Overcoming these frictions to improve risk sharing across economic agents is, in our view, the intent of policies geared toward ensuring financial stability. There are many definitions of financial stability. Although the definitions share the notion that financial stability becomes an issue for policy makers when a breakdown in risk-sharing arrangements in financial markets has a negative effect on real economic activity, we give several examples that show this notion is too general for thinking about the role monetary policy might have in smoothing shocks to financial stability. Examples include statistical models that seek to separate “good” from “bad” changes in private-sector debt ag- gregates, new Keynesian policy prescriptions grounded in neo-Wicksellian natural rate rules, and a historical episode involving the 1920s Federal Reserve. These examples raise a cautionary flag for policy attempts to control the growth and the composition of debt that financial markets produce. We conclude with some advice for revising central banks’Monetary Policy Reports. |
| Keywords: | Financial frictions; incomplete markets; crises; new Keynesian; natural rate; monetary transmission mechanism |
| JEL: | E30 E40 E50 E60 G20 N12 |
| Date: | 2015–07–01 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:rbnkwp:0305&r=mac |
| By: | Shesadri Banerjee and Parantap Basu (National Council for Applied Economic Research) |
| Abstract: | Over the last decade, the Dynamic Stochastic General Equilibrium (DSGE) framework has become a workhorse for macroeconomic analysis in both academic and policy circles. Following this emerging trend, we aim to expand our research capacity in macroeconomics at NCAER by introducing a baseline DSGE model for the Indian economy. This working paper comes out as a part of this process. In this paper, we make two contributions. First, we explore the empirical regularities of the Indian business cycle and establish a few stylized facts. Second, we produce a baseline DSGE model that can serve as an analytical framework for understanding these stylized facts. The model has a small open economy feature with a clear demarcation between consumption and investment goods sectors. We simulate the model with plausible parameterization based on the DSGE literature. Our results show that the baseline model can replicate the stylized facts reasonably well. |
| Keywords: | DSGE, Indian Economy, IST and TFP Shocks |
| JEL: | E2 E6 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:eab:macroe:24975&r=mac |
| By: | Mehmet Balcilar (Department of Economics, Eastern Mediterranean University, Famagusta, Northern Cyprus, Turkey and Department of Economics, University of Pretoria, Pretoria, 0002, South Africa); Rangan Gupta (Department of Economics, University of Pretoria); Charl Jooste (Department of Economics, University of Pretoria) |
| Abstract: | We study the evolution of monetary policy uncertainty and its impact on the South African economy. We show that volatility is high and constant using a stochastic volatility model in a sign-restricted VAR setup. Stochastic volatility is model driven and there is an endogenous economic response to uncertainty. Both inflation and interest rates decline in response to uncertainty. Output rebounds quickly after a contemporaneous decrease. We study the transmission mechanism of uncertainty for South Africa using a nonlinear DSGE model. The model is calibrated based on the existing literature while the persistence and size of uncertainty is taken from the empirical VAR. The DSGE model shows that the size of the uncertainty shock matters - high uncertainty can lead to a severe contraction in output, inflation and interest rates. |
| Keywords: | Uncertainty, nonlinear DSGE, stochastic volatility |
| JEL: | C10 E52 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:201551&r=mac |
| By: | World Bank Group |
| Keywords: | Finance and Financial Sector Development - Access to Finance Finance and Financial Sector Development - Currencies and Exchange Rates Private Sector Development - Emerging Markets Finance and Financial Sector Development - Bankruptcy and Resolution of Financial Distress Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth - Economic Development Macroeconomics and Economic Growth - Fiscal & Monetary Policy |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22070&r=mac |
| By: | Gagnon, Etienne (Board of Governors of the Federal Reserve System (U.S.)); Lopez-Salido, J. David (Board of Governors of the Federal Reserve System (U.S.)); Sockin, Jason A. (Board of Governors of the Federal Reserve System (U.S.)) |
| Abstract: | Coibion, Gorodnichenko, and Hong (2015) argue that the CPI underestimates the deceleration in consumer prices during economic downturns because the index fails to account for the reallocation of consumer spending from high- to low-price stores. We show that these authors' measures of inflation with and without store switching suffer from several methodological deficiencies, including an excessive truncation of price adjustments and the lack of a treatment for missing observations. When we address these deficiencies, the authors' key regression results no longer suggest that greater store switching during downturns is a statistically or economically significant phenomenon. |
| Keywords: | Outlet substitution bias; effective prices; inflation measurement |
| JEL: | D12 E31 E32 |
| Date: | 2015–07–09 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2015-52&r=mac |
| By: | Tom Krebs (Universitat Mannheim); Moritz Kuhn (University of Bonn); Mark Wright (University of California, Los Angeles) |
| Abstract: | We use data from the Survey of Consumer Finance and Survey of Income Program Participation to show that young households with children are under-insured against the risk that an adult member of the household dies. We develop a tractable macroeconomic model with human capital risk, age-dependent returns to human capital investment, and endogenous borrowing constraints due to the limited pledgeability of human capital. We show analytically that, consistent with the life insurance data, in equilibrium young households are borrowing constrained and under-insured. A calibrated version of the model can quantitatively account for the life-cycle variation of life-insurance holdings, financial wealth, earnings, and consumption inequality observed in the US data. Our analysis implies that a reform that makes consumer bankruptcy more costly, like the Bankruptcy Abuse Prevention and Consumer Protection Act of 2005, leads to a substantial increase in the volume of both credit and insurance. |
| Keywords: | human capital risk, limited enforcement, life insurance |
| JEL: | E21 E24 D52 J24 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:hka:wpaper:2015-010&r=mac |
| By: | Rendon, Sílvio (Federal Reserve Bank of Philadelphia); Quella-Isla, Núria (Barnard College, Columbia University) |
| Abstract: | In this paper, we investigate to what extent shocks in housing and financial markets account for wage and employment variations in a frictional labor market. To explain these interactions, we use a model of job search with accumulation of wealth as liquid funds and residential real estate, in which house prices are randomly persistent. First, we show that reservation wages and unemployment are increasing in total wealth. And, second, we show that reservation wages and unemployment are also responsive to the composition of wealth. Specifically, when house prices are expected to rise, holding a larger share of wealth as residential real estate tends to increase reservation wages, which deteriorates employment transitions and increases unemployment. We estimate our model structurally using National Longitudinal Survey of Youth data from 1978 to 2005, and we find that more relaxed house financing conditions, in particular lower down payment requirements, decrease employment rates by 5 percentage points in the short run and by 2 percentage points in the long run. We also find that worse labor market conditions immediately increase homeownership rates by up to 5 percent points, whereas in the long run homeownership decreases by 8 percentage points. |
| Keywords: | Job search; Housing; Savings; Structural estimation |
| JEL: | E21 E24 J64 R21 |
| Date: | 2015–07–21 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:15-27&r=mac |
| By: | Razmi, Fatemeh; Mohamed, Azali; Chin, Lee; Habibullah, Muzafar Shah |
| Abstract: | This paper examines the impact of oil price, as a cause of economic crisis, and monetary policy through the four known channels of monetary transmission mechanism (interest rate, exchange rate, domestic credit, and stock price). Using a structural vector autoregression model based on monthly data from 2002 to 2013 for Association of Southeast Asian Nations-4 countries, oil price and monetary transmission channels are compared pre- and post-crisis. The result indicates oil price remains an important factor in explaining price volatility, even though oil price has a weaker effect compared to a stronger effect of monetary transmission mechanism on prices. Stock price for Malaysia and domestic credit for the three others can affect the prices against oil price shock. Unlike prices, the output of all countries except Thailand is more affected by oil price post-crisis compared to pre-crisis. Different monetary transmission tools affecting industrial production are compared for the four countries. |
| Keywords: | monetary transmission, global financial crisis, oil price shock |
| JEL: | E52 Q43 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65714&r=mac |
| By: | Jang-Ting Guo (Department of Economics, University of California Riverside); Shu-Hua Chen (National Taipei University) |
| Abstract: | In the context of a standard one-sector AK model of endogenous growth, we show that the economy exhibits equilibrium indeterminacy and belief-driven aggregate fluctuations under progressive taxation of income. When the tax schedule is regressive or flat, the economy's balanced growth path displays saddle-path stability and equilibrium uniqueness. These results imply that in sharp contrast to a conventional automatic stabilizer, progressive income taxation may destabilize an endogenously growing macroeconomy by generating cyclical fluctuations driven by agents' self-fulfilling expectations or sunspots. |
| Keywords: | Progressive Income Taxation, Endogenous Growth, Equilibrium (In)determinacy. |
| JEL: | E62 O41 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:ucr:wpaper:201509&r=mac |
| By: | Giuseppe Moscarini (Yale University); Fabien Postel-Vinay (Departement d'Economie de Sciences Po) |
| Abstract: | We provide a quantitative exploration of business cycles in a frictional labor market under contract-posting. The steady-state random search and wage-posting model of Burdett and Mortensen (1998) has become the canonical structural framework for empirical analysis of worker turnover and equilibrium wage dispersion. In this paper, we provide an efficient algorithm to simulate a dynamic stochastic equilibrium version of this model, the Stochastic Burdett-Mortensen (SBM) model, and evaluate its performance against empirical evidence on fluctuations in unemployment, vacancies and wages. |
| Keywords: | Equilibrium Job Search; Dynamic Contracts; Stochastic Dynamics; Business Cycles |
| JEL: | J64 J31 E32 |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:spo:wpmain:info:hdl:2441/5taek6gt3k8m0r69e1j1ombcc5&r=mac |
| By: | Kundu, Nobinkhor; Mollah, Muhammad Musharuf Hossain |
| Abstract: | The demand for money is crucial important tool of monetary policy to deal with the macroeconomic problems and to prescribe appropriate policy of the economy. This paper investigates to empirically explore the long-run equilibrium for demand for real money balance as well as short-run dynamics in the context of monetary policy in Bangladesh. Using time-series annual data for the period 1981 to 2012 and applying the methods of cointegration and error-correction, the study find a single cointegrating equation showing long-run stable relationship between demand for money and explanatory variables in the model. The study also finds convergence of short-run dynamics towards statistically significant long-run equilibrium and concludes that the results have important implications for the conduct of monetary policy in Bangladesh. |
| Keywords: | Demand for Money, Cointegration, Bangladesh |
| JEL: | C22 C52 E41 |
| Date: | 2014–08–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65727&r=mac |
| By: | World Bank Group |
| Keywords: | Finance and Financial Sector Development - Debt Markets Public Sector Development Finance and Financial Sector Development - Currencies and Exchange Rates Private Sector Development - Emerging Markets Macroeconomics and Economic Growth - Economic Forecasting Macroeconomics and Economic Growth - Economic Growth |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22072&r=mac |
| By: | Anastasios Evgenidis (University of Patras); Costas Siriopoulos (Zayed University) |
