|
on Macroeconomics |
|
Issue of 2015‒12‒01
seventy papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Koki Oikawa; Kozo Ueda |
| Abstract: | In this study, we illustrate a tradeoff between the short-run positive and long-run negative effects of monetary easing by using a dynamic stochastic general equilibrium model embedding endogenous growth with creative destruction and sticky prices due to menu costs. While a monetary easing shock increases the level of consumption because of price stickiness, it lowers the frequency of creative destruction (i.e., product substitution) because inflation reduces the reward for innovation via menu cost payments. The model calibrated to the U.S. economy suggests that the adverse effect dominates in the long run. |
| Keywords: | Schumpeterian, new Keynesian, non-neutrality of money |
| JEL: | E31 E58 O33 O41 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2015-45&r=mac |
| By: | Jérôme Creel (OFCE Sciences Po & ESCP Europe); Paul Hubert (OFCE-SciencesPo); Mathilde Viennot (Paris School of Economics) |
| Abstract: | This paper assesses the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and lending volumes or bond issuance for three types of different economic agents through five different markets: sovereign bonds at 6-month, 5- year and 10-year horizons, loans to non-financial corporations, and housing loans to households, during the financial crisis, and for the four largest economies of the Euro Area. We look at three different unconventional tools: excess liquidity, longer-term refinancing operations and securities held for monetary policy purposes following the decomposition of the ECB’s Weekly Financial Statements. We first identify series of ECB policy shocks at the Euro Area aggregate level by removing the systematic component of each series and controlling for announcement effects. We second include these exogenous shocks in countryspecific structural VAR, in which we control for the credit demand side. The main result is that only the pass-through from the ECB rate to interest rates has been effective. Unconventional policies have had uneven effects and primarily on interest rates. |
| Keywords: | Transmission channels, Unconventional Monetary Policy, Quantitative Easing, Pass-through, Bank Lending |
| JEL: | E51 E52 E58 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:fce:doctra:1526&r=mac |
| By: | Etienne Lalé |
| Abstract: | This paper studies the effects of skill loss on compositional changes in the pool of unemployed, and their impact on aggregate labor market fluctuations. We develop a computationally tractable stochastic version of the Diamond-Mortensen-Pissarides model, wherein workers accumulate skills on the job and lose them during unemployment. Skill loss provides a mechanism for amplifying fluctuations: the loss of skills shifts the average composition of the unemployment pool towards low-surplus workers, which magnifies the response of vacancies to aggregate productivity shocks. The model, however, cannot generate large compositional changes at business cycle frequency: the dynamics of unemployment remains too fast for the pool of searching workers to deteriorate markedly during downturns. Finally, we find that loss of skill plays a quantitatively important role if skills are destroyed immediately upon job loss, and more so during recessions. |
| Keywords: | Diamond-Mortensen-Pissarides model, Labor market volatility, Skill loss |
| JEL: | E24 E32 J24 J63 J64 |
| Date: | 2015–11–17 |
| URL: | http://d.repec.org/n?u=RePEc:bri:uobdis:15/668&r=mac |
| By: | Masolo, Riccardo (Bank of England); Monti, Francesca (Bank of England) |
| Abstract: | We develop a model that can explain the evolution of trend inflation in the United States in the three decades before the Great Recession as a function of the reduction in uncertainty about the monetary policy maker’s behaviour. The model features ambiguity-averse agents and ambiguity regarding the conduct of monetary policy, but is otherwise standard. Trend inflation arises endogenously and has these determinants: the strength with which the central bank responds to inflation, the degree of uncertainty about monetary policy perceived by the private sector, and, if it exists, the inflation target. Given the importance of monetary policy for the determination of trend inflation, we also study optimal monetary policy in the case of lingering ambiguity. |
| Keywords: | Ambiguity aversion; monetary policy; trend inflation. |
| JEL: | D84 E31 E43 E52 E58 |
| Date: | 2015–11–13 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0565&r=mac |
| By: | Ackon, Kwabena |
| Abstract: | The relationship between money and macroeconomic variables such as output, inflation and unemployment is the basis of macroeconomic policy piquing the interests of both academic economists and policy makers especially in the aftermath of the Great Recession. With the Federal Reserve expanding its balance sheet by an estimated $4 trillion, the current economic debate is whether there is a stable relationship between money and macroeconomic variables. In fact, previous research had shown that the link is tenuous and a more recent paper by Aksoy and Piskorski (2006) had concluded that accounting for the foreign holdings of US dollars holds predictive content for the path key macroeconomic variables such as output and inflation. This paper aimed to test this theory on a larger dataset including testing a small sample for the period after the Great Recession. I found that accounting for foreign holdings of US dollars improved the intrinsic information held in domestic money for the path of output after the great recession and the path of inflation between 1965-2007. |
| Keywords: | Currency, Money, Output, Inflation, Unemployment, Granger Causality, Forecasting |
| JEL: | E0 E3 E31 E37 E5 E52 E58 |
| Date: | 2015–11–27 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:68095&r=mac |
| By: | Budina, Nina; Gracia, Borja; Hu, Xingwei; Saksonovs, Sergejs |
| Abstract: | This paper argues that asset price cycles have significant effects on fiscal outcomes. In particular, there is evidence of debt bias—the tendency of debt to increase over the cycle— that is significantly larger for house price cycles than stand-alone business cycles. Automatic stabilizers and discretionary fiscal policy generally respond to output fluctuations, whereas revenue increases due to house price booms are largely treated as permanent. Thus, neglecting the direct and indirect impact of asset prices on fiscal accounts encourages procyclical fiscal policies. |
| Keywords: | housing cycles, public debt, private debt, debt bias |
| JEL: | E32 F34 G01 H63 |
| Date: | 2015–11–24 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:68052&r=mac |
| By: | Gilchrist, Simon (Boston University and NBER); Schoenle, Raphael (Brandeis University); Sim, Jae W. (Federal Reserve Board of Governors); Zakrajsek, Egon (Federal Reserve Board of Governors) |
| Abstract: | Firms with limited internal liquidity significantly increased prices in 2008, while their liquidity unconstrained counterparts slashed prices. Differences in the firms' price-setting behavior were concentrated in sectors likely characterized by customer markets. The authors develop a model in which firms face financial frictions while setting prices in a customer-markets setting. Financial distortions create an incentive for firms to raise prices in response to adverse demand or financial shocks. These results reflect the firms' reaction to preserve internal liquidity and avoid accessing external finance, factors that strengthen the countercyclical behavior of markups and attenuate the response of inflation to fluctuations in output. |
| Keywords: | missing deflation; sticky customer base; costly external finance; financial shocks; cost channel; inflation-output tradeoff |
| JEL: | E31 E32 E44 E51 |
| Date: | 2015–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedacq:15-04&r=mac |
| By: | John Driffill |
| Abstract: | The European Central Bank adopted a policy of quantitative easing early in 2015, long after the US and UK, and after implementing a succession of measures to increase liquidity in the Euro zone financial markets, none of which proved sufficient eventually. The paper draws out lessons for the Euro zone from US and UK experience. Numerous event studies have been undertaken to uncover the effects of QE on yields on and prices of financial assets. Estimated effects on long-term government bond yields are then converted into the size of the cut in the policy rate that would normally have been needed to produce them. From these implicit cuts in policy rates, estimates of the effect on GDP and inflation are generated. Euro zone QE appears to have had a much smaller effect on bond yields for the core members states than did QE in the US or UK. Therefore its effects on output and inflation are likely to be proportionately smaller. Its effects on long-term government bond yields in periphery members are greater. QE is compressing interest differential among Euro zone member states. The dangers of QE to which various commentators draw attention, that it creates a danger of inflation in the future, that it creates asset price bubbles, that it allows zombie firms and banks to survive, slowing down the process of adjustment, seem remote. Meanwhile it makes a useful contribution to cutting the costs of debt service and allowing member states more fiscal room for maneouvre. |
| Keywords: | quantitative easing, unconventional monetary policy, Euro zone, financial crisis, European Central Bank |
| JEL: | E31 E43 E51 E58 E63 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:ise:isegwp:wp152015&r=mac |
| By: | Joao Bernardo Duarte; Daniel A. Dias |
| Abstract: | In this paper we unveil a feedback loop between monetary policy, housing tenure choice (own vs rent) and measured inflation and quantify its consequences. This feedback loop is explained in three parts: i) Housing rents respond positively to contractionary monetary policy shocks; ii) This effect of interest rates on housing rents gives rise to an important and systematic inflation mismeasurement problem because, directly and indirectly, housing rents weigh approximately 30\% in the CPI and 13\% in the PCE; iii) When interest rates are set according to a Taylor rule, the systematic mismeasurement of inflation gives rise to a feedback loop by which the monetary authority keeps setting interest rates too high (low) because inflation is apparently too high (low). To rationalize i) and quantify the importance of iii) we propose a standard New Keynesian model augmented with an endogenous housing tenure choice mechanism. Using a calibrated version of the model, we do a counterfactual exercise and estimate that, when the monetary authority targets the implied consumer price index net of housing rents instead of the implied consumer price index, the loss function of monetary policy is 14.5\% lower and the welfare in terms of consumption equivalent variation is 0.9\% higher. Finally, analyzing the same alternative scenario for the 1983-2006 US experience, we find that the standard deviation of housing prices and nominal inflation would have been 24.8\% and 19.9\% lower, respectively. |
| JEL: | E31 E43 R21 |
| Date: | 2015–11–26 |
| URL: | http://d.repec.org/n?u=RePEc:jmp:jm2015:pdu385&r=mac |
