nep-mac New Economics Papers
on Macroeconomics
Issue of 2017‒10‒15
75 papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Business Management

  1. "Quantitative Easing and Asset Bubbles in a Stock-flow Consistent Framework" By Cameron Haas; Tai Young-Taft
  2. Time to Build and the Business Cycle By Meier, Matthias
  3. Financial Constraints, Wage Rigidity, and the Labor Market By Föll, Tobias
  4. A Macroeconomic Model with Occasional Financial Crises By Paul, Pascal
  5. The Stabilizing Role of Forward Guidance: A Macro Experiment By Ahrens, Steffen; Lustenhouwer, Joep; Tettamanzi, Michele
  6. Historical Patterns of Inequality and Productivity around Financial Crises By Paul, Pascal
  7. Quantitative Easing in the Euro Area - An Event Study Approach By Urbschat, Florian; Watzka, Sebasitan
  8. Assessing the Cross-Country Interaction of Financial Cycles: Evidence from a Multivariate Spectral Analysis of the US and the UK By Till Strohsal; Christian R. Proaño; Jürgen Wolters
  9. Endogenous Regime Switching Near the Zero Lower Bound By Lansing, Kevin J.
  10. Social Security Contributions and the Business Cycle By Almosova, Anna; Voigts, Simon; Burda, Michael
  11. Dissecting the financial cycle with dynamic factor models By Christian Menden; Christian R. Proaño
  12. Fiscal Policy and Occupational Employment Dynamics By Jüßen, Falko; Bredemeier, Christian; Winkler, Roland
  13. Designing QE to overcome the lower bound constraint on interest rates in a fiscally sound monetary union By Bletzinger, Tilman; von Thadden, Leopold
  14. Decomposing the U.S. Great Depression: How important were Loan Supply Shocks? By Breitenlechner, Max; Scharler, Johann
  15. The Econometrics of the EU Fiscal Governance: is the European Commission methodology still adequate? By Fioramanti, Marco; Waldmann, Robert J.
  16. Policy experiments in an agent-based model with credit networks By Assenza, Tiziana; Cardaci, Alberto; Delli Gatti, Domenico; Grazzini, Jakob
  17. The Sovereign Money Initiative in Switzerland: An Economic Assessment By Philippe Bacchetta
  18. Stock-flow consistent data for the Dutch economy, 1995-2015 By Muysken, Joan; Bonekamp, Bas; Meijers, Huub
  19. Taxes and Market Hours: The Role of Gender and Skill By Duval-Hernandez, Robert; Fang, Lei; Ngai, L. Rachel
  20. Does Central Bank Transparency and Communication Affect Financial and Macroeconomic Forecasts? By Thomas Lustenberger; Enzo Rossi
  21. Household Debt and Monetary Policy: Revealing the Cash-Flow Channel By Flodén, Martin; Kilström, Matilda; Sigurdsson, Jósef; Vestman, Roine
  22. Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison By Olesya V. Grishchenko; Sarah Mouabbi; Jean-Paul Renne
  23. Macroprudential Policy in the New Keynesian World By Gersbach, Hans; Hahn, Volker; Liu, Yulin
  24. Macroeconomic Impact of Basel III: Evidence from a Meta-Analysis By Jarko Fidrmuc; Ronja Lind
  25. Explaining Central Bank Trust in an Inflation Targeting Country: The Case of the Reserve Bank of New Zealand By Bernd Hayo; Florian Neumeier
  26. Match Quality, Contractual Sorting and Wage Cyclicality By Joao Alfredo Galindo da Fonseca; Giovanni Gallipoli; Yaniv Yedid-Levi
  27. Managing Capital Flows in the Presence of External Risks By Ricardo M. Reyes-Heroles; Gabriel Tenorio
  28. Distributive cycles and endogenous technical change in a BoPC growth model By Marwil J. Dávila-Fernández; Serena Sordi
  29. Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending By Kiyotaka Nakashima; Masahiko Shibamoto; Koji Takahashi
  30. Measuring the Efficiency of VAT reforms: Evidence from Slovakia By Andrej Cupák; Peter Tóth
  31. Business Cycles and Start-ups across Industries: an Empirical Analysis for Germany By Alexander Konon; Michael Fritsch; Alexander Kritikos
  32. Older and Slower: The Startup Deficit’s Lasting Effects on Aggregate Productivity Growth By Titan Alon; David Berger; Robert Dent; Benjamin Pugsley
  33. No Smoking Gun: Private Shareholders, Governance Rules and Central Bank Financial Behavior By Bartels, Bernd; Weder di Mauro, Beatrice; Eichengreen, Barry
  34. Measuring fiscal spillovers in EMU and beyond: A Global VAR approach By Belke, Ansgar; Osowski, Thomas
  35. The general theory at 80: reflections on the history and enduring relevance of Keynes? economics By Thomas I. Palley
  36. Measuring Heterogeneity in Job Finding Rates among the Non-Employed Using Labor Force Status Histories By Kudlyak, Marianna; Lange, Fabian
  37. Integrated household surveys: an assessment of U.S. methods and an innovation By Samphantharak, Krislert; Schuh, Scott; Townsend, Robert M.
  38. FISS - A Factor Based Index of Systemic Stress in the Financial System By Tibor Szendrei; Katalin Varga
  39. A Life-Cycle Model with Unemployment Traps By Fabio C. Bagliano; Carolina Fugazza; Giovanna Nicodano
  40. The 2015 Survey of Consumer Payment Choice: summary results By Greene, Claire; Schuh, Scott; Stavins, Joanna
  41. Consumption Insurance, Welfare, and Optimal Progressive Taxation By Rostam-Afschar, Davud; Yao, Jiaxiong
  42. Home values and firm behaviour By Bahaj, Saleem; Foulis, Angus; Pinter, Gabor
  43. Trade in Commodities and Emerging Market Business Cycles By Hakon Tretvoll; Fernando Leibovici; David Kohn
  44. An Exchange Rate Floor as an Instrument of Monetary Policy: An Ex-post Assessment of the Czech Experience By Jan Bruha; Jaromir Tonner
  45. The Relationship Between Human Capital and MBA Education: The Case of Turkey By Aras, Osman Nuri; Öztürk, Mustafa
  46. Faster Payments : Market Structure and Policy Considerations By Aaron Rosenbaum; Garth Baughman; Mark D. Manuszak; Kylie Stewart; Fumiko Hayashi; Joanna Stavins
  47. Fiscal Space under Demographic Shift By Christine Ma; Chung Tran
  48. The 2015 Survey of Consumer Payment Choice: technical appendix By Angrisani, Marco; Foster, Kevin; Hitczenko, Marcin
  49. The International Credit Channel of U.S. Monetary Policy and Financial Shocks By Andrej Sokol; Ambrogio Cesa-Bianchi
  50. Changes in the Cost of Bank Equity and the Supply of Bank Credit By Kick, Thomas; Celerier, Claire; Ongena, Steven
  51. Rethinking fiscal policy lessons from the European Monetary Union (EMU) By Saraceno, Francesco.
  52. International credit supply shocks By Cesa-Bianchi, Ambrogio; Ferrero, Andrea; Rebucci, Alessandro
  53. Informational Cycles in Search Markets By Eeva Mauring
  54. Network properties and evolutionof the Hungarian RTGSover the past decade By László Bodnár
  55. Hours Worked in Europe and the US: New Data, New Answers By Fuchs-Schündeln, Nicola; Bick, Alexander; Brüggemann, Bettina
  56. The Reaction of Inflation to Macroeconomic Shocks: The Case of Zimbabwe (2009 – 2012) By William Kavila; Pierre Le Roux
  57. The Effect of News Shocks and Monetary Policy By Gambetti, L; Korobilis, D; Tsoukalas, J; Zanetti, F
  58. The Loan Covenant Channel: How Bank Health Transmits to the Real Economy By Gabriel Chodorow-Reich; Antonio Falato
  59. Inference for Impulse Responses under Model Uncertainty By Lieb, Lenard; Smeekes, Stephan
  60. Trends and transitory shocks: remarks to the Money Marketeers of New York University, New York, New York, September 27, 2017 By Rosengren, Eric S.
