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on Macroeconomics |
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Issue of 2022‒04‒04
sixty-six papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Elfsbacka Schmöller, Michaela; Spitzer, Martin |
| Abstract: | This paper studies monetary policy strategies under endogenous technology dynamics and low r∗. Endogenous growth strengthens the gains from make-up strategies relative to inflation targeting, especially if policy space is reduced. This result is due to the long-run non-neutrality of money and the hysteresis effects in TFP through which ELB episodes generate permanent scars on long-run aggregate supply. Make-up strategies not only foster the alignment of inflation with target but also support productivity-improving investment in R&D and technology adoption and hence the long-run trend path, provided that the inherent make-up element is sufficiently pronounced. Inflation is less responsive to monetary policy due to the interaction with productivity dynamics. As a result, additional stimulus is required at the ELB and the degree of subsequent overshooting is alleviated. Endogenous growth also generates novel monetary policy trade-offs, most notably credibility challenges, which can be mitigated by confining make-up elements to ELB episodes. |
| JEL: | E24 E31 E32 E52 O30 |
| Date: | 2022–03–31 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:2022_006&r= |
| By: | Congressional Budget Office |
| Abstract: | The unemployment rate has asymmetric dynamics: It increases rapidly in recessions and falls gradually in expansions. The Congressional Budget Office developed a Markov-switching model to help incorporate these dynamics into macroeconomic projections and cost estimates that require simulations of the national unemployment rate. The model produces simulations that match observed asymmetric business-cycle dynamics at a rate consistent with historical data. I also show that indirect duration dependence, in which transition probabilities are a function of the unemployment gap, |
| JEL: | C22 C24 C53 E24 E32 |
| Date: | 2022–03–28 |
| URL: | http://d.repec.org/n?u=RePEc:cbo:wpaper:57582&r= |
| By: | Kumwenda, Thomson Nelson |
| Abstract: | This study sheds light on the effects of fiscal policy on the Malawian economy by measuring the value of different Keynesian multipliers and identifying the possible origins of GDP fluctuation. The quantitative method adopted is the Bayesian estimation of a Dynamic and Stochastic General Equilibrium (DSGE) model based on data from the National Statistic Office and Reserve Bank of Malawi over the period 2004Q1-2020Q2. The Keynesian multiplier for government expenditure has been estimated at -0.81 and -1.50 at impact and remains negatively strong in subsequent periods for Output and positive for subsequent period for private investments or aggregate demand; (iii) an decrease in consumption taxes has a positive impact on national production, private investments and negative impact on general consumption, the consumption tax multiplier has been estimated at 1.22 for GDP, 0.69 for private investments and -0.64 for consumption for Ricardians households. (iii) the decrease of employment tax has a negative impact on GDP, private investments and positive impact on consumption for Non Ricardians households. This study shows that overall, the variability of production and private consumption is due in large part to public investment and monetary policy shocks, and this effect is persistent and significant over time. The effects of the public investment shock diminish over time, while those relating to the consumption tax are increases over time. |
| Keywords: | DSGE; Bayesian; Ricardian; Non-Ricardian households; multiplier; Fiscal policy |
| JEL: | E17 E32 E62 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:cpm:dynare:073&r= |
| By: | Brent Bundick; Trenton Herriford; Andrew Lee Smith |
| Abstract: | This paper studies the transmission of Federal Reserve communication to financial markets and the economy using new measures of the term structure of policy rate uncertainty. Movements in the term structure of interest rate uncertainty around FOMC announcements cannot be summarized by a single measure but instead are two dimensional. We characterize these two dimensions as the level and slope factors of the term structure of interest rate uncertainty. These two monetary policy uncertainty factors significantly help to explain changes in Treasury yields and forward real interest rates around FOMC announcements, even after accounting for changes in the expected path of policy rates. Moreover, we demonstrate that focusing on just a single dimension of monetary policy uncertainty provides an inaccurate description of how policy uncertainty shapes the transmission of FOMC announcements. Finally, our policy uncertainty factors provide stronger first-stage instruments in a proxy SVAR setting which implies more expansionary macroeconomic effects of forward guidance than those estimated only using the expected path of policy rates. |
| Keywords: | Monetary Policy Uncertainty; Forward Guidance; Proxy VAR |
| JEL: | E32 E52 |
| Date: | 2022–02–25 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:93837&r= |
| By: | Simona Malovana; Martin Hodula; Zuzana Gric; Josef Bajzik |
| Abstract: | We surveyed experts from academia, central banks and other regulatory institutions on the preferred institutional setup of macroprudential policy and the underlying interactions stemming from the conduct of monetary and macroprudential policy. We find substantial support for the integration setup, under which macroprudential policy is entrusted to the central bank and not to a separate institution. The most significant factors driving the respondents' views are the large degree of interdependence of the two policies, the potential information gains from keeping them "under one roof", and a greater capability to resolve strategic conflicts. We identify non-negligible heterogeneity in the responses, especially in terms of respondents' age, managerial position and research orientation. |
