nep-mac New Economics Papers
on Macroeconomics
Issue of 2017‒07‒09
58 papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Business Management

  1. The CBR Macro-Economic Model of the UK Economy (UKMOD) By Graham Gudgin; Ken Coutts; Neil Gibson
  2. Consumption & Class in Evolutionary Macroeconomics By Rengs, Bernhard; Scholz-Waeckerle, Manuel
  3. Should Inflation Measures Used by Central Banks Incorporate House Prices? The Czech National Bank's Approach By Tomas Havranek; Mojmir Hampl
  4. Mno¿niki fiskalne w modelu z ograniczeniami kredytowymi By Krzysztof Makarski
  5. Macroprudential Policy: Case Study from a Tabletop Exercise By Adrian, Tobias; de Fontnouvelle, Patrick; Yang, Emily; Zlate, Andrei
  6. Robustness, Low Risk-Free Rates, and Consumption Volatility in General Equilibrium By Luo, Yulei; Nie, Jun; Young, Eric
  7. The Paul Storer Memorial Lecture—Cross-Border Trade Integration and Monetary Policy By Stephen S. Poloz
  8. Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters? By Łyziak, Tomasz; Paloviita, Maritta
  9. Monetary policy transmission and trade-offs in the United States: Old and new By Boris Hofmann; Gert Peersman
  10. Boom, Slump, Sudden stops, Recovery, and Policy Options. Portugal and the Euro By Blanchard, Olivier J; Portugal, Pedro
  11. Nominal GDP Targeting With Heterogeneous Labor Supply By Bullard, James B.; Singh, Aarti
  12. Aggregate Reallocation Shocks, Occupational Employment and Distance By Jacob Wong
  13. International business cycles: quantifying the effects of a world market for oil By Gars, Johan; Olovsson, Conny
  14. Accounting for debt service : The painful legacy of credit booms By Drehmann, Mathias; Juselius, Mikael; Korinek, Anton
  15. Rational Inattention and the Dynamics of Consumption and Wealth in General Equilibrium By Luo, Yulei; Nie, Jun; Wang, Gaowang; Young, Eric
  16. Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method By Gilbert Mbara
  17. Minimum wages in the presence of in-kind redistribution By Economides, George; Moutos, Thomas
  18. Understanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey By Matthieu Verstraete; Lena Suchanek
  19. To enable private banks to create and lend out money, households must first be driven into debt. By Musgrave, Ralph S.
  20. The BREXIT Dynamics: British and EU27 Challenges after the EU Referendum By Paul J.J. Welfens; David Hanrahan
  21. Interest Rate Volatility and Sudden Stops : An Empirical Investigation By Ricardo M. Reyes-Heroles; Gabriel Tenorio
  22. Populism and Central Bank Independence By Goodhart, Charles A; Lastra, Rosa
  23. On Welfare Effects of Increasing Retirement Age By Krzysztof Makarski; Joanna Tyrowicz
  24. Optimal equity capital requirements for Swiss G-SIBs By ; Georg Junge; Peter Kugler
  25. Central Bank Digital Currencies: A Framework for Assessing Why and How By Ben Fung; Hanna Halaburda
  26. Identification and Method of Moments Estimation in Polynomial Measurement Error Models By Biørn, Erik
  27. Adding More Juice: How Private Investors can Improve the Performance of Provincial Power Assets By Steven Robins
  28. Automation, Computerisation and Future Employment in Singapore By Lee, King Fuei
  29. Striking a balance: optimal tax policy with labor market duality By Gilbert Mbara; Joanna Tyrowicz; Ryszard Kokoszczynski
  30. Was There a Great Moderation for Inflation Volatility? By Edward Hulseman; Alan K. Detmeister
  31. Labour market adjustment in Europe during the crisis: microeconomic evidence from the Wage Dynamics Network survey By Izquierdo, Mario; Jimeno, Juan; Kosma, Theodora; Lamo, Ana; Millard, Stephen; Room, Tairi; Viviano, Eliana
  32. Welfare effects of fiscal policy in reforming the pension system By Oliwia Komada; Krzysztof Makarski; Joanna Tyrowicz
  33. How big is the toolbox of a central banker? Managing expectations with policy-rate forecasts: Evidence from Sweden By Åhl, Magnus
  34. Why Has Japan Failed to Escape from Deflation? By Kota Watanabe; Tsutomu Watanabe
  35. Wirtschaftliche Konvergenz trotz politischer Unsicherheit By Julia Grübler
  36. Fiscal Forward Guidance: A Case for Selective Transparency By Fujiwara, Ippei; Waki, Yuichiro
  37. How Large were the Effects of Emergency and Extended Benefits on Unemployment during the Great Recession and its Aftermath? By Andrew Figura; David Ratner
  38. Corporate Debt Overhang in Croatia: Micro Assessment and Macro Implications By Ana Martinis; Igor Ljubaj
  39. Between hawks and doves: measuring central bank communication By Tobback, Ellen; Nardelli, Stefano; Martens, David
  40. When Inequality Matters for Macro and Macro Matters for Inequality By Ahn, SeHyoun; Kaplan, Greg; Moll, Benjamin; Winberry, Thomas; Wolf, Christian
  41. International Financial Spillovers to Emerging Market Economies: How Important Are Economic Fundamentals? By Ahmed, Shaghil; Coulibaly, Brahima; Zlate, Andrei
  42. Nonlinearities in the Phillips Curve for the United States : Evidence Using Metropolitan Data By Nathan R. Babb; Alan K. Detmeister
  43. Redystrybucja wewn¹trzpokoleniowa w systemie emerytalnym By Magda Malec
  44. The timing of uncertainty shocks in a small open economy By Armelius, Hanna; Hull, Isaiah; Stenbacka Köhler, Hanna
  45. Policy options for a socially balanced climate policy By Schwerhoff, Gregor; Dao, Nguyen Thang; Edenhofer, Ottmar; Grimalda, Gianluca; Jakob, Michael; Klenert, David; Siegmeier, Jan
  46. Zmiany zasobów ludzkich w Polsce z uwzględnieniem tendencji migracyjnych w latach 2010-2016 By Karbowski, Adam
  47. Leisure Luxuries and the Labor Supply of Young Men By Mark Aguiar; Mark Bils; Kerwin Kofi Charles; Erik Hurst
  48. R&D Policy Instruments: A Critical Review of What We Do & Don't Know By Ben R. Martin
  49. Financial Development and Capital Flows: An Application By Margaret, Davenport; Guido, Cozzi
  50. Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure By Yang, Bill Huajian
  51. Wage inequality and structural change By Joanna Tyrowicz; Magdalena Smyk
  52. The Role of Money in the Business Cycle By Zhao Jianglin
  53. Trade and Macro-Economic Issues for International Co-Ordinational in Tense Times By Anne-Laure Delatte; Sébastien Jean
  54. The Global Growth Slump: Causes & Consequences By Williams, John C.
  55. The international transmission of business cycles By Chen, John-ren
  56. The economic cost of capital: a VECM approach for estimating and testing the banking sector's response to changes in capital ratios By De-Ramon, sebastian; Straughan, Michael
  57. How do consumers make their payment choices? By Stavins, Joanna
  58. Um fordismo “atrofiado”?: considerações a respeito do modo de desenvolvimento do capitalismo no Brasil : retrospecto histórico e situação atual By José Artur dos Santos Ferreira; Cândido Guerra Ferreira

  1. By: Graham Gudgin; Ken Coutts; Neil Gibson
    Abstract: This working paper provides a detailed exposition of the assumptions, structure and statistical evidence that support a new macroeconomic forecasting and simulation model of the UK economy. The model is based on an annual dataset that produces conditional forecasts or simulations over a five to ten year horizon. The model enables us to discuss issues of policy in quantitative terms so that the orders of magnitude of the economic consequences can be assessed. Readers of our forecast reports will find in this paper the information that justifies the modelling methodology and the empirical evidence supporting the key behavioural relationships of the model.