| Abstract: | In this paper, we examine the international transmission of US monetary policy shocks across euro area and Asian countries by using a FAVAR model. We first examine all possible channels through which a policy shock is transmitted to each country. In general the transmission of the shock hides considerable heterogeneity across the countries. We find that the trade balance is important in explaining GDP spillover effects in the case of Singapore. Wealth effects along with the world interest rate channel explain the negative propagation of the US shock to the GDP of Hong Kong, the Philippines and Singapore. The exchange rate channel can explain the positive spillover effects on GDP in Korea and Japan. For the euro area, an endogenous response of the euro area monetary authority is observed. The wealth effect through the role of effective exchange rates seems adequate to describe the transmission of the shock to European countries. For Germany and Italy the decline in lending and spending reveal the importance of the balance sheet channel in the shock transmission. Second, we investigate to what extent the transmission mechanism has changed over time. For the 2007 financial crisis, our results indicate that the majority of the countries in both regions witness an increase in the size of the shock to real activity, inflation and credit variables in the post crisis period. |
| Keywords: | Monetary Policy; International Transmission Mechanism; FAVAR; Bayesian Statistics; Time Varying Parameters |
| JEL: | C38 E52 F41 |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:bog:wpaper:190&r=mac |
| By: | Kajal Lahiri (Department of Economics, University at Albany, State University of New York); George Monokroussos (European Comission, Joint Research Centre (JRC)); Yongchen Zhao (Department of Economics, Towson University) |
| Abstract: | We study the role of consumer confidence in forecasting real personal consumption expenditure, and contribute to the extant literature in three substantive ways: First, we reexamine existing empirical models of consumption and consumer confidence not only at the quarterly frequency, but using monthly data as well. Second, we employ real-time data in addition to commonly used revised vintages. Third, we investigate the role of consumer confidence in a rich information context. We produce forecasts of consumption expenditures with and without consumer confidence measures using a dynamic factor model and a large, real-time, jagged-edge data set. In a robust way, we establish the important role of confidence surveys in improving the accuracy of consumption forecasts, manifesting primarily through the services component. During the recession of 2007-09, sentiment is found to have a more pervasive effect on all components of aggregate consumption - durables, non-durables and services. |
| Keywords: | Forecasting, Consumption, Consumer Sentiment, Factor Models, Kalman Filter, Real-Time Data, Fluctuation test. |
| JEL: | C53 E21 E27 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:tow:wpaper:2015-02&r=mac |
| By: | Joseph E. Stiglitz |
| Abstract: | This paper considers two central problems in our statistical frameworks which impair the ability to use wealth to assess economic sustainability or the impacts of economic downturns. Some increases in wealth may reflect increased economic rents—in particular, land and exploitation rents—and their capitalized value, unrelated to an increase in the productive capacity of the economy. Another major problem in our wealth accounts is the “missing capital” required to explain the marked decrease in economic output, at the time of the recession and in the years following, that cannot be fully accounted for by a decrease in measured inputs. When account is taken of this missing capital, the adverse effects of austerity appear much greater than suggested by the standard national income accounts. |
| JEL: | D31 E21 E22 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:21327&r=mac |
| By: | World Bank Group |
| Keywords: | Environmental Economics and Policies Banks and Banking Reform Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth Environment |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21803&r=mac |
| By: | L. Marattin; S. Meraglia |
| Abstract: | We analyze fiscal rules within a Monetary Union in the presence of (i) asymmetric information about member states’ potential output and, therefore, output gap and (ii) bail-out among member states. In our framework, bail-out lowers the scope for signalling (discrimination) by member states (lenders). In the presence of asymmetric information, bail-out and national governments’ shortsightedness make the first-best fiscal rule non-implementable as member states are tempted to run excessively high deficits. The Monetary Union designs a mechanism such that member states with high output gap (i.e., in a recession) run higher budget deficits by making an ex-post transfer to the Union. We find that the first-best deficit is contingent on the cycle – i.e., on the member state’s output gap – and, all else equal, can be implemented provided the member states’ ability to repay its own debt upon the realization of a bad shock is sufficiently high. A downward distortion in the deficit run by a member state during an expansion is otherwise introduced. Finally, the Monetary Union cannot discriminate among types of borrowers when national governments are excessively shortsighted. |
| JEL: | E62 D82 F33 F34 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:wp1018&r=mac |
| By: | De Koning, Kees |
| Abstract: | The transfer of savings from one household to another creates a financial relationship between these households. Nearly always conditions of reward and repayment are attached to such a transfer. In a world where savings have grown to a multiple of annual economic output, the chances that debts can cause economic stagnation and major unemployment situations have risen strongly. This can both be on a national as well as on an international level. Debts can help households and governments to increase their spending power, but there is always a “cost”. Future income levels are needed to repay the debts. What is surprising is that economists have had such great difficulty in predicting when debts turn from a sound base into a threat to economic growth levels. Waiting till a crash happens as in 2007-2008 does not seem to be a very sensible manner in running an economy. What is also surprising is how little power individual households have over the level of debts for which they carry the ultimate repayment responsibility, including government debt levels. Growing debt levels need to be analyzed extensively; but studying developments is not enough if brakes cannot or are not applied to stem a rapid growth in debt accumulation. Furthermore the structure of adding to debt levels has to be studied. The collective of banks rather than an individual bank in the U.S. created the home mortgage lending boom in the run up to 2007. Capital markets assisted in funding such loans. Democratically elected governments can authorize excess levels of borrowings, which can bring the economy of a whole country down. The extensive use of debt funding for company mergers and acquisitions is another example of loading more debt to the company sector, which can cause further economic disruptions. Finally the international use of especially the U.S. dollar for borrowing purposes may pose its own threat to international economic growth levels. This paper focuses on the U.S. situation, especially from 1997 to today. This paper will conclude that the “debt problem” started with U.S. individual households in taking up excessive mortgages from as early as 1998. Alarm bells should have started ringing in 2002, when the mortgage debt allocations between building new homes and pushing up home prices in excess of income growth shifted to the latter. In 2002 62% of new funds was used for funding house price increases in excess of income growth. This trend continued all the way to 2007. Another conclusion is that the U.S. government debt problems accelerated from 2009 onwards. It seems that the drop in taxes received was the main cause of the increased debt levels. Government debt problems followed the home mortgage crash. The cash injections from central banks after 2008 added to the world savings levels, which were already at high levels. The financial crisis of 2007-2008 was a finance-induced crisis. It was different from the oil price crisis of 1973, which caused savings to flow to oil-producing nations. |
| Keywords: | debt crisis; danger points, banking profits, lending volumes compared to income growth, U.S. case study on home mortgages 1998-2015 |
| JEL: | E32 E41 E44 E5 E58 |
| Date: | 2015–07–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65647&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance Environmental Economics Policies Economic Theory Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth Environment |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21894&r=mac |
| By: | Fabrice Murtin (Departement d'Economie de Sciences Po); Alain de Serres (Economics department) |
| Abstract: | This paper assesses the effects of labour market policies on the unemployment outflow rate while disentangling two channels, namely labour market tightness and employer–employee matching efficiency. Using a sample of 11 OECD countries over the period 1985–2007, we treat the endogeneity of market tightness with business cycle shocks and the tax wedge as instruments. We find that the replacement rate of unemployment benefits, Active Labour Market Policies as well as the tax wedge in countries with poorly representative unions, have a significant, robust, and large impact on market tightness. Employment protection has a negative but small impact on matching efficiency. Overall, policy effects appear to be mostly channeled through market tightness and job creation. |
| Keywords: | Labour market policies; Unemployment outflow rate |
| JEL: | E24 J08 J63 J64 J65 J68 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:spo:wpmain:info:hdl:2441/6krnfp4alc80oa55v0i3jrhl18&r=mac |
| By: | World Bank |
| Keywords: | Environmental Economics Policies Banks Banking Reform Economic Theory Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth Environment |
| Date: | 2014–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21968&r=mac |
| By: | Gluschenko, Konstantin |
| Abstract: | The mass media frequently accuse official statistics of underestimating the inflation rate (consumer price index – CPI) by half to two-thirds. This paper analyzes potential sources of distortion of the official CPI, concluding that systematic errors causing underestimating are absent, and deliberate distortions are impossible. It also analyzes a number of alternative estimates of inflation and demonstrates that they are based either on the use of a consumer baskets that do not correspond to any real pattern of consumption and deliberately overstate rise in the price level, or on some indirect rationale that does not bear criticism. The only alternative estimate that can be taken seriously is greater than the 2005 official CPI by 2 percent points, that is, by 20% rather than by a factor of 2 to 3. |
| Keywords: | consumer basket, consumer price index, CPI bias consumer basket, consumer price index, CPI bias |
| JEL: | E31 P22 |
| Date: | 2015–07–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65670&r=mac |
| By: | World Bank |
| Keywords: | Environmental Economics and Policies Finance and Financial Sector Development - Currencies and Exchange Rates Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth Environment |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21752&r=mac |
| By: | Imane El Ouadghiri |
| Abstract: | The aim of this paper is to investigate heterogeneity in macroeconomic news forecasts using disaggregate data of monthly expectation surveys conducted by Bloomberg on macroeconomic indicators from January 1999 to February 2013. We find three major results. First, we show that macroeconomic indicator forecasters are mostly heterogeneous and their expectations are found to violate the rational expectation hypothesis. Second, the use of the expectation mixed model –combining extrapolative, regressive and adaptive components– reveals a large dominance of the chartist profile among forecasters with a systematical persistence over time despite all the structural breaks determined endogenously by the Bai-Perron estimation method. Third, we find that forecasters whose forecasting models combine at least two or three anticipatory components (extrapolative, and regressive or/and adaptive) and display high temporal flexibility, thus adapting to different structural breaks, are those which provide the most accurate forecasts. |
| Keywords: | Announcements, heterogeneity, survey data, expectation formation. |
| JEL: | G14 G12 E44 C22 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:drm:wpaper:2015-17&r=mac |
| By: | Perederiy, Volodymyr |