| By: | Jérôme Creel (OFCE); Paul Hubert (OFCE); Mathilde Viennot (École normale supérieure - Cachan) |
| Abstract: | This paper assesses the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and lending volumes or bond issuance for three types of different economic agents through five different markets: sovereign bonds at 6-month, 5-year and 10-year horizons, loans to non-financial corporations, and housing loans to households, during the financial crisis, and for the four largest economies of the Euro Area. We look at three different unconventional tools: excess liquidity, longer-term refinancing operations and securities held for monetary policy purposes following the decomposition of the ECB’s Weekly Financial Statements. We first identify series of ECB policy shocks at the Euro Area aggregate level by removing the systematic component of each series and controlling for announcement effects. We second include these exogenous shocks in country-specific structural VAR, in which we control for the credit demand side. The main result is that only the pass-through from the ECB rate to interest rates has been effective. Unconventional policies have had uneven effects and primarily on interest rates. |
| Keywords: | Transmission channels; Unconventional Monetary Policy; Quantitative Easing; Pass through; Bank lending |
| JEL: | E51 E52 E58 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:spo:wpmain:info:hdl:2441/1plbkk1i83dqp9vh69uffirf&r=mac |
| By: | Marco Lorusso (Centre for Energy Economics Research and Policy, Heriot-Watt University); Luca Pieroni (Department of Political Science, University of Perugia) |
| Abstract: | In this paper, we assess the impact of oil price fluctuations on the UK economy. We use an empirical strategy which allows us to decompose oil price changes from the underlying source of the shock. Our results show that, since the mid-1970s, oil price movements have been mainly associated with shocks to oil demand rather than oil supply. We also find that the consequences of oil price changes on UK macroeconomic aggregates depend on the different types of oil shocks. While increases in global real economic activity do not depress the UK economy in the short run, shortfalls in crude oil supply cause an immediate fall in GDP growth. In addition, since monetary policy depends on the nature of the shock hitting the oil market, domestic inflation increases following a rise in the real oil price. Finally, our results also show that in response to oil price increases, the government deficit decreases. |
| Keywords: | Oil Price Shocks, Vector Autoregressions |
| JEL: | E31 E32 Q41 Q43 Q48 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:hwc:wpaper:002&r=mac |
| By: | D’Aguanno, Lucio (Department of Economics University of Warwick) |
| Abstract: | What are the welfare gains from being in a currency union? I explore this question in the context of a dynamic stochastic general equilibrium model with monetary barriers to trade, local currency pricing and incomplete markets. The model generates a trade off between monetary independence and monetary union. On one hand, distinct national monetary authorities with separate currencies can address business cycles in a countryspecific way, which is not possible for a single central bank. On the other hand, short-run violations of the law of one price and long-run losses of international trade occur if different currencies are adopted, due to the inertia of prices in local currencies and to the presence of trade frictions. I quantify the welfare gap between these two international monetary arrangements in consumption equivalents over the lifetime of households, and decompose it into the contributions of di.erent frictions. I show that the welfare ordering of alternative currency systems depends crucially on the international correlation of macroeconomic shocks and on the strength of the monetary barriers affecting trade with separate currencies. I estimate the model on data from Italy, France, Germany and Spain using standard Bayesian tools, and I find that the trade off is resolved in favour of a currency union among these countries. |
| Keywords: | Currency union ; Incomplete markets ; Nominal rigidities ; Local currency pricing ; Trade frictions ; Welfare |
| JEL: | D52 E31 E32 E42 E52 F41 F44 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:wrk:warwec:1082&r=mac |
| By: | Julian Neira (Department of Economics, University of Exeter) |
| Abstract: | Using a harmonized dataset constructed from national statistical agencies’ data for a sample of OECD countries, I document a systematic positive relationship between i) aggregate productivity, ii) the employment share by large firms and iii) the proportion of large firms in the economy. I propose that differences in bankruptcy procedures can explain this relationship. In a model of financial intermediation and informational frictions, I show that as bankruptcy procedures worsen — measured by the amount a lender can recover from bankrupt borrowers — lenders respond by shifting their portfolio of loans to smaller (less productive) enterprises. This finding is supported by empirical evidence: across countries, efficient bankruptcy procedures are associated with a higher proportion of new bank loans allocated to large firms. In the model, moving the level of recovery rate from the U.S. level to that of the lowest recovery rate country in the OECD sample reduces TFP by 30%. |
| Keywords: | Aggregate Productivity, Bankruptcy, Financial Frictions, Small Firms, Employment Shares, Firm-Size Distribution, OECD, Misallocation. |
| JEL: | E44 E23 E02 D24 O47 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:exe:wpaper:1511&r=mac |
| By: | Stevens, Luminita (Federal Reserve Bank of Minneapolis) |
| Abstract: | The puzzling behavior of inflation in the Great Recession and its aftermath has increased the need to better understand the constraints that firms face when setting prices. Using new data and theory, I demonstrate that each firm's choice of how much information to acquire to set prices determines aggregate price dynamics through the patterns of pricing at the micro level, and through the large heterogeneity in pricing policies across firms. Viewed through this lens, the behavior of prices in recent years becomes less puzzling, as firms endogenously adjust their information acquisition strategies. In support of this mechanism, I present micro evidence that firms price goods using plans that are sticky, coarse, and volatile. A theory of information-constrained price setting generates such policies endogenously, and quantitatively matches the discreteness, duration, volatility, and heterogeneity of policies in the data. Policies track the state noisily, resulting in sluggish adjustment to shocks. A higher volatility of shocks does not reduce monetary non-neutrality and generates slight inflation, while progress in the technology to acquire information results in deflation. |
| Keywords: | rigid prices; rational inattention; inflation dynamics |
| JEL: | E3 E5 |
| Date: | 2015–11–23 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedmsr:520&r=mac |
| By: | Alberto Cardacci (Lombardy Advanced School of Economics Milan); Francesco Saraceno (OFCE) |
| Abstract: | By means of a macroeconomic model with an agent-based household sector and a stockflow consistent structure, we analyse the im-pact of rising income inequality on the likelihood of a crisis for different institutional settings. In particular, we study how economic crises emerge in the presence of different credit conditions and policy reactions to rising income disparities. Our simulations show the relevance of the degree of financialisation of an economy. In fact, when inequality grows, a Scylla and Charybdis kind of dilemma seems to arise: on the one hand, low credit availability implies a drop in aggregate demand and output; on the other hand, relaxed credit constraints and a higher willingness to lend result in greater financial instability and a debt-driven boom and bust cycle. We also point out that policy reactions play a key role: a real structural reform that tackles inequality, by means of a more progressive tax system, actually compensates for the rise in income disparities thereby stabilising the economy. Results also show that this is a better solution compared to a stronger fiscalpolicy reaction, which, instead, only leads to a larger duration of the boom and bust cycle. |
| Keywords: | Inequality; Household debt; Credit markets; Agent-based models; Stock-flow consistency |
| JEL: | C63 D31 E21 E62 G1 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:spo:wpmain:info:hdl:2441/7qe4u05nfo9gcaran6h19ej29p&r=mac |
| By: | Alessandra Bonfiglioli; Gino Gancia |
| Abstract: | Does economic uncertainty promote the implementation of structural reforms? We answer this question using one of the most exhaustive cross-country panel data set on reforms in six major areas and measuring economic uncertainty with stock market volatility. To address endogeneity concerns, we propose various identification strategies, instrumenting uncertainty with world shocks to volatility and with natural disasters, terrorist attacks, political coups and revolutions. Across all specifications, we find that uncertainty has a positive and significant effect on the adoption of reforms. This result is robust to the inclusion of a large number of controls, including political variables, economic variables, crisis indicators, and a host of country, reform and time fixed effects. These findings are broadly consistent with recent models suggesting that uncertainty promotes reforms by mitigating agency problems between policy makers and voters. |
| Keywords: | Reforms, Uncertainty. |
| JEL: | E02 E60 L51 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:upf:upfgen:1494&r=mac |
| By: | Jonathan Chiu; Tsz-Nga Wong |
| Abstract: | Recent years have witnessed the advances of e-money systems such as Bitcoin, PayPal and various forms of stored-value cards. This paper adopts a mechanism design approach to identify some essential features of different payment systems that implement and improve the constrained optimal resource allocation. We find that, compared to cash, emoney technologies allowing limited participation, limited transferability and non-zerosum transfers can help mitigate fundamental frictions and enhance social welfare, if they satisfy conditions in terms of parameters such as trade frequency and bargaining powers. An optimally designed e-money system exhibits realistic arrangements including nonlinear pricing, cross-subsidization and positive interchange fees even when the technologies incur no costs. Regulations such as a cap on interchange fees (à la the Dodd- Frank Act) can distort the optimal mechanism and reduce welfare. |
| Keywords: | Bank notes, E-Money, Payment clearing and settlement systems |
| JEL: | E E4 E42 E5 E58 L5 L51 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:15-43&r=mac |
| By: | Jill Vardy |
| Abstract: | This paper discusses reputational risk in the context of central banking and explains why it matters to central banks. It begins with a general discussion of reputational risk within the broader framework of risk management. It then outlines how central banks define, measure, monitor and manage reputational risk, citing examples from central banks around the world, including the Bank of Canada. Finally, it presents a model for integrating reputational risk into policy analysis and operational planning—an “embedded communications” approach that ensures such considerations are brought into the core of central bank decision making. |