  61. The Persistent Effects of Monsoon Rainfall Shocks in India: A Nonlinear VAR Approach By Hertweck, Matthias; Brey, Bjoern
  62. How to Make Monetary Policy More Effective By Steve Ambler
  63. Normalized CES supply-side system approach: How to replicate Klump, McAdam, and Willman (Review of Economics and Statistics, 2007) By Daniels, Gerald Eric; Kakar, Venoo
  64. Dynamics of Access to Credit and Perceptions of Lending Policy: Evidence from a Firm Survey By Fidrmuc, Jarko; Hainz, Christa; Hölzl, Werner
  65. Effect of Welfare and Economic Performance on Good Governance Outcomes in Pakistan By Mamoon, Dawood
  66. Why have the recent oil price declines not stimulated global economic growth? By Thomas Theobald; Peter Hohlfeld
  67. Pareto Efficient Taxation and Expenditures: Pre- and Re-distribution By Joseph E. Stiglitz
  68. Does Financial Literacy Improve Financial Inclusion? Cross Country Evidence By Klühs, Theres; Grohmann, Antonia; Menkhoff, Lukas
  69. Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets By Grosse Steffen, Christoph; Podstawski, Maximilian
  70. Dealing with Time-inconsistency: Inflation Targeting vs. Exchange Rate Targeting By Ippei Fujiwara; Scott Davis
  71. Family Welfare and the Cost of Unemployment By Hotchkiss, Julie L.; Moore, Robert E.; Rios-Avila, Fernando
  72. Determinants of the Public Budget Balance: The Role of Official Capital Flows By Steiner, Andreas
  73. ETLA macro model for forecasting and policy simulations By Lehmus, Markku
  74. The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach By Alfred Haug; Syed Abul Basher; Perry Sadorsky
  75. Directed Search: A Guided Tour By Randall Wright; Philipp Kircher; Benoit Julîen; Veronica Guerrieri

  1. By: Cameron Haas; Tai Young-Taft
    Abstract: Ever since the Great Recession, central banks have supplemented their traditional policy tool of setting the short-term interest rate with massive buyouts of assets to extend lines of credit and jolt flagging demand. As with many new policies, there have been a range of reactions from economists, with some extolling quantitative easing's expansionary virtues and others fearing it might invariably lead to overvaluation of assets, instigating economic instability and bubble behavior. To investigate these theories, we combine elements of the models in chapters 5, 10, and 11 of Godley and Lavoie's (2007) Monetary Economics with equations for quantitative easing and endogenous bubbles in a new model. By running the model under a variety of parameters, we study the causal links between quantitative easing, asset overvaluation, and macroeconomic performance. Preliminary results suggest that rather than being pro- or countercyclical, quantitative easing acts as a sort of phase shift with respect to time.
    Keywords: Quantitative Easing; Stock-flow Consistency; Macroeconomics
    JEL: E12 E44 E58 E21
    Date: 2017–09
  2. By: Meier, Matthias
    Abstract: Investment is central for business cycles and a key characteristic of investment is time to build (TTB). I document that TTB is volatile and largest during recessions. To study these fluctuations, I develop a model. In the model, the longer TTB, the less frequently firms invest, and the less investment reflects productivity, which worsens the allocation of capital. In the calibrated model, one month longer TTB lowers GDP by 0.5%. Empirical evidence corroborates the quantitative results.
    JEL: C32 C68 D92 E01 E22 E32
    Date: 2017
  3. By: Föll, Tobias
    Abstract: This paper studies the effects of combining financial frictions with wage rigidity in a search and matching framework. The model is able to match three empirical observations that existing search and matching models struggle to explain jointly: the cyclical component of the unemployment rate is positively skewed, the number of hires tends to increase in recessions, and the correlation between vacancies and unemployment is highly negative.
    JEL: E24 E27 E32 E44 J63 J64
    Date: 2017
  4. By: Paul, Pascal (Federal Reserve Bank of San Francisco)
    Abstract: Financial crises are born out of prolonged credit booms and depressed productivity. At times, they are initiated by relatively small shocks. Consistent with these empirical observations, this paper extends a standard macroeconomic model to include financial intermediation, long-term defaultable loans, and occasional financial crises. Within this framework, crises are typically preceded by prolonged boom periods. During such episodes, intermediaries expand their lending and leverage, thereby building up financial fragility. Crises are generally initiated by a moderate adverse shock that puts pressure on intermediaries’ balance sheets, triggering a creditor run, a contraction in new lending, and ultimately a deep and persistent recession.
    JEL: E32 E44 E52 G01 G21
    Date: 2017–09–25
  5. By: Ahrens, Steffen; Lustenhouwer, Joep; Tettamanzi, Michele
    Abstract: We study if central banks can manage market expectations by means of forward guidance in a New Keynesian learning-to-forecast experiment. Subjects observe public inflation projections by the central bank along with the historic development of the economy and subsequently submit their own inflation forecasts. We find that the central bank can significantly manage market expectations through forward guidance and that this management strongly supports monetary policy in stabilizing the economy.
    JEL: C92 E32 E37 E58
    Date: 2017
  6. By: Paul, Pascal (Federal Reserve Bank of San Francisco)
    Abstract: Leading up to the Great Recession, the U.S. economy experienced a massive expansion of credit, a slowdown in productivity growth, and a rapid increase in income inequality. All of these developments may have contributed to an unusual buildup of financial instability. This paper explores the contribution of each of these three developments in explaining financial crises using long-run historical data for 17 advanced economies. Previous research showed that credit growth is a robust predictor of financial fragility. I find that changes in top income shares and productivity growth are strong early warning indicators as well. In fact, changes in top income shares outperform credit as crises predictors. Moreover, financial recessions that are preceded by strong increases in income inequality or low productivity growth are also associated with deeper and slower recoveries. Overall, the results indicate that both the productive capacity of an economy and the distribution of income matter for financial stability.
    JEL: E24 E44 E51 G01 G20 H12 N10 N20
    Date: 2017–09–25
  7. By: Urbschat, Florian; Watzka, Sebasitan
    Abstract: We examine the effects of the QE programme started by the ECB in 2015. Studying the short-term reaction of bond markets, we try to quantify different asset price channels such as the portfolio rebalance channel by running event regressions for several Euro Area countries. Our analysis suggests that the ECB’s policy had strong and desired effects on bond markets at the very beginning, but less so subsequently. Possible explanations are the increasingly burdensome institutional set-up of the APP.
    JEL: E43 E44 E52 E58 G14
    Date: 2017
  8. By: Till Strohsal; Christian R. Proaño; Jürgen Wolters
    Abstract: In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle literature, we perform a multivariate parametric frequency domain analysis which takes the complete (cross-) spectrum into account and not only certain frequencies. And second, we provide evidence on the cross-country interaction of financial cycles. We focus on the US and UK and use frequency-wise Granger causality analysis as well as structural break tests to obtain three main results. The relation between cycles has recently intensified. There is a significant Granger causality from the US financial cycle to the UK financial cycle, but not the other way around. This relationship is most pronounced for cycles between 8 and 30 years.
    Keywords: Financial Cycle, Vector Autoregressions, Indirect Spectrum Estimation, Coherency, Granger Causality
    JEL: C32 E32 E44
    Date: 2017
  9. By: Lansing, Kevin J. (Federal Reserve Bank of San Francisco)
    Abstract: This paper develops a New Keynesian model with a time-varying natural rate of inter-est (r-star) and a zero lower bound (ZLB) on the nominal interest rate. The representative agent contemplates the possibility of an occasionally binding ZLB that is driven by switching between two local rational expectations equilibria, labeled the "targeted" and "deflation" solutions, respectively. Sustained periods when the real interest rate remains below the central bank's estimate of r-star can induce the agent to place a substantially higher weight on the deflation equilibrium, causing it to occasionally become self-fulling. I solve for the time series of stochastic shocks and endogenous forecast rule weights that allow the model to exactly replicate the observed time paths of the U.S. output gap and quarterly inflation since 1988. In model simulations, raising the central bank's inflation target to 4% from 2% can reduce, but not eliminate, the endogenous switches to the deflation equilibrium.
    JEL: E31 E43 E52
    Date: 2017–09–28
  10. By: Almosova, Anna; Voigts, Simon; Burda, Michael
    Abstract: This paper examines magnitudes and business cycle dynamics of social security contributions (SSC). In most OECD countries studied, we document a negative covariation of payroll tax burdens with GDP and GDP growth at business cycle frequencies and lower. Changes in average payroll tax burdens are mostly accounted for by tax schedule changes, and not to changes in the earnings distribution over time. SSC rates behave similarly to estimated values of the “labor wedge” (Chari et al. 2007, 2016).
    JEL: E24 E32 J32 H55
    Date: 2017
  11. By: Christian Menden; Christian R. Proaño
    Abstract: The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of macroeconomic and financial variables. More specifically, we estimate three synthetic financial cycle components that account for the majority of the variation in the data set using a dynamic factor model. We investigate whether these financial cycle components have significant predictive power for economic activity, inflation and short-term interest rates by means of Granger causality tests in a factor-augmented VAR set-up. Further, we analyze if the synthetic financial cycle components have significant forecasting power for the prediction of economic recessions using dynamic probit models. Our main findings indicate that all financial cycle measures improve the quality of recession forecasts significantly. In particular, the factor related to financial market participants' uncertainty and risk aversion - related to Rey's (2013) global financial cycle - seems to serve as an appropriate early warning indicator for policymakers.
    Keywords: Financial cycle, dynamic factor model, Granger causality, recession forecasting, dynamic probit models, early warning systems
    JEL: C35 C38 C52 C53 E32 E47
    Date: 2017
  12. By: Jüßen, Falko; Bredemeier, Christian; Winkler, Roland
    Abstract: We document heterogeneity in occupational employment dynamics in response to government spending shocks. Employment rises most strongly in pink-collar occupations, while employment in blue-collar occupations is hardly affected. We develop a business-cycle model that explains the heterogeneous occupational employment dynamics as a consequence of differences in the short-run substitutability between labor and capital services across occupations.
    JEL: E62 E24 J21 J23
    Date: 2017
  13. By: Bletzinger, Tilman; von Thadden, Leopold
    Abstract: This paper develops a model of a fiscally sound monetary union and analyses central bank purchases of long-term debt (QE). Employing the portfolio balance channel, we show that there exists an interest rate rule augmented by QE at the lower bound which replicates the equilibrium allocation and the welfare level of a hypothetically unconstrained economy. We show further that the symmetry of QE depends on whether the monetary union is characterised by asymmetric shocks or asymmetric structures.