| Abstract: | This paper proposes a simple technical approach for the derivation of future (forward) point-in-time PD forecasts, with minimal data requirements. The inputs required are the current and future through-the-cycle PDs of the obligors, their last known default rates, and a measure for the systematic dependence of the obligors. Technically, the forecasts are made from within a classical asset-based credit portfolio model, just with the assumption of a suitable autoregressive process for the systematic factor. The paper discusses in detail the practical issues of implementation, in particular the parametrization alternatives. The paper also shows how the approach can be naturally extended to low-default portfolios with volatile default rates, using Bayesian methodology. Furthermore, the expert judgments about the current macroeconomic state, although not necessary for the forecasts, can be embedded using the Bayesian technique. The presented forward PDs can be used for the derivation of lifetime credit losses required by the new accounting standard IFRS 9. In doing so, the presented approach is endogenous, as it does not require any exogenous macroeconomic forecasts which are notoriously unreliable and often subjective. |
| Keywords: | Prediction, Probability of Default, PD, Default Rates, Through-the-Cycle, TTC, Point-in-Time, PIT, Credit Portfolio Model, Systematic Factor, Macroeconomic Factor, Time Series, Autoregression, Bayesian Analysis, IFRS 9, Accounting, Financial Instruments, Lifetime, Expected Credit Losses |
| JEL: | C11 C13 C22 C51 C53 E32 E37 G33 M41 |
| Date: | 2015–07–14 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65679&r=mac |
| By: | World Bank |
| Keywords: | Transport Economics Policy and Planning Environment - Environmental Economics & Policies Finance and Financial Sector Development - Currencies and Exchange Rates Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth - Economic Theory & Research Transport |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21777&r=mac |
| By: | World Bank Group |
| Keywords: | Environmental Economics and Policies Finance and Financial Sector Development - Currencies and Exchange Rates Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth Environment |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21781&r=mac |
| By: | Na, Seunghoon; Schmitt-Grohé, Stephanie; Uribe, Martín; Yue, Vivian |
| Abstract: | This paper characterizes jointly optimal default and exchange-rate policy in a small open economy with limited enforcement of debt contracts and downward nominal wage rigidity. Under optimal policy, default occurs during contractions and is accompanied by large devaluations. The latter inflate away real wages thereby avoiding massive unemployment. Thus, the Twin Ds phenomenon emerges endogenously as the optimal outcome. By contrast, under fixed exchange rates, optimal default takes place in the context of large involuntary unemployment. Fixed-exchange-rate economies are shown to have stronger default incentives and therefore support less external debt than economies with optimally floating rates. |
| Keywords: | capital controls; currency pegs; downward nominal wage rigidity; exchange rates; optimal monetary policy; sovereign default |
| JEL: | E43 E52 F31 F34 F41 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10697&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Debt Markets Energy - Energy Production and Transportation Finance and Financial Sector Development - Currencies and Exchange Rates Private Sector Development - Emerging Markets Macroeconomics and Economic Growth - Economic Forecasting Macroeconomics and Economic Growth - Economic Growth |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22071&r=mac |
| By: | World Bank Group |
| Keywords: | Banks Banking Reform Finance and Financial Sector Development - Currencies and Exchange Rates Economic Theory Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21904&r=mac |
| By: | MUSTAFA KIZILTAN (HACETTEPE UN); ANNA GOLOVKO (X) |
| Abstract: | The high inflation is undesirable phenomenon for Turkey especially from 1970s to 2000s. Turkey was introduced the destructive effects of inflation in the 1970s. In particular, this process began with the rise of oil prices in the 1970s lasted until the 2000s. The reasons of these political instability, populist policies, failure to comply with fiscal discipline, budget deficits, and growing SOE deficits. But with the 2000s, after the stand-by agreement with IMF, the fight against inflation has been one of the main public policies and, therefore, steps have been taken towards fiscal discipline. As a result of this context, inflation could be reduced to single digits. However, inflation still continues to maintain its place on the agenda. Therefore, the study focuses to examine the determinants of inflation in Turkey on economic and econometric criterion and also to investigate causal relationships among some macroeconomic variables. For that purpose, in this study, estimates have been investigated using Johansen Co-integration and Vector Error Correction approached. |
| Keywords: | Inflation, Budget Deficit, Fiscal Discipline, Johansen Co-integration Test |
| JEL: | E31 E60 H62 |
| URL: | http://d.repec.org/n?u=RePEc:sek:iacpro:2604411&r=mac |
| By: | Kevin Mumford |
| Abstract: | This paper takes a stocks rather than a flows approach to measuring national prosperity. It examines changes in capital stocks of different kinds in Asian economies, including produced capital, natural capital, human capital and inclusive wealth. |
| Keywords: | national wealth, capital stocks, measurement, prosperity |
| JEL: | E01 E22 |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:eab:wpaper:24841&r=mac |
| By: | Taehyun Lee; Altantsetseg Shiilegmaa; Davaadalai Batsuuri |
| Keywords: | Banks and Banking Reform Public Sector Expenditure Policy Finance and Financial Sector Development - Bankruptcy and Resolution of Financial Distress Finance and Financial Sector Development - Debt Markets Finance and Financial Sector Development - Currencies and Exchange Rates Public Sector Development Macroeconomics and Economic Growth - Economic Forecasting Macroeconomics and Economic Growth - Economic Growth |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21802&r=mac |
| By: | Keomanivone Phimmahasay |
| Keywords: | Public Sector Expenditure Policy Finance and Financial Sector Development - Currencies and Exchange Rates Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Public Sector Development Macroeconomics and Economic Growth |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21773&r=mac |
| By: | World Bank Group |
| Keywords: | Environmental Economics and Policies Finance and Financial Sector Development - Currencies and Exchange Rates Economic Theory and Research Private Sector Development - Emerging Markets Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth Environment |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21774&r=mac |
| By: | David Kohn |
| Abstract: | In this paper, I study the quantitative eect of purchases of U.S. Treasury bonds and notes by foreigners on long-term yields and the term-premium over the recent decade. I set up a consumption-based model with habit preferences, calibrate it to match the average slope of the yield curve in the U.S., and nd that foreign purchases decreased long-term yields signicantly over this period. A third of this change is explained by a drop in the term-premium: in the model, foreign purchases increase consumption with respect to a reference level or habit, which reduces the agent's risk-aversion, therefore decreasing the term-premium. Finally, I show that a reversal of foreign in ows results in a sharp increase in long-term yields. |
| Keywords: | term-premium, long-term yields, U.S. Treasury bonds, foreign official institutions, habits |
| JEL: | E43 E44 G12 G15 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:udt:wpecon:2015_1&r=mac |
| By: | Anna Orthofer |
| Abstract: | South African household savings rates have been declining steadily over the last five decades, from about ten percent of national income to nil or negative levels today. Due to the importance of savings on both the household - and aggregate level, the government has introduced several initiatives to reverse the trend. It is against this background that this paper asks whether our current way of measuring savings as the residual between income and expenditure is appropriate to guide economic policy in South Africa. Comparing different macroeconomic concepts and measurements of savings, I first show that the measure of savings in the national income and production accounts greatly understates the household savings rate compared to other measures. Specifically, a balance-sheet perspective on savings yields a significantly higher and historically relatively stable savings rate. While households haven't been putting aside" their incomes, they have nevertheless grown richer, driven largely by favourable asset price developments. I also examine the impact of taking non-financial savings and wealth (such as human capital accumulation) into account, and conclude that household sector savings on the aggregate are higher than the national accounts suggest. However, these adjusted measures of savings are most relevant for the upper tail of the income and wealth distribution, raising important distributional concerns. Specifically, the well-documented observation that the rich save more becomes even more pronounced when the adjusted savings measures are considered. Overall, this paper underscores the importance of being precise in what we talk about when we talk about savings, and in using less conventional data sources (balance sheet and household survey data) to measure the concepts most relevant to the question asked. |
| Keywords: | saving, Wealth, Measurement and Data, National Income Accounting, Income and Wealth Distribution |
| JEL: | E01 E21 D31 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:rza:wpaper:530&r=mac |
| By: | Michael Di Francesco; Rafael Barroso |
| Keywords: | Private Sector Development - Business Environment Banks and Banking Reform Private Sector Development - Competitiveness and Competition Policy Private Sector Development - Business in Development Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth - Fiscal & Monetary Policy Public Sector Development |
| Date: | 2014–05 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21812&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance Banks and Banking Reform Economic Theory and Research Finance and Financial Sector Development - Debt Markets Public Sector Expenditure Policy Public Sector Development Macroeconomics and Economic Growth |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21791&r=mac |
| By: | Karlis Smits; Chorching Goh; Luan Zhao; Ekaterine Vashakmadze; Justin Hill; Smita Kuriakose; Samuel Freije-Rodriguez |
| Keywords: | Finance and Financial Sector Development - Debt Markets Finance and Financial Sector Development - Access to Finance Private Sector Development - Emerging Markets Macroeconomics and Economic Growth Finance and Financial Sector Development - Banks & Banking Reform Macroeconomics and Economic Growth - Economic Forecasting Macroeconomics and Economic Growth - Economic Growth |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22122&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance Public Sector Development Economic Theory Research Finance and Financial Sector Development - Debt Markets Banks Banking Reform Macroeconomics and Economic Growth |
| Date: | 2015–05 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21980&r=mac |
| By: | Jorge Thompson Araujo; Markus Brueckner; Mateo Clavijo; Ekaterina Vostroknutova; Konstantin M. Wacker |
| Keywords: | Poverty Reduction - Achieving Shared Growth Governance - Governance Indicators Economic Theory and Research Macroeconomics and Economic Growth - Economic Conditions and Volatility Macroeconomics and Economic Growth - Economic Growth |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21807&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance Finance and Financial Sector Development - Banks & Banking Reform Macroeconomics and Economic Growth - Macroeconomic Management Private Sector Development - Emerging Markets |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22047&r=mac |
| By: | Agnieszka Domanska (Warsaw School of Economics); Konrad Kostrzewa (National Bank of Poland) |