| Keywords: | Credibility, International topics, Monetary policy implementation |
| JEL: | E5 E52 E58 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocadp:15-16&r=mac |
| By: | Millard, Stephen (Bank of England) |
| Abstract: | In line with most of the developed world, the United Kingdom experienced in 2008–09 its worst recession since the Great Depression of the 1920s and 30s: the Great Recession. But despite the 6% peak-to-trough fall in output (as measured by real gross value added at basic prices) the unemployment rate only rose from 5.2% in 2007 Q4 to 8.4 in 2011 Q3. This muted response is often attributed to the flexibility of the UK labour market and, in particular, the willingness of UK workers to see their real wages fall. This paper uses an estimated DSGE model of the UK economy to investigate this hypothesis, assessing which shocks were largely responsible for the Great Recession and the extent to which the effect of these shocks on unemployment would have been worse had the UK labour market responded less flexibly. |
| Keywords: | Labour market flexibility; Great Recession. |
| JEL: | E24 E32 |
| Date: | 2015–11–13 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0566&r=mac |
| By: | Morten Linneman Bech; Cyril Monnet |
| Abstract: | We present a search-based model of the interbank money market and monetary policy implementation. Banks are subject to reserve requirements and the central bank tenders reserves. Interbank payments redistribute holdings and banks trade with each other in a decentralized (over-the-counter) market. The central bank provides standing facilities where banks can either deposit surpluses or borrow to cover shortfalls of reserves overnight. The model provides insights on liquidity, trading volume, and rate dispersion in the interbank market - features largely absent from the canonical models in the tradition of Poole (1968) - and fits a number of stylized facts for the Eurosystem observed during the recent period of unconventional monetary policies. Moreover, it provides insights on the implications of different market structures. |
| Keywords: | Interbank market, monetary policy implementation, unconventional monetary policy |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:529&r=mac |
| By: | Petru POPESCU (Faculty of Economics, Ecological University of Bucharest); Ana Alexandrina POPESCU (Faculty of Economics, Ecological University of Bucharest) |
| Abstract: | As presented in the financial newspaper dated 10.01.2014, an overview of 2014 would have to be given not only to macro indicators: exports - which are expected to keep pace at plus 8% next year and consumption - the they expect an increase of at least 2% after stagnating last year and investment - which would be good even after subtracting stall last year, but the pace of local companies. In Romania, the aggregate profits of the companies and their turnover is very little track indicators. According to the latest data from the Trade Registry, the turnover of all enterprises in Romania in 2012 was 1.128 billion lei (254 billion euros) and net profit aggregate (sum of net profits) was 66.7 billion lei (15 billion euros). For the 2013 data should be expected to deposit balances, in May-June 2014. In 2008, the best year after the Revolution as profits and sales for most companies in Romania, the total turnover of the 442, 000 local active companies was 1.088 billion lei, and the total profit was 73.2 billion lei. In other words, companies in Romania have not achieved profit in 2008 even in nominal terms, without inflation. A problem that is talked about very little is given that exceeds aggregate net profit by 5 billion lei net loss in Romania aggregate companies. In 2012, aggregate net loss (the sum of net losses of 200, 000 companies was written off in 2012) was 45 billion lei (10 billion euros). Therefore, if we look at all 442, 000 active companies in Romania with nonzero turnover as one big company, it would have a turnover in 2012 of 254 billion euros and a net profit of 5 billion euros, a net margin of just 2%. You cannot forecast or reveal trends without entering in depth business relationships in the economy, which is captured primarily by the evolution of corporate results, even if the annual quarter, as in the United States. Unfortunately, the economic debate in Romania intersection of micro and macroeconomics is quite low. Neither the Ministry of Finance, which has all the data available and the local companies on the other hand must rely on macro forecasts to make decisions on budgets, such correlations are not a priority, even at the level of analysis. |
| Keywords: | credit European economy in 2014, risks and opportunities, European directives and regulations, measures of economic growth |
| JEL: | E61 G15 M21 |
| Date: | 2014–01 |
| URL: | http://d.repec.org/n?u=RePEc:eub:wp2014:2014-09&r=mac |
| By: | Kilian Huber |
| Abstract: | This paper analyses the effects of bank lending on GDP and employment. Following losses on international financial markets in 2008/09, a large German bank cut its lending to the German economy. I exploit variation in dependence on this bank across counties. To address the correlation between county GDP growth and dependence on this bank, I use the distance to the closest of three temporary, historic bank head offices as instrumental variable. The results show that the effects of the lending cut were persistent, and resembled the growth patterns of developed economies during and after the Great Recession. For two years, the lending cut reduced GDP growth. Thereafter, affected counties remained on a lower, parallel trend. The firm results exhibit similar dynamics, and show that the lending cut primarily affected capital expenditures. Overall, the lending cut reduced aggregate German GDP in 2012 by 3.9 percent, and employment by 2.3 percent. This shows that a single bank can persistently shape macroeconomic growth. |
| Keywords: | Banking crisis, financial frictions, lending, GDP, growth, employment |
| JEL: | D22 D53 E24 E44 G01 G21 J01 J23 J30 O16 O40 O47 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:cep:cepdps:dp1389&r=mac |
| By: | Toni Beutler; Robert Bichsel; Adrian Bruhin; Jayson Danton |
| Abstract: | In this paper, we empirically analyze the transmission of realized interest rate risk – the gain or loss in bank economic capital due to movements in interest rates – to bank lending. We exploit a unique panel data set that contains supervisory information on the repricing maturity profiles of Swiss banks and provides us with an individual measure of interest rate risk exposure net of hedging. Our analysis yields three main results. First, our estimates indicate that a year after a permanent 1 percentage point upward shock in nominal interest rates, the average bank of 2013Q3 would ceteris paribus reduce its cumulative loan growth by approximately 170 basis points. An estimated 28% of this reduction would be the result of realized interest rate risk exposure weakening the bank’s economic capital. Second, due to the banks’ heterogeneity in interest rate risk exposure, the effect of the shock would differ across institutions and could be redistributive across regions. Finally, bank lending seems to be mainly driven by capital rather than liquidity, suggesting that a higher capitalized banking system can better shield its creditors from shocks in interest rates. |
| Keywords: | Interest Rate Risk; Bank Lending; Monetary Policy Transmission |
| JEL: | E44 E51 E52 G21 |
| Date: | 2015–09 |
| URL: | http://d.repec.org/n?u=RePEc:lau:crdeep:15.09&r=mac |
| By: | Meenagh, David (Cardiff Business School); Minford, Patrick (Cardiff Business School); Oyekola, Olayinka |
| Abstract: | We examine the role of oil price shocks in effecting changes both at the aggregate and sectoral levels using an estimated dynamic stochastic equilibrium open economy model. Our main finding is that energy price shocks are not able directly to generate the magnitude of the economic downturn observed in the data. These shocks, however, do possess a strong indirect transmission link that endogenously spreads their effect through the system such that they account for a considerable portion of the U.S. business cycle movements. This leads us to conclude that previous results that attribute a minimal importance to oil price shocks must be focusing more on the energy cost share of gross domestic product and less on how they affect the intertemporal decisions of economic agents. We also find that external shocks have been responsible for explaining volatility in U.S. economic activities for a long time. This leads us to conclude that modelling the U.S. as a closed economy discounts a sizeable set of very relevant factors. |
| Keywords: | Two sector; non-stationary DSGE model; Oil price; Relative prices; Domestic shocks; Imported shocks |
| JEL: | E32 D58 F41 C52 Q43 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:cdf:wpaper:2015/18&r=mac |
| By: | António Afonso; João Tovar Jalles |
| Abstract: | We use SURE estimation methods to assess the link between prices, bond yields and the fiscal behavior. A first equation determines the country-specific cost of government financing via the long-term government bond yield, as a function of budget balance positions. A second equation links the price level to the cost of government financing. Our results for 15 EU countries in the period 1980Q1-2013Q4, show that: improvements in the fiscal stance lead to persistent falls in sovereign yields; higher sovereign yields are reflected in upward price movements; improvements in the fiscal stance in recession times lead to short-term decreases in yields; better fiscal stance in expansions induce downward movement in bond yields only after 8 quarters. |
| Keywords: | price level, yields, Ricardian regimes, SURE, local projection, impulse response function |
| JEL: | E31 E62 H62 O52 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:ise:isegwp:wp162015&r=mac |
| By: | Dudin, Mihail Nikolaevich (Russian academy of Entrepreneurship); Sekerin, Vladimir Dmitriyevich (Moscow state university of mechanical engineering); Smirnova, Olga Olegovna (The Council for the study of productive forces under Ministry of Economic Development of the Russian Fedration and the Russian Academy of Sciences (SOPS)); Frolova, Åvgenia Åvgenevna (Far Eastern Federal University); Sepiashvili, Ekaterina Nikolaevna (Moscow State University of Technology and Management) |