    JEL: E43 E52 E61 E63
    Date: 2017
  14. By: Breitenlechner, Max; Scharler, Johann
    Abstract: We evaluate contributions of exogenous loan supply shocks to output dynamics during the Great Depression. Based on a structural VAR, we impose sign restrictions to identify loan supply shocks in addition to standard macroeconomic shocks. Our results indicate that the banking panics that occurred in the early 1930s were associated with negative loan supply shocks, supporting the view that disruptions in financial intermediation contributed significantly to the severity of the Great Depression.
    JEL: C32 E32 E44 N12 N22
    Date: 2017
  15. By: Fioramanti, Marco; Waldmann, Robert J.
    Abstract: Following the 2005 regulations emending the Stability and Growth Pact with the introduction of country-specific objectives in structural terms, the EU fiscal governance is based on the concept of Potential Output, the highest level of production an economy can sustain without incurring inflationary pressure. Potential Output is an unobservable quantity and, for this reason, it must be estimated. There are many techniques to obtain an estimate of the potential of an economy, each of which with pros and cons. The methodology adopted by the European Commission and EU Member States, while consistent with most of the recent economic and econometric theory, is still not robust enough to give a unique and irrefutable measure on which to base EU’s fiscal framework. In this paper, we challenge the EC's approach showing its failure to adequately capture the relation between inflation and cyclical unemployment, the Phillips curve, in estimating the trend unemployment. Should fiscal policy continue to be based on this concept, further extension of the methodology must be implemented in order to obtain more robust estimates.
    Keywords: Potential output, Output gap, Structural balance, NAWRU, Phillips curve
    JEL: C10 E32 E60 H60
    Date: 2017–09–15
  16. By: Assenza, Tiziana; Cardaci, Alberto; Delli Gatti, Domenico; Grazzini, Jakob
    Abstract: In this paper the authors build upon Assenza et al. (Credit networks in the macroeconomics from the bottom-up model, 2015), which include firm-bank and bank-bank networks in the original macroeconomic model in Macroeconomics from the bottom-up (Delli Gatti et al., Macroeconomics from the Bottom-up, 2011). In particular, they extend that framework with the inclusion of a public sector and other modifications in order to carry out different policy experiments. More specifically, the authors test the implementation of a monetary policy by means of a standard Taylor rule, an unconventional monetary policy (i.e. cash in hands) and a set of macroprudential regulations. They explore the properties of the model for such different scenarios. Their results shed some light on the effectiveness of monetary and macroprudential policies in an economy with an interbank market during times of crises.
    Keywords: Agent-based models,monetary policy,credit network
    JEL: C63 E51 E52
    Date: 2017
  17. By: Philippe Bacchetta
    Abstract: The Sovereign Money Initiative will be submitted to the Swiss people in 2018. This paper reviews the arguments behind the initiative and discusses its potential impact. I argue that several arguments are inconsistent with empirical evidence or with economic logic. In particular, controlling sight deposits neither stabilizes credit nor avoids financial crises. Also, assuming that deposits at the central bank are not a liability has implications for fiscal and monetary policy; and Benes and Kumhof (2012) do not provide support for the reform as they do not analyze the proposed Swiss monetary reform and their closed-economy model does not fit the Swiss economy. Then, using a simple model with monpolistically competitive banks, the paper assesses quantitatively the impact of removing sight deposits from commercial banks balance sheets. Even though there is a gain for the state, the overall impact is negative, especially because depositors would face a negative return. Moreover, the initiative goes much beyond what would be the equivalent of full reserve requirement and would impose severe constraints on monetary policy; it would weaken financial stability rather then reinforce it; and it would threaten the trust in the Swiss monetary system. Finally, there is high uncertainty both on the details of the reform and on its impact.
    Keywords: Reserve requirements; sovereign money; money creation
    JEL: E42 E51 E41
    Date: 2017–09
  18. By: Muysken, Joan (UNU-MERIT, and SBE, Maastricht University); Bonekamp, Bas (SBE, Maastricht University); Meijers, Huub (UNU-MERIT, and SBE, Maastricht University)
    Abstract: In earlier work Meijers, Muysken (and Sleijpen) have developed an open economy stock-flow consistent (SFC) macroeconomic model of the Dutch economy with an elaborated financial sector. This model has been used to analyse several stylised facts of the Dutch economy, such as the deposit financing gap, the excessive trade surplus, the impact of firms accumulating financial assets and the impact of quantitative easing. However, the stylised facts were collected in an ad hoc way and the parameters used in the model were taken from the international literature, without proper reference to Dutch data. In the present paper we develop a stock flow consistent data set for the Dutch economy 1995 - 2015 in order to stimulate further research in the SFC tradition using actual data, and to enhance our understanding of the Dutch economy. The data set is based on data from the Central Bureau of Statistics (CBS) for most sectors - these are consistent with the AMECO data published by Eurostat. However, for the financial sector we show that the CBS-data are incomplete and also use data provided by the Dutch Central Bank (DNB). We distinguish between households, firms, government, a foreign sector and within the financial sector between a central bank, banks and pension funds. For each sector we provide a somewhat simplified balance sheet and consistent flows, which can be used in the model.
    Keywords: stock-flow consistent modelling, Dutch economy, current account surplus
    JEL: E01 E44 C54 G21 G32 O11
    Date: 2017–10–03
  19. By: Duval-Hernandez, Robert (University of Cyprus); Fang, Lei (Federal Reserve Bank of Atlanta); Ngai, L. Rachel (London School of Economics)
    Abstract: Cross-country differences of market hours in 17 countries belonging to the Organisation for Economic Co-operation and Development are mainly due to the hours of women, especially low-skilled women. This paper develops a model to account for the gender-skill differences in market hours across countries. The model explains a substantial fraction of the differences in hours by taxes, which reduce market hours in favor of leisure and home production, and by subsidized care, which frees (mostly) women from home care in favor of their market hours. Low-skilled women are more responsive to policy because of their low market returns and their comparative advantage in home activities.
    Keywords: Cross-country differences in market hours; home production; subsidies on family care
    JEL: E24 E62 J22
    Date: 2017–09–01
  20. By: Thomas Lustenberger; Enzo Rossi
    Abstract: In a large sample of countries across different geographic regions and over a long period of time, we find limited country- and variable-specific effects of central bank transparency on forecast accuracy and their dispersion among a large set of professional forecasts of financial and macroeconomic variables. More communication even increases forecast errors and Dispersion.
    Keywords: Central bank transparency, central bank communication,central bank independence, inflation targeting, forward guidance, macroeconomic forecasts, financial forecasts, panel data models with truncated data
    JEL: C23 C53 E37 E58 D8
    Date: 2017
  21. By: Flodén, Martin (Sveriges Riksbank and CEPR); Kilström, Matilda (IIES, Stockholm University); Sigurdsson, Jósef (IIES, Stockholm University); Vestman, Roine (Stockholm University and SHoF)
    Abstract: We examine the cash-flow channel of monetary policy, i.e. the effect of monetary policy on spending when households hold debt linked to short-term rates such as adjustable rate mortgages (ARMs). Using registry-based data on Swedish households, we estimate substantial heterogeneity in consumption responses to a change in monetary policy through the cash-flow channel. Our findings imply that monetary policy has a stronger effect on real economic activity when households are highly indebted and have ARMs. For homeowners with a debtto- income ratio of around 3 and ARMs, the estimated response is equivalent to a marginal propensity to consume of 0.5.
    Keywords: Monetary policy; consumption; household debt; variable interest rates; adjustable rate mortgages
    JEL: D14 E21 E52 G11
    Date: 2017–09–01
  22. By: Olesya V. Grishchenko; Sarah Mouabbi; Jean-Paul Renne
    Abstract: We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that accounts for inflation uncertainty. Our results suggest that following the Great Recession, inflation anchoring improved in the US, while mild de-anchoring occurred in the euro-area. As of our sample end, both areas appear to be equally anchored.
    Keywords: Anchoring of inflation expectations ; Dynamic factor model ; Inflation ; Stochastic volatility ; Surveys of professional forecasters ; Term structure of inflation expectations and inflation uncertainty
    JEL: C32 E41 E44
    Date: 2017–10–03
  23. By: Gersbach, Hans; Hahn, Volker; Liu, Yulin
    Abstract: We integrate banks and the coexistence of bank and bond financing into an otherwise standard New Keynesian Framework with capital, and derive the microfounded, bank-augmented IS and Phillips Curves for the corresponding two-sector economy. We study the interplay of monetary and macroprudential policies. We examine how policy-making could be operationalized by loss functions for monetary and macroprudential policy-making. Finally, we investigate the optimal institutional structures.
    JEL: E52 E58 G28
    Date: 2017
  24. By: Jarko Fidrmuc (Zeppelin University Friedrichshafen); Ronja Lind (Zeppelin University Friedrichshafen)
    Abstract: We present a meta-analysis of the impact of higher capital requirements imposed by regulatory reforms on the macroeconomic activity (Basel III). The empirical evidence derived from a unique dataset of 48 primary studies indicates that there is a negative, albeit moderate GDP level effect in response to a change in the capital ratio. The effects are likely to be slightly stronger but still low for the CEECs. Meta-regression results suggest that the estimates reported in the literature tend to be systematically influenced by a selected set of study characteristics, such as econometric specifications, the authors’affiliations, and the underlying financial system. Finally, we document a significant positive publication bias.
