nep-mac New Economics Papers
on Macroeconomics
Issue of 2018‒07‒09
ninety papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Business Management

  1. Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s? By Qazi Haque; Nicolas Groshenny; Mark Weder
  2. Transmission of Monetary Policy with Heterogeneity in Household Portfolios By Ralph Luetticke
  3. Market disequilibrium, monetary policy, and financial markets : insights from new tools By Jean-Luc Gaffard; Mauro Napoletano
  4. Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different By Caruso, Alberto; Reichlin, Lucrezia; Ricco, Giovanni
  5. Evolution of Modern Business Cycles: Accounting for the Great Recession By Kehoe, Patrick J.; Midrigan, Virgiliu; Pastorino, Elena
  6. Targeting financial stability: macroprudential or monetary policy? By Aikman, David; Giese, Julia; Kapadia, Sujit; McLeay, Michael
  7. Dynamic Effects of the Chilean Fiscal Policy By Antonio Lemus
  8. The Growth slowdown and the working of inflation targeting in India By Ashima Goyal
  9. An Empirical Evidence of Dynamic Interaction among price level, interest rate, money supply and real income: The case of the Indian Economy. By Rasool, Haroon; Adil, Masudul Hasan; Tarique, Md
  10. The labor share in the service economy By Luis Díez Catalán
  11. Uncertainty and Hyperinflation: European Inflation Dynamics after World War I By Jose A. Lopez; Kris James Mitchener
  12. The Iranian Economy: Challenges and Opportunities By Vasily Astrov; Mahdi Ghodsi; Richard Grieveson; Robert Stehrer
  13. Impact of Exchange Rate on Vietnam-China Bilateral Trade: Findings from ARDL Approach By Pham, Tuan; Tran, Thi Ha
  14. The Determinants of Price Rigidity in the UK: Analysis of the CPI and PPI Microdata and Application to Macrodata Modelling By Zhou, Peng; Dixon, Huw David
  15. Uncertainty about QE effects when an interest rate peg is anticipated By Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel
  16. Central Bank Communication and the Yield Curve By Leombroni, Matteo; Vedolin, Andrea; Venter, Gyuri; Whelan, Paul
  17. Short and medium term financial-real cycles: An empirical assessment By Engelbert Stockhammer; Rob Jump; Karsten Kohler; Julian Cavallero
  18. The ECB's Fiscal Policy By Hans-Werner Sinn
  19. The Money View Versus the Credit View By Baker, Sarah S.; López-Salido, J David; Nelson, Edward
  20. Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation By Efrem Castelnuovo; Giovanni Pellegrino
  21. Balance sheets, exchange rates, and international monetary spillovers By Akinci, Ozge; Queralto, Albert
  22. Fiscal regimes and the (non)stationarity of debt By Hollmayr, Josef
  23. Capital Skill Substitutability and the Labor Income Share: Identification Using the Morishima Elasticity of Substitution By Paul, Saumik
  24. The Likelihood of Effective Lower Bound Events By Michal Franta
  25. Review of Methodological Specifics of Consumer Price Index Seasonal Adjustment in the Bank of Russia Under the inflation targeting regime, the main goal of the Bank of Russia is to maintain price stability. In order to analyse the options that the central bank can use to implement its monetary policy aimed at bringing inflation down to sustainable low levels it is necessary to understand, considering the available short-term statistical data, the dynamics of consumer prices and individual components of the seasonally adjusted consumer price index. At the same time, the seasonal adjustment of the consumer price index requires solving a number of methodological problems, one part of which is common for all economic time series with a seasonal component and the other part is determined by the specific nature of the consumer price index as an aggregate indicator. The paper suggests approaches to solving conceptual problems related to the seasonal adjustment of the consumer price index. It also describes basic principles and methods for their implementation that can lead to a significant increase in the quality of identification and interpretation of short-term meaningful variations in consumer prices that the Bank of Russia takes into account when making its monetary policy decisions. By Arina Sapova; Aleksey Porshakov; Andrey Andreev; Evgenia Shatilo
  26. Interaction between Business Cycles and Economic Growth By Sohei Kaihatsu; Maiko Koga; Tomoya Sakata; Naoko Hara
  27. The Financial Transmission of Housing Bubbles: Evidence from Spain By Alberto Martín; Enrique Moral-Benito; Tom Schmitz
  28. International confidence spillovers and business cycles in small open economies By Michał Brzoza-Brzezina; Jacek Kotłowski
  29. The Indian fiscal-monetary framework: Dominance or coordination? By Ashima Goyal
  30. International Currencies and Capital Allocation By Maggiori, Matteo; Neiman, Brent; Schreger, Jesse
  31. Housing Taxation and Financial Intermediation By Hamed Ghiaie; Jean-François Rouillard
  32. Inference in structural vector auto regressions when the identifying assumptions are not fully believed : Re-evaluating the role of monetary policy in economic fluctuations By Baumeister, Christiane; Hamilton, James D.
  33. Perceived FOMC: The Making of Hawks, Doves and Swingers By Michael D. Bordo; Klodiana Istrefi
  34. Internet Rising, Prices Falling: Measuring Inflation in a World of E-Commerce By Austan D. Goolsbee; Peter J. Klenow
  35. Identification of interbank loans and interest rates from interbank payments – A reliability assessment By Q. Farooq Akram; Mats B. Fevolden; Lyndsie H. Smith
  36. Debunking the Granular Origins of Aggregate Fluctuations: From Real Business Cycles back to Keynes By Giovanni Dosi; Mauro Napoletano; Andrea Roventini; Tania Treibich
  37. International monetary policy spillovers through the bank funding channel By Lindner, Peter; Loeffler, Axel; Segalla, Esther; Valitova, Guzel; Vogel, Ursula
  38. Combining sign and parametric restrictions in SVARs by Givens Rotations By Lance A. Fisher; Hyeon-seung Huh
  39. Financial Institutions’ Business Models and the Global Transmission of Monetary Policy By Isabel Argimon; Clemens Bonner; Ricardo Correa; Patty Duijm; Jon Frost; Jakob de Haan; Leo de Haan; Viktors Stebunovs
  40. State-Dependent Transmission of Monetary Policy in the Euro Area By Jan Pablo Burgard; Matthias Neuenkirch; Matthias Nöckel
  41. Bank runs, prudential tools and social welfare in a global game general equilibrium model By Daisuke, Ikeda
  42. Nonlinear household earnings dynamics, self-insurance, and welfare By Mariacristina De Nardi; Giulio Fella
  43. Fear the walking dead: Zombie firms, spillovers and exit barriers By Ana Fontoura Gouveia; Christian Osterhold
  44. Macroeconomic policy, inclusive growth and productive employment in Uganda By Waeyenberge, Elisa Van.; Bargawi, Hannah.
  45. Economic Policy Uncertainty Spillovers in Booms and Busts By Giovanni Caggiano; Efrem Castelnuovo
  46. Trade and currency weapons By Agnès Bénassy-Quéré; Matthieu Bussière; Pauline Wibaux
  47. Un modelo estocástico de equilibrio general de una economía pequeña y abierta para evaluar el desempeño de la política fiscal y monetaria: el caso mexicano 1990-2015 By Hernández-Ramos, Lesdy Natalie; Venegas-Martínez, Francisco
  48. Equilibrium wage rigidity in directed search By Gabriele Camera; Jaehong Kim
  49. Has Fiscal Rule changed the Fiscal Marksmanship of Union Government? By Chakraborty, Lekha; Sinha, Darshy
  50. Household Education Spending in Latin America and the Caribbean: Evidence from Income and Expenditure Surveys By Santiago Acerenza; Néstor Gandelman
  51. Asymmetric monetary policy responses and the effects of a rise in the inflation target By Benjamín García
  52. Optimal Inflation and the Identification of the Phillips Curve By McLeay, Michael; Tenreyro, Silvana
  53. The international transmission of monetary policy By Buch, Claudia; Bussiere, Matthieu; Goldberg, Linda; Hills, Robert
  54. Accounting for Mismatch Unemployment By Herz, Benedikt; van Rens, Thijs
  55. Fiscal Rules: Towards a New Paradigm for Fiscal Sustainability in Small States By Allan Wright; Kari Grenade; Ankie Scott-Joseph
  56. Estimating the Benefits and Costs of New and Disappearing Products By Diewert, Erwin; FEENSTRA, Robert
  57. Corporate Currency Risk and Hedging in Chile: Real and Financial Effects By Roberto Alvarez; Erwin Hansen
  58. Capital Requirements, Risk-Taking and Welfare in a Growing Economy By Pierre-Richard Agénor; Luiz A. Pereira da Silva
  60. Wildcat Bankers or Political Failure? The Irish Financial Pantomime, 1797-1826 By Kenny, Seán; Turner, John D.
  61. Uncertainty and economic activity: a multi-country perspective By Cesa-Bianchi, Ambrogio; Pesaran, M Hashem; Rebucci, Alessandro
  62. How do banks and households manage interest rate risk? Evidence from mortgage applications and banks’ responses By Basten, Christoph; Guin, Benjamin; Koch, Catherine
  63. MOSOE: Konjunkturzenit überschritten By Vasily Astrov; Julia Grübler
  64. Testing DSGE Models by indirect inference: a survey of recent findings By Meenagh, David; Minford, Patrick; Wickens, Michael; Xu, Yongdeng
  65. Financial System Architecture and Systematic Risk By José Jorge
  66. The long run impact of foreign direct investment, exports, imports and GDP: evidence for Spain from an ARDL approach By Verónica Cañal-Fernández; Julio Tascón Fernández
  67. Improved Modelling of Spatial Cost of Living Differences in Developing Countries: A Comparison of Expert Knowledge and Traditional Price Surveys By John Gibson; Trinh Le
  68. Wildcat bankers or political failure? The Irish financial pantomime, 1797-1826 By Kenny, Seán; Turner, John D.
  69. The Triangle of ICOs, Bitcoin and Ethereum: A Time Series Analysis By Christian Masiak; Joern H. Block; Tobias Masiak; Matthias Neuenkirch; Katja N. Pielen
  70. Assessing the Effectiveness of IMF Programs Following the Global Financial Crisis: How Did It Change Since the Asian Crisis? By De Resende, Carlos; Takagi, Shinji
  71. The Impact of Monetary and Tax Policy on Income Inequality in Japan By Taghizadeh-Hesary, Farhad; Yoshino, Naoyuki; Shimizu, Sayoko
  72. Impact of World Oil Prices on an Energy Exporting Economy Including Monetary Policy By Alekhina, Victoriia; Yoshino, Naoyuki
  73. Teori uang dan inflasi dalam analisis pemikiran Al Maqrizi By Hamidin, Dede
  74. A note on the predictive power of survey data in nowcasting euro area GDP By Kurz-Kim, Jeong-Ryeol
  75. A Tale of Three Crises in Turkey: 1994, 2001 and 2008–09 By Hasan Cömert; Erinç Yeldan
  76. Inflation targeting in low-income countries: Does IT work? By Michael Bleaney; Atsuyoshi Morozumi; Zakari Mumuni
  77. Sieben Szenarien zum Euroausstieg By Dilger, Alexander
  78. Die Verantwortung von Wirtschaftswissenschaftlern für Wirtschaftskrisen und die Wirtschaft allgemein By Dilger, Alexander
  79. Inflation targeting and monetary policy in Ghana By Michael Bleaney; Atsuyoshi Morozumi; Zakari Mumuni
  80. Wealth Preference and Rational Bubbles By Jean-Baptiste Michau; Yoshiyasu Ono; Matthias Schlegl
  81. Relancer l'investissement en Tunisie By Isabelle Joumard; Saïd Kechida; Hedi Larbi
  82. Cryptocurrencies and monetary policy By Grégory Claeys; Maria Demertzis; Konstantinos Efstathiou
  83. International tax cooperation and sovereign debt crisis resolution: reforming global governance to ensure no one is left behind By José Antonio Alonso
  84. Payment and Provision Consequentiality in Voluntary Contribution Mechanism: Single or Double “Knife-Edge” Evidence? By Jie He; Jérôme Dupras; Thomas Poder; Thomas G. Poder
  85. The Role of Energy Prices in the Great Recession - A Two-Sector Model with Unfiltered Data By Aminu, Nasir; Meenagh, David; Minford, Patrick
  86. China, Europe and the Great Divergence: A Study in Historical National Accounting, 980-1850 By Stephen Broadberry; Hanhui Guan; David Daokui Li
  87. Bootstrapping Mean Squared Errors of Robust Small-Area Estimators: Application to the Method-of-Payments Data By Valéry D. Jiongo; Pierre Nguimkeu
  88. Co-construction et évaluation d’un programme de promotion de la santé pour conjuguer nutrition et budget au quotidien : les ateliers Opticourses By Dubois, C.; Gaigi, H.; Pérignon, M.; Maillot, M.; Darmon, N.