| Abstract: | The aim of the study is to identify the existence and strength of fiscal shocks in Poland as the determinant characteristics of the fiscal policy run in Poland in the recent 20 years. This will enable us firstly to find out to what extent this policy have had expansionary or only stabilizing role in the mid-term perspective taking into account also its potentially recognizable reaction to external conditions, i.e. international macroeconomic situation with crisis and recessions emerged in some periods during this time in Europe and globally. The study is a part of the broader analysis of the macroeconomic effects of the fiscal policy (also more detailed analysis of utilizing different fiscal instruments) on macroeconomic situation in Poland as a small open economy per se determined by and potentially highly vunerable to transmission of foreign international influences. The problem should be tackled also considering the fact that Poland is a part of the common EU market. The presentation includes the theoretical part devoted to the literature review mainly in the respect of the empirical methods used by other authors in similar studies, e.g. A. Fatas and I. Mihov 2001, H.Dellas et al 2005, H.Bouakez (2009), L.Forni et al. 2010, O. Blanchard and R. Perotti,2002). In the empirical analysis in order to investigate the effect of the government spending shocks on the economy and the transmission of the fiscal policy we build the structural vector-autoregression model (SVAR). The calculation of the goverment spending multiplier and the analysis of impulse response functions allow us to draw conclusions regarding the impact and the dynamics of government consumption. Our intention is also to include tax changes in the SVAR model in order to investigate the significance and the direction of their impact on the real economy. |
| Keywords: | small open economy, fiscal policy, transmission of macroeconomic shocks, SVAR models |
| JEL: | F41 E60 |
| URL: | http://d.repec.org/n?u=RePEc:sek:iacpro:2604282&r=mac |
| By: | Gregory Kisunko; Branco Ponomariov |
| Keywords: | Finance and Financial Sector Development - Microfinance Finance and Financial Sector Development - Access to Finance Private Sector Development - E-Business Transport Economics Policy and Planning Macroeconomics and Economic Growth - Investment and Investment Climate Transport |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21799&r=mac |
| By: | Tania El Kallab (Université de Cergy-Pontoise, THEMA) |
| Abstract: | Three facts have characterized the pre-crisis debates in macroeconomics: the increase in the US current account decit, the decline in interest rates and the increase in the share of US assets in global portfolios. Caballero, Farhi and Gourinchas (2008) described these "anomalies" as being external to the United States. The high saving rates in Asian countries in the aftermath of the collapse of their financial markets led to a high demand for American nancial assets rather than domestic Asian ones, which were now considered unsafe. Our paper uses the basic model provided by Caballero, Farhi and Gourinchas to investigate whether an alternative explanation for these three facts, namely, the increase in American consumption. We show that the increase in US consumption would indeed cause a rise in capital flows towards the US (fact 1), but interest rates would rise rather than decrease (fact 2), and the share of american assets in global portfolios would not be affected (fact 3). |
| Keywords: | Current account decits, capital ows, interest rates, global portfolio share, consumption, financial assets |
| JEL: | E37 E43 F43 |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:ema:worpap:2014-28&r=mac |
| By: | World Bank Group |
| Keywords: | Private Sector Development - E-Business International Economics and Trade - Trade Policy Environmental Economics Policies Transport Economics Policy Planning Economic Theory Research Macroeconomics and Economic Growth Transport Environment |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22103&r=mac |
| By: | Kakarot-Handtke, Egmont |
| Abstract: | When we characterize an argument that has no sound theoretical foundation as political, then what has been produced by economists so far is political economics. However, since the Classics and Marx all major economic schools have defended the claim that they were doing science. This claim has been convincingly rebutted. So, the task is still before us. The way forward is to move from behavioral to structural economics. In what we should be mostly interested are not so much the behavioral defects of economic agents but the structural defects of the market system and how to repair them. |
| Keywords: | new framework of concepts; structure-centric; price mechanism; profit mechanism; structural stress; inefficiency mechanism; monetary order; indexation; growth imperative; theory inflicted unemployment; distribution mechanism |
| JEL: | B49 B59 C63 E10 |
| Date: | 2015–07–17 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65666&r=mac |
| By: | André M. Marques; Gilberto Tadeu Lima |
| Abstract: | One major concern regarding the recent financial crisis that hit the US and several other OECD countries is that it may have worsened the pattern of unemployment persistence in those countries where the unemployment rate has remained above pre–crisis levels. In this context, we employ mean bias-corrected parameter estimator and bootstrap permutation test methods with a moving window to detect possible changes in the pattern of unemployment persistence in OECD countries. We investigate the patterns of unemployment persistence in two different periods (before and after the 2008 financial crisis) using both monthly aggregated and quarterly disaggregated unemployment data (by gender and age) for 29 OECD countries. As we estimate the most likely date of change in the trend function of unemployment, we use this information to compute an unbiased scalar measure of persistence which allows us to test (using a bootstrap permutation test) whether the 2008 financial crisis produced any significant change in the pattern of unemployment persistence relatively to previous periods. Our results show heterogeneity in OECD countries’ response to external shocks and offer borderline evidence of a significant increase in the persistence of unemployment in OECD countries which is correlated with the recent US financial crisis. |
| Keywords: | Unemployment persistence; bootstrap mean bias-corrected estimator; financial crisis. |
| JEL: | E24 E27 |
| Date: | 2015–07–16 |
| URL: | http://d.repec.org/n?u=RePEc:spa:wpaper:2015wpecon14&r=mac |
| By: | Silva Lopes, Artur C.; Florin Zsurkis, Gabriel |
| Abstract: | We use first differenced logged quarterly series for the GDP of 29 countries and the euro area to (re)assess the need to use nonlinear models to describe business cycle dynamic behaviour. Our approach is model (estimation)-free, based on testing only. We aim to maximize power to detect non-linearities and, simultaneously, we purport avoiding the pitfalls of data mining. We find evidence supporting the presence of significant non-linearities in 2/3 of the cases only. Hence, it does not provide full support to some descriptions. Linear models cannot be simply dismissed as they are sometimes useful and in many cases they do not seem to leave a substantial fraction of variation to be explained by nonlinear rivals. Nonlinear business cycle variation does not seem to be an universal, undisputable and clearly dominant stylized fact. Therefore, our evidence broadly agrees with the one that has recently emerged from the ``features approach''. Some support for nonlinear dynamics for some further countries is obtained indirectly, through unit root tests, but this marginal to our study, based on indirect methods only and can hardly be invoked to support nonlinearity in classical business cycles. However, it is relevant from the output gap perspective. |
| Keywords: | business cycles; nonlinear time series models; testing. |
| JEL: | C22 C51 E3 |
| Date: | 2015–06–15 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65668&r=mac |
| By: | Dalibor Stevanovic |
| Abstract: | This paper proposes a factor augmented autoregressive distributed lag (FADL) framework for analyzing the dynamic effects of common and idiosyncratic shocks. We first estimate the common shocks from a large panel of data with a strong factor structure. Impulse responses are then obtained from an autoregression, augmented with a distributed lag of the estimated common shocks. The approach has three distinctive features. First, identification restrictions, especially those based on recursive or block recursive ordering, are very easy to impose. Second, the dynamic response to the common shocks can be constructed for variables not necessarily in the panel. Third, the restrictions imposed by the factor model can be tested. The relation to other identification schemes used in the FAVAR literature is discussed. The methodology is used to study the effects of monetary policy and news shocks. |
| Keywords: | Factor models, structural VAR, impulse response, |
| JEL: | C32 E1 |
| Date: | 2015–07–13 |
| URL: | http://d.repec.org/n?u=RePEc:cir:cirwor:2015s-33&r=mac |
| By: | Xavier Gabaix; Jean-Michel Lasry; Pierre-Louis Lions; Benjamin Moll |
| Abstract: | The past forty years have seen a rapid rise in top income inequality in the United States. While there is a large number of existing theories of the Pareto tails of the income and wealth distributions at a given point in time, almost none of these address the fast rise in top inequality observed in the data. We show that standard theories, which build on a random growth mechanism, generate transition dynamics that are an order of magnitude too slow relative to those observed in the data. We then suggest parsimonious deviations from the basic model that can explain such changes, namely heterogeneity in mean growth rates or deviations from Gibrat's law. These deviations are consistent with theories in which the increase in top income inequality is driven by the rise of "superstar" entrepreneurs or managers. |
| JEL: | D31 E24 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:21363&r=mac |
| By: | Mavrozacharakis, Emmanouil; Tzagarakis, Stelios |
| Abstract: | Admittedly, the balance of power within the European institutions, especially those related to financial stability and economic policy, is controlled by Germany. The German Federal Republic as the "main creditor" controls the Eurogroup, the Euro Working Group and has privileged relations with the International Monetary Fund (IMF) and the European Central Bank (ECB). Due to this fact, Wolfgang Schäuble as the exponent of the hard German economic strategy has a leading role within the European decision-making institutions. France, Italy and other countries are unsuccessfully trying to counteract and mitigate the German influence, as shown by the Greek issue. This framework is tightly connected with the negotiating ability of any country that inconsistently attempts to reverse the status quo, modify the rules or change the terms of an agreement. The Greek government of Alexis Tsipras sufficiently experienced this suffocating experience and announced a referendum as an attempt to open the field of negotiations. |
| Keywords: | Greece, Populism, SYRIZA, Tsipras, Referendum , EU Crisis, Euro, Eurogroup |
| JEL: | A10 A11 A12 A13 E0 E02 G0 G01 H1 H12 H7 H77 P11 P16 |
| Date: | 2015–07–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65738&r=mac |
| By: | Acconcia, Antonio; Corsetti, Giancarlo; Simonelli, Saverio |
| Abstract: | Exploiting three Italian earthquakes as quasi-experiments, we analyze the response of homeowners' consumption to targeted transfers, financing housing reconstruction over time. Like loans, these transfers mainly affect the liquidity of households' wealth in the short run: we show that they have no effect on consumption over a multi-year horizon. Yet, the access to reconstruction funds has significantly heterogeneous effects on impact: it strongly raises non-durable consumption by households with low liquidity and bank debt (the `wealthy-hand-to-mouth'); it makes no difference for liquid households. Consistently, in either group, consumption is insensitive to transfer funds that accrue directly to firms. |
| Keywords: | Consumption; Liquidity; Mortgage; Public Transfers; Quasi-experiments |
| JEL: | E21 E61 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10698&r=mac |
| By: | World Bank Group |
| Keywords: | Macroeconomics and Economic Growth - Economic Development Macroeconomics and Economic Growth - Economic Forecasting Macroeconomics and Economic Growth - Economic Growth Macroeconomics and Economic Growth - Economic Policy, Institutions and Governance Poverty Reduction - Achieving Shared Growth Poverty Reduction - Poverty Monitoring & Analysis Poverty Reduction - Poverty Reduction Strategies |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22028&r=mac |
| By: | Jonathan Parker |
| Abstract: | This paper evaluates theoretical explanations for the propensity of households to increase spending in response to the arrival of predictable, lump-sum payments, using households in the Nielsen Consumer Panel who received $25 million in Federal stimulus payments that were distributed randomly across weeks. The pattern of spending is inconsistent with models in which identical households cycle through high and low response states as they manage liquidity. Instead, the propensity spend is a persistent household trait. This trait is unrelated to expectation errors, almost unrelated to crude measures of procrastination and self-control, moderately related to measures of sophistication and planning, and highly related to a measure of impatience. |
