|
on Macroeconomics |
|
Issue of 2016‒06‒04
71 papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Caldara, Dario; Fuentes-Albero, Cristina; Gilchrist, Simon; Zakrajsek, Egon |
| Abstract: | The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically distinguishing between these two types of shocks, however, is difficult because increases in economic uncertainty are strongly associated with a widening of credit spreads, an indication of a tightening in financial conditions. This paper uses the penalty function approach within the SVAR framework to examine the interaction between financial conditions and economic uncertainty and to trace out the impact of these two types of shocks on the economy. The results indicate that (1) financial shocks have a significant adverse effect on economic outcomes and that such shocks were an important source of cyclical fluctuations since the mid-1980; (2) uncertainty shocks, especially those implied by uncertainty proxies that do not rely on financial asset prices, are also an important source of macroeconomic disturbances; and (3) uncertainty shocks have an especially negative economic impact in situations where they elicit a concomitant tightening of financial conditions. Evidence suggests that the Great Recession was likely an acute manifestation of the toxic interaction between uncertainty and financial shocks. |
| Keywords: | Time-varying uncertainty ; Financial conditions ; Structural vector autoregression ; Optimization-based identification |
| JEL: | E32 E37 E44 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgif:1166&r=mac |
| By: | Atif Mian; Amir Sufi |
| Abstract: | This chapter reviews empirical estimates of differential income and consumption growth across individuals during recessions. Most existing studies examine the variation in income and consumption growth across individuals by sorting on ex ante or contemporaneous income or consumption levels. We build on this literature by showing that differential shocks to household net worth coming from elevated household debt and the collapse in house prices play an underappreciated role. Using zip codes in the United States as the unit of analysis, we show that the decline in numerous measures of consumption during the Great Recession was much larger in zip codes that experienced a sharp decline in housing net worth. In the years prior to the recession, these same zip codes saw high house price growth, a substantial expansion of debt by homeowners, and high consumption growth. We discuss what models seem most consistent with this striking pattern in the data, and we highlight the increasing body of macroeconomic evidence on the link between household debt and business cycles. Our main conclusion is that housing and household debt should play a larger role in models exploring the importance of household heterogeneity on macroeconomic outcomes and policies. |
| JEL: | E21 E32 E44 E51 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:22256&r=mac |
| By: | Emmanuel Farhi; Matteo Maggiori |
| Abstract: | We propose a simple model of the international monetary system. We study the world supply and demand for reserve assets denominated in different currencies under a variety of scenarios: a Hegemon vs. a multipolar world; abundant vs. scarce reserve assets; a gold exchange standard vs. a floating rate system; away from vs. at the zero lower bound (ZLB). We rationalize the Triffin dilemma, which posits the fundamental instability of the system, as well as the common prediction regarding the natural and beneficial emergence of a multipolar world, the Nurkse warning that a multipolar world is more unstable than a Hegemon world, and the Keynesian argument that a scarcity of reserve assets under a gold standard or at the ZLB is recessive. We show that competition among few countries in the issuance of reserve assets can have perverse effects on the total supply of reserve assets. We analyze forces that lead to the endogenous emergence of a Hegemon. Our analysis is both positive and normative. |
| JEL: | E12 E42 E43 E44 E52 E61 F02 F31 F32 F33 F34 F36 F38 F42 F44 F53 F55 G11 G12 G15 G18 G21 G23 G28 H12 H63 H87 N1 N10 N11 N12 N13 N14 N2 N20 N21 N22 N23 N24 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:22295&r=mac |
| By: | Ambrogio Cesa-Bianchi; Alessandro Rebucci |
| Abstract: | This paper develops a model featuring both a macroeconomic and a financial friction that speaks to the interaction between monetary and macro-prudential policy and to the role of U.S. monetary and regulatory policy in the run up to the Great Recession. There are two main results. First, real interest rate rigidities in a monopolistic banking system increase the probability of a financial crisis (relative to the case of flexible interest rate) in response to contractionary shocks to the economy, while they act as automatic macro-prudential stabilizers in response to expansionary shocks. Second, when the interest rate is the only available policy instrument, a monetary authority subject to the same constraints as private agents cannot always achieve a (constrained) efficient allocation and faces a trade-off between macroeconomic and financial stability in response to contractionary shocks. An implication of our analysis is that the weak link in the U.S. policy framework in the run up to the Global Recession was not excessively lax monetary policy after 2002, but rather the absence of an effective second policy instrument aimed at preserving financial stability. |
| JEL: | E44 E52 E58 E65 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:22283&r=mac |
| By: | Giovanni Scarano |
| Abstract: | Corporate savings , which could play a major role in producing financial crises , receive scant analytic attention today . By contrast, they saw a glorious period of analysis from the late 1920s to the early 1950s, around the Great Depression. D uring the twenties the corpora tions were accused of contributing to the stock exchange boom by lending out part of their cash balances . In the thirties they were accused of contributing to the stagnation of the economic system by holding excess cash balances. Two different approaches d istinguished the study of retained earnings in the forties and fifties. One approached this phenomenon in connection with investigation into cyclical fluctuations in the economy, while the other analysed the relationship between the rights and interests of the stockholders and those of the management in individual enterprises. The paper deals with some of these seminal contributions, including those by Sergei P. Dobrovolsky and Friedrich A. Lutz |
| Keywords: | Corporate S avings , Corporate R etained E arnings , Cash Holding , Effective Demand, Financial Crisis, Corporate Governance. |
| JEL: | E21 E22 E32 E58 G01 G35 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:rtr:wpaper:0207&r=mac |
| By: | G. Gaballo; A. Zetlin-Jones |
| Abstract: | We show that an increase in banks' holdings of domestic Sovereign debt decreases the ability of domestic Sovereigns to successfully enact bailouts. When Sovereigns finance bailouts with newly issued debt and the price of Sovereign debt is sensitive to unanticipated debt issues, then bailouts dilute the value of banks' Sovereign debt holdings rendering bailouts less effective. We explore this feedback mechanism in a model of financial intermediation in which banks are subject to managerial moral hazard and ex ante optimality requires lenders to commit to ex post inefficient bank liquidations. A benevolent Sovereign may desire to enact bailouts to prevent such liquidations thereby neutralizing lenders' commitment. In this context, home bias for Sovereign debt may arise as a mechanism to deter bailouts and restore lenders' commitment. |
| Keywords: | Bailout, Sovereign debt, Home bias, Time inconsistency, Commitment, Macroprudential regulation. |
| JEL: | E0 E44 E6 E61 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:bfr:banfra:594&r=mac |
| By: | Cole, Stephen J. (Department of Economics Marquette University) |
| Abstract: | Central bank forward guidance emerged as a pertinent tool for monetary policymakers since the Great Recession. Nevertheless, the effects of forward guidance remain unclear. This paper investigates the effectiveness of forward guidance while relaxing two standard macroeconomic assumptions: rational expectations and frictionless financial markets. Agents forecast future macroeconomic variables via either the rational expectations hypothesis or a more plausible theory of expectations formation called adaptive learning. A standard Dynamic Stochastic General Equilibrium (DSGE) model is extended to include the financial accelerator mechanism. The results show that the addition of financial frictions amplifies the differences between rational expectations and adaptive learning to forward guidance. The macroeconomic variables are overall more responsive to forward guidance under rational expectations than under adaptive learning. During a period of economic crisis (e.g. a recession), output under rational expectations displays more favorable responses to forward guidance than under adaptive learning. These differences are exacerbated when compared to a similar analysis without financial frictions. Thus, monetary policymakers should consider the way in which expectations and credit frictions are modeled when examining the effects of forward guidance. |
| Keywords: | Forward Guidance, Monetary Policy, Adaptive Learning, Expectations, Financial Frictions |
| JEL: | D84 E30 E44 E50 E52 E58 E60 |
| Date: | 2016–03 |
| URL: | http://d.repec.org/n?u=RePEc:mrq:wpaper:2016-02&r=mac |
| By: | Speck, Christian |
| Abstract: | Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to de-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the reaction of inflation-linked swap (ILS) rates - a market-based measure of inflation expectations - to macroeconomic surprises in the euro area. Compared to the pre-crisis period, surprises have a much stronger effect on spot ILS rates during the crisis. Medium-term forward ILS rates remain insensitive to news most of the time, which implies inflation anchoring. Only short periods of sensitivity on the part of medium-term forward ILS rates are identified at times of low inflation or recession. The sensitivity is lower over more distant forecast horizons such that medium-term sensitivity represents an inflation adjustment process and provides evidence for a de-anchoring of inflation expectations or a loss of credibility for the Eurosystem's policy target. |