  89. The Market Turn: From Social Democracy to Market Liberalism By Avner Offer
  90. Empirical Analysis of Factors Influencing Price of Solar Modules By Taghizadeh-Hesary, Farhad; Yoshino, Naoyuki; Inagaki, Yugo

  1. By: Qazi Haque (School of Economics, University of Adelaide); Nicolas Groshenny (School of Economics, University of Adelaide); Mark Weder (School of Economics, University of Adelaide)
    Abstract: In this paper we examine whether or not monetary policy was a source of instability during the Great Inflation. We focus on a number of attributes that we see relevant for any analysis of the 1970s: cost-push or oil price shocks, positive trend inflation as well as real wage rigidity. We turn our artificial sticky-price economy into a Bayesian model and find that the U.S. economy during the 1970s is best characterized by a high degree of real wage rigidity. Oil price shocks thus created a trade-off between inflation and output-gap stabilization. Faced with this dilemma, the Federal Reserve reacted aggressively to inflation but hardly at all to the output gap, thereby inducing stability, i.e. determinacy.
    Keywords: Monetary policy; Great Inflation; Cost-push shocks; Trend inflation; Sequential Monte Carlo algorithm
    JEL: E32 E52 E58
    Date: 2018–05
  2. By: Ralph Luetticke (Centre for Macroeconomics (CFM); University College London (UCL))
    Abstract: Monetary policy affects both intertemporal consumption choices and portfolio choices between liquid and illiquid assets. The monetary transmission, in turn, depends on the distribution of marginal propensities to consume and invest. This paper assesses the importance of heterogeneity in these propensities for the transmission of monetary policy in a New Keynesian business cycle model with uninsurable income risk and assets with different degrees of liquidity. Liquidity-constrained households have high propensities to consume but low propensities to invest, which makes consumption more and investment less responsive to monetary shocks compared to complete markets. Redistribution through earnings heterogeneity and the Fisher channel from unexpected inflation further amplifies the consumption response but dampens the investment response.
    Keywords: Monetary policy, Heterogeneous agents, General equilibrium
    JEL: E21 E32 E52
    Date: 2018–06
  3. By: Jean-Luc Gaffard (Observatoire français des conjonctures économiques); Mauro Napoletano (Observatoire français des conjonctures économiques)
    Abstract: We revisit the main building blocks of the theoretical models underlying the monetary policy consensus before the Great Recession. We highlight how the failure of these models to prevent the crisis and to provide guidance during the recession were due to the excessive confidence in the ability of markets to coordinate demand and supply, and to the neglect of the role of finance. Furthermore, we outline the main elements of an alternative approach to monetary policy that put emphasis on the processes driving coordination in markets, and on the externalities transmitted by financial inter-linkages. Many elements of this new approach are captured by new classes of models, namely, agent-based and financial network models. We discuss some insights from these models for the conduct of monetary policy, and for its interactions with fiscal and macroprudential policies.
    Keywords: Output-inflation dynamics; New keynesian models; Disequilibrium analysis; Agent based models; Fiscal monetary policy interactions; Quantitative easing policies
    JEL: E31 E32 E5 E61 E62
    Date: 2018–06
  4. By: Caruso, Alberto (Université Libre de Bruxelles); Reichlin, Lucrezia (London Business School ; CEPR); Ricco, Giovanni (OFCE ; SciencesPo)
    Abstract: This paper highlights the anomalous characteristics of the Euro Area `twin crises' by contrasting the aggregate macroeconomic dynamics in the period 2009-2013 with the business cycle fluctuations of the previous decades. We report three stylised facts. First, the contraction in output was marked by an anomalous downfall in investment, while consumption, savings and unemployment followed their historical relation with GDP. Second, households' and financial corporations' debts, and house prices deviated from their pre-crisis trends. Third, the jump in the public decit GDP ratio in 2008-2009 was unprecedented and so was the scal consolidation that followed. Our analysis points to the financial nature of the crisis as a likely explanation for these facts. Importantly, the `anomaly' in public deficit is in large part explained by extraordinary measures in support of the financial sector, which show up in the stockflow adjustments and reveal a key interaction between the fiscal and the financial sectors.
    Keywords: Euro Area ; government debt ; recessions ; financial crises ; business cycles
    JEL: C11 C32 C54 E52 E62
    Date: 2018
  5. By: Kehoe, Patrick J. (Federal Reserve Bank of Minneapolis); Midrigan, Virgiliu (New York University); Pastorino, Elena (Federal Reserve Bank of Minneapolis)
    Abstract: Modern business cycle theory focuses on the study of dynamic stochastic general equilibrium models that generate aggregate fluctuations similar to those experienced by actual economies. We discuss how this theory has evolved from its roots in the early real business cycle models of the late 1970s through the turmoil of the Great Recession four decades later. We document the strikingly different pattern of comovements of macro aggregates during the Great Recession compared to other postwar recessions, especially the 1982 recession. We then show how two versions of the latest generation of real business cycle models can account, respectively, for the aggregate and the cross-regional fluctuations observed in the Great Recession in the United States.
    Keywords: New Keynesian models; Financial frictions; External validation
    JEL: E13 E32 E52 E61
    Date: 2018–06–14
  6. By: Aikman, David (Bank of England); Giese, Julia (Bank of England); Kapadia, Sujit (European Central Bank); McLeay, Michael (Bank of England)
    Abstract: This paper explores monetary-macroprudential policy interactions in a simple, calibrated New Keynesian model incorporating the possibility of a credit boom precipitating a financial crisis and a loss function reflecting financial stability considerations. Deploying the countercyclical capital buffer (CCyB) improves outcomes significantly relative to when interest rates are the only instrument. The instruments are typically substitutes, with monetary policy loosening when the CCyB tightens. We also examine when the instruments are complements and assess how different shocks, the effective lower bound for monetary policy, market-based finance and a risk-taking channel of monetary policy affect our results.
    Keywords: Macroprudential; monetary policy; financial stability; capital buffer; financial crises; credit boom
    JEL: E52 E58 G01 G28
    Date: 2018–06–08
  7. By: Antonio Lemus
    Abstract: In Chile, the empirical literature studying the dynamic effects of fiscal policy and fiscal multipliers, using linear vector autoregression models, disagrees on the effects of government spending and taxes on output. In this paper, we bring new elements to this debate. We include the nonlinear dimension of vector autoregression models to answer if the state, “tight” or “normal”, of the Chilean economy, affects fiscal policy effectiveness. Last, based on the nonlinear framework we question if monetary policy has an influence on the size of fiscal multipliers. We find that: (i) once using the same quarterly data, the size of fiscal multipliers not only varies depending on the identification strategy and the linear vector autoregression model used but also on the definitions of government spending and taxes considered; (ii) the government spending multiplier from the nonlinear framework differs, being about the unit in the “tight” regime and around -0.5 in the “normal” regime; (iii) government spending and tax multipliers in the nonlinear framework are smaller when monetary policy is taken into account, which influences the effectiveness of fiscal policy.
    Keywords: Fiscal Policy, Fiscal Multipliers, Vector Autoregression Models
    JEL: C11 C32 E62
    Date: 2018
  8. By: Ashima Goyal (Indira Gandhi Institute of Development Research)
    Abstract: The paper presents a variety of indicators to show that demand constrained output during the period of growth slowdown 2011-17. It also draws on research to show the macroeconomic structure of the economy is such that a policy induced demand contraction affects output more than it affects inflation. In this context it evaluates the application and working of inflation targeting. The framework agreed to was flexible inflation targeting but it was too narrowly and strictly implemented initially, although there are signs of moderation in 2018. There was too much emphasis on a weak aggregate demand channel to reduce inflation. Since inflation forecasts were biased upwards the more effective expectations anchoring channel of inflation targeting was under-utilized. Space available due to positive commodity shocks was not made use of so that the negative output gap further widened, even as potential output itself fell. The output sacrifice imposed was therefore higher than necessary. Finally, possible mechanisms to ensure IT is implemented flexibly as required in the Indian context are discussed.
    Keywords: Inflation targeting, monetary policy committee, commodity price shocks, output sacrifice
    JEL: E31 E52 F43
    Date: 2018–02
  9. By: Rasool, Haroon; Adil, Masudul Hasan; Tarique, Md
    Abstract: Monetary policy approaches in India has changed from simple monetary targeting framework in the mid-1980s to multiple indicator approach in the late 1990s and to the current flexible inflation targeting framework. The aim of this study is to investigate the relationship among selected macroeconomic variables such as, money supply, real income, price level and interest rate for period 1998 to 2014 in case of India; a period when the Multiple Indicator Approach (MIA) was implemented. The study employs vector autoregression (VAR) approach to examine the dynamics of the relationship between variables. The result shows that lags of all dependent variables are significant except real income. The Granger causality via VAR framework suggests that four pairs of Granger causality exist, in particular, bi-directional causality exists between money supply and price level. Interest rate Granger causes both income and price level, and lastly money supply causes the rate of interest. However, the study could not find any causal relationship between real income and money supply in either direction. The findings of Impulse response functions and Variance decomposition reinforce causality results. Finally, the estimated result supports the arguments which are made in favour of policy move from MIA to inflation targeting framework.
    Keywords: Multiple Indicator Approach, VAR, Granger causality, IRF and VD.
    JEL: C5 E4 E5
    Date: 2018
  10. By: Luis Díez Catalán
    Abstract: Much research has documented a decline in the aggregate labor share in the United States and other countries. Yet, this is not a general phenomenon across industries. In fact, there has been a divergence between services and non-services industries in the United States since 1980.
    Keywords: Working Paper , Global Economy , USA , Europe
    JEL: E21 E24 E25
    Date: 2018–06
  11. By: Jose A. Lopez; Kris James Mitchener
    Abstract: Fiscal deficits, elevated debt-to-GDP ratios, and high inflation rates suggest hyperinflation could have potentially emerged in many European countries after World War I. We demonstrate that economic policy uncertainty was instrumental in pushing a subset of European countries into hyperinflation shortly after the end of the war. Germany, Austria, Poland, and Hungary (GAPH) suffered from frequent uncertainty shocks – and correspondingly high levels of uncertainty – caused by protracted political negotiations over reparations payments, the apportionment of the Austro-Hungarian debt, and border disputes. In contrast, other European countries exhibited lower levels of measured uncertainty between 1919 and 1925, allowing them more capacity with which to implement credible commitments to their fiscal and monetary policies. Impulse response functions show that increased uncertainty caused a rise in inflation contemporaneously and for a few months afterward in GAPH, but this effect was absent or much more limited for the other European countries in our sample. Our results suggest that elevated economic uncertainty directly affected inflation dynamics and the incidence of hyperinflation during the interwar period.
    Keywords: hyperinflation, uncertainty, exchange rates, prices, reparations
    JEL: E31 E63 F31 F33 F41 F51 G15 N14
    Date: 2018
  12. By: Vasily Astrov (The Vienna Institute for International Economic Studies, wiiw); Mahdi Ghodsi (The Vienna Institute for International Economic Studies, wiiw); Richard Grieveson (The Vienna Institute for International Economic Studies, wiiw); Robert Stehrer (The Vienna Institute for International Economic Studies, wiiw)
    Abstract: The Iranian economy has greatly benefited from the lifting of international sanctions in 2016, when the JCPOA nuclear deal came into force. Oil production and exports rebounded strongly, which spilled over into non-oil sectors. However, the economy is yet to return to its 1976 peak in real per capita GDP terms, reflecting numerous challenges over the past four decades, including poor policy choices and the fallout from persistent conflict with the US. This report presents a broad overview of the Iranian economy, and identifies the main challenges to long-run economic development, including in foreign trade and investment, fiscal, monetary and exchange rate policy, and the institutional environment. It concludes that an already difficult situation for Iranian policy-makers will be exacerbated by the US decision to pull out of the JCPOA, and the introduction of new sanctions.
    Keywords: Iran, European Union, international trade, foreign direct investment, macroeconomic environment, privatisation, political economy of sanctions
    JEL: E02 E62 F19 F31 F51 G32 O13 P48
    Date: 2018–07
  13. By: Pham, Tuan; Tran, Thi Ha
    Abstract: Using both aggregate and disaggregate data, the purpose of this study was to examine the effects of VND/CNY exchange rate (including exchange rate level and volatility) on trade flows between Vietnam and China. For this analysis, Autoregressive Distributed Lag (ARDL) model is applied. In the disaggregate models, long-run results indicate that 9 import commodities (approximately 28.67% of total import value) are sensitive to real exchange rate level, and 9 export commodities (approximately 39,146% of total export value) also respond to changes in exchange rate level. Most of unaffected commodities are raw, intermediate, and simply processed products (the biggest component in total import volume). In addition, the study found that export commodities are more sensitive to exchange rate volatility than import commodities. Notably, the results of aggregate model indicate that there is no statistical evidence of any linkage between exchange rate and trade (export and import). In other words, exchange rate is likely to be ineffective to improve trade balance between Vietnam and China. This is noticeable signal in term of effective coordination between the monetary and trade policy of Vietnam
    Keywords: Vietnam, China, Exchange Rate, Import, Export, ARDL
    JEL: E3 E4 E5 E6 F1 F4
    Date: 2018–06–18
  14. By: Zhou, Peng (Cardiff Business School); Dixon, Huw David (Cardiff Business School)
    Abstract: This paper systematically integrates microdata and macrodata analysis of price rigidity in mon-etary economics. We explore the mechanism of price-setting using survival based approaches in order to see what factors drive the observed price rigidity. We find significant effects of macroeconomic variables such as inflation and output, which should be purged off before cal-ibrating any macroeconomic models. The microdata findings are then used to estimate and simulate a heterogeneous price-setting model with a generalised Calvo goods sector and a gen-eralised Taylor service sector, which improves the performance in matching macrodata persistence.
