nep-mac New Economics Papers
on Macroeconomics
Issue of 2017‒03‒19
83 papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Business Management

  1. Has the Fed responded to house and stock prices? A time-varying analysis By Knut Are Aastveit; Francesco Furlanetto; Francesca Loria
  2. Investment in capital markets By Ledenyov, Dimitri O.; Ledenyov, Viktor O.
  3. Agency Costs and the Monetary Transmission Mechanism By Reiter, Michael; Sveen, Tommy; Weinke, Lutz
  4. Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel By Kollmann, Robert
  5. Business Cycle Asymmetries and the Labor Market By Merkl, Christian; Kohlbrecher, Britta
  6. Optimal Monetary Policy under Rigid Wages and Decreasing Returns By Kohlbrecher, Britta
  7. The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty. By O. Grishchenko; S. Mouabbi; J.-P. Renne
  8. Countercyclical Capital Regulation in a Small Open Economy DSGE Model By Lozej, Matija; Onorante, Luca; Rannenberg, Ansgar
  9. Investment under Rational Inattention: Evidence from US Sectoral Data By Zorn, Peter
  10. Fiscal Policy Shocks and Stock Prices in the United States By Haroon Mumtaz; Konstantinos Theodoridis
  11. The time-varying price of financial intermediation in the mortgage market By Fuster, Andreas; Lo, Stephanie; Willen, Paul S.
  12. Understanding Benign Liquidity Traps: The Case of Japan By Homburg, Stefan
  13. Show me the money: the monetary policy risk premium By Ozdagli, Ali K.; Velikov, Mihail
  14. Who put the holes in the Swiss cheese? Currency crisis under appreciation pressure By Berhold, Kerstin; Stadtmann, Georg
  15. El PIB per cápita de Uruguay 1870-2015: una reconstrucción By Luis Bértola
  16. Forward Guidance under Disagreement - Evidence from the Fed’s dot projections By Detmers, Gunda-Alexandra
  17. Identifying macroeconomic effects of refugee migration to Germany By Weber, Enzo; Weigand, Roland
  18. Indonesia; 2016 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Indonesia By International Monetary Fund.
  19. Targeted fiscal policy to increase employment and wages of unskilled workers By Konstantinos Angelopoulos; Wei Jiang; James Malley
  20. Fiscal Multipliers in the 21st Century By Pedro Brinca; Hans A. Holter; Per Krusell; Laurence Malafry
  21. Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense? By Davide Debortoli; Jinill Kim; Jesper Lindé; Ricardo Nunes
  22. Designing a simple loss function for central banks: Does a dual mandate make sense? By Davide Debortoli; Jinill Kim; Jesper Lindé; Ricardo Nunes
  23. Greece; 2017 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Greece By International Monetary Fund.
  24. Inflation Targeting and the Forward Bias Puzzle in Emerging Countries By Dramane Coulibaly; Hubert Kempf
  25. Arbitrage with Production, Collateral Constraint and Heterogeneous Belief By Zhang, Ally Quan
  26. Inflation-Forecast Targeting for India; An Outline of the Analytical Framework By Jaromir Benes; Kevin Clinton; Asish George; Joice John; Ondra Kamenik; Douglas Laxton; Pratik Mitra; G.V. Nadhanael; Hou Wang; Fan Zhang
  27. Do central banks respond timely to developments in the global economy? By Hilde C. Bjornland; Leif Anders Thorsrud; Sepideh Khayati Zahiri
  28. Weather adjustment of economic output By Schreiber, Sven
  29. India; 2017 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for India By International Monetary Fund.
  30. Did pre-crisis mortgage lending limit post-crisis corporate lending? Evidence from UK bank balance sheets By Zhang, Lu; Uluc, Arzu; Bezemer, Dirk
  31. Managers and Productivity Differences By Nezih Guner; Andrii Parkhomenko; Gustavo Ventura
  32. Hoarding international reserves and global liquidity expansion, what are the links and do they matter? By Nady Rapelanoro
  33. Expansionary Austerity and Reverse Causality By Breuer, Christian
  34. Australia; 2016 Article IV Consultation-Press Release; Staff Report; Staff Statement; and Statement by the Executive Director for Australia By International Monetary Fund.
  35. Uruguay; 2016 Article IV Consultation-Press Release and Staff Report By International Monetary Fund.
  36. Agregados monetarios Divisia y demanda de dinero en Uruguay By José Ignacio González Giangrossi
  37. The Macroeconomic Effects of Income and Consumption Tax Changes By Anh D.M.Nguyen; Luisanna Onnis; Raffaele Rossi
  38. Niger; 2016 Article IV Consultation and Request for a Three-Year Arrangement Under the Extended Credit Facility-Press Release; Staff Report; and Statement by the Executive Director for Niger By International Monetary Fund.
  39. The Extension of Short-time Work Schemes during the Great Recession: A Story of Success? By Hertweck, Matthias Sebastian; Brey, Björn
  40. Credit Misallocation During the European Financial Crisis By Schivardi, Fabiano; Sette, Enrico; Tabellini, Guido
  41. Fiscal Politics in the Euro Area By Luc Eyraud; Vitor Gaspar; Tigran Poghosyan
  42. Case Study of the Moldovan Bank Fraud: Is Early Intervention the Best Central Bank Strategy to Avoid Financial Crises? By Alexandru Monahov; Thomas Jobert
  43. Who does better for the economy? Presidents versus parliamentary democracies By Richard McManus; F Gulcin Ozkan
  44. Austria; 2016 Article IV Consultation-Press Release; and Staff Report for Austria By International Monetary Fund.
  45. Growth, Exploitation and Class Inequalities By Giorgos Galanis; Roberto Veneziani; Naoki Yoshihara
  46. A real-time analysis on the importance of hard and soft data for nowcasting German GDP By Heinisch, Katja
  47. Banking globalization, local lending, and labor market effects: Micro-level evidence from Brazil By Noth, Felix; Ossandon Busch, Matias
  48. Education and 'Human Capitalists' in a Classical-Marxian Model of Growth and Distribution By Amitava Krishna Dutt; Roberto Veneziani
  49. Financial and Business Cycles in Brazil By Ivo Krznar; Troy D Matheson
  50. The Impact of Natural Resource Discoveries in Latin America and the Caribbean; A Closer Look at the Case of Bolivia By Frederik G Toscani
  51. Fighting Capital Flight in Africa: Evidence from Bundling and Unbundling Governance By Asongu, Simplice; Nwachukwu, Jacinta
  52. Income Inequality and Household Debt Distribution: A Cross-Country Analysis using Wealth Surveys By Claire Lebarz
  53. Natural cycles and pollution By Stefano Bosi; David Desmarchelier
  54. People's Republic of China-Macao Special Administrative Region; 2016 Article IV Consultation-Press Release; and Staff Report By International Monetary Fund.
  55. Information Asymmetry and Financial Dollarization in Sub-Saharan Africa By Asongu, Simplice; Raheem, Ibrahim; Tchamyou, Venessa
  56. Quarterly Projection Model for India; Key Elements and Properties By Jaromir Benes; Kevin Clinton; Asish George; Pranav Gupta; Joice John; Ondra Kamenik; Douglas Laxton; Pratik Mitra; G.V. Nadhanael; Rafael Portillo; Hou Wang; Fan Zhang
  57. The Consumption Response to Minimum Wages: Evidence from Chinese Households By Ernest Dautovic; Harald Hau; Yi Huang
  58. Money and Credit; Theory and Applications By Liang Wang; Randall Wright; Lucy Qian Liu
  59. Somalia; 2016 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Somalia By International Monetary Fund.
  60. Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints By Ally Quan Zhang
  61. News and Uncertainty Shocks By Cascaldi-Garcia, Danilo; Galvao, Ana Beatriz
  62. Determinantes del Desempleo en la República Dominicana: Dinámica Temporal y Microsimulaciones By Ramírez, Nerys F.
  63. Dissecting US recoveries By María Dolores Gadea; Ana Gómez-Loscos; Gabriel Pérez-Quirós
  64. Monetary Policy, Hot Money and Housing Price Growth across Chinese Cities By Xiaoyu Huang; Tao Jin; Ji Zhang
  65. Price and Wage Flexibility in Hong Kong SAR By Si Guo
  66. The labor market effect of demographic change: Alleviation for financing social security By Friese, Max
  67. partisan Technocratic Cycles in Latin America By Stephan Kaplan
  68. The Perfect Storm: Graduating in a Recession in a Segmented Labor Market By Fernández-Kranz, Daniel; Rodríguez-Planas, Núria
  69. Manajemen pengeluaran publik di Indonesia: Tinjauan ekonomi Islam pada APBN 2017 By Jaelani, Aan
  70. Turkey; 2017 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Turkey By International Monetary Fund.
  71. Adaptive Models and Heavy Tails with an Application to Inflation Forecasting By Delle Monache, Davide; Petrella, Ivan
  72. Separating Yolk from White: A Filter based on Economic Properties of Trend and Cycle By Zhou, Peng
  73. Myanmar; 2016 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Myanmar By International Monetary Fund.
  74. Lao People's Democratic Republic; 2016 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Lao People's Democratic Republic By International Monetary Fund.
  75. Budgetary Institutions, Fiscal Policy, and Economic Growth: the Case of Saudi Arabia By Ashraf Galal Eid
  76. The Impact of Public Expenditures on Economic Growth in Two Very Different Countries: A comparative Analysis of Armenia and Spain By Gohar Samvel Sedrakyan; Laura Varela-Candamio
  77. Indonesia; Selected Issues By International Monetary Fund.
  78. Outmigration and income assimilation during the first post-EU-enlargement migrants’ first decade in Sweden By Ruist, Joakim
  79. Trade Uncertainty and Income Inequality By Brueckner, Markus; Vespignani, Joaquin L.
  80. Globalization in the Periphery: Monetary Policy: What is Gained, What is Lost By Graciela Laura Kaminsky
  81. Austria; Austria: Selected Issues By International Monetary Fund.
  82. Islamic Republic of Iran; Selected Issues By International Monetary Fund.
  83. Oil Prices and the Global Economy By Rabah Arezki; Zoltan Jakab; Douglas Laxton; Akito Matsumoto; Armen Nurbekyan; Hou Wang; Jiaxiong Yao

  1. By: Knut Are Aastveit (Norges Bank (Central Bank of Norway)); Francesco Furlanetto (Norges Bank (Central Bank of Norway)); Francesca Loria
    Abstract: In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to inflation, the output gap, house prices and stock prices. We find some time variation in the coefficients for house prices and stock prices but fairly stable coefficients over time for inflation and the output gap. Our results indicate that the systematic component of monetary policy in the US i) attached a positive weight to real house price growth but lowered it prior to the crisis and eventually raised it again and ii) only episodically took real stock price growth into account.
