|
on Macroeconomics |
|
Issue of 2022‒01‒31
fifty-two papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Frederic Boissay; Fabrice Collard; Jordi Galí; Cristina Manea |
| Abstract: | We study whether a central bank should deviate from its objective of price stability to promote financial stability. We tackle this question within a textbook New Keynesian model augmented with capital accumulation and microfounded endogenous financial crises. We compare several interest rate rules, under which the central bank responds more or less forcefully to inflation and aggregate output. Our main findings are threefold. First, monetary policy affects the probability of a crisis both in the short run (through aggregate demand) and in the medium run (through savings and capital accumulation). Second, a central bank can both reduce the probability of a crisis and increase welfare by departing from strict inflation targeting and responding systematically to fluctuations in output. Third, financial crises may occur after a long period of unexpectedly loose monetary policy as the central bank abruptly reverses course. |
| JEL: | E32 E44 E52 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29602&r= |
| By: | Wenting Song; Samuel Stern |
| Abstract: | This paper provides direct evidence of the importance of firm attention to macro-economic dynamics. We construct a text-based measure of firm attention to macro-economic news and document firm attention that is polarized and countercyclical. Differences in attention lead to asymmetric responses to monetary policy: expansionary monetary shocks raise market values of attentive firms more than those of inattentive firms, and contractionary shocks lower values of attentive firms by less. We use the measure to calibrate a quantitative model of rationally inattentive firms with hetero-geneous costs of information. Less attentive firms adjust prices slowly in response to monetary innovations, which yields non-neutrality. As average attention varies over the business cycle, so does the efficacy of monetary policy. |
| Keywords: | Business fluctuations and cycles; Inflation and prices, Monetary policy |
| JEL: | D83 E44 E52 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:22-3&r= |
| By: | Richhild Moessner |
| Abstract: | We study the effects of professionals’ survey-based inflation expectations on inflation for a large number of 36 OECD economies, using dynamic cross-country panel estimation of New-Keynesian Phillips curves. We find that inflation expectations have a significantly positive effect on inflation. We also find that the effect of inflation expectations on inflation is larger when inflation is higher. This suggests that second-round effects via the effects of higher inflation expectations on inflation are more relevant in a high-inflation environment. |
| Keywords: | inflation, inflation expectations, Phillips curve |
| JEL: | E52 E58 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9467&r= |
| By: | Gary Koop; Stuart McIntyre; James Mitchell; Aubrey Poon |
| Abstract: | In the US, income and expenditure-side estimates of GDP (GDPI and GDPE) measure "true" GDP with error and are available at a quarterly frequency. Methods exist for using these proxies to produce reconciled quarterly estimates of true GDP. In this paper, we extend these methods to provide reconciled historical true GDP estimates at a monthly frequency. We do this using a Bayesian mixed frequency vector autoregression (MF-VAR) involving GDPE, GDPI, unobserved true GDP, and monthly indicators of short-term economic activity. Our MF-VAR imposes restrictions that reflect a measurement-error perspective (that is, the two GDP proxies are assumed to equal true GDP plus measurement error). Without further restrictions, our model is unidentified. We consider a range of restrictions that allow for point and set identification of true GDP and show that they lead to informative monthly GDP estimates. We illustrate how these new monthly data contribute to our historical understanding of business cycles and we provide a real-time application nowcasting monthly GDP over the pandemic recession. |
| Keywords: | Mixed frequency; Vector autoregressions; Bayesian methods; Nowcasting; Business |
| JEL: | C32 E01 E32 |
| Date: | 2022–01–11 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:93615&r= |
| By: | Lloyd, S.; Manuel, E.; Panchev, K. |
| Abstract: | We study how foreign financial developments influence the conditional distribution of domestic GDP growth. Within a quantile regression setup, we propose a method to parsimoniously account for foreign vulnerabilities using bilateral-exposure weights when assessing downside macroeconomic risks. Using a panel dataset of advanced economies, we show that tighter foreign financial conditions and faster foreign credit-to-GDP growth are associated with a more severe left tail of domestic GDP growth, even when controlling for domestic indicators. The inclusion of foreign indicators significantly improves estimates of ‘GDP-at-Risk’, a summary measure of downside risks. In turn, this yields time-varying estimates of higher GDP growth moments that are interpretable and provide advanced warnings of crisis episodes. Decomposing historical estimates of GDP-at-Risk into domestic and foreign sources, we show that foreign shocks are a key driver of domestic macroeconomic tail risks. |
| Keywords: | Financial stability, GDP-at-Risk, International spillovers, Local projections, Quantile regression, Tail risk |
| JEL: | E44 E58 F30 F41 F44 G01 |
| Date: | 2021–07–30 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camjip:2102&r= |
| By: | Laurence M. Ball; Daniel Leigh; Prachi Mishra; Antonio Spilimbergo |
| Abstract: | Large price changes in industries affected by the COVID-19 pandemic have caused erratic fluctuations in the U.S. headline inflation rate. This paper compares alternative approaches to filtering out the transitory effects of these industry price changes and measuring the underlying or core level of inflation over 2020-2021. The Federal Reserve’s preferred measure of core, the inflation rate excluding food and energy prices, has performed poorly: over most of 2020-21, it is almost as volatile as headline inflation. Measures of core that exclude a fixed set of additional industries, such as the Atlanta Fed’s sticky-price inflation rate, have been less volatile, but the least volatile have been measures that filter out large price changes in any industry, such as the Cleveland Fed’s median inflation rate and the Dallas Fed’s trimmed mean inflation rate. These core measures have followed smooth paths, drifting down when the economy was weak in 2020 and then rising as the economy has rebounded. |
| JEL: | E31 E58 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29609&r= |
| By: | Li, Boyao |
| Abstract: | I develop a banking model to examine the effects of government expenditures on the credit and money supply under Basel III regulations. Purchases of goods and services from real firms or transfer payments to households as conventional government expenditures (CGEs) inject reserves into banks. Purchases of equity from banks as unconventional government expenditures (UGEs) inject equity into banks. Three Basel III regulations are examined: the capital adequacy ratio, liquidity coverage ratio, and net stable funding ratio. My results demonstrate that the CGE or UGE causes multiplier effects on the credit supply. The multiplier greater (less) than one means that banks amplify (contract) the government expenditure. Multiplier effects on the money supply in response to the CGE or UGE are also presented. My paper sheds considerable light on how government expenditure and bank regulation simultaneously affect the credit and money supply. |
| Keywords: | Bank credit supply; Government expenditure; Basel III; Multiplier effect; Balance sheet |
| JEL: | E51 E61 E62 G21 G28 |
| Date: | 2021–12–30 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111311&r= |
| By: | Joel P. Flynn; Christina Patterson; John Sturm |