| Abstract: | The article examines topical issues related to the formation of an effective monetary policy as an element to ensure stability of the banking sector under the conditions of the economic crisis. During the research, the following basic conclusions were drawn. The nature and content of the state anti-crisis management in the banking sector is considered, taking into account current and future changes in the global development of the world economy. The state anti-crisis management in the banking sector should be primarily focused on the control and minimization of the key risks of sustainable national socio-economic development. This is achieved through the systematic use of the monetary policy instruments. Instruments for banking sector regulation are systematized with due consideration of the monetary policy targeting. The choice of instruments for regulating the banking sector, as a rule, is discretionary, thus, the state, represented by bodies of power, when forming approaches to the implementation of effective monetary and macroprudential policies, aimed at ensuring the stability of the banking sector during the economic crisis, should take into account the investment and innovative character of the real economy sector development, as well as social and legal relations in society. Through the buildup of sustainable socio-economic development, as well as the systematization of the regulatory treatment of the banking sector on the basis of monetary policy optimization, author proposes to further improve the development of financial systems of the state as a whole, and the banking sector in particular on the basis of the triple helix model (universities-state-business).In relation to the banking sector, adaptation of the triple helix model means reforming the tripartite institutional interaction by replacement of the real sector with the banking sector, and the public sector – with central bank and the macroprudential oversight bodies. |
| Keywords: | banking sector, economic crisis, systemic banking crisis, anti-crisis public management, monetary policy, macroprudential regulation, the triple helix model |
| JEL: | E52 H12 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:rnp:ppaper:d154&r=mac |
| By: | Yasin Mimir; Enes Sunel |
| Abstract: | We document empirically that the 2007-09 Global Financial Crisis exposed emerging market economies (EMEs) to an adverse feedback loop of capital outflows, depreciating exchange rates, deteriorating balance sheets, rising credit spreads and falling real economic activity. In order to account for these empirical findings, we build a New-Keynesian DSGE model of a small open economy with a banking sector that has access to both domestic and foreign funding. Using the calibrated model, we investigate optimal, simple and operational monetary policy rules that respond to domestic/external financial variables alongside inflation and output. The Ramsey-optimal policy rule is used as a benchmark. The results suggest that such an optimal policy rule features direct and non-negligible responses to lending spreads over the cost of foreign debt, the real exchange rate and the US policy rate, together with a mild anti-inflationary policy stance in response to domestic and external shocks. Optimal policy faces trade-offs in smoothing inefficient fluctuations in the intratemporal and intertemporal wedges driven by inflation, credit spreads and the real exchange rate. In response to productivity and external shocks, a countercyclical reserve requirement (RR) rule used in coordination with a conventional interest rate rule attains welfare levels comparable to those implied by spread- and real exchange rate-augmented rules. |
| Keywords: | Optimal monetary policy, banks, credit frictions, external shocks, foreign debt |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:528&r=mac |
| By: | Paul Ehling (BI norwegian business school); Michael Gallmeyer (University of Virginia); Christian Heyerdahl-Larsen (London business school); Philipp Illeditsch (University of Pennsylvania) |
| Abstract: | We show theoretically that inflation disagreement drives a wedge between real and nominal yields and raises their levels and volatilities. We demonstrate empirically that an inflation disagreement increase of one standard deviation raises real and nominal yields and their volatilities, break-even inflation, and the inflation risk premium by at least 30% of their respective standard deviations. Inflation disagreement is positively related to consumers’ cross-sectional consumption growth volatility and trading in bonds, interest rate futures, and inflation swaps. Calibrating the model to disagreement, inflation, and yield data reproduces the economically significant impact of inflation disagreement on real and nominal yield curves. |
| Keywords: | Inflation disagreement, relative entropy, real and nominal yields, yield volatilities, break-even inflation, inflation risk premium, cross-sectional consumption growth volatility, trading on inflation |
| JEL: | D51 E43 E52 G12 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:1532&r=mac |
| By: | Jaimovich, Nir (University of Southern California and NBER); Rebelo, Sergio (Northwestern University); Wong, Arlene (Northwestern University) |
| Abstract: | The authors document two facts: First, during recessions consumers trade down in the quality of the goods and services they consume. Second, the production of low-quality goods is less labor intensive than that of high-quality goods. Therefore, when households trade down, labor demand falls, increasing the severity of recessions. The authors find that the trading-down phenomenon accounts for a substantial fraction of the fall in U.S. employment in the recent recession. They study two business cycle models that embed quality choice and find that the presence of quality choice magnifies the response of these economies to real and monetary shocks. |
| Keywords: | recessions; quality choice; business cycles |
| JEL: | E2 E3 E4 |
| Date: | 2015–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedacq:15-05&r=mac |
| By: | Dudin, Mihail Nikolaevich (Russian academy of Entrepreneurship); Sekerin, Vladimir Dmitriyevich (Moscow state university of mechanical engineering); Smirnova, Olga Olegovna (The Council for the study of productive forces under Ministry of Economic Development of the Russian Fedration and the Russian Academy of Sciences (SOPS)); Frolova, Åvgenia Åvgenevna (Far Eastern Federal University); Sepiashvili, Ekaterina Nikolaevna (Moscow State University of Technology and Management) |
| Abstract: | The article examines topical issues related to the formation of an effective monetary policy as an element to ensure stability of the banking sector under the conditions of the economic crisis. During the research, the following basic conclusions were drawn. The nature and content of the state anti-crisis management in the banking sector is considered, taking into account current and future changes in the global development of the world economy. The state anti-crisis management in the banking sector should be primarily focused on the control and minimization of the key risks of sustainable national socio-economic development. This is achieved through the systematic use of the monetary policy instruments. Instruments for banking sector regulation are systematized with due consideration of the monetary policy targeting. The choice of instruments for regulating the banking sector, as a rule, is discretionary, thus, the state, represented by bodies of power, when forming approaches to the implementation of effective monetary and macroprudential policies, aimed at ensuring the stability of the banking sector during the economic crisis, should take into account the investment and innovative character of the real economy sector development, as well as social and legal relations in society. Through the buildup of sustainable socio-economic development, as well as the systematization of the regulatory treatment of the banking sector on the basis of monetary policy optimization, author proposes to further improve the development of financial systems of the state as a whole, and the banking sector in particular on the basis of the triple helix model (universities-state-business).In relation to the banking sector, adaptation of the triple helix model means reforming the tripartite institutional interaction by replacement of the real sector with the banking sector, and the public sector – with central bank and the macroprudential oversight bodies. |
| Keywords: | banking sector, economic crisis, systemic banking crisis, anti-crisis public management, monetary policy, macroprudential regulation, the triple helix model |
| JEL: | E52 H12 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:rnp:ppaper:d154e&r=mac |
| By: | Galo Nuño (Banco de España); Benjamin Moll (Princeton university) |
| Abstract: | This paper analyzes the problem of a benevolent planner wishing to control a population of heterogeneous agents subject to idiosyncratic shocks. This is equivalent to a deterministic control problem in which the state variable is the cross-sectional distribution. We show how, in continuous time, this problem can be broken down into a dynamic programming equation plus the law of motion of the distribution, and we introduce a new numerical algorithm to solve it. As an application, we analyze the constrained-efficient allocation of an Aiyagari economy with a fat-tailed wealth distribution. We fi nd that the constrained-efficient allocation features more wealth inequality than the competitive equilibrium. |
| Keywords: | Kolmogorov forward equation, wealth distribution, social welfare function, mean field control |
| JEL: | C6 D3 D5 E2 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:1533&r=mac |
| By: | Alexander Kriwoluzky; G. J. Müller; M. Wolf |
| Abstract: | Membership in a currency union is not irreversible. Exit expectations may emerge during sovereign debt crises, because exit allows countries to reduce their liabilities through a currency redenomination. As market participants anticipate this possibility, sovereign debt crises intensify. We establish this formally within a small open economy model of changing policy regimes. The model permits explosive dynamics of debt and sovereign yields inside currency unions and allows us to distinguish between exit expectations and those of an outright default. By estimating the model on Greek data, we quantify the contribution of exit expectations to the crisis dynamics during 2009 to 2012. |
| Keywords: | currency union, exit, sovereign debt crisis, fiscal policy, redenomination premium, euro crisis, regime-switching model |
| JEL: | E52 E62 F41 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:iwh:dispap:18-15&r=mac |
| By: | Oliver Volckart |
| Abstract: | The article argues that in the first half of the sixteenth century the need to avoid rounds of competitive debasements was the primary motive for the creation of a common currency valid in the whole Holy Roman Empire. In the years 1549 to 1551, the estates came close to achieving this. In contrast to what is suggested in the literature, their attempt did not fail because the Empire was economically poorly integrated or the will to co-operate was lacking. Rather, it failed because during the talks, the estates lost sight of the original motive, the princes favouring a bimetallic system that they hoped would allow them deflating the real value of their debts, and Charles V undervaluing the taler in the hope that this would weaken political opponents. These decisions antagonised important actors; when it proved impossible to enforce them, the Empire’s common currency failed. |
| Keywords: | monetary history; currency union; early modern Germany |
| JEL: | E42 E52 N13 N23 N43 |
| Date: | 2015–09 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:64496&r=mac |
| By: | Shi Chen; Wolfgang Karl Härdle; Weining Wang; |