    Keywords: Macroeconomic policy; fiscal and monetary policy; macroeconomic forecasts; macroeconomic models
    JEL: E12 E17 E27 E44 E47
    Date: 2015–09
  2. By: Rengs, Bernhard; Scholz-Waeckerle, Manuel
    Abstract: This article contributes to the field of evolutionary macroeconomics by highlighting the dynamic interlinkages between micro-meso-macro with a Veblenian meso foundation in an agent-based macroeconomic model. Consumption is dependent on endogenously changing social class and signaling, such as bandwagon, Veblen and snob effects. In particular we test the macroeconomic effects of this meso foundation in a generic agent-based model of a closed artificial economy. The model is stock-flow consistent and builds upon local decision heuristics of heterogeneous agents characterized by bounded rationality and satisficing behavior. These agents include a multitude of households (workers and capitalists), firms, banks as well as a capital goods firm, a government and a central bank. Simulation experiments indicate co-evolutionary dynamics between signaling-by-consuming and firm specialization that eventually effect employment, consumer prices as well as other macroeconomic aggregates substantially.
    Keywords: Evolutionary macroeconomics; agent-based modelling; micro-meso-macro; conspicuous consumption; social class; firm specialization
    JEL: B52 C63 E21 E23 L11
    Date: 2017–03–03
  3. By: Tomas Havranek; Mojmir Hampl
    Abstract: In this note we describe the Czech National Bank's approach to incorporating macroprudential considerations into monetary policy decision making: the use of a broader inflation measure that gives substantial weight to house prices and is considered along with headline CPI inflation. We argue that, in terms of theory, the broader inflation gauge is at least as suitable for measuring the value of money as headline CPI inflation is, but we also acknowledge practical problems that arise from the use of the broader index.
    Keywords: Consumer price index, financial stability, house prices, macroprudential policy, monetary policy, owner-occupied housing
    JEL: E31 E44 E50 R30
    Date: 2017–06
  4. By: Krzysztof Makarski (Group for Research in Applied Economics (GRAPE); Warsaw School of Economics; Narodowy Bank Polski)
    Abstract: Celem pracy jest oszacowanie, czy uwzglêdnienie ograniczeñ kredytowych znacz¹co wp³ywa na mno¿niki fiskalne. W tym celu porównano trzy modele: standardowy model nowokeynesistowski, model nowokeynesistowski z ograniczeniami kredytowymi oraz nowokeynesistowski model Blancharda-Yaariego. Modele skalibrowaliœmy do gospodarki amerykañskiej, w sposób umo¿liwiaj¹cy porównania pomiêdzy nimi. W modelu z ograniczeniami kredytowymi, w odró¿nieniu od pozosta³ych dwóch specyfikacji, wzrost wydatków rz¹dowych prowadzi do wzrostu konsumpcji prywatnej, na skutek czego wielkoœæ mno¿nika jest (nieznacznie) wiêksza od 1. Natomiast pozosta³ych dwóch modelach wydatki rz¹dowe wypychaj¹ prywatn¹ konsumpcjê i mno¿nik ten wynosi oko³o 0,8. Jednoczeœnie wielkoœæ mno¿nika uzale¿niona jest od regu³y monetarnej. Wyniki te oznaczaj¹, ¿e skutecznoœæ polityki fiskalnej podczas kryzysu finansowego jest wiêksza, ni¿ w warunkach sprawnie funkcjonuj¹cych rynków finansowych. Równie¿ mno¿nik podatkowy jest wiêkszy w modelu z ograniczeniami kredytowymi i wynosi 0,2, w porównaniu z prawie (lub dos³ownie) zerowym mno¿nikiem w pozosta³ych dwóch modelach.
    Keywords: mno¿niki fiskalne, ograniczenia kredytowe, nie-Ricardiañskie gospodarstwa domowe
    JEL: E62 E21 E44
    Date: 2017
  5. By: Adrian, Tobias (International Monetary Fund); de Fontnouvelle, Patrick (Federal Reserve Bank of Boston); Yang, Emily (Federal Reserve Bank of New York); Zlate, Andrei (Federal Reserve Bank of Boston)
    Abstract: Since the global financial crisis of 2007-09, policy makers and academics around the world have advocated the use of prudential tools for macroprudential purposes. This paper presents a macroprudential tabletop exercise that aimed at confronting Federal Reserve Bank presidents with a plausible, albeit hypothetical, macro-financial scenario that would lend itself to macroprudential considerations. In the tabletop exercise, the primary macroprudential objective was to reduce the likelihood and severity of possible future financial disruptions associated with the hypothetical overheating scenario. The scenario provided a path for key macroeconomic and financial variables, which were assumed to be observed through 2016:Q4, as well as the corresponding hypothetical projections for the interval from 2017:Q1 to 2018:Q4. Prudential tools under consideration included capital-based tools such as leverage ratios, countercyclical capital buffers, and sectoral capital requirements; liquidity-based tools such as liquidity coverage and net stable funding ratios; credit-based tools such as caps on loan-to-value ratios and margins; capital and liquidity stress testing; as well as supervisory guidance and moral suasion. In addition, participants were asked to consider using monetary policy tools for financial stability purposes. Under the hypothetical scenario, participants found many prudential tools less attractive due to implementation lags and limited scope of application and favored those deemed to pose fewer implementation challenges, such as stress testing, margins on repo funding, and guidance. Also, monetary policy came more quickly to the fore as a financial stability tool than might have been thought before the exercise. The tabletop exercise abstracted from governance issues within the Federal Reserve System, focusing instead on economic mechanisms of alternative tools.
    Keywords: Financial stability; macroprudential policy; monetary policy; financial overheating; tabletop exercise
    JEL: E58 G01 G18
    Date: 2015–09–30
  6. By: Luo, Yulei; Nie, Jun; Young, Eric
    Abstract: This paper develops a tractable continuous-time recursive utility (RU) version of the Huggett (1993) model to explore how the preference for robustness (RB) interacts with intertemporal substitution and risk aversion and then affects the interest rate, the dynamics of consumption and income, and the welfare costs of model uncertainty in general equilibrium. We show that RB reduces the equilibrium interest rate and the relative volatility of consumption growth to income growth when the income process is stationary, but our benchmark model cannot match the observed relative volatility. An extension to an RU-RB model with a risky asset is successful at matching this ratio. The model implies that the welfare costs of uncertainty are very large.
    Keywords: Robustness, Precautionary Savings, the Permanent Income Hypothesis, Low Interest Rates, Consumption and Income Inequality, General Equilibrium
    JEL: E2 E21
    Date: 2017–07–05
  7. By: Stephen S. Poloz
    Abstract: In this paper we explore the nexus between cross-border trade integration and monetary policy. We first review the evidence that trade liberalization has increased the degree of integration in North America and conclude that, while robust structural inferences remain elusive, there is sufficient supporting evidence for central banks to treat the issue seriously. The paper then discusses several channels by which increased integration might affect macroeconomic models. We introduce modifications to the Bank of Canada’s main policy model, ToTEM, to capture some of the impacts of integration suggested in the literature and generate stochastic simulations to compare versions of the model with low and high integration. The main conclusion is that increased integration may make it more challenging for central banks to control inflation, in the sense that doing so will require more variability in interest rates, exchange rates and the output gap.
    Keywords: Economic models, Monetary Policy, Trade Integration
    JEL: E37 E5 F1 F41 F6
    Date: 2016
  8. By: Łyziak, Tomasz; Paloviita, Maritta
    Abstract: This paper studies the formation of inflation expectations in the euro area. We first analyse the forecast accuracy of ECB inflation projections relative to private sector forecasts. Then, using the ECB Survey of Professional Forecasters (ECB SPF), we estimate a general model integrating two theoretical concepts: the hybrid model of expectations, including rational and static expectations, and the sticky-information (epidemiological) model. When modelling inflation expectations we consider – except for backward-looking factors – the rational expectations assumption and the effects of ECB communication. More specifically, we examine whether ECB inflation projections are still important in expectations’ formation once the impact of forward-lookingness of economic agents has been taken into account. We also derive implicit (perceived) inflation targets and assess their consistency with the official ECB inflation target. Our analysis indicates that the recent turbulent times have contributed to changes in expectations’ formation in the euro area, as the importance of backward-looking mechanisms has decreased, while the importance of the perceived inflation target has increased. We also find that the perceived inflation target has remained broadly consistent with the official ECB inflation target in the medium-term. However, the downward trend of the perceived target suggests some risks of de-anchoring of inflation expectations. The importance of ECB inflation projections for medium-term private sector inflation expectations has increased over time, but the magnitude of this effect is rather small. However, SPF inflation forecasts remain consistent with ECB communication, being either close to ECB projections or between ECB projections and the inflation target.