    Keywords: Bayesian VAR, Time-varying parameters, Monetary policy, House prices, Stock market
    JEL: C32 E44 E52 E58
    Date: 2017–03–07
  2. By: Ledenyov, Dimitri O.; Ledenyov, Viktor O.
    Abstract: Investment in Capital Markets creates a strategic vision on the financial capital investment in the capital markets with the aim to get an increased return premium in the short and long time periods. The book is written with a main goal to explain the pros and cons of the financial capital investment in the capital markets, discussing the sophisticated investment concepts and techniques in the simple understandable readable general format language. We would like to highlight the three interesting facts about the book: 1. It is centered on the consideration of the modern investment products, the investment vehicles and the investment mediums for the financial capital investment in the capital markets; 2. It is focused on the financial risk calculation and mitigation techniques for the financial capital investment in the financial capital markets. 3. It is aimed to describe the quantum winning virtuous investment strategies creation and execution techniques during the financial capital investment in the capital markets. The investors, financiers, economists, financial analysts, financial traders, financial advisers, lawmakers, policy analysts, subject experts, professors, and students will certainly enjoy a breathtaking splendid learning journey with the explained new ideas, established concepts and outlined future prospects toward the financial capital investment in the capital markets with the aim to get an increased return premium in the short and long time periods.
    Keywords: money, investment, capital markets
    JEL: A1 B0 C0 C6 C7 D8 E00 E3 E32 E37 E4 E44 E47 E5 F4 G1 G11 G17 G24 M4 N1 N2 O3
    Date: 2017–03–10
  3. By: Reiter, Michael (Institute for Advanced Studies, Vienna); Sveen, Tommy (BI Norwegian Business School); Weinke, Lutz (Humboldt Universitaet zu Berlin)
    Abstract: Once New Keynesian (NK) theory (see, e.g., Woodford 2003) is combined with a standard model of investment (see, e.g., Thomas 2002), the resulting framework loses its ability to generate a realistic monetary transmission mechanism. This is the puzzle uncovered in Reiter et al. (2013). The simple economic reason behind it is the unrealistically large interest rate elasticity of investment, as implied by standard investment theory. In order to address this puzzle we develop a NK model featuring fully flexible investment combined with a financial friction in the spirit of Carlstrom and Fuerst (1997). This model is used to isolate the quantitative importance of the financial friction for the monetary transmission mechanism.
    Keywords: Financial Frictions, Sticky Prices
    JEL: E22 E31 E32
    Date: 2017–03
  4. By: Kollmann, Robert
    Abstract: The business cycles of advanced economies are synchronized. Standard macro models fail to explain that fact. This paper presents a simple model of a two-country, two-traded-good, complete-financial-markets world in which country-specific productivity shocks generate business cycles that are highly correlated internationally. The model assumes recursive intertemporal preferences (Epstein-Zin-Weil), and a muted response of labor hours to household wealth changes (due to Greenwood-Hercowitz-Huffman period utility and demand-determined employment under rigid wages). Recursive intertemporal preferences magnify the terms of trade response to country-specific shocks.Hence, a productivity (and GDP) increase in a given country triggers a strong improvement of the foreign country’s terms of trade, which raises foreign labor demand. With a muted labor wealth effect, foreign labor and GDP rise, i.e. domestic and foreign real activity comove positively.
    Keywords: international business cycle synchronization, recursive preferences, terms of trade, real exchange rate, wealth effect on labor supply
    JEL: E32 F31 F32 F36 F41 F43 F44 F47
    Date: 2017–03–15
  5. By: Merkl, Christian; Kohlbrecher, Britta
    Abstract: This paper shows that the matching function and the Beveridge curve in the United States exhibit strong nonlinearities over the business cycle. These patterns can be replicated by enhancing a search and matching model with idiosyncratic productivity shocks for new contacts. Large negative aggregate shocks move the hiring cutoff point into a part of the idiosyncratic density function with higher density and thereby generate large, asymmetric job-finding rate and unemployment reactions. Our proposed mechanism is of high relevance as it leads to time varying effects of certain policy interventions.
    JEL: E24 E32 E00
    Date: 2016
  6. By: Kohlbrecher, Britta
    Abstract: This paper is the first to study optimal Ramsey monetary policy in a search and matching model that combines real wage rigidity and decreasing returns to scale in production. Adding decreasing returns to scale significantly reduces the trade-off between employment and inflation stabilization usually associated with real wage rigidity. As firms adjust employment in response to an aggregate productivity shock, the resulting change in the marginal product of labor partly offsets the effect of a rigid real wage on marginal costs. The effect is quantitatively important. Optimal inflation volatility is reduced by a factor of four compared to a model with constant returns.
    JEL: E24 E52 J64
    Date: 2016
  7. By: O. Grishchenko; S. Mouabbi; J.-P. Renne
    Abstract: We use several U.S. and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation with time-varying uncertinty. We obtain survey-consistent distributions of future inflation at any horizon, both in the United States and in the euro area. Our methodology allows us to compute, in closed form, survey-consistent measures of inflation expectations, inflation uncertainty, inflation expectations anchoring, deflation probabilities and U.S. and euro-area inflation co-movements. Our results suggest strong commonalities between inflation dynamics in the two economies.
    Keywords: inflation, surveys of professional forecasters, dynamic factor model with stochastic volatility, term structure of inflation expectations and inflation uncertainty, anchoring of inflation expectations
    JEL: C32 E31 E44
    Date: 2017
  8. By: Lozej, Matija (Central Bank of Ireland); Onorante, Luca; Rannenberg, Ansgar (Central Bank of Ireland)
    Abstract: We assess the macroeconomic performance of different countercyclical capital buffer rules, where regulatory capital responds to deviation from a long-run trend in the credit-to-GDP ratio (the credit gap), in a medium scale DSGE model of the Irish economy. We find that rules based on the credit gap create a trade-off between the stabilisation of fluctuations originating in the housing market (which are attenuated) and stabilisation of fluctuations caused by foreign demand shocks (which are amplified) because the credit gap is not always procyclical. The trade-off disappears if the regulator follows a rule based on house prices instead of the credit gap.
    Keywords: Bank capital, Countercyclical capital regulation, Housing bubbles, boom-and-bust.
    JEL: F41 G21 G28 E32 E44
    Date: 2017–01
  9. By: Zorn, Peter
    Abstract: I document the effects of macroeconomic and sector-specific shocks on investment in disaggregate sectoral capital expenditure data. The response of sectoral investment to macroeconomics shocks is protracted and hump-shaped, just as in aggregate data. By contrast, the effects of sector-specific innovations are short-lived and monotonically decreasing. I build a model of investment with rational inattention to explain these facts. The model predicts protracted effects of aggregate shocks and short-lived effects of sector-specific shocks on sectoral investment.
    JEL: E22 E32 D83
    Date: 2016
  10. By: Haroon Mumtaz (Queen Mary University of London); Konstantinos Theodoridis (Bank of England and Lancaster University)
    Abstract: This paper uses a range of structural VARs to show that the response of US stock prices to fiscal shocks changed in 1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices. After 1980, along with a decline in the fiscal multiplier, the response of stock prices to the same shock became negative and larger in magnitude. We use an estimated DSGE model to show that this change is consistent with a switch from an economy characterised by active fiscal policy and passive monetary policy to one where fiscal policy was passive and the central bank acted aggressively in response to inflationary shocks.
    Keywords: Fiscal policy shocks, Stock prices, VAR, DSGE
    JEL: C5 E1 E5 E6
    Date: 2017–02
  11. By: Fuster, Andreas (Federal Reserve Bank of New York); Lo, Stephanie (Harvard University); Willen, Paul S. (Federal Reserve Bank of Boston)
    Abstract: The U.S. mortgage market links homeowners with savers all over the world. In this paper, we ask how much of the flow of money from savers to borrowers actually goes to the intermediaries that facilitate these transactions. Based on a new methodology and a new administrative dataset, we find that the price of intermediation, measured as a fraction of the loan amount at origination, is large—142 basis points on average over the 2008–2014 period. At daily frequencies, intermediaries pass on the price changes in the secondary market to borrowers in the primary market almost completely. At monthly frequencies, the price of intermediation fluctuates significantly and is highly sensitive to volume, likely reflecting capacity constraints: a one standard deviation increase in applications for new mortgages leads to a 30–35 basis point increase in the price of intermediation. Additionally, over 2008–2014, the price of intermediation increased about 30 basis points each year, potentially reflecting higher mortgage servicing costs and an increased legal and regulatory burden. Taken together, the sensitivity to volume and the positive trend led to an implicit total cost to U.S. households of about $140 billion over this period. Finally, the increases in application volume associated with “quantitative easing” (QE) led to substantial increases in the price of intermediation, which attenuated the benefits of QE to borrowers.
    Keywords: mortgage finance; financial intermediation; monetary policy transmission
    JEL: E44 E52 G21 L11
    Date: 2017–01–01
  12. By: Homburg, Stefan
    Abstract: Japan has been in a benign liquidity trap since the 1990s. In a benign liquidity trap, interest rates approach zero and monetary policy is ineffective but output and employment perform decently. Such a pattern contradicts traditional macro theories. This paper introduces a monetary general equilibrium model that is compatible with Japan’s performance and resolves puzzles associated with liquidity traps. Possible conclusions for Anglo-Saxon countries and eurozone members are also discussed
    JEL: E31 E43 E52
    Date: 2016
  13. By: Ozdagli, Ali K. (Federal Reserve Bank of Boston); Velikov, Mihail (Federal Reserve Bank of Richmond)
    Abstract: We study how monetary policy affects the cross-section of expected stock returns. For this purpose, we create a parsimonious monetary policy exposure (MPE) index based on observable firm characteristics that are theoretically linked to how firms react to monetary policy. We find that stocks whose prices react more positively to expansionary monetary policy surprises earn lower average returns. This finding is consistent with the intuition that monetary policy is expansionary in bad economic times when the marginal value of wealth is high, and thus high MPE stocks serve as a hedge against bad times. A long-short trading strategy designed to exploit this effect achieves an annualized value-weighted return of 9.96 percent with an associated Sharpe Ratio of 0.93 between 1975 and 2015. This return premium cannot be explained by standard factor models and survives a battery of robustness tests.