| Keywords: | Central banking, expert survey, institutional arrangement, macroprudential policy, monetary policy |
| JEL: | C83 E52 E58 G21 G28 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:rpnrpn:2021/04&r= |
| By: | Yeva Nersisyan; L. Randall Wray |
| Abstract: | This paper examines the recent increase of the measured inflation rate to assess the degree to which the acceleration is due to problems created (largely on the supply side) by the pandemic versus pressures created on the demand side by pandemic relief. Some have attributed the inflation to excess demand, most notably Larry Summers, who had warned that the pandemic relief spending was too great. As evidence, one could point to the quick recovery of GDP and to reportedly tight labor markets. Others have variously blamed supply chain disruptions, shortages of certain inputs, OPEC's oil price increases, labor market disruptions because of COVID, and rising profit margins obtained through exercise of pricing power. We conclude that there is little evidence that excess demand is the problem, although we agree that in the absence of the relief checks, recovery would have been sufficiently slow to minimize inflation pressure. We closely examine the main contributors to rising overall prices and conclude that tighter monetary policy would not be an effective way to reduce price pressures. We also cast doubt on the expectations theory of inflation control. We present evidence that suggests there is currently little danger that higher inflation will become entrenched. If anything, rate hikes now will make it harder for the economy to adjust to current realities. The potential for lots of pain with little gain is great. The best course of action is to tackle problems on the supply side. |
| Keywords: | COVID-19; Inflation; Pandemic Relief; Pricing Power; Supply Chains |
| JEL: | E31 E32 E52 E52 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_1003&r= |
| By: | Anne Duquerroy (Banque de France); Adrien Matray (Princeton & CEPR); Farzad Saidi (University of Bonn & CEPR) |
| Abstract: | We quantify how banks’ funding costs affect their lending behavior directly, and in-directly by feeding back to their net worth. For identification, we exploit banks’ het-erogeneous liability structure and the existence of regulated deposits in France whose rates are set by the government. Using administrative credit-registry and regulatory bank data, we find that a one-percentage-point increase in funding costs reduces credit by 17%. To insulate their profits, banks reach for yield and rebalance their lending towards smaller and riskier firms. These changes are not compensated for by less af-fected banks at the aggregate city level, with repercussions for firms’ investment. |
| Keywords: | bank funding costs, monetary-policy transmission, deposits, credit supply, SMEs, savings |
| JEL: | E23 E32 E44 G20 G21 L14 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:ajk:ajkdps:150&r= |
| By: | Yu-Ting Chiang |
| Abstract: | This paper studies a dispersed information economy in which agents can exert costly attention to learn about an unknown aggregate state of the economy. Under certain conditions, attention and four measures of uncertainty are countercyclical: Agents pay more attention when they expect the economy to be in a bad state, and their reaction generates higher (i) aggregate output volatility, (ii) cross-sectional output dispersion, (iii) forecast dispersion about aggregate output, and (iv) subjective uncertainty about aggregate output faced by each agent. All these phenomena are prominent features of the U.S. data. When attention cost is calibrated to forecast survey data, the model generates countercyclical fluctuations in attention and uncertainty, consistent with untargeted moments from the data. Fluctuations in attention and uncertainty are higher-order properties of the model. A new method is developed to solve higher-order dynamics of the equilibrium under an infinite regress problem. |
| Keywords: | business cycles; macroeconomic uncertainty; dispersed information; rational inattention |
| JEL: | D8 E1 E3 E7 |
| Date: | 2022–03–08 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:93807&r= |
| By: | Patrik Barišić (Croatian National Bank); Tibor Kovač (Institute of Economics, Zagreb); Vladimir Arčabić (Faculty of Economics and Business, University of Zagreb) |
| Abstract: | This paper separates macroeconomic shocks into external and domestic aggregate demand and supply shocks in European Union's post-transition countries. Small open economies are typically very responsive to external shocks. The standard decomposition into aggregate demand and supply shocks covers up important information on the sources of business cycle fluctuations. Using a Bayesian SVAR model with combined sign and block exogeneity restrictions, we separately estimate external and domestic aggregate supply and demand shocks for GDP growth and inflation. We find that domestic shocks were a dominant source of fluctuations during the transition period in Croatia from 1992 to 2000. However, external shocks increased their importance with the trade and financial sector liberalization after 2000, becoming the dominant source of fluctuations with the Global financial crisis in 2008. In the short run, fluctuations are best explained by domestic shocks in 9 out of 11 analyzed countries, especially domestic supply shocks. However, in the medium run, fluctuations are dominantly explained by external aggregate demand shocks in 8 out of 11 countries. We argue that common sources of fluctuations in the medium run are beneficial for common monetary policy in the Eurozone. |