| Abstract: | Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by modelling the nominal and inflation-indexed bond yields jointly for each country. The Nelson-Siegel model is popular in fitting the term structure of government bond yields, the arbitrage-free model we proposed is the extension of the arbitrage-free dynamic Nelson-Siegel model proposed by Christensen, Diebold and Rudebusch (2011). We discover that the extracted common trend for inflation expectation is an important driver for each country of interest. Moreover, the model will lead to an improved forecast in a benchmark level of inflation and will provide good implications for financial markets. |
| Keywords: | inflation expectation dynamics, arbitrage free, yield curve modelling, inflation risk |
| JEL: | G12 E43 E31 |
| URL: | http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2015-049&r=mac |
| By: | El Andari, Chifaa; Bouaziz, Rached |
| Abstract: | The central focus of this paper was to check whether the Okun’s law in Tunisia is valid or not. For this purpose, we have used quarterly time series data during the period 1990Q1-2014Q1. Firstly, we applied the error correction model instead of the difference version of Okun's Law, the Engle-Granger and Johansen test are employed to find out long run association between unemployment, production, and how error correction mechanism (ECM) is used for short run dynamic. Secondly, I used the gap version of Okun’s law where the estimation is done from three band pass filters which are mathematical tool used in macro-economic and especially in business cycles theory. The finding of the study indicates that the inverse relationship between unemployment and output is verified in the short and long term, and the Okun's law holds for the Tunisian economy, but with an Okun’s coefficient less than required. Therefore, our empirical results have important implications for structural and cyclical policymakers in Tunisia to promote economic growth in a context of lower unemployment growth. |
| Keywords: | Okun’s law, Validity, unit root, cointegration, error correction model and bandpass filters. |
| JEL: | E6 |
| Date: | 2015–05–29 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:67998&r=mac |
| By: | Jan Behringer (IMK and University of Wurzburg, Germany); Till van Treeck (University of Duisburg-Essen and IMK, Germany) |
| Abstract: | We investigate whether changes in income distribution can explain current account developments in a sample of 20 countries for the period 1972-2007. We analyze the relationship between the personal and the functional income distribution in our sample, before disentangling their effects on the household and corporate financial balances and the current account. We find that rising (top-end) personal inequality leads to a decrease of the private household financial balance and the current account, controlling for standard current account determinants. Moreover, an increase in corporate net lending or, alternatively, a fall in the wage share leads to an increase in the current account, ceteris paribus. While we remain agnostic as to the underlying theoretical explanations of our findings, they are consistent with consumption externalities on the one hand and with incomplete piercing of the corporate veil or the underconsumptionist view on the other hand. We show that changes in personal and functional income distribution have contributed considerably to the widening of current account balances, and hence to the instability of the international economic system, prior to the global financial crisis starting in 2007. |
| Keywords: | Income distribution, current account determinants, sectoral financial balances, global financial crisis. |
| JEL: | D31 D33 E21 F41 G3 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:inq:inqwps:ecineq2015-379&r=mac |
| By: | Richard McManus; F. Gulcin Ozkan; Dawid Trzeciakiewicz |
| Abstract: | This paper builds a framework to jointly examine the possibility of both ‘expansionary fiscal contractions’ (austerity increasing output) and ‘fiscal free lunches’ (expansions reducing government debt), arguments supported by the austerity and stimulus camps, respectively, in recent debates. We propose a new metric quantifying the budgetary implications of fiscal action, a key aspect of fiscal policy particularly at the monetary zero lower bound. We find that austerity needs to be highly persistent and credible to be expansionary, and stimulus temporary, responsive and well-targeted in order to lower debt. We conclude that neitherare likely, especially during periods of economic distress. |
| Keywords: | fiscal austerity, expansionary contractions, fiscal free lunch, zero lower bound. |
| JEL: | E65 H2 H3 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:yor:yorken:15/28&r=mac |
| By: | Cecchetti, Stephen G |
| Abstract: | Prior to the crisis, monetary policymakers and prudential authorities had clearly defined tools and goals with little or no conflict. The crisis revealed a variety of overlaps, where one set of policies seem to influence those in another. Does this mean that two policy realms can no longer remain separate? I address the question by first asking whether monetary policy creates significant financial stability risks. My answer is generally no. Given that, central bankers should refrain from reacting to financial stability risks in most circumstances. Instead, the job of safeguarding the financial system should be left, as it was prior to the crisis, to prudential policymakers. But how can prudential policy best maintain financial stability? I argue that, given our current state of knowledge, stress tests are the best tool to ensure crisis will be rare and not terribly severe. So, my answer to the question in the title is that the pre-crisis consensus remains largely intact. |
| Keywords: | capital requirements; financial stability policy; monetary policy; prudential policy; stress tests |
| JEL: | E52 G01 G28 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:10949&r=mac |
| By: | Thilo Albers; Martin Uebele |
| Abstract: | This paper provides monthly economic activity indicators for 30 countries on six continents for the period 1925–36 based on more than 1200 historical time series. Aggregating these to a global economic activity indicator shows that the global recovery after 1931 was slower than much-cited contemporary evidence suggests. On a disaggregated level, we find that the majority of European countries experienced recessionary tendencies already in the mid-1920s, which puts the notion of a US-originated Great Depression into perspective. Our evidence cautions against employing industrial production to assess crises and recoveries across space as manufacturing catch-up growth occurs less developed countries. In this vein we find that in contrast to established historiography Spain, albeit floating her currency, was severely affected by the crisis, and Japan was hit harder than annual industrial production suggests. Finally, mapping the Depression suggests that economic improvements of major trading partners could have served as a catalyst for a country’s recovery. As a methodological contribution, we develop a framework to aggregate non-stationary series using principal component weights, and we scale the resulting indicators to an interpretable dimension using the standard deviation of annual industrial production indices. |
| Keywords: | great depression; economic activity indices; 20th century; business cycles |
| JEL: | C3 E32 E58 N14 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:64491&r=mac |
| By: | Nadja Dwenger (Universitat Hohenheim, CESifo); Frank M Fossen (Freie Universitat Berlin, DIW and IZA); Martin Simmler (Oxford University Centre for Business Taxation and DIW Berlin) |
| Abstract: | What began as a financial crisis in the United States in 2007¨C2008 quickly evolved into a massive crisis of the global real economy. We investigate the importance of the bank lending and firm borrowing channel in the international transmission of bank distress to the real economy ¡ªin particular, to real investment and labour employment by nonfinancial firms. We analyse whether and to what extent firms are able to compensate for the shortage in loan supply by switching banks and by using other types of financing. The analysis is based on a unique matched data set for Germany that contains firm-level financial statements for the 2004¨C2010 period together with the financial statements of each firm¡¯s relationship bank(s). We use instrumental variable estimations in first differences to eliminate firm and bank-specific effects. The first stage results show that banks that suffered losses due to proprietary trading activities at the onset of the financial crisis reduced their lending more strongly than non-affected banks. In the second stage, we find that firms whose relationship banks reduce credit supply downsize their real investment and labour employment significantly. This effect is larger for firms that are unable to provide much collateral. We document that firms partially offset reduced credit supply by establishing new bank relationships, using internal funds, and issuing new equity. |
| Keywords: | financial crisis; contagion; credit rationing; relationship lending; investment |
| JEL: | D22 D92 E44 G01 G20 G31 H25 H32 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:btx:wpaper:1516&r=mac |
| By: | J. David Lopez-Salido (Federal Reserve Board); Etienne Gagnon (Federal Reserve Board) |
| Abstract: | We study the pricing response of U.S. supermarkets to large demand shocks triggered by labor conflicts, mass population relocation, and shopping sprees around major snowstorms and hurricanes. Our focus on demand shocks is novel in the empirical literature that uses large datasets of individual data to bridge micro price behavior and aggregate price dynamics. We find that large swings in demand have, at best, modest effects on the level of retail prices, consistent with flat short- to medium-term supply curves. This finding holds even when shocks are highly persistent and even though stores adjust prices frequently. We also uncover evidence of tit-for-tat behavior by which retailers with radically different demand shocks nonetheless seek to match their local competitors' pricing movements and recourse to sales and promotions. |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed015:1480&r=mac |
| By: | Majid M. Al-Sadoon |
| Abstract: | The methodology of multivariate Granger non-causality testing at various horizons is extended to allow for inference on its directionality. This paper presents empirical manifestations of these subspaces and provides useful interpretations for them. It then proposes methods for estimating these subspaces and finding their dimensions utilizing simple vector autoregressions modelling that is easy to implement. The methodology is illustrated by an application to empirical monetary policy. |
| Keywords: | Granger causality, VAR model, rank testing, Okun's law, policy trade-offs. |
| JEL: | C12 C13 C15 C32 C53 E3 E4 E52 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:upf:upfgen:1495&r=mac |
| By: | Peter Gal; Adam Theising |