    Keywords: monetary policy; asset pricing; risk factors
    JEL: E12 E31 E44 E52 G12 G14
    Date: 2016–12–01
  14. By: Berhold, Kerstin; Stadtmann, Georg
    Abstract: We examine the reasons why the SNB gave up the lower floor of the 1.20 CHF/EUR exchange rate arrangement. Three types of shocks played a role: Exogenous shocks to the autonomous component of money demand, interest rate decreases of the ECB, as well as appreciation expectations. In order to defend these shocks the SNB intervened heavily in the foreign exchange market. This led to an accumulation of reserves of central bank's balance sheet of the size of 80 % of Swiss GDP. Interestingly, the SNB did not lower the interest rate into the negative range during the time period where the peg was in place. Hence, the SNB did not defend the peg "whatever it takes".
    Keywords: Foreign exchange market,Swiss crisis,UIP,Currency crisis
    JEL: E52 E58 E42
    Date: 2017
  15. By: Luis Bértola (Programa de Historia Económica y Social, Facultad de Ciencias Sociales, Universidad de la República)
    Abstract: This working paper presents an updated GDP and per capita GDP series for Uruguay since 1870 and up to 2015, from the point of view of sectoral output. The new series are not mainly the result of new research, but the result of a reconstruction based on different previous research results. The aim of the current update was partly, to compare and choose among the different previous research that so long have not been confronted to each-other; partly, to extend the available series to the present, when a new economic cycle has been completed, with a climax around 2013-2015. The study of these cycles, however, will be a subject of other research. The working paper also presents comparisons between per capita GDP and per capita GDP per population in working age and economically active population, as well as international comparisons of per capita GDP.
    Keywords: cuentas nacionales, producto sectorial, PIB per cápita, PIB per PEA, Uruguay
    JEL: E01 E24 N16 O47
    Date: 2016–12
  16. By: Detmers, Gunda-Alexandra
    Abstract: This paper compares the effectiveness of date- and state-based forward guidance issued by the Federal Reserve since mid-2011 accounting for the influence of disagreement within the FOMC. I find that the Fed’s forward guidance reduces the sensitivity of interest rates to macroeconomic news. The sensitivity shrinkage is stronger in the case of date-based forward guidance due to its unconditional nature. Yet, high levels of disagreement as published through the FOMC’s dot projections since 2012 partially restore sensitivity to macroeconomic news. Thus, disagreement appears to lower the information content of forward guidance and to weaken the Fed’s commitment as perceived by financial markets.
    JEL: E52 E58 E43
    Date: 2016
  17. By: Weber, Enzo; Weigand, Roland
    Abstract: This study investigates causal impacts of immigration on the German economy, explicitly distinguishing refugee and non-refugee migration. We propose a macroeconometric modelling approach complemented by IV techniques. We find that non-refugee migration has more beneficial medium-run effects on GDP and the labour market.
    JEL: F22 E24 C32
    Date: 2016
  18. By: International Monetary Fund.
    Abstract: The Indonesian economy continues to perform well, supported by robust growth and greater macroeconomic stability. A prudent mix of macroeconomic policies and structural reforms has helped the economy weather the commodity down-cycle and several episodes of emerging market (EM) financial turbulence. Securing and boosting growth in a more uncertain external environment requires maintaining policy buffers, while upgrading the medium-term framework through fiscal and structural reforms.
    Keywords: Article IV consultation reports;Economic growth;Fiscal policy;Corporate sector;Tax reforms;Fiscal reforms;Private investment;Monetary policy;Economic indicators;Debt sustainability analysis;External Sector Report;Staff Reports;Press releases;Indonesia;
    Date: 2017–02–03
  19. By: Konstantinos Angelopoulos; Wei Jiang; James Malley
    Abstract: We extend the canonical model of search and matching frictions by including capital-skill complementarity in production, labour markets with skilled and unskilled workers and on-the-job-learning (OJL) within and across skill types. These extensions capture key characteristics of skilled and unskilled labour markets in the data. We find that increases in public spending to enhance unskilled productivity via OJL are beneficial to employed unskilled workers and reduce earnings inequality between employed skilled and unskilled labour. However, unskilled unemployment and labour income inequality within the group of unskilled labour rises. We next find that vacancy subsidies work to increase employment and returns to unskilled workers. However, unemployment for skilled workers rises and skilled wages and labour income fall in the short-run. We finally show that it is possible to increase skilled vacancy subsidies to nullify the negative effects on skilled employment following an increase in unskilled vacancy subsidies.
    Keywords: fiscal policy; sectoral labour productivity; earnings inequality; search and matching
    JEL: E24 E32 J63 J64 J68
    Date: 2017–01
  20. By: Pedro Brinca; Hans A. Holter; Per Krusell; Laurence Malafry
    Abstract: The recent experience of a Great Recession has brought the effectiveness of fiscal policy back into focus. Fiscal multipliers do, however, vary greatly over time and place. Running VARs for a large number of countries, we document a strong correlation between wealth inequality and the magnitude of fiscal multipliers. To explain 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 debt and study the effects of changing policies and various forms of inequality on the fiscal multiplier. We find that the fiscal multiplier is highly sensitive to the fraction of the population who face binding credit constraints and also negatively related to the average wealth level in the economy. This explains the correlation between wealth inequality and fiscal multipliers.
    Keywords: Fiscal Multipliers, Wealth Inequality, Government Spending, Taxation
    JEL: E21 E62 H50
    Date: 2015–09
  21. By: Davide Debortoli; Jinill Kim; Jesper Lindé; Ricardo Nunes
    Abstract: Yes, it makes a lot of sense. This paper studies how to design simple loss functions for central banks, as parsimonious approximations to social welfare. We show, both analytically and quantitatively, that simple loss functions should feature a high weight on measures of economic activity, sometimes even larger than the weight on inflation. Two main factors drive our result. First, stabilizing economic activity also stabilizes other welfare relevant variables. Second, the estimated model features mitigated inflation distortions due to a low elasticity of substitution between monopolistic goods and a low interest rate sensitivity of demand. The result holds up in the presence of measurement errors, with large shocks that generate a trade-off between stabilizing inflation and resource utilization, and also when ensuring a low probability of hitting the zero lower bound on interest rates.
    Keywords: Central banks’ objectives, simple loss function, monetary policy design, sticky prices and sticky wages, DSGE models
    JEL: C32 E58 E61
    Date: 2017–03
  22. By: Davide Debortoli; Jinill Kim; Jesper Lindé; Ricardo Nunes
    Abstract: Yes, it makes a lot of sense. This paper studies how to design simple loss functions for central banks, as parsimonious approximations to social welfare. We show, both analytically and quantitatively, that simple loss functions should feature a high weight on measures of economic activity, sometimes even larger than the weight on inflation. Two main factors drive our result. First, stabilizing economic activity also stabilizes other welfare relevant variables. Second, the estimated model features mitigated inflation distortions due to a low elasticity of substitution between monopolistic goods and a low interest rate sensitivity of demand. The result holds up in the presence of measurement errors, with large shocks that generate a trade-off between stabilizing inflation and resource utilization, and also when ensuring a low probability of hitting the zero lower bound on interest rates.
    Keywords: Central banks' objectives, simple loss function, monetary policy design, sticky prices and sticky wages, DSGE models
    JEL: C32 E58 E61
    Date: 2017–03
  23. By: International Monetary Fund.
    Abstract: Despite the policy constraints imposed by its membership in the currency union, Greece has made significant progress in unwinding its macroeconomic imbalances. But extensive fiscal consolidation and internal devaluation have come with substantial costs for society, which contributed to delays in reform implementation and to policy reversals since the last Article IV Consultation, culminating in a renewed crisis of confidence in 2015. Since then, the situation has stabilized, and growth is estimated to have resumed modestly in 2016. Notwithstanding the substantial progress achieved by Greece, it still faces fundamental challenges: (i) a vulnerable structure of the public finances; (ii) significant tax evasion and an ineffective tax administration; (iii) impaired bank and private sector balance sheets; and (iv) pervasive structural obstacles to investment and growth. Moreover, its public debt remains highly unsustainable, despite generous official relief already provided by its European partners. Addressing these remaining challenges and restoring debt sustainability are essential to creating a vibrant and dynamic private sector capable of generating sustainable and equitable growth and employment.
    Keywords: Article IV consultation reports;Fiscal policy;Fiscal consolidation;Tax evasion;Capital controls;Debt relief;Fiscal reforms;Banking sector;Balance of payments statistics;Exchange restrictions;Debt sustainability analysis;Staff Reports;Press releases;Greece;
    Date: 2017–02–07
  24. By: Dramane Coulibaly; Hubert Kempf
    Abstract: Based on quarterly data on 31 emerging countries (among which 16 are inflation targeting countries) from 1990Q1 to 2014Q3, we obtain a strong support for the conjecture that the implementation of inflation targeting weakens the Fisherian relation between expected depreciation and the interest rate differential (uncovered interest parity condition) and thus is conducive to the appearance of the forward bias puzzle in emerging countries. We show that this reects the performance of inflation targeting regimes in lowering the level and volatility of inflation which leads non-Fisherian fundamentals to be predominant. Our finding holds when controlling for country-specific effects, time-specific effects, global disinflationation, exchange rate management and using different econometric techniques.
    Keywords: Inflation targeting, uncovered interest parity, forward bias puzzle, emerging countries.