    Keywords: Price Rigidity, Price Setting Behaviour, Microdata, Survival Analysis, Heterogeneous Agent Model, Persistence Puzzle
    JEL: C41 D21 E31 E32
    Date: 2018–06
  15. By: Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel
    Abstract: After hitting the lower bound on interest rates, the Eurosystem engaged in a public sector purchase programme (PSPP) and forward guidance (FG). We use prior and posterior predictive analysis to evaluate the importance of parameter uncertainty in an analysis of these policies. We model FG as an anticipated temporary interest rate peg. The degree of parameter uncertainty is considerable and increasing in the length of FG. The probability of being able to reset prices and wages is the most important factor driving uncertainty about inflation. In contrast, variations in financial intermediaries' net worth adjustment costs have little impact on in ation outcomes.
    Keywords: prior/posterior predictive analysis,anticipated interest rate peg,parameter uncertainty,euro area,QE,PSPP,forward guidance puzzle
    JEL: C53 E32 E52
    Date: 2018
  16. By: Leombroni, Matteo; Vedolin, Andrea; Venter, Gyuri; Whelan, Paul
    Abstract: Using the institutional features of ECB monetary policy announcements, we provide direct evidence for the risk premium channel of central bank communication. We show that on days when the ECB announces its monetary policy almost all of the variation of bond yields is driven by communication. Moreover, while the effect of monetary policy is homogeneous across countries before the European debt crisis, we document dramatic differences post crisis and show that communication shocks drive a wedge between peripheral and core yields. We empirically link the periphery-core wedge to break-up and credit risk premia, and study this channel theoretically through the lens of an equilibrium model in which central bank communication reveals information about the state of the economy.
    Keywords: central bank communication; Eurozone; interest rates; monetary policy; risk premia
    JEL: E42 E58 G12
    Date: 2018–06
  17. By: Engelbert Stockhammer (Kingston University); Rob Jump; Karsten Kohler; Julian Cavallero
    Abstract: Theories such as Minsky’s financial instability hypothesis or New Keynesian financial accelerator models assign a key role to financial factors in business cycle dynamics. We present descriptive statistics and a simple estimation framework to examine the financial-real interaction mechanisms that are at the core of these theories. Specifically, we examine cycle frequencies in seven OECD countries over the period 1970 to 2015, and find that interest rates, business debt, and household debt exhibit cycle lengths of 4-6, 8-11, and 14-26 years, respectively. We then estimate bivariate VAR models which provide evidence for financial-real interaction mechanisms, (i) at high frequencies between interest rates and GDP, and (ii) at low frequencies between business debt and GDP. In contrast, there is no evidence for a cycle mechanism between household debt and GDP.
    Keywords: Minsky, financial accelerator, financial cycle, business cycle
    JEL: E32 G01
    Date: 2018–07
  18. By: Hans-Werner Sinn
    Abstract: While the ECB helped mitigate the euro crisis in the aftermath of Lehman, it has stretched its monetary mandate and moved into fiscal territory. This text describes and summarizes the crucial role played by the ECB in the intervention spiral resulting from its bid to manage the crisis. It also outlines ongoing competitiveness problems in southern Europe, discusses the so-called austerity policy of the Troika, comments on QE and presents two alternative paths for the future development of Europe.
    JEL: E50 E58 G01 H63 H81
    Date: 2018–05
  19. By: Baker, Sarah S.; López-Salido, J David; Nelson, Edward
    Abstract: We argue that Schularick and Taylor's (2012) comparison of credit growth and monetary growth as financial-crisis predictors does not necessarily provide a valid basis for achieving one of their stated intentions: evaluating the relative merits of the "money view" and "credit view" as accounts of macroeconomic outcomes. Our own analysis of the postwar evidence suggests that money outperforms credit in predicting economic downturns in the 14 countries in Schularick and Taylor's dataset. This contrasts with Schularick and Taylor's (2012) highly negative verdict on the money view. In accounting for the difference in findings, we first explain that Schularick and Taylor's characterization of the money view is defective, both because their criterion for its validity (that rapid monetary growth predicts financial crises) is misplaced, and because they incorrectly take the money view's proponents as relying on the notion that monetary aggregates are a good proxy for credit aggregates. In fact, the money view of Friedman and Schwartz does not predict an automatic relationship between rapid monetary growth and (financial or economic) downturns, nor does it rest on money being a good proxy for credit. We further show that Schularick and Taylor's data on money have systematic faults. For our reexamination of the evidence, we have constructed new, and more reliable, annual data on money for the countries studied by Schularick and Taylor.
    Keywords: credit view; Financial crises; money view; Recessions
    JEL: E32 E51
    Date: 2018–06
  20. By: Efrem Castelnuovo (University of Padova); Giovanni Pellegrino (University of Melbourne)
    Abstract: We estimate a nonlinear VAR model to study the real effects of monetary policy shocks in regimes characterized by high vs. low macroeconomic uncertainty. We Â…find unexpected monetary policy moves to exert a substantially milder impact in presence of high uncertainty. We then exploit the set of impulse responses coming from the nonlinear VAR framework to estimate a medium-scale new-Keynesian DSGE model with a minimum-distance approach. The DSGE model is shown to be able to replicate the VAR evidence in both regimes thanks to different estimates of some crucial structural parameters. In particular, we identify a steeper new-Keynesian Phillips curve as the key factor behind the DSGE modelÂ’s ability to replicate the milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version of the model featuring fiÂ…rm-speciÂ…c capital is shown to be associated to estimates of the price frequency which are in line with some recent evidence based on micro data.
    Keywords: Monetary policy shocks, uncertainty, Threshold VAR, medium scale DSGE framework, minimum-distance estimation
    JEL: C22 E32 E52
    Date: 2018–06
  21. By: Akinci, Ozge (Federal Reserve Bank of New York); Queralto, Albert (Federal Reserve Board)
    Abstract: We use a two-country New Keynesian model with balance sheet constraints to investigate the magnitude of international spillovers of U.S. monetary policy. Home borrowers obtain funds from domestic households in domestic currency, as well as from residents of the foreign economy (the United States) in dollars. We assume agency frictions are more severe for foreign debt than for domestic deposits. As a consequence, a deterioration in domestic borrowers’ balance sheets induces a rise in the home currency’s premium and an exchange rate depreciation. We use the model to investigate how international monetary spillovers are affected by the degree of currency mismatches in balance sheets, and whether the latter make it desirable for domestic policy to target the nominal exchange rate. We find that the magnitude of spillovers is significantly enhanced by the degree of currency mismatches. Our findings also suggest that using monetary policy to stabilize the exchange rate is not necessarily more desirable with greater balance sheet mismatches and may actually exacerbate short-run exchange rate volatility.
    Keywords: financial intermediation; U.S. monetary policy spillovers; currency premium; uncovered interest rate parity condition
    JEL: E32 E44 F41
    Date: 2018–06–01
  22. By: Hollmayr, Josef
    Abstract: This paper analyzes the sustainability of fiscal debt contingent on fiscal policy operating in two fiscal regimes. The first regime is characterized by active policy (not reacting to debt) and the other by passive fiscal policy (reacting to debt). The average duration for which either regime can be pursued in order to arrive at a long-run stable solution is dependent on the steady-state debt-to-GDP ratio and thus determines the cutoff point beyond which debt is non-stationary. We find that the longer an active policy regime is in force or, equivalently, the more likely fiscal policy is to remain in this regime, the lower the steady state debt-to-GDP ratio must be. This has repercussions for the overall business cycle, implying a higher volatility of inflation and output the longer fiscal policy is active for any given equilibrium debt-to-GDP level. Using the Markov-switching DSGE-model as the data generating process it is possible to apply the test by Bohn (1998) and find that it is prone to type 2 errors.
    Keywords: DSGE,Markov-Switching,Fiscal Policy,Debt Sustainability
    JEL: C62 E61 E62
    Date: 2018
  23. By: Paul, Saumik (Asian Development Bank Institute)
    Abstract: The relationship between a declining labor income share and a falling relative price of capital requires capital and labor to be gross substitutes at the aggregate level (i.e., σ_Agg>1). We argue that this restriction can be relaxed if we distinguish labor by skills and identify differential capital-labor substitutability across skill groups. Using the Morishima elasticity of substitution in a three-factor nested-CES production function, we analytically estimate the elasticity of substitution parameters between capital and skilled labor (ρ) and between capital and unskilled labor (σ). We then derive the necessary conditions for a decline in the labor income share based on ρ and σ, which does not require σ_Agg to be greater than unity.
    Keywords: substitution elasticity; labor income share; production function parameters
    JEL: E21 E22 E25
    Date: 2018–05–02
  24. By: Michal Franta
    Abstract: This paper provides estimates of the probability of an economy hitting its effective lower bound (ELB) on the nominal interest rate and of the expected duration of such an event for eight advanced economies. To that end, a mean-adjusted panel vector autoregression with static interdependencies and the possibility of regime change is estimated. The simulation procedure produces ELB risk estimates for both the short term, where the current phase of the business cycle plays an important role, and the medium term, where the occurrence of an ELB situation is determined mainly by the equilibrium values of macroeconomic variables. The paper also discusses the ELB event probability estimates with respect to previous approaches used in the literature.
    Keywords: Effective lower bound, ELB risk, mean adjustment, panel VAR, regime change
    JEL: C11 E37 E52
  25. By: Arina Sapova (Bank of Russia, Russian Federation); Aleksey Porshakov (Bank of Russia, Russian Federation); Andrey Andreev (Bank of Russia, Russian Federation); Evgenia Shatilo (Bank of Russia, Russian Federation)
    Keywords: consumer price index, inflation, seasonality, seasonal adjustment, aggregate index, consumer price dynamics .
    JEL: C18 C43 E31
    Date: 2018–06
  26. By: Sohei Kaihatsu (Bank of Japan); Maiko Koga (Bank of Japan); Tomoya Sakata (Bank of Japan); Naoko Hara (Bank of Japan)
    Abstract: In the aftermath of the recent global financial crisis, advanced economies have faced sluggish recoveries or long-lasting economic slowdowns. This experience has challenged the conventional dichotomy of business cycles and economic growth, which has long been central to macroeconomic analysis. Against this backdrop, we review the literature looking at the relationship between business cycles and economic growth. This study consists of three parts. First, we provide basic ideas about the relationship of business cycles and economic growth, and a simple empirical analysis on economic growth rates in advanced economies. Second, we survey studies which look at the effects of business cycles on economic growth. Specifically, we focus on hysteresis effects caused by labor market structure, firm activity and fiscal policy. Third, we review the literature looking at the effects of economic growth on business cycles, through mechanisms such as technological progress and population ageing.
    Keywords: Business cycles; economic growth; hysteresis
    JEL: E32 O40
    Date: 2018–06–20
  27. By: Alberto Martín; Enrique Moral-Benito; Tom Schmitz
    Abstract: What are the effects of a housing bubble on the rest of the economy? We show that if firms and banks face collateral constraints, a housing bubble initially raises credit demand by housing firms while leaving credit supply unaffected. It therefore crowds out credit to non-housing firms. If time passes and the bubble lasts, however, housing firms eventually pay back their higher loans. This leads to an increase in banks’ net worth and thus to an expansion in their supply of credit to all firms: crowding-out gives way to crowding-in. These predictions are confirmed by empirical evidence from the recent Spanish housing bubble. In the early years of the bubble, non-housing firms reduced their credit from banks that were more exposed to the bubble, and firms that were more exposed to these banks had lower credit and output growth. In its last years, these effects were reversed.
    Keywords: housing bubble, credit, investment, financial frictions, financial transmission, Spain
    JEL: E32 E44 G21
    Date: 2018–06
  28. By: Michał Brzoza-Brzezina (Narodowy Bank Polski and Warsaw School of Economics); Jacek Kotłowski (Narodowy Bank Polski and Warsaw School of Economics)
    Abstract: This paper draws from two observations in the literature. First, that shocks to entrepreneur or household confidence matter for economic outcomes. Second, that it is hard to explain the extent of cyclical comovement between economies taking into account their trade links only. We check empirically to what extent confidence fluctuations matter for business cycles and in particular for their comovement between economies. We focus on a large (euro area) and a small, nearby economy (Poland). Our results show that confidence fluctuations account for approximately 40% of business cycle fluctuations in the euro area. Spillovers of confidence shocks are also large. Our main finding is that the their direct impact (i.e. not via trade but through the cross-border spread of news and business sentiment) accounts for almost 40% of business cycle fluctuations in Poland.