| Keywords: | small open economy, post-transition countries, aggregate supply and demand shocks, external and domestic shocks, Bayesian SVAR |
| JEL: | C32 C51 E32 F41 |
| Date: | 2022–03–28 |
| URL: | http://d.repec.org/n?u=RePEc:zag:wpaper:2202&r= |
| By: | Yusuke Takahashi (Bank of Japan); Yoichiro Tamanyu (Bank of Japan) |
| Abstract: | This study analyzes the mechanism of how households' inflation perceptions are formed in Japan and investigates the backdrop of why perceived inflation is higher than CPI inflation. Our cross-sectional analysis using micro-data shows that a variety of factors affect households' inflation perceptions, including their sociodemographic characteristics, which are likely to affect their consumption patterns, their sentiment, and their awareness of the Bank of Japan's "price stability target." We further show that such inflation perceptions, as well as sentiment and awareness of the "price stability target," influence households' tolerance towards price rises. We then analyze how changes in the price of individual goods and services influence perceived inflation using aggregate data and find that a large share of the fluctuations in perceived inflation can be explained by changes in food product and petroleum product prices. In addition, we show that house prices, which are not included in the CPI in Japan, also explain these fluctuations. These results imply that households have in mind a different basket of goods and services from the CPI when they form their inflation perceptions. |
| Keywords: | Inflation; Inflation perception; Consumer price index; Tolerance towards price rises |
| JEL: | D12 E31 E58 |
| Date: | 2022–03–02 |
| URL: | http://d.repec.org/n?u=RePEc:boj:bojwps:wp22e01&r= |
| By: | Giacomo Mangiante |
| Abstract: | This paper studies the impact of demographic trends on the transmission of monetary policy. In particular, I propose and quantify a novel channel to explain how population aging might affect the effectiveness of monetary policy and the flattening of the Phillips curve: older individuals purchase more from product categories with higher levels of price rigidity - categories which adjust their prices less often - so the aggregate frequency of price adjustment decreases as the population ages. Using micro data on consumer expenditure, I document the negative relationship between age and the frequency of price adjustment and find that it is mainly due to the higher share of services consumed by old households. At the macro level, if prices are more rigid output should respond more to monetary shocks. To test this hypothesis, I exploit the cross-sectional variation in demographic structures across the U.S. and I show that the economic activity in states with a higher old-age dependency ratio reacts more to monetary shocks. Finally, I rationalise these findings using a two-sector OLG New Keynesian model where demographic trends shift aggregate demand towards services, i.e., the stickier expenditure category. Combining the model with population projections for the U.S., I find that the changes in the age distribution between 1980 and 2010 increased the contemporaneous response of output to monetary shocks by 6% and will have increased it by 10% in 2050. Moreover, demographic trends explain around 10% of the decrease in the slope of the Phillips curve. |
| Keywords: | Monetary policy, age structure, consumption heterogeneity, Phillips curve |
| JEL: | E52 J11 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:lau:crdeep:22.04&r= |
| By: | Herborn, Alexander; Schnabl, Gunther |
| Abstract: | Die breit angelegte Niedrigzinspolitik der Europäischen Zentralbank (EZB) hat - je länger, desto mehr - in vielen Ländern des Euroraums zu einem starken Anstieg der Wohnimmobilienpreise beigetragen. In einigen Mitgliedstaaten mündeten diese Übertreibungen am Wohnimmobilienmarkt bereits in Finanz- und Schuldenkrisen. Der Harmonisierte Verbraucherpreisindex (HVPI) von Eurostat, auf den die EZB ihre Geldpolitik ausrichtet, berücksichtigt die Preise von Wohnimmobilien nicht. In der jüngsten Strategieüberprüfung der EZB wurde die Integration von selbstgenutztem Wohneigentum in den HVPI auf der Grundlage eines neuen Index von Eurostat in Aussicht gestellt. Der Beitrag untersucht mit Fokus auf Deutschland den Einfluss von selbstgenutztem Wohneigentum auf die offiziell gemessenen Inflationsraten und zeigt die Schwächen des geplanten neuen Ansatzes der EZB auf. Auch in Zukunft dürfte die offiziell gemessene Verbraucherpreisinflation verzerrt sein, was dazu beitragen könnte, dass die Vermögensungleichheit im Euroraum weiter steigt und die Risiken für die Finanzstabilität zunehmen. |
| Keywords: | EZB,HVPI,Inflationsmessung,Wohnimmobilienpreise,versteckte Inflation,selbstgenutztes Wohneigentum |
| JEL: | E31 E32 E52 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:leiwps:175&r= |
| By: | Satyajit Chatterjee; Burcu Eyigungor |
| Abstract: | Larger firms (by sales or employment) have higher leverage. This pattern is explained using a model in which firms produce multiple varieties, acquire new varieties from their inventors, and borrow against the future cash flow of the firm with the option to default. A variety can die with a constant probability, implying that firms with more varieties (bigger firms) have a lower variance of sales growth and, in equilibrium, higher leverage. In this setup, a drop in the risk-free rate increases the value of an acquisition more for bigger firms because of their higher leverage: They can (and do) borrow a larger fraction of their future cash flow. The drop causes existing firms to buy more of the new varieties arriving into the economy, resulting in a lower startup rate and greater concentration of sales. |
| Keywords: | Startup rates; concentration; leverage; firm dynamics |
| JEL: | E22 E43 E44 G32 G33 G34 |