    JEL: E31 E52 F31
    Date: 2017
  25. By: Zhang, Ally Quan
    Abstract: We construct a dynamic model economy in which households from segmented markets have varying financial asset demand. Intermediaries make profit by exploiting the price difference in segmented financial markets. However, intermediaries have to separately post their physical investment as collateral to trade. We show that the heterogeneous belief will disturb the intermediaries’ self-recovery process in both financial and real sectors through endogenously determined collateral constraints. The dynamic interaction between belief determined collateral constraint and liquidity supply turns out to be a powerful transmission mechanism by which the effects of shocks persist, amplify and spill over to other sectors.
    JEL: E44 G01 P43
    Date: 2016
  26. By: Jaromir Benes; Kevin Clinton; Asish George; Joice John; Ondra Kamenik; Douglas Laxton; Pratik Mitra; G.V. Nadhanael; Hou Wang; Fan Zhang
    Abstract: India formally adopted flexible inflation targeting (FIT) in June 2016 to place price stability, defined in terms of a target CPI inflation, as the primary objective of monetary policy. In this context, the paper draws on Indian macroeconomic developments since 2000 and the experience of other countries that adopted FIT to bring out insights on how credible policy with an emphasis on a strong nominal anchor can reduce the impact of supply shocks and improve macroeconomic stability. For illustrating the key issues given the unique structural characteristics of India and the policy options under an FIT framework, the paper describes an analytical framework using the core quarterly projection model (QPM). Simulations of the QPM are carried out to illustrate the monetary policy responses under different types of uncertainty and to bring out the importance of gaining credibility for improving monetary policy efficacy.
    Keywords: Inflation targeting;India;Disinflation;Price stabilization;Monetary policy;Forecasting models;inflation targeting; Reserve Bank of India; inflation episodes in India; forecasting models; monetary policy models; model calibration; monetary policy rules; monetary policy simulations.
    Date: 2017–02–13
  27. By: Hilde C. Bjornland; Leif Anders Thorsrud; Sepideh Khayati Zahiri
    Abstract: Our analysis suggests; they do not! To arrive at this conclusion we construct a real-time data set of interest rate projections from central banks in three small open economies; New Zealand, Norway, and Sweden, and analyze if revisions to these projections (i.e., forward guidance) can be predicted by timely information. Doing so, we find a systematic role for forward looking international indicators in predicting the revisions to the interest rate projections in all countries. In contrast, using similar indexes for the domestic economy yields largely insignificant results. Furthermore, we find that revisions to forward guidance matter. Using a VAR identified with external instruments based on forecast errors from the predictive regressions, we show that the responses to output, inflation, the exchange rate and asset returns resemble those one typically associates with a conventional monetary policy shock.
    Keywords: Monetary policy, interest rate path, forecast revisions and global indicators
    JEL: C11 C53 C55 E58 F17
    Date: 2017–03
  28. By: Schreiber, Sven
    Abstract: While recurring and regular variations of weather conditions are implicitly addressed by standard seasonal adjustment procedures of economic time series, extraordinary weather outcomes are not. We propose a way of measuring aggregate abnormal weather conditions based on available local measurements and a straightforward regression-based framework to analyze their impact on German monthly total industrial and construction-sector production data, and find noticeable effects. In the historical - and seasonally adjusted - construction sector growth data the extra explanatory power of the weather regressors over a benchmark univariate autoregressive model even exceeds 50% of the variation. The estimated effects of weather deviations can be subtracted from the already seasonally adjusted data to obtain (seasonally as well as) weather adjusted series, which might capture economic developments better. The estimated adjustments are quantitatively relevant also for aggregate output (GDP).
    Keywords: weather,business cycle,nowcasting
    JEL: E32 E27
    Date: 2017
  29. By: International Monetary Fund.
    Abstract: The Indian economy has recorded strong growth in recent years, helped by a large terms of trade gain, positive policy actions including implementation of key structural reforms, a return to normal monsoon rainfall, and reduced external vulnerabilities. Inflation has remained low after the collapse in global commodity prices, a range of supply-side measures, and a relatively tight monetary stance. Key macroeconomic challenges include persistently-high household inflation expectations and large fiscal deficits, which limit policy space for supporting growth through demand measures. Supply bottlenecks and structural impediments are the main constraints to medium-term growth and job creation.
    Date: 2017–02–22
  30. By: Zhang, Lu (Sustainable Finance Lab, The Netherlands.); Uluc, Arzu (Bank of England); Bezemer, Dirk (Global Economics and Management, University of Groningen, The Netherlands.)
    Abstract: Was the bank credit crunch following the collapse of Lehman Brothers in September 2008 in many economies due to a loan supply collapse or to a decrease in loan demand? This paper investigates the effects of UK banks’ pre-crises exposure to residential property markets on their post-crisis business lending to explore the existence of a negative post-crisis loan supply shock. We isolate the loan supply effect from a loan demand effect by using a unique quasi-experimental setting and a rich, tailor-made micro-level data set on bank lending volumes, bank balance sheets and mortgage loan characteristics. Controlling for a range of bank-specific factors, we find that banks with larger shares of residential mortgages in total loans in 2008 Q2 reduced their lending to business more after 2008 Q3. Post-crisis lending to business is also sensitive to the riskiness of banks’ mortgage portfolios. Banks having more mortgages to borrowers with impaired credit history, or more mortgages to the self-employed, or mortgages with higher loan to value ratios prior to the crisis reduced their lending to non-financial businesses more.
    Keywords: Credit crunch; bank balance sheets; mortgage lending; micro data; United Kingdom
    JEL: E20 E32 E51
    Date: 2017–03–03
  31. By: Nezih Guner; Andrii Parkhomenko; Gustavo Ventura
    Abstract: We document that for a group of high-income countries (i) mean earnings of managers tend to grow faster than for non managers over the life cycle; (ii) the earnings growth of managers relative to non managers over the life cycle is positively correlated with output per worker. We interpret this evidence through the lens of an equilibrium life-cycle, span-of-control model where managers invest in their skills. We parameterize this model with U.S. observations on managerial earnings, the size-distribution of plants and macroeconomic aggregates. We then quantify the relative importance of exogenous productivity differences, and the size-dependent distortions emphasized in the misallocation literature. Our findings indicate that such distortions are critical to generate the observed differences in the growth of relative managerial earnings across countries. Thus, observations on the relative earnings growth of managers become natural targets to discipline the level of distortions. Distortions that halve the growth of relative managerial earnings (a move from the U.S. to Italy in our data), lead to a reduction in managerial quality of 27% and to a reduction in output of about 7% – more than half of the observed gap between the U.S. and Italy. We find that crosscountry variation in distortions accounts for about 42% of the cross-country variation in output per worker gap with the U.S.
    Keywords: Managers, Management, Practices, Distortions, Size, Skill Investments, Productivity Differences
    JEL: E23 E24 J24 M11 O43 O47
    Date: 2015–12
  32. By: Nady Rapelanoro
    Abstract: Global liquidity expansion raises concerns amongst regulators and policy makers, especially since its evolution is closely related to destabilizing phenomena’s, particularly for the financial sector. Despite that those effects are largely investigated in the advanced countries, the literature is scarce concerning the effects for the emerging and developing economies. In this paper, our objective is to investigate the links between the hoarding reserves observed in the Asian emerging economies and the development of the global liquidity conditions in the core countries. For this purpose, we study the theoretical relationships between the two phenomena and provide an empirical approach that evaluates the influences of the growing demand for reserves in the emerging countries into the main reserves issuing country. We particularly focus on macroeconomics consequences and the effects on the developments of global liquidity conditions.
    Keywords: SVARs, Global liquidity, Emerging countries, International reserves.
    JEL: C32 E42 E43 F41
    Date: 2017
  33. By: Breuer, Christian
    Abstract: Empirical studies on the effects of fiscal policy using the conventional or data-based approach and the Blanchard-method of cyclical adjustment or the Blanchard Fiscal Impulse (BFI) discovered that fiscal consolidations can be expansionary, particularly in the case of spending-cuts. In this paper, it is stated this finding is affected by reverse causality, i.e. increasing GDP causally decreases expenditure-GDP-ratios if the cyclical adjustment strategy fails to correct for cyclical effects. It is also illustrated that the BFI as used in the literature does not appropriately control for cyclical effects in the case of expenditure-GDP-ratios and the resulting BFI is endogenously correlated with the economic cycle. This might explain why previous studies based on the BFI pointed to counter-intuitive findings when examining cuts in government expenditure. Replicating one prominent example of literature on expansionary austerity and comparing both the results based on the BFI and the results based on standard cyclical adjustment strategies, only the BFI-based results show expansionary effects of fiscal consolidations, while these effects disappear after applying standard methods of cyclical adjustment.
    Keywords: fiscal policy; fiscal adjustment, cyclical adjustment; reverse causality
    JEL: E62 E63 H50
    Date: 2017–03–15
  34. By: International Monetary Fund.
    Abstract: Australia has enjoyed a robust economic performance despite the commodity price and mining investment bust. The moderate impact of the large shocks since 2011 reflects prompt monetary easing, a flexible exchange rate acting as a shock absorber, export orientation to the dynamic Asia region, flexible labor markets, relatively high population growth, and strong institutions. Nevertheless, Australia has also been confronted with symptoms of the “new mediocre†since the Global Financial Crisis, including a downshift in average GDP growth. And with declining interest rates, already high house prices and household debt ratios have started to rise again.
    Keywords: Article IV consultation reports;Economic growth;Demand;Fiscal policy;Fiscal consolidation;Labor markets;Monetary policy;Inflation targeting;Economic indicators;Balance of payments statistics;External Sector Report;Debt sustainability analysis;Staff Reports;Press releases;Australia;
    Date: 2017–02–09
  35. By: International Monetary Fund.
    Abstract: Prudent macroeconomic policies, strong institutions, and a commitment to diversify its markets and products have allowed Uruguay to show resilience in the face of sharp recessions in its large neighbors. Nevertheless, economic growth slowed down in 2015 and 2016 while inflation remains above target. In 2017, an improving regional environment is expected to contribute to a modest further recovery, while inflation should slowly converge towards the target range. Given rising debt and high inflation, the room for more expansionary fiscal or monetary policy is limited.