    JEL: D84 E52 E58
    Date: 2017–06–28
  9. By: Boris Hofmann; Gert Peersman
    Abstract: This study shows that, in the United States, the effects of monetary policy on credit and housing markets have become considerably stronger relative to the impact on GDP since the mid-1980s, while the effects on inflation have become weaker. Macroeconomic stabilization through monetary policy may therefore have become associated with greater fluctuations in credit and housing markets, whereas stabilizing credit and house prices may have become less costly in terms of macroeconomic volatility. These changes in the aggregate impact of monetary policy can be explained by several important changes in the monetary transmission mechanism and in the composition of macroeconomic and credit aggregates. In particular, the stronger impact of monetary policy on credit is driven by a much higher responsiveness of mortgage credit and a larger share of mortgages in total credit since the 1980s.
    Keywords: Monetary policy trade-offs, monetary transmission mechanism, inflation, credit, house prices
    JEL: E52
    Date: 2017–06
  10. By: Blanchard, Olivier J; Portugal, Pedro
    Abstract: Over the past 20 years, Portugal has gone through a boom, a slump, a sudden stop, and now a timid recovery. Unemployment has decreased, but remains high, and output is still far below potential. Competitiveness has improved, but more is needed to keep the current account in check as the economy recovers. Private and public debt are high, both legacies of the boom, the slump and the sudden stop. Productivity growth remains low. Because of high debt and low growth, the recovery remains fragile. We review the history and the main mechanisms at work. We then review a number of policy options, from fiscal consolidation to fiscal expansion, cleaning up of non-performing loans, labor market reforms, product market reforms, and euro exit. We argue that at this point, the main focus of macroeconomic policy should be twofold. The first is the treatment of non-performing loans, which would allow for an increase in demand in the short run and an increase in supply in the medium run. We argue that, to the extent that such treatment requires recapitalization, it may make sense to finance it through an increased fiscal deficit, even in the face of high public debt. The second is product market reforms, and reforms aimed at increasing micro-exibility in the labor market. Symmetrically, we also argue that at this point, some policies would be undesirable, among them faster fiscal consolidation, measures aimed at decreasing nominal wages and prices, and euro exit.
    Keywords: boom; competitiveness; current account deficit; Deflation; fiscal consolidation; inflation; markup; nonperforming loans; slump
    JEL: E32
    Date: 2017–06
  11. By: Bullard, James B. (Federal Reserve Bank of St. Louis); Singh, Aarti (University of Sydney)
    Abstract: We study nominal GDP targeting as optimal monetary policy in a model with a credit market friction following Azariadis, Bullard, Singh and Suda (2016), henceforth ABSS. As in ABSS, the macroeconomy we study has considerable income inequality which gives rise to a large private sector credit market. Households participating in this market use non-state contingent nominal contracts (NSCNC). We extend the ABSS framework to allow for endogenous and heterogeneous household labor supply among credit market participant households. We show that nominal GDP targeting continues to characterize optimal monetary policy in this setting. Optimal monetary policy repairs the distortion caused by the credit market friction and so leaves heterogeneous households supplying their desired amount of labor, a type of “divine coincidence” result. We also analyze the case when there is an aging population. We interpret these findings in light of the recent debate in monetary policy concerning labor force participation.
    Keywords: Non-state contingent nominal contracting; optimal monetary policy; nominal GDP targeting; life cycle economies; heterogeneous households; credit market participation; labor supply
    JEL: E4 E5
    Date: 2017–02–17
  12. By: Jacob Wong (School of Economics, University of Adelaide)
    Abstract: A unique general equilibrium model featuring many occupations and aggregate shocks is created to study occupational employment dynamics by imposing a correlated TFP structure across occupations along with distance between occupations. Productivity processes across occupations are correlated with similar occupations experiencing similar fluctuations. Mobility frictions and the correlated-productivity structure produce a systematic relationship between occupational employment correlations and occupational distance that does not arise when productivity processes are independent. Using employment data and measures of task-distance between occupations from the U.S. economy, a negative relationship between the correlation of occupational employment and task-distance separating occupation-pairs is uncovered.
    Keywords: Labour reallocation, Occupation switching, Task-distance
    JEL: E24 J24 J31 J62
    Date: 2017–05
  13. By: Gars, Johan (GEDB, Royal Swedish Academy of Sciences); Olovsson, Conny (Research Department, Central Bank of Sweden)
    Abstract: To what extent is the international business cycle affected by the fact that an essential input (oil) is traded on the world market? We quantify the contribution of oil by setting up a model with separate shocks to efficiencies of capital/labor and oil, as well as global shocks to the oil supply. We find that the shocks to the supply and the efficiency of oil both contribute to positive comovements. These two shocks are also relatively transitory, which induces high responses in output and low responses in consumption. As a consequence, the model resolves both the consumption correlation puzzle and the international comovement puzzle.
    Keywords: International comovements; business cycles; oil; productivity
    JEL: E32 F32 F41 Q43
    Date: 2017–05–01
  14. By: Drehmann, Mathias; Juselius, Mikael; Korinek, Anton
    Abstract: When taking on new debt, borrowers commit to a pre-specified path of future debt service. This implies a predictable lag between credit booms and peaks in debt service which, in a panel of household debt in 17 countries, is four years on average. The lag is driven by two key features of the data: (i) new borrowing is strongly auto-correlated and (ii) debt contracts are long term. The delayed increase in debt service following an impulse to new borrowing largely explains why credit booms are associated with lower future output growth and higher probability of crisis. This provides a systematic transmission channel whereby credit expansions can have adverse long-lasting real effects.
    JEL: E17 E44 G01 D14
    Date: 2017–06–27
  15. By: Luo, Yulei; Nie, Jun; Wang, Gaowang; Young, Eric
    Abstract: We use a recursive utility version of a basic Huggett (1993) model to study the cross-sectional dispersion of consumption and wealth (relative to income). The basic model implies too little dispersion compared to the data, whereas a one-parameter extension to include rational inattention (limited information processing) delivers a better fit to both facts in general equilibrium. In particular, intertemporal substitution plays an important role in determining the two key dispersion moments via affecting the degree of optimal attention in equilibrium. Alternative models that rely on habit formation, incomplete information about current income, or borrowing constraints are not consistent with the facts we document.
    Keywords: Rational Inattention; General Equilibrium; Consumption and Wealth Volatility
    JEL: E2 E21
    Date: 2017–04–18
  16. By: Gilbert Mbara (University of Warsaw)
    Abstract: The two-state Markov switching model of dating recessions breaks down when confronted with the low volatility macroeconomic time series of the post 1984 Great Moderation era. In this paper, I present a new model specification and a two--stage maximum likelihood estimation procedure that can account for the lower volatility and persistence of macroeconomic times series after 1984, while preserving the economically interpretable two--state boom--bust business cycle switching. I first demonstrate the poor finite sample properties (bias and inconsistency) of standard models then suggest a new specification and estimation procedure that resolves these issues. The suggested likelihood profiling method achieves consistent estimation of unconditional variances across volatility regimes while resolving the poor performance of models with multiple lag structures in dating business cycle turning points. Based on this novel model specification and estimation, I find that the nature of US business cycles has changed: economic growth has permanently become lower while booms last longer than before. The length and size of recessions however remain unchanged.