    Keywords: International spillovers, animal spirits, sentiments, business cycle
    JEL: C32 E32 F44
    Date: 2018
  29. By: Ashima Goyal (Indira Gandhi Institute of Development Research)
    Abstract: The worldwide move to constrain monetary and fiscal policy using rules is creating a switch from fiscal towards monetary dominance. India also implemented flexible inflation targeting and fiscal responsibility legislation. The theoretical arguments, openness to capital flows, and historical experience with the adverse effects of fiscal dominance that led to these changes are discussed. When output is demand determined, with a relatively greater impact of monetary policy on demand, while fiscal policy affects supply-side costs and therefore inflation, as in India, monetary dominance also has adverse effects. Since each policy acts more effectively on the other's objective, co-ordination is essential to achieve optimal outcomes. Under adverse movements in revenues and high interest rates public investment is the first to be cut. Growth can fall below potential while supply-side inflation persists. The paper examines one way of achieving better outcomes. Rules alone could be interpreted too strictly. Delegation to a more conservative fiscal and less conservative monetary authority, by removing the fears of non-cooperation, makes coordination with higher payoffs for both self-enforcing. Such constrained discretion gives the required long-term perspective, yet retains flexibility.
    Keywords: Monetary and fiscal rules; Monetary versus fiscal dominance; delegation; Coordination
    JEL: E63 E65 C72
    Date: 2018–03
  30. By: Maggiori, Matteo; Neiman, Brent; Schreger, Jesse
    Abstract: We establish that global portfolios are driven by an often neglected aspect: the currency of denomination of assets. Using a dataset of $27 trillion in security-level investment positions, we demonstrate that investor holdings are biased toward their own currencies to such an extent that each country holds the bulk of all debt securities denominated in their own currency, even those issued by foreign borrowers in developed countries. Surprisingly, currency is such a strong predictor of the nationality of a security's holder that the nationality of the issuer - to date, the most powerful predictor in a voluminous literature on cross-border portfolios - adds very little explanatory power. While large firms issue bonds in foreign currency and borrow from foreigners, the vast majority of firms issue only in local currency and do not directly access foreign capital. These patterns hold broadly across countries with the exception of countries, like the United States, that issue an international currency. The global willingness to hold the US dollar means that even smaller US firms that borrow exclusively in dollars have little difficulty borrowing from abroad. Global portfolios shifted sharply away from the euro and toward the dollar starting with the 2008 financial crisis, further cementing the dollar's international role and potentially amplifying the benefit that its status brings to the US.
    Keywords: Capital Flows; Exorbitant Privilege; Home Bias; reserve currencies
    JEL: E42 E44 F3 F55 G11 G15 G23 G28
    Date: 2018–06
  31. By: Hamed Ghiaie (Département d'économique, Université de Cergy-Pontoise); Jean-François Rouillard (Département d'économique, Université de Sherbrooke)
    Abstract: Through the lens of a multi-agent dynamic general equilibrium model, we examine the effects of four permanent changes in housing taxes and deductions on macroeconomic aggregates and welfare. Our main result is that the presence of borrowing-constrained bankers dampen the negative consequences of housing taxation on output. The long-run tax multipliers found range from -1.02 to -0.6. The reduction in the deduction of mortgage interest payments delivers the lowest multiplier. We also implement revenue-neutral tax reforms and find that the repeal of mortgage deductibility is the only policy that generates gains in output.
    Keywords: Housing taxation, banking, dynamic general equilibrium.
    JEL: E62 G28 H24 R38
    Date: 2018–01
  32. By: Baumeister, Christiane; Hamilton, James D.
    Abstract: Reporting point estimates and error bands for structural vector autoregressions that are only set identified is a very common practice. However, unless the researcher is persuaded on the basis of prior information that some parameter values are more plausible than others, this common practice has no formal justification. When the role and reliability of prior information is defended, Bayesian posterior probabilities can be used to form an inference that incorporates doubts about the identifying assumptions. We illustrate how prior information can be used about both structural coefficients and the impacts of shocks, and propose a new distribution, which we call the asymmetric t distribution, for incorporating prior beliefs about the signs of equilibrium impacts in a nondogmatic way. We apply these methods to a three-variable macroeconomic model and conclude that monetary policy shocks were not the major driver of output, inflation, or interest rates during the Great Moderation.
    JEL: C11 C32 E52
    Date: 2018–06–20
  33. By: Michael D. Bordo; Klodiana Istrefi
    Abstract: Narrative records in US newspapers reveal that about 70 percent of Federal Open Market Committee (FOMC) members who served during the last 55 years are perceived to have had persistent policy preferences over time, as either inflation-fighting hawks or growth-promoting doves. The rest are perceived as swingers, switching between types, or remained an unknown quantity to markets. What makes a member a hawk or a dove? What moulds those who change their tune? We highlight ideology by education and early life economic experiences of members of the FOMC from 1960s to 2015. This research is based on an original dataset.
    JEL: E50 E61
    Date: 2018–05
  34. By: Austan D. Goolsbee; Peter J. Klenow
    Abstract: We use Adobe Analytics data on online transactions for millions of products in many different categories from 2014 to 2017 to shed light on how online inflation compares to overall inflation, and to gauge the magnitude of new product bias online. The Adobe data contain transaction prices and quantities purchased. We estimate that online inflation was about 1 percentage point lower than in the CPI for the same categories from 2014--2017. In addition, the rising variety of products sold online, implies roughly 2 percentage points lower inflation than in a matched model/CPI-style index.
    JEL: E31 O47
    Date: 2018–05
  35. By: Q. Farooq Akram (Norges Bank); Mats B. Fevolden (Norges Bank); Lyndsie H. Smith (Norges Bank)
    Abstract: We investigate the reliability of the `Furfine filter' often used to identify interbank loans and interest rates from interbank payments settled at central banks. To this end, we have been granted access to records of all unsecured overnight interbank loans during a month from the banks that participated in Norges Bank’s real-time gross settlement system. The filter applied was able to identify each of these loans and correctly derive the associated interest rates. The filter's reliability is also supported by additional evidence based on the Norwegian Overnight Weighted Average (NOWA) interest rates beyond the survey month. Sensitivity analyses suggest the share of false or overlooked loans may remain small if the filter design largely incorporates interbank market conventions regarding loan size requests and interests rate quotes.
    Keywords: Overnight interbank market, Furfine-algorithm, RTGS
    JEL: C63 G21 E43 E58
    Date: 2018–06–29
  36. By: Giovanni Dosi; Mauro Napoletano; Andrea Roventini; Tania Treibich
    Abstract: In this work we study the granular origins of business cycles and their possible underlying drivers. As shown by Gabaix (2011), the skewed nature of firm size distributions implies that idiosyncratic (and independent) firm-level shocks may account for a significant portion of aggregate volatility. Yet, we question the original view grounded on "supply granularity", as proxied by productivity growth shocks - in line with the Real Business Cycle framework-, and we provide empirical evidence of a "demand granularity", based on investment growth shocks instead. The role of demand in explaining aggregate fluctuations is further corroborated by means of a macroeconomic Agent-Based Model of the "Schumpeter meeting Keynes" family (Dosi et al., 2015). Indeed, the investigation of the possible microfoundation of RBC has led us to the identification of a sort of microfounded Keynesian multiplier.
    Keywords: business cycles, granular residual, granularity hypothesis, agent-based models, firm dynamics, productivity growth, investment growth
    Date: 2018–07–03
  37. By: Lindner, Peter; Loeffler, Axel; Segalla, Esther; Valitova, Guzel; Vogel, Ursula
    Abstract: In this paper, we examine the international transmission of monetary policies of major advanced economies (US, UK, euro area) through banks in Austria and Germany. In particular, we compare the role of banks' funding structure, broken down by country of origin as well as by currency denomination, in the international transmission of monetary policy changes to bank lending. We find weak evidence for inward spillovers. The more a bank is funded in US dollars, the more its domestic real sector lending is affected by monetary policy changes in the US. This effect is more pronounced in Germany than in Austria. We do not find evidence for outward spillovers of euro area monetary policy through a bank funding channel.
    Keywords: monetary policy spillover,global banks,bank funding channel
    JEL: E52 F33 G21
    Date: 2018
  38. By: Lance A. Fisher (Macquarie University); Hyeon-seung Huh (Yonsei University)
    Abstract: This paper develops a method for combining sign and parametric restrictions in SVARs by means of Givens matrices. The Givens matrix is used to rotate an initial set of orthogonal shocks in the SVAR. Parametric restrictions are imposed on the Givens matrix in a manner which utilises its properties. This gives rise to a system of equations which can be solved recursively for the ¡®angles¡¯ in the constituent Givens matrices to enforce the parametric restrictions. The method is applied to several identifications which involve a combination of sign restrictions, and long-run and/or contemporaneous restrictions in Peersman¡¯s (2005) SVAR for the US economy. The method is compared to the recently developed method of Aries, Rubio-Ramirez and Waggoner (2018) which combines zero and sign restrictions.
    Keywords: structural vector autoregressions, sign and parametric restrictions, Givens rotations, QR decomposition
    JEL: C32 C51 E32
    Date: 2018–06
  39. By: Isabel Argimon; Clemens Bonner; Ricardo Correa; Patty Duijm; Jon Frost; Jakob de Haan; Leo de Haan; Viktors Stebunovs
    Abstract: Global financial institutions play an important role in channeling funds across countries and, therefore, transmitting monetary policy from one country to another. In this paper, we study whether such international transmission depends on financial institutions' business models. In particular, we use Dutch, Spanish, and U.S. confidential supervisory data to test whether the transmission operates differently through banks, insurance companies, and pension funds. We find marked heterogeneity in the transmission of monetary policy across the three types of institutions, across the three banking systems, and across banks within each banking system. While insurance companies and pension funds do not transmit home-country monetary policy internationally, banks do, with the direction and strength of the transmission determined by their business models and balance sheet characteristics.
    Keywords: Monetary policy transmission ; Global financial institutions ; Bank lending channel ; Portfolio channel ; Business models
    JEL: E5 F3 F4 G2
    Date: 2018–05–29
  40. By: Jan Pablo Burgard; Matthias Neuenkirch; Matthias Nöckel
    Abstract: In this paper, we estimate a logit mixture vector autoregressive (Logit-MVAR) model describing monetary policy transmission in the euro area over the period 1999-2015. MVARs allow us to differentiate between different states of the economy. In our model, the time-varying state weights are determined by an underlying logit model. In contrast to other classes of non-linear VARs, the regime affiliation is neither strictly binary, nor binary with a transition period, and based on multiple variables. We show that monetary policy transmission in the euro area can indeed be described as a mixture of two states. The first (second) state with an overall share of 84% (16%) can be interpreted as a “normal state” (“crisis state”). In both states, output and prices are found to decrease after monetary policy shocks. During “crisis times” the contraction is much stronger, as the peak effect is roughly one-and-a-half times as large when compared to “normal times.” In contrast, the effect of monetary policy shocks is less enduring in crisis times. Both findings provide a strong indication that the transmission mechanism is indeed different for the euro area during times of economic and financial distress.
    Keywords: economic and financial crisis, euro area, mixture VAR, monetary policy transmission, state-dependency
    JEL: C32 E52 E58
    Date: 2018
  41. By: Daisuke, Ikeda (Bank of England)
    Abstract: I develop a general equilibrium model that features endogenous bank runs in a global game framework. A bank run probability — systemic risk — is increasing in bank leverage and decreasing in bank liquid asset holdings. Bank risk shifting and pecuniary externalities induce excessive leverage and insufficient liquidity, resulting in elevated systemic risk from a social welfare viewpoint. Addressing the inefficiencies requires prudential tools on both leverage and liquidity. Imposing one tool only causes risk migration: banks respond by taking more risk in another area. I extend the model and study risk migration in other fields including sectoral lending, concentration risk and shadow banking.
    Keywords: Bank runs; global games; capital and liquidity requirements; risk migration
    JEL: E44 G01 G21 G28
    Date: 2018–06–08
  42. By: Mariacristina De Nardi (UCL, Federal Reserve Bank of Chicago, IFS, CEPR, and NBER); Giulio Fella (Queen Mary University of London, CFM, and IFS)
    Abstract: Earnings dynamics are much richer than typically assumed in macro models with heterogeneous agents. This holds for individual-pre-tax and household-post-tax earnings and across administrative (Social Security Administration) and survey (Panel Study of Income Dynamics) data. We study the implications of two processes for household, post-tax earnings in a standard life-cycle model: a canonical earnings process (that includes a persistent and a transitory shock) and a rich earnings dynamics process (that allows for age-dependence of moments, non-normality, and nonlinearity in previous earnings and age). Allowing for richer earnings dynamics implies a substantially better t of the evolution of cross-sectional consumption inequality over the life cycle and of the individual-level degree of consumption insurance against persistent earnings shocks. Richer earnings dynamics also imply lower welfare costs of earnings risk, but, as the canonical earnings process, do not generate enough concentration at the upper tail of the wealth distribution.