    Keywords: Meta-analysis, Bayesian model averaging, publication bias, banking, capital requirements, Basel III
    JEL: E51 E44 G28
    Date: 2017–09
  25. By: Bernd Hayo; Florian Neumeier
    Abstract: Employing data from a representative population survey conducted in New Zealand in 2016, this paper examines factors that influence, or are at least associated with, public trust in the Reserve Bank of New Zealand (RBNZ). The large number of specifically designed questions allows studying the relationship between six dimensions and RBNZ trust: (i) economic situation, (ii) monetary policy knowledge, (iii) nonspecific trust, (iv) interest and information search, (v) politicians and government, and (vi) socio‐demographic indicators. Using ordered logit models, we find that at least one indicator from each of these six dimensions has a statistically significant conditional correlation with individuals’ trust in RBNZ. Satisfaction with own financial situation, objective knowledge about the RBNZ’s main policy objective, responsibility for interest rate setting, subjective knowledge about inflation, trust in government institutions, desire to be informed about RBNZ, age, and full‐time selfemployment have a positive relationship with RBNZ trust. The reverse is found for respondents who do not keep up with RBNZ and believe that politicians are long‐term oriented. In terms of economic relevance, institutional trust has the largest single impact on RBNZ trust and the subjective and objective knowledge indicators show a strong combined influence.
    JEL: E52 E58 Z10
    Date: 2017
  26. By: Joao Alfredo Galindo da Fonseca (University of British Columbia, Vancouver School of Economics); Giovanni Gallipoli (University of British Columbia); Yaniv Yedid-Levi (University of British Columbia, Vancouver School of Economics)
    Abstract: This paper studies the role of match quality for contractual arrangements, wage dynamics and workers’ retention. We develop a model in which profit maximizing firms offer a performance-based pay arrangement to retain workers with relatively high match-specific productivity. The key implications of our model hold in data from the NLSY79, where information about job histories and performance pay is available. We relate our findings to the literature on occupation heterogeneity and provide evidence that jobs in "cognitive" occupations have better match quality, exhibit higher prevalence of performance pay, display significant sensitivity of wages to business cycle conditions and last longer.
    Keywords: match quality, contracts, heterogeneity, occupation, wages, cyclicality
    JEL: M52 M55 J33 J41 E24
    Date: 2017–10
  27. By: Ricardo M. Reyes-Heroles; Gabriel Tenorio
    Abstract: We introduce external risks, in the form of shocks to the level and volatility of world interest rates, into a small open economy model subject to the risk of sudden stops—large recessions together with abrupt reversals in capital inflows| and characterize optimal macroprudential policy in response to these shocks. In the model, collateral constraints create a pecuniary externality that leads to "overborrowing" and sudden stops that arise when the constraints bind. The typical sudden stop generated by the model replicates existing empirical evidence for emerging market economies: Low and stable external interest rates reinforce "overborrowing" and lead to greater exposure to crises typically accompanied by abrupt increases in interest rates and a persistent rise in their volatility. We solve for the optimal policy and argue that the size of a tax on international borrowing that implements the policy depends on two factors, the incidence and the severity of potential future crises. We show quantitatively that these taxes respond to both the level and volatility of interest rates even though optimal decisions in the competitive equilibrium do not respond substantially to changes in volatility, and that the size of the optimal tax is non-monotonic with respect to external shocks.
    Keywords: Macroprudential policy ; time-varying volatility ; sudden stops ; financial crises ; external interest rates
    JEL: E3 E6 F3 F4 G1 G2
    Date: 2017–09
  28. By: Marwil J. Dávila-Fernández; Serena Sordi
    Abstract: Our purpose in this paper is to expand Goodwin's (1967) distributive cycle model to an open economy framework in a way that incorporates the balance-of-payments constraint on growth. We do so by allowing technical change to be endogenous to the cyclical dynamics of the system and by adopting an independent investment function. We show that a Hopf-Bifurcation analysis establishes the possibility of persistent and boundedcyclical paths both for a 3D and a 4D extension of the model. Some numerical simulations are performed based on the analytical models developed. Motivational empirical evidence is also provided for Thirlwall's law and the respective adjustment mechanism using a sample of 17 OECD countries.
    Keywords: Growth cycle; Goodwin; Thirlwall?s law; Kaldor-Verdoorn; Distributive cycles; Hopf bifurcation.
    JEL: E12 E32 O40
    Date: 2017–10
  29. By: Kiyotaka Nakashima (Faculty of Economics, Konan University, Japan); Masahiko Shibamoto (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan); Koji Takahashi (Department of Economics, University of California, San Diego, USA)
    Abstract: We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm matched dataset in Japan from 1999 to 2015 by disentangling conventional and unconventional monetary policy shocks employed by the Bank of Japan over the past 15 years. We find that a rise in the share of the unconventional assets held by the Bank of Japan boosts lending to firms with a lower distance-to-default ratio from banks with a lower liquid assets ratio and higher risk appetite. In contrast to the composition shock, the monetary base shock of increasing the Bank of Japan’s balance sheet size does not have heterogeneous effects on bank lending. Furthermore, we find that interest rate cuts stimulate lending to risky firms from banks with a higher leverage ratio.
    Keywords: Unconventional monetary policy; Quantitative and qualitative monetary easing; Matched lender-borrower data; Risk-taking channel; News shock
    JEL: E44 E52 G21
    Date: 2017–09
  30. By: Andrej Cupák (National Bank of Slovakia); Peter Tóth (National Bank of Slovakia)
    Abstract: We estimate a demand system to simulate the welfare and fiscal impacts of the recent value added tax (VAT) cut on selected foods in Slovakia. We evaluate the efficiency of the tax cut vis-a-vis its hypothetical alternatives using the ratio of the welfare and fiscal impacts. Based on our findings, tax cuts tend to be more efficient if demand for a good is price-elastic or if the good has several complements. The results also indicate that cherry-picking from food sub-categories could have improved the efficiency of the recent tax change. Further, we found potential revenue-neutral welfare-improving tax schemes, namely, a reduced rate on foods financed by an increased rate on non-foods improves welfare in case of most food types. The paper contributes to the literature by demonstrating that standard approximate efficiency indicators of VAT reforms are biased compared with simulation-based results for any plausible degree of a tax change.
    Keywords: Consumer behavior; Demand system; QUAIDS; Value added tax; Tax reform; Efficiency; Optimal taxation; Slovakia
    JEL: D12 E21 H21 I31
    Date: 2017–09
  31. By: Alexander Konon (German Institute for Economic Research (DIW Berlin)); Michael Fritsch (FSU Jena); Alexander Kritikos (German Institute for Economic Research (DIW Berlin), University of Potsdam, IZA, and IAB)
    Abstract: We analyze whether start-up rates in different industries systematically change with business cycle variables. We mostly find correlations that are consistent with counter-cyclical influences of the business cycle on entries in both innovative and non-innovative industries. Entries into the large-scale industries, including the innovative part of the manufacturing sector, are more strongly influenced by changes in the cyclical component of unemployment, while entries into small-scale industries, like the knowledge intensive services, are merely influenced by changes in the cyclical component of GDP. Business formation may therefore have a stabilizing effect on the economy.
    Keywords: New business formation, Entrepreneurship, business cycle, manu- facturing, services, innovative industries
    JEL: L26 E32 L16 R11
    Date: 2017–10–04
  32. By: Titan Alon; David Berger; Robert Dent; Benjamin Pugsley
    Abstract: We investigate the link between declining firm entry, aging incumbent firms and sluggish U.S. productivity growth. We provide a dynamic decomposition framework to characterize the contributions to industry productivity growth across the firm age distribution and apply this framework to the newly developed Revenue-enhanced Longitudinal Business Database (ReLBD). Overall, several key findings emerge: (i) the relationship between firm age and productivity growth is downward sloping and convex; (ii) the magnitudes are substantial and significant but fade quickly, with nearly 2/3 of the effect disappearing after five years and nearly the entire effect disappearing after ten; (iii) the higher productivity growth of young firms is driven nearly exclusively by the forces of selection and reallocation. Our results suggest a cumulative drag on aggregate productivity of 3.1% since 1980. Using an instrumental variables strategy we find a consistent pattern across states/MSAs in the U.S. The patterns are broadly consistent with a standard model of firm dynamics with monopolistic competition.
    JEL: E01 E24
    Date: 2017–09
  33. By: Bartels, Bernd; Weder di Mauro, Beatrice; Eichengreen, Barry
    Abstract: Das vorliegende Manuskript untersucht den Zusammenhang zwischen Regeln zur finanziellen Unabhängigkeit von Zentralbanken und deren Finanzkraft. Wir studieren die Regeln und Bilanzdaten von 35 Zentralbanken in der OECD mit dem Ziel herauszuarbeiten, ob die Eigentümerstruktur der Bank (privat oder staatlich geführt), ihre Gewinnverteilungsregeln, Besteuerungsgesetze, Rückstellungsregeln und andere Bilanzierungsregeln die Höhe von Gewinnen, deren Verteilung, sowie die Höhe der Reserven beeinflusst.