    Keywords: Regime Switching, Hidden Markov Models, Great Moderation, Maximum Likelihood Estimation
    JEL: C5 C51 C58 C32 E32
    Date: 2017
  17. By: Economides, George; Moutos, Thomas
    Abstract: To many economists the public's support for the minimum wage (MW) institution is puzzling, since the MW is considered a "blunt instrument" for redistribution. To delve deeper in this issue we build models in which workers are heterogeneous in ability. In the first model, the government does not engage in any type of redistributive policies - except for the payment of unemployment benefits; we find that the MW is preferred by the majority of workers (even when the unemployed receive very generous unemployment benefits). In the second model, the government engages in redistribution through the public provision of private goods. We show that (i) the introduction of a MW can be preferred by a majority of workers only if the unemployed receive benefits which are substantially below the after-tax earnings they would have had in the perfectly competitive case, (ii) for a given generosity of the unemployment benefit scheme, the maximum, politically viable, MW is lower than in the absence of in-kind redistribution, and (iii) the MW institution is politically viable only when there is a limited degree of in-kind redistribution. These findings can possibly explain why a well-developed social safety net in Scandinavia tends to co-exist with the absence of a national MW, whereas in Southern Europe the MW institution "complements" the absence of a well-developed social safety net.
    Keywords: minimum wage,in-kind redistribution,heterogeneity,unemployment
    JEL: E21 E24 H23 J23
    Date: 2017
  18. By: Matthieu Verstraete; Lena Suchanek
    Abstract: This paper shows (i) that business sentiment, as captured by survey data, matters for monetary policy decisions in Canada, and (ii) how business perspectives are affected by monetary policy shocks. Measures of business sentiment (soft data) are shown to have systematic explanatory power for monetary policy decisions over and above typical Taylor rule variables. Stronger (weaker) survey results lead to higher (lower) policy rates over the period of study (2001–16). Moreover, we study the effects of monetary policy shocks on firms’ business perspectives using data from the Bank of Canada’s quarterly Business Outlook Survey. The monetary shocks are defined as the fitted residuals of the Taylor rule. Overall, the results are in agreement with the qualitative effects of monetary policy shocks described in the literature. For instance, an unanticipated tightening in monetary policy a year ago (or more) results in firms reporting tighter lending conditions today, as well as slower expected dynamics of future sales, wage growth and output prices. The results are qualitatively similar whether shocks are derived from a standard Taylor rule (hard data) or from an alternative Taylor rule (soft data).
    Keywords: Firm dynamics, Interest rates, Transmission of monetary policy
    JEL: D22 E52 E44
    Date: 2017
  19. By: Musgrave, Ralph S.
    Abstract: There are two main forms of money: state issued money (so called “base money”) and money created by private banks. It is perfectly feasible to have either type of money predominate and in most economies nowadays, private money predominates. Introducing private money to an economy which uses only base money increases demand. To counter that extra demand, it is necessary to confiscate base money from households, which drives some people into debt. Conversely, if in 2017 real world economies private money were banned (as advocated by several Nobel laureate economists), that would be deflationary, which in turn would require government to create and distribute significant amounts of base money to households which would reduce their need to borrow.
    Keywords: debt; base money; privately created money.
    JEL: E42 E51
    Date: 2017–07–01
  20. By: Paul J.J. Welfens (Europäisches Institut für Internationale Wirtschaftsbeziehungen (EIIW)); David Hanrahan (Europäisches Institut für Internationale Wirtschaftsbeziehungen (EIIW))
    Abstract: Summary: The BREXIT dynamics are considerable in a politico-economic perspective. The British referendum of June 23rd, 2016, was a disorderly one as the Cameron government did not include key information in the official government brochure sent to all households across the UK – a study by the Treasury had shown a 10 percent income decline as a consequence of a potential BREXIT, but in the 16-page information brochure distributed to all households/the electorate, this prognosis was not mentioned at all. EU immigration issues played a role not only under Cameron but also under the May government and in the UK government’s White Paper on exiting the EU, respectively. Key issues of BREXIT are related to the potential political instability in the EU. As regards the Global Britain approach of the May government, it is shown here that this is unlikely to work. EU27 reforms are quite important, without adequate reforms and much better leadership in Germany and other EU countries, there will be further disintegration in the EU.
    Keywords: Brexit, UK, Global Britain, EU, Disintegration
    JEL: E00 F15 E6 F5 O52
    Date: 2017–05
  21. By: Ricardo M. Reyes-Heroles; Gabriel Tenorio
    Abstract: Using a multi-country regime-switching vector autoregressive (VAR) model we document the existence of two regimes in the volatility of interest rates at which emerging economies borrow from international financial markets, and study the statistical relationship of such regimes with episodes of sudden stops. Periods of high volatility tend to be persistent and are associated with high interest rates, the occurrence of sudden stops in external financing, and large declines in economic activity. Most strikingly, we show that regime switches drive the countercyclicality of interest rates in emerging markets documented in previous literature (Neumeyer and Perri, 2005) and that high-volatility regimes forecast sudden stops 6 and 12 months ahead.
    Keywords: Volatility ; Interest rates ; Emerging market economies ; Sudden stops ; Markov regime switching
    JEL: E3 E43 F34 F4 G12 G15 O11 O16
    Date: 2017–07
  22. By: Goodhart, Charles A; Lastra, Rosa
    Abstract: The consensus that surrounded the granting of central bank independence in the pursuit of a price stability oriented monetary policy has been challenged in the aftermath of the global financial crisis, in the light of the rise of populism on the one hand and the expanded mandates of central banks on the other hand. After considering the economic case for independence and the three Ds (distributional, directional and duration effects), the paper examines three different dimensions in the debate of how the rise in populism - or simply general discontent with the status quo - affects central bank independence. Finally, the paper examines how to interpret the legality of central bank mandates, and whether or not central banks have exceeded their powers. This analysis leads us in turn to consider accountability and, in particular, the judicial review of central bank actions and decisions. It is important to have in place adequate mechanisms to "guard the guardians" of monetary and financial stability.
    Keywords: accountability; central bank independence; Judicial review; Legitimacy; Mandates; populism
    JEL: E50 E58 H10 K10
    Date: 2017–06
  23. By: Krzysztof Makarski (Group for Research in Applied Economics (GRAPE); Warsaw School of Economics; Narodowy Bank Polski); Joanna Tyrowicz (Group for Research in Applied Economics (GRAPE); University of Warsaw)
    Abstract: We develop an OLG model with realistic assumptions about longevity to analyze the welfare effects of raising the retirement age. We look at a scenario where an economy has a pay-as-you-go defined benefit scheme and compare it to a scenario with defined contribution schemes (funded or notional). We show that initially in both types of pension system schemes majority of the welfare effects come from adjustment in taxes and/or prices. After the transition period, welfare effects are predominantly generated by the preference for smoothing inherent in many widely used models. We also show that although incentives differ between defined benefit and defined contribution systems, the welfare effects are of comparable magnitude under both schemes. We provide an explanation for this counter-intuitive result.
    Keywords: longevity, PAYG, retirement age, pension system reform, welfare
    JEL: C68 E21 J11 H55
    Date: 2017
  24. By: ; Georg Junge; Peter Kugler (University of Basel)
    Abstract: This paper extends the analysis of Junge and Kugler (2013) on the effects of increased capital requirements on Swiss GDP and obtains the following main results: First the Modigliani-Miller effect is robust with respect to a substantial extension of the data base and yields an offset of capital cost of 46 percent. Second, the Translog production function estimate results in a time-varying elasticity of production with respect to the price of capital between 0.34 and 0.27, which is substantially lower than the value of 0.43 found in the earlier CES framework. Third the unweighted capital (leverage) ratio for Swiss G-SIBs is approximately 6 percent for Basel III Tier1 and 4.3 percent for CET1. This corresponds to risk-weighted capital ratios of 17 to 20 percent and 13 to 15 percent, respectively. The estimates show that the recently revised Swiss Too-Big-To-Fail capital ratios for G-SIBs are about 30 percent smaller than the optimal levels. However, the oft-debated proposal to raise the equity-to-asset ratio to 20 to 30 percent is not warranted by our analysis.