| Date: | 2022–03–17 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:93850&r= |
| By: | Radek Šauer |
| Abstract: | This documentation concisely describes the dynamic stochastic general-equilibrium model that the ifo Institute currently uses for simulations and business-cycle analysis. The model consists of three countries and contains a wide range of rigidities. The model is regularly estimated by quarterly macroeconomic data. |
| Keywords: | DSGE, simulations, forecasting, business-cycle analysis |
| JEL: | E17 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ifowps:_366&r= |
| By: | Pierre-Richard Agénor; Timothy Jackson; Luiz Awazu Pereira da Silva |
| Abstract: | A core-periphery model with financial frictions, imperfect financial integration, and cross-border banking is used to assess the magnitude of regulatory spillovers and the gains from international macroprudential policy coordination. A core global bank lends to its affiliates in the periphery and banks in both regions are subject to risk-sensitive capital regulation. Following an expansionary monetary policy in the core, a countercyclical response in capital requirements induces the global bank to engage in regulatory arbitrage. The magnitude of the resulting cross-border capital flows depends on the degree of economies of scope in lending. Welfare gains associated with countercyclical capital buffers are calculated for three policy regimes: independent policies (Nash), coordination, and reciprocity---a regime in which capital ratios set in the core are imposed on branches operating in the periphery. If regulators set policies on the basis of a narrow financial stability mandate, and these policies are evaluated in terms of household welfare, reciprocity may perform better than Nash, and as well as coordination for all parties, when regulatory leakages are strong. |
| Keywords: | global banking, financial spillovers, regulatory leakages, macroprudential policy coordination. |
| JEL: | E58 F42 F62 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:1007&r= |
| By: | Freddy Heylen; Marthe Mareels; Christophe Van Langenhove (-) |
| Abstract: | The difference between the implicit nominal interest rate and the growth rate of nominal GDP is a key determinant of the dynamics and the sustainability of public debt. This paper studies the determinants of r - g in a panel of 17 OECD countries since the early 1980s. Whereas the focus of existing studies is mainly on fiscal, monetary and financial drivers of the interest–growth difference, our approach and contribution are to include and highlight in particular the impact of real long-run drivers, such as technical progress, employment growth, components of demographic change, and income inequality. This allows us to derive empirically based projections for r - g beyond the next five or ten years. Our projections suggest that r - g remains negative for the next two decades in most European countries that we study, but not in the United States. The debt-carrying capacity of governments in Europe is structurally higher now than in recent decades. This allows to worry less about public debt, but does not exempt policy makers from the task to strongly monitor their expenditures and balances, given major challenges ahead. |
| Keywords: | public debt, r - g, fiscal sustainability, fiscal rules, demographic change, inequality |
| JEL: | E43 E62 H63 H68 J11 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:22/1040&r= |
| By: | Joel Bowman |
| Abstract: | Financial conditions eased after the global financial crisis and during the COVID-19 pandemic as policymakers across most countries adopted large scale monetary policy easing. This has increased concern amongst some that a prolonged period of accommodative financial conditions has fostered the growth of zombie companies − businesses that are consistently unable to meet their interest expenses from current profits. This paper finds that an easing in self-constructed measures of financial conditions is correlated with an increase in the share of resources sunk into zombie companies using a sample of listed companies across 20 OECD countries and 11 industries over the period 2003 to 2019. However, the size of this relationship is higher for countries with banking systems that are in poorer financial health. As a result, fears that accommodative financial conditions foster more capital being sunk into inefficient zombie companies is likely to be less of a concern for countries with healthy banking systems. |
| Keywords: | Financial Conditions, Zombie Companies, Bank Health |
| JEL: | E44 E52 G21 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2022-22&r= |
| By: | Staffa, Ruben |
| Abstract: | This paper uses novel news ticker data to evaluate the effect of sovereign risk on economic and financial outcomes. The use of intraday news enables me to derive policy events and respective timestamps that potentially alter investors' beliefs about a sovereign's willingness to service its debt and thereby sovereign risk. Following the high frequency identification literature, in the tradition of Kuttner (2001) and Guerkaynak et al. (2005), associated variation in sovereign risk is then obtained by capturing bond price movements within narrowly defined time windows around the event time. I conduct the outlined identification for Italy since its large bond market and its frequent coverage in the news render it a suitable candidate country. Using the identified shocks in an instrumental variable local projection setting yields a strong instrument and robust results in line with theoretical predictions. I document a dampening effect of sovereign risk on output. Also, borrowing costs for the private sector increase and inflation rises in response to higher sovereign risk. |
| Keywords: | high frequency identification,instrument,local projections,sovereign risk,text data |