    Keywords: Earnings risk, savings, consumption, inequality, life cycle
    JEL: D14 D31 E21 J31
    Date: 2018–06–15
  43. By: Ana Fontoura Gouveia; Christian Osterhold
    Abstract: Productivity growth is slowing down among OECD countries, coupled with increased misallocation of resources. A recent strand of literature focuses on the role of non-viable firms (“zombie firms”) to explain these developments. Using a rich firm-level dataset for one of the OECD countries with the largest drop in barriers to firm exit and restructure, we assess the role of zombies on firm dynamics, both in the extensive and intensive margins. We confirm the results on the high prevalence of zombie firms, significantly less productive than their healthy counterparts and thus dragging aggregate productivity down. Moreover, while we find evidence of positive selection within zombies, with the most productive restructuring and the least productive exiting, we also show that the zombies' productivity threshold for exit is much lower than that of nonzombies, allowing them to stay in the market, distorting competition and sinking resources. Zombie prevalence curbs the growth of viable firms, in particular the most productive, harming the intra-sectoral resource reallocation. We show that a reduction in exit and restructuring barriers promotes a more effective exit channel and fosters the restructuring of the most productive. These results highlight the role of public policy in addressing zombies' prevalence, fostering a more efficient resource allocation and enabling productivity growth.
    Keywords: Firm Dynamics, Insolvency Frameworks, Labor Productivity, Resource Allocation, Zombie Firms
    JEL: D24 E22 E24 G33 J24 L25
    Date: 2018–06–25
  44. By: Waeyenberge, Elisa Van.; Bargawi, Hannah.
    Abstract: This paper, authored by Elisa Van Waeyenberge and Hannah Bargawi, examines the main trends in growth, employment, poverty and inequality in Uganda over the last decade, pointing to, inter alia, a lack of absorption of workers into high productivity sectors, with resulting implications for conditions of employment, poverty and inequality. The authors argue that the limited structural transformation is a result insufficient expansion in productive capacities by the private sector, against the backdrop of a historically weak public investment programme and a persistently lop-sided integration in international trade circuits. The authors also argue that the macroeconomic policy agenda has restricted the scope for a fundamental transformation of the Ugandan economy necessary to support much-needed job creation and increases in the standard of living. The authors point to a need for a proemployment macroeconomic framework in Uganda, including appropriate sectoral policies, accelerating public spending complemented by efforts to mobilise domestic revenues and a rethink of monetary policy beyond inflation-targeting.
    Keywords: economic development, labour policy, Uganda
    Date: 2018
  45. By: Giovanni Caggiano (University of Padova); Efrem Castelnuovo (University of Padova)
    Abstract: We estimate a nonlinear VAR to quantify the impact of economic policy uncertainty shocks originating in the US on the Canadian unemployment rate in booms and busts. We find strong evidence in favor of asymmetric spillover effects. Unemployment in Canada is shown to react to uncertainty shocks in economic busts only. Such shocks explain about 13% of the variance of the 2-year ahead forecast error of the Canadian unemployment rate in periods of slack vs. just 2% during economic booms. Counterfactual simulations lead to the identification of a novel "economic policy uncertainty spillovers channel". According to this channel, jumps in US uncertainty foster economic policy uncertainty in Canada in the first place and, because of the latter, lead to a temporary increase in the Canadian unemployment rate. Evidence of asymmetric spillover effects due to US EPU shocks are also found for the UK economy. This evidence, which refers to a large economy having a low trade intensity with the US, supports our view that a channel other than trade could be behind our empirical results.
    Keywords: Economic Policy Uncertainty Shocks, Spillover Effects, Unemployment Dynamics, Smooth Transition Vector AutoRegressions, Recessions
    JEL: C32 E32 E52
    Date: 2018–06
  46. By: Agnès Bénassy-Quéré (PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics); Matthieu Bussière (Banque de France - Banque de France); Pauline Wibaux (PSE - Paris School of Economics, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique)
    Abstract: The debate on trade wars and currency wars has re-emerged since the Great recession of 2009. We study the two forms of non-cooperative policies within a single framework. First, we compare the elasticity of trade flows to import tariffs and to the real exchange rate, based on product level data for 110 countries over the 1989-2013 period. We find that a 1 percent depreciation of the importer's currency reduces imports by around 0.5 percent in current dollar, whereas an increase in import tariffs by 1 percentage point reduces imports by around 1.4 percent. Hence the two instruments are not equivalent. Second, we build a stylized short-term macroeconomic model where the government aims at internal and external balance. We find that, in this setting, monetary policy is more stabilizing for the economy than trade policy, except when the internal transmission channel of monetary policy is muted (at the zero-lower bound). One implication is that, in normal times, a country will more likely react to a trade "aggression" through monetary easing rather than through a tariff increase. The result is reversed at the ZLB.
    Keywords: tariffs,exchange rates,trade elasticities,protectionism
    Date: 2018–06
  47. By: Hernández-Ramos, Lesdy Natalie; Venegas-Martínez, Francisco
    Abstract: This paper is aimed at developing a stochastic general equilibrium model of a small and open economy to examine how the volatility generated by risk factors affects the performance of fiscal and monetary policies. The relevant economic and financial variables are modeled with geometric Brownian motions combined with Poisson jumps. The decision-making problems of all agents participating in the economy are solved and the general equilibrium is characterized. Finally, several econometric specifications derived from the theoretical results of the proposed model are used to assess the performance of fiscal and monetary policies in Mexico, in 1990-2015, in an environment of risk and uncertainty. La presente investigación desarrolla un modelo estocástico de equilibrio general de una economía pequeña y abierta útil para examinar cómo la volatilidad generada por diversos factores de riesgo afecta el desempeño de las políticas fiscal y monetaria. Las variables económicas y financieras relevantes son modeladas con movimientos geométricos brownianos combinadas con saltos de Poisson. Los problemas de toma de decisiones de todos los agentes participantes en la economía son resueltos y el equilibro general es caracterizado. Por último, diversas especificaciones econométricas provenientes de los resultados teóricos del modelo propuesto son utilizadas para evaluar el desempeño de las políticas fiscal y monetaria en México, en 1990-2015, en un entorno de riesgo e incertidumbre.
    Keywords: Keywords: General equilibrium, decision making under risk and uncertainty, fiscal and monetary policy. Palabras clave: Equilibrio general, toma de decisiones bajo riesgo e incertidumbre, política fiscal y monetaria.
    JEL: E62
    Date: 2018–06–30
  48. By: Gabriele Camera (Economic Science Institute, Chapman University and University of Bologna); Jaehong Kim (Xiamen University)
    Abstract: Matching frictions and downward wage rigidity emerge as equilibrium phenomena in a twosided labor market where firms sustain variable wage adjustment costs. Firms post wages to attract workers and matches are endogenous. Reducing the wage relative to the wage previously posted is costly to the firm, where the cost is proportional to the size of the proposed cut. Shocks to the firm’s profitability may yield an equilibrium wage above what the firm would offer absent proportional adjustment costs. Wage cuts can be partial or full, immediate or delayed, and are non-linear in the shock size. Importantly, wages are sticky even if firms have negligible costs for cutting wages.
    Keywords: frictions; matching; sticky wages
    JEL: C70 D40 E30 J30
    Date: 2018
  49. By: Chakraborty, Lekha (National Institute of Public Finance and Policy); Sinha, Darshy (National Institute of Public Finance and Policy)
    Abstract: We analyse the fiscal marksmanship of the macro-fiscal variables of Union Government ex-ante and ex-post to the formulation of fiscal rules in India. The fiscal marksmanship is the accuracy of budgetary forecasting. The fiscal rules have been legally mandated in India in the form of fiscal responsibility and budget management Act (FRBM Act) in 2003, with a criteria of fiscal-deficit to GDP threshold ratio of 3 per cent and gradual phasing out of revenue deficit. Using Theil’s inequality coefficient (U) based on the mean square prediction error, the paper estimates the magnitude of errors in the budgetary forecasts in India during the period ex-ante and ex-post to fiscal rules, and also decomposed the errors into biasedness, unequal variation and random components. The decomposition of errors is to analyze the source of error in both the regimes. Our results found that in both regimes, the proportion of error due to random variation has been significantly higher, which is beyond the control of the forecaster. In other words, the error due to bias of the policy maker in preparing the Union Budget has been negligible in the period ex-ante and ex-post to fiscal responsibility and budget management (FRBM) Act in India. This result has significant policy implications especially in the context of repeal of 2003 FRBM Act in India and the Union Government has announced clauses for a ‘New FRBM Act’ in India in the Finance Bill 2018.
    Keywords: : fiscal marksmanship ; budget forecast errors ; fiscal rules ; rational expectations
    JEL: C32 C53 E62 H50 H60
    Date: 2018–06
  50. By: Santiago Acerenza; Néstor Gandelman
    Abstract: This paper characterizes household spending in education using microdata from income and expenditure surveys for 12 Latin American and Caribbean countries and the United States. Bahamas, Chile and Mexico have the highest household spending in education while Bolivia, Brazil and Paraguay have the lowest. Tertiary education is the most important form of spending, and most educational spending is performed for individuals 18-23 years old. More educated and richer household heads spend more in the education of household members. Households with both parents present and those with a female main income provider spend more than their counterparts. Urban households also spend more than rural households. On average, education in Latin America and the Caribbean is a luxury good, while it may be a necessity in the United States. No gender bias is found in primary education, but households invest more in females of secondary age and up than same-age males.
    Keywords: Household Expenditure, Household Income, Education Expenditure, Primary & Secondary Education, Children, School Attendance, gender bias, Educational Level, Household Education Spending, Household Income, Household Expenditure
    JEL: D12 I2 E21
    Date: 2017–03
  51. By: Benjamín García
    Abstract: The effective lower bound (ELB) on interest rates introduces an explicit non-linearity for feasible monetary policy paths: interest rates cannot go below a certain rate. In a forward looking environment, the ELB can affect the monetary policy decisions not only when the bound is reached, but also when there is a possibility that the bound may be reached in the future. In this context, as a recommendation for monetary policy in a low-inflation environment, Reifschneider and Williams (2002 FOMC) propose an asymmetric Taylor Rule with a threshold level that automatically drives the interest rate to zero whenever they fall below one percent. I test the hypothesis that the Federal Reserve has behaved in a manner consistent with Reifschneider and Williams’ advice, finding evidence of a negative correlation between the level of the interest rate and the strength of the monetary policy response. Using an estimated nonlinear DSGE model, I show that a monetary policy which act symmetrically and asymmetrically can have significantly different consequences. In particular, I study the relevance of this behavior for the analysis of a permanent rise of the inflation target.
    Date: 2018–06
  52. By: McLeay, Michael; Tenreyro, Silvana
    Abstract: This paper explains why inflation follows a seemingly exogenous statistical process, unrelated to the output gap. In other words, it explains why it is difficult to empirically identify a Phillips curve. We show why this result need not imply that the Phillips curve does not hold – on the contrary, our conceptual framework is built under the assumption that the Phillips curve always holds. The reason is simple: if monetary policy is set with the goal of minimising welfare losses (measured as the sum of deviations of inflation from its target and output from its potential), subject to a Phillips curve, a central bank will seek to increase inflation when output is below potential. This targeting rule will impart a negative correlation between inflation and the output gap, blurring the identification of the (positively sloped) Phillips curve.
    Keywords: identification; Inflation targeting; Phillips curve
    Date: 2018–06
  53. By: Buch, Claudia (Deutsche Bundesbank); Bussiere, Matthieu (Banque de France); Goldberg, Linda (Federal Reserve Bank of New York); Hills, Robert (Bank of England)
    Abstract: This paper presents the novel results from an internationally coordinated project by the International Banking Research Network (IBRN) on the cross-border transmission of conventional and unconventional monetary policy through banks. Teams from 17 countries use confidential micro-banking data for the years 2000 through 2015 to explore the international transmission of monetary policies of the US, euro area, Japan, and United Kingdom. Two other studies use international data with different degrees of granularity. International spillovers into lending to the private sector do occur, especially for US policies, and bank-specific heterogeneity influences the magnitudes of transmission. The effects are supportive of the international bank lending channel and the portfolio channel of monetary policy transmission. They also show that the frictions that banks face matter; in particular, foreign currency funding and hedging considerations can be a key source of heterogeneity. The forms of bank balance sheet heterogeneity that differentiate spillovers across banks are not uniform across countries. International spillovers into lending can be large for some banks, even while the average international spillovers of policies into non-bank lending generally are not large.