| Keywords: | Inflation Anchoring,Inflation Expectations,Inflation-Linked Swaps,Event Study,Central Banking |
| JEL: | E31 E44 G12 G14 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:042016&r=mac |
| By: | Ambrocio, Gene |
| Abstract: | I propose a theory of information production and learning in credit markets in which the incentives to engage in activities that reveal information about aggregate fundamentals vary over the business cycle and may account for both the excessive optimism that fueled booms preceding financial crises and the slow recoveries that followed. In my theory, information about aggregate fundamentals is produced along two dimensions. First, optimistic beliefs lead to a fall in private investment in information reducing the quality of information available, an intensive margin. This gives rise to episodes of rational exuberance where optimism sustains booms even as fundamentals decline in the buildup to crises. Second, the quantity of information is increasing in the level of economic activity, an extensive margin. Thus, recoveries are slow since the low levels of investment and output provide little information about improvements in the state of the economy. Consistent with model predictions, I find supporting evidence in terms of a U-shaped pattern in macro-uncertainty measures over the business cycle. I also discuss the implications on endogenous information production on cyclical macro-prudential policy. |
| Keywords: | business cycle asymmetry, macro-uncertainty, social learning |
| JEL: | D83 E32 E44 G01 G14 |
| Date: | 2015–11–25 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2015_024&r=mac |
| By: | Felix Roth |
| Abstract: | This paper revisits the existent empirical evidence of a decline in citizens’ systemic trust in times of crisis for a 12-country sample of the euro area (EA12) from 1999 to 2014. They affirm a pronounced decline in trust in the periphery countries of the EA12, leading to particular low levels in the national government and parliament in Spain and Greece. They discuss the consequences of this decline for the political economy of Economic and Monetary Union and corroborate the strong and negative association between unemployment and trust. They provide evidence of the increase in unemployment in Spain and examine policy measures at the national and EU level to tackle unemployment. They revisit the evidence of the enduring support for the euro and discuss its relevance to crisis management. They elaborate upon the question of how to restore systemic trust without and with treaty change. |
| JEL: | C23 D72 E24 E42 E65 F50 G01 J0 O4 O52 Z13 |
| Date: | 2015–09 |
| URL: | http://d.repec.org/n?u=RePEc:euf:dispap:016&r=mac |
| By: | Giorgio Fagiolo (Laboratory of Economics and Management (LEM)); Andrea Roventini (Laboratory of Economics and Management (Pisa) (LEM)) |
| Abstract: | The Great Recession seems to be a natural experiment for economic analysis, in that it has shown the inadequacy of the predominant theoretical framework | the New Neoclassical Synthesis (NNS) | grounded on the DSGE model. In this paper, we present a critical discussion of the theoretical, empirical and political-economy pitfalls of the DSGE-based approach to policy analysis. We suggest that a more fruitful research avenue should escape the strong theoretical requirements of NNS models (e.g., equilibrium, rationality, representative agent, etc.) and consider the economy as a complex evolving system, i.e. as an ecology populated by heterogeneous agents, whose far-from-equilibrium interactions continuously change the structure of the system. This is indeed the methodological core of agent-based computational economics (ACE), which is presented in this paper. We also discuss how ACE has been applied to policy analysis issues, and we provide a survey of macroeconomic policy applications ( fiscal and monetary policy, bank regulation, labor market structural reforms and climate change interventions). Finally, we conclude by discussing the methodological status of ACE, as well as the problems it raises. |
| Keywords: | Economic policy; New neoclassical synthesis; New keynesian models; Agent based computational economics; Agent based models; Complexity theory; Great recession; Crisis |
| JEL: | B41 B50 E32 E52 |
| Date: | 2016–04 |
| URL: | http://d.repec.org/n?u=RePEc:spo:wpmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f&r=mac |
| By: | Aruoba, S. Boragan (Federal Reserve Bank of Philadelphia) |
| Abstract: | In this paper, I use a statistical model to combine various surveys to produce a term structure of inflation expectations--inflation expectations at any horizon--and an associated term structure of real interest rates. Inflation expectations extracted from this model track realized inflation quite well, and in terms of forecast accuracy, they are at par with or superior to some popular alternatives. Looking at the period 2008.2015, I conclude that long-run inflation expectations remained anchored, and the policies of the Federal Reserve provided a large level of monetary stimulus to the economy. |
| Keywords: | Surveys; TIPS; Inflation swaps; Unconventional monetary policy; Treasury Inflation-Protected Securities (TIPS) |
| JEL: | C32 E31 E43 E58 |
| Date: | 2016–03–14 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:16-9&r=mac |
| By: | Dupaigne, Martial; Fève, Patrick |
| Abstract: | This paper inspects the mechanism shaping government spending multipliers in various smallscale DSGE setups with endogenous labor supply and capital accumulation. We analytically characterize the short-run investment multiplier, which in equilibrium can be either positive or negative. The investment multiplier increases with the persistence of the exogenous government spending process. The response of investment to government spending shocks strongly affects short-run multipliers on output and consumption. |
| Keywords: | Government Spending Multipliers, DSGE models, Capital Accumulation, Labor Supply, Market Imperfections. |
| JEL: | E32 E62 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:tse:wpaper:30483&r=mac |
| By: | Fabio Verona (Bank of Finland – Monetary Policy and Research Department, and University of Porto – cef.up) |
| Abstract: | Despite an increase in research – motivated by the global financial crisis of 2007-08 – empirical studies on the financial cycle are rare compared to those on the business cycle. This paper adds some new evidence to this scarce literature by using a different empirical methodology – wavelet analysis – to extract financial cycles from the data. Our results confirm that the U.S. financial cycle is (much) longer than the business cycle, but we do not find strong evidence supporting the view that the financial cycle has lengthened during the Great Moderation period. |
| Keywords: | Keywords: time-frequency estimation, wavelets, financial cycle, business cycle, credit, asset prices |
| JEL: | C49 E32 E44 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:por:cetedp:1605&r=mac |
| By: | Verona, Fabio |
| Abstract: | Despite an increase in research – motivated by the global financial crisis of 2007-08 – empirical studies on the financial cycle are rare compared to those on the business cycle. This paper adds some new evidence to this scarce literature by using a different empirical methodology – wavelet analysis – to extract financial cycles from the data. Our results confirm that the U.S. financial cycle is (much) longer than the business cycle, but we do not find strong evidence supporting the view that the financial cycle has lengthened during the Great Moderation period. |
| Keywords: | time-frequency estimation, wavelets, financial cycle, business cycle, credit, asset prices |
| JEL: | C49 E32 E44 |
| Date: | 2016–05–23 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2016_014&r=mac |
| By: | Woodford, Michael |
| Abstract: | This paper compares three alternative dimensions of central-bank policy --- conventional interest-rate policy, quantitative easing, and macroprudential policy --- showing in the context of a simple intertemporal general-equilibrium model why they are logically independent dimensions of policy, and how they jointly determine financial conditions, aggregate demand, and the severity of risks to financial stability. Quantitative easing policies increase financial stability risk less than either of the other two policies, relative to the magnitude of aggregate demand stimulus; and a combination of expansion of the cental bank's balance sheet with a suitable tightening of macroprudential policy can have a net expansionary effect on aggregate demand with no increased risk to financial stability. This suggests that quantitative easing policies may be useful as an approach to aggregate demand management not only when the zero lower bound precludes further use of conventional interest-rate policy, but also when it is not desirable to further reduce interest rates because of financial stability concerns. |
| Keywords: | macroprudential policy; money premium; zero lower bound |
| JEL: | E44 E52 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:11287&r=mac |
| By: | Christophe Blot (OFCE); Jérôme Creel (OFCE); Paul Hubert (OFCE); Fabien Labondance (OFCE (OFCE)); Francesco Saraceno (OFCE) |
| Abstract: | This paper aims at investigating first, the (possibly time-varying) empirical relationship between price and financial stability, and second, the effects of some macro and policy variables on this relationship in the United States and the Eurozone. Three empirical methods are used to examine the relevance of A.J. Schwartz's “conventional wisdom” that price stability would yield financial stability. Using simple correlations and VAR and Dynamic Conditional Correlations, we reject the hypotheses that price stability is positively correlated with financial stability and that the correlation is stable over time. The latter result and the analysis of the determinants of the link between price stability and financial stability cast some doubt on the appropriateness of the “leaning against the wind” monetary policy approach. |
| Keywords: | Price stability; Financial stability; DCC-GARCH; VAR |
| JEL: | C32 E31 E44 E52 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:spo:wpmain:info:hdl:2441/114p6m6s0395gqm0es4g7kgv3u&r=mac |
| By: | Paul Beaudry; Dana Galizia; Franck Portier |