| JEL: | C36 E43 E62 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:iwhdps:82022&r= |
| By: | Elizabeth Bucacos (Banco Central del Uruguay); Patricia Carballo (Banco Central del Uruguay); Miguel Mello (Banco Central del Uruguay); Jorge Ponce (Banco Central del Uruguay) |
| Abstract: | COVID-19 implied an overwhelming shock with large economic consequences. In this paper, we provide an evaluation of the impact of the social, economic, and financial policy measures undertaken to ameliorate its negative consequences in Uruguay. We start by surveying the immediate impact of the shock and the main policy responses. Next, we take a threefold approach to evaluate their impact on GDP, inflation, inflation expectations, investment, consumption, hours worked and firms’ financing. The results show that the policy response had a significant effect on mitigating the negative impact of the pandemic. |
| Keywords: | COVID-19 pandemic, policy response, impact evaluation, Uruguay |
| JEL: | E50 E60 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:bku:doctra:2022002&r= |
| By: | Jushua Baldoceda (Central Reserve Bank of Peru); Anthony Meza (Central Reserve Bank of Peru) |
| Abstract: | The failure of a financial institution (banks and microfinance institutions) to meet its payment obligations can have implications, not only for its continuity, but also for the stability of payment systems, markets, and the financial system in general. Central banks, as monetary authorities, regulators, and overseers of a country's payment infrastructures must monitor the liquidity risk of participants in those systems in order to prevent in time any event of this nature. To do this, the liquidity needs of the entities must be identified and anticipated to mitigate the possible effects of their inability to pay and the possible consequences on the payment systems. This paper reviews the literature on liquidity risks and their systemic consequences. It also presents different indicators of liquidity and interdependence built with the transactional data of the RTGS System, administered by the Central Reserve Bank of Peru. These indicators are contrasted with the participant's intraday facilities operations in the RTGS (from Jan-2010 to Nov-2021), in order to assess the liquidity problem and its consequences from a systemic point of view. |
| Keywords: | RTGS; liquidity risk; systemic risk; indicators |
| JEL: | E42 E50 E58 |
| Date: | 2022–03–07 |
| URL: | http://d.repec.org/n?u=RePEc:gii:giihei:heidwp01-2022&r= |
| By: | Monetary Policy Committee, Taskforce on Rate Forward Guidance and Reinvestment |
| Abstract: | In the aftermath of the global financial crisis, central banks started being confronted with severe challenges that led to an unprecedented policy response in terms of the size and variety of monetary policy measures. One such measure centred on central banks communicating to the public more explicitly their future policy actions in order to influence expectations. In the case of interest rates, as the standard policy rate approached the effective lower bound, major central banks began providing forward guidance (FG) on interest rates with the intention of lowering expectations of future short-term rates. While FG had been used in certain jurisdictions before the crisis, its prominence in the monetary policy toolkit grew substantially in the aftermath of the crisis. This occasional paper summarises the work carried-out by the Eurosystem Taskforce on the macroeconomic impact of rate forward guidance (FG) in an environment of large central bank balance sheets. The analysis presented covers the period up to February 2020 so the implications of the pandemic as well as the ECB’s strategy review are beyond the scope of the Taskforce’s mandate. The paper describes the analytical challenges associated with assessing rate FG on account of the relative novelty of these policies, the lack of well-established empirical results and the sensitivity of model predictions to the expectations formation process. To overcome and address these challenges, the Taskforce took stock of all the available infrastructure and analysis within in the Eurosystem, and where needed, developed structural and empirical models and approaches to assess the macroeconomic impact of rate FG in an environment of large central bank balance sheets. JEL Classification: E37, E43, E52, E58 |
| Keywords: | ECB policy, effective lower bound, forward guidance, monetary policy |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbops:2022290&r= |
| By: | Audra Bowlus; Youngmin Park; Chris Robinson |
| Abstract: | This paper quantifies the contribution of human capital accumulation to the growth of real gross domestic product (GDP) in Canada. GDP growth is decomposed into contributions from physical capital, hours worked, human capital supplied per hour and total factor productivity. Using a “flat spot” identification strategy, we separately estimate the price and quantity of human capital using wage data from the Labour Force Survey. We find that growth in human capital supplied per hour explains around one-fifth of GDP growth and two-thirds of the Solow residual over the period from 1997 to 2018. While growth in hours worked is expected to slow down in the near future, human capital supplied per hour is expected to continue to be an important driver of GDP growth. |
| Keywords: | Econometric and statistical methods; Labour markets; Potential output; Productivity |
| JEL: | D24 E24 J24 J31 O47 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocadp:22-7&r= |
| By: | Hyunduk Suh (Inha University); SeEun Jung (Inha University) |