    Keywords: Monetary policy; international spillovers; cross-border transmission; global bank; global financial cycle
    JEL: E52 G15 G21
    Date: 2018–06–01
  54. By: Herz, Benedikt; van Rens, Thijs
    Abstract: We investigate unemployment due to mismatch in the United States over the past three and a half decades. We propose an accounting framework that allows us to estimate the contribution of each of the frictions that generated labor market mismatch. Barriers to job mobility account for the largest part of mismatch unemployment, with a smaller role for barriers to worker mobility. We find little contribution of wage-setting frictions to mismatch.
    Keywords: job mobility; mismatch; structural unemployment; worker mobility
    JEL: E24 J61 J62
    Date: 2018–06
  55. By: Allan Wright; Kari Grenade; Ankie Scott-Joseph
    Abstract: This study contends that Caribbean countries cannot adequately surmount their fiscal and debt challenges in the absence of binding rules that are geared toward entrenching fiscal discipline, curbing fiscal procyclicality, and improving budget transparency and credibility. Distilling global lessons and taking due cognizance of Caribbean countries' idiosyncrasies, the paper explores key technical, operational and institutional issues in the design, implementation, and monitoring of fiscal rules that might be relevant for Caribbean countries that currently do not have legislated rules. Results from simulations carried out to determine welfare effects and the extent of volatility of key macroeconomic variables under various fiscal rules scenarios suggest that of the different types of simulated fiscal rules, expenditure rules perform best in terms of reducing macroeconomic volatility, and in that regard, appear to be the most welfare-enhancing. This is believed to be the first study to carry out such a simulation exercise for Caribbean countries. The findings of the study evince useful insights for policymakers on how to improve the design and conduct of fiscal policy for better fiscal and, by extension, development outcomes.
    Keywords: Fiscal rules, Public debt, Public Financial Management, Fiscal deficit, fiscal deficit, public debt, fiscal sustainability, fiscal policy
    JEL: H60 E62
    Date: 2017–02
  56. By: Diewert, Erwin; FEENSTRA, Robert
    Abstract: A major challenge facing statistical agencies is the problem of adjusting price and quantity indexes for changes in the availability of commodities. This problem arises in the scanner data context as products in a commodity stratum appear and disappear in retail outlets. Hicks suggested a reservation price methodology for dealing with this problem in the context of the economic approach to index number theory. Feenstra and Hausman suggested specific methods for implementing the Hicksian approach. The present paper evaluates these approaches and suggests some alternative approaches to the estimation of reservation prices. The various approaches are implemented using some scanner data on frozen juice products that are available online.
    Keywords: Hicksian reservation prices, virtual prices, Laspeyres, Paasche, Fisher
    JEL: C33 C43 C81 D11 D60 E31
    Date: 2018–04–23
  57. By: Roberto Alvarez; Erwin Hansen
    Abstract: This paper examines a panel (1994-2014) of Chilean non-financial firms, both publicly listed and private, which was built to analyze the determinants of the use of foreign currency debt and their potential consequences for firm investment and profitability. It is found that foreign assets and the use of FX derivatives are positively associated with firms' use of foreign currency debt. Also, depending on the estimation method, exports appear as an important determinant of the use of foreign currency debt. In terms of the potential effect of holding foreign currency debt on firms' performance after an exchange rate devaluation, no statistical differential effect is identified on either firm profitability or firm investment. This (lack of) result is interpreted as evidence that firms match liabilities and assets denominated in foreign currency and that firms actively involved in hedging aim to reduce their exposure to foreign exchange fluctuations.
    Keywords: Foreign Currency Debt, Foreign exchange, Bonds, Interest rates, Macroeconomics, Export Sales, Foreign Assets, Firm performance, foreign exchange, non-financial firms, interest rate
    JEL: E22 G31 F34
    Date: 2017–02
  58. By: Pierre-Richard Agénor; Luiz A. Pereira da Silva
    Abstract: The effects of capital requirements on risk-taking and welfare are studied in a stochastic overlapping generations model of endogenous growth with banking, limited liability, and government guarantees. Capital producers face a choice between a safe technology and a risky (but socially inefficient) technology, and bank risk-taking is endogenous. Setting the capital adequacy ratio above a structural threshold can eliminate the equilibrium with risky loans (and thus inefficient risk-taking), but numerical simulations show that this may entail a welfare loss. In addition, the optimal ratio may be too high in practice and may concomitantly require a broadening of the perimeter of regulation and a strengthening of financial supervision to prevent disintermediation and distortions in financial markets.
    Keywords: Capital Requirements, Bank risk-taking, Investment, Financial Stability, Economic Growth, Capital Goods, Financial Regulation, Financial Intermediaries, Financial Markets, risky investments, financial stability, financial regulation
    JEL: O41 G28 E44
    Date: 2017–03
  59. By: Hyejin Cho (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)
    Abstract: In examining the global imbalance by the excess liquidity level, the argument is whether commercial banks want to hold excess reserves for the precautionary aim or expect to get better return through risky decision. By pictorial representations, risk preference in the Machina's triangle (1982, 1987) encapsulates motivation to hold excess liquidity. This paper introduces an endogenous liquidity model for the financial sector where the imbalance argument comes from credit rationing extended from outside liquidity (Holmstrom and Tirole, 2011). We also conduct a stylistic analysis of excess liquidity in Jordan and Lebanon from 1993 to 2015. As such, the proposed model exemplifies the combination of credit, liquidity and regulation.
    Keywords: credit rationing, excess liquidity, inside liquidity, risk preference,E58,L51
    Date: 2017–04–10
  60. By: Kenny, Seán (Department of Economic History, Lund University); Turner, John D. (Queen's University Belfast)
    Abstract: Using a new biography of banks, we examine the stability of Irish banking from 1797 to 1826 by constructing a failure rate series. We find that the ultimate cause of the frequent and severe banking crises was the crisis-prone structure of the banking system, which was designed to benefit the political elite. There is little evidence to suggest that wildcat banking or the failure of the Bank of Ireland to act as a lender of last resort were to blame. We also find that the main economic effect of the episodic crises was major diminutions in the money supply.
    Keywords: banking crisis; bank failure; Ireland; partnership; wildcat banking; political economy of banking
    JEL: E42 G21 N13 N23
    Date: 2018–06–21
  61. By: Cesa-Bianchi, Ambrogio (Bank of England); Pesaran, M Hashem (Department of Economics); Rebucci, Alessandro (Johns Hopkins University)
    Abstract: Measures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the direction of causation between uncertainty and the business cycle. This paper takes a common-factor approach to the analysis of the interaction between uncertainty and economic activity in a multi-country model without a priori restricting the direction of causality at the level of individual countries. Motivated by the observation that cross-country correlations of volatility series are much higher than cross-country correlations of GDP growth series, we set up a multi-country version of the Lucas tree model with time-varying volatility consistent with this stylized fact and use it to identify two common factors, a real and a financial one. We then quantify the absolute and the relative importance of the common shocks as well as country-specific volatility and GDP growth shocks. The paper highlights three main empirical findings. First, it is shown that most of the unconditional correlation between volatility and growth can be accounted for by shocks to the real common factor, which is extracted from world growth in our empirical model and linked to the risk-free rate in the theoretical model and in the data. Second, the share of volatility forecast error variance explained by the real common shock and by country-specific growth shocks amounts to less than 5%. Third, common financial shocks explain about 10% of the growth forecast error variance, but when such shocks occur, their negative impact on growth is large and persistent. In contrast, country-specific volatility shocks account for less than 1%-2% of the forecast error variance decomposition of country-specific growth rates.
    Keywords: Uncertainty; business cycle; common factors; real and financial global shocks; multi-country; identification; realized volatility
    JEL: E44 F44 G15
    Date: 2018–06–01
  62. By: Basten, Christoph (University of Zurich); Guin, Benjamin (Bank of England); Koch, Catherine (Bank for International Settlements)
    Abstract: We exploit a unique dataset that features both un-intermediated mortgage requests and independent responses from multiple banks to each request. We show that households typically are not prudent risk managers, but prioritize minimizing current mortgage payments over insurance against future rate increases. Contrary to assumptions in the previous literature, we find that banks do also influence contracted rate fixation periods. They trade off their own exposure to interest rate risk against household requests and against credit risk.
    Keywords: Interest rate risk; credit risk; maturity mismatch; duration; fixation period; repricing frequency; fixed-rate mortgage; adjustable rate mortgage
    JEL: D14 E43 G21
    Date: 2018–06–08
  63. By: Vasily Astrov (The Vienna Institute for International Economic Studies, wiiw); Julia Grübler (The Vienna Institute for International Economic Studies, wiiw)
    Abstract: This publication is available in German language only. For a brief English summary see further below. MOSOE Konjunkturzenit überschritten Die jüngsten Statistiken deuten auf ein weiterhin robustes BIP-Wachstum in den meisten Ländern Mittel‑, Ost- und Südosteuropas (MOSOEL) hin. Der konjunkturelle Höhepunkt scheint allerdings bereits überschritten zu sein. Einerseits lässt die Dynamik der privaten Konsumnachfrage leicht nach, andererseits dämpft die Konjunkturabkühlung im Euro-Raum die Exportentwicklung vieler MOSOEL. Die Investitionen steigen weiterhin kräftig an, getrieben in erster Linie von EU-Transfers in der EU-MOE-Region und von ausländischen Direktinvestitionen im Westbalkan. Ein deutlicher Wachstumseinbruch ist heuer nur in Rumänien und der Türkei zu erwarten – Ländern, deren Wirtschaft sich bislang in einem Zustand der „Überhitzung“ befand. Vor dem Hintergrund der österreichischen EU-Ratspräsidentschaft und divergierender Handelspolitiken der weltgrößten Volkswirtschaften werden auch die immer engeren wirtschaftlichen Verflechtungen Österreichs mit den MOSOEL analysiert. Insbesondere die Visegrád-Staaten gewinnen für den österreichischen Güterhandel, Tourismus und auch als Investitionsstandorte an Gewicht. Österreich präsentiert sich als Top-10-Exportdestination für sieben der MOSOEL, für acht zählt es zu den zehn wichtigsten Ländern für Importe, und für siebzehn Länder rangiert Österreich unter den Top-10-Investoren. English Summary CESEE Growth has passed its peak The latest statistics point to ongoing robust GDP growth in most countries of Central, East and Southeast Europe (CESEE). However, the growth peak seems to have already been passed. On the one hand, private consumer demand is weakening slightly; on the other hand, the economic slowdown in the eurozone is dampening the export performance of many CESEE countries. Investment continues to grow strongly, driven primarily by EU transfers in the EU-CEE and by foreign direct investment in the Western Balkans. A significant slump in growth this year can only be expected in Romania and Turkey, countries whose economies have been ‘overheating’. In the context of the Austrian Presidency of the Council of the European Union and diverging trade policies of the two largest economies in the world, we analyse the deepening economic relations between Austria and the CESEE countries. The Visegrád states in particular are gaining weight for Austrian trade in goods, tourism and as FDI destinations. From the perspective of CESEE, Austria represents a top 10 export destination for seven countries, a top 10 source country for imports for eight countries and a top 10 investor for even seventeen countries in the region.
    Keywords: Konjunkturprognose, Mittelosteuropa, Westbalkan, MOSOEL, Österreich, EU Ratsvorsitz, internationaler Handel, Investitionen, FDI, Digitalisierung, Migration; Economic forecast, Central and Eastern Europe, Western Balkans, CESEE, Austria, Presidency of the EU Council, international trade, investment, FDI, digitalisation, migration
    JEL: E20 E66 O52 O52 O57 P24 P27 P33 P52
    Date: 2018–06
  64. By: Meenagh, David (Cardiff Business School); Minford, Patrick (Cardiff Business School); Wickens, Michael (Cardiff Business School); Xu, Yongdeng (Cardiff Business School)
    Abstract: We review recent findings in the application of Indirect Inference to DSGE models. We show that researchers should tailor the power of their test to the model under investigation in order to achieve a balance between high power and model tractability; this will involve choosing only a limited number of variables on whose behaviour they should focus. Also recent work reveals that it makes little difference which these variables are or how their behaviour is measured whether via A VAR, IRFs or Moments. We also review identification issues and whether alternative evaluation methods such as forecasting or Likelihood ratio tests are potentially helpful.
    Keywords: Pseudo-true inference, DSGE models, Indirect Inference; Wald tests, Likelihood Ratio tests; robustness
    JEL: C12 C32 C52 E1
    Date: 2018–06
  65. By: José Jorge (Faculdade de Economia, Universidade do Porto, cef.up)
    Abstract: In an imperfect information economy with investment complementarities, market-based financial systems suffer from excessive volatility which leads to underinvestment. When financial intermediaries offer returns with low risk, intermediation improves coordination among investors, thereby enhancing efficiency and stabilizing the economy against macroeconomic shocks, entailing an ex ante Pareto improvement compared to the market-based allocation. However, the position of the intermediaries is fragile and competition from financial markets constrains intermediaries so that they have no incentives to improve the market allocation. Possible solutions to this problem and the optimal design of regulation are discussed. Other types of financial architecture, in which intermediation does not play a stabilizing role, are investigated.