    Keywords: Article IV consultation reports;Economic recovery;Economic growth;Fiscal policy;Fiscal consolidation;Public investment;Infrastructure;Monetary policy;Inflation targeting;Economic indicators;Balance of payments statistics;Debt sustainability analysis;Staff Reports;Press releases;Uruguay;
    Date: 2017–02–01
  36. By: José Ignacio González Giangrossi (Banco Central del Uruguay; Universidad de la República. Facultad de Ciencias Sociales. Departamento De Economía)
    Abstract: In this paper Divisia monetary aggregates were built for Uruguay in the period 1998.Q4- 2015Q2 and compared with traditional monetary aggregates. The difference increases in broader aggregates, being very small for M1 but significant for the case of M2 + bonds. Then these measures were incorporated into a money demand function and using error correction models short-run dynamics was examined, finding a quick adjustment towards long run equilibrium and with Divisia models a higher semi-elasticity for the opportunity cost of money. Over the six candidates, Divisia M2 model perform better and is the appropriate measure to track money demand and complement monetary policy analysis.
    Keywords: Monetary aggregates, Divisia index, money demand, cointegration, Uruguay; Agregados monetarios, índices Divisia, demanda de dinero, cointegración
    JEL: C22 C52 E41 E51 N16
    Date: 2016
  37. By: Anh D.M.Nguyen (Applied Macroeconomic Research Division, Economics Department, Bank of Lithuania); Luisanna Onnis (Department of Economics, University of Sheffield); Raffaele Rossi (Department of Economics, University of Manchester)
    Abstract: Do consumption and income tax changes affect the economy differently? We answer this question by estimating structural VARs, where we proxy the latent tax shocks with a newly constructed narrative account of income and consumption tax liability changes in the United Kingdom. We find that income tax shocks have large short run effects on GDP, private consumption and investment. The implied income tax present-value multiplier is around 2.7. The effects of consumption tax cuts are modest and not statistically different from zero on GDP and investment and only marginally expansionary on private consumption. These results indicate that i) it is crucial to distinguish between direct and indirect taxation when studying the transmission mechanism of fiscal policy, and ii) consistent with conventional public finance theories, consumption taxes are less distortive than income taxes.
    Keywords: fiscal policy, narrative account, consumption taxation, income taxation, Proxy-SVAR
    JEL: E62 H24 H25 H31
    Date: 2017–02
  38. By: International Monetary Fund.
    Abstract: Economic growth is estimated to have increased to 4.6 percent in 2016 from 3.5 percent in 2015, helped by a strong 2016-17 crop year and despite continued weakness in the oil and mining sectors, adverse spillovers from the economic downturn in Nigeria and continued elevated security threats. Inflation remains subdued. Notwithstanding recent macroeconomic gains, Niger still ranks last on the UN’s Human Development Index with growth barely above the estimated rate of population growth (4.1 percent a year). President Issoufou secured a second term in the presidential and legislative elections held in February-March 2016, with the new administration reaffirming a focus on reinvigorating growth to create more employment opportunities, including by addressing infrastructure gaps, while strengthening food security.
    Keywords: Article IV consultation reports;Economic growth;Fiscal policy;Government expenditures;Banking sector;Bank supervision;Economic indicators;Extended Credit Facility;Letters of Intent;Debt sustainability analysis;Staff Reports;Press releases;Niger;
    Date: 2017–02–24
  39. By: Hertweck, Matthias Sebastian; Brey, Björn
    Abstract: This paper evaluates the effectiveness of short-time work [STW] extensions - e.g. relaxing eligibility criteria or implementing new STW schemes - in the OECD during and after the Great Recession. First, we find that the dampening effect of STW on the unemployment rate diminishes at higher take-up rates. Second, only countries with preexisting STW schemes were able to fully exploit the benefits of STW. Third, the effects of STW are strongest when GDP growth is deeply negative at the beginning of recessions. Our results indicate that STW is most effective when used as a fast-responding automatic stabilizer.
    JEL: E24 J23 J68
    Date: 2016
  40. By: Schivardi, Fabiano (LUISS School of European Political Economy); Sette, Enrico (Bank of Italy); Tabellini, Guido (Bocconi University)
    Abstract: Do banks with low capital extend excessive credit to weak firms, and does this matter for aggregate efficiency? Using a unique data set that covers almost all bank-firm relationships in Italy in the period 2004-2013, we find that, during the Eurozone financial crisis: (i) Under-capitalized banks were less likely to cut credit to non-viable firms. (ii) Credit misallocation increased the failure rate of healthy firms and reduced the failure rate of non viable firms. (iii) Nevertheless, the adverse effects of credit misallocation on the growth rate of healthier firms were negligible, and so were the effects on TFP dispersion. This goes against previous influential findings that, we argue, face serious identification problems. Thus, while banks with low capital can be an important source of aggregate inefficiency in the long run, their contribution to the severity of the great recession via capital misallocation was modest.
    Keywords: Bank capitalization; zombie lending; capital misallocation
    JEL: D23 E24 G21
    Date: 2017–03–10
  41. By: Luc Eyraud; Vitor Gaspar; Tigran Poghosyan
    Abstract: This paper provides evidence of fiscal procyclicality, excessive deficits, distorted budget composition and poor compliance with fiscal rules in the euro area. Our analysis relies on real-time data for 19 countries participating in the euro area over 1999–2015. We look for, but do not find, conclusive evidence of bias in procedures in relation to country size. The paper also briefly reviews the literature on political economy factors and policy biases, and offers some reflections on the euro area architecture.
    Keywords: Political economy;Euro Area;Fiscal policy;Fiscal reforms;political economy factors, deficit bias, procyclicality, fiscal rules
    Date: 2017–01–30
  42. By: Alexandru Monahov (Université Côte d'Azur; GREDEG CNRS); Thomas Jobert (Université Côte d'Azur; GREDEG CNRS)
    Abstract: In this paper, we study the means by which a billion dollar fraud that was perpetuated in the Moldovan banking sector evolved into a severe financial crisis in which the Central Bank’s inaction came under scrutiny. We examine the financial operations through which money was taken out of the banking system and reconstruct the fraudulent schemes that led to the demise of three systemically important banks. We also create an agent-based simulation of the banking system which replicates the pre-crisis environment and the fraudulent schemes to determine whether Central Bank intervention could have improved the outcome of the crisis.
    Keywords: Financial Fraud, Prudential supervision, Central Bank Intervention, Agent Based Model, Multi-Agent Simulation
    JEL: C61 C63 E58 E65 G28
    Date: 2017–03
  43. By: Richard McManus; F Gulcin Ozkan
    Abstract: Are certain forms of government associated with superior macroeconomic performance? This paper attempts to answer this question by examining how government systems impact upon macroeconomic outcomes. We find that presidential regimes consistently produce less favourable outcomes as compared with parliamentary ones with lower output growth, higher and more volatile in ation and greater income inequality. Moreover, the magnitude of this effect is sizable. For example, output growth is between 0.6 and 1.2 percentage points lower and inflation is six percentage point higher under presidential regimes relative to those under parliamentary ones. The difference in distributional outcomes is even more stark; income inequality is between sixteen to twenty per cent worse under presidential systems. We also find that presidential regimes are particularly harmful in: less established democracies; where there is lack of inclusive institutions; where the rule of law is not fully respected; and, where the presidents have extensive legislative powers, especially in the presence of electoral systems with proportional representation.
    JEL: E02 H11 P16
    Date: 2017–03
  44. By: International Monetary Fund.
    Abstract: Austria is prosperous and stable. Nevertheless, it can still improve its economic performance to ensure a continuing rise in incomes and employment within a stable macroeconomic environment. To this end, a comprehensive package of structural and fiscal reforms can raise low GDP growth and ensure the steady decline of public debt. Financial system stability needs to be maintained in a challenging environment.
    Keywords: Article IV consultation reports;Economic growth;Fiscal policy;Fiscal reforms;Banking sector;Financial stability;Economic indicators;Balance of payments statistics;Debt sustainability analysis;Staff Reports;Press releases;Austria;
    Date: 2017–02–02
  45. By: Giorgos Galanis (University of Warwick, and Goldsmiths, University of London); Roberto Veneziani (Queen Mary University of London); Naoki Yoshihara (University of Massachusetts Amherst, Hitotsubashi University, and Kochi University of Technology)
    Abstract: This paper provides a formal dynamic analysis of exploitation, class inequalities and profits. A stylised model of a capitalist economy with two classes - workers and capitalists - is considered which extends Roemer [21, 22]. First, a dynamic generalisation of a key Marxian insight is provided by proving that the profitability of capitalist production is synonimous with the existence of exploitation. Second, it is shown that, in a competitive environment, asset inequalities are fundamental for the emergence of exploitation, but they are not sufficient for its persistence, both in equilibria with accumulation and growth, and, perhaps more surprisingly, in stationary intertemporal equilibrium paths. Finally, it is shown that labour-saving technical progress may yield persistent exploitation by ensuring the persistent abundance of labour.
    Keywords: Dynamics, Accumulation, Exploitation, Classes
    JEL: E11 D51 D63 C61 B24
    Date: 2017–01
  46. By: Heinisch, Katja
    Abstract: In this paper we reexamine the relative role of soft and hard data in terms of short-term GDP forecasting. We employ mixed frequency models (MF-VARS) and real-time data to investigate the relative role of survey data relative to industrial production and orders in Germany. Special emphasis is given to the real-time data flow of surveys, production and orders. Although we find evidence that the forecast characteristics based on real-time and final data releases differ, we see only little impact on the relative forecasting performance of indicator models. However, when it comes to optimally combine soft and hard data, the use of final release data may understate the relative role of survey information.
    JEL: C53 E37 C32
    Date: 2016
  47. By: Noth, Felix; Ossandon Busch, Matias
    Abstract: This paper estimates the effect of a foreign funding shock to banks in Brazil after the collapse of Lehman Brothers in September 2008. Our robust results show that bank-specific shocks to Brazilian parent banks negatively affected lending by their individual branches and trigger real economic consequences in Brazilian municipalities: More affected regions face restrictions in aggregated credit and show weaker labor market performance in the aftermath which documents the transmission mechanism of the global financial crisis to local labor markets in emerging countries. The results represent relevant information for regulators concerned with the real effects of cross-border liquidity shocks.