| Abstract: | The retirement of old workers increased during the COVID-19 pandemic, and health concerns are considered as a critical factor. To isolate the effect of pure health concerns during the pandemic, we analyze the impact of the aggregate health shock on retirement decisions using a life-cycle model. The aggregate health shock changes the economy from the normal state to the pandemic state, where the probability of adverse idiosyncratic health shock increases, especially if agents are working. Simulation results suggest that the shock accelerates the retirement of agents aged between 60 and 64. Its impact is quantitatively greater than the effect of a five percent reduction in labor income. The retirement response is heterogeneous across agent types, influenced by various factors, including preference, income, health status, and health expenditure. The negative effect of the aggregate health shock is significant even though the shock is expected to be temporary. Also, the effect hinges on the assumption that working poses a greater risk of receiving a negative health shock than retiring. |
| Keywords: | Retirement, Health shock, COVID-19, Life-cycle model |
| JEL: | J26 I18 E24 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:inh:wpaper:2022-1&r= |
| By: | Hagher Ben Rhomdhane (Central Bank of Tunisia); Brahim Mehdi Benlallouna (Central Bank of Tunisia) |
| Abstract: | This study aims to construct a new monthly leading indicator for Tunisian economic activity and to forecast Tunisian quarterly real GDP (RGDP) using several mixed-frequency models. These include a mixed dynamic factor model, unrestricted mixed-data sampling (UMIDAS), and a threepass regression filter (3PRF) developed at the Central Bank of Tunisia, based on a monthly/quarterly set of economic and financial indicators as predictors. Our methodology is based on direct and indirect approaches, and the direct approach nowcasts aggregate RGDPs. The indirect approach is a disaggregated approach based on the output side of GDP (manufacturing, non-manufacturing, and services) using a set of available monthly indicators by sector. Furthermore, mixed-frequency dynamic factor models and unrestricted MIDAS perform well in terms of root mean squared errors compared to the benchmark model VAR (2). The forecast errors derived from the disaggregated approach during the recent COVID period are smaller than those derived from classical models such as VAR (2). In our model, we used indicators such as electricity consumption by sector, stock market index detailed by sector, and international economic surveys to capture the pandemic effect. The financial variables improve forecasting for all horizons. Additionally, we find that it is better to employ several UMIDAS-ARs by each component of GDP at constant prices and to pool the results rather than relying on aggregated GDP, specifically in volatile times. |
| Keywords: | Mixed-Frequency Data Sampling; Nowcasting; short-term forecasting |
| JEL: | E37 C55 F17 O11 |
| Date: | 2022–03–07 |
| URL: | http://d.repec.org/n?u=RePEc:gii:giihei:heidwp02-2022&r= |
| By: | Daniel Levy (Bar-Ilan University); Hashem Dezhbakhsh |
| Abstract: | The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference imprecise. We assess analytically the effect of linear interpolation on a nonstationary process. We find that interpolation indeed reduces shock-persistence, but the interpolated series can still exhibit greater shock-persistence than a pure random walk. Moreover, linear interpolation makes the series periodically nonstationary, with parameters of the data generating process and the length of the interpolation time-segments affecting shock-persistence in conflicting ways. |
| Keywords: | Linear Interpolation, Random Walk, Shock-Persistence, Nonstationary series, Periodic nonstationarity, Stationary series, Prewar US Time Series |
| JEL: | C01 C02 E01 E30 N10 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:biu:wpaper:2022-02&r= |
| By: | Giraldo, I.; Turner P |
| Abstract: | A decade of low interest rates in the major currencies and failings in the regulatory oversight of international bond markets have led investors to take more and more risk in their search for higher yields. Non-financial corporations (NFC's) in Latin America have taken full advantage, and their dollar indebtedness is now heavier than for corporations in most other emerging market regions. This paper documents the many warning signs of macroeconomic and financial instability in the region from such indebtedness. Macroeconomic data show that the NFC sector has become much more leveraged and faces increased currency mismatches. Microeconomic data drawn from a sample of more than 160 companies confirm that several balance sheet indicators have deteriorated for firms in both the tradable and the non-tradable sectors. As dollar debts were rising, profits were declining, capital expenditures falling and solvency risk rising. This situation warrants careful and continuous monitoring by the authorities in the region. Macroprudential policies in Latin America need to address with urgency the vulnerabilities created by international market-based finance and ensure that local banks remain resilient to external financial shocks. Interest rates will rise and, given the recent warnings of the Bank for International Settlements (BIS) and the Financial Stability Board (FSB), some regulatory tightening affecting bond markets is likely. |
| Keywords: | Non-financial corporate debt, Latin America, currency mismatches, global liquidity, corporate balance sheets, FSB, IMF, BIS |
| JEL: | D25 E44 F30 F34 F65 G15 G18 G28 |
| Date: | 2022–02–28 |
| URL: | http://d.repec.org/n?u=RePEc:col:000566:020025&r= |
| By: | Guglielmo Forges Davanzati |