    Keywords: Banking, Financial System, Systematic Risk, Global Games.
    JEL: G21 E44 G28 C72 O16
    Date: 2018–06
  66. By: Verónica Cañal-Fernández (Department of Economics Faculty of Economics and Business University of Oviedo); Julio Tascón Fernández (Department of Economics Faculty of Economics and Business University of Oviedo)
    Abstract: This paper analyses the relationship between foreign direct investment (FDI), exports and economic growth in Spain using annual time series data for the period 1970 to 2016. To examine these linkages the autoregressive distributed lag (ARDL) bounds testing approach to cointegration for the long-run is applied. The error correction model (ECM) is used to examine the short-run dynamics and the vector error correction model (VECM) Granger causality approach is used to investigate the direction of causality. The results confirm a long-run relationship among the examined variables. The Granger causality test indicates a strong unidirectional causality between FDI and exports with direction from FDI to exports. Besides, the results for the relationship between FDI and economic growth are interesting and indicate that there is no significant Granger causality from FDI to economic growth and vice-versa.
    Keywords: Foreign direct investment; exports; imports; GDP; ARDL bounds; causality
    JEL: C22 E31 E50
    Date: 2018–04
  67. By: John Gibson (University of Waikato); Trinh Le (Motu Economic and Public Policy Research)
    Abstract: Most developing countries lack spatially disaggregated price data, despite the importance of spatial transactions costs in these settings. We experimented in Vietnam with a new way of obtaining disaggregated price data, using local expert knowledge to derive the mean and variance for prices of 64 items in over 1000 communities. We use these prices to calculate regional cost-of-living indexes. These provide a better approximation to benchmark multilateral price indexes calculated from traditional market price surveys than do two no-price methods, based on using food Engel curves to derive deflators and based on unit values (survey group expenditure over group quantity).
    Keywords: expert knowledge; inequality; prices; regional cost-of-living
    JEL: D12 E31 O15
    Date: 2018–06–30
  68. By: Kenny, Seán; Turner, John D.
    Abstract: Using a new biography of banks, we examine the stability of Irish banking from 1797 to 1826 by constructing a failure rate series. We find that the ultimate cause of the frequent and severe banking crises was the crisis-prone structure of the banking system, which was designed to benefit the political elite. There is little evidence to suggest that wildcat banking or the failure of the Bank of Ireland to act as a lender of last resort were to blame. We also find that the main economic effect of the episodic crises was major diminutions in the money supply.
    Keywords: banking crisis,bank failure,Ireland,partnership,wildcat banking,political economy of banking
    JEL: G21 E42 N13 N23
    Date: 2018
  69. By: Christian Masiak; Joern H. Block; Tobias Masiak; Matthias Neuenkirch; Katja N. Pielen
    Abstract: We analyse the triangle of Initial Coin Offerings (ICO) and cryptocurrencies, namely Bitcoin and Ethereum. So far, little is known about the relationship between ICOs, bitcoin and Ether prices. Hence, we employ both bitcoin and Ether prices but also the ICO amount to measure the future development of raised capital in ICOs. First, our results indicate that an ICO has an influence on the subsequent ICO. Second, not only bitcoin prices but also Ether prices play a considerable role with regard to the output of ICO campaigns. However, the effect of Ethereum is of shorter duration on ICO compared to Bitcoin on ICO. A further finding is that the cryptocurrency Bitcoin positively influences Ether. The implications of these findings for investors and entrepreneurial firms are discussed.
    Keywords: Blockchain, cryptocurrency, entrepreneurial finance, initial coin offering, ICO
    JEL: G11 E22 M13 O16
    Date: 2018
  70. By: De Resende, Carlos (Asian Development Bank Institute); Takagi, Shinji (Asian Development Bank Institute)
    Abstract: We identify the key features of International Monetary Fund (IMF)–supported programs following the 2008 global financial crisis. The statistical analysis of a large sample of countries that borrowed from the IMF during 1997–2013 indicates that, compared to the amount of financing provided to crisis countries during the post-Asian crisis period, the amount was larger on average by more than 3 percentage points of GDP. Yet, the observed magnitude of adjustment in key macroeconomic variables, such as output, the exchange rate, and the current account balance, was just as large, even when the influence of less favorable global economic conditions was controlled for. We argue that the puzzle can be explained, in part, by the large-scale global financial deleveraging, as well as the large initial domestic imbalances observed during the post-global crisis period. The IMF’s post-global crisis programs routinely allowed fiscal balance targets to be relaxed in the face of adverse shocks; some attempted to bail in private investors or accommodated the use of capital and exchange controls to limit capital outflows; and the IMF often collaborated with other donors to boost total official financing. It is reasonable to surmise that, without these innovations, the required macroeconomic adjustments would have been even greater.
    Keywords: Asian financial crisis; global financial crisis; IMF programs
    JEL: E65 F33 F53 F55
    Date: 2018–04–30
  71. By: Taghizadeh-Hesary, Farhad (Asian Development Bank Institute); Yoshino, Naoyuki (Asian Development Bank Institute); Shimizu, Sayoko (Asian Development Bank Institute)
    Abstract: We assess the effects of the most recent monetary policy behavior of the Bank of Japan (BOJ), in particular, zero interest rate policy and negative interest rate policy, and the Japanese tax policy on income inequality during the first quarter (Q1) of 2002 to Q3 2017. The vector error correction model developed in this research shows that increase in money stock through quantitative easing and the quantitative and qualitative easing policies of the BOJ significantly increases income inequality. On the contrary, Japanese tax policy was effective in reducing income inequality. Variance decomposition results show that after 10 periods almost 87.15% of the forecast error variance of the inequality is accounted for by its own innovations and 3.76% of the forecast error variance can be explained by exogenous shocks to monetary policy shock—the money stock. The short-term interest rate also accounts for the increase in inequality by 0.47%. On the other hand, the total tax and real gross domestic product contributed in reducing the inequality measure, respectively, by 6.65% and 1.96% after 10 periods.
    Keywords: income inequality; monetary policy; tax policy; Japanese economy
    JEL: D63 E52 H24
    Date: 2018–04–27
  72. By: Alekhina, Victoriia (Asian Development Bank Institute); Yoshino, Naoyuki (Asian Development Bank Institute)
    Abstract: We investigate the interrelationship between the main macroeconomic indicators of an oil exporting country and world oil prices using a vector autoregressive approach. We focus on an oil exporter that is not a member of the Organization of the Petroleum Exporting Countries, and its oil revenues, which account for a significant proportion of the country’s total export and budget revenues. We explain the oil price transition mechanisms to this economy from the export side and through the fiscal channel, taking into account the monetary policy factor. The results suggest that oil price fluctuations have a significant impact on the oil exporting country’s real gross domestic product, consumer price index inflation rate, interest rate, and exchange rate. Moreover, to estimate monetary policy rule for this energy exporter, we test the Taylor equation and associated Taylor rule, including the oil prices gap, since the latter may have a significant impact on the key policy rate. The evidence suggests that the Taylor rule describes the post-financial crisis monetary policy of this economy relatively well. Finally, we discuss future research and lessons from this economy for monetary policy makers.
    Keywords: oil prices; energy exporters; macro-economy; VAR model
    JEL: Q41 Q43 Q48
    Date: 2018–03–23
  73. By: Hamidin, Dede
    Abstract: This article describes the concept of monetary theory and inflation according to Al Maqrizi's thought. In simple terms, inflation means the rising prices of goods from the prevailing circumstances. Taqiyuddin Abul Abbas Al-Husaini from Maqarizah, Cairo. Or better known as Al-Maqrizi. He said in some parts of his book that inflation is generally divided into two, namely Natural Inflation and Human Error Inflation. This paper will try to compile some of his thoughts - more specifically the problem of monetary theory and inflation - with conventional positivistic opinions and concepts in the same field.
    Keywords: inflation, monetary, al Maqrizi
    JEL: A11
    Date: 2018–06–20
  74. By: Kurz-Kim, Jeong-Ryeol
    Abstract: This paper investigates the trade-off between timeliness and quality in nowcasting practices. This trade-off arises when the frequency of the variable to be nowcast, such as GDP, is quarterly, while that of the underlying panel data is monthly; and the latter contains both survey and macroeconomic data. These two categories of data have different properties regarding timeliness and quality: the survey data are timely available (but might possess less predictive power), while the macroeconomic data possess more predictive power (but are not timely available because of their publication lags). In our empirical analysis, we use a modified dynamic factor model which takes three refinements for the standard dynamic factor model of Stock and Watson (2002) into account, namely mixed frequency, pre-selections and co-integration among the economic variables. Our main finding from a historical nowcasting simulation based on euro area GDP is that the predictive power of the survey data depends on the economic circumstances, namely, that survey data are more useful in tranquil times, and less so in times of turmoil.
    Keywords: nowcasting,dynamic factor model,mixed frequency,pre-selections,co-integration,survey data,trade-off between timeliness and quality,turmoil and tranquility
    JEL: C22 C38 C53 E37
    Date: 2018
  75. By: Hasan Cömert (Department of Economics, Middle East Technical University, Ankara, Turkey); Erinç Yeldan (Department of Economics, Bilkent University, Ankara, Turkey)
    Abstract: Developing countries have encountered many economic crises since the 1980s, due mainly to structural problems related to their integration into the global economy. The Turkish economy is by no means an exception, and suffered significantly from the crises of 1994, 2001 and 2008–09. This paper investigates the tales of these three crises to shed light on the propagation mechanisms of crises and their implications for developing countries, given the Turkish experience. Our study is aiming at complementing existing studies by giving a very broad comparative picture of the main macroeconomic trends before and after the crises at the expense of ignoring many important details explained in other studies. This comparison can be also useful for understanding possible (and under current conditions highly unavoidable) implications of current developments in Turkish economy. Although there are many differences in the emergence of recent crises in Turkey, significant similarities can be found between the 1994 and 2001 crises. The crisis of 2008–09 can be considered exceptional in many aspects. The first two episodes were deemed to be mostly finance-led and finance-driven, with repercussions on the real sectors thereafter; but the 2008–09 crisis was a fully-fledged real sector crisis from the beginning, amid a direct collapse in employment and real economic productivity.
    Keywords: Turkish Economy, Developing Countries, Crises
    JEL: F32 E63 E66 G01
    Date: 2018–06
  76. By: Michael Bleaney; Atsuyoshi Morozumi; Zakari Mumuni
    Abstract: Previous research on inflation targeting (IT) has focused on high-income countries (HICs) and emerging market economies (EMEs). Only recently has enough data accumulated for the performance of IT in low-income countries (LICs) to be assessed. We show that IT has not so far been effective in reducing in inflation in LICs, unlike in EMEs. Weak institutions, a typical feature in LICs, help explain this result, particularly under fl oating exchange rate regimes. Our interpretation is that poor institutions, leaving fiscal policy unconstrained, impair central banks' ability to conduct monetary policy in a way consistent with IT.
    Keywords: infl ation targeting, low-income countries, institutions
    Date: 2018
  77. By: Dilger, Alexander
    Abstract: Es werden sieben verschiedene Szenarien zum Euroausstieg vorgestellt. Ein Euroausstieg ist durchaus einseitig möglich, sollte jedoch besser einvernehmlich erfolgen, gegebenenfalls auch erst einmal nur auf Zeit.
    JEL: E42 F33
    Date: 2018
  78. By: Dilger, Alexander
    Abstract: Die jüngste globale Wirtschafts- und Finanzkrise sowie die Eurokrise werden kurz skizziert und analysiert. Wirtschaftswissenschaftler waren an diesen Krisen und ihrer Überwindung beteiligt. Ihr Anteil sollte jedoch nicht überschätzt werden. Mehr Forschung zu relevanten Problemen und eine bessere Vermittlung der Forschungsergebnisse wären wünschenswert, wozu jedoch die Anreizstrukturen in den Wirtschaftswissenschaften verbessert werden sollten.
    JEL: A11 B41 E42 G01 H12 I23
    Date: 2018
  79. By: Michael Bleaney; Atsuyoshi Morozumi; Zakari Mumuni
    Abstract: An inflation-targeting regime has been in place in Ghana since 2007, but compared to other inflation-targeting countries it has been conspicuously unsuccessful. Since 2013 inflation has persistently exceeded the announced target by four percentage points or more, despite the target never falling below a relatively unambitious 8% per annum. We investigate whether the poor conduct of monetary policy is responsible for this outcome, and find that is not. Monetary policy reaction functions are similar to those estimated for countries with successful monetary policies, and interest rates respond in the theoretically recommended way to inflation shocks.
    Keywords: expectations; inflation targeting; interest rates.