| Abstract: | Advanced economies feature complicated networks that connect households, firms, and regions. How do these structures affect the impact of fiscal policy and its optimal targeting? We study these questions in a model with input-output linkages, regional structure, and household heterogeneity in MPCs, consumption baskets, and shock exposures. Theoretically, we derive estimable formulae for the effects of fiscal policies on aggregate GDP, or fiscal multipliers, and show how network structures determine their size. Empirically, we find that multipliers vary substantially across policies, so targeting is important. Beneath these aggregate effects are large spatial and sectoral spillovers from policies directed to any one firm or household. However, virtually all variation in multipliers stems from differences in policies’ direct incidence onto households’ MPCs. Thus, while the distributional effects of fiscal policy depend on the detailed structure of the economy, maximally expansionary fiscal policy simply targets households’ MPCs. |
| JEL: | E62 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29619&r= |
| By: | Ribeiro, Ana Paula; Carvalho, Vitor; Sanches, Hélder |
| Abstract: | Over the past two decades, Cape Verde has evolved positively in regards to main macroeconomic indicators. But, in contrast with that observed in Sub-Saharan Africa, public debt increased sharply in the aftermath of the 2008-09 crisis, which may constrain growth and development. In order to assess if recent debt records result from pro-cyclical fiscal policy, we make an exhaustive analysis of debt dynamics in Cape Verde: i) we provide detailed records on debt dynamics and its composition and ii) through estimating cyclical elasticities of the budget balance, we compute structural primary deficits to identify the discretionary fiscal policy stance. We conclude that recent debt increase was mainly determined by primary structural deficits. However, discretionary policy was adequately counter cyclical or, when pro-cyclical, it was associated with investment efforts. Thus debt correction will be an easy task to perform because debt bias does not mimic deficit bias due to political-cycle motivations. |
| Keywords: | Public debt dynamics; Snowball effect; Pro-cyclical fiscal policy; Cape Verde |
| JEL: | E62 H30 H62 H63 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111305&r= |
| By: | Katsafados, Apostolos; Anastasiou, Dimitris |
| Abstract: | The purpose of this study is twofold. First, to construct short-term prediction models for bank deposit flows in the Euro area peripheral countries, employing machine learning techniques. Second, to examine whether textual features enhance the predictive ability of our models. We find that Random Forest models including both textual features and macroeconomic variables outperform those that include only macro factors or textual features. Monetary policy authorities or macroprudential regulators could adopt our approach to timely predict potential excessive bank deposit outflows and assess the resilience of the whole banking sector in the Euro area peripheral countries. |
| Keywords: | Bank deposit flows; European banks; textual analysis; short-term prediction; machine learning |
| JEL: | C0 C22 C5 C51 C54 E44 E47 G10 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111418&r= |
| By: | Sushant Acharya; Keshav Dogra; Sanjay Singh |
| Abstract: | We formalize the idea that the financial sector can be a source of non-fundamental risk. Households’ desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes the economy to self-fulfilling fire sales. Policy can eliminate non-fundamental risk by (i) increasing the supply of publicly backed safe assets, through issuing government debt or bailing out intermediaries, or (ii) reducing the demand for safe assets, through social insurance or by acting as a market maker of last resort. |
| Keywords: | Business fluctuations and cycles; Inflation and prices; Monetary policy |
| JEL: | D52 D84 E62 G12 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:22-4&r= |
| By: | Philipp Mohl; Gilles Mourre; Sven Langedijk; Martijn Hoogeland |
| Abstract: | This paper provides a quantitative assessment on the impact of media reporting about fiscal rules and fiscal councils on the effectiveness of EU fiscal rules. Media visibility can contribute to more effective fiscal rules, since it can improve transparency, contribute to a more informed debate and act as an informal enforcement device for non-compliance, through reputational damage. Some international organisations take media visibility into account when assessing the strength of fiscal frameworks. However, the strength of media visibility has been based on expert judgement, which can provide a subjective and incomplete picture. The paper explores a novel media database of almost 300 million of articles maintained by the Commission, covering 27 EU Member States and the UK in 2004-2020. We analyse the media sources using a text mining approach, which has been applied frequently in the economic literature to assess the effects of media visibility on financial markets. The key findings can be summarised as follows: First, media reporting on fiscal rules appears to be more frequent in countries with well-developed fiscal institutions, but also during bad economic times or when the Commission releases its key fiscal policy news. Second, nationwide and influential media appear to report relatively more frequently on fiscal rules than regional media. References to fiscal rules in the media refer either to the need to keep public debt under control or to support growth and avoid austerity-related inequality, which reflects the existence of different views regarding the main objective of fiscal rules: fiscal sustainability vs. macroeconomic stabilisation. Third, panel regressions show that media visibility appear to have contributed to the effectiveness of EU fiscal rules, as measured by the stronger numerical compliance with these rules. Media from nationwide sources tend to be more effective than regional media. Finally, the creation of fiscal councils appears to have further increased the media reporting on fiscal rules.. |
| JEL: | C23 D40 E31 L51 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:euf:dispap:155&r= |
| By: | Roberta Cardani; Olga Croitorov; Massimo Giovannini; Philipp Pfeiffer; Marco Ratto; Lukas Vogel |
| Abstract: | The COVID-19 pandemic led to a sharp contraction of economic activity in the euro area (and worldwide). Its anatomy differs strongly from other crises in recent history. We analyse the short-term economic effects of the COVID-19 shock through the lens of an estimated DSGE model. We augment the canonical DSGE set-up with “forced savings" (lockdowns, social distancing), labour hoarding (short-time work) and liquidity-constrained firms to capture salient demand and supply effects of the COVID shock and the containment and stabilisation policies. Shock decompositions with the estimated model show the dominant role of “lockdown shocks" (“forced savings", labour hoarding) in explaining the quarterly pattern of real GDP growth in 2020, complemented by a negative contribution from foreign and investment demand particularly in 2020q2 and a negative impact of persistently higher (precautionary) savings. The initial inflation response has been modest compared to the severity of the recession. |
| JEL: | C11 E1 E20 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:euf:dispap:153&r= |
| By: | Martin M. Andreasen; Giovanni Caggiano; Efrem Castelnuovo; Giovanni Pellegrino |
| Abstract: | This paper uses a nonlinear vector autoregression and a non-recursive identification strategy to show that an equal-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high (as in expansions). An estimated New Keynesian model with recursive preferences and approximated to third order around its risky steady state replicates these state-dependent responses. The key mechanism behind this result is that firms display a stronger upward nominal pricing bias in recessions than in expansions, because recessions imply higher inflation volatility and higher marginal utility of consumption than expansions. |
| Keywords: | New Keynesian Model, Nonlinear SVAR, Non-recursive identification, State-dependent uncertainty shock, Risky steady state |
| Date: | 2021–09 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2021-83&r= |
| By: | Arogundade, Sodiq; Bila, Santos; Jan Derkacz, Arkadiusz |