| Abstract: | The economic policies implemented in Italy in recent years, fully consistent with European Commission recommendations and with what has been achieved in other European countries, are essentially based on two axes: fiscal consolidation and structural reforms. Fiscal consolidation is achieved by cutting public spending and increasing the tax burden, with a reduction, in particular, in social spending and welfare services and with an increase in taxation - which is becoming less and less progressive - especially to the detriment of workers. The so-called structural reforms concern the processes of privatization and liberalization and, above all, further measures of labour precarization. The aim of this paper is (i) to account for the failure of these measures in relation to the declared objective of generating a recovery in economic growth and increasing the employment rate; (ii) to put forward the proposal for a greater public intervention aimed at making the State an employer and innovator of first resort. |
| Keywords: | wages, employment, public spending |
| JEL: | E12 E24 F00 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:ast:wpaper:0058&r= |
| By: | Tobias Pforr (European University Institute); Fabian Pape (University of Warwick); Steffen Murau (Boston University) |
| Abstract: | In August 2021, the IMF made a new SDR allocation to help ease pandemic-induced financial strains in the Global South. This paper assesses the potential of the SDR system to address debt-related problems in global finance. We analyze the SDR system as a web of interlocking balance sheets whose members can use SDR holdings—the system's tradable assets—for conversion into usable currency as a perpetual low-interest loan or to make payments to each other. Using original IMF data, we study how the system has been practically used since 1990. Though widely perceived as a solution in search of a problem in the post-Bretton Woods era, we find that the SDR system provides three mechanisms through which IMF members borrow and lend usable currency to each other, with different strings attached: first, transactions by agreement; second, the IMF's core lending facilities for which the SDR system offers additional resources; and third, IMF-sponsored Trusts which seek to harness the SDR system for development purposes and are the basis for the current idea of 'voluntary channeling'. Overall, given the SDR system's idiosyncratic accounting rules, the new allocation can improve the liquidity position of a country and offer some limited avenues for sovereign debt restructuring but comes with new interest and exchange rate risks. Voluntary channeling cannot happen without a wealth transfer, neither the SDR allocation nor the use of Trusts can overcome this problem. Still, Trusts can be a useful instrument to help with debt forgiveness and to ensure that borrowed funds are used for their intended purpose. |
| Keywords: | International Monetary Fund, balance sheets, critical macro-finance, Money View, central banks, development finance, Global South. |
| JEL: | E42 E58 F02 F33 F34 F53 F55 N10 N20 |
| Date: | 2022–03–09 |
| URL: | http://d.repec.org/n?u=RePEc:thk:wpaper:inetwp180&r= |
| By: | Lawrence Christiano; Husnu Dalgic; Xiaoming Li |
| Abstract: | Our primary finding is that surprisingly small changes in assumptions which determine the amount of net worth available in a bank panic have an important impact on the nature of the equilibria: there may not be a bank panic at all, or there may be several di erent panics of di erent severity. The economic reasons for this sensitivity are clarified by transforming the market economy into a game and studying banker best response functions. To establish robustness to model details, we report similar quantitative results across three di erent model specifications and calibrations. A second, additional result, is displayed in a three-period version of the panic model of Gertler and Kiyotaki (2015). That model naturally suggests the idea that welfare can be improved by imposing a restriction on bank leverage. We compute the Ramsey-optimal leverage restriction, but find that there is an implementation problem: the restriction can be associated with more than one equilibrium, not just the desired one. We discuss one way to address the implementation problem. |
| Keywords: | Bank runs, financial crises, macroprudential policy |
| JEL: | E44 G01 G21 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:bon:boncrc:crctr224_2022_343&r= |
| By: | Marion Davin (CEE-M - Centre d'Economie de l'Environnement - Montpellier - UMR 5211 - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Mouez Fodha (PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); 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) |
| Abstract: | We study whether fiscal policies, especially public debt, can help to curb the macroeconomic and health consequences of epidemics. Our approach is based on three main features: we introduce the dynamics of epidemics in an overlapping generations model to take into account that old people are more vulnerable; people are more easily infected when pollution is high; public spending in health care and public debt can be used to tackle the effects of epidemics. We show that fiscal policies can promote convergence to a stable disease-free steady state. When public policies are not able to permanently eradicate the epidemic, public debt, and income transfers could reduce the number of infected people and increase capital and GDP per capita. As a prerequisite, pollution intensity should not be too high. Finally, we define a household subsidy policy that eliminates income and welfare inequalities between healthy and infected individuals. |
| Keywords: | public debt,overlapping generations,pollution,Epidemics |
| Date: | 2021–12–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:pseptp:hal-03555726&r= |
| By: | Brad Hershbein; Bryan Stuart |
| Abstract: | This paper studies how government transfers respond to changes in local economic activity that emerge during recessions. Local labor markets that experience greater employment losses during recessions face persistent relative decreases in per capita earnings. However, these areas also experience persistent increases in per capita transfers, which offset 16 percent of the earnings loss on average. The increase in transfers is driven by unemployment insurance in the short run, and medical, retirement, and disability transfers in the long run. Our results show that nominally place-neutral transfer programs redistribute considerable sums of money to places with depressed economic conditions. |