    Keywords: Financial regulation, Bank equity capital requirements, Capital structure, Elasticity of substitution, Translog production function
    JEL: G21 G28 E20 E22
    Date: 2017
  25. By: Ben Fung; Hanna Halaburda
    Abstract: Digital currencies have attracted strong interest in recent years and have the potential to become widely adopted for use in making payments. Public authorities and central banks around the world are closely monitoring developments in digital currencies and studying their implications for the economy, the financial system and central banks. One key policy question for public authorities such as a central bank is whether or not to issue its own digital currency that can be used by the general public to make payments. There are several public policy arguments for a central-bank-issued digital currency. This paper proposes a framework for assessing why a central bank should consider issuing a digital currency and how to implement it to improve the efficiency of the retail payment system.
    Keywords: Digital Currencies, Financial services, Payment clearing and settlement systems
    JEL: E41 E42
    Date: 2016
  26. By: Biørn, Erik (Dept. of Economics, University of Oslo)
    Abstract: Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation models. Weak distributional assumptions are made for the error and the latent regressor. Simple order-conditions are derived, and procedures involving recursive identification of the moments of the regressor and its measurement errors together with the coefficients of the polynomials are considered. A Generalized Method of Moments (GMM) algorithm involving the instruments and proceeding stepwise from the identification procedures, is presented. An illustration for systems of linear, quadratic and cubic Engel functions, with household consumption and income data is given.
    Keywords: Errors in variables; Polynomial regression; Error distribution; Identification; Instrumental variables; Method of Moments; Engel functions
    JEL: C21 C23 C31 C33 C51 E21
    Date: 2017–01–30
  27. By: Steven Robins
    Keywords: Public Investments and Infrastructure
    JEL: E6 L3 R4
  28. By: Lee, King Fuei
    Abstract: Digitalization is expected to radically change the prospects of the types of occupations that will be needed in the future. This research note examines the susceptibility of jobs to computerization and automation in Singapore by drawing on the methodology and initial data in Frey and Osborne (2013). We find that about one-quarter of Singaporean employment is at high risk of computerization. This places the country as having one of the lowest proportions of jobs under high risk internationally. Within this high-risk category of workers, a significant number of them have non-tertiary educational qualifications and tend to be older adults, making them less likely to be re-employed if they lose their jobs.
    Keywords: Singapore, automation, computerization, industry employment, technological unemployment
    JEL: E24 J24 J62 J64 O33
    Date: 2016
  29. By: Gilbert Mbara (University of Warsaw); Joanna Tyrowicz (Faculty of Economic Sciences, University of Warsaw; National Bank of Poland); Ryszard Kokoszczynski (Faculty of Economic Sciences, University of Warsaw; National Bank of Poland)
    Abstract: We develop a dynamic general equilibrium model in which firms may evade the employer contribution component of social security taxes by offering some workers secondary contracts. We calibrate the model to data from the United States and EU-14 countries and obtain estimates of the secondary labor market participation consistent with empirical evidence. We then investigate the optimal mix of the avoidable and unavoidable components of labor taxes and analyze the fiscal and macroeconomic effects of bringing the composition to the welfare optimum. We find that partial labor tax evasion makes tax revenues more elastic, but full tax compliance need not be a welfare enhancing policy mix. Relating to the highly cited work of Trabandt and Uhlig (2011), we extend their framework to analyze the phenomenon of non-standard employment. We distinguish between avoidable and unavoidable labor taxation -- the former may be evaded by firms if they formulate a contract with a worker as a non-standard employment contract and may be associated with employers' share in labor taxation. The latter is paid by worker--households. Our results enrich the intuition about the optimal mix of the two types of labor taxation. We show that in countries where the share of avoidable labor taxes is relatively low, substantial welfare gains can be achieved by changing the mix of the two types of labor taxes. The gains emanate from higher labor supply and consumption which accompanies modest increases in secondary employment. These gains are obtained without loss to aggregate fiscal revenue. In addition to these main results, we also show that plausible estimates of the levels of tax evasion, the efficiency of tax auditing and the shares of secondary employment can be obtained from aggregate tax revenue data.
    Keywords: Laffer curve, tax evasion, labor market duality
    JEL: H26 H3 E13 E26 J81
    Date: 2017
  30. By: Edward Hulseman; Alan K. Detmeister
    Abstract: Most accounts of the "Great Moderation"--a decline in macroeconomic volatility in the decades prior to the Great Recession--focus on employment growth and GDP growth. In this note, we demonstrate that the decline in core inflation volatility at a monthly frequency is principally an artifact of data construction.
    Date: 2017–06–29
  31. By: Izquierdo, Mario (Bank of Spain); Jimeno, Juan (Bank of Spain); Kosma, Theodora (Bank of Greece); Lamo, Ana (European Central Bank); Millard, Stephen (Bank of England); Room, Tairi (Eestipank); Viviano, Eliana (Bank of Italy)
    Abstract: Against the backdrop of continuing adjustment in EU labour markets in response to the Great Recession and the sovereign debt crisis, the European System of Central Banks (ESCB)conducted the third wave of the Wage Dynamics Network (WDN)survey in 2014–15 as a follow-up to the two previous WDN waves carried out in 2007 and 2009. The WDN survey collected information on wage-setting practices at the firm level. This third wave sampled about 25,000 firms in 25 European countries with the aim of assessing how firms adjusted wages and employment in response to the various shocks and labour market reforms that took place in the European Union (EU) during the period 2010–13. This paper summarises the main results of WDN3 by identifying some patterns in firms’ adjustments and labour market reforms. It seeks to lay out the main lessons learnt from the survey in terms of both the general response of EU labour markets to the crisis and how these responses varied across the countries that took part in the survey.
    Keywords: Wage Dynamics Network; survey data; labour market adjustment; labour market reforms
    JEL: E24 J30 J52 J68
    Date: 2017–06–26
  32. By: Oliwia Komada (Group for Research in Applied Economics (GRAPE)); Krzysztof Makarski (Group for Research in Applied Economics (GRAPE); Warsaw School of Economics; Narodowy Bank Polski); Joanna Tyrowicz (Group for Research in Applied Economics (GRAPE); University of Warsaw)
    Abstract: Most reforms of the pension systems imply substantial redistributions between cohorts and within cohort. Fiscal policy, which accompanies these changes may counteract or reinforce this redistribution. Moreover, the literature has argued that the insurance motive implicit in some pension systems plays a major role in determining the welfare effects of the reform: reforms otherwise improving welfare become detrimental to welfare once insurance motive is internalized. We show that this result is not universal, i.e. there exists a variety of fiscal closures which yield welfare gains and political support for a pension system reform. In an OLG model with uncertainty we analyze two sets of fiscal adjustments: fiscally neutral adjustments in the pension system (via contribution rate or replacement rate) and balancing pension system by a combination of taxes and/or public debt. We find that fiscally neutral pension system reforms are more likely to yield welfare gains. Many adjustments obtain sufficient political support despite yielding aggregate welfare losses and vice versa. Furthermore, we point to fiscal closures which attenuate and reinforce the relevance of the insurance motive in determining the welfare effects.
    Keywords: pension system reform, fiscal policy, welfare effects
    JEL: C68 D72 E62 H55 J26
    Date: 2017
  33. By: Åhl, Magnus (Monetary Policy Department, Central Bank of Sweden)
    Abstract: Some central banks have decided to publish forecasts of their policy rates. Can such forecasts manage market expectations of future policy rates? I use regression analysis on Swedish data to conclude that the answer is yes. The published Riksbank forecasts affect expectations of the future repo rate up to a horizon of approximately a year and a half. However, the response of market expectations to a surprise in the announced repo-rate path is not one-to-one, but is estimated to be less than half of the surprise and decreasing with the forecast horizon.
    Keywords: Policy-rate path; monetary-policy expectations
    JEL: E52 E58 G14
    Date: 2017–05–01
  34. By: Kota Watanabe (Canon Institute for Global Studies (CIGS) and University of Tokyo); Tsutomu Watanabe (Graduate School of Economics, University of Tokyo)
    Abstract: Japan has failed to escape from deflation despite extraordinary monetary policy easing over the past four years. Monetary easing undoubtedly stimulated aggregate demand, leading to an improvement in the output gap. However, since the Phillips curve was almost flat, prices hardly reacted. Against this background, the key question is why prices were so sticky. To examine this, we employ sectoral price data for Japan and seven other countries including the United States, and use these to compare the shape of the price change distribution. Our main finding is that Japan differs significantly from the other countries in that the mode of the distribution is very close to zero for Japan, while it is near 2 percent for other countries. This suggests that whereas in the United States and other countries the "default" is for firms to raise prices by about 2 percent each year, in Japan the default is that, as a result of prolonged deflation, firms keep prices unchanged.