| Abstract: | In most modern macroeconomic models, the steady state (or balanced growth path) of the system is a local attractor, in the sense that, in the absence of shocks, the economy would converge to the steady state. In this paper, we examine whether the time series behavior of macroeconomic aggregates (especially labor market aggregates) is in fact supportive of this local-stability view of macroeconomic dynamics, or if it instead favors an alternative interpretation in which the macroeconomy may be better characterized as being locally unstable, with nonlinear deterministic forces capable of producing endogenous cyclical behavior. To do this, we extend a standard AR representation of the data to allow for smooth nonlinearities. Our main finding is that, even using a procedure that may have low power to detect local instability, the data provide intriguing support for the view that the macroeconomy may be locally unstable and involve limit-cycle forces. An interesting finding is that the degree of nonlinearity we detect in the data is small, but nevertheless enough to alter the description of macroeconomic behavior. We complete the paper with a discussion of the extent to which these two different views about the inherent dynamics of the macroeconomy may matter for policy. |
| JEL: | E24 E3 E32 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:22275&r=mac |
| By: | Thomas I. Palley |
| Abstract: | This paper examines the relationship between inequality and growth in the neo-Kaleckian and Cambridge growth models. The paper explores the channels whereby functional and personal income distribution impact growth. The growth - inequality relationship can be negative or positive, depending on the economy's characteristics. Contrary to widespread claims, inequality per se does not impact growth through macroeconomic channels. Instead, both growth and inequality are impacted by changes in the underlying forms and pattern of income payments. However, inequality is critical at the microeconomic level as it explains differences in household propensities to consume which are at the foundation of neo-Kaleckian and Cambridge growth theory. |
| Keywords: | Income Inequality, growth, neo-Kaleckian theory, Cambridge growth theory |
| JEL: | E0 E12 E25 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:imk:wpaper:167-2016&r=mac |
| By: | Calixte Ahokpossi; Pilar Garcia Martinez; Laurent Kemoe |
| Abstract: | We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004–14 based on the Dynamic Nelson-Siegel model. On this basis, we explore the interaction between macroeconomic variables and the yield curve, which is of direct relevance to macroeconomic policy-making. In Morocco’s context, we find that tighter monetary policy increases short-end maturities, and that the impact is small and short-lived. Economic activity is also briefly but significantly impacted, suggesting that even under a pegged exchange rate, monetary policy autonomy and effectiveness can be increased through greater central bank independence. Fiscal improvements significantly lower yield levels. Policy conclusions are that improvement in the fiscal and monetary policy frameworks, as well as greater financial sector development and inclusion, could benefit Morocco and strengthen the transmission mechanisms and effectiveness of macroeconomic policies. |
| Date: | 2016–05–23 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:16/103&r=mac |
| By: | Deryugina, Elena; Ponomarenko, Alexey; Sinyakov, Andrey; Sorokin, Constantine |
| Abstract: | We apply several tests to the underlying inflation metrics used in practice by central banks and/or proposed in the scientific literature, in an attempt to find the best-performing indicators. We find that although there is no single best measure of underlying inflation, indicators calculated on the basis of dynamic factor models are generally among the best performers. These best performers not only outdid the simpler traditional underlying indicators (trimmed and exclusion-based measures) but also proved to be economically meaningful and inter-pretable. |
| Keywords: | underlying inflation, core inflation, monetary inflation, dynamic factor model, Russia |
| JEL: | E31 E32 E52 C32 |
| Date: | 2015–08–18 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofitp:2015_024&r=mac |
| By: | Crowley, Patrick M.; Hudgins, David |
| Abstract: | This paper first applies the MODWT (Maximal Overlap Discrete Wavelet Transform) to Euro Area quarterly GDP data from 1995 – 2014 to obtain the underlying cyclical structure of the GDP components. We then design optimal fiscal and monetary policy within a large state-space LQ-tracking wavelet decomposition model. Our study builds a MATLAB program that simulates optimal policy thrusts at each frequency range where: (1) both fiscal and monetary policy are emphasized, (2) only fiscal policy is relatively active, and (3) when only monetary policy is relatively active. The results show that the monetary authorities should utilize a strategy that influences the short-term market interest rate to undulate based on the cyclical wavelet decomposition in order to compute the optimal timing and levels for the aggregate interest rate adjustments. We also find that modest emphasis on active interest rate movements can alleviate much of the volatility in optimal government spending, while rendering similarly favorable levels of aggregate consumption and investment. This research is the first to construct joint fiscal and monetary policies in an applied optimal control model based on the short and long cyclical lag structures obtained from wavelet analysis. |
| Keywords: | discrete wavelet analysis, euro area, fiscal policy, LQ tracking, monetary policy, optimal control |
| JEL: | C49 C61 C63 C88 E52 E61 |
| Date: | 2015–08–12 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2015_012&r=mac |
| By: | Honkapohja, Seppo; Mitra, Kaushik |
| Abstract: | We examine global dynamics under learning in New Keynesian models with price level targeting that is subject to the zero lower bound. The role of forward guidance is analyzed under transparency about the policy rule. Properties of transparent and non-transparent regimes are compared to each other and to the corresponding cases of inflation targeting. Robustness properties for different regimes are examined in terms of the domain of attraction of the targeted steady state and volatility of inflation, output and interest rate. We analyze the effect of higher inflation targets and large expectational shocks for the performance of these policy regimes. |
| Keywords: | adaptive learning, monetary policy, inflation targeting, zero interest rate lower bound |
| JEL: | E63 E52 E58 |
| Date: | 2015–04–07 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2015_009&r=mac |
| By: | Gulan, Adam; Haavio, Markus; Kilponen, Juha |
| Abstract: | We investigate the causes of the Finnish Great Depression, 1990-1993. We find that the collapse of the overheated financial and banking sectors starting in 1989 was the trigger of the economic crisis. Foreign shocks, which include the collapse of trade with USSR in 1991, can account for at most about half of the slump, and these shocks occurred only when the economy was already in free fall. Also, the deleveraging and restructuring process of the financial system substantially prolonged the subsequent recovery. Our methodology involves estimating a structural VAR model with sign and exogeneity restrictions. Importantly, we are able to distinguish between financial shocks affecting the demand for intermediated loans and those shifting the loan supply curve. Hence we also contribute to the discussion on which financial shocks actually matter. Keywords: business cycles, great depressions, financial shocks, sign restrictions, Finland |
| JEL: | E32 E44 O52 |
| Date: | 2014–10–20 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2014_024&r=mac |
| By: | Zsuzsanna Hosszú (Magyar Nemzeti Bank, Central Bank of Hungary) |
| Abstract: | In this paper, relying on a time-varying parameters FAVAR model, two credit supply factors are calculated, the first of which is identified as willingness to lend, while the second as lending capacity. The impact of these two types of credit supply shocks on macroeconomic variables and their changes in time is examined. The two types of lending shocks affect the macro variables rather differently; a positive lending capacity shock in a banking system mostly owned by non-residents influences GDP through the decrease in country risk and the easing of monetary policy, while willingness to lend primarily increases lending activity. The two financial shocks also differ in terms of their evolution over time: the change in the impact of willingness to lend was driven by foreign currency lending and one-off events (e.g. the outbreak of the crisis), thus the deviations occur usually for short periods of time and they are of small degree between the various quarters. On the other hand, in the case of lending capacity, trending processes can be observed: before the crisis the situation of the banking system plays an increasing role in country risk, while after 2008 it appears that monetary policy paid increasing attention to financial stability. Finally, a new type of financial conditions index is quantified based on our estimates, which measures the impact of the banking system’s lending activity on GDP growth. |
| Keywords: | dynamic factor model, dual Kalman-filter, financial conditions index, credit supply shocks, time varying parameter VAR. |
| JEL: | C32 C38 C58 E17 G21 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:mnb:wpaper:2016/1&r=mac |
| By: | Tsoulfidis, Lefteris; Zouboulakis, Michel |
| Abstract: | This article presents and critically evaluates the four Greek sovereign defaults (1827, 1843, 1893 and 1932) and puts them into a historical perspective. The argument is that each and every of the defaults was not an isolated episode in the turbulent economic history of capitalism, but rather a manifestation of the internal weaknesses of the Greek economy which were magnified during the downturn phases of the long waves of 1815-1845, 1873-1896, and 1921–1940. Crucial for the precipitation of these defaults were the short-sighted and often opportunistic policies followed by the Greek governments which were eager to increase public spending based on borrowed money which lead to mounting public debt. As a consequence, the past Greek sovereign defaults are worth studying in an effort to derive useful lessons and policy conclusions for the current and also future situations. |