    Keywords: financial crisis,international shock transmission,bank lending,labor markets outcomes
    JEL: E58 G01 G11 G21
    Date: 2017
  48. By: Amitava Krishna Dutt (University of Notre Dame, and FLACSO); Roberto Veneziani (Queen Mary University of London)
    Abstract: A simple classical-Marxian model of growth and distribution is developed in which education transforms low-skilled workers into high-skilled ones and in which high-skilled workers save and hold capital, therefore receiving both high-skilled wages and profit income. We analyze the implications for class divisions, growth and distribution, of the transformation of the modern capitalist economy from one in which the main class division is between capitalists who own capital and workers who only receive wage income into one in which education and human capital play a major role. We show than an expansion in education can have a positive effect on growth but by altering the distribution of income rather than by fostering technological change, and that it yields some changes in income distribution and the class structure of the capitalist economy, but need not alter its fundamental features.
    Keywords: Education, Human capital, Workers' savings, Growth, Distribution
    JEL: E2 E11 O41 I24
    Date: 2017–01
  49. By: Ivo Krznar; Troy D Matheson
    Abstract: This paper explores the nexus between the financial cycle and business cycle in Brazil. Cycles are estimated using a variety of commonly-used statistical methods and with a small, semistructural model of the Brazilian economy. An advantage of using the model-based approach is that financial and business cycles can be jointly estimated, allowing information from all key economic relationships to be used in a consistent way. The results show that Brazil is now in the downturn phase of the financial cycle. Moreover, the results underscore the importance of macro-financial linkages and highlight risks to the recovery going forward.
    Keywords: Procyclicality of financial system;Brazil;Business cycles;Credit expansion;Private sector;Public sector;Financial risk;Parameter estimation;Econometric models;Financial cycle, business cycle, financial conditions index
    Date: 2017–01–24
  50. By: Frederik G Toscani
    Abstract: This paper studies the impact of natural resource extraction in Latin America and the Caribbean (LAC) from a number of angles. First, we exploit a novel dataset on the universe of giant oil and gas discoveries in the region to trace out the cyclical response of macroeconomic variables to discoveries over the short- and medium-run. Second, we use non-stationary panel data techniques to look at the long-run (trend) relationship between GDP per capita and the value of oil and gas production—our results imply that the recent fall in prices could depress GDP per capita by several percentage points. Last, we use Bolivia, which discovered huge gas reserves in the late 1990s, as a case study to apply the cross-country results and to study the impact of discoveries at the subnational level.
    Keywords: Natural resources;Bolivia;Latin America;Caribbean;Oil;Natural gas;Natural Resources, Discoveries, Economic Growth, Poverty
    Date: 2017–02–10
  51. By: Asongu, Simplice; Nwachukwu, Jacinta
    Abstract: This study investigates the effect of governance on capital flight by bundling and unbundling governance. The empirical evidence is based on 37 African countries for the period 1996-2010 and the Generalised Method of Moments. Governance is bundled by principal component analysis, namely: (i) political governance from political stability and ‘voice and accountability’; (ii) economic governance from government effectiveness and regulation quality and (iii) institutional governance from corruption-control and the rule of law. The following findings are established. (i) Political stability and ‘voice and accountability’ reduce capital flight while the collective effect of political governance is not significant. (ii) Economic governance increases capital flight whereas the individual effects of regulation quality and government effectiveness are not significant. (iii) Corruption-control and institutional governance negatively affect capital flight whereas the impact of the rule of law is not significant. (iv) Taken together, Corruption-control is the most effective governance weapon in the fight against capital flight. (v) Priority in the Washington Consensus is more effective at fighting capital flight compared to the Beijing Model. Policy implications are discussed.
    Keywords: Econometric modelling; Capital flight; Governance; Africa
    JEL: C50 E62 F34 O55 P17
    Date: 2016–04
  52. By: Claire Lebarz
    Abstract: This paper provides new and unique estimates of households debt leverage along the distribution of income using microdata from wealth surveys. We build a new dataset covering twenty one OECD countries that extends the homogenization of surveys data initiated by the Luxembourg Wealth Study. Most countries of our sample experienced an important increase of households borrowing both in absolute terms and relative to household income. Our analysis provides evidence that countries which have grown more unequal are also the ones where the distribution of debt along the income distribution is the most unbalanced and financially fragile. This link is found persistent after controlling for socio-demographic differences and transitory shocks to income in deciles regression.
    JEL: E21 D31
    Date: 2015–09
  53. By: Stefano Bosi (EPEE, University of Evry); David Desmarchelier (BETA, University of Lorraine)
    Abstract: In this paper, we study a competitive Ramsey model where a pollution externality, coming from production, impairs a renewable resource which affects the consumption demand. A proportional tax, levied on the production level, is introduced to finance public depollution expenditures. In the long run, two steady states may coexist, the one with a low resource level, the other with a high level. Interestingly, a higher green tax rate lowers the resource level of the low steady state, giving rise to a Green Paradox (Sinn, 2008). Moreover, the green tax may be welfare-improving at the high steady state but never at the low one. Therefore, at the latter, it is optimal to reduce the green tax rate as much as possible. Conversely, the optimal tax rate is positive when the economy experiences the high steady state. This rate is unique. In the short run, the two steady states may collide and disappear through a saddle-node bifurcation. Since consumption and natural resources are substitutable goods, a limit cycle may arise around the high stationary state. To the contrary, this kind of cycles never occur around the low steady state whatever the resource effect on consumption demand. Finally, focusing on the class of bifurcations of codimension two, we find a Bogdanov-Takens bifurcation.
    Keywords: Logistic dynamics, Ramsey model, Saddle-node bifurcation, Hopf bifurcation, Bogdanov-Takens bifurcation
    JEL: E32 O44
    Date: 2017–02
  54. By: International Monetary Fund.
    Abstract: In recent years, the Macao SAR economy contracted by a cumulative 30 percent due to a sharp fall in spending by gaming tourists from Mainland China. Spillovers to the rest of the economy were relatively contained with unemployment staying under 2 percent and asset quality in the financial sector unaffected. Nonetheless, the size and speed of the shock underscored the need to transition to a more diversified economic model going forward. Fortunately, Macao SAR is entering this transition from a position of strength with large fiscal and external buffers.
    Keywords: Article IV consultation reports;Economic growth;Tourism;Fiscal policy;Labor markets;Banking sector;Currency boards;Economic indicators;Balance of payments statistics;Debt sustainability analysis;Staff Reports;Press releases;Macao SAR;
    Date: 2017–02–14
  55. By: Asongu, Simplice; Raheem, Ibrahim; Tchamyou, Venessa
    Abstract: Financial dollarization in Sub-Saharan Africa is the most persistent compared to other regions of the world. This study complements the existing scant literature on dollarization in Africa by assessing the role of information sharing offices (public credit registries and private credit bureaus) on financial dollarization in 26 countries of SSA for the period 2001-2012. The empirical evidence is based on Ordinary Least Squares (OLS) and Generalised Method of Moments (GMM). The findings show that information sharing offices (which are designed to reduce information asymmetry) in the banking industry are a deterrent to dollarization. Policy implications are discussed.
    Keywords: Dollarization; Openness; Information Asymmetry; Africa
    JEL: E31 E41 G20 O16 O55
    Date: 2016–11
  56. By: Jaromir Benes; Kevin Clinton; Asish George; Pranav Gupta; Joice John; Ondra Kamenik; Douglas Laxton; Pratik Mitra; G.V. Nadhanael; Rafael Portillo; Hou Wang; Fan Zhang
    Abstract: This paper outlines the key features of the production version of the quarterly projection model (QPM), which is a forward-looking open-economy gap model, calibrated to represent the Indian case, for generating forecasts and risk assessment as well as conducting policy analysis. QPM incorporates several India-specific features like the importance of the agricultural sector and food prices in the inflation process; features of monetary policy transmission and implications of an endogenous credibility process for monetary policy formulation. The paper also describes key properties and historical decompositions of some important macroeconomic variables.
    Keywords: Forecasting models;India;Inflation targeting;Monetary policy;Monetary transmission mechanism;Interest rate policy;inflation targeting; Reserve Bank of India; inflation episodes in India; forecasting models; monetary policy models; model calibration; monetary policy rules; monetary policy simulations.
    Date: 2017–02–13
  57. By: Ernest Dautovic (University of Lausanne); Harald Hau (University of Geneva, Swiss Finance Institute, Centre for Economic Policy Research (CEPR), and CESifo (Center for Economic Studies and Ifo Institute)); Yi Huang (Graduate Institute of International and Development Studies)
    Abstract: This paper evaluates the Chinese minimum wage policy for the period 2002-2009 in terms of its impact on low income household consumption. Using a representative household panel, we find support for the permanent income hypothesis, whereby unanticipated and persistent income increases due to minimum wage policy change are fully spent. The impact is driven by households with at least one child. We infer significant positive welfare effects for low income households based on expenditure increases concentrated in health care and education, whereas a negative employment effect of higher minimum wage cannot be confirmed.
    Keywords: Minimum wages; Labor income; Household consumption; Permanent income hypothesis
    JEL: E24 J38 C26
    Date: 2017–01
  58. By: Liang Wang; Randall Wright; Lucy Qian Liu
    Abstract: We develop a theory of money and credit as competing payment instruments, then put it to work in applications. Buyers can use cash or credit, with the former (latter) subject to the inflation tax (transaction costs). Frictions that make the choice of payment method interesting also imply equilibrium price dispersion. We deliver closed-form solutions for money demand. We then show the model can simultaneously account for the price-change facts, cash-credit shares in micro payment data, and money-interest correlations in macro data. We analyze the effects of inflation on welfare, price dispersion and markups. We also describe nonstationary equilibria as self-fulfilling prophecies, which is standard, except here it entails dynamics in the price distribution.