| JEL: | D14 E21 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:21369&r=mac |
| By: | Mathieu Taschereau-Dumouchel (University of Pennsylvania - Wharton); Edouard Schaal (New York University) |
| Abstract: | We develop a quantitative theory of business cycles with coordination failures. Because of a standard aggregate demand externality, firms want to coordinate production. The presence of a non-convex capacity decision generates multiple equilibria under complete information. We use a global game approach to show that, under incomplete information, the multiplicity of equilibria disappears to give rise to a unique equilibrium with two stable steady states. The economy exhibits coordination traps: after a negative shock of sufficient size or duration, coordination on the good steady state is harder to achieve, leading to quasi-permanent recessions. In our calibration, the coordination channel improves on the neoclassical growth model in terms of business cycle asymmetries and skewness. The model also accounts for features of the 2007- 2009 recession and its aftermath. Government spending is harmful in general as the coordination problem magnifies the crowding out. It can, however, increase welfare -- without nominal rigidities -- when the economy is about to transition to the bad steady state. Simple subsidies implement the efficient allocation. |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed015:178&r=mac |
| By: | Petra Posedel Simovic (Zagreb School of Economics and Management); Marina Tkalec (The Institute of Economics, Zagreb); Maruska Vizek (The Institute of Economics, Zagreb) |
| Abstract: | The aim of this paper is to study time-varying integration between European post-transition government bond markets and eurozone bond market. We follow the empirical approach defined in Bekaert and Harvey’s (1995) seminal paper, which enables direct estimation of the time-varying degree of financial markets integration. We thus investigate bond markets of eight new member states of EU and one non-EU member (Ukraine). The result of our empirical examination is a time-varying parameter of integration that is driven by a set of macroeconomic instruments defined in order to represent the intensity of real economic integration of analyzed countries into the eurozone, and their fiscal stances. Our results suggest integration varies with respect to economic development, as economically more advanced countries demonstrate a higher level of integration in the observed period. Moreover, we observe that integration decreased with the financial crisis, but it levelled off relatively swiftly afterwards. Depending on the country, joining the EU either exerted a positive boost on sovereign bond integration, or was neutral with regards to integration. We also show that macroeconomic performance relative to the eurozone benchmark and fiscal stance matter greatly for bond market integration in all countries under examination. |
| Keywords: | European post-transition countries, sovereign securities markets, bond market integration |
| JEL: | E44 F36 G15 |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:iez:wpaper:1501&r=mac |
| By: | Reinhart, Carmen M. |
| Abstract: | Some of the best-known papers of Carlos F. Díaz Alejandro were about Latin America’s crises in the 1980s and 1930s. I will show data, figures and evidence here about the crises in the advanced economies 30 years later that fit the same narrative. His unadulterated words aptly describe modern problems across geographical borders and, in this case, income levels. This attests to his timeless insight and understanding. Because some of the observations he made have general applicability to the study of recurring patterns across crises, I have taken the liberty to label these as lessons. These are primarily lessons about what to avoid. |
| JEL: | B26 E5 E6 F3 G01 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10705&r=mac |
| By: | World Bank Group |
| Keywords: | Environment - Environmental Economics & Policies Macroeconomics and Economic Growth - Economic Forecasting Macroeconomics and Economic Growth - Economic Growth Private Sector Development - Emerging Markets Industry - Mining & Extractive Industry (Non-Energy) |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22039&r=mac |
| By: | World Bank |
| Keywords: | Macroeconomics and Economic Growth - Subnational Economic Development Banks and Banking Reform Urban Development - Municipal Financial Management Governance - National Governance Public Sector Expenditure Policy Finance and Financial Sector Development Public Sector Development |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21714&r=mac |
| By: | Karlis Smits; Bingjie Hu; Binglie Luo; Tony Ollero; Ekaterine Vashakmadze; Klaus Rohland; Sudhir Shetty; Bert Hoftman; Chorching Goh |
| Keywords: | Agriculture - Food Markets Finance and Financial Sector Development - Banks & Banking Reform Finance and Financial Sector Development - Debt Markets International Economics and Trade - Trade and Agriculture Macroeconomics and Economic Growth - Economic Modeling and Statistics Macroeconomics and Economic Growth - Economic Theory & Research Private Sector Development - Emerging Markets |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22108&r=mac |
| By: | Burda, Michael C; Genadek, Katie R.; Hamermesh, Daniel S. |
| Abstract: | Using the American Time Use Survey (ATUS) 2003-12, we estimate time spent by workers in non-work while on the job. Non-work time is substantial and varies positively with the local unemployment rate. While the average time spent by workers in non-work conditional on any positive non-work rises with the unemployment rate, the fraction of workers who report time in non-work varies pro-cyclically, declining in recessions. These results are consistent with a model in which heterogeneous workers are paid efficiency wages to refrain from loafing on the job. That model correctly predicts relationships of the incidence and conditional amounts of non-work with wage rates and measures of unemployment benefits in state data linked to the ATUS, and it is consistent with observed occupational differences in non-work. |
| Keywords: | efficiency wage; labor productivity; loafing; non-work; shirking; time use |
| JEL: | E24 J22 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10712&r=mac |
| By: | Diewert, W. Erwin; Imai, Satoshi; Shimizu, Chihiro |
| Abstract: | The paper looks at problems associated with measuring the services of owner-occupied housing (OOH) in the Japanese CPI. The paper shows that alternative approaches to measuring the services of OOH lead to quite different measures of CPI inflation for Japan. The Japanese CPI uses a rental equivalence approach to measuring OOH services and uses an index of all paid rents to price these services. However, Japanese rents are very sticky and under these circumstances, it seems more appropriate to use an index of newly contracted rents to value the opportunity cost of using the services of owned dwelling units. The paper examines this issue. It also looks at the adequacy of the sampling approach used in the Japanese CPI and at the problems surrounding the treatment of depreciation in constructing constant quality indexes for paid rents in the Japanese CPI. Finally, hedonic regressions for the quality adjustment of rents are run on an extensive data set. |
| Keywords: | housing rent; price rigidity; time-dependent model; state-dependent model; adjustment hazard function; user cost of housing; rental equivalence approa |
| JEL: | E30 R20 |
| Date: | 2015–07–17 |
| URL: | http://d.repec.org/n?u=RePEc:ubc:bricol:erwin_diewert-2015-14&r=mac |
| By: | Oscar Calvo-Gonzalez; J. Humberto Lopez |
| Keywords: | Governance - National Governance International Economics and Trade - Trade Policy Macroeconomics and Economic Growth - Economic Development Macroeconomics and Economic Growth - Economic Growth Macroeconomics and Economic Growth - Economic Policy, Institutions and Governance Poverty Reduction - Achieving Shared Growth Poverty Reduction - Employment and Shared Growth Poverty Reduction - Inequality Social Protections and Labor - Labor Markets |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22034&r=mac |
| By: | Nakamura, Leonard I. (Federal Reserve Bank of Philadelphia); Soloveichik, Rachel (U.S. Bureau of Economic Analysis) |
| Abstract: | “Free” consumer entertainment and information from the Internet, largely supported by advertising revenues, has had a major impact on consumer behavior. Some economists believe that measured gross domestic product (GDP) growth since 2000 is too low because it excludes online entertainment (Brynjolfsson and Oh 2012; Ito 2013). Similar large effects on consumers occurred with the arrival of free radio and television entertainment. We provide an experimental methodology that uses previously established GDP measurement procedures to value advertising-supported entertainment around the world. The experimental method raises global real GDP growth, but the increase is small. It is true that advertising-supported online entertainment has grown dramatically since 2000. Concurrently, advertising-supported print entertainment has been stagnant. The net impact is a real growth rate of 7.6% per year for advertising-supported entertainment. Furthermore, advertising-supported entertainment accounts for less than 0.5% of global GDP. As a result, our experimental methodology only raises overall real GDP growth by 0.019% per year. Across countries, the experimental methodology raises nominal inequality. In 2011, nominal GDP for nations in the Organisation for Economic Co-operation and Development (OECD) increased by 0.18% more than nominal GDP in the rest of the world. Furthermore, nominal GDP in the United States increased 0.22% more than GDP in the rest of the OECD countries. However, prices for advertising-supported entertainment are also higher in wealthier nations. The net impact is a small reduction in real inequality. |
| Keywords: | Advertising; Entertainment; Internet; Intangible; Measurement |
| JEL: | E01 L82 M37 |
| Date: | 2015–07–02 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:15-25&r=mac |
| By: | Kaiji Chen (Emory University) |
| Abstract: | We make three contributions in this paper. First, we provide a core of macroeconomic time series usable for systematic studies on China's macroeconomy. Second, we document, through various empirical methods, the robust findings about the striking patterns of trend and cycle. Third, we build a theoretical model that accounts for these facts. The model's mechanism and assumptions are supported by institutional details and disaggregated time series distinctive of Chinese characteristics. |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed015:145&r=mac |
| By: | World Bank |
| Keywords: | Public Sector Development Macroeconomics and Economic Growth - Subnational Economic Development Finance and Financial Sector Development - Financial Regulation & Supervision Finance and Financial Sector Development - Public & Municipal Finance Governance - Governance and the Financial Sector Governance - National Governance |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22093&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance Public Sector Expenditure Policy Banks and Banking Reform Macroeconomics and Economic Growth - Markets and Market Access Economic Theory and Research Public Sector Economics Finance and Financial Sector Development - Debt Markets Finance and Financial Sector Development - Bankruptcy and Resolution of Financial Distress Private Sector Development - Emerging Markets Finance and Financial Sector Development - Currencies and Exchange Rates Public Sector Development |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21753&r=mac |
| By: | World Bank |
| Keywords: | Insurance and Risk Mitigation Macroeconomics and Economic Growth - Climate Change Economics Environment - Natural Disasters Finance and Financial Sector Development - Debt Markets Urban Development - Hazard Risk Management |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21693&r=mac |
| By: | Obeng, Samuel Kwabena |
| Abstract: | Abstract The paper determines whether minimum wage stimulates economic growth in Ghana, for the period 1984-2013, using autoregressive distributed lag (ARDL) bounds testing approach to cointegration, within an error correction framework. A preliminary test provides evidence of correlation between minimum wage and investment, thereby allowing for an examination of the wage-growth relationship. Four equations are used to determine the relationship between minimum wage and economic growth. The results from the simple regression of minimum wage on economic growth indicate a positive and statistically significant impact of minimum wage on economic growth both in the long-and short-run. However, the results from other estimations of the wage-growth relationship when investment, credit to the private sector and an interaction term of wage and investment are controlled for precludes any naïve policy formulation which may be solely based on the positive wage-growth relationship obtained. Specifically, the results from the other estimations imply minimum wage can only be growth enhancing if it is met by simultaneous increases in investment spending, as well as deliberate and sustained policies aimed at ensuring credit to finance private investment are readily available, easily accessible, and affordable. In addition, the ratio of public investment to tax revenue must increase as minimum wage increases since such complementary changes are more likely to lead to economic growth. |