    JEL: E42 E58
    Date: 2017
  34. By: Belke, Ansgar; Osowski, Thomas
    Abstract: We identifiy and measure fiscal spillovers in the EU countries using a global vector autoregression (GVAR) model. We find moderate spillover effects of fiscal policy shocks originating in Germany and France and significant variation regarding magnitude of the spillovers among destination countries and country clusters. Furthermore, we find some evidence that spillovers generated by German or French fiscal spillovers are stronger for EMU than non-EMU countries in Europe.
    JEL: C50 E61 F15 F42 H60
    Date: 2017
  35. By: Thomas I. Palley
    Abstract: This paper reflects on the history and enduring relevance of Keynes? economics. Keynes unleashed a devastating critique of classical macroeconomics and introduced a new replacement schema that defines macroeconomics. The success of the Keynesian revolution triggered a counter-revolution that restored the classical tradition and now enforces a renewed classical monopoly. That monopoly has provided the intellectual foundations for neoliberalism which has produced economic and political conditions echoing the 1930s. Openness to Keynesian ideas seems to fluctuate with conditions, and current conditions are conducive to revival of the Keynesian revolution. However, a revival will have to overcome the renewed classical monopoly.
    Keywords: Keynes, General Theory, Keynesian revolution, Classical economics, classical counter-revolution
    JEL: E0 E12 B1 B2
    Date: 2017
  36. By: Kudlyak, Marianna (Federal Reserve Bank of San Francisco); Lange, Fabian (McGill University)
    Abstract: We introduce a novel approach to studying heterogeneity in job finding rates by classifying the non-employed, the unemployed and those out of the labor force (OLF), according to their labor force status (LFS) histories using four-month panels in the CPS. Respondents’ LFS histories outperform current-month responses to survey questions about duration and reason for unemployment, desire to work, or reasons for not searching in predicting future employment. We find that the best predictor of future employment for the non-employed is their duration since last employment. For those OLF, the duration since last employment is only available via LFS histories and cannot be inferred from current-month responses. Those who were recently employed are twice as likely to find a job as those who report wanting a job. For the unemployed, the duration since last employment is a better predictor of future employment than the self-reported duration of unemployment is, as the two duration measures often disagree. The disagreement is not caused by classification error but rather arises because self-reported durations reflect individuals’ in short-term jobs either temporarily suspending their search or continuing search while working. Recent employment breaks negative duration dependence in unemployment exits and the unemployed who report long durations after recent employment have similar job finding rates as those who report short durations. Using our proposed approach, we reexamine the unemployment duration distribution and current approach to misclassification error in the CPS.
    JEL: E24 E32 J30 J41 J63 J64
    Date: 2017–09–26
  37. By: Samphantharak, Krislert (University of California San Diego); Schuh, Scott (Federal Reserve Bank of Boston); Townsend, Robert M. (Massachusetts Institute of Technology)
    Abstract: We present a vision for improving household financial surveys by integrating responses from questionnaires more completely with financial statements and combining them with payments data from diaries. Integrated household financial accounts—-balance sheet, income statement, and statement of cash flows—-are used to assess the degree of integration in leading U.S. household surveys, focusing on inconsistencies in measures of the change in cash. Diaries of consumer payment choice can improve dynamic integration. Using payments data, we construct a statement of liquidity flows: a detailed analysis of currency, checking accounts, prepaid cards, credit cards, and other payment instruments, consistent with conventional cash-flows measures and the other financial accounts.
    Keywords: surveys; diaries; payments; financial statements; cash flows
    JEL: D12 D14 E41 E42
    Date: 2017–05–22
  38. By: Tibor Szendrei (Magyar Nemzeti Bank (Central Bank of Hungary)); Katalin Varga (Magyar Nemzeti Bank (Central Bank of Hungary))
    Abstract: Tracking and monitoring stress within the financial system is a key component of macroprudential policy. This paper introduces a new measure of contemporaneous stress: the Factor based Index of Systemic Stress (FISS). The aim of the index is to capture the common components of data describing the financial system. This new index is calculated with a dynamic Bayesian factor model methodology, which compresses the available high frequency and high dimensional dataset into stochastic trends. Aggregating the extracted 4 factors into a single index is possible in a multitude of ways but averaging yields satisfactory results. The contribution of the paper is the usage of the dynamic Bayesian framework to measure financial stress, as well as producing the measure in a timely manner without the need for deep option markets. Applied to Hungarian data the FISS is planned to be a key element of the macroprudential toolkit.
    Keywords: Systemic stress, Financial Stress Index, Dynamic Bayesian Factor Model, Financial System, Macroprudential Toolkit.
    JEL: G01 G10 G20 E44
    Date: 2017
  39. By: Fabio C. Bagliano (Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, Italy); Carolina Fugazza (Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, Italy); Giovanna Nicodano (Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, Italy)
    Abstract: The Great Recession has highlighted that long-term unemployment may become a trap with loss of human capital. This paper extends the life-cycle model allowing for a small risk of long-term unemployment with permanent effects on labour income. Such nonlinear income risk dampens both early consumption and early investment in risky assets, resulting in an optimal equity portfolio share relatively flat in age. The driver of such flattening in the life-cycle profile is the resolution of uncertainty, as the worker ages, concerning this personal disaster. Shifting to such flatter investment profile away from a simple “age rule†delivers mean welfare gains that are three times larger than in models with linear labour income shocks.
    Keywords: Disaster risk, Life-cycle portfolio choice, Unemployment risk, Human capital depreciation, Age rule.
    JEL: E21 G11
    Date: 2017–09
  40. By: Greene, Claire (Federal Reserve Bank of Boston); Schuh, Scott (Federal Reserve Bank of Boston); Stavins, Joanna (Federal Reserve Bank of Boston)
    Abstract: The 2015 Survey of Consumer Payment Choice (SCPC) was implemented using a new longitudinal panel, the Understanding America Study (UAS), and results are not yet comparable to the 2008–2014 SCPC. In 2015, U.S. consumers made 68.9 payments per month. Debit cards remained the most popular payment instrument among U.S. consumers in 2015, accounting for 32.5 percent of their monthly payments, followed by cash (27.1 percent) and credit or charge cards (21.3 percent). For nonbills, consumers used cash and debit equally—about one-third of the time for each. For bills, consumers used payment cards for half of bill payments and electronic payments from bank accounts for one-quarter of bill payments. In 2015, U.S. consumers on average held $202 in cash (on person and stored on property, large values excluded). Use of new payment technologies was still relatively rare. Just over 1 percent of consumers had a Venmo account in 2015. About half a percent of U.S. consumers held bitcoin or other virtual currencies.
    Keywords: cash; checks; checking accounts; debit cards; credit cards; prepaid cards; electronic payments; payment preferences; unbanked; Survey of Consumer Payment Choice
    JEL: D12 D14 E42
    Date: 2017–08–08
  41. By: Rostam-Afschar, Davud; Yao, Jiaxiong
    Abstract: Partial insurance of consumption against wage shocks is achieved through progressive taxation, labor supply adjustment, and precautionary wealth accumulation. The optimal degree of progressivity depends on preference and initial wealth conditions. More patient, more willing to work, and less wealthy households prefer more progressivity. The optimal progressivity is similar in Germany in comparison to the United States, though wealth has a greater impact on consumption insurance in Germany.
    JEL: D31 E21 H21 J22
    Date: 2017
  42. By: Bahaj, Saleem (Bank of England); Foulis, Angus (Bank of England); Pinter, Gabor (Bank of England)
    Abstract: The homes of those in charge of firms are an important source of finance for ongoing businesses. We use firm level accounting data, transaction level house price data and loan level residential mortgage data from the United Kingdom to show that a £1 increase in the value of the residential real estate of a firm’s directors increases the firm’s investment and wage bill by £0.03 each. These effects run through smaller firms and are similar in booms and busts. In aggregate, the homes of firm directors are worth 80% of GDP. Using this, a back of the envelope calculation suggests that a 1% increase in real estate prices leads, through this channel, to up to a 0.28% rise in business investment and a 0.08% rise in total wages paid. We complement this with evidence on how a firm responds to changes in the value of its own corporate real estate; we find that, in aggregate, the residential real estate of directors is at least as important for activity. We use an estimated general equilibrium model to quantify the importance of both types of real estate for the propagation of shocks to the macroeconomy.
    Keywords: Housing; personal guarantees; corporate finance; investment; business cycles
    JEL: D22 E32 R30
    Date: 2017–10–06
  43. By: Hakon Tretvoll (BI Norwegian Business School); Fernando Leibovici (Federal Reserve Bank of St. Louis); David Kohn (Universidad Catolica de Chile)
    Abstract: This paper studies the role of the sectoral composition of production and trade in accounting for emerging market business cycles. We document that in emerging economies the production of commodities is a larger share of total production than in developed ones, and that they run larger sectoral and aggregate trade imbalances. We set up a small open economy model that produces commodities and manufactures and trades them with the rest of the world. We contrast the implied business cycle dynamics of two economies that are respectively calibrated to match the observed differences between developed and emerging countries. In the model, shocks to the relative price of commodities lead to much larger fluctuations in output, net exports and TFP in the emerging economy, accounting for the higher volatility that we observe in the data. A key driver of these effects is that emerging economies consume relatively more manufactures than they produce.