    Date: 2017–06
  35. By: Julia Grübler (The Vienna Institute for International Economic Studies, wiiw)
    Abstract: Zusammenfassung Wirtschaftliche Konvergenz trotz politischer Unsicherheit Das internationale Umfeld für die Wirtschaft der mittel-, ost- und südosteuropäischen Länder (MOSOEL) präsentiert sich als Kontrast zwischen wirtschaftlichem Aufschwung einerseits sowie politischer Unsicherheit und geopolitischen Spannungen andererseits. Kurzfristig setzen sich die positiven Effekte der wirtschaftlichen Erholung im Euroraum und der damit verbundenen Exporte, sowie des relativ niedrigen Ölpreises gegen mögliche negative Effekte politischer Turbulenzen durch. Gegenüber der wiiw-Frühjahrsprognose wurden die Wachstumsprognosen für die MOSOEL größtenteils nach oben auf 2,4% für das laufende Jahr und 2,6% für das Jahr 2018 korrigiert. English Summary Economic convergence despite political uncertainty The international environment for the economies in Central, East and Southeast Europe (CESEE) is characterised by a contrast between economic upswing, on the one hand, and political uncertainty and geopolitical tensions, on the other hand. In the short term, positive effects of the economic recovery in the euro area and related exports, as well as of the relatively low oil price are prevailing over potential negative effects of political turmoil. Compared with the wiiw Spring Forecast, growth projections for the CESEE region were for the most part revised upwards, to 2.4% and 2.6% for the years 2017 and 2018, respectively.
    Keywords: Konjunkturprognose, Mittelosteuropa, Westbalkan, Österreich, MOSOEL, Internationaler Handel, Investitionen, Migration, Economic Forecast, Central and Eastern Europe, Western Balkans, Austria, CESEE, International Trade, Investment, Migration
    JEL: E20 E66 O52 O57 P24 P27 P33 P52
    Date: 2017–06
  36. By: Fujiwara, Ippei (Keio University); Waki, Yuichiro (University of Queensland)
    Abstract: Should the fiscal authority use forward guidance to reduce future policy uncertainty perceived by private agents? Using dynamic stochastic general equilibrium models, we examine the welfare effects of announcing future fiscal policy shocks. Analytical as well as numerical experiments show that selective transparency is desirable—announcing future fiscal policy shocks that are distortionary can be detrimental to ex ante social welfare, whereas announcing nondistortionary shocks generally improves welfare. Sizable welfare gains are found with constructive ambiguity regarding the timing of a consumption tax increase in the fiscal consolidation scenario in Japan recommended by Hansen and Imrohoroglu (2016). However, being secretive about distortionary tax shocks is time inconsistent, and welfare loss from communication may be unavoidable without commitment.
    JEL: D82 E30 E62 H20
    Date: 2017–06–01
  37. By: Andrew Figura; David Ratner
    Abstract: This paper presents estimates of the effect of unemployment benefit extensions during the Great Recession on unemployment and labor force participation. Unlike many recent studies of this subject, our estimates, following the work of Hagedorn, Karahan, Manovskii, and Mitman (2016), are inclusive of the effects of benefit extensions on employer, as well as, worker behavior. To identify the effect of benefit extensions, we use plausibly exogenous changes in the rules governing benefit extensions and their differential effects on the maximum duration of benefits across states. We find that the effect of benefit extensions is likely modest, with a 90 percent confidence interval of the effect on the unemployment rate ranging from 0 to ½ percentage point.
    Keywords: Extended and Emergency Unemployment Benefits ; Unemployment rate
    JEL: J6 E24
    Date: 2017–06–27
  38. By: Ana Martinis (The Croatian National Bank, Croatia); Igor Ljubaj (The Croatian National Bank, Croatia)
    Abstract: High corporate sector leverage has often been highlighted as one of the major impediments to economic recovery. We conduct a debt sustainability analysis for Croatian corporates based on firm-level data. The analysis shows that around one third of the corporate debt in Croatia is unsustainable, thus pointing to sizeable deleveraging needs. By relating the estimated firm-level debt overhang indicator with investment activity, we find that over-indebted firms have reduced their investment to a greater extent than those without debt overhang. This especially holds among exporters and domestically owned private companies, whose higher sensitivity to unsustainable debt probably explains why they are less debt burdened. Our paper contributes to the existing literature by showing that, in the case of Croatia, the estimated firm-level debt sustainability thresholds, unlike the aggregate thresholds, capture the asymmetrically negative effect of debt overhang on investment. The estimated size and impact of the debt overhang in Croatia warrant policy engagement that would include more efficient bankruptcy procedures, swifter balance sheet clean-up supported by specific tax treatments, enhanced restructuring of unsustainably indebted state-owned companies as well as a comprehensive policy strategy for improving business climate and competitiveness.
    Keywords: corporate debt, investment, debt overhang, deleveraging, crisis, Croatia
    JEL: D22 E22 F34 G31
    Date: 2017–06
  39. By: Tobback, Ellen; Nardelli, Stefano; Martens, David
    Abstract: We propose a Hawkish-Dovish (HD) indicator that measures the degree of ‘hawkishness’ or ‘dovishness’ of the media’s perception of the ECB’s tone at each press conference. We compare two methods to calculate the indicator: semantic orientation and Support Vector Machines text classification. We show that the latter method tends to provide more stable and accurate measurements of perception on a labelled test set. Furthermore, we demonstrate the potential use of this indicator with several applications: we perform a correlation analysis with a set of interest rates, use Latent Dirichlet Allocation to detect the dominant topics in the news articles, and estimate a set of Taylor rules. The findings provide decisive evidence in favour of using an advanced text mining classification model to measure the medias perception and the Taylor rule application confirms that communication plays a significant role in enhancing the accuracy when trying to estimate the bank’s reaction function. JEL Classification: C02, C63, E52, E58
    Keywords: communication, data mining, monetary policy, quantitative methods
    Date: 2017–07
  40. By: Ahn, SeHyoun; Kaplan, Greg; Moll, Benjamin; Winberry, Thomas; Wolf, Christian
    Abstract: We develop an efficient and easy-to-use computational method for solving a wide class of general equilibrium heterogeneous agent models with aggregate shocks, together with an open source suite of codes that implement our algorithms in an easy-to-use toolbox. Our method extends standard linearization techniques and is designed to work in cases when inequality matters for the dynamics of macroeconomic aggregates. We present two applications that analyze a two-asset incomplete markets model parameterized to match the distribution of income, wealth, and marginal propensities to consume. First, we show that our model is consistent with two key features of aggregate consumption dynamics that are difficult to match with representative agent models: (i) the sensitivity of aggregate consumption to predictable changes in aggregate income and (ii) the relative smoothness of aggregate consumption. Second, we extend the model to feature capital-skill complementarity and show how factor-specific productivity shocks shape dynamics of income and consumption inequality.
    Date: 2017–06
  41. By: Ahmed, Shaghil (Board of Governors of the Federal Reserve System); Coulibaly, Brahima (Board of Governors of the Federal Reserve System); Zlate, Andrei (Federal Reserve Bank of Boston)
    Abstract: We assess the importance of economic fundamentals in the transmission of international shocks to financial markets in various emerging market economies (EMEs), covering the so-called taper-tantrum episode of 2013 and seven other episodes of severe EME-wide financial stress since the mid-1990s. Cross-country regressions lead us to the following results: (1) EMEs with relatively better economic fundamentals suffered less deterioration in financial markets during the 2013 taper-tantrum episode. (2) Differentiation among EMEs set in relatively early and persisted through this episode. (3) During the taper tantrum, while controlling for the EMEs' economic fundamentals, financial conditions also deteriorated more in those EMEs that had earlier experienced larger private capital inflows and greater exchange rate appreciation. (4) During the EME crises of the 1990s and early 2000s, we find little evidence of investor differentiation across EMEs being explained by differences in their relative vulnerabilities. (5) However, differentiation across EMEs based on fundamentals does not appear to be unique to the 2013 episode; it also occurred during the global financial crisis of 2008 and, subsequently, during financial stress episodes related to the European sovereign crisis in 2011 and China's financial market stresses in 2015.