| Keywords: | minimum wage, investment; economic growth, ARDL, DOLS, ECM. |
| JEL: | C22 D92 E22 J38 O47 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65674&r=mac |
| By: | Constantino Hevia; Pablo Andrés Neumeyer; Juan Pablo Nicolini |
| Abstract: | We analyze optimal policy in New Keynesian model of a small open economy with access to complete asset markets and Dutch Disease periods, in which terms of trade shocks reallocate resources away from the manufacturing sector. Following the policy debate, we introduce an externality in the manufacturing sector that makes the Dutch disease periods inefficient. We show theoretically that if the government has access to standard taxes that can be made time and state dependent, the optimal monetary policy implies complete price stability. The optimal intervention to deal with the externality in manufacturing is a subsidy. We next assume that taxes do not respond to temporary shocks and study monetary policy as the sole stabilization instrument. Using a calibrated version of the model we show that the externality and the lack of other policy instruments do not justify sizeable departures from price stability. |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:udt:wpecon:2013_3&r=mac |
| By: | Ariane TICHIT (Centre d'Etudes et de Recherches sur le Développement International(CERDI)) |
| Abstract: | This article analyzes the social representations of money from survey data. More specifically, it tests how holders of a complementary currency project have a distinct perception of money compared to other citizens. The main results confirm the existence of significant differences between the two groups. The structure of their representations shows that money is less tied to official institutions, the symbol of the sovereign State, to work and wages than for the representative population group. This confirms a number of theoretical works that see these social innovations as protest projects of the standard system, questioning the sovereignty State currency and close to the concepts of unconditional income. Local currencies, by differences in social representations they contain, could well be generators of societal change. |
| Keywords: | social representations of money, survey data, Abric method, complementary currencies |
| JEL: | E42 D71 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:cdi:wpaper:1715&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance Banks and Banking Reform Economic Theory and Research Finance and Financial Sector Development - Debt Markets Finance and Financial Sector Development - Currencies and Exchange Rates Macroeconomics and Economic Growth Energy International Economics and Trade Water Supply and Sanitation |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21761&r=mac |
| By: | Athreya, Kartik B. (Federal Reserve Bank of Richmond); Ionescu, Felicia (Federal Reserve Board); Neelakantan, Urvi (Federal Reserve Bank of Richmond) |
| Abstract: | Portfolio choice models counter factually predict (or advise) almost universal equity market participation and a high share for equity in wealth early in life. Empirically consistent predictions have proved elusive without participation costs, informational frictions, or non standard preferences. We demonstrate that once human capital investment is allowed, standard theory predicts portfolio choices much closer to those empirically observed. Two intuitive mechanisms are at work: For participation, human capital returns exceed financial asset returns for most young households and, as households age, this is reversed. For shares, risks to human capital limit the household's desire to hold wealth in risky financial equity. |
| JEL: | E21 G11 J24 |
| Date: | 2015–07–20 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedrwp:15-07&r=mac |
| By: | Edoardo Rainone (Bank of Italy) |
| Abstract: | Average rates in the decentralized unsecured market for euro funds, like the EONIA for the overnight maturity, are fundamental indicators of the smooth transmission of the signal rate by the central bank. Public information plays an important role in this context, as key interest rates are set by the central bank and average market rates are published daily, constituting common knowledge. Nevertheless, according to the theoretical literature on over-the-counter markets, private information may have an important role in a decentralized market. The diffusion of private information can generate prices that depend on the decentralized market structure. This is the first paper to use an ad hoc (network) version of the spatial autoregressive model to assess the presence of this mechanism. I propose a simple methodology to test whether the joint distribution of rates depends on the interbank network structure and to estimate information diffusion strength. The method is applied to a unique dataset collecting unsecured interbank loans and characteristics of banks operating in European central bank money. A wide time span including sovereign debt crises in the euro area is considered. I find that information diffusion played a greater role during periods dominated by strong uncertainty. |
| Keywords: | interbank markets, money, trading networks, payment systems, information aggregation, spatial autoregressive models, bilateral trading |
| JEL: | E52 E40 C21 G21 D40 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1022_15&r=mac |
| By: | Luis A. Gil-Alana (University of Navarra, Pamplona, Spain); Juncal Cunado (University of Navarra, Pamplona, Spain); Rangan Gupta (Department of Economics, University of Pretoria) |
| Abstract: | This study examines the time series behavior of U.S. short- and long-run real expost interest rates within a long memory approach with non-linear trends using a long span of monthly and annual data. Recursive estimates of the integration order for the short- and long-run rates suggest long memory for the monthly data for the whole period of time, while we cannot reject the I(0) hypothesis for the annual short and long run interest rates. |
| Keywords: | interest rates, long memory, non-linear trends |
| JEL: | C22 E43 G12 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:201553&r=mac |
| By: | Jéssica Fernanda Castaño Lavado; Miguel Ángel Morales Mosquera |
| Abstract: | Este documento es una revisión de las principales metodologías existentes para construir índices de precios de vivienda, y hace énfasis en las implementadas en Colombia. Pretende que cualquier agente interesado en el estudio de la evolución de los precios de la vivienda pueda encontrar una explicación sencilla y práctica de los diferentes métodos para el cálculo de este tipo de índices, las fuentes de datos requeridas, y las ventajas y desventajas de cada uno. Por último, se presenta una comparación entre los índices de precios de vivienda disponibles en Colombia y un breve análisis de su evolución más reciente. |
| Keywords: | índice de precios de vivienda, precio del suelo, método de estratificación, números índices, ventas repetidas, precios hedónicos, tasación. |
| JEL: | C30 C43 E31 R32 |
| Date: | 2015–07–16 |
| URL: | http://d.repec.org/n?u=RePEc:col:000094:013317&r=mac |
| By: | Constantino Hevia; Juan Pablo Nicolini |
| Abstract: | We study a model of a small open economy that specializes in the production of com- modities and that exhibits frictions in the setting of both prices and wages. We study the optimal response of monetary and exchange rate policy following a positive (negative) shock to the price of the exportable that generates an appreciation (depreciation) of the local currency. According to the calibrated version of the model, deviations from full price stability can generate welfare gains that are equivalent to almost 0.5% of lifetime consump- tion, as long as there is a signi?cant degree of rigidity in nominal wages. On the other hand, if the rigidity is concentrated in prices, the welfare gains can be at most 0.1% of lifetime consumption. We also show that a rule - formally de?ned in the paper - that resembles a "dirty ?oating" regime can approximate the optimal policy remarkably well. |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:udt:wpecon:2015_4&r=mac |
| By: | World Bank |
| Keywords: | Macroeconomics and Economic Growth - Climate Change Economics Environmental Economics and Policies Private Sector Development - E-Business Information and Communication Technologies - ICT Policy and Strategies Energy - Energy Production and Transportation Environment |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21776&r=mac |
| By: | Steve Bond (University of Oxford); Gicoamo Rodano (Bank of Italy); Nicolas Serrano-Velarde (Bocconi University) |
| Abstract: | In this paper we describe the investment behaviour of manufacturing firms in Italy between 1995 and 2013 and we investigate the most important factors leading to the decline in investment since 2008. We estimate an error correction model for investment using information on firms' demand expectations, uncertainty, and credit constraints, based on the Bank of Italy’s Survey of Industrial and Service Firms. Our results suggest that the fall in the expected growth rate of real sales played an important role in quantitative terms, and that the 2008 demand shock may explain a long period of weak investment. We also find that credit constraints have a significant impact at the firm level, but less so in aggregate terms. Finally higher uncertainty does not seem to have played a significant role in explaining investment dynamics during the crisis. |
| Keywords: | Investment, expected demand, credit constraints, demand uncertainty |
| JEL: | C23 E22 D8 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:opques:qef_283_15&r=mac |
| By: | Ali Hosseiny |
| Abstract: | The aim here is to address the origins of sustainability for the real growth rate in the United States. For over a century of observations on the real GDP per capita of the United States a sustainable two percent growth rate has been observed. To find an explanation for this observation I consider the impact of utility preferences and the effect of mobility of labor \& capital on every provided measurement. Mobility of labor results in heterogenous rates of increase in prices which is called Baumol's cost disease phenomenon. Heterogeneous rates of inflation then make it impossible to define an invariant measure for the real growth rate. Paradoxical and ambiguous results already have been observed when different measurements provided by the World Bank have been compared with the ones from the central banks. Such ambiguity is currently being discussed in economy. I define a toy model for caring out measurements in order to state that this ambiguity can be very significant. I provide examples in which GDP expands 5 folds while measurements percept an expansion around 2 folds. Violation of invariance of the measurements leads to state that it is hard to compare the growth rate of GDP for a smooth growing country such as the U.S. with a fast growing country such as China. Besides, I state that to extrapolate the time that economy of China passes the economy of the US we need to consider local metric of the central banks of both countries. Finally I conclude that it is our method of measurements that leads us to percept the sustainable growth rate. |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1507.04848&r=mac |
| By: | World Bank |
| Keywords: | Private Sector Development - Emerging Markets Public Sector Economics Transport Public Sector Development Macroeconomics and Economic Growth Finance and Financial Sector Development - Access to Finance Finance and Financial Sector Development - Banks & Banking Reform Finance and Financial Sector Development - Debt Markets Health, Nutrition and Population Transport Economics Policy & Planning Environment - Environmental Economics & Policies Health, Nutrition and Population - Health Monitoring & Evaluation |
| Date: | 2013–09 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21971&r=mac |
| By: | World Bank |
| Keywords: | Insurance and Risk Mitigation Macroeconomics and Economic Growth - Climate Change Economics Finance and Financial Sector Development - Debt Markets Urban Development - Hazard Risk Management Banks and Banking Reform |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21697&r=mac |
| By: | World Bank |