    Date: 2017
  44. By: Jan Bruha; Jaromir Tonner
    Abstract: In November 2013 the Czech National Bank introduced a floor for the Czech koruna exchange rate as its monetary policy instrument. The rationale for this action was to prevent the risk of deflation in a zero-lower-bound environment where policy rates could not be lowered any further. The goal of this paper is to assess ex post the effect of the exchange rate floor on the Czech economy - inflation and the main real aggregates. The paper uses two different approaches. First, the official DSGE forecasting model is used to simulate the counterfactual macroeconomic dynamics of no introduction of a floor. Second, the paper applies an empirical approach: the synthetic control method and its generalised variant are used to estimate these counterfactual trajectories. Both approaches show that the floor prevented inflation from turning negative. Moreover, both methods indicate likely positive effects on macro variables and on various measures of inflation, although strongly statistically significant effects are only obtained for core inflation. The statistical significance for other variables is weaker or zero. We conclude that the introduction of the exchange rate floor was a correct policy action that has retrospectively been successful.
    Keywords: DSGE modelling, exchange rate policy, monetary policy in a zero interest rate environment, synthetic control method
    JEL: C21 E58 F47
    Date: 2017–09
  45. By: Aras, Osman Nuri; Öztürk, Mustafa
    Abstract: Human capital is one of the most important source for economic development and economic progress in a country. Of course, the quality of human capital will be determinative of the economic development and economic progress. Education, on the other hand, is the most important and the initial step in improving the quality of human capital and in achieving a sufficient level of qualification regarding human capital. Today, undergraduate education programs, especially Master of Business Administration (MBA) programs, make a greater contribution in upgrading the quality of the human capital. MBA programs have become widespread in Turkey as well as in many countries around the world. There is a necessity of measuring the quality level of human capital which is provided by the education especially, MBA programs. Within the framework of this necessity, in this article, it is aimed to measure the level of contribution of MBA programs to human capital in Turkey. According to the results of the study, there is a statistically significant relationship between economic performance and the quality of human capital obtained through MBA education. However, according to another result of the study, the effect of MBA education on the level of disposable personal income takes time. Moreover, more effort to increase the awareness of the public and private institutions about the contribution of MBA education to human capital is needed.
    Keywords: Economic Development, Human Capital, Social Capital, Education, MBA Programs.
    JEL: E0 I23 I25 O1
    Date: 2017–09–01
  46. By: Aaron Rosenbaum; Garth Baughman; Mark D. Manuszak; Kylie Stewart; Fumiko Hayashi; Joanna Stavins
    Abstract: The U.S. payments industry is in the process of developing ubiquitous, safe, faster electronic solutions for making a broad variety of business and personal payments. How this market for faster payments will evolve will be shaped by a range of economic forces, such as economies of scale and scope, network effects, switching costs, and product differentiation. Emerging technologies could alter these forces and lead to new organizational arrangements or market structures that are different from those in legacy payment markets to date. In light of this uncertainty, this paper examines three hypothetical market structures that may emerge: a dominant-operator environment, a multi-operator environment, and a decentralized environment. Each of these market structures has different implications for the public policy objectives of efficiency, safety, and ubiquity. The paper also considers tools to promote positive outcomes in each market structure.
    Keywords: Faster payments ; Market structure and competition ; Payment system improvement ; Public policy ; Retail payments
    JEL: D4 G2 L1 E42
    Date: 2017–09–25
  47. By: Christine Ma (Deloitte Access Economics); Chung Tran (The Australian National University (E-mail:
    Abstract: To what extent does population ageing limit fiscal capacity and affect fiscal sustainability? We answer this question through the lens of a fiscal space defined by the budgetary room between the current tax revenue and the peak of a Laffer curve. We use a dynamic general equilibrium, overlapping generations model calibrated to data from Japan and the US. Our findings show that the evolution of underlying demographic structures plays an important role in shaping a country fs fiscal capacity. There will be significant contractions in the fiscal space of Japan and the US when the two countries enter the late stage of demographic transition in 2040. In particular, the results from the model calibrated to Japan indicate that an increase in the old-age dependency ratio to over 70 percent can reduce Japan fs fiscal space by 36 percent. The existing design of Japan fs tax-transfer system is not fiscally sustainable by 2040 when factoring in the growing fiscal cost of the social security program.
    Keywords: Population Ageing, Laffer Curve, Fiscal Limit, Sustainability, Heterogeneity, Dynamic General Equilibrium
    JEL: E62 H20 H60 J11
    Date: 2017–09
  48. By: Angrisani, Marco (University of Southern California); Foster, Kevin (Federal Reserve Bank of Boston); Hitczenko, Marcin (Federal Reserve Bank of Boston)
    Abstract: This document serves as the technical appendix to the 2015 Survey of Consumer Payment Choice administered by the Dornsife Center for Economic and Social Research (CESR). The Survey of Consumer Payment Choice (SCPC) is an annual study designed primarily to collect data on attitudes to and use of various payment instruments by consumers over the age of 18 in the United States. The main report, which introduces the survey and discusses the principal economic results, can be found at In this data report, we detail the technical aspects of the survey design, implementation, and analysis.
    Keywords: survey design; sample selection; raking; survey cleaning; poststratification estimates
    JEL: D12 D14 E4
    Date: 2017–07–01
  49. By: Andrej Sokol (Bank of England); Ambrogio Cesa-Bianchi (Bank of England)
    Abstract: We provide novel evidence on the existence of an `international credit chan- nel' for the transmission of US shocks across borders. Using a two-country SVAR for the U.S. and the U.K., we show that U.S. monetary policy shocks, identified using high frequency surprises around policy announcements as external instruments, can significantly affect credit spreads in both coun- tries, but less so U.K. economic activity. We then recover a U.S. financial shock, which we identify within the same model using sign restrictions, and show that financial shocks are quickly transmitted internationally, with effects on credit spreads that are similar to the ones of monetary policy shocks. Unlike monetary policy shocks, however, financial shocks have a sizeable impact on economic activity and consumer prices in both coun- tries. Our results are in line with general equilibrium open economy models with credit market imperfections and a high degree of financial integration.
    Date: 2017
  50. By: Kick, Thomas; Celerier, Claire; Ongena, Steven
    Abstract: We explore the effect of tax reforms in Italy and Belgium, respectively that decrease the cost of equity on bank lending. Because local firms were also affected by these reforms, we em-ploy loan level data from the German credit register, to identify the differential impact on lending by banks that were 'treated'. We find that the decrease in the cost of equity leads banks to raise their equity ratio, and to expand their balance sheet by increasing the amount of credit supplied in Germany.
    JEL: E51 E58 G21 G28
    Date: 2017
  51. By: Saraceno, Francesco.
    Abstract: This paper challenges the ideological and empirical basis of the “New Consensus” to macroeconomic policy, which advocates limited government intervention to correct short-term deviations from the growth path constrained by a rules-based framework. Based on the recent experience of the United States and the Economic and Monetary Union of the European Union (EMU), the paper argues that the New Consensus has yielded a policy stance that is excessively “hands off”, slow to respond to economic downturns, and has led to premature austerity, all of which have stifled the recovery. This provides lessons for not only developed countries, but also developing and emerging economies seeking to design macroeconomic policy frameworks to cope with the economic cycle and spillovers from the globalized economy.
    Keywords: fiscal policy, macroeconomics, EMU, USA
    Date: 2017
  52. By: Cesa-Bianchi, Ambrogio (Bank of England); Ferrero, Andrea (University of Oxford); Rebucci, Alessandro (John Hopkins University Carey Business School)
    Abstract: House prices and exchange rates can potentially amplify the expansionary effect of capital inflows by inflating the value of collateral. We first set up a model of collateralized borrowing in domestic and foreign currency with international financial intermediation in which a change in leverage of global intermediaries leads to an international credit supply increase. In this environment, we illustrate how house price increases and exchange rates appreciations contribute to fuelling the boom by inflating the value of collateral. We then document empirically, in a Panel VAR model for 50 advanced and emerging countries estimated with quarterly data from 1985 to 2012, that an increase in the leverage of US Broker-Dealers also leads to an increase in cross-border credit flows, a house price and consumption boom, a real exchange rate appreciation and a current account deterioration consistent with the transmission in the model. Finally, we study the sensitivity of the consumption and asset price response to such a shock and show that country differences are associated with the level of the maximum loan-to-value ratio and the share of foreign currency denominated credit.
    Keywords: Cross-border claims; capital flows; credit supply shock; leverage; exchange rates; house prices; international financial intermediation
    JEL: C32 E44 F44
    Date: 2017–10–06
  53. By: Eeva Mauring
    Abstract: I study a sequential search model where buyers face an unknown distribution of offers and learn about the distribution from other buyers' actions. Each buyer observes whether a randomly chosen buyer traded in the previous period. I show that a cyclical equilibrium exists where the informational content of observing a trade uctuates: a trade is good news about the distribution in every other period and bad news in the remaining periods. This leads to uctuations in the volume and probability of trading. They uctuate more if the unknown distribution is bad rather than good. A steady-state equilibrium where buyers are more likely to continue searching than in the cyclical equilibrium is less ecient than the cyclical equilibrium. A market that starts at date one converges to the cyclical equilibrium for some parameter values.