    Keywords: Emerging market economies; financial spillovers; economic fundamentals; vulnerability index; depreciation pressure; taper tantrum; financial stress.
    JEL: E52 F31 F32 F65
    Date: 2017–06–05
  42. By: Nathan R. Babb; Alan K. Detmeister
    Abstract: With the unemployment rate in the United States currently below estimates of its natural rate we examine if the relationship between inflation and unemployment is nonlinear. Using aggregate data we are unable to reject a linear relationship. However, using metropolitan-level data we find the slope of the Phillips curve is roughly twice as large when unemployment is low compared to when it is high. Nevertheless the simple nonlinear Phillips curves used here suggest a core CPI inflation rate that is only slightly different than the linear version over the next couple of years.
    Keywords: Core CPI Prices ; Grid Searching ; Metropolitan Statistical Area data ; Phillips Curve
    JEL: E31
    Date: 2017–06–28
  43. By: Magda Malec (Group for Research in Applied Economics (GRAPE); Warsaw School of Economics)
    Abstract: Wykorzystanie wspólnych tablic dalszego oczekiwanego trwania ¿ycia przy obliczaniu wysokoœci emerytury w systemie zdefniowanej sk³adki skutkuje subsydiowaniem przeciêtnie d³u¿ej ¿yj¹cych kobiet przez krócej ¿yj¹cych mê¿czyzn. Celem pracy jest oszacowanie skali tej redystrybucji. Przeprowadzono symulacje w oparciu o model nak³adaj¹cych siê pokoleñ z obowi¹zkowym repartycyjnym systemem zdefiniowanej sk³adki oraz heterogenicznoœci¹ w ramach kohorty. Uwglêdniono równie¿ wyd³u¿anie siê dalszego oczekiwanego trwania ¿ycia, zgodnie z projekcjami demograficznymi. Zastosowanie wspólnych tablic ¿ycia skutkuje redystrybucj¹ w kierunku kobiet na poziomie ok. 0,5-0,7 %, wyra¿on¹ za pomoc¹ ekwiwalentu konsumpcji jako procent konsumpcji mê¿czyzn w cyklu ¿ycia. Taka skala redystrybucji w ramach systemu emerytalnego w bardzo niewielkim stopniu rekompensuje kobietom dyskryminacjê na rynku pracy.
    Keywords: redystrybucja, system emerytalny model OLG
    JEL: C68 D72 E62 H55 J26
    Date: 2017
  44. By: Armelius, Hanna (Ministry of Finance); Hull, Isaiah (Research Department, Central Bank of Sweden); Stenbacka Köhler, Hanna (Monetary Policy Department, Central Bank of Sweden)
    Abstract: Foreign measures of uncertainty, such as the US EPU index, are often used as a proxies for domestic uncertainty in small open economies. We construct an EPU index for Sweden and demonstrate that shocks to the domestic index yield di erent impulse response functions for GDP growth than shocks to the US index. In particular, a one standard deviation shock to the Swedish index delivers its maximum impact in the same quarter, lowering GDP growth by 0.2 percentage points. In contrast, a shock to the US index delivers its maximum impact with a one-quarter delay. Other foreign proxies, such as the EU and German indices, also generate e ects that peak with a one-quarter delay.
    Keywords: economic uncertainty; policy uncertainty; business cycles; small open economy
    JEL: D80 E66 F41 F42
    Date: 2016–12–01
  45. By: Schwerhoff, Gregor; Dao, Nguyen Thang; Edenhofer, Ottmar; Grimalda, Gianluca; Jakob, Michael; Klenert, David; Siegmeier, Jan
    Abstract: Climate policies, including removing fossil fuel subsidies or imposing carbon prices, can be designed in a way that is both efficient in addressing climate change and results in a fair distribution of the associated costs.
    Keywords: G20,climate policy,distribution
    JEL: D62 E62 H21 H22
    Date: 2017
  46. By: Karbowski, Adam
    Abstract: The purpose of this chapter is to assess the change tendencies in human resources in Poland as a factor of economic competitiveness in the period 2010-2016. Human resources constitute an important factor of international competitiveness of the national economy. Productivity of human resources and equipment of the economy in human resources translate immediately into the ability of the national economy to innovate and attract foreign direct investments. The relationship between the state of human resources in Poland in the period 2010-2016 and the international competitiveness of the Polish economy in that period constitutes the research problem of the following work. Compared to the previous studies in the series called “Poland. Report on Competitiveness” prepared every year at the World Economy Research Institute of the Warsaw School of Economics (SGH), this year’s report pays more attention to migration tendencies affecting human resources in Poland in the period 2010-2016. The analysis conducted in this chapter covers the most important aspects of changes in human resources in the Polish economy, such as demographic trends, changes in employment and the level of unemployment, growth in wages and salaries and labour productivity. The main focus is on describing the current migration tendencies affecting human resources in Poland.
    Keywords: competitiveness; migrations; Poland
    JEL: E6 J1
    Date: 2017–06
  47. By: Mark Aguiar; Mark Bils; Kerwin Kofi Charles; Erik Hurst
    Abstract: Younger men, ages 21 to 30, exhibited a larger decline in work hours over the last fifteen years than older men or women. Since 2004, time-use data show that younger men distinctly shifted their leisure to video gaming and other recreational computer activities. We propose a framework to answer whether improved leisure technology played a role in reducing younger men's labor supply. The starting point is a leisure demand system that parallels that often estimated for consumption expenditures. We show that total leisure demand is especially sensitive to innovations in leisure luxuries, that is, activities that display a disproportionate response to changes in total leisure time. We estimate that gaming/recreational computer use is distinctly a leisure luxury for younger men. Moreover, we calculate that innovations to gaming/recreational computing since 2004 explain on the order of half the increase in leisure for younger men, and predict a decline in market hours of 1.5 to 3.0 percent, which is 38 and 79 percent of the differential decline relative to older men.
    JEL: D1 E24 J01 J2
    Date: 2017–06
  48. By: Ben R. Martin
    Abstract: In recent years, the term 'policy instrument' has been used more frequently with regard to R&D policy and innovation policy. What does this term mean? Where did it come from? What do we know about it, both with regard to the general field of policy studies but also in the specific context of R&D policy? This article examines the development of the notion of policy instruments as part of a body of research known as 'policy design'. Over the last 50 years, there has been substantial progress in setting policy design on a more systematic basis, with the development of established concepts and analytical frameworks, including various taxonomies of policy instruments. However, with just a few exceptions, this body of research seems to have had little impact in the world of R&D policy. The paper reviews the literature on R&D policy instruments. It identifies a number of challenges for R&D policy instruments in the light of four transitions – the shift from linear to systemic thinking about R&D and innovation, the shift from national governments to multi-level governance, the shift from individual actors to collaborations and networks, and the shift from individual policies to policy mixes. It sets out a research agenda for the study of R&D policy instruments, before ending with a number of conclusions.
    Keywords: Policy instruments; R&D policy; policy design; policy mix
    JEL: O38 I28 H11 D78 E61
    Date: 2015–12
  49. By: Margaret, Davenport; Guido, Cozzi
    Abstract: Could China's Property Law Reform of 2007 have induced the housing market value drop that preluded the 2007-2008 subprime crisis? We show how a well-known stylized global model may suggest a positive answer.