| Abstract: | This paper presents a first set of updates and extensions of the large body of existing evidence about the aggregate labour market impact of structural policies, in the context of enhancing the OECD’s supply-side framework for the quantification of reform packages. In line with previous findings, elements of the tax benefit system, activation policies and wage setting institutions are found to be robust policy determinants of the aggregate employment and unemployment rates. Looking beyond the overall employment impact, outcomes for vulnerable groups such as the low educated, the youth and the elderly tend to be more affected by certain structural policies, including specific measures targeted at them. Finally, more competition-friendly product market regulations are also found to impact aggregate employment rates positively and significantly, although less robustly.<P>L'impact macroéconomique des politiques structurelles sur le marché du travail dans les pays de l'OCDE : Une mise à jour<BR>Cette étude vise à mettre à jour et compléter les résultats de la littérature existante concernant l'impact des politiques structurelles sur le marché du travail, et ceci dans le contexte de l’amélioration du cadre de modélisation pour la quantification de l’impact des réformes sur l’offre globale. Conformément aux résultats des études antérieures, nous trouvons que les éléments du système de prélèvements et de transferts fiscal, les politiques d'activation et les modes de détermination des salaires sont des déterminants robustes du taux d'emploi et du taux de chômage. Au-delà de l'impact global sur l'emploi, les résultats pour les groupes vulnérables tels que les travailleurs peu qualifiés, les jeunes et les travailleurs âgés ont tendance à être plus touchées par certaines politiques structurelles, y compris des mesures spécifiques ciblées sur eux. Enfin, nous trouvons aussi qu’une réglementation des marchés de produits moins restrictive pour la concurrence encourage le taux d'emploi de manière significative, bien que de façon moins robuste. |
| Keywords: | employment, unemployment, labour force, labour market policies, participation au marché du travail, politiques du marché du travail, emploi, chômage |
| JEL: | E24 J08 |
| Date: | 2015–11–27 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:1271-en&r=mac |
| By: | Julien Albertini; Jean Olivier Hairault; François Langot; Thepthida Sopraseuth |
| Abstract: | This paper extends Pissarides (1990)’s matching model by considering two sectors (routine and manual) and workers’ occupational choices, in the context of skill-biased demand shifts, to the detriment of routine jobs and in favour of manual jobs because of technological changes. The theoretical challenge is to investigate the reallocation process from the middle towards the bottom of the wage distribution. By using this framework, we shed light on the way in which labour market institutions affect the job polarization observed in the United States and Europe. The results of our quantitative experiments suggest that search frictions have non-trivial effects on the reallocation process and transitional dynamics of aggregate employment. |
| Keywords: | Search and matching, job polarization, reallocation, labor market institutions |
| JEL: | E24 J62 J64 O33 |
| URL: | http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2015-051&r=mac |
| By: | Chen, Kaiji (Emory University and Federal Reserve Bank of Atlanta); Wen, Yi (Federal Reserve Bank of St. Louis) |
| Abstract: | China's housing prices have been growing nearly twice as fast as national income in the past decade despite (1) a phenomenal rate of return to capital and (2) an alarmingly high vacancy rate. This paper interprets such a prolonged paradoxical housing boom as a rational bubble that emerges naturally from China's large-scale economic transition, featuring an exceptionally high rate of return to capital driven by massive resource reallocation. Because such primarily resource-reallocation-driven high capital returns are not sustainable in the long run, expectations of high future demand for alternative stores of value can induce even the currently most productive agents to speculate in the housing market, even if housing provides no rents or utilities. We show that such speculative investment behavior can create a self-fulfilling housing bubble that grows much faster than the national income during an economic transition, thus explaining China's massive "ghost apartment" phenomenon and decade-long faster-than-income growth in housing prices despite high capital returns. |
| Keywords: | housing bubble; resource misallocation; Chinese economy; development; economic transition |
| JEL: | E22 E23 O11 O16 P23 P24 R31 |
| Date: | 2015–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedacq:15-03&r=mac |
| By: | Philippe Bacchetta; Ouarda Merrouche |
| Abstract: | Despite international financial disintegration, we document a dramatic increase in dollar borrowing among leveraged Eurozone corporates during the Great Financial Crisis. Using loan-level data, we trace this increase to the twin crisis in the credit market and in funding markets. The reduction in the supply of credit by Eurozone banks caused riskier borrowers to shift to foreign banks, in particular US banks. The coincident rise in the relative cost of euro wholesale funding and the disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especi ally for firms in export-oriented sectors. Although global bank lending is often reported to amplify the international credit cycle, we show that foreign banking acted as a shock absorber that weathered the real consequences of the credit crunch in Europe. |
| Keywords: | Money market, swaps, credit crunch, corporate debt, foreign banks |
| JEL: | G21 G30 E44 |
| Date: | 2015–08 |
| URL: | http://d.repec.org/n?u=RePEc:lau:crdeep:15.08&r=mac |
| By: | Andrés Fernández; Andrés González; Diego Rodríguez |
| Abstract: | Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then embed a commodity sector into a multi-country EMEs business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coexist with other driving forces. The estimated model assigns to commodity shocks 42 percent of the variance in income, of which a considerable part is linked to the common factor. A further amplification mechanism is a spillover effect from commodity prices to risk premia. |
| Keywords: | Emerging economies, business cycles, commodity prices, common factors, Bayesian estimation, dynamic stochastic equilibrium models. |
| JEL: | E32 F41 F44 |
| Date: | 2015–11–18 |
| URL: | http://d.repec.org/n?u=RePEc:col:000094:014054&r=mac |
| By: | Gliksberg, Baruch (Department of Economics, University of Haifa) |
| Abstract: | This paper analyzes the aftermath of monetary and fiscal policy interactions from the perspective of portfolio choice. In particular, it studies how the presence of income- taxes change the properties of general equilibrium models. It finds that relative to the previous literature [following Leeper (1991)] a new regime exists where a passive fiscal rule combined with a passive monetary rule can still deliver determinacy where the same area of the parameter space would lead to multiple solutions if taxes were lump sum. It characterizes analytically the extent to which tax cuts are self-financing and how the distortionary tax Laffer curve looks near the steady state in order to obtain the size of the new regime. In the new regime, the inflation target can temporarily increase in order to increase seigniorage revenues. With this flexibility, the monetary policy is consistent with the real debt remaining bounded, and the arithmetic that follows is monetarist and unpleasant in the sense of Sargent and Wallace (1981). |
| Keywords: | Distorting Taxes; Dynamic Laffer Curve; Fiscal Policy; Liquidity-in- advance; Monetary Policy; Portfolio Choice; Unpleasant Monetarist Arithmetic. |
| JEL: | C62 E60 G11 H60 |
| Date: | 2015–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:haf:huedwp:wp201502&r=mac |
| By: | Gliksberg, Baruch (Department of Economics, University of Haifa) |
| Abstract: | This paper analyzes the aftermath of monetary and fiscal policy interactions from the perspective of portfolio choice. In particular, it studies how the presence of income- taxes change the properties of general equilibrium models. It finds that relative to the previous literature [following Leeper (1991)] a new regime exists where a passive fiscal rule combined with a passive monetary rule can still deliver determinacy where the same area of the parameter space would lead to multiple solutions if taxes were lump sum. It characterizes analytically the extent to which tax cuts are self-financing and how the distortionary tax Laffer curve looks near the steady state in order to obtain the size of the new regime. In the new regime, the inflation target can temporarily increase in order to increase seigniorage revenues. With this flexibility, the monetary policy is consistent with the real debt remaining bounded, and the arithmetic that follows is monetarist and unpleasant in the sense of Sargent and Wallace (1981). |
| Keywords: | Distorting Taxes; Dynamic Laffer Curve; Fiscal Policy; Liquidity-in- advance; Monetary Policy; Portfolio Choice; Unpleasant Monetarist Arithmetic. |
| JEL: | C62 E60 G11 H60 |
| Date: | 2015–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:haf:huedwp:wp201501&r=mac |
| By: | Marchionatti, Roberto; Sella, Lisa (University of Turin) |
| Abstract: | After the ‘new Great Crisis’ exploded in 2008 it is widely recognized that mainstream macroeconomics - the last result of Lucas’s anti-Keynesian revolution of the 1980s which tried to give macroeconomics sound neo-Walrasian microeconomic bases - has failed to anticipate and then appraise the crisis. Has this crisis revealed a failure of this macroeconomics as a scientific theory? Mainstream macroeconomists defend their models on the basis of their alleged superiority in terms of clarity and coherence. The thesis of this paper is that this claim about superiority is false. The paper argues that the reasons for the failure of mainstream macroeconomics – in particular its poor predictive performance and interpretative weakness - reside in the implications of the neo-Walrasian legacy and the problems connected with the implementation of that programme. |
| Date: | 2015–06 |
| URL: | http://d.repec.org/n?u=RePEc:uto:dipeco:201521&r=mac |
| By: | Tamás Ilyés (Magyar Nemzeti Bank (Central Bank of Hungary)); Lóránt Varga (Magyar Nemzeti Bank (Central Bank of Hungary)) |
| Abstract: | In our paper, we introduce the Hungarian Payment System Model (HUPS), a computable general equilibrium model with detailed payment services which can be used for policy evaluation and forecast. In the last years, several studies investigated different aspects of payment systems and some papers used equilibrium theory to study a specific segment or question of retail payments. In our paper, we take a step forward as we extend this research using the general equilibrium approach. The HUPS model is a large and highly disaggregated computable general equilibrium model with 25 economic agents and nearly 100 payment services, which cover most of the payment system supply chain in Hungary. It contains 7 types of costs for each payment service, varying degree of economies of scale, oligopoly and cross-product pricing and agent behaviour adjustments to payment method costs. In our model, the payment sector is an integrated part of the economy as every actor has to make payment decisions related to its activities. As a result, the model can be used for thorough economic evaluation of many kinds of policies and other changes in the field of retail payments. The HUPS model is calibrated on the large and up-to-date information base of Hungarian payment statistics, surveys and studies – most notably the Hungarian cost of payments study – which makes it a powerful and robust modelling and forecasting tool. |