    JEL: D83 L15 E32
    Date: 2017–10
  54. By: László Bodnár (Magyar Nemzeti Bank (Central Bank of Hungary))
    Abstract: Since the 2008 economic crisis, network research has become increasingly prominent in the world of finance. The complex interrelations and financial interdependencies formed among financial market participants have proved to be critical in times of crisis. In this paper, we explore the network properties of the Hungarian RTGS (VIBER) and also seek an answer to the question of whether the network properties of the system have changed over the long term across the time windows considered, and if so, to what extent. Furthermore, we identify systemically important participants using a variety of network theory tools. We also explore methodologies which – by providing new perspectives for monitoring the evolution of systemically important participants – may contribute to improving the effectiveness of oversight in Hungary. To identify systemically important participants, we apply four methodologies, namely: the LSI index, the model capturing the relation of eigenvector and betweenness, diffusion centrality, and the model exploring the effect of combining multiple nodes. In the Hungarian RTGS, two distinct groups emerge: the first is comprised of participants that play a key role in the transmission of liquidity (“core”), and the other is the cluster of periphery participants. As the composition of the core has remained virtually unchanged, it can be considered stable. While the risk of contagion arising from an operational disruption increased at both the individual and aggregated level during the period under review, it is also apparent that no such link exists in the graph the removal of which would ultimately cut the communication between the banks originally connected by it. The results of each indicator showed that there were no significant changes regarding the network properties across the three time windows, confirming the robustness of the network properties of the Hungarian RTGS and its stability over time.
    Keywords: Hungarian RTGS (VIBER), network research, financial networks, graph theory, topology, centrality indices, systemically important financial institutions (SIFI)
    JEL: D85 E42 E5 G2 G21 L14
    Date: 2017
  55. By: Fuchs-Schündeln, Nicola; Bick, Alexander; Brüggemann, Bettina
    Abstract: We use national labor force surveys from 1983 through 2011 to construct hours worked per person for 18 European countries and the US. We find that Europeans work 19% fewer hours than US citizens. Differences in weeks worked and in the educational composition each account for one third to one half of this gap. Lower hours per person than in the US are in addition driven by lower weekly hours worked in Scandinavia and Western Europe, but by lower employment rates in Eastern and Southern Europe.
    JEL: E24 J21 J22
    Date: 2017
  56. By: William Kavila; Pierre Le Roux
    Abstract: This paper empirically investigates the reaction of inflation to macro-economic shocks using the Vector Error Correction modelling approach (VECM) with monthly data from 2009:01 to 2012:12. The Zimbabwean economy was dollarised during this period, after having abandoned its own currency in 2009, following the hyperinflation episode of 2007-2008. The empirical findings show that the reaction of price formation in Zimbabwe to external shocks, such as the appreciation or depreciation of the South African rand against the US dollar and the increase in international food and oil prices is immediate with permanent effects. Specifically, the study found that an appreciation of the South African rand against the US dollar, results in a sharp increase in inflation during the first 6 months and the effects are permanent. Similarly, a positive shock to international oil prices also results in a sharp increase in inflation, during the first 6 months, remaining high over the forest period. The impact of a positive shock to food prices, is however, transitory, only felt during the first 4 months, before declining during the next 4 months and remaining at a moderately high level over the forecast period. The policy implication from this analysis is a need for Zimbabwean authorities to put in place measures to mitigate the negative impact of external shocks on inflation, given that the country lost its monetary policy autonomy when it dollarised in 2009.
    Keywords: Inflation; Dollarised economy, Macro-economic shocks, Vector Error Correction Model, Impulse responses, Variance decomposition.
    Date: 2017–09
  57. By: Gambetti, L; Korobilis, D; Tsoukalas, J; Zanetti, F
    Abstract: A VAR model estimated on U.S. data before and after 1980 documents systematic differences in the response of short- and long-term interest rates, corporate bond spreads and durable spending to news TFP shocks. Interest rates across the maturity spectrum broadly increase in the pre-1980s and broadly decline in the post-1980s. Corporate bond spreads decline significantly, and durable spending rises significantly in the post-1980 period while the opposite short-run response is observed in the pre-1980 period. Measuring expectations of future monetary policy rates conditional on a news shock suggests that the Federal Reserve has adopted a restrictive stance before the 1980s with the goal of retaining control over inflation while adopting a neutral/accommodative stance in the post-1980 period.
    Keywords: News shocks, Business cycles, VAR models,, DSGE models
    Date: 2017–09–26
  58. By: Gabriel Chodorow-Reich; Antonio Falato
    Abstract: We document the importance of covenant violations in transmitting bank health to nonfinancial firms using a new supervisory data set of bank loans. More than one-third of loans in our data breach a covenant during the 2008-09 period, providing lenders the opportunity to force a renegotiation of loan terms or to accelerate repayment of otherwise long-term credit. Lenders in worse health are less likely to grant a waiver and more likely to force a reduction in the loan commitment following a violation. Quantitatively, the reduction in credit to borrowers with long-term credit but who violate a covenant accounts for an 11% decline in the volume of loans and commitments outstanding during the 2008-09 crisis, a similar magnitude to the total contraction in credit during that period. We conclude that the transmission of bank health to nonfinancial firms occurs largely through the loan covenant channel.
    JEL: E44 G21 G32
    Date: 2017–09
  59. By: Lieb, Lenard (General Economics 2 (Macro)); Smeekes, Stephan (QE / Econometrics)
    Abstract: In many macroeconomic applications, impulse responses and their (bootstrap) confidence intervals are constructed by estimating a VAR model in levels - thus ignoring uncertainty regarding the true (unknown) cointegration rank. While it is well known that using a wrong cointegration rank leads to invalid (bootstrap) inference, we demonstrate that even if the rank is consistently estimated, ignoring uncertainty regarding the true rank can make inference highly unreliable for sample sizes encountered in macroeconomic applications. We investigate the effects of rank uncertainty in a simulation study, comparing several methods designed for handling model uncertainty. We propose a new method - Weighted Inference by Model Plausibility (WIMP) - that takes rank uncertainty into account in a fully data-driven way and outperforms all other methods considered in the simulation study. The WIMP method is shown to deliver intervals that are robust to rank uncertainty, yet allow for meaningful inference, approaching fixed rank intervals when evidence for a particular rank is strong. We study the potential ramifications of rank uncertainty on applied macroeconomic analysis by re-assessing the effects of fiscal policy shocks based on a variety of identification schemes that have been considered in the literature. We demonstrate how sensitive the results are to the treatment of the cointegration rank, and show how formally accounting for rank uncertainty can affect the conclusions.
    Keywords: Impulse response analysis, cointegration, model uncertainty, bootstrap inference, fiscal policy shocks
    JEL: C15 C32 C52 E62
    Date: 2017–10–03
  60. By: Rosengren, Eric S. (Federal Reserve Bank of Boston)
    Abstract: The weakness in inflation readings appears to be transitory, but some one-time declines in individual prices will not fall out of annual averages until next spring. In contrast, the recent hurricanes will likely place some upward pressure on measured inflation over the next several months, a transitory shock in the other direction. However, the declines in the unemployment rate below the level most see as sustainable seem likely to be more long-lasting, which is one reason for my expectation that tight – and tightening further – labor markets will result in higher wages and prices over time. Temporary fluctuations in prices may obscure the underlying trend for a little while. But monetary policy tends to act with long lags, so it is essential that central bankers do their best to look through the temporary toward the underlying trends. Those trends, as best I can see them at present, suggest to me an economy that risks pushing past what is sustainable, raising the probability of higher asset prices, or inflation well above the Federal Reserve’s 2 percent target. Steps lowering the probability of such an outcome seem advisable – in other words, seem like insurance worth taking out at this time. As a result, it is my view that regular and gradual removal of monetary accommodation seems appropriate.
    Date: 2017–09–27
  61. By: Hertweck, Matthias; Brey, Bjoern
    Abstract: We examine the effects of monsoon rainfall shocks on agricultural output, wages, and prices in India. The effects are highly asymmetric: agricultural output falls by 16% after a negative shock, but a positive shock has no significant effects. Although the drop in agricultural output is very short-lived, it elicits a persistent decline (increase) in wages (food prices). This indicates that famines are caused by a persistent disruption in food acquisition, rather than by a shortage in food supply.
    JEL: C22 E32 O13 Q11
    Date: 2017
  62. By: Steve Ambler (Département des sciences économiques, ESG UQAM, Canada; C.D. Howe Institute, Canada; The Rimini Centre for Economic Analysis)
    Abstract: Nine years after the beginning of the Great Recession in 2008 and at least seven years since the recovery from the Great Recession began, industrialized economies are experiencing sluggish growth and inflation that is persistently under targeted rates. The unconventional monetary policies that have been tried by different central banks have not generally been successful in achieving their goals. We suggest here that quantitative easing could be made much more effective by making expansions of the monetary base permanent. In turn, a commitment to permanent monetary expansion would be more credible if central banks adopted targets for nominal aggregates such as the price level or nominal GDP. A level target would also allay fears of runaway inflation.
    Date: 2017–10
  63. By: Daniels, Gerald Eric; Kakar, Venoo
    Abstract: This paper lays out a replication plan for the influential paper by Klump et al. (Factor Substitution and Factor-augmenting Technical Progress in the United States: a Normalized Supply-side System Approach, Review of Economics and Statistics, 2007) on using a normalized CES supply-side system approach to estimate the value of the elasticity of substitution between factors of production and identify the growth patterns for biased technical progress. The authors begin with a general discussion of basic principles on carrying out a replication study. Further, they outline key steps to follow to replicate the chosen paper and establish criteria that can be used to determine if the replication confirms or disconfirms the original findings. This paper contributes to the increased interest in improving replications in economics research.