| Abstract: | Empirical evidence from the literature suggest that autonomous expenditure multipliers are crucial in modern economic development. This study answers two main questions. What is the South African fiscal, export and investment multipliers? Is obtaining the impact of autonomous expenditure on gross value-added growth rate possible? In achieving this, we use the principle of aggregate demand and data from different sources such as Stats SA, South African Reserve Bank, WDI as well as OECD data from 1992 to 2019. The results suggest that autonomous expenditure multipliers exert a positive effect on the change in gross value added. These multipliers are however driven by several factors. First, the import intensity level - the import intensities of each autonomous expenditure reduce their significance. This means that the leakage of aggregate demand in the form of expenditure on the purchase of imported goods increases. Secondly, the value of the fiscal, investment and export multipliers is determined by the propensity for total private consumption. The value of the propensity for total private consumption depends on the household income taxes and the propensity to save. An increase in these two ratios decreases the value of the propensity to private consumption. This indicates that the leakage of aggregate demand is driven by a decline in total private consumption in the economy, and this may be caused by an increase in savings and/or an increase in the average household income tax. |
| Keywords: | Fiscal multiplier, export multiplier, investment multiplier, GVA, South Africa |
| JEL: | E0 E2 F0 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111115&r= |
| By: | Jan Hagemejer; Grzegorz Poniatowski; Agnieszka Pechcińska; Mehmet Burak Turgut; Adam Śmietanka |
| Abstract: | CASE opublikowaÅ‚o raport pokazujÄ…cy znaczenie inwestycji dla wzrostu gospodarczego Polski od wczesnych lat 90. do czasów obecnych. W tym okresie nasz kraj dokonaÅ‚ skoku rozwojowego, zmniejszajÄ…c znacznie dystans gospodarczy do krajów Europy Zachodniej. PrzyczyniÅ‚y siÄ™ do tego przede wszystkim wzrost zasobu kapitaÅ‚u i wydajnoÅ›ci produkcji, które bezpoÅ›rednio sÄ… powiÄ…zane z inwestycjami. |
| Keywords: | inwestycje, wzrost gospodarczy, produktywność, kapitał |
| JEL: | E22 E23 F43 |
| Date: | 2021–12–14 |
| URL: | http://d.repec.org/n?u=RePEc:sec:report:0505&r= |
| By: | Adamopoulou, Effrosyni (University of Mannheim); Manaresi, Francesco (OECD); Rachedi, Omar (ESADE); Yurdagul, Emircan (Universidad Carlos III de Madrid) |
| Abstract: | Minimum wages alter the allocation of firm-idiosyncratic risk across workers. To establish this result, we focus on Italy, and leverage employer-employee data matched to firm balance sheets and hand-collected wage floors. We find a relatively larger pass-through of firm-specific labor-demand shocks into wages for the workers whose earnings are far from the floors, but who are employed by establishments intensive in minimum-wage workers. We study the welfare implications of this fact using an incomplete-market model. The asymmetric passthrough uncovers a novel channel which tilts the benefits of removing minimum wages toward high-paid employees at the expense of low-wage workers. |
| Keywords: | firm-specific shocks, pass-through, minimum wages, linked employer-employee data, general equilibrium, complementarities |
| JEL: | E24 E25 E64 J31 J38 J52 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14943&r= |
| By: | Florence Jaumotte; Weifeng Liu; Warwick J. McKibbin |
| Abstract: | The paper examines climate mitigation strategies to reach net-zero emissions by mid-century, focusing on smoothing macroeconomic costs in the short- to medium-term - the horizon relevant for policymakers. It explores a comprehensive policy package, which complements carbon pricing with an initial green fiscal stimulus, consisting of green public investment and subsidies to renewables production. Model simulations show that thanks to the green public spending, the policy package boosts global output relative to the baseline for the first 15 years of the low-carbon transition. Subsequent transitional output costs resulting from further increases in carbon prices are moderate of the order of 1 percent of baseline global GDP by 2050. The findings suggest that upfront green fiscal packages could help smooth the transition to a low-carbon economy. In the current context of the Covid-19 economic crisis, they would help support the recovery from the crisis and put the global economy on a greener, more sustainable path. |
| Keywords: | Climate Change, Net-Zero Emissions, Green Infrastructure, Macroeconomics, DSGE, CGE, G-Cubed |
| JEL: | C51 C53 C54 C55 C68 F41 Q51 Q5 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2021-75&r= |
| By: | Thum-Thysen, Anna; Voigt, Peter; Weiss, Christoph |
| Abstract: | This paper investigates capital formation with a view at various tangible and intangible assets across Europe. Using novel datasets both at macro and firm level, we estimate translog production functions to assess complementarities at different aggregation levels. At macro-level, our evidence suggests complementarities between tangibles and intangibles and between National Accounts and non-National Accounts intangibles. Using firm-level data, we explore more disaggregated asset classes and find that investing simultaneously in software, training of employees, and business process improvements is associated with better firm performance. Our analysis demonstrates that policy support that aims at stimulating investment only in certain assets may fall short in unlocking its own full potential. The emphasis should rather be on addressing investment bottlenecks arising from market imperfections, while remaining non-discriminatory with a view at what sort of capital deepening is envisaged and leaving it to the firm to find the most appropriate mix of assets. |
| Keywords: | intangible capital,asset complementarities,labour productivity,investment,innovation |
| JEL: | E01 E22 O34 O4 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:eibwps:202112&r= |
| By: | Hiroyuki Kubota (The University of Tokyo); Mototsugu Shintani (The University of Tokyo) |
| Abstract: | We identify monetary policy shocks in Japan during the unconventional monetary policy period using high-frequency data for interest rate futures. Following the empirical strategy of Gürkaynak, Sack, and Swanson (2005), we conduct an event study analysis to estimate the effects of the monetary policy surprises on asset prices around the timing of policy announcements made by the Bank of Japan between 1999 and 2020. We find that a monetary policy shock can be described by two factors that have statistically significant effects on the financial market. A surprise monetary tightening has negative effects on stock returns and positive effects on government bond yields, even in the low-interest environment. We also find that the responses of the longer term yields tend to be larger than those of the shorter term yields. The response is the largest for the 10-year government bond yield, which has, in the last two decades, been effectively targeted by the Bank of Japan. This finding contrasts with those of previous studies of the conventional monetary policy period, in which responses are larger for the shorter term yields. |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:cfi:fseres:cf530&r= |
| By: | Simon Jäger; Christopher Roth; Nina Roussille; Benjamin Schoefer |
| Abstract: | Workers wrongly anchor their beliefs about outside options on their current wage. In particular, low-paid workers underestimate wages elsewhere. We document this anchoring bias by eliciting workers’ beliefs in a representative survey in Germany and comparing them to measures of actual outside options in linked administrative labor market data. In an equilibrium model, such anchoring can give rise to monopsony and labor market segmentation. In line with the model, misperceptions are particularly pronounced among workers in low-wage firms. If workers had correct beliefs, at least 10% of jobs, concentrated in low-wage firms, would not be viable at current wages. |
| JEL: | D91 E03 E24 J3 J31 J42 J6 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29623&r= |
| By: | Fatih Karahan; Serdar Ozkan; Jae Song |