    Keywords: Global Imbalances, Financial development, China's Property Reform
    JEL: E44 F21 F32 F4
    Date: 2017–06–30
  50. By: Yang, Bill Huajian
    Abstract: Common ordinal models, including the ordered logit model and the continuation ratio model, are structured by a common score (i.e., a linear combination of a list of given explanatory variables) plus rank specific intercepts. Sensitivity with respect to the common score is generally not differentiated between rank outcomes. In this paper, we propose an ordinal model based on forward ordinal probabilities for rank outcomes. The forward ordinal probabilities are structured by, in addition to the common score and intercepts, the rank and rating (for a risk-rated portfolio) specific sensitivity. This rank specific sensitivity allows a risk rating to respond to its migrations to default, downgrade, stay, and upgrade accordingly. An approach for parameter estimation is proposed based on maximum likelihood for observing rank outcome frequencies. Applications of the proposed model include modeling rating migration probability for point-in-time probability of default term structure for IFRS9 expected credit loss estimation and CCAR stress testing. Unlike the rating transition model based on Merton model, which allows only one sensitivity parameter for all rank outcomes for a rating, and uses only systematic risk drivers, the proposed forward ordinal model allows sensitivity to be differentiated between outcomes and include entity specific risk drivers (e.g., downgrade history or credit quality changes for an entity in last two quarters can be included). No estimation of the asset correlation is required. As an example, the proposed model, benchmarked with the rating transition model based on Merton model, is used to estimate the rating migration probability and probability of default term structure for a commercial portfolio, where for each rating the sensitivity is differentiated between migrations to default, downgrade, stay, and upgrade. Results show that the proposed model is more robust.
    Keywords: PD term structure, forward ordinal probability, common score, rank specific sensitivity, rating migration probability
    JEL: C0 C01 C02 C13 C18 C4 C5 C51 C52 C53 C54 C58 C61 C63 E61 G3 G31 G32 G38 O3
    Date: 2017–09
  51. By: Joanna Tyrowicz (Group for Research in Applied Economics (GRAPE); University of Warsaw); Magdalena Smyk (Group for Research in Applied Economics (GRAPE))
    Abstract: Income inequality in the context of large structural change has received a lot of attention in the literature, but most studies relied on household post-transfer inequality measures. This study utilizes a novel and fairly comprehensive collection of micro datasets between 1980s and 2010 for both advanced market economies and economies undergoing transition from central planning to market based system. We show that earned income inequality was initially lower in transition economies and immediately upon the change of the economic system surpassed the levels observed in advanced economies. We decompose changes in wage inequality into parts that can be attributed to changes in characteristics (mainly education) and changes in rewards, but did not find any leading factor. Finally, in the context of skill-biased technological change literature we find a very weak link between structural changes and wages in both advanced and post-transition economies. %This holds regardless of whether an economy has underwent a large structural shock or not.
    Keywords: wage inequality, structural change, transition, skill biased technological change
    JEL: E24 D31 N34 O57 P36 P51
    Date: 2017
  52. By: Zhao Jianglin
    Abstract: The aim of this paper is to reemphasize the money theory of exchange which is centered on the function of exchange medium of money, and make a contribution towards linearization of the quantity equation of exchange. A dynamical quantity equation is presented and an important balanced path of economic evolution is derived. To understand the business cycle we propose a hypothesis of natural cycle and driving cycle concerning the evolution of the balanced path and plentiful conclusions can be made.
    Date: 2017–06
  53. By: Anne-Laure Delatte; Sébastien Jean
    Abstract: This Policy Brief discusses what useful form international economic co-ordination might take, notwithstanding the tense climate witnessed in recent months. On international trade, we argue that aiming at wide-ranging negotiations or more-of- the-same trade liberalizations would be pointless under present circumstances. Instead, efforts should focus on preventing the doom loop of protectionism and retaliation, in a context where the resilience of existing institutions should not be overstated. Updating China’s status is another pressing question which should be tackled seriously, and will require political negotations. Addressing the political concerns about globalization should be another priority, and we argue that it warrants considering including in trade agreements commitments and disciplines regarding non-trade areas such as exchange rates, or social, environmental and fiscal rules. On the macroeconomic front, we point to the rising temptation to use fiscal competition to compensate for low competitiveness. The risk of such strategy is a race to the bottom which would seriously impede the capacity of governements to provide highly-needed public services and infrastructures. A working multi-lateral cooperation shall consolidate the progress achieved thanks to the OECD BEPS initiative and set up a discussion on fiscal issues. Last we call for more accomodative macroeconomic policies to support investment and boost the mild economic activity recovery observed in several countries. This Policy Brief was written as part of the research project on “Major Challenges for Global Macroeconomic Stability and the Role of the G7” in view of the Italian Presidency of the Group of Seven (G7) in 2017, conducted by the Istituto Affari Internazionali (IAI) together with a major policy think tank in each of the other G7 member countries. The project’s papers have been presented and discussed at an international conference held in Rome on 27-28 March 2017.
    Keywords: International co-ordination;International Trade;Tax Competition
    JEL: G20
    Date: 2017–06
  54. By: Williams, John C. (Federal Reserve Bank of San Francisco)
    Abstract: Presentation at Macquarie University, Sydney, Australia, John C. Williams, President and CEO, Federal Reserve Bank of San Francisco, June 27, 2017
    Date: 2017–06–27
  55. By: Chen, John-ren (Center for Mathematical Economics, Bielefeld University)
    Date: 2017–04–04
  56. By: De-Ramon, sebastian (Bank of England); Straughan, Michael (Bank of England)
    Abstract: The Basel III/CRD IV reforms to the banking system following the financial crisis of 2008–09 required banks to raise significantly both the quality and quantity of capital on their balance sheets. This econometric study provides evidence of both the long and short-term implications for ongoing activity in the UK economy of a change in the aggregate proportion of bank capital funding. We find that, in response to changes in their capital funding, banks change credit spreads applied to private non-financial corporate borrowers to a greater extent than for household borrowers in the short term, but equalise these changes in the longer term. The short-term impact reflects banks’ desire to adjust their capital ratios through changes to the value of their risk-weighted assets by restricting the flow of lending to higher-risk sectors to a greater extent than to lower-risk sectors. We also find that after recent regulatory reforms banks may have modified their price-setting behaviour somewhat. We develop a vector error correction model of these effects with an innovative non-standard estimation of the short-term coefficients. Using this approach, we are able to: (i) test hypotheses about the short-term and long-term responses to changes in the aggregate mix of bank capital funding; (ii) test hypotheses about the responses of the non-financial corporate and household sectors; and (iii) enhance the accuracy of the short-term dynamics and the accuracy of the macroeconomic simulations of the effect of increasing bank capital.
    Keywords: Capital requirements; DSGE models; UK economy; bank competition
    JEL: D22 D53 E27 G21
    Date: 2017–06–30
  57. By: Stavins, Joanna (Federal Reserve Bank of Boston)
    Abstract: Payment transformation has generated a shift from paper to cards and electronic payments in the United States, but there is also a large degree of heterogeneity among consumers in how they pay. We present factors affecting consumer payment behavior, show data on how consumers pay in the United States, and summarize existing literature on consumer payment choice. On the supply side, technology, regulation, and cost affect payment behavior. On the demand side, consumer demographics and income, consumer preferences, and consumer assessments of payment method attributes have all been found significant. We focus on price differentiation by payment method by merchants and the effect of such price incentives on payment method use, and on the effect of demographics and of perceptions of payment characteristics on consumer payment choice, emphasizing the effect of security. The studies mentioned here utilize a growing number of data sources, including several surveys and diaries on consumer behavior conducted in the United States and in other countries. We also identify gaps where more research is needed to understand consumer payment choices.
    Keywords: consumer payments; consumer surveys; payment behavior
    JEL: D12 D14 E41
    Date: 2017–05–31
  58. By: José Artur dos Santos Ferreira (ICSA-UFOP); Cândido Guerra Ferreira (Cedeplar-UFMG)
    Abstract: This paper discusses the Brazilian industrialization process (1930-1980). Could we call the Brazilian experience as a Fordism model of development ? In a what sense? Further on highlights the institutional diversity and the national trajectories of development (the varieties of capitalism) and we discuss the Brazilian case: the crisis of the Brazilian development model and the new possibilities. We must examine these ideas in the context of contemporary global crisis and in the background of contradictory and historic sides of the institutional change. Then this paper examines the consequences of social struggles and democratization of the country over social rights and the political economy. We also examine the consequences of the globalization and social development over the Brazilian ways.
    Keywords: Fordism, institutional change, Brazil, regulation school, social development.
    JEL: B52 E02 O11
    Date: 2017–06

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