| Keywords: | payment economics, CGE modelling, retail payments, cost of payments. |
| JEL: | C68 E27 E42 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:mnb:wpaper:2015/3&r=mac |
| By: | Vicente Correia Lima Neto; Carlos Henrique Ribeiro de Carvalho; Renato Nunes Balbim |
| Abstract: | Este texto apresenta uma reflexão sobre a situação da mobilidade urbana no Brasil no período recente, discutindo aspectos relativos à construção da Política Nacional de Mobilidade Urbana (PNMU) e à atual distribuição dos modos de deslocamentos realizados nas cidades brasileiras. Permite-se, ao longo deste texto, a visualização dos problemas concernentes ao tema e o enquadramento das possíveis soluções, auxiliando o leitor na busca por referências e detalhamentos para a implantação de uma proposta de política pública. This text focuses on the Brazilian mobility sector. It is discussed aspects of the National Urban Mobility Policy (PNMU) and the current distribution of traveling modes in Brazilian cities. It is also presented on this text a tree of mobility problems and a range of possible solutions, in order to find a match of each problem and solution. It is also a goal of this paper assists the search for references and detailing the solutions for public policy proposal. |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:ipe:ipetds:2148&r=mac |
| By: | Butt, Nick (Bank of England); Churm, Rohan (Bank of England); McMahon, Michael (University of Warwick, CEPR, CAGE (Warwick), CfM (LSE), and CAMA (ANU)); Morotz, Arpad (Bank of England); Schanz, Jochen (Bank for International Settlements) |
| Abstract: | We test whether quantitative easing (QE), in addition to boosting aggregate demand and inflation via portfolio rebalancing channels, operated through a bank lending channel (BLC) in the UK. Using Bank of England data together with an instrumental variables approach, we find no evidence of a traditional BLC associated with QE. We show, in a simple framework, that the traditional BLC is diminished if the bank receives `flighty' deposits (deposits that are likely to quickly leave the bank). We show that QE gave rise to such flighty deposits which may explain why we find no evidence of a BLC. |
| Keywords: | Monetary policy; Bank lending channel; Quantitative Easing JEL Classification: E51, E52, G20 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:cge:wacage:244&r=mac |
| By: | Awaworyi, Sefa; Ugur, Mehmet; Yew, Siew Ling |
| Abstract: | We conduct a hierarchical meta-regression analysis to review 87 empirical studies that report 769 estimates for the effects of government size on economic growth. We follow best-practice recommendations for meta-analysis of economics research, and address issues of publication selection bias and heterogeneity. When size is measured as the ratio of total government expenditures to GDP, the partial correlation between government size and per-capita GDP growth is negative in developed countries, but insignificant in developing countries. When size is measured as the ratio of consumption expenditures to GDP, the partial correlation is negative in both developed and developing countries, but the effect in developing countries is less adverse. We also report that government size is associated with less adverse effects when primary studies control for endogeneity and are published in journals and more recently, but it is associated with more adverse effects when primary studies use cross-section data. Our findings indicate that the relationship between government size and per-capita GDP growth is context-specific and likely to be biased due to endogeneity between the level of per-capita income and government expenditures. |
| Keywords: | Economic growth, Government size, Government expenditure, Government consumption, Meta-analysis, Evidence synthesis |
| JEL: | E62 H5 O4 |
| Date: | 2015–08–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:68006&r=mac |
| By: | Angel De la Fuente |
| Abstract: | En este trabajo se elaboran series homogeneas de distintos agregados de empleo y de VAB a precios corrientes y constantes para las comunidades autonomas españolas mediante el enlace de las diversas bases de la Contabilidad Regional de Espana. |
| Keywords: | Análisis Macroeconómico , Documento de Trabajo , España |
| JEL: | E01 R1 |
| Date: | 2015–09 |
| URL: | http://d.repec.org/n?u=RePEc:bbv:wpaper:1527&r=mac |
| By: | Gurdip Bakashi; Mario Cerrato; John Crosby |
| Abstract: | We develop an incomplete markets framework to show that international risk sharing can be low, particularly among countries with large interest-rate differentials. Furthermore, risk sharing computed from asset returns can be consistent with that computed from consumption. The key difference from Brandt, Cochrane, and Santa-Clara (2006) is that exchange rate growth need not equal the ratio of stochastic discount factors (SDF), and we develop a restriction that precludes “good deals” in international economies with incomplete markets. We compute the lowest risk sharing consistent with SDFs that (i) are nonnegative, (ii) correctly price returns, and (iii) disallow “good deals.” |
| Keywords: | International risk sharing, incomplete markets, exchange rates |
| JEL: | G12 G15 E44 F31 F36 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:gla:glaewp:2015_23&r=mac |
| By: | Awaworyi, Sefa; Yew, Siew Ling; Ugur, Mehmet |
| Abstract: | Using a sample of 306 estimates drawn from 31 primary studies, this paper conducts an empirical synthesis of the link between economic growth and government expenditure on education or health using meta-analysis. We also explain the heterogeneity in empirical results. We find that the effect of government education expenditure on growth is positive, whereas the growth effect of government health expenditure is negative. Our meta-regression analysis suggests that factors such as econometric specifications, publication characteristics as well as data characteristics explain the heterogeneity in the literature. We also find no evidence of publication selectivity. |
| Keywords: | Government education expenditure; government health expenditure; human capital; economic growth |
| JEL: | E6 E62 H5 H51 H52 |
| Date: | 2015–04–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:68007&r=mac |
| By: | Ivan Roberts (Reserve Bank of Australia); Graham White (Reserve Bank of Australia) |
| Abstract: | China's growing importance in the global economy and significance as a source of demand for commodities produced by many countries, including Australia, has focused increasing attention on high-frequency Chinese macroeconomic data. Yet the signal from these data is often distorted by traditional holidays whose timing varies from year to year on the Gregorian calendar. This paper shows that seasonal adjustment procedures (such as the US Census Bureau's X-12-ARIMA and the Bank of Spain's SEATS) can assist in the timely interpretation of a range of commonly used Chinese macroeconomic indicators, including industrial production, trade, credit and inflation. In addition, it suggests a strategy to optimise the selection of moving holiday corrections that account for Chinese New Year, the Dragon Boat festival and the Mid-Autumn festival, prior to seasonal adjustment. It is argued that seasonal adjustment performed with this approach is preferable to simpler techniques. |
| Keywords: | seasonal adjustment; moving holidays; calendar effects; China; X-12-ARIMA; SEATS |
| JEL: | E21 R21 R31 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:rba:rbardp:rdp2015-13&r=mac |
| By: | Kent Deng |
| Abstract: | The Qing Period (1644–1911) has been recognised as one of the most important eras in China’s demographic history. However, factors that determined and contributed to the rise in the Qing population have remained unclear. Most works so far have only speculated at what might have caused the population to increase so significantly during the Qing Period. This study uses substantial amounts of quantitative evidence to investigate the impact of changes in China’s resource base (farmland), farming technology (rice yield level and spread of maize-farming), social welfare (disaster relief), peasant wealth (rice prices), cost of living (silver’s purchasing power), as well as exogenous shocks (wars and natural disasters) on the Qing population. |
| Keywords: | economic growth; demography; household incomes; market prices; tax burden; proto-welfare; sectoral differences |
| JEL: | E2 J1 N5 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:64492&r=mac |
| By: | Krupkina , Anna (BOFIT); Ponomarenko , Alexey (BOFIT) |
| Abstract: | We apply empirical modelling set-ups developed to capture the hysteresis effect in the data on deposit dollarization in a cross-section of emerging market economies. Specifically, we estimate a nonlinear relationship that determines two equilibrium levels of deposit dollarization depending on the current value of dollarization and previous episodes of sharp depreciation of the national currency over the past five years. When exchange rates are stable, convergence to a higher equilibrium level of dollarization begins when the 45–50% thresh-old of deposit dollarization is exceeded. We estimate the model for short-run dynamics of dollarization and find that the speed of convergence to the higher equilibrium implies quarterly increases of 1.2–3 percentage points in the ratio of foreign currency deposits to total deposits. |
| Keywords: | dollarization; hysteresis; nonlinear model; emerging markets |
| JEL: | C23 E41 F31 |
| Date: | 2015–11–10 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:bofitp:2015_032&r=mac |
| By: | Francois Gourio (FRB Chicago); Pedro Gete (Georgetown University) |
| Abstract: | Debt covenants are an important non-price mechanism through which credit is allocated to nonfinancial firms, and are strongly countercyclical. Macroeconomic models however abstract from this margin and focus on price measures such as credit spreads. We propose a simple extension of the canonical Bernanke-Gertler-Gilchrist (1999; BGG) model that gives a role for covenants and that allows to study both their determination, and their macroeconomic impact. In the model, covenants allocate control rights of investment across states of natures, and are determined by a trade-off between the risk of letting the entrepreneur invest excessively, and the cost of letting the lender reduce investment excessively. We demonstrate that covenants alter impulse response functions, relative to BGG, and that the pre-determined convenant tightness is an important state variable for the economy. Finally, we show that the demand for savings and expectations of future productivity are important determinants of covenant tightness. |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed015:1443&r=mac |
| By: | Ellen Marie Rossvoll; Victoria Sparrman (Statistics Norway) |