| Keywords: | Water Resources - Water Resources Assessment Finance and Financial Sector Development - Microfinance Information and Communication Technologies - Telecommunications Infrastructure Macroeconomics and Economic Growth - Investment and Investment Climate Economic Theory and Research Transport Economics Policy and Planning Private Sector Development - E-Business Food and Beverage Industry Rural Development Knowledge and Information Systems Agribusiness and Markets Transport Industry Rural Development |
| Date: | 2014–09 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21806&r=mac |
| By: | Hansjörg Blöchliger; Jaroslaw Kantorowicz |
| Abstract: | Fiscal constitutions comprise the set of rules and frameworks guiding fiscal policy that are enshrined in a country’s fundamental laws. This paper compares the fiscal constitutions of 15 federal countries by empirically assessing five building blocks: 1) the power of sub-national governments to conduct their own fiscal policy; 2) the degree to which sub-national governments are held responsible for fiscal policy outcomes; 3) the extent to which sub-national governments can shape fiscal policy of the federal level; 4) the strength of intergovernmental budget rules; and 5) the stability of fiscal policy arrangements. The results can be summarised as follows: Countries can be ranked along a single indicator, namely the degree of constitutionally guaranteed decentralisation. They can also be ranked along an indicator of institutional coherence which measures the extent to which building blocks “fit together”. From 1917 to 2013, fiscal autonomy and responsibility declined – except in the 80s and 90s of the 20th century – while co-determination and budget frameworks were strengthened, and institutional coherence rose. Simple correlations suggest that the extent of decentralisation hardly affects fiscal outcomes such as deficits, debt or vulnerability to crises, while institutional coherence (or incoherence for that purpose) does.<P>Une évaluation empirique des constitutions budgétaires<BR>Une constitution budgétaire est composée d’un ensemble de règles et de dispositions d’orientation de la politique budgétaire, qui sont inscrites dans la loi fondamentale d’un pays. Ce document compare la constitution budgétaire de 15 pays à structure fédérale en procédant à une évaluation empirique de cinq de leurs éléments constitutifs : 1) le pouvoir conféré aux administrations infranationales pour conduire leur propre politique budgétaire ; 2) le degré de responsabilité des administrations infranationales vis-à-vis des résultats de leur politique budgétaire ; 3) la marge de manoeuvre des administrations infranationales dans l’élaboration de la politique budgétaire de l’État fédéral ; 4) la solidité de règles budgétaires inter-administrations, et 5) la stabilité des dispositions de politique budgétaire. Les résultats peuvent se résumer ainsi : les pays peuvent être classés à l’aune d’un indicateur unique, en l’espèce le degré de décentralisation constitutionnelle. Ils peuvent également être classés en fonction d’un indicateur de cohérence institutionnelle, qui mesure le degré de cohésion entre les différents éléments constitutifs. Le degré d’autonomie et de responsabilité sur les questions budgétaires a reculé de 1917 à 2013 – sauf dans les années 80 et 90 du siècle dernier – alors que les mécanismes de codécision et les cadres budgétaires se renforçaient et que la cohérence institutionnelle gagnait du terrain. Des corrélations simples laissent à penser que le degré de décentralisation joue à peine sur la situation budgétaire et notamment sur les déficits, l’endettement ou la vulnérabilité aux crises, alors que la cohérence institutionnelle (ou l’incohérence, en l’espèce) joue un rôle. |
| Keywords: | fiscal federalism, fiscal policy framework, politique budgétaire, fédéralisme budgétaire, cadre budgétaire |
| JEL: | E62 H10 H70 |
| Date: | 2015–07–23 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:1248-en&r=mac |
| By: | Friederike Koehler-Geib; Kinnon Scott; Ayat Soliman; J. Humberto Lopez |
| Keywords: | Environment - Environmental Economics & Policies Environment - Water Resources Management Governance - National Governance Macroeconomics and Economic Growth - Economic Development Macroeconomics and Economic Growth - Economic Growth Macroeconomics and Economic Growth - Economic Policy, Institutions and Governance Poverty Reduction - Achieving Shared Growth Poverty Reduction - Inequality Poverty Reduction - Social Development & Poverty Public Sector Development Social Development - Social Inclusion & Institutions |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22035&r=mac |
| By: | Fatih Guvenen; Burhanettin Kuruscu; Satoshi Tanaka; David Wiczer |
| Abstract: | What determines the earnings of a worker relative to his peers in the same occupation? What makes a worker fail in one occupation but succeed in another? More broadly, what are the factors that determine the productivity of a worker-occupation match? In this paper, we propose an empirical measure of skill mismatch for a worker-occupation match, which sheds light on these questions. This measure is based on the discrepancy between the portfolio of skills required by an occupation (for performing the tasks that produce output) and the portfolio of abilities possessed by a worker for learning those skills. This measure arises naturally in a dynamic model of occupational choice with multidimensional skills and Bayesian learning about one's ability to learn these skills. In this model, mismatch is central to the career outcomes of workers: it reduces the returns to occupational tenure, and it predicts occupational switching behavior. We construct our empirical analog by combining data from the Armed Services Vocational Aptitude Battery (ASVAB), O*NET, and National Longitudinal Survey of Youth 1979 (NLSY79). Our empirical results show that the effects of mismatch on wages are large and persistent: mismatch in occupations held early in life has a strong effect on wages in future occupations. Skill mismatch also significantly increases the probability of an occupational switch and predicts its direction in the skill space. These results provide fresh evidence on the importance of skill mismatch for the job search process. |
| JEL: | E24 J24 J31 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:21376&r=mac |
| By: | World Bank |
| Keywords: | Law and Development - Trade Law International Economics and Trade - Free Trade Economic Theory Research International Economics and Trade - Trade Policy Macroeconomics and Economic Growth Transport - Transport Economics Policy & Planning |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22044&r=mac |
| By: | Stefano Fenoaltea |
| Abstract: | This paper is the eleventh section of Italian Industrial Production, 1861 1913: A Statistical Reconstruction (in progress). It documents the derivation, from the historical sources, of the time series that track the 1911-price value added of the construction industries. The path of railway and tramway construction is estimated from physical indicators. Construction to extend the (major/minor) railways and (urban/suburban, machine/horse) tramways is estimated from the annual completed mileage of the various networks, and the corresponding maintenance is estimated from track length and use; construction for (railway-net) improvements is indexed by rail consumption in excess of that required for network extensions. The new construction and maintenance of other public works are estimated from the expenditure figures in the national and local budgets, significantly corrected for changes in accounting rules, suitably scaled and deflated. The new construction and maintenance of private social overhead capital are estimated in part as expenditure (calculated for example from the matching public subsidy for land-reclamation projects), suitably deflated, and in part from physical indicators (for example of the additions to the productive capacity and distribution networks of the private utilities). The new construction and maintenance of private residential and commercial buildings are calculated by deflating assessment-based estimates of the gross additions to the stock, and of the stock itself, allowing for the buildings that were statutorily exempt. An index of urban construction is also estimated from the binder-consumption data available for a few dozen cities. |
| Keywords: | method, construction, Italy |
| JEL: | E01 N13 N63 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:cca:wpaper:422&r=mac |
| By: | World Bank |
| Keywords: | Water Supply and Sanitation - Hygiene Promotion and Social Marketing Finance and Financial Sector Development - Access to Finance Water Supply and Sanitation - Urban Water Supply and Sanitation Health, Nutrition and Population - Health and Sanitation Macroeconomics and Economic Growth - Markets and Market Access |
| Date: | 2015–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21901&r=mac |
| By: | Fatih Guvenen; Burhan Kuruscu; Satoshi Tanaka; David Wiczer |
| Abstract: | What determines the earnings of a worker relative to his peers in the same occupation? What makes a worker fail in one occupation but succeed in another? More broadly, what are the factors that determine the productivity of a worker-occupation match? In this paper, we propose an empirical measure of skill mismatch for a worker-occupation match, which sheds light on these questions. This measure is based on the discrepancy between the portfolio of skills required by an occupation (for performing the tasks that produce output) and the portfolio of abilities possessed by a worker for learning those skills. This measure arises naturally in a dynamic model of occupational choice with multidimensional skills and Bayesian learning about one’s ability to learn these skills. In this model, mismatch is central to the career outcomes of workers: it reduces the returns to occupational tenure, and it predicts occupational switching behaviour. We construct our empirical analog by combining data from the Armed Services Vocational Aptitude Battery (ASVAB), O*NET, and National Longitudinal Survey of Youth 1979 (NLSY79). Our empirical results show that the effects of mismatch on wages are large and persistent: mismatch in occupations held early in life has a strong effect on wages in future occupations. Skill mismatch also significantly increases the probability of an occupational switch and predicts its direction in the skill space. These results provide fresh evidence on the importance of skill mismatch for the job search process. |
| Keywords: | Skill mismatch; match quality; Mincer regression; ASVAB; O*NET; occupational switchin |
| JEL: | E24 J24 J31 |
| Date: | 2015–07–10 |
| URL: | http://d.repec.org/n?u=RePEc:tor:tecipa:tecipa-544&r=mac |
| By: | Urban Sila; Hermes Morgavi; Nataša Jemec |
| Abstract: | The rapid growth after independence stopped in 2008 as the global crisis exposed important structural weaknesses. Large state involvement and rigid labour and product markets lowered productivity. Weak corporate governance and easy credit before the crisis led to high indebtedness and overinvestment. Slovenia was slow to deal with the underlying structural problems. Gradually, important reforms have been implemented which raised credibility of Slovenia in the financial markets and boosted confidence. But economic recovery has been sluggish, many people are unemployed and living standards still remain below the pre-crisis levels. Cost competitiveness and export market performance deteriorated, and there have been marked improvements only recently. Better corporate governance and management practices in the state owned sector and privatisations can attract FDI and raise efficiency. Low innovative activity could be boosted by more FDI, stronger framework for entrepreneurial activity and better start-up support. Relatively high minimum wage is potentially reducing employment opportunities of low-skilled workers. Limiting the minimum wage growth, and lowering the high tax wedge on labour income could boost employment. Efficiency should be raised in early and tertiary education to enhance skills. Despite generous public support, overall students’ performance could be improved and there are marked differences between students from different socioeconomic backgrounds. This Working Paper relates to the 2015 OECD Economic Survey of Slovenia (www.oecd.org/eco/surveys/economic-survey-slovenia.htm).<P>Renforcer la compétitivité et la croissance à long terme de l'économie Slovène<BR>La croissance rapide suite à l'indépendance s'est arrêtée en 2008 alors que la crise mondiale a révélé d'importantes faiblesses structurelles. La participation de l'État et des marchés du travail rigides ont abaissé la productivité. Une faible gouvernance des entreprises et une facilité d'accès au crédit avant la crise ont conduit à un endettement élevé et au surinvestissement. La Slovénie a été lente à traiter les problèmes structurels sous-jacents. Peu à peu, des réformes importantes ont été mises en oeuvre qui ont amélioré la crédibilité de la Slovénie dans les marchés financiers et ont renforcé la confiance. Mais la reprise économique a été lente, beaucoup de gens sont au chômage et les conditions de vie restent toujours en dessous des niveaux d'avant-crise. La compétitivité des coûts et la performance des marchés d'exportation se sont détériorées, il y a eu des améliorations marquées que récemment. Des meilleures pratiques de gouvernance d'entreprise et de gestion des secteurs conduits par l'État et les privatisations peuvent attirer l'IDE et augmenter l'efficacité. Une faible activité innovante pourrait être stimulée d'avantage par l'IDE, en créant un environnement plus solide pour l'activité entrepreneuriale et un meilleur support pour de nouvelles entreprises de petite taille. Le salaire minimum relativement élevé réduit potentiellement les possibilités d’emploi de travailleurs peu qualifiés. Limiter la croissance du salaire minimum, et l'abaissement de la charge fiscale sur les revenus du travail pourrait stimuler l'emploi. L'efficacité doit être soulevée dans l'éducation précoce et tertiaire pour améliorer les compétences. Malgré le soutien public, la performance de l'ensemble des étudiants pourrait être améliorée et il y a des différences marquées entre les élèves de différents milieux socio-économiques. Ce Document de travail se rapporte à l’Étude économique de l’OCDE de la Slovénie, 2015 (www.oecd.org/fr/eco/etudes/etude-econom ique-slovenie.htm). |