| Keywords: | Sovereign default, depressions, long waves, Greek economy |
| JEL: | B10 B50 F34 N14 N2 N24 |
| Date: | 2016–05–22 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:71588&r=mac |
| By: | Kamiar Mohaddes; Mehdi Raissi |
| Abstract: | This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through imposing dynamic sign restrictions on the impulse responses of the model. The results show that there are considerable heterogeneities in the responses of different countries to a U.S. supply-driven oil price shock, with real GDP increasing in both advanced and emerging market oil-importing economies, out-put declining in commodity exporters, inflation falling in most countries, and equity prices rising worldwide. Overall, our results suggest that following the U.S. oil revolution, with oil prices falling by 51 percent in the .first year, global growth increases by 0.16 to 0.37 percentage points. This is mainly due to an increase in spending by oil importing countries, which exceeds the decline in expenditure by oil exporters. |
| Keywords: | Tight oil, shale oil, fracking revolution, oil price decline, oil supply, global macroeconometric modeling, and international business cycle |
| JEL: | C32 E17 F44 F47 O13 Q43 |
| Date: | 2016–01–09 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camdae:1605&r=mac |
| By: | Crowley, Patrick M.; Trombley, Christopher |
| Abstract: | Within currency unions, the conventional wisdom is that there should be a high degree of macroeconomic synchronicity between the constituent parts of the union. But this conjecture has never been formally tested by comparing sample of monetary unions with a control sample of countries that do not belong to a monetary union. In this paper we take euro area data, US State macro data, Canadian provincial data and Australian state data — namely real Gross Domestic Product (GDP) growth, the GDP deflator growth and unemployment rate data — and use techniques relating to recurrence plots to measure the degree of synchronicity in dynamics over time using a dissimilarity measure. The results show that for the most part monetary unions are more synchronous than non-monetary unions, but that this is not always the case and particularly in the case of real GDP growth. Furthermore, Australia is by far the most synchronous monetary union in our sample. |
| Keywords: | business cycles, growth cycles, frequency domain, optimal currency area, macroeconomic synchronization, monetary policy, single currency |
| JEL: | C49 E32 F44 |
| Date: | 2015–07–31 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2015_011&r=mac |
| By: | Andrew B. Bernard; Toshihiro Okubo |
| Abstract: | This paper explores role of product adding and dropping within manufacturing firms over the business cycle. While a substantial body of work has explored the importance of the extensive margins of firm entry and exit in employment and output flows, only recently has research begun to examine the adjustment across products within firms and its importance for firm and aggregate output and employment flows. Using a novel, annual firm-product data set covering all Japanese manufacturing firms with more than 4 employees from 1992 to 2006, we provide the first evidence on annual changes in product adding and dropping by continuing firms over the business cycle. We find very high rates of product adding and dropping by continuing firms between the last year of the recession and the first year of the subsequent expansion and offer an explanation and supporting evidence based on a "trapped factors" model of firm behavior. |
| Keywords: | product adding, product dropping, multi-product firms, trapped factors |
| JEL: | L11 E32 L21 L25 L60 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:cep:cepdps:dp1432&r=mac |
| By: | Deryugina, Elena; Kovalenko, Olga; Pantina, Irina; Ponomarenko, Alexey |
| Abstract: | This article presents three alternative models for decomposing loan developments into components associated with changes in loan demand and supply fundamentals. Two models are based on macro data (error correction model and structural vector autoregression with sign restrictions) and one is based on bank-specific Bank Lending Survey results. We conclude that although loan growth in Russia converges to a long-run equilibrium determined by macroeconomic (demand) factors the convergence is likely to be driven by bank-side (supply) shocks. We identify large and unexplained supply shocks in loan fluctuations during the crisis of 2008–2009, signifying an impairment of credit markets. We also find contractionary shocks unrelated to demand fundamentals or balance sheet structures in 2013, although in general loan developments in 2013 and the first half of 2014 were not at all extraordinary. |
| Keywords: | loan demand, loan supply, cointegration, structural VAR, sign restrictions, Bank Lending Survey, Russia |
| JEL: | C32 E51 G21 |
| Date: | 2015–03–05 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofitp:2015_008&r=mac |
| By: | Saito, Yuta |
| Abstract: | This paper investigates a dynamic capital taxation (and redistribution) problem with an endogenous political power balance. It is shown that the current redistribution, which reduces the future inequality, decreases the future needs for redistribution if the bargaining power is (at least partly) endogenized. |
| Keywords: | Legislative bargaining; Wealth inequality; Redistribution; Capital taxation |
| JEL: | E60 E62 H20 H30 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:71130&r=mac |
| By: | Kentaro Kikuchi (Faculty of Economics, Shiga University) |
| Abstract: | This study proposes a joint pricing model for stocks and bonds in a no-arbitrage framework. A stock price representation is obtained in a manner consistent with the quadratic Gaussian term structure model, in which the short rate is the quadratic form of the state variables. In this study, specifying the dividend as a function using the quadratic form of the state variables leads to a stock price representation that is exponential-quadratic in the state variables. We prove that the coefficients determining the stock price have to satisfy some matrix equations, including an algebraic Riccati equation. Moreover, we specify the sufficient condition in which the matrix equations do have a unique solution. In our empirical analysis using Japanese data, we obtain estimates with a good fit to the actual data. Furthermore, we estimate the risk premiums for stocks and bonds and analyze how the BOJ fs unconventional monetary policy has affected these risk premiums. |
| Keywords: | risk premium, quadratic Gaussian term structure model, unscented Kalman filter, algebraic Riccati equation, controllability, portfolio rebalance |
| JEL: | C13 E43 E44 G12 |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:shg:dpapeb:14&r=mac |
| By: | Adam P. Balcerzak (Nicolaus Copernicus University, Poland) |
| Abstract: | Successful policies and programs leading to improvement of quality of human capital in the context of knowledge-based economy are currently considered as the basic condition for keeping global competitiveness of the European economy. It has been pointed as one of the most important aims of Europe 2020 strategy. In the EU all the countries are obliged to implement national strategies that should result in reaching that aims. As a result, it is necessary to compare countries’ results, which can be useful for pointing the best practices and effective policy guidelines. Thus, the main aim of the article is to provide a multiple-criteria analysis of the quality of human capital in the EU countries at macroeconomic level. Special attention is given here to the results obtained by new member states of the EU. The research is done for the years 2001-2012. Additionally, it gives some insight on the possible influence of the global financial crisis on the dynamics of the quality of human capital in the EU countries. Data from Eurostat is used. Hellwig’s method of taxonomic measure of development with the constant pattern (ideal solution) for the entire period is applied in the research. The Hellwig’s method is very close to TOPSIS method, which is based on a concept of similarity to ideal solution and which is currently commonly applied in multiple-criteria decision-making (MCDM). After obtaining the relative measure for the quality of human capital, the countries were grouped into homogenous subsets with application of natural breaks method. The main advantages of the applied methods are high elasticity and methodological simplicity, which is crucial in the case of multiple-criteria decision analysis (MCDA). |
| Keywords: | multiple-criteria decision-making (MCDM), multiple-criteria decision analysis (MCDA), Hellwig’s method, human capital, European Union |
| JEL: | C38 E24 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:pes:wpaper:2016:no18&r=mac |
| By: | Nicoletta Batini; Giovanni Melina; Stefania Villa |
| Abstract: | We revisit the empirical relationship between private/public debt and output, and build a model that reproduces it. In the model, the government provides financial assistance to credit-constrained agents to mitigate deleveraging. As we observe in the data, surges in private debt are potentially more damaging for the economy than surges in public debt. The model suggests two policy implications. First, capping leverage leads to milder recessions, but also implies more muted expansions. Second, with fiscal buffers, financial assistance to credit-constrained agents helps avoid stagnation. The growth returns from intervention decline as the government approaches the fiscal limit. |
| Date: | 2016–05–23 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:16/104&r=mac |
| By: | Pedro brinca (Nova School of Business and Economics, Universidade Nova de Lisboa, Portugal; Centro de Economia e Finanças, Universidade do Porto, Portugal; Robert Schuman Centre for Advanced Studies, European University Institute, Italy); Hans A. Holter (Department of Economics, University of Oslo, Norway); Per Krusell (Institute for International Economic Studies, Stockholm University, Sweden); Laurence Malafry (Department of Economics, Stockholm University, Sweden) |