| Abstract: | We study the determinants of lifetime earnings (LE) inequality in the U.S. by focusing on job ladder dynamics and on-the-job learning as sources of wage growth. Using administrative data, we document that i) lower LE workers change jobs more often, which is mainly driven by nonemployment; ii) average annual earnings growth for job stayers is similar, around 2% in the bottom two-thirds of the LE distribution, whereas for job switchers it rises with LE; iii) top LE workers enjoy around 10% average earnings growth regardless of job switching. We estimate a job ladder model with on-the-job learning featuring a rich set of worker types and firm heterogeneity. We find that the vast differences across worker types in job ladder risk—job loss, job finding, and contact rates—account for 80% of wage growth differences among workers below median LE. Above the median, almost all lifetime wage growth differences are a result of Pareto-distributed learning ability. We conclude that different economic forces are driving the inequality in different parts of the LE distribution. |
| Keywords: | Job ladder; human capital; search frictions; life-cycle earnings risk; lifetime income inequality; Pareto tails; heterogeneity |
| JEL: | E24 J24 J31 J64 |
| Date: | 2022–01–10 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:93614&r= |
| By: | Florian Exler; Igor Livshits; James MacGee; Michele Tertilt |
| Abstract: | Do cognitive biases call for regulation to limit the use of credit? We incorporate over-optimistic and rational borrowers into an incomplete markets model with consumer bankruptcy. Over-optimists face worse income risk but incorrectly believe they are rational. Thus, both types behave identically. Lenders price loans forming beliefs—type scores—about borrower types. This gives rise to a tractable theory of type scoring. As lenders cannot screen types, borrowers are partially pooled. Over-optimists face cross subsidized interest rates but make financial mistakes: borrowing too much and defaulting too late. The induced welfare losses outweigh gains from cross subsidization. We calibrate the model to the U.S. and quantitatively evaluate policies to address these frictions: financial literacy education, reducing default cost, increasing borrowing costs, and debt limits. While some policies lower debt and filings, only financial literacy education eliminates over borrowing and improves welfare. Score-dependent borrowing limits can reduce financial mistakes but lower welfare. |
| Keywords: | Consumer Credit; Over-Optimism; Financial Mistakes; Bankruptcy; Default; Financial Literacy; Financial Regulation; Type Score; Cross-Subsidization |
| JEL: | E21 E49 G18 K35 |
| Date: | 2021–12–07 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:93457&r= |
| By: | Denny Irawan; Tatsuyoshi Okimoto |
| Abstract: | This study examines the conditional capital surplus and shortfall dynamics of renewable and non-renewable resource firms. To this end, this study uses the systemic risk index by Brownlees and Engle (2017) and considers two conditional systemic events, namely, the stock market crash and the commodity price crash. The results indicate that generally, companies in the resource sector tend to have conditional capital shortfall before 2000 and conditional capital surplus after 2000 owing to the boom of the commodity sector stock and the moderate-to-careful capital structure management adopted by these companies. This finding is especially valid for resource firms from developed countries, whose observations dominate the dataset used in this study. Furthermore, the analysis using the panel vector autoregressive model indicates a positive influence of commodity price, geopolitical, and economic policy uncertainties on the conditional capital shortfall. These uncertainties have also been proven to increase the conditional failure probability of firms in the sample. Lastly, the performance analysis shows that potential capital shortfall is positively related to market return, reflecting a high-risk high-return trade-off for this sector. |
| Keywords: | Systematic Risk Index, Commodity Prices, Macroeconomic Uncertainties, Panel Vector Autoregression |
| JEL: | E32 G32 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2021-74&r= |
| By: | Anna Thum-Thysen; Peter Voigt; Christoph Weiss |
| Abstract: | This paper investigates capital formation with a view at various tangible and intangible assets across Europe. We assess to what extent there are complementarities among different asset types, i.e. investment in one asset type affecting the productivity of an investment in another. Using novel datasets at both macro and firm level, we estimate translog production functions at different aggregation levels to assess complementarities both at the within-country and the within-sector level. At macro-level, evidence suggests complementarities between tangibles and intangibles and between National Accounts and non-National Accounts intangibles. At firm-level data, we explore more disaggregated asset classes and find that investing simultaneously in software, training of employees, and business process improvements is associated with better firm performance. Within a sector, firms tend to choose to invest either in own R&D or in embedded R&D and training. Our analysis demonstrates that policy support that aims at stimulating investment only in certain assets (while excluding others) may fall short in unlocking its own full potential. The emphasis should rather be on addressing investment bottlenecks arising from market imperfections, while remaining non-discriminatory with a view at what sort of capital deepening is envisaged, i.e. leaving it to the firm to find the most appropriate mix of assets. Accordingly, investment support programmes should generally be open to include intangible assets, notably also those not captured as such in the National Accounts, such as training and organisational capital, and help addressing challenges arising from collateralising such investments. |
| JEL: | E01 E22 O34 O4 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:euf:dispap:152&r= |
| By: | Colin Brown; Jonathan Chiu; Thorsten Koeppl |
| Abstract: | Can Bitcoin remain tamper proof in the long run? We use block-level data from the Bitcoin blockchain to estimate the impact of congestion and the USD price on fee rates. The introduction and adoption of the Segwit protocol allows us to identify an aggregate demand curve for bitcoin transactions. We find that Segwit has reduced fee revenue by about 70%. Fee revenue could be maximized at a block size of about 0.6 MB when Segwit adoption remains at current levels. At this block size, maximum fee revenue would be equivalent to 1/8 of the current average block reward. Hence, large sustained price increases are required to keep mining rewards constant in the long run. |
| Keywords: | Digital currencies and fintech; Payment clearing and settlement systems |
| JEL: | E42 G2 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:22-2&r= |
| By: | Manuel David Cruz |
| Abstract: | This study empirically investigates the relationship between labor productivity (LP), average real wage (RW), and employment (EMP). The paper's main goal is to provide a test of competing theories of growth and income distribution. Standard theory predicts that real wages should increase following increases in labor productivity. Alternative theories and efficiency wage theories suggest that it is the distribution that causes changes in labor productivity. Theory delivers ambiguous predictions regarding the ultimate effects on employment, which can be either negative if factor substitution prevails or positive if higher wages and higher output per worker generate additional aggregate demand and, therefore, employment. I study a panel of 25 OECD economies over 1960-2019, using several approaches: 1) ECM, DOLS, FMOLS, and ARDL regressions with exogenous and endogenous variables, and 2) a VECM exercise as a robustness check. First, there is a long-run relationship between these variables when LP and RW are considered dependent variables. Second, EMP cannot be explained statistically by LP and RW in the long run: it is weakly exogenous, implying that OECD economies as a group have been, on average labor-constrained in the last six decades. Third, I find a positive two-way causality between LP and RW in both the long and short run, supporting the induced technical change, efficiency wages, and bargaining theories over the neoclassical theory. Fourth, concerning the LP-EMP nexus, in the long run, the results show a negative association, statistically significant for the single-equation estimates from EMP to LP in most specifications. Fifth, there is a positive effect running from EMP to RW in most specifications, statistically significant only in the single-equation. Sixth, both LP positively affects EMP, and RW negatively impacts EMP in the short run. |