| Keywords: | taxation, education, innovation, labour market, productivity, R&D, fiscalité, marchés du travail, innovation, éducation |
| JEL: | E24 F21 G3 H2 I2 J24 K2 L26 L33 O3 |
| Date: | 2015–07–15 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:1241-en&r=mac |
| By: | Sebastian Edwards |
| Abstract: | In this paper I revisit the period leading to the abandonment of the gold standard by the U.S. in 1933. I analyze what the important players – and in particular FDR and the members of the advisory group known as the “Brains Trust” – thought about the gold standard. My conclusion is that during the primary and presidential campaigns, neither Roosevelt nor his inner circle had a strong view on gold or the dollar. They did believe in the need to experiment with different policies in order to get the country out of the slump. Tinkering with the value of the currency was a possible area for experimentation; but it was an option with a relatively low priority, lower than implementing a public works program, and passing a bill that included crops allotment. Until inauguration day FDR’s views on the gold standard were ambivalent and noncommittal; he was neither a diehard fan of the system, nor was he a severe critic. |
| JEL: | B2 B22 B26 E31 F31 N12 N22 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:21380&r=mac |
| By: | Kocherlakota, Narayana R. (Federal Reserve Bank of Minneapolis) |
| Date: | 2015–07–09 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedmsp:0135&r=mac |
| By: | World Bank |
| Keywords: | Finance and Financial Sector Development - Access to Finance Banks and Banking Reform Economic Theory and Research Finance and Financial Sector Development - Debt Markets Health, Nutrition and Population - Population Policies Macroeconomics and Economic Growth Poverty Reduction - Achieving Shared Growth Poverty Reduction - Equity and Development Poverty Reduction - Pro-Poor Growth |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21749&r=mac |
| By: | World Bank |
| Keywords: | Insurance and Risk Mitigation Macroeconomics and Economic Growth - Climate Change Economics Finance and Financial Sector Development - Debt Markets Law and Development - Insurance Law Urban Development - Hazard Risk Management |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21696&r=mac |
| By: | World Bank |
| Keywords: | Oil Refining Gas Industry Energy - Energy and Environment Economic Theory Research Energy - Energy Production and Transportation Environment - Environment and Energy Efficiency Industry Macroeconomics and Economic Growth |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21916&r=mac |
| By: | Christoph Aymanns; Fabio Caccioli; J. Doyne Farmer; Vincent W. C. Tan |
| Abstract: | Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic interactions. We investigate a simple dynamical model for understanding this tradeoff, consisting of a bank with a leverage target and an unleveraged fundamental investor subject to exogenous noise with clustered volatility. The parameter space has three regions: (i) a stable region, where the system always reaches a fixed point equilibrium; (ii) a locally unstable region, characterized by cycles and chaotic behavior; and (iii) a globally unstable region. A crude calibration of parameters to data puts the model in region (ii). In this region there is a slowly building price bubble, resembling a "Great Moderation", followed by a crash, with a period of approximately 10-15 years, which we dub the "Basel leverage cycle". We propose a criterion for rating macroprudential policies based on their ability to minimize risk for a given average leverage. We construct a one parameter family of leverage policies that allows us to vary from the procyclical policies of Basel II or III, in which leverage decreases when volatility increases, to countercyclical policies in which leverage increases when volatility increases. We find the best policy depends critically on three parameters: The average leverage used by the bank; the relative size of the bank and the fundamentalist, and the amplitude of the exogenous noise. Basel II is optimal when the exogenous noise is high, the bank is small and leverage is low; in the opposite limit where the bank is large or leverage is high the optimal policy is closer to constant leverage. We also find that systemic risk can be dramatically decreased by lowering the leverage target adjustment speed of the banks. |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1507.04136&r=mac |
| By: | World Bank |
| Keywords: | Insurance and Risk Mitigation Macroeconomics and Economic Growth - Climate Change Economics Finance and Financial Sector Development - Debt Markets Law and Development - Insurance Law Urban Development - Hazard Risk Management |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21694&r=mac |
| By: | Britta Stöver (GWS - Institute of Economic Structures Research); Dr. Marc Ingo Wolter (GWS - Institute of Economic Structures Research) |
| Abstract: | Basierend auf der Unternehmensdemografie des Statistischen Bundesamtes (Rink et al. 2013) und den Daten zu den Gründungs- und Schließungsraten von Unternehmen wird von den Autoren der Versuch unternommen, die Unternehmensentwicklung nach Wirtschaftszweigen im Modellkontext INFORGE besser abzubilden. Der Ansatz berücksichtigt Gründungen, Schließungen und sonstige Vorgänge (u. a. Ausgliederung, Übernahme und Reaktivierungen) für Unternehmen nach Wirtschaftsabschnitten (WZ 2008). Weiterhin werden zur Interpretation der Ergebnisse Kennzahlen gebildet. Mit der Methode lassen sich Fragen zur Dimension der unternehmensdemografischen Prozesse, zur Entwicklung der Unternehmenszahlen und zu den Folgen für die Unternehmensgröße bezogen auf Produktion oder Anzahl der Erwerbstätigen beantworten. Erste Ergebnisse zeigen, dass die Zahl an Handelsunternehmen weiter abnehmen, die Menge von Unternehmen bei Freiberuflern und sonstigen Dienstleistungen hingegen steigen werden. Im Bereich des Produzierenden Gewerbes kann nur die Energieversorgung und die Bauwirtschaft an Unternehmen zulegen. Bis auf die Bauwirtschaft zeigen alle Wirtschaftszweige konsistente Entwicklungen. |
| Keywords: | Unternehmensdemografie, Unternehmensentwicklung, Modellierung, Kennzahlen |
| JEL: | E27 E20 M13 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:gws:dpaper:15-8&r=mac |
| By: | World Bank |
| Keywords: | Environment - Climate Change Mitigation and Green House Gases Macroeconomics and Economic Growth - Climate Change Economics Private Sector Development - E-Business Energy - Energy and Environment Environmental Economics and Policies |
| Date: | 2014–04 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21817&r=mac |
| By: | World Bank |
| Keywords: | Insurance and Risk Mitigation Macroeconomics and Economic Growth - Climate Change Economics Banks and Banking Reform Urban Development - Hazard Risk Management Environment - Natural Disasters Finance and Financial Sector Development - Debt Markets Finance and Financial Sector Development - Non Bank Financial Institutions Finance and Financial Sector Development - Bankruptcy and Resolution of Financial Distress Finance and Financial Sector Development - Financial Intermediation Law and Development - Insurance Law |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:21695&r=mac |
| By: | World Bank |
| Keywords: | Science and Technology Development - Engineering Power Energy Conversion Environment - Environment and Energy Efficiency Energy - Energy Production and Transportation Energy - Energy and Environment Macroeconomics and Economic Growth - Taxation & Subsidies Social Protections and Labor - Social Protections & Assistance |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wboper:22095&r=mac |
| By: | Xubei Luo; Nong Zhu |
| Abstract: | The Chinese economy has witnessed impressive development since the enterprise reforms in the 1990s. With the restructuring of the private sector and the development of market economy, the level and volatility of firm level productivity have become increasingly important aspects of the micro performance of the economy. This paper examines the role of different firm characteristics - such as size, age, ownership, and geographic location - in productivity volatility using a firm-level dataset collected annually by China’s National Bureau of Statistics in 1998-2007. It follows the methodology developed in Comin and Philippon (2005; 2007) to measure firm productivity volatility as the standard deviation of the annual growth rate of output per worker. Its objectives are to investigate the drivers of productivity volatility of Chinese industrial firms, and to shed light on the sources of output volatility and its evolution over time. The results suggest that in general, firm productivity volatility declined over time. Among firms of different characteristics, larger firms, older firms, foreign firms, and firms located in the coastal provinces are less volatile. Firm size and location are the two major factors that drive changes in productivity volatility – one positively and one negatively. While the gaps of volatility between smaller firms and larger firms declined, the gaps between firms located in the coastal provinces and inland provinces increased. |
| Keywords: | Enterprise reform, productivity, volatility, China, |
| JEL: | C21 D21 E23 |
| Date: | 2015–07–13 |
| URL: | http://d.repec.org/n?u=RePEc:cir:cirwor:2015s-32&r=mac |
| By: | Medel, Carlos A. |
| Abstract: | To what extent geopolitical tensions in major oil-producer countries and unexpected news related to the Organisation of the Petroleum Exporting Countries (OPEC) affect oil price? What are the effects of non-market externalities in oil price? Are oil price forecasters aware or affected by such externalities when making their predictions? In this article, I analyse the influence of these events on oil price by means of Granger causality, using a unique measure of geopolitical events accounting for supply disruptions for the 2001-12 period. I found evidence favouring OPEC countries'-related news as an oil price driver jointly with supply disruptions influencing short-term forecasts, and reducing the consensus when unanticipated news are available. When considering separately OPEC news or other supply disruptions, the evidence is rather episodic. |
| Keywords: | Oil-producer countries; OPEC; oil price; Granger causality |
| JEL: | C12 C22 E66 Q41 |
| Date: | 2015–07–17 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:65667&r=mac |
| By: | Anastasia Litina (University of Luxembourg); Theodore Palivos (Athens University of Economics and Business) |
| Abstract: | We provide empirical support and a theoretical explanation for the vicious circle of political corruption and tax evasion in which countries often fall into. We address this issue in the context of a model with two distinct groups of agents: citizens and politicians. Citizens decide the fraction of their income for which they evade taxes. Politicians decide the fraction of the public budget that they peculate. We show that multiple self-fulfilling equilibria with different levels of corruption can emerge based on the existence of strategic complementarities, indicating that “corruption” may corrupt. Furthermore, we find that standard deterrence policies cannot eliminate the multiplicity of equilibria. Instead, policies that impose a strong moral cost on tax evaders and corrupt politicians can lead to a unique equilibrium. |
| Keywords: | Corruption; Tax Evasion; Multiple Equilibria; Social Stigma |
| JEL: | D73 E62 H26 |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:bog:wpaper:193&r=mac |