| Abstract: | Fiscal multipliers appear to vary greatly overtime and space. Based on VARs for a large number of countries, we document a strong correlation between wealth inequality and the magnitude of fiscal multipliers. In an attempt to account for this finding, we develop a life-cycle, overlapping generations economy with uninsurable labor market risk. We calibrate our model to match key characteristics of a number of OECD economies, including the distribution of wages and wealth, social security, taxes, and government debt and study how a fiscal multiplier depends on various country characteristics. We find that the fiscal multiplier is highly sensitive to the fraction of the population who face binding credit constraints and also to the average wealth level in the economy. These findings together help us generate across-country pattern of multipliers that is quite similar to that in the data. |
| Keywords: | Fiscal multipliers, Wealth inequality, Government spending, Taxation |
| JEL: | E62 H21 |
| Date: | 2015–09 |
| URL: | http://d.repec.org/n?u=RePEc:mde:wpaper:0059&r=mac |
| By: | Muhammad Nadeem Hanif (State Bank of Pakistan); Sajawal Khan (State Bank of Pakistan); Muhammad Rehman (State Bank of Pakistan) |
| Abstract: | This paper estimates monetary policy stance measures like Monetary Conditions Index (MCI), Financial Conditions Index (FCI), and Bernanke and Mihov Index (BMI) for Pakistan. The estimated monetary policy stance guides whether the policy is tight, neutral or loose relative to its objectives. And thus, it may help policy maker adjusting policy instrument(s) to guide the economy in desired direction. It also helps in knowing which monetary policy transmission channel is more effective along with the impact of various monetary policy measures upon the desired goals. Despite the fact that supply shocks are found to be dominant in Pakistan which gives little room to monetary policy to play an effective role as stabilizing tool, movements in exchange rate and monetary aggregates turned out to be more important than the interest rate in policy transmission mechanism. Being a small open economy facing persistent current account deficits, exchange rate consideration thus played major role in monetary policy transmission in Pakistan. State Bank of Pakistan had been targeting monetary aggregate until recently and just recently started active use of interest rate as policy instrument. It may take some time for interest rate channel to take lead. The comparison of different estimated measures shows that MCI performs better as measure of monetary policy stance (compared to FCI and BMI) in the case of Pakistan. |
| Keywords: | Financial markets and macroeconomy, monetary policy |
| JEL: | E44 E52 |
| Date: | 2016–04 |
| URL: | http://d.repec.org/n?u=RePEc:sbp:wpaper:73&r=mac |
| By: | International Monetary Fund |
| Abstract: | Context. The Mauritanian economy is facing a significant negative terms-of-trade shock that is more persistent than initially envisaged. Low iron ore prices have reduced economic growth, export receipts, and net international reserves; widened the fiscal deficit; and increased risks to financial stability. Lower oil prices have, on the contrary, provided some support to the external and fiscal positions. The exchange rate continued appreciating in real term in 2015, moving counter to the terms-of-trade shock. The impact of the shock is compounded by a narrow production base, structural weaknesses and limited policy space in the context of elevated public debt and pressures on external buffers. Outlook and Risks. The economic outlook envisages a recovery in economic activity to 4.1 percent in 2016, but risks to the outlook are tilted to the downside and the economy remains vulnerable to external shocks. Over the medium term, current policies will result in sustained pressures on reserves and elevated debt driven by public investment plans. Subdued economic activity could hinder the capacity of the financial sector to channel credit toward private sector activity hampering efforts to achieve more diversified and robust economic growth. In the short term, the economy is most vulnerable to higher oil prices, lower-than-envisaged iron ore prices, and a stronger US dollar under the current exchange rate policy. |
| Keywords: | Article IV consultation reports;External shocks;Terms of trade;Economic growth;Current account deficits;Fiscal consolidation;Fiscal reforms;Bank supervision;Exchange restrictions;Economic indicators;Balance of payments statistics;Debt sustainability analysis;Staff Reports;Press releases;Mauritania; |
| Date: | 2016–05–11 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:16/115&r=mac |
| By: | Krupkina, Anna; Ponomarenko, Alexey |
| 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: | E41 F31 |
| Date: | 2015–11–10 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofitp:2015_032&r=mac |
| By: | Julián VILLAMIL SANCHEZ |
| Abstract: | En este trabajo se adopta la recomendación de Felipe y McCombie (2007) y Pasinetti (1987) de medir la productividad desde un punto de vista desagregado. De esta manera, es posible entender el comportamiento inter-sectorial, frente a los distintos escenarios por los que atraviesa la economía. Para tal fin, se hace uso de las herramientas basadas en el modelo Insumo-Producto: fraccionamiento del sistema productivo en clústeres y cálculo de la productividad laboral total por subsistemas verticalmente integrados. Se usan los clústeres identificados por Villamil y Hernández (2016) para clasificar los sectores y, a partir de allí, se logró establecer las fuentes del cambio de productividad: de acuerdo al clúster de origen. Se encuentran 29 sectores dinámicos en el período 2005-2012. Dentro de estos últimos, se destacan los sectores con vocación hacia la intermediación (comercio, finanzas y transporte) y algunos sectores de la industria manufacturera (equipo de transporte, maquinaria eléctrica y mecánica). Se encuentra, que en los sectores no-dinámicos, existe una alta incidencia negativa sobre la productividad generada dentro de su propio clúster. Se concluye resaltando la necesidad de ahondar en el estudio de las relaciones interindustriales a nivel de sector o, incluso, a nivel de firma. |
| Keywords: | Clústeres, Insumo-Producto, Productividad Laboral, SectoresEconómicos |
| JEL: | C38 C67 E01 B51 E24 |
| Date: | 2016–05–18 |
| URL: | http://d.repec.org/n?u=RePEc:col:000118:014585&r=mac |
| By: | Fidrmuc, Jarko; Korhonen, Iikka |
| Abstract: | We summarize previous research on China’s business cycle correlation with other countries with the help of meta-analysis techniques. We survey 71 related papers along with all the characteristics of the estimations as well as those of the authors. We confirm that especially Pacific Rim countries have relatively high business cycle correlation with China. However, it appears that many characteristics of the studies and authors do influence the reported degree of business cycle synchronization. For instance, Chinese-language papers report higher correlation coefficients. Despite of this, we do not detect a robust publication bias in the papers. |
| Keywords: | business cycle synchronization, meta-analysis, China |
| JEL: | E32 F44 |
| Date: | 2015–03–03 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofitp:2015_006&r=mac |
| By: | Stolbov, Mikhail |
| Abstract: | Causality between the ratio of domestic private credit to GDP and growth in real GDP per capita is investigated in a country-by-country time-series framework for 24 OECD economies over the period 1980–2013. The proposed threefold methodology to test for causal linkages integrates (i) lag-augmented VAR Granger causality tests, (ii) Breitung-Candelon causality tests in the frequency domain, and (iii) testing for causal inference based on a fully modified OLS (FMOLS) approach. For 12 of 24 countries in the sample, the three tests yield uniform results in terms of causality presence (absence) and direction. Causality running from credit depth to economic growth is found for the UK, Australia, Switzerland, and Greece. The findings lend no support to the view that financial development shifts from a supply-leading to demand-following pattern as economic development proceeds. The aggregate results mesh well with the current discussion on “too much finance” and disintermediation effects. However, idiosyncratic country determinants also appear significant. |
| Keywords: | causality, economic growth, financial development, FMOLS, frequency domain |
| JEL: | C22 E44 G21 O16 |
| Date: | 2015–04–30 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofitp:2015_015&r=mac |
| By: | Eerola, Essi; Määttänen, Niku |
| Abstract: | We study the interaction of matching and credit frictions in the housing market. In the model, risk-averse households may save or borrow in order to smooth consumption over time and finance owner housing. Prospective sellers and buyers meet randomly and bargain over the price. We analyze how borrowing constraints influence house price determination in the presence of matching frictions. We also show that credit frictions greatly magnify the effects of matching frictions. For instance, in the presence of matching frictions, a moderate tightening of the borrowing constraint increases idiosyncratic price dispersion and the average time-on-the-market substantially. |
| Keywords: | housing, borrowing constraint, matching |
| JEL: | E21 R21 C78 |
| Date: | 2015–10–05 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2015_020&r=mac |
| By: | Hjortsoe, Ida (Monetary Policy Committee Unit, Bank of England); Weale, Martin (Monetary Policy Committee Unit, Bank of England); Wieladek, Tomasz (Monetary Policy Committee Unit, Bank of England) |
| Abstract: | Does the current account improve or deteriorate following a monetary policy expansion? We examine this issue theoretically and empirically. We show that a standard open economy DSGE model predicts that the current account response to a monetary policy shock depends on the degree of economic regulation in different markets. In particular, financial (product market) liberalisation makes it more likely that the current account deteriorates (improves) following a monetary expansion. We test these theoretical predictions with a varying coefficient Bayesian panel VAR model, where the coefficients are allowed to vary as a function of the degree of financial, product and labour market regulation on data from 1976 Q1–2006 Q4 for 19 OECD countries. Our empirical results support the theory. We therefore conclude that following a monetary policy expansion, the current account is more likely to go into deficit (surplus) in countries with more liberalised financial (product) markets. |
| Keywords: | Balance of payments; current account; Bayesian panel VAR; economic liberalisation; monetary policy |