    Date: 2018
  80. By: Jean-Baptiste Michau; Yoshiyasu Ono; Matthias Schlegl
    Abstract: We consider a neoclassical economy where households derive utility from holding wealth. We show that, under some conditions, there can be rational bubbles. Hence, we provide a microfoundation for bubbles that relies on a frictionless infinite-horizon economy without any heterogeneity across households. While our bubbly equilibria are very similar to those obtained by Tirole (1985) in an overlapping generation economy, the underlying economics is different. Turning to public debt, we show that Ponzi schemes can be sustainable. Hence, in general, the limit on the accumulation of public debt by the government is not given by its no-Ponzi condition but, instead, by the representative household's transversality condition. The Ricardian equivalence must hold in any of our equilibria. Finally, in the presence of money, the real equilibrium structure of the economy remains unchanged. We carefully investigate the effects of helicopter drops of money on the possibility of Ponzi schemes and of speculative hyperinflation or deflation.
    Date: 2018–06
  81. By: Isabelle Joumard; Saïd Kechida; Hedi Larbi
    Abstract: Depuis le début des années 2000, le taux d'investissement a fléchi, tiré par la baisse de l'investissement des entreprises. Son niveau est faible par rapport à celui d'autres pays émergents. Les principales causes sont : des réglementations excessives sur le marché des produits, associées à des procédures administratives complexes, une fiscalité peu prévisible, des difficultés croissantes pour le passage des biens en douane et le transport maritime des marchandises ainsi qu’un système financier peu favorable aux jeunes entreprises et à celles en forte croissance. La levée de ces contraintes est essentielle pour relancer l'investissement des entreprises et, avec lui, la productivité, la création d'emplois, la compétitivité et le pouvoir d'achat de tous les tunisiens. La nouvelle loi sur l'investissement, en simplifiant le régime des autorisations, est un pas dans la bonne direction mais devra être pleinement mise en oeuvre et accompagnée par d'autres réformes. Il serait aussi souhaitable de mieux cibler les actions de l'État pour soutenir l'investissement, et notamment d'évaluer systématiquement l'impact et les bénéficiaires des incitations fiscales, y compris celles en faveur du logement. Parallèlement, il faut mieux gérer les infrastructures existantes et prioriser les projets d'infrastructure.
    Keywords: climat des affaires, financement, incitations fiscales, infrastructures, investissement, productivité, réglementations sur les marchés des produits, taille des entreprises, Tunisie
    JEL: E22 G24 H25 H54 K2 L11 O55
    Date: 2018–06–27
  82. By: Grégory Claeys; Maria Demertzis; Konstantinos Efstathiou
    Abstract: This policy contribution was prepared for the Committee on Economic and Monetary Affairs of the European Parliament (ECON) as an input for the Monetary Dialogue of 9 July 2018 between ECON and the President of the ECB. The original paper is available on the European Parliament’s webpage (here). Copyright remains with the European Parliament at all times. This Policy Contribution tries to answer two main questions - can cryptocurrencies acquire the role of money? And what are the implications for central banks and monetary policy? Money is a social institution that serves as a unit of account, a medium of exchange and a store of value. With the emergence of decentralised ledger technology (DLT), cryptocurrencies represent a new form of money - privately issued, digital and enabling peer-to-peer transactions. Historically, currencies fulfil their main functions successfully when their value is stable and their user network sufficiently large. So far, cryptocurrencies are arguably falling short against these criteria. They resemble speculative assets rather than money. Primarily this is because of their inherent volatility, which is the by-product of their inelastic supply, and which limits their widespread use as a medium of exchange. Cryptocurrency protocols could theoretically evolve to limit their volatility and correct their current deficiencies. If successful, this could lead to an increase in their popularity as an alternative to official currencies. A successful alternative to official currencies could put pressure on those who manage official currencies to provide better policies. But the widespread substitution of central bank currency for cryptocurrencies would effectively create parallel currencies. This by itself could create risks to the effectiveness of monetary policy, to financial stability and ultimately to growth. Nevertheless, the risks of cryptocurrencies becoming serious contenders remain small as long as fiat currencies issued by the world’s major central banks continue to deliver effectively the three traditional functions of money. It would take a deep crisis of trust in official currencies for their widespread substitution by cryptocurrencies to materialise. For cryptocurrencies to replace official currencies they would have to overcome a triple challenge. First, the supply of cryptocurrency would need to act as an instrument (or identify a different instrument) that affects the economy. Second, in the presence of fractional reserve banking, the supply would need to respond to liquidity crises and act as a lender of last resort in order to safeguard financial stability. Third, there would need to be a system of checks and balances to keep the agent, ie the cryptocurrency issuer, accountable to the principal, ie society, which is not possible because cryptocurrencies are automatically and privately-issued. For these reasons, official currencies controlled by inflation-targeting independent central banks still appear to be a far superior technology than cryptocurrencies to provide the money functions.
    Date: 2018–06
  83. By: José Antonio Alonso
    Abstract: The paper focuses on two crucial issues that hinder the fiscal sovereignty of developing countries: the reduced level of international tax cooperation, and the lack of appropriate procedures for sovereign debt crisis resolution. The low level of international tax cooperation enables a ‘race to the bottom’ in tax rates among countries, tax avoidance through profit-shifting activities by companies and tax evasion by individuals and companies, based on the existence of non-cooperative jurisdictions. In the last five years, the international community has made some improvements in this field, but the situation remains far from satisfactory. On the other hand, the current procedure for sovereign debt resolution, through negotiations at the Paris Club with the support of the IMF, is not only unfair, but also inefficient. The paper explores alternatives in both fields. Appropriate responses to these international problems would have to show benefits in terms of efficiency and welfare at the global level, and establish fundamentals for countries to take full advantage of their resources, which is a necessary condition for funding policies that will not leave (or push) any nation or social sector behind.
    Keywords: tax system, international tax cooperation, tax avoidance, tax evasion, tax havens, external debt, restructuring debt, sovereign debt resolution
    JEL: E62 F34 F55 H63
    Date: 2018–05
  84. By: Jie He (Département d'économique, École de gestion, Université de Sherbrooke); Jérôme Dupras (UQO); Thomas Poder; Thomas G. Poder (Centre de Recherche du CHUS, Université de Sherbrooke)
    Abstract: We conducted a field stated preferences survey to understand the joint and separate effects of payment and provision consequences on hypothetical bias associated with voluntary contribution. Based on four treatment groups and a contingent-ranking willingness to pay (WTP) question, this paper provides some support for “single” knife-edge evidence, which suggests that a respondent facing positive provision consequences will report a significantly higher preference only if the payment consequence is co-presented. For the payment consequence, its negative impact on WTP was independent on the presence of provision consequence; we therefore reject the “double” knife-edge evidence.
    Keywords: Housing taxation, banking, dynamic general equilibrium.
    JEL: E62 G28 H24 R38
    Date: 2018–06
  85. By: Aminu, Nasir (Cardiff Business School); Meenagh, David (Cardiff Business School); Minford, Patrick (Cardiff Business School)
    Abstract: We investigate the role of energy shocks during the Great Recession. We study the behaviour of the UK energy and non-energy intensive sectors firms in a real business cycle (RBC) model using unfiltered data. The model is econometrically estimated and tested by indirect inference. Output contraction during the Great Recession was largely caused by energy price and sector-specific productivity shocks, all of which are non-stationary and hence tend to dominate the sample variance decomposition. We also found that the channel by which the energy price shock reduces output in the model is via the terms of trade: these fall permanently when world energy prices increase and as substitutes for energy inputs are strictly limited there are few reactions via production channels. Therefore, there is no other way to balance the deteriorating current account than through lower domestic absorption.
    JEL: E
    Date: 2018–06
  86. By: Stephen Broadberry; Hanhui Guan; David Daokui Li
    Abstract: Abstract Chinese GDP per capita fluctuated at a high level during the Northern Song and Ming dynasties before trending downwards during the Qing dynasty. China led the world in living standards during the Northern Song dynasty, but had fallen behind Italy by 1300. At this stage, it is possible that parts of China were still on a par with the richest parts of Europe, but by 1750 the gap was too large to be bridged by regional variation within China and the Great Divergence had already begun before the Industrial Revolution.
    Keywords: GDP Per Capita; Economic Growth; Great Divergence; China; Europe
    JEL: E10 N35 O10
    Date: 2017–04–24
  87. By: Valéry D. Jiongo; Pierre Nguimkeu
    Abstract: This paper proposes a new bootstrap procedure for mean squared errors of robust small-area estimators. We formally prove the asymptotic validity of the proposed bootstrap method and examine its finite sample performance through Monte Carlo simulations. The results show that our procedure performs well and outperforms existing ones. We also apply our procedure to the estimation of the total volume and value of cash, debit card and credit card transactions in Canada as well as in its provinces and subgroups of households. In particular, we find that there is a significant average annual decline rate of 3.1 percent in the volume of cash transactions, and that this decline is relatively higher among high-income households living in heavily populated provinces. Our bootstrap estimator also provides indicators of quality useful in selecting the best small-area predictors from among several alternatives in practice.
    Keywords: Econometric and statistical methods, Bank notes
    JEL: C13 C15 C83 E E41
    Date: 2018
  88. By: Dubois, C.; Gaigi, H.; Pérignon, M.; Maillot, M.; Darmon, N.
    Abstract: Opticourses is a multi-partner and participative health promotion program, which was developed with and for socioeconomically disadvantaged individuals to improve the nutritional quality of their household food purchases without additional cost. The Opticourses program values foods with good nutritional quality and price using in-store social marketing actions (supply side) and participative workshops based on playful activities about food purchasing practices and nutritional quality, price and taste of foods (demand side). This article presents the co-construction and the evaluation of the demand side of Opticourses. The quantitative evaluation, using experimental economics to limit declarative bias, showed that workshops participation improves experimental food purchases (less calories, less free sugars) without additional cost. The qualitative evaluation revealed positive changes in the type of foods purchased, in purchasing strategies and in culinary practices. This study provides evidence on the effectiveness of the opticourses workshops. ....French Abstract: Opticourses est un programme de promotion de la santé, multipartenarial et participatif élaboré pour et avec des personnes soumises à de fortes contraintes budgétaires pour qu’elles puissent mieux conjuguer équilibre alimentaire et petit budget quand elles font leurs courses. Le programme Opticourses s’appuie sur la valorisation des aliments de bonne qualité nutritionnelle et de bon prix, à travers des actions de marketing social en magasin (volet offre) et à travers des ateliers qui proposent des activités ludiques sur les pratiques d’achats, la qualité nutritionnelle, le goût et le prix des aliments (volet demande). Cet article présente la co-construction et l’évaluation du volet demande d’Opticourses. L’évaluation quantitative, basée sur l’économie expérimentale pour limiter les biais de déclaration, a montré que la participation aux ateliers améliore les intentions d’achat (moins de calories, moins de produits sucrés) sans entraîner de dépense supplémentaire. L’évaluation qualitative a mis en évidence des améliorations portant sur le type d’aliments achetés, les stratégies d’achats et les pratiques culinaires des participants. Cette étude apporte des données probantes sur l’efficacité des ateliers Opticourses.
    JEL: D12 E21 R21
    Date: 2018
  89. By: Avner Offer
    Abstract: Social democracy and market liberalism offered different solutions to the same problem: how to provide for life-cycle dependency. Social democracy makes lateral transfers from producers to dependents by means of progressive taxation. Market liberalism uses financial markets to transfer financial entitlement over time. Social democracy came up against the limits of public expenditure in the 1970s. The ‘market turn’ from social democracy to market liberalism was enabled by easy credit in the 1980s. Much of this was absorbed into homeownership, which attracted majorities of households (and voters) in the developed world. Early movers did well, but easy credit eventually drove house prices beyond the reach of younger cohorts. Debt service diminished effective demand, which instigated financial instability. Both social democracy and market liberalism are in crisis.
    Keywords: Welfare state, housing, credit and debt
    JEL: H55 E51 R21 R31
    Date: 2017–01–09
  90. By: Taghizadeh-Hesary, Farhad (Asian Development Bank Institute); Yoshino, Naoyuki (Asian Development Bank Institute); Inagaki, Yugo (Asian Development Bank Institute)
    Abstract: The decline in solar module prices is one of the key drivers behind the growth of the solar energy market. Thus, the price reduction mechanism in solar modules has become an important topic as the role of solar electricity in the overall energy supply and the market value of solar modules grow globally. Many empirical analyses have been carried out to unveil the mechanism behind this price reduction. However, the research performed on the price reduction mechanism of solar modules over the years have focused purely on the technological aspect of the manufacturing. When analyzing price, the influence of economic factors such as interest rate and exchange rate must also be taken into consideration to achieve a precise analysis. We use an oligopolistic model and econometric method to determine the economic factors that have an influence on solar module prices.
    Keywords: solar modules; renewable energy; price reduction
    JEL: E43 Q21 Q28
    Date: 2018–04–26

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