    Keywords: Money;Credit;Demand for money;Sticky prices;Welfare;Econometric models;Money, Credit, Inflation, Price Dispersion, Sticky Prices
    Date: 2017–01–27
  59. By: International Monetary Fund.
    Abstract: Over the past five years, Somalia has marked important milestones in rebuilding its economy and normalizing relations with international financial institutions. After more than two decades of a civil war that caused significant damage to the country’s social and economic infrastructure, the Federal Government of Somalia (FGS) was elected and recognized by the international community in 2012. With donors’ support, progress is being made in the FGS’s efforts to improve security, capacity development, and state building. However, significant challenges remain ahead to rebuild the economy and institutions and improve social conditions. The IMF resumed its relationship with Somalia in 2013 and has since been heavily involved in the provision of policy advice and technical assistance, particularly in the context of the 12-month Staff-Monitored Program (SMP) which was approved by the IMF Managing Director in May 2016. Despite a very difficult political environment and complex clan politics, the FGS continues to make significant efforts toward restoring its key economic and financial institutions and keeping the SMP on track.
    Keywords: Article IV consultation reports;Economic growth;Fiscal policy;Tax revenues;Revenue mobilization;Commercial banks;Economic indicators;Balance of payments statistics;Letters of Intent;Staff-monitored programs;Staff Reports;Press releases;Somalia;
    Date: 2017–02–27
  60. By: Ally Quan Zhang (University of Zurich and Swiss Finance Institute)
    Abstract: We develop a simple general equilibrium model to study the interactions between financial arbitrage and the real economy under collateral constraints. In good times, arbitrage activities help boost the production sectors by providing external funds to capital investment. However, when exposed to adverse shocks and panic market reactions, arbitrage also amplifies the financial distress and makes it easier for the economy to fall into self-fulfilling crises. Moreover, the possibility of regime switches triggered by exogenous shocks also complicates the path to recovery. The combination of financial distress and pessimistic market anticipation not only slows down the recovery process, but also can trap the economy in a less healthy steady state.
    Keywords: limit of arbitrage, financial intermediary, segmented markets, financial crises, market liquidity, multiple equilibria, collateral constraints
    JEL: D52 D58 E44 G01 G12
    Date: 2017–01
  61. By: Cascaldi-Garcia, Danilo (Warwick Business School, University of Warwick); Galvao, Ana Beatriz (Warwick Business School, University of Warwick)
    Abstract: We provide novel empirical evidence linking the effects of technology news shocks with uncertainty shocks. The correlation between news and financial uncertainty shocks implies that when nancial uncertainty shocks hit the economy, utilization-adjusted total factor productivity increases over the medium term. This leads to an attenuation of the negative impact of increasing uncertainty on economic activity. The correlation also implies that the positive effects of technology news shocks on output, consumption, investment and hours are attenuated over the short term. Supported by these empirical results, we propose an identification strategy to obtain the impact of `good uncertainty' shocks and disentangle the importance of technological news, good and bad uncertainties, and ambiguity shocks in explaining business cycle variation.
    Keywords: forecasting error variance ; structural VAR ; news shocks ; uncertainty shocks JEL Classification Numbers: C32 ; E32
    Date: 2016
  62. By: Ramírez, Nerys F.
    Abstract: The present paper studies the dynamics of unemployment determinants and their influence on aggregate well-being, using micro-data from the ENFT and a Logit model combined with micro-simulation techniques. The results confirm that the unemployment probability of the economically active people is determined by their particular characteristics (gender, age, geographical location, schooling, income, among others) and their domestic and work environment, although the effect of these conditions differs in function of their gender, life cycle, territory and the current economic context. On the supply side, there is an important segmentation of the labor market, which, according to the microsimulations, prevents a vulnerable population from taking advantage of the expansive movements of the labor market and makes them prone to unemployment in recessive conjunctures. Estimates indicate that women and young people face greater probabilities of unemployment and sensitivity to the economic cycle, especially when they come from lower income households, dragging these conditions throughout their life cycle, although with age reduces the propensity to unemployment; In addition, show that schooling affects simultaneously labor participation and the probability of unemployment, observing higher schooling, higher labor participation and lower probabilities of unemployment, although it is shown that higher schooling promotes some propensity to unemployment, derived from higher wage expectations and Market imbalances; Geographically, estimates find territorial divergences and evidence in favor of the unemployment hypothesis as an urban phenomenon; With respect to the domestic environment, identify an important "intergenerational" effect derived from the conditions of the household head, and show that individual domestic responsibilities affect asymmetrically from the sex of the people, promoting that women face greater difficulties in reconciling them with the job. On the demand side, they show that people in the primary sector face greater probabilities of unemployment, which promotes their intersectoral displacement; While the incidence of informality in the propensity to unemployment was shown to affect women more significantly, although their effect on the territory differed.
    Keywords: Mercado laboral, Desempleo, Logit, Microsimulaciones, Pobreza
    JEL: C01 C25 C81 E24 J08 J64
    Date: 2016–07
  63. By: María Dolores Gadea (University of Zaragoza); Ana Gómez-Loscos (Banco de España); Gabriel Pérez-Quirós (Banco de España and CEPR)
    Abstract: We propose a set of new quantitative measures to characterise more fully the features of economic recoveries. We apply these measures to post-war US expansions and use cluster analysis to determine that there are two different types of recoveries in recent US economic history, with most expansions before 1984 (Great Moderation) looking quite different from those after.
    Keywords: keyword, business cycles, recoveries
    JEL: C22 E32
    Date: 2017–03
  64. By: Xiaoyu Huang; Tao Jin; Ji Zhang
    Abstract: We use a dynamic hierarchical factor model to identify the national, regional, and local factors of the city-level housing price growth in China from 2005 to 2014. We find that city-specific factors account for a large proportion of the variations in city-level housing price growth for most cities. However, the national factor also plays an important role in explaining the fluctuations of city-level housing price growth rates especially after 2009---the average explaining power of the national factor for housing price growth fluctuations reaches 18%. We use a VAR model to investigate the driving forces of the national factor and find that unexpected PBoC policy and hot money flow changes can affect the national housing prices significantly. A positive monetary policy shock has a significant negative impact on the national factor, which lasts for more than two years. Meanwhile, a positive hot money shock does cause a significant increase in the national factor. However, this effect is relatively transitory and reverses in half a year. Monetary policy also affects the national factor by responding positively to positive hot money and price shocks---the reversed effect of hot money shocks and the negative impact of positive price shocks on the national factor result from the tightening of monetary policy triggered by these shocks.
    Date: 2017–03
  65. By: Si Guo
    Abstract: The paper assesses the price and wage flexibility in Hong Kong SAR. At the aggregate level, it compares Hong Kong SAR with the United States, the United Kingdom and Singapore by examining the three commonly used macroeconomic relationships among inflation, unemployment, wage growth, and output fluctuations. At the industry level, the paper compares the distributions of labor earnings and price growth in Hong Kong SAR and the United States. It further estimates a model of wage formation under downward nominal wage rigidity to compare the extent of wage rigidity in Hong Kong SAR and the United States. Overall, the comparisons show that broadly speaking, price and wage adjustments are more flexible in Hong Kong SAR than other economies.
    Keywords: Wages;Hong Kong Special Administrative Region of China;Wage flexibility;Wage adjustments;Prices;Price adjustments;United States;United Kingdom;Singapore;Cross country analysis;flexibility, labor earnings growth, inflation
    Date: 2017–01–20
  66. By: Friese, Max
    Abstract: The paper shows the effect of demographic change on per capita burden of financing a PAYG social security system in the standard OLG model with a frictional labor market. Rising longevity and decreasing fertility both induce a rise in the employment level via increased capital accumulation and job openings. Simulations of the theoretical model show that this labor market effect indirectly crowds out part of the initial demographic shock's direct impact on per capita financing burden. This holds true for the generation at the period of impact as well as for the following generations.
    JEL: H55 J11 E24
    Date: 2016
  67. By: Stephan Kaplan (George Washington University)
    Abstract: Given their powerful position in presidential cabinets, technocrats are an important transmission mechanism for explaining economic policy choices, but have received less attention compared to other wellestablished channels such as elections or democratic tenure. I incorporate the role of technocratic advisors into a domestic policymaking framework. Specifcally, I contend that left governments tend to appoint technocrats, or ministers with mainstream economics training, to signal their commitment to sound governance to the electorate. This partisan technocratic pattern, however, is conditioned by a country’s place in its business cycle. During periods of high growth, left governments are more likely to align with their partisan preferences and appoint heterodox advisors that drift from scal discipline. Employing an originally constructed data index, the Index of Economic Advisors, I conduct a statistical test of 16 Latin American countries from 1960 to 2011, finding partisan shifts in technocratic appointments and fiscal governance that are conditioned by national business cycles.
    Keywords: economic policy, technocrats, partisanship, heterodox, fiscal policy, inflation
    Date: 2016
  68. By: Fernández-Kranz, Daniel (IE Business School, Madrid); Rodríguez-Planas, Núria (Queens College, CUNY)
    Abstract: This paper analyzes the effects of entry labor-market conditions on workers' career in Spain, a country well known for its highly segmented labor market and rigid labor-market institutions. In contrast with more flexible labor markets, we find that the annual earnings losses of individuals without a university degree are greater and more persistent than those of college graduates. For workers without a college degree, the effect is driven by a lower likelihood of employment. For college graduates, the negative impact on earnings is driven by both a higher probability of non-employment, and employment in jobs with fixed-term contracts. While a negative shock increases mobility of college graduates across firms and industries, there is no earnings recovery, just secondary labor-market job churning. Our results are consistent with tight regulations of the Spanish labor market such as binding minimum wages and downward wage rigidity caused by collective bargaining agreements.
    Keywords: full and dynamic effect of poor labor market conditions at entry, wage rigidity, fixed-term and permanent contract
    JEL: E32 J22 J31
    Date: 2017–02
  69. By: Jaelani, Aan
    Abstract: This paper discusses the management of public expenditures in Indonesia in State Budget 2017. The data collected from fiscal policy documents, especially about government spending plans in 2017, and then be reviewed by policy analysis, the theory of public expenditures, and the theory of public goods, and compared with the theory of public expenditure in Islamic economics. Public expenditure management in Indonesia has implemented a distribution system that divided public expenditure for central government expenditures, transfers to the regions, and the village fund. In terms of fiscal policy, public expenditure priorities to support the achievement of sustainable economic growth, job creation, poverty reduction, and the reduction of gaps in the welfare of the whole community. In Islamic economics, public expenditure is used to meet the needs of the community based on the principles of general interest (al-maslahat al-'ammah) derived from the shari'a. Public expenditure on Indonesia's government as an effective tool to divert economic resources and increase the income of society as a whole, and focused on the embodiment of the people's welfare.