| Keywords: | Labor productivity, real wages, employment, OECD |
| JEL: | E12 E24 O47 O50 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:pke:wpaper:pkwp2203&r= |
| By: | Aizenman , Joshua (University of Southern California); Jinjarak, Yothin (Asian Development Bank); Nguyen, Hien (New Zealand Treasury); Park, Donghyun (Asian Development Bank) |
| Abstract: | This paper examines the association between episodes of large fiscal impulses (expansions and adjustments) and sustainable development indicators (prosperity, resilience, and inclusivity). We provide country studies of Chile, Poland, South Africa, and Thailand, examining the components of government expenses and tax revenues, and reporting four stylized patterns from the analysis as follows: (i) Fiscal expansions led to higher growth rates and reduced negative trade-offs, e.g., pollution and poor-health mortalities associated with economic growth. (ii) Fiscal adjustments led to a more inclusive economy, lowered poverty headcounts, improved sanitation, and increased cleaner technology access. (iii) Fiscal expansions followed an increase in direct taxes (especially corporate taxes) and a decline in social contributions, and preceded a decline in other direct taxes and an increase in wage bills. (iv) Fiscal adjustments followed a decline in other direct taxes and social contributions, an increase in wage bills, and preceded a decline in government consumption expenditure and transfers. In light of these findings, domestic resource mobilization should consider the time paths of the taxes and expenditure components to understand their empirical linkages with sustainable development outcomes in the respective countries. |
| Keywords: | sustainable development; tax base; government expenses; large fiscal changes |
| JEL: | E62 H11 O11 |
| Date: | 2021–12–31 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbewp:0644&r= |
| By: | Fluchtmann, Jonas (Aarhus University); Glenny, Anita Marie (Ministry of Employment, Denmark); Harmon, Nikolaj (University of Copenhagen); Maibom, Jonas (Aarhus University) |
| Abstract: | Men and women tend to hold different jobs. Are these differences present already in the types of jobs men and women apply for? Using administrative data on job applications made by the universe of Danish UI recipients, we provide evidence on gender differences in applied-for jobs for the broader labor market. Across a range of job characteristics, we find large gender gaps in the share of applications going to different types of jobs even among observationally similar men and women. In a standard decomposition, gender differences in applications can explain more than 70 percent of the residual gender wage gap. |
| Keywords: | job search, wage decomposition, firm wage premium, gender earnings gap |
| JEL: | E24 J29 J31 J71 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14906&r= |
| By: | Denny Irawan; Tatsuyoshi Okimoto |
| Abstract: | Capital structure is one of the most critical decisions for firms in business. This study examines the role of macro (economic and non-economic) uncertainties in affecting firms’ capital structure management. Three prominent capital structure theories are tested for global resource firms: (1) static trade-off, (2) pecking order, and (3) market timing theory. The results suggest that no single theory prevails, although both pecking order and market timing theories have certain explanatory power to explain sample firms’ financing behaviour. The pecking order theory is strongly supported by the results of the leverage target adjustment model. However, the downward cyclical patterns of pecking order coefficients suggest that the resource firms tend to choose debt financing less and less over time, particularly after 2008. The market timing theory holds strong, as indicated by the significance of macro condition (uncertainties) variables in determining sample firms’ capital structure, especially after 2008 and for non-renewable firms. However, the main proxies of the cost of debt are not statistically significant. In conclusion, this study finds that resource firms have a particular pecking order preference when they need financing, and the influence of macro uncertainties are vital in determining their capital structure. |
| Keywords: | Capital Structure, Trade-Off Theory, Pecking Order Theory, Market Timing Theory, Macro Uncertainties |
| JEL: | E32 G32 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2021-73&r= |
| By: | Ruiz-García, J. C. |
| Abstract: | How do financial frictions affect firm dynamics, allocation of resources across firms, and aggregate productivity and output? Is the nature of productivity shocks that firms face primary for the effects of financial frictions? I first use a comprehensive dataset of Spanish firms from 1999 to 2014 to estimate non-parametrically the firm productivity dynamics. I find that the productivity process is non-linear, as persistence and shock variability depend on past productivity, and productivity shocks are non-Gaussian. These dynamics differ from the ones implied by a standard AR(1) process, commonly used in the firm dynamics literature. I then build a model of firm dynamics with financial frictions in which productivity shocks are non-linear and non-Gaussian. The model is consistent with a host of evidence on firm dynamics, financial frictions, and firms’ financial behaviour. In the model economy, financial frictions affect the firm life cycle. Without financial frictions, the size of an entrant firm will be three times larger. Furthermore, profit accumulation, which allows firms to overcome financial frictions, is slow, and it only speeds up when firms are mature. As a consequence, the average exiting firm is smaller than it would be without financial frictions. The aggregate consequences of financial frictions are significant. They result in misallocation of capital and reduce aggregate productivity by 16%. This figure is only 8% if productivity dynamics evolve according to a standard AR(1) process. |
| Keywords: | Firm Dynamics, Non-Linear Productivity Process, Financial Frictions, Misallocation |
| JEL: | E22 G32 O16 |
| Date: | 2021–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camjip:2103&r= |
| By: | Daniel E. Sichel |
| Abstract: | This paper focuses on the price of nails since 1695 and the proximate source of changes in those prices. Why nails? They are a basic manufactured product whose form and quality have changed relatively little over the last three centuries, yet the process for producing them has changed dramatically. Accordingly, nails provide a useful prism through which to examine a wide range of economic and technological developments that touch on multiple areas of both micro- and macroeconomics. Several conclusions emerge. First, from the late 1700s to the mid 20th century real nail prices fell by a factor of about 10 relative to overall consumer prices. These declines had important effects on downstream industries, most notably construction. Second, while declining materials prices contribute to reductions in nail prices, the largest proximate source of the decline during this period was multifactor productivity growth in nail manufacturing, highlighting the role of the specialization of labor and re-organization of production processes. Third, the share of nails in GDP dropped back from 0.4 percent of GDP in 1810—comparable to today’s share of household purchases of personal computers—to a de minimis share more recently; accordingly, nails played a bigger role in American life in that earlier period. Finally, real nail prices have increased since the mid 20th century, reflecting in part an upturn in materials prices and a shift toward specialty nails in the wake of import competition, though the introduction of nail guns partly offset these increases for the price of installed nails. |
| JEL: | E01 E30 N11 N12 N61 N62 O14 O33 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29617&r= |
| By: | Lennard, Jason |
| Abstract: | How sticky were wages during the Great Depression? Although classic accounts emphasize the importance of nominal rigidity in amplifying deflationary shocks, the evidence is limited. In this paper, I calculate the degree of nominal wage rigidity in the United Kingdom between the wars using new granular data covering millions of wages. I find that nominal wages were more flexible downwards than in most modern economies, but that the frequency and magnitude of wage cuts were too low to fully offset deflation. |