| JEL: | C11 C23 E52 F32 |
| Date: | 2016–03–04 |
| URL: | http://d.repec.org/n?u=RePEc:mpc:wpaper:0045&r=mac |
| By: | International Monetary Fund |
| Abstract: | Context: A subdued recovery has started to settle in. However, downside risks persist. San Marino’s economy remains in transition following the implosion of its offshore banking model in the aftermath of the global crisis, resulting in the loss of a third of output. Challenges: Lay foundations for sustainable growth strengthening the banking system, realigning fiscal policy with new economic realities, and improving flexibility to enable the diversification of economic activity. |
| Keywords: | Europe;San Marino;banks, banking, bank, banking system, loans |
| Date: | 2016–05–10 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:16/111&r=mac |
| By: | Frieling, Julius (E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN)); Madlener, Reinhard (E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN)) |
| Abstract: | The elasticity of substitution between production factors is one of the main determinants of factor shares and their reaction to technical change. We show how using a system of simultaneously estimated equations can help to identify parameters in a nested CES production function. We evaluate how the system approach can be applied to a nested CES production function using energy as a third production factor in addition to capital and labor. We demonstrate how fixing the elasticity of the nested process substantially improves the identification of the model parameters. Using data for Germany, we find that the elasticity of substitution between energy and the capital-labor composite is only around 0.3, which implies a very low substitutability of energy in the production process. This indicates that energy availability could be a strong limiting factor for growth. |
| Keywords: | elasticity of substitution; factor productivity; multifactor production; econometric estimation; impossibility theorem |
| JEL: | C15 C30 E23 O33 O41 O47 Q43 |
| Date: | 2016–03 |
| URL: | http://d.repec.org/n?u=RePEc:ris:fcnwpa:2016_001&r=mac |
| By: | Rosengren, Eric S. (Federal Reserve Bank of Boston) |
| Abstract: | Speaking in New York on large-bank supervision, Boston Fed President Eric Rosengren emphasized making financial institutions resilient and helping to prevent problems at financial intermediaries from damaging the real economy and public well-being. |
| Date: | 2016–03–18 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedbsp:104&r=mac |
| By: | Melolinna, Marko |
| Abstract: | This paper studies the effects of demand shocks caused by Emerging Asian (EMA) countries on oil prices over the past two decades, using vector autoregression models. The analysis builds on previous work done on identifying different types of oil shocks using structural time series methods. However, uniquely, this paper introduces a commodity demand indicator for EMA economies that is based on data independent of oil production and consumption data, thus properly accounting for oil demand pressures stemming from macroeconomic conditions in the EMA economies and the rest of the world. The analysis strongly suggests that EMA demand shocks have had a persistent and statistically significant effect on the level and variation of global oil prices over the past two decades. This result differs from some of the previous literature and hence proves that the choice of oil demand indicator in an oil-market VAR makes a material difference for the results. Furthermore, tentative evidence suggests that the effect of EMA demand is mainly driven by demand dynamics in China. The results of the benchmark model are robust to different sample periods and to variations in the definition of the oil demand indicators, as well as to an alternative identification strategy based on sign restrictions. Publication keywords: macroeconomic shocks, oil markets, sign restrictions, vector autoregression |
| JEL: | C32 E32 Q43 |
| Date: | 2014–09–29 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofitp:2014_018&r=mac |
| By: | Kurtzman, Robert J.; Zeke, David |
| Abstract: | This paper presents accounting decompositions of changes in aggregate labor and capital productivity. Our simplest decomposition breaks changes in an aggregate productivity ratio into two components: A mean component, which captures common changes to firm factor productivity ratios, and a dispersion component, which captures changes in the variance and higher order moments of their distribution. In standard models with heterogeneous firms and frictions to firm input decisions, the dispersion component is a function of changes in the second and higher moments of the log of marginal revenue factor productivities and reflects changes in the extent of distortions to firm factor input allocations across firms. We apply our decomposition to public firm data from the United States and Japan. We find that the mean component is responsible for most of the variation in aggregate productivity over the business cycle, while the dispersion component plays a modest role. |
| Keywords: | Accounting Decomposition ; Business Cycles ; Misallocation ; Productivity |
| JEL: | D24 E32 L11 |
| Date: | 2016–05–20 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2016-45&r=mac |
| By: | Janine Aron; John Muellbauer |
| Abstract: | Abstract: In the absence of micro-data in the public domain, new aggregate models for the UK’s mortgage repossessions and arrears are estimated using quarterly data over 1983-2014, motivated by a conceptual double trigger frame framework for foreclosures and payment delinquencies. An innovation to improve on the flawed but widespread use of loan-to-value measures, is to estimate difficult-to-observe variations in loan quality and access to refinancing, and shifts in lenders’ forbearance policy, by common latent variables in a system of equations for arrears and repossessions. We introduce, for the first time in the literature, a theory-justified estimate of the proportion of mortgages in negative equity as a key driver of aggregate repossessions and arrears. This is based on an average debt-equity ratio, corrected for regional deviations, and uses a functional form for the distribution of the debt-equity ratio checked on Irish micro-data from the Bank of Ireland, and Bank of England snapshots of negative equity. We systematically address serious measurement bias in the ‘months-in-arrears’ measures, neglected in previous UK studies. Highly significant effects on aggregate rates of repossessions and arrears are found for the aggregate debt-service ratio, the proportion of mortgages in negative equity and the unemployment rate. Economic forecast scenarios to 2020 highlight risks faced by the UK and its mortgage lenders, illustrating the usefulness of the approach for bank stress-testing. For macroeconomics, our model traces an important part of the financial accelerator: the feedback from the housing market to bad loans and hence banks’ ability to extend credit. |
| Keywords: | foreclosures, mortgage repossessions, mortgage payment delinquencies, mortgage arrears, credit risk stress testing, latent variables model. |
| JEL: | G21 G28 G17 R28 R21 C51 C53 E27 |
| Date: | 2016–04–11 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:wpaper:793&r=mac |
| By: | Şen, Hüseyin; Kaya, Ayşe |
| Abstract: | This study empirically examines the validity of the twin and triple deficits hypotheses using bootstrap panel Granger causality analysis and an annual panel data set of six post-communist countries (Russia, Poland, Ukraine, Romania, the Czech Republic, and Hungary) from 1994 to 2012. Our findings, based on panel data analysis under cross-sectional dependence and country-specific heterogeneity, support neither the twin deficits hypothesis nor its extended version, the triple deficits hypothesis, for any of the countries considered. In other words, we find no Granger-causal relationship between budget deficits and trade (or current account) deficits or among budget deficits, private savings-investment deficits, and trade deficits. |
| Keywords: | macroeconomic policy, fiscal policy, twin deficits, triple deficits, post-communist countries, transition economies, bootstrap panel granger causality test |
| JEL: | E60 F30 F32 H62 |
| Date: | 2016–02–18 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofitp:2016_003&r=mac |
| By: | Howard, Peter H; Sterner, Thomas |
| Abstract: | In the United States, the social cost of carbon (SCC) is one of the foremost tools for calibrating the socially optimal approach for climate change policy. The SCC is estimated using climate-economic models with implicit temperature-damage relationships. Given the vast uncertainty surrounding climate impacts, meta-analyses of global climate damage estimates are a key tool for determining the relationship between temperature and climate damages, so as to communicate the current state of knowledge to model developers. Using a larger dataset than previously assembled in the literature, this paper highlights several methodological improvements that address bias present in previous meta-analyses of the temperature-damage relationship. Specifically, due to limited data availability, previous meta-analyses of global climate damages potentially suffered from multiple sources of bias: duplication bias, measurement error, omitted variable bias, and publication bias. By expanding our dataset (to include additional published and grey literature estimates), including methodological variables, and correcting the specification of temperature (to account for different reference periods), we are able to address and test for these biases. Estimating the relationship between temperature and climate damages using weighted least squares with cluster robust standard errors at the model level, we find strong evidence of duplicate bias. Using these results as an input in the DICE model – to update the DICE damage function – we determine that duplication and omitted variable bias significantly impact the damage-temperature relationship in past meta-analyses and the resulting SCC estimates. Focusing exclusively on non-catastrophic climate impacts, we find that the temperature-damage relationship estimated in Nordhaus and Sztorc (2013) is biased downwards by approximately 179% to 264%, depending on how climate change’s impacts on productivity are treated. This implies a downward bias in DICE’s SCC estimate by 203% to 314%, depending on the treatment of productivity. If we also consider catastrophic impacts, the potential bias in the SCC increases to 344% to 469%. |