    Keywords: State budget, fiscal policy, public expenditure, welfare, shariah
    JEL: E62 G28 H11 H41 H53 O23 P51
    Date: 2017–03–01
  70. By: International Monetary Fund.
    Abstract: After robust growth through Q1 2016, the expansion has slowed. Growth is projected at 2.7 percent in 2016 and 2.9 percent in 2017 with considerable downward risks. Domestic consumption is the main growth driver, supported by a large increase in public expenditure and a hike in the minimum wage. However, political uncertainty, weakened corporate profitability, anemic credit growth, and a sharp fall in tourism have taken a toll on investment and net exports. The monetary stance and macro prudential measures were loosened, but credit growth continues to slow. A negative output gap is opening, but sticky expectations are keeping inflation above target. External imbalances persist: the current account deficit remains large and the NIIP is projected to become more negative. External financing conditions were favorable in the first semester, helping the rollover of large financing needs and supporting the Lira. However, political uncertainty after the failed coup attempt and a less favorable external environment are weakening the Lira and increasing the cost of external financing.
    Keywords: Article IV consultation reports;Political economy;Economic conditions;Fiscal risk;Fiscal policy;Fiscal reforms;Monetary policy;Reserves accumulation;Bank supervision;Economic indicators;Balance of payments statistics;Debt sustainability analysis;Staff Reports;Press releases;Turkey;
    Date: 2017–02–03
  71. By: Delle Monache, Davide (Bank of Italy); Petrella, Ivan (WBS and CEPR)
    Abstract: This paper introduces an adaptive algorithm for time-varying autoregressive models in the presence of heavy tails. The evolution of the parameters is determined by the score of the conditional distribution, the resulting model is observation-driven and is estimated by classical methods. In particular, we consider time variation in both coeficients and volatility, emphasizing how the two interact with each other. Meaningful restrictions are imposed on the model parameters so as to attain local stationarity and bounded mean values. The model is applied to the analysis of in ation dynamics with the following results: allowing for heavy tails leads to signi cant improvements in terms of it and forecast, and the adoption of the Student-t distribution proves to be crucial in order to obtain well calibrated density forecasts. These results are obtained using the US CPI infl ation rate and are confirmed by other in ation indicators, as well as for CPI infl ation of the other G7 countries.
    Keywords: adaptive algorithm ; in flation ; score-driven models ; student-t ; timevarying parameters JEL Classification Numbers: C22 ; C51 C53 E31
    Date: 2016
  72. By: Zhou, Peng (Cardiff Business School)
    Abstract: This paper proposes a new filter technique to separate trend and cycle based on stylised economic properties of trend and cycle, rather than relying on ad hoc statistical proper-ties such as frequency. Given the theoretical separation between economic growth and business cycle literature, it is necessary to make the measures of trend and cycle match what the respective theories intend to explain. The proposed filter is applied to the long macroeconomic data collected by the Bank of England (1700-2015).
    Keywords: Filter, Trend, Cycle
    JEL: C32
    Date: 2017–01
  73. By: International Monetary Fund.
    Abstract: Myanmar’s historic general elections in late 2015 resulted in a wave of optimism. Foreign investor interest is strong and development partners are scaling up their engagement. The new government was formed in April and is articulating its economic plans as an integral part of political and economic transition.
    Keywords: Article IV consultation reports;Economic growth;Monetary policy;Flexible exchange rate policy;Fiscal policy;Budget deficits;Fiscal reforms;Financial sector;Economic indicators;Balance of payments statistics;Debt sustainability analysis;Staff Reports;Press releases;Myanmar;
    Date: 2017–02–02
  74. By: International Monetary Fund.
    Abstract: Growth remains strong, although it has slowed as the economy faces headwinds from major trading partners, low metals prices and a slowdown in agriculture. Inflation has risen slightly but remains contained. Domestic risks include a sustained reversal of fiscal consolidation, high public debt and weak public banks. On the external front, a tightly managed and overvalued exchange rate, low reserves and dollarization make Laos vulnerable to terms of trade shocks or capital flows reversals.
    Keywords: Article IV consultation reports;Economic growth;Fiscal policy;Fiscal consolidation;Banking sector;Monetary policy;Flexible exchange rate policy;Reserves accumulation;Economic indicators;Balance of payments statistics;Millennium Development Goals;Debt sustainability analysis;Staff Reports;Press releases;Lao P. D..R.;
    Date: 2017–02–15
  75. By: Ashraf Galal Eid (Qatar University)
    Abstract: This paper investigates budgetary and fiscal institutions in Saudi Arabia during the period 1969-2014. In addition, the study examines the impact of government expenditure on non-oil private GDP per capita using Autoregressive Distributive Lag (ARDL) approach. The study finds that although the Saudi government uses a conservative oil price when estimating oil revenues, government expenditure in general, and capital expenditure in specific, is still procyclical. Also, the budget institutions index developed by Dabla-Norris et al (2010) shows that because of the limited power of the Saudi Consultative Assembly in the budgetary cycle, Saudi Arabia scored 0.42 out of 1 in the overall stage Index. On the other hand, the estimation of the long run relationship between government expenditure and GDP per capita illustrates that lagged real government consumption expenditure has a positive and significant impact on real non-oil private GDP per capita while its contemporaneous effect is found to be negative.
    Date: 2015–11
  76. By: Gohar Samvel Sedrakyan (Department of Economics, International Center for Public Policy. Andrew Young School of Policy Studies, Georgia State University); Laura Varela-Candamio (Dpt. Economic Analysis and Business Administration, University of A Coruna. Jean Monnet Group on Competition and Development (C+D) and RIFDE)
    Abstract: There is considerable controversy in the economic literature concerning whether particular government expenditures have an impact on economic growth. This study analyzes the macroeconomic magnitude of government expenditures in Armenia and Spain and evaluates whether there exists a causal relationship between government expenditures and economic growth and vice versa (Keynesian hypothesis and Wagner’s Law). The study employs VAR tests to analyze annual data for the years 1996-2014. Furthermore, by utilizing Granger causality tests, the study reveals whether the government expenditures are a significant factor in economic growth in short-term perspective. Finally, IRF and FEVD tests are applied to estimate the effect of a change in particular government expenditures on GDP for twelve year time horizon. This study validates the hypothesis that some public expenditures by the Armenian and Spanish public sectors positively contribute to the growth of their economies, while social protection is negatively related to GDP.
    Date: 2017–02
  77. By: International Monetary Fund.
    Abstract: Indonesia: Selected Issues
    Keywords: Fiscal policy;Economic growth;Private investment;Manufacturing;Capital inflows;External debt;Tax reforms;Social safety nets;Selected Issues Papers;Indonesia;
    Date: 2017–02–10
  78. By: Ruist, Joakim (Department of Economics, School of Business, Economics and Law, Göteborg University)
    Abstract: This study follows a random sample of 20% of the earliest post-EU-enlargement immigrants during their first decade in Sweden, studying their patterns of outmigration and income assimilation. The results show that outmigration is low: around 80% appear to be still present in Sweden during the full year 2013. Annual outmigration probabilities are near zero among migrants that earned an income that was at least high enough to live on in the previous year. Those leaving Sweden are thus mostly “failed migrants”, who did not manage to provide for themselves. Early income is far higher for male than for female migrants, with most females who live in couples initially earning zero income. Yet after less than one decade the gender gap in income is not larger than that in the total Swedish population of similar ages. Together with female migrants being better educated when migrating, this indicates strong male dominance in the migration decision, yet mostly so in the short term: For migration to happen, the short-term job opportunities of the male partner, and the longer-term prospects of the female, both needed to be favorable.
    Keywords: EU enlargement; migration; outmigration; income assimilation; family migration
    JEL: F22 J61
    Date: 2017–03
  79. By: Brueckner, Markus (Australian National University); Vespignani, Joaquin L. (University of Tasmania)
    Abstract: This paper examines the relationship between trade uncertainty and income inequality. In countries where only a small share of the population is educated, an increase in trade uncertainty is associated with a significant increase in income inequality. As education of the population increases the relationship between trade uncertainty and income inequality becomes more muted. Trade uncertainty has no significant effect on income inequality in countries that are world leaders in education. Developing countries that want to reduce income inequality arising from trade uncertainty should therefore consider further improving their education system.
    JEL: E2 F1
    Date: 2017–03–01
  80. By: Graciela Laura Kaminsky (George Washington University)
    Date: 2016
  81. By: International Monetary Fund.
    Abstract: Austria: Selected Issues
    Keywords: Fiscal policy;Fiscal reforms;Economic recovery;Economic growth;Credit expansion;Selected Issues Papers;Austria;
    Date: 2017–02–02
  82. By: International Monetary Fund.
    Abstract: Islamic Republic of Iran: Selected Issues
    Keywords: Fiscal reforms;Monetary policy;Fiscal policy;Taxation;Tax incentives;Tax system reviews;Banking;Banks;Sanctions;Selected Issues Papers;Iran, Islamic Republic of;
    Date: 2017–02–27
  83. By: Rabah Arezki; Zoltan Jakab; Douglas Laxton; Akito Matsumoto; Armen Nurbekyan; Hou Wang; Jiaxiong Yao
    Abstract: This paper presents a simple macroeconomic model of the oil market. The model incorporates features of oil supply such as depletion, endogenous oil exploration and extraction, as well as features of oil demand such as the secular increase in demand from emerging-market economies, usage efficiency, and endogenous demand responses. The model provides, inter alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of oil usage; and a change in the supply of oil. Notwithstanding that shale oil production today is more responsive to prices than conventional oil, our analysis suggests that an era of prolonged low oil prices is likely to be followed by a period where oil prices overshoot their long-term upward trend.
    Keywords: Oil prices;Oil sector;Supply and demand;Oil production;Econometric models;Oil market; macroeconomic model; depletion; consumption efficiency; technology; cycle.
    Date: 2017–01–27

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