| Keywords: | Great Depression,Interwar Britain,Nominal Rigidity |
| JEL: | E30 N14 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:eabhps:2101&r= |
| By: | Simon Accorsi |
| Abstract: | This article analyzes and deals with the so-called "identification problem" in macroeconomics to study the causal relationships between the type of political regime and the path of medium and long-term economic growth with a time series approach. Taking as a starting point the estimation of an Autoregressive Vector (VAR), the identification problem is presented, and then the solution strategies used in the macroeconomic literature to trace and estimate the consequences of democratic shocks on per capita GDP growth are explained. The article presents novel empirical evidence for the neo-institutionalist literature, exploiting long-term series of the Polity index and GDP per capita. Thus, it is possible to estimate the effects of democratic improvements on economic growth. For the 13 countries analyzed, the results are diverse, so the statement that "democracy does causes growth" must be qualified and put into each country-specific historical context. |
| URL: | http://d.repec.org/n?u=RePEc:udc:wpaper:wp526&r= |
| By: | Nahmadova, Firuza |
| Abstract: | Much of the research on income inequality, and livelihood rely on government labor and wages statistics. In emerging economies, the lack of reliable data and the prevalence of informal employment is often mentioned as the main limitation to the credibility of these studies’ results. Azerbaijan is one such case where it is quasi-impossible to estimate an actual average income as informal employment is over half of the entire economy due to, among others, undeclared revenue, low-level bribery, and low formal income. This paper investigates whether informal employment and the undeclared (informal) income that citizens perceive from the related activities improve their livelihoods in the long-term. The relationship between income inequality and informal employment will be discussed based on a comparative analysis of three developing countries from three different regions, namely Africa, Central America, and South-East Asia. Evidence from these developing economies suggests that informal income does not positively impact their livelihoods. The paper ends with a discussion of the impact of informal employment in Azerbaijan using household income per capita statistics for 2020. The discussion suggests that the prevalence of informal employment does not improve the livelihood of the average household. |
| Keywords: | informal employment, Azerbaijan, poverty, income inequality, wages |
| JEL: | E2 E26 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111039&r= |
| By: | Leonor Modesto (UCP, Catolica Lisbon School of Business and Economics); Carine Nourry (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université); Thomas Seegmuller (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université); Alain Venditti (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université, École des hautes études commerciales du Nord (EDHEC)) |
| Abstract: | The relationship between public debt, growth and volatility is investigated in a Barro-type (1990) endogenous growth model, with three main features: we consider a small open economy, international borrowing is constrained and households have taste for domestic public debt. Therefore, capital, public debt and the international asset are not perfect substitutes and the economy is characterized by an investment multiplier. Whatever the level of the debt-output ratio, the existing BGP features expectation-driven fluctuations. If the debt-output ratio is low enough, there is also a second BGP with a lower growth rate. Hence, a lower debt does not stabilize the economy with credit market imperfections. However, a high enough taste for domestic public debt may rule out the BGP with lower growth. This means that if the share of public debt held by domestic households is high enough, global indeterminacy does not occur. |
| Keywords: | Small open economy,Public debt,Credit constraint,Indeterminacy |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03262961&r= |
| By: | Andressa Welter, Caroline; Pereira de Souza Paetzhold, Thiago; Amorim Souza Centurião, Daniel; Beatriz Schneider, Mirian |
| Abstract: | This work presented a special emphasis on the heterodox characteristic of the economic policies used between 1985 and 1989, covering all the stabilization plans of the period, whose main objective was control of the inflationary process. In the meantime, the Brazilian economy achieved high rates of inflation and low levels of economic growth, which led the 1980s to be known as the "lost decade" by the economic literature, mainly due to these characteristics. The failure of the heterodox policies in the inflation control had great influence in this process and ended up leaving a very significant legacy of income concentration. |
| Keywords: | hyperinflation, economic plans, economic policy. |
| JEL: | B22 |
| Date: | 2021–02–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109229&r= |
| By: | Deng, Liuchun (Yale-NUS College); Krishna, Pravin (Johns Hopkins University); Senses, Mine Zeynep (Johns Hopkins University); Stegmaier, Jens (Institute for Employment Research (IAB), Nuremberg) |
| Abstract: | In this paper, we empirically assess the causal relationship between trade and individual income risk and study the role that human capital plays in this relationship using a rich, worker-level, longitudinal data set from Germany spanning from 1976 to 2012. Our estimates suggest substantial heterogeneity in labor income risk across workers in different entry cohorts, over workers' life cycles, and across workers with different levels of industry- and occupation- specific human capital. Accounting for entry-cohort effects and age effects, our findings suggest that within-industry changes in imports and exports (per worker) are strongly and causally related to income risk: Imports increase risk and exports decrease risk, and they do so in an economically significant manner. Importantly, we find there to be a complex interplay between human capital and the causal linkage between trade and risk: On average, individuals with higher levels of industry- or occupation-specific human capital experience lower income risk. However, a given increase in net import exposure in an industry increases risk for workers with higher levels of industry tenure more than it does for workers with lower levels of industry tenure. High levels of industry-specific human capital can therefore be costly, from a risk perspective, for workers in highly trade-exposed industries. We find no evidence of such an interaction between risk, industry trade exposure, and occupation-specific human capital. |
| Keywords: | imports, exports, income risk, human capital, Germany |
| JEL: | F14 F16 D52 E21 J24 J62 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14953&r= |
| By: | Muktar Babatunde Wahab; Wasiu Ayobami Durosinmi; Matthew Mamman; Dodo Usman Zakari; Adetoye Sulaiman Adepoju |
| Abstract: | Purpose: Quite a substantial number of academic studies have investigated dynamics of macroeconomic factors in real estate markets across the world. While these studies are valuable in the field of macroeconomic dynamics in real estate markets, a gap still exist in the literature on the recent disruption in the economy caused by covid-19 pandemic and subsequent impact on real estate market of emerging economy in Abuja, Nigeria.Design/Methodology: Monthly returns on real estate investment from sampled registered real estate firms in addition to data on macroeconomic indicators were obtained for the period (February 2020 and April 2021). These data were then analysed using econometric analysis - Augmented Dicker Fuller (ADF), Engle Granger cointegration and cointegrating regression analysis.Findings: The empirical evidence shows a long run negative impact of macroeconomic indicators on real estate market caused by covid-19 disruption in the economy. The study further understood that correction in market disequilibrium caused by economic disruption would require a slow adjustment. The real estate investor should exercise caution in investing into real estate due market disruption or disequilibrium that would take long period to correct.Practical implications: This paper provides empirical evidence of interrelationship between covid-19 driven macro economy and real estate markets. The result showed that the real GDP, exchange rate, inflation and interest rates have been found to have a significant explanatory influence on property return across the markets. The result further suggested that the impact of covid-19 in the economy requires government intervention to correct future abnormalities in the real estate market. |