| Abstract: | In this paper we attempt to investigate the effect on income inequality of some recent trends in the labour market, changes in regulations of temporary positions and the surge in immigration in many EU-countries. The empirical results show that less strict regulations of temporary positions and higher immigration increase income inequality. The effects of other labour market institutions, such as tax and benefit replacement ratio, on wage inequality are mainly in line with previous literature, but our results are based on a larger sample size in both the time and country dimension. The empirical analysis is conducted on panel data for 20 OECD countries between 1973 and 2011. We perform two robustness checks to our results. First, we account for indirect effects of changes in labor market institutions on wage inequality via the unemployment rates. The indirect effects suggest that labour market institutions have a larger effect on wage inequality than before. Second, we account for cross-sectional dependence and the results point at lower but significant effects of most of the labour market institutions on wage inequality. |
| Keywords: | Inflation modelling; pattern wage bargaining; inflation targeting; dynamic econometrics; cointegration; small open economy |
| JEL: | E24 J08 J31 J51 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:ssb:dispap:826&r=mac |
| By: | Petreski, Blagica; Petreska, Despina |
| Abstract: | Many families in Krushevo (small city in Macedonia) are struggling with unemployment and poverty, seeking a way to address these bitter social problems. The main objective of the intervention is economic empowerment of women. The social entrepreneurship model has been applied among 25 unemployed women from Krushevo who produce traditional, homemade products divided in several categories: homemade pasta, berries products and natural teas. The model involves horizontal clustering through interconnections among individual producers and the community, as well vertical clustering through networking with the local caterers. Hence, applied approach composes of: capacity building, mentoring, piloting and promotion. The income of the women increased on average more than six times, the number of new buyers increased by 80%. At the same time, skills for packaging and sale significantly improved. Vertical clustering diversifies existing and enable new channels on sale, and horizontal clustering improved their products with joint brand, slogan and logo. |
| Keywords: | social entrepreneurship, economic empowerment, women, mini-clustering, traditional products |
| JEL: | E2 J16 J24 P36 |
| Date: | 2015–11–26 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:68085&r=mac |
| By: | Ojo, Marianne; Van Akkeren, Jeanette |
| Abstract: | Jeanette Van Akkeren, Sherrena Buckby, Kim MacKenzie ("A Metamorphosis of the Traditional Accountant: An Insight into Forensic Accounting Services in Australia") argue that there remains some confusion on what constitutes the role of a forensic professional. It is very well the case that clarity of the definition of what constitutes the role of a forensic professional is crucial to determining how effectively such a role can be harnessed. As well as exploring the various roles undertaken by forensic accountants based in the US and other selected common law jurisdictions, this publication aims to contribute to the extant literature on how the role of a forensic professional can be effectively utilized and applied, both from common law and comparative based perspectives - which involve selected jurisdictions that constitute the focus of this study. In so doing it also highlights how a greater degree of accountability and transparency can be introduced into the financial reporting, as well as legal process. |
| Keywords: | accountability; transparency; common law systems; forensic accounting |
| JEL: | E6 G2 G3 K2 M4 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:68114&r=mac |
| By: | Ricardo Reis |
| Abstract: | Portugal’s adjustment program in 2010-14 under the troika was extensive and aimed at addressing its large debt and anemic growth, so it may serve as a blueprint for reforms in the Eurozone. This paper argues that, conditional on a diagnosis of the underlying problems of the Portuguese economy, the adjustment program failed to deliver in definitely addressing the problems in public finances, but succeeded in leaving promising signs of reform in the structure of the economy. In particular, on the negative side, public debt is still high, primary surpluses improved modestly, and public spending barely fell as the problem of ever-rising pension payments remained unsolved. On the positive side, unemployment fell sharply, exports and the current account balance rose, capital and labor reallocated to more productive and tradable sectors, and the country is growing faster than the EU for the first time in 15 years. |
| JEL: | N0 R14 J01 E6 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:64488&r=mac |
| By: | Seán Kennedy; Yosuke Jin; David Haugh; Patrick Lenain |
| Abstract: | This paper analyses income inequality in Ireland using a new panel dataset based on the administrative tax records of the Revenue Commissioners for Ireland. High inequality at market incomes in Ireland by international standards appears to be driven by both ends of the income distribution. An analysis of income mobility over time shows it has been low at both ends of the income distribution, though it increased at the low end once the crisis began, reflecting the sharp deterioration of the labour market. The data confirms that the tax system is highly progressive at the high end of income distribution and the welfare system provides the most significant support to lower income deciles in Ireland. The redistributive function in the tax and benefit system was enhanced during the last decade, not only because more income support was necessitated with the crisis, but also because of steeper and more progressive tax rates. This working paper relates to the 2015 OECD Economic Survey of Ireland (www.oecd.org/eco/surveys/economic-survey-ireland.<P>Les impôts, le revenu et la mobilité économique en Irlande : Nouvelles preuves à partir des données des dossiers fiscaux<BR>Ce document analyse l’inégalité de revenus en Irlande à l’aide d’un dataset panel construit à la base des déclarations fiscales du Revenue Commissioners de l’Irlande. La forte inégalité du revenu initial en Irlande par rapport aux normes internationales apparait être dirigée par les deux extrémités de la distribution des revenus. Une analyse de la mobilité économique (à travers de la distribution des revenus) dans le temps montre qu’elle était faible aux deux extrémités de la distribution des revenus, mais elle a accru à l’extrémité inférieure de la distribution une fois la crise a commencé, en reflétant la forte détérioration du marché du travail. Les données confirment que le système fiscal est hautement progressif à l’extrémité supérieure de la distribution des revenus et le système de protection sociale fournit le soutien le plus important au sein de déciles de revenu inférieurs en Irlande. Le fonctionnement redistributif du système d’imposition et de protection sociale a été renforcé dans la dernière décennie, non seulement car la crise a nécessité plus de soutien du revenu, mais aussi en raison des taux d’imposition rendus plus accentués et progressifs. Ce Document de travail se rapporte à l’Étude économique de l’OCDE de Irlande 2015 (www.oecd.org/fr/eco/etudes/etude-econom ique-irlande.htm). |
| Keywords: | social benefits, income tax, income distribution, tax credit, impôt sur le revenu, distribution des revenus, prestations sociales |
| JEL: | D31 D63 E24 H24 H53 |
| Date: | 2015–11–27 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:1269-en&r=mac |
| By: | Ho, Chi Pui |
| Abstract: | Population growth induces structural transformation. We posit two-sector growth models where land is a fixed production factor. When two sectoral goods are consumption complements, population growth pushes production factors towards the sector with stronger diminishing returns to labor through the relative price effect. We clarify conditions when production factors “embrace the land” and “escape from land” throughout development, and the models’ asymptotic growth paths. We calibrate the models to simulate sectoral shifts in pre-industrial England and modern United States. In both cases, relying solely on relative price effects (population growth, technological progress and capital deepening) predicts too slow structural transformation. |
| Keywords: | Structural transformation; Population growth effect; Relative price effects |
| JEL: | E1 N1 O5 |
| Date: | 2015–11–19 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:68014&r=mac |
| By: | Anonymous |
| Keywords: | Agricultural and Food Policy, |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:ags:midcpb:212895&r=mac |
| By: | Yoshihiko Hogen (Bank of Japan); Takuji Kawamoto (Bank of Japan); Moe Nakahama (Bank of Japan) |
| Abstract: | We estimate various measures of core inflation which remove temporary disturbances from price indicators and examine their characteristics over the business cycle. In particular, we focus on some new measures of core inflation for Japan, the mode and weighted median inflation rates, which represent shifts in the price change distribution, as well as the CPI excluding fresh food and energy, which the Bank of Japan has recently focused on. Measures of core inflation that simply exclude volatile items closely follow the business cycle as measured by the output gap, while measures such as the mode and the weighted median are much more weakly linked to developments in the output gap. |
| Date: | 2015–11–20 |
| URL: | http://d.repec.org/n?u=RePEc:boj:bojrev:rev15e06&r=mac |
| By: | Alex van de Minne; Federica Teppa |
| Abstract: | This paper estimates demand and supply of mortgage credit by using a hierarchical trend model. The empirical analysis is based on loan-level data covering the years 2005-2014 in the Netherlands. We find that high-income households take out higher loan amounts and have higher collateral values. Interest rates are negatively related to both loan amounts and collateral values. The common trend in the loan equation, a proxy for the changes in demand and supply of mortgage credit over time, suggests a large decline in mortgage demand and supply after 2007. The common trend in the collateral value equation is highly correlated with the common trend in the loan equation, suggesting a high pass-through rate of changes in credit conditions from loan to value. We also find that young household cohorts can afford to buy better quality houses in 2014 than in 2005, even if they could borrow less. On the contrary, older household cohorts take out higher loans in 2014 than in 2005, but their collateral values do not change. We argue that younger households took up less mortgage debt as they became more credit constraint over time. Older households on the other hand suffered from negative home equity, forcing them to take up higher mortgage loans. |
| Keywords: | house prices; mortgage credit; credit conditions |
| JEL: | G21 E51 C32 |
| Date: | 2015–11 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:486&r=mac |