| Keywords: | social cost of carbon, integrated assessment models, climate change, meta-analysis, top-down approach, Environmental Economics and Policy, Research Methods/ Statistical Methods, Risk and Uncertainty, Q54, |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea16:235696&r=mac |
| By: | Agnes Kovacs |
| Abstract: | Abstract: This paper provides a quantitative assessment of the ‘temptation preferences' of Gul and Pesendorfer (2001) for understanding consumer life-cycle choices. I first confirm the empirical relevance of these preferences. I then show that they provide rational and straightforward explanations for many life-cycle features that appear to be inconsistent with standard preferences. These include the puzzle of ‘excess sensitivity' in consumption; the ‘retirement-consumption puzzle'; the demand for commitment devices; and the slow downsizing in housing towards the end of the life-cycle. |
| Keywords: | life-cycle models, temptation preferences, housing; estimating Euler-Equations |
| JEL: | D12 D91 E21 G11 R21 |
| Date: | 2016–05–02 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:wpaper:796&r=mac |
| By: | Dudley, William (Federal Reserve Bank of New York) |
| Abstract: | Remarks at the Economic Press Briefing on the U.S. Economy in a Snapshot, Federal Reserve Bank of New York, New York City. |
| Keywords: | transparency; data dependent monetary policy stance; Federal Reserve communication; central bank communication |
| Date: | 2016–05–19 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsp:212&r=mac |
| By: | Crowley, Patrick M.; Hudgins, David |
| Abstract: | In this paper discrete wavelet filtering techniques are applied to decompose macroeconomic data so that they can be simultaneously analyzed in both the time and frequency domains. The MODWT (Maximal Overlap Discrete Wavelet Transform) is applied to U.S. quarterly GDP data from 1947–2012 to obtain the underlying cyclical structure of the GDP components. A MATLAB program is then used to design optimal fiscal policy within a LQ-tracking model with wavelet decomposition, and the results are compared with an aggregate model with no frequency decomposition. The results show that fiscal policy is more active under the wavelet-based model, and that the consumption and investment trajectories under the aggregate model are misaligned. We also simulate FHEC (Frequency Harmonizing Emphasis Control) strategies that allow policymakers to concentrate the policy thrust on tracking frequencies that are optimally aligned with policy goals under different targeting priorities. These strategies are only available by using time-frequency analysis. This research is the first to construct fiscal policy in an applied optimal control model on the short and cyclical lag structures obtained from wavelet analysis. Our wavelet-based optimal control procedure allows the policymaker to construct a pragmatic tracking policy, avoid suboptimal policies gleaned from an aggregate model, and reduce the potential for destabilization that might otherwise result due to improper thrust and timing. Keywords: LQ tracking, macroeconomics, optimal control, discrete wavelet analysis, fiscal policy |
| JEL: | C49 C61 C63 C88 E61 |
| Date: | 2015–01–05 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2014_032&r=mac |
| By: | Marc A. C. Hafstead; Roberton C. Williams III |
| Abstract: | This paper analyzes the effects of environmental policy on employment (and unemployment) using a new general-equilibrium two-sector search model. We find that imposing a pollution tax causes substantial reductions in employment in the regulated (polluting) industry, but this is offset by increased employment in the unregulated (nonpolluting) sector. Thus the policy causes a substantial shift in employment between industries, but the net effect on overall employment (and unemployment) is small, even in the short run. An environmental performance standard causes a substantially smaller sectoral shift in employment than the emissions tax, with roughly similar net effects. The effects on the unregulated industry suggest that empirical studies of environmental regulation that focus only on regulated firms can be misleading (and those that use nonregulated firms as controls for regulated firms will be even more misleading). The paper’s results also suggest that overall effects on employment are not a major issue for environmental policy, and that policymakers who want to minimize sectoral shifts in employment might prefer performance standards over environmental taxes. |
| JEL: | E24 H23 J64 Q52 Q58 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:22269&r=mac |
| By: | Pablo García; Camilo Pérez |
| Abstract: | We analyze the effects of macroeconomic fluctuations, as well as episodes of financial instability and inflation, on inequality indicators in Chile for the period 1960-2014. For this purpose measures of income inequality are constructed from data from the Survey of Employment and Unemployment of the Universidad de Chile. To identify events of banking and inflationary crises we used indicators defined by Carmen M. Reinhart and Kenneth Rogoff. Furthermore, to determine the business cycle and employment fluctuations we use the Gerhart Bry and Charlotte Boschan algorithm. The relationship between episodes of crisis and fluctuations on levels of inequality are estimated from an event study, finding that they are related to fluctuations in inequality. In addition, we perform econometric estimates where inequality indicators relate to different macroeconomic variables and educational performance. The main conclusions are that banking and inflation crises, as well as periods of severe cyclical contractions, tend to increase the levels of inequality in Chile. Our results show that achieving levels of macro-financial stability in the economy contributes not only to sustain growing levels of average income per capita, but also to avoid negative effects on equity. |
| Date: | 2016–04 |
| URL: | http://d.repec.org/n?u=RePEc:chb:bcchwp:783&r=mac |
| By: | IGOR ÉZIO MACIEL SILVA; NELSON LEITÃO PAES; JOCILDO FERNANDES BEZERRA |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:anp:en2015:036&r=mac |
| By: | Heidrich, Stefanie (Department of Economics, Umeå University) |
| Abstract: | Applied research on the association between parent and child lifetime income is relying on income data that covers only part of the life cycle which may lead to misleading estimates of the intergenerational elasticity (IGE). In this paper I study the bias of IGE estimates for different missing-data scenarios based on simulated income processes. Using an income process from the income dynamics and risks literature to generate two linked generations’ complete income histories, I use Monte Carlo methods to study the relationship between available data patterns and the bias of the IGE. I find that the traditional approach using the average of the typically available log income observations leads to IGE estimates that are around 40 percent too small. Moreover, I show that the attenuation bias is not reduced by averaging over many father income observations. Using just one income observation for each generation at the optimal age (as discussed in the paper) or using weighted instead of unweighted averages can reduce the bias. In addition, the rank-rank slope is found to be clearly less sensitive to missing data. |
| Keywords: | long-term effects of moving; disruption costs; neighborhood effects; human capital; child development |
| JEL: | E24 E27 J62 |
| Date: | 2016–05–18 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:umnees:0930&r=mac |
| By: | Jacob Nunoo (University of Cape Coast, Cape Coast, Gh); Kwabena Nkansah Darfor (University of Cape Coast, Cape Coast, Gh); Isaac Koomson (University of Professional Studies, Accr); Abigail Arthur (University of Cape Coast, Cape Coast, Gh) |
| Abstract: | Purpose - This study sets out to determine the effect of employment security on moonlighting in Ghana as a means to inform policy on enforcing issues of employment security. Design/methodology/approach – The paper follows the work of Shishko and Rostker (1976) in using the GLSS6 data by applying the ordered logit estimation technique. An employment security index is created using four variables. Findings - The findings indicated that as a person with a single job becomes more secure with employment, the likelihood of moonlighting is decreased by 0.03 while increasing levels of employment security for people with two and three or more jobs, on the contrary, increases the likelihood of moonlighting by 0.0297and 0.0008 respectively. This implies that workers can be made to stick to single jobs by providing them with higher levels of employment security but once they take on two or more jobs, providing them with employment security pushes them to even want to moonlight the more. Originality/value - With current harsh economic conditions in the country and the urgent need for multiple jobs (moonlighting) as a risk coping mechanism, little has been done on the role employment security plays as a catalyst or otherwise. This paper fills the gap by employing a comprehensive index on employment security in the case of Ghana. |
| Keywords: | moonlighting, employment security, job security, trade union, employment contract, Ghana |
| JEL: | D01 E24 J01 J08 J51 |
| Date: | 2016–04 |
| URL: | http://d.repec.org/n?u=RePEc:agd:wpaper:16/006&r=mac |
| By: | International Monetary Fund |
| Abstract: | Background. Romania made important progress in addressing economic imbalances in recent years. Prudent policies, partly in the context of successive Fund-supported programs, reduced vulnerabilities, and the fiscal and current account deficits improved markedly. However, economic policies have weakened recently and hard-won gains are at risk. Fiscal policy is pro-cyclical and the fiscal deficit is projected to increase substantially in 2016 and remain high in 2017, putting public debt on a gradually rising trajectory. Progress on structural reforms has slowed. Some recently passed measures, and others under consideration in parliament, could threaten property rights and damage the financial sector. Outlook and risks. Recent stimulus measures have raised cyclical—but not structural—growth. Underlying inflation, adjusted for recent tax reductions, is expected to gradually pick up. Risks to the outlook are tilted to the downside and relate mostly to a possible further weakening of policies in an election year and external uncertainties. |