| Keywords: | Engle-Granger cointegration; macroeconomic indicators; real estate returns; stationarity test |
| JEL: | R3 |
| Date: | 2021–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:afr:wpaper:2021-002&r= |
| By: | Ziesemer, Thomas (UNU-MERIT, Maastricht University) |
| Abstract: | We estimate a Cobb-Douglas production function distinguishing between a domestic and a foreign capital stock built from data of imported machinery and transport equipment for Brazil. The preferred regression uses log levels estimated by GMM-HAC. Results are that the elasticity of production of foreign capital is about 40% of that of domestic capital, the function has constant returns to scale in capital and labour variables, and human capital and technical change are also highly productive |
| Keywords: | time-series, estimation, production function, open economy, Brazil |
| JEL: | C22 C51 E23 F43 O54 |
| Date: | 2022–01–10 |
| URL: | http://d.repec.org/n?u=RePEc:unm:unumer:2022002&r= |
| By: | Bosco de Sousa, Faviana (Monash University) |
| Abstract: | This paper evaluates the performance of the Denton method in estimating quarterly GDP using indicators [QGDPi(E)] and explores alternative indicators for GDP components that have big errors. This report uses Timor-Leste quarterly data on GDP expenditure and its components from 2010 to 2019 sourced from GDS (Statistical office of Timor-Leste). The QGDPi(E) is temporally disaggregated through the Denton method, and the results will be evaluated in two ways. Firstly, I compare the Denton results to the Cholette-Dagum results. Secondly, I compare the Denton findings to the published (adjusted) quarterly GDP series. Overall, results show that the Cholette-Dagum approach disaggregates the GDP better than the Denton method, based on the mean absolute error estimation. However, the estimation error of GDP and its components for every quarter are similar for both methods. Therefore, it is concluded that the performance of both procedures is very similar. This result could be used as a guide to disaggregating annual GDP into quarterly series using both approaches, which would be beneficial for Timor-Leste. Finally, this study suggests that GDS continues to use the Denton method in the short term. However, it recommends using a more transparent time series regression-based model to estimate quarterly GDP for a better result in the future. |
| Keywords: | GDP ; Proportional Denton Method ; Cholette-Dagum Method JEL Classification: C22 ; C61 ; C82 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:wrk:wrkesp:12&r= |
| By: | Raouf Boucekkine (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université); Thomas Seegmuller (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université); Alain Venditti (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université, École des hautes études commerciales du Nord (EDHEC)) |
| Abstract: | This paper is an introduction to the special issue of Mathematical Social Sciences on Advances in growth and macroeconomic dynamics in memory of Carine Nourry. |
| Keywords: | macroeconomic stability and fluctuations,existence of equilibria,migration and networks,inequalities and income distribution |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03276586&r= |
| By: | Simon Accorsi |
| Abstract: | This article uses tools from the macroeconomic time series literature to study the economic effects of the post-dictatorship Chilean democratic transition. Using autoregressive vectors (VAR) the dynamic effects of the "democratic shock" that occurred in Chile during the years 1988-89 are estimated, providing relevant empirical evidence for the study of the historical relationships between economic growth, inequality and type of political regime. It is found that this democratic improvement resulted in a higher long-term growth rate of GDP per capita (3% above the baseline scenario) and a slight decrease in inequality of 0.3-0.4 Gini points. In line with the related literature, betterments were observed in the variables associated with human and physical capital. The effects were not immediate, which raises the dilemma of the political economy of transitions: in the Chilean case, the democratic shock of 1988-89 took 3 years to have a positive impact on the growth rate of GDP per capita and the total effect peaked after 7 years. |
| URL: | http://d.repec.org/n?u=RePEc:udc:wpaper:wp527&r= |
| By: | Andras Fulop; Jeremy Heng; Junye Li |
| Abstract: | Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed controlled sequential Monte Carlo method that delivers numerically stable and low variance estimators of the likelihood function. The method relies on an annealing procedure to gradually introduce information from observations and constructs globally optimal proposal distributions by solving associated optimal control problems that yield zero variance likelihood estimators. To perform parameter inference, we develop a new adaptive SMC$^2$ algorithm that employs likelihood estimators from annealed controlled sequential Monte Carlo. We provide a theoretical stability analysis that elucidates the advantages of our methodology and asymptotic results concerning the consistency and convergence rates of our SMC$^2$ estimators. We illustrate the strengths of our proposed methodology by estimating two popular macrofinance models: a non-linear new Keynesian dynamic stochastic general equilibrium model and a non-linear non-Gaussian consumption-based long-run risk model. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.01094&r= |
| By: | Elliot Aurissergues (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po); Christophe Blot (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po); Caroline Bozou (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po) |
| Abstract: | À peine arrivé à la Maison Blanche, le nouveau président Joe Biden a pris de nouvelles mesures d'urgence. Ces mesures prolongent et complètent celles prises par son prédécesseur. Il en résulte une orientation de la politique budgétaire fortement expansionniste, alimentant un débat sur un risque de surchauffe de l'économie américaine. L'éventualité d'un retour de l'inflation dépend de la taille des multiplicateurs associés aux mesures budgétaires, de la position de l'économie américaine dans le cycle et du lien entre inflation et chômage. Une hausse durable de l'inflation pourrait être observée si les ménages américains dépensent une part substantielle du transfert de revenus dont ils ont bénéficié, si le niveau de l'écart de croissance en 2020 est modéré et si on observe que les anticipations d'inflation augmentent. Le risque ne doit toutefois pas être surestimé et on peut supposer qu'entre le risque inflationniste et le risque de chômage prolongé, Joe Biden aura préféré éviter la deuxième option en assumant la possibilité d'une relance potentiellement disproportionnée. Il faut ajouter qu'un retour des pressions inflationnistes amènerait certainement la Réserve fédérale à reconsidérer l'orientation de la politique monétaire en envisageant une normalisation plus rapide. Ajoutons qu'outre le risque inflationniste, les mesures adoptées en 2020 et 2021 pourraient aussi alimenter le risque financier. En soutenant le revenu des ménages, la politique budgétaire a favorisé le développement d'une forte épargne qui pourrait aussi se traduire par l'amplification du boom boursier et immobilier. Même si la stratégie américaine comporte certains risques, elle semble engager les États-Unis sur un sentier de croissance bien plus rapide que dans la zone euro, laissant augurer d'une certaine divergence. Il devrait certes y avoir des effets de débordement positifs sur la croissance mondiale et sur donc sur la zone euro. Mais, une politique économique adaptée, et non la seule locomotive américaine, permettra à la zone euro de sortir rapidement et durablement de la crise. |
| Keywords: | Joe Biden,président américain,États-Unis,mesures,économie américaine,croissance,stratégie |