    Keywords: Elasticity of substitution,human capital,economic growth,factor shares,CES production function
    JEL: O41 O47 E24
    Date: 2017
  64. By: Fidrmuc, Jarko; Hainz, Christa; Hölzl, Werner
    Abstract: We analyze the perceived bank lending policy using the Austrian Business Survey for 2011 to 2014, which depend on their individual credit market experience. Negative experience has strongly negative, persistent and surprisingly similar effects on lending policy perceptions. Moreover, firms are more likely to revise their perceptions during the period in which they need a loan. This is in line with theories on sticky information rational inattention, and pessimism bias.
    JEL: G21 E51 D03
    Date: 2017
  65. By: Mamoon, Dawood
    Abstract: The paper undertakes a detailed analysis of economic progress and welfare measures in determining good governance outcomes in Pakistan. There is evidence that inequality stifles the capacity of political, economic and social governance by creating an elite class that protect their economic and political interests and undertake legislation primarily to the benefit of ruling elites. Furthermore our results also suggest that economic development empower the economically and socially excluded groups of the society and give them more voice in favor of policies that are representative of the issues like accountability against corruption or favoritism.
    Keywords: Governance, Welfare, Economic Development
    JEL: E6 E61 P1 P11
    Date: 2017–10–06
  66. By: Thomas Theobald; Peter Hohlfeld
    Abstract: We analyze the global relationship between oil prices, commodity-specific financial marketshocks and economic activity by means of Structural Vector Autoregressive (SVAR) models for the period 1996 - 2015. For the financial market variables in our model, we use a breakdown of G-20 countries into net commodity exporting and importing countries to compute the real exchange rate between the country groups as well as the corresponding interest rate spread. Regarding the discussion about the missing expansionary effects of the recent oil price declines at the global level, our empirical framework tests the following transmission: A downgrading of financial conditions for commodity exporting countries can lead to a more serious decline of their domestic demand as should be expected from the pure income effect of lower export revenues due to lower oil prices. Therefore, missing expansionary effects of the recent oil price declines should not only be traced back to the absence of expansionary monetary policy effects at the zero lower bound in many commodity importing countries, but also to a high dependency of commodity exporting countries on international financial markets.
    Keywords: oil price, interest rate spread, real exchange rate, economic growth, sign restriction
    JEL: C30 E37 Q43
    Date: 2017
  67. By: Joseph E. Stiglitz
    Abstract: This paper shows that there is a presumption that Pareto efficient taxation entails a positive tax on capital. When tax and expenditure policies can affect the market distribution of income, those effects need to be taken into account, reducing the burden imposed on distortionary redistribution. The paper extends the 1976 Atkinson-Stiglitz results to a dynamic, overlapping generations model, correcting a misreading of the result on the desirability of a zero capital tax. That result required separability of consumption from labor and that the only unobservable differences among individuals was in (fixed) labor productivities. In a general equilibrium model, one needs to take into account the effects of policy changes on binding self-selection constraints; and with non-separability, capital taxation depends on the complementarity/substitutability of leisure during work with retirement consumption. The final section considers taxation when there are constraints on the imposition of intergenerational transfers (either political constraints or those derived from unobservability.) It constructs a simple two class model, capitalists who maximize dynastic welfare and workers who save for retirement, whose productivity can be enhanced by (publicly provided) education. It derives a simple expression for the optimal capital tax, which is positive, so long as the social welfare function is sufficiently equalitarian and the productivity of educational expenditures are sufficiently high.
    JEL: E2 H2 H41 H52 I24
    Date: 2017–09
  68. By: Klühs, Theres; Grohmann, Antonia; Menkhoff, Lukas
    Abstract: We study the effect of financial literacy on financial inclusion at the cross country level. Financial literacy is strongly related to higher financial inclusion (i.e. access and use of fin. services) and IV-regressions support a causal interpretation.Studying heterogeneous effects of financial literacy across countries shows that the marginal effect of financial literacy on financial inclusion is largest in countries with lower income, a less developed financial sector, and fewer bank branches.
    JEL: G21 O1 E44
    Date: 2017
  69. By: Grosse Steffen, Christoph; Podstawski, Maximilian
    Abstract: This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We show in a consumption-based asset pricing model with simultaneously risky and ambiguous assets that a rise in the level of ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a structural VAR to achieve identification in the data.
    JEL: C32 D80 E43 G01 H63
    Date: 2017
  70. By: Ippei Fujiwara (Keio University / ANU); Scott Davis (Federal Reserve Bank of Dallas)
    Abstract: Abandoning an objective function with multiple targets and adopting a single mandate is an effective way for a central bank to overcome the classic time-inconsistency problem. We show that the choice of a particular single mandate depends on a country's level of trade openness. Both inflation targeting and nominal exchange rate targeting come with their own costs. We show that the costs of inflation targeting are increasing in a country's level of trade openness while the costs of exchange rate targeting are decreasing in trade openness. Thus a relatively closed economy will prefer an inflation targeting mandate and a very open economy will prefer an exchange rate target. Empirical results show that as central banks become less credible they are more likely to adopt a pegged exchange rate, and crucially the empirical link between central bank credibility and the tendency to peg depends on trade openness.
    Date: 2017
  71. By: Hotchkiss, Julie L. (Federal Reserve Bank of Atlanta); Moore, Robert E. (Georgia State University); Rios-Avila, Fernando (Bard College)
    Abstract: This paper calculates the cost of an unemployment shock in terms of family welfare for married and single families separately and by education level. We find that, overall, families face an average annualized expected dollar equivalent welfare loss of $1,156 when the unemployment rate rises by 1 percentage point. The average welfare loss for married families is greater than the average loss for single families and increases in education. We then estimate that a price level increase of 1.8 percent generates the same amount of welfare loss. We also find that the average welfare loss from a shock to prices versus a shock to unemployment rises with income.
    Keywords: family welfare; joint labor supply; microsimulation dual mandate; monetary policy
    JEL: D19 E52 I30 J22
    Date: 2017–09–01
  72. By: Steiner, Andreas
    Abstract: Central banks invest their foreign exchange reserves predominantly in government securities. By means of a panel data analysis we examine the relationship between reserve currency status and public budget balance during different constellations of the international monetary system: the sterling period (1890-1935) and the dollar dominance (since World War II). We show for both periods that reserve currency status significantly lowers the public budget balance of the center countries.
    JEL: F31 F33 F41 H62 E62 C23
    Date: 2017
  73. By: Lehmus, Markku
    Abstract: This paper presents a review of a quarterly macroeconomic model built for forecasting and policy simulation purposes at the Research Institute of the Finnish Economy (ETLA). The ETLA model can be labelled as a structural econometric macro model (also known as “SEM” or “policy model” in the recent literature). The ETLA model constitutes of 81 endogenous and 70 exogenous variables and hence at this stage, it is relatively small in size. The model encompasses Keynesian features in the short run, albeit particular attention is paid to its long-term equilibrium properties which are defined from supply side. Owing to these characteristics, its adjustment to external/policy shocks resembles the behavior of New Keynesian DSGE models with sticky prices and wages. The agents of the model are partly forward-looking.
    Date: 2017–10–02
  74. By: Alfred Haug (Department of Economics, University of Otago, New Zealand); Syed Abul Basher (Department of Economics, East west University, Bangladesh); Perry Sadorsky (School of Business, York University, Canada)
    Abstract: The impact that oil shocks have on stock prices in oil exporting countries has implications for both domestic and international investors. We derive the shocks driving oil prices from a fully-identified structural model of the oil market. We study their nonlinear relationship with stock market returns in major oil-exporting countries in a multi-factor Markov-switching framework. Flow oil-demand shocks have a statistically significant impact on stock returns in Canada, Norway, Russia, Kuwait, Saudi Arabia, and the UAE. Idiosyncratic oil-market shocks affect stock returns in Norway, Russia, Kuwait, Saudi Arabia and UAE. Speculative oil shocks impact stock returns in Canada, Russia, Kuwait and the UAE. Flow oil-supply shocks matter for the UK, Kuwait, and UAE. Mexico is the only country where stock returns are unaffected by oil shocks. These results shed important light on investor sentiment toward the relationship between oil shocks and stock markets in oil exporting countries.
    Keywords: Markov-switching; oil-exporting countries; oil-market shocks; stock returns
    JEL: E44 G15 Q43
    Date: 2017–10
  75. By: Randall Wright; Philipp Kircher; Benoit Julîen; Veronica Guerrieri
    Abstract: This essay surveys the literature on directed/competitive search, covering theory and applications in, e.g., labor, housing and monetary economics. These models share features with traditional search theory, yet differ in important ways. They share features with general equilibrium theory, but with explicit frictions. Equilibria are typically efficient, in part because markets price goods plus the time required to get them. The approach is tractable and arguably realistic. Results are presented for finite and large economies. Private information and sorting with heterogeneity are analyzed. Some evidence is discussed. While emphasizing issues and applications, we also provide several hard-to-find technical results.
    JEL: D40 E40 J30 J64
    Date: 2017–09

This nep-mac issue is ©2017 by Soumitra K Mallick. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.