| Keywords: | Romania;Europe;inflation, debt, market, monetary fund, fiscal policy |
| Date: | 2016–05–11 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:16/113&r=mac |
| By: | L. Lambertini; L. Marattin |
| Abstract: | We revisit the discussion about the relationship between price’s cyclical features, implicit collusion and the demand level in an oligopoly supergame where a positive shock may hit demand and disrupt collusion. The novel feature of our model consists in characterising the post-shock noncooperative price and comparing it against the cartel price played in the last period of the collusive path, to single out the conditions for procyclicality to arise both in the short and in the long-run. |
| JEL: | C73 E60 L13 |
| Date: | 2016–04 |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:wp1064&r=mac |
| By: | ARNILDO DA SILVA CORREA; PAULO PICCHETTI |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:anp:en2015:053&r=mac |
| By: | Aytug, Huseyin |
| Abstract: | After the invention of the Reserve Option Mechanism (ROM) by the Central Bank of Turkey, it has been debated whether it can help decrease the volatility of foreign exchange rate. In this study, I apply a new micro-econometric technique, the synthetic control method, in order to construct a counterfactual foreign exchange rate volatility in the absence of the ROM. I find that, USD/TRY rate is less volatile under the ROM. However, the ROM has not worked efficiently after the announcement of FED's tapering in May 2013. Furthermore, the ROM could have decreased the volatility of foreign exchange rate if FED had not started tapering. |
| Keywords: | FX Intervention, Synthetic Control Method, Required Reserves |
| JEL: | C31 E58 F31 |
| Date: | 2016–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:71400&r=mac |
| By: | Dyna Heng; Anna Ivanova; Rodrigo Mariscal; Uma Ramakrishnan; Joyce Wong |
| Abstract: | This paper examines the state of financial development in the Latin America and Caribbean (LAC) region as well as potential growth and stability implications from further development. The analysis suggests that access to financial institutions has expanded notably in the past decade, and the region compares favorably with other emerging market regions on this dimension. The region, however, continues to lag behind peers on broader financial development, especially with respect to markets, though there is substantial heterogeneity across countries. Financial systems in many LAC countries are also underdeveloped relative to their macroeconomic fundamentals. Further financial development could convey net benefits to the region, provided there is adequate regulatory oversight to prevent excesses. |
| Keywords: | Financial institutions;Latin America;Caribbean;Emerging markets;Financial markets;Financial systems;Cross country analysis;Finanical, Deepening, Latin America, Caribbean, Financial Development Index |
| Date: | 2016–04–07 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:16/81&r=mac |
| By: | Atsushi Kajii (Institute of Economic Research, Kyoto University); Jingyi Xue (Singapore Management University) |
| Abstract: | We study a two-period saving model where the agent's future income might be ambiguous. Our agent has a version of the smooth ambiguity decision criterion (Klibanoff, Marinacci and Mukerji (2005)), where the agent's perception about ambiguity is described by a second-order belief over first-order risks. We model increasing ambiguity as a spreading-out of the second-order belief. We show that under a "Risk Comonotonicity" condition, our agent saves more when ambiguity in future income increases. We argue that the condition is indispensable for our result. |
| JEL: | D80 D81 D91 E21 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:kyo:wpaper:940&r=mac |
| By: | Martin Guzman (Columbia University); Peter Howitt (Brown University) |
| Abstract: | This paper analyzes what assumptions on formation of expectations are consistent with Minsky’s Financial Instability Hypothesis (FIH) and its corollaries. The FIH establishes that financial relations evolve over time turning a stable system into an unstable one. Financial crises would be more likely to occur, and more severe if they occur, the longer the previous crisis recedes into the past. We show that the hypothesis is consistent with assumptions on formation of expectations that imply learning from realization of states and inconsistent with the assumption of full information rational expectations. |
| Keywords: | Wealth distribution, income distribution, Cambridge theory. |
| JEL: | D84 E32 F34 G01 |
| Date: | 2015–12 |
| URL: | http://d.repec.org/n?u=RePEc:thk:wpaper:33&r=mac |
| By: | Balázs Forgó; Anton Jevcák |
| Abstract: | This paper takes stock of the progress achieved by the ten Central and Eastern European countries, which entered the EU in 2004 and 2007, in terms of their real and nominal economic convergence visà-vis the twelve EU Member States which were part of the euro area in 2004. It thus offers a longerterm perspective on the convergence process while providing a horizontal, cross-country comparison of convergence. Due to its different perspective and purpose, the paper does not assess the compliance with the formal criteria for euro adoption. The paper shows that between 2004 and 2014 most of these countries achieved significant real and nominal convergence vis-à-vis the initial twelve euro-area members. |
| JEL: | O52 F33 E50 E63 |
| Date: | 2015–07 |
| URL: | http://d.repec.org/n?u=RePEc:euf:dispap:001&r=mac |
| By: | Frank Russek; Kim Kowalewski |
| Abstract: | Federal receipts and outlays regularly respond to cyclical movements in the economy. When the economy is operating below its potential, personal income and other tax bases are depressed, causing revenues to be lower than if the economy was operating at its potential. At such times, outlays for unemployment insurance benefits and other types of transfer programs are elevated. By contrast, when the economy is operating above its potential, revenues are higher and transfer payments are lower than would be the case if the economy was operating at its potential. Those “automatic stabilizers” thus |
| JEL: | E62 |
| Date: | 2015–11–19 |
| URL: | http://d.repec.org/n?u=RePEc:cbo:wpaper:51005&r=mac |
| By: | Blasques, Francisco (Vrije Universiteit Amsterdam); Brauning, Falk (Federal Reserve Bank of Boston); Lelyveld, Iman Van (De Nederlandsche Bank) |
| Abstract: | The unsecured interbank lending market plays a crucial role in financing business activity, a fact underscored by the market's disruption following the Lehman Brothers failure in September 2007. This event, a defining moment in the global financial crisis, fostered greater uncertainty about counterparty risk, an adverse shock that severely curtailed credit supply, hampered monetary policy, and negatively impacted the real economy. To counteract the consequences of the crisis, central banks became the primary intermediaries for a large portion of the money market. However, a single main counterparty reduces the incentives for peer monitoring and the market discipline obtained from private information about counterparty credit risk. To assess the benefits gained from having a decentralized market, this paper builds and estimates a dynamic network model of interbank lending using transaction-level data. The analysis focuses on assessing the roles that credit-risk uncertainty and private information, gathered through peer monitoring and repeated interactions, play in shaping the network of bilateral lending relationships, interest rates, loan volumes, and the liquidity allocation among banks. The paper also analyzes how changes in the central bank's interest rate corridor affect the interbank market structure. |
| Keywords: | interbank liquidity; financial networks; credit-risk uncertainty; peer monitoring; monetary policy; trading relationships; indirect parameter estimation |
| JEL: | C33 C51 E52 G01 G21 |
| Date: | 2016–04–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedbwp:16-3&r=mac |
| By: | Daniel Ferreira; David Kershaw; Tom Kirchmaier; Edmund Schuster |
| Abstract: | We propose a management insulation measure based on charter, bylaw, and corporate law provisions that make it difficult for shareholders to oust a firm’s management. Unlike the existing alternatives, our measure considers the interactions between different provisions. We illustrate the usefulness of our measure with an application to the banking industry. We find that banks in which managers were more insulated from shareholders in 2003 were significantly less likely to be bailed out in 2008/09. These banks were also less likely to be targeted by activist shareholders, as proxied by 13D SEC filings. By contrast, popular alternative measures of insulation -- such as staggered boards and the Entrenchment Index -- fail to predict both bailouts and shareholder activism. |
| Keywords: | Corporate governance; bank bailouts |
| JEL: | E6 |
| Date: | 2016–02–05 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:66566&r=mac |
| By: | Andrzej Pestkowski (Wroclaw University of Economics) |
| Abstract: | Free movement and freedom of establishment existing within the European Union institutions are the main factors which make European Union open for business activities. However, it should be noted that all EU countries have their own tax systems and fiscal policy. This, in turn, differentiates fiscal burden of government imposed onto its taxpayers in each Member State. These differences frequently distort the conditions of establishment. As every entrepreneur is willing to minimize costs, especially when their source are compulsory taxes, mass tax migration between Member States might be expected. Tax avoidance and tax evasion, being a form of tax migration, imply numerous economic, social and legal problems. The aim of this paper is to identify these problems along with their causes and effects in terms of fiscal burden differentiation between Member States. Descriptive, qualitative and quantitative analyses have been applied in order to explain the abovementioned phenomena. Additionally, the analyses have been accompanied by case studies. |
| Keywords: | fiscal burden; tax systems; opportunism; moral hazard; unproductive entrepreneurship |
| JEL: | E26 H26 K34 K42 |
| Date: | 2016–05 |
| URL: | http://d.repec.org/n?u=RePEc:pes:wpaper:2016:no24&r=mac |