| Date: | 2021–11–25 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03477051&r= |
| By: | Gnangnon, Sèna Kimm |
| Abstract: | The effect of the betterment of enforced intellectual property rights (IPRs) provisions on services export concentration has been investigated. The analysis has used a panel dataset of 103 countries (both developed and developing countries) over the period of 1985-2014. It has revealed that countries with low levels of enforced IPRs tend to concentrate their services exports on few items, while countries with a high degree of enforced IPRs experience a greater level of services export diversification. Furthermore, the betterment of IPRs protection influences positively services export diversification, and the magnitude of this positive effect is higher for advanced countries compared to relatively less advanced economies. These results are particularly relevant for developing countries, including the least-developed countries that have both weakly enforced IPRs and high levels of services export concentration. |
| Keywords: | Intellectual property rights,Services export concentration |
| JEL: | E31 F13 O34 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:248717&r= |
| By: | Andrés Alvarez; Marta Juanita Villaveces |
| Abstract: | ¿Qué podemos aprender de la evolución del sistema de seguridad social y de las instituciones del mercado laboral para los futuros procesos de reforma en Colombia? Contestamos este interrogante desde una perspectiva histórica y de análisis institucional la evolución de las reglas y las instituciones que han definido la protección social y las reglas del juego que definen el mercado laboral colombiano, desde inicios del siglo XX hasta 2019. El análisis es a través de un enfoque institucionalista tomando tres conceptos claves. Primero, la dependencia del sendero que ha marcado la rigidez y las dificultades para implementar cambios verdaderamente estructurales en el sistema y que han llevado al país a insistir muchas veces en perspectivas de ajustes menores y desarticulados, en cambio de adoptar un cambio importante de enfoque. Segundo, una mirada integral a los diferentes componentes del sistema, de manera que nos permite mostrar cómo interactúan algunos elementos que muchas veces se consideran independientes. Tercero, inconsistencia dinámica de las reformas que conduce a permanentes reformas que generan cambios comportamentales en los agentes en algunos casos contrarios a los objetivos de las mismas, obligando a sucesivos ajustes parciales sin una solución integral de los problemas. |
| Keywords: | seguridad social, mercado laboral, salario mínimo, informalidad, pensiones, costos laborales, seguro de desempleo. |
| JEL: | N36 J46 E02 H55 J58 J65 |
| Date: | 2021–12–16 |
| URL: | http://d.repec.org/n?u=RePEc:col:000089:019933&r= |
| By: | Markus Brueckner; Haiyan Lin |
| Abstract: | We provide estimates of the effects that income inequality has on economic growth in China. Our empirical analysis is at the county level. Using data provided by the China Health and Nutrition Survey, we construct measures of inequality and the growth rates of household incomes per capita for 72 Chinese counties during the period 1989-2015. System-GMM estimates of panel models show that the within-county effect of inequality on economic growth is significantly decreasing in initial average income. For the relatively low levels of initial average incomes that were prevalent in China during the 1980s and 1990s, our model estimates imply that the increase in inequality that occurred in China during the 1980s and 1990s had a significant positive effect on economic growth. However, for current levels of average income, our panel model predicts that inequality has a negative effect on economic growth: a 1 percentage point increase in the Gini would reduce the per annum growth rate by around 1 percentage point. |
| Keywords: | Inequality, Growth |
| JEL: | E0 O4 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:acb:cbeeco:2021-682&r= |
| By: | Lorentz, André (Université de Strasbourg, BETA, Université de Lorraine, CNRS); Ciarli, Tommaso (UNU-MERIT, Maastricht University, and SPRU, University of Sussex); Savona, Maria (SPRU, University of Sussex); Valente, Marco (University of L’Aquila) |
| Abstract: | We derive the Kaldorian cumulative causation mechanism as an emergent property of the dynamics generated by a micro-founded model. We build on an evolutionary growth model which formalises the endogenous relations between structural changes in the production, organisation and functional composition of employment and of consumption patterns (originally proposed by Ciarli et al, 2010). We discuss the main transition dynamics to a self- sustained growth regime in a two-stage growth pattern generated through the numerical simulations of the model. We then show that these mechanisms lead to the emergence of a Kaldor-Verdoorn law. Finally we show that the structure of demand shapes the type of growth regime emerging from the endogenous structural changes, fostering or hampering the emergence of the Kaldor Verdoorn law. This depends on the endogenous income distribution and heterogeneity in consumption behaviour |
| Keywords: | Structural change, economic growth, final consumption, technological change, cumulative causation, evolutionary economics, Kaldor-Verdoorn Law |
| JEL: | O14 O33 O41 L16 C63 E11 |
| Date: | 2022–01–10 |
| URL: | http://d.repec.org/n?u=RePEc:unm:unumer:2022001&r= |
| By: | Annalena Oppel; Kyle McNabb; Daniel Chachu |
| Abstract: | We utilize the recently updated UNU-WIDER Government Revenue Dataset, which covers key indicators on tax and non-tax revenues for 196 countries since the 1980s, to study the dynamics of government revenue tax collection across selected periods from 1985 up to the most recent available year (2019). In doing so, we propose a new approach that highlights the direction, intensity, and continuity of trends in total tax and total revenue collection, with implications for aid, fiscal policy, and sustainable development. |
| Keywords: | Domestic revenue mobilization, GRD, Tax, Sustainable development, Aid, Fiscal policy |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:unu:wpaper:wp-2022-1&r= |
| By: | Markus Brueckner; Wensheng Kang; Joaquin Vespignani |
| Abstract: | This paper studies the role of capitalization on firms’ stock price growth in response to new cases of Covid-19 infections in the United States. Controlling for firm and time fixed effects, our panel model estimates show that the effect of new cases of Covid-19 infections on firms’ stock price growth is significantly increasing in capitalization: For each one standard deviation increase in capitalization, a one standard deviation increase in new cases of Covid-19 infections increases the weekly growth rate of firms’ stock prices by about 0.7 percentage points. Effects of capitalization on the impact that Covid-19 infections have on firms’ stock price growth are largest in the travel, tourism, and hospitality sector. Smaller but still positive effects of capitalization are present in the pharmaceutical products, high-tech, and banking and finance sectors. |
| Keywords: | Covid-19, performance of firms, stock market capitalization, U.S. stock market |
| JEL: | G10 E30 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:acb:cbeeco:2021-683&r= |
| By: | Ewa Balcerowicz; Michał Myck; Joanna Tyrowicz; Paweł Wojciechowski; Kajetan Trzciński |
| Abstract: | In this publication, which was created based on the 170th mBank-CASE Seminar, we analyze one of its parts: the far-reaching proposals for changes in the tax system. The analysis we present here isn’t comprehensive, which would require a broad report, but partial: it covers potential economic effects, in selected areas. One of the goals of the Polish Deal is “the fastest possible return to the path of economic growth,” but the document contains no analysis of whether and how the changes in taxes will affect medium- and long-term growth. Nor are there any estimates of how they will affect the labor market, the propensity to invest (leaving aside the question of special tax relief for investors and the plan for huge government investment in infrastructure). |
| Keywords: | Polish Deal, tax, tax reform, pension, retirees, investments, Poland |
| JEL: | H2 K34 J14 J26 D25 E2 |
| Date: | 2021–10–19 |
| URL: | http://d.repec.org/n?u=RePEc:sec:mbanks:0170&r= |