| Keywords: | recessions; safety net; government transfers |
| JEL: | E32 H50 R12 R28 |
| Date: | 2022–03–22 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:93859&r= |
| By: | Thanh, Nguyen Duc; Quyen, Luu Thi Truc; Tâm, Ngô Mỹ; Thao, Nguyen Thu; Thao, Nguyen Thi Phuong |
| Abstract: | Monetary policy is a very important macroeconomic regulatory policy of the state in a market. Economic researchers have shown that: To have a wise monetary policy suitable for each period is always a difficult "problem" economy, contributing to the success or failure of economic development. With the characteristics of Vietnam's economy, the choice of which tools and how to use them at specific stages of the economy is always a problem that must regularly be monitored and resolved. Especially in the context of a prolonged and increasingly complicated Covid-19 epidemic, the prospect of economic recovery remains uncertain. Therefore, operating monetary policy of the State Bank of Vietnam is an urgent issue. This paper gives an overall and comprehensive view of the impact of COVID-19 on inflation, banking, and production, and at the same time gives an overview and overview of our country's monetary policy so far, then proposes solutions for monetary policy in Vietnam. |
| Date: | 2022–02–09 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:2efd9&r= |
| By: | Quyen, Luu Thi Truc; Thanh, Nguyen Duc; Tâm, Ngô Mỹ; Thao, Nguyen Thu; Thao, Nguyen Thi Phuong |
| Abstract: | Monetary policy is a very important macroeconomic regulatory policy of the state in a market. Economic researchers have shown that: To have a wise monetary policy suitable for each period is always a difficult "problem" economy, contributing to the success or failure of economic development. With the characteristics of Vietnam's economy, the choice of which tools and how to use them at specific stages of the economy is always a problem that must regularly be monitored and resolved. Especially in the context of a prolonged and increasingly complicated Covid-19 epidemic, the prospect of economic recovery remains uncertain. Therefore, operating monetary policy of the State Bank of Vietnam is an urgent issue. This paper gives an overall and comprehensive view of the impact of COVID-19 on inflation, banking, and production, and at the same time gives an overview and overview of our country's monetary policy so far, then proposes solutions for monetary policy in Vietnam. |
| Date: | 2022–02–09 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:7gcxt&r= |
| By: | Wenli Li (Federal Reserve Bank of Philadelphia); Costas Meghir (Cowles Foundation, Yale University, NBER, IZA, CEPR and IFS); Florian Oswald (SciencesPo, Paris) |
| Abstract: | We specify and estimate a lifecycle model of consumption, housing demand and labor supply in an environment where individuals may file for bankruptcy or default on their mortgage. Uncertainty in the model is driven by house price shocks, education specific productivity shocks, and catastrophic consumption events, while bankruptcy is governed by the basic institutional framework in the US as implied by Chapter 7 and Chapter 13. The model is estimated using micro data on credit reports and mortgages combined with data from the American Community Survey. We use the model to understand the relative importance of the two chapters (7 and 13) for each of our two education groups that differ in both preferences and wage profiles. We also provide an evaluation of the BAPCPA reform. Our paper demonstrates importance of distributional effects of Bankruptcy policy. |
| Keywords: | Lifecycle, Bankruptcy, Housing, Mortgage Default, Labor Supply, Consumption, Education, Insurance, Moral hazard |
| JEL: | G33 K35 J22 J31 D14 D18 D52 D53 E21 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:cwl:cwldpp:2327&r= |
| By: | Bruno Feunou; Jean-Sébastien Fontaine; Ingomar Krohn |
| Abstract: | We provide a novel daily decomposition of the real exchange rate that exploits a direct link between bond and foreign exchange (FX) markets. Real exchange rate dynamics can be attributed to changes in the expected future level of the exchange rate; cross-country differentials of expected inflation, yields and bond term premia; and an FX risk premium. Through a variance decomposition exercise, we fi nd that the FX risk premium is the dominant component. Monetary policies and macroeconomic news announcements largely move the real exchange through changes in the FX risk premium. |
| Keywords: | Asset pricing; Exchange rates; International financial markets; Monetary policy transmission |
| JEL: | E43 F31 G12 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocadp:22-6&r= |
| By: | Morita, Hiroshi |
| Abstract: | Asset prices reflect expectations of future economic conditions. In this study, we use the property of asset prices, especially stock prices, to forecast the GDP growth rate in Japan. For optimal use of the rich time-series and cross-sectional information of stock prices, we combine MIDAS (mixed-data sampling) regression and factor analysis to examine which dimensions of information contribute to the accuracy of the GDP growth rate forecast. Our results show that the use of factors significantly improves forecast accuracy and that extracting factors from a broader set of stock prices further improves accuracy. This highlights the important role of cross-sectional stock market information in forecasting macroeconomic activity. |
| Keywords: | Forecasting, MIDAS regression, factor model, stock returns |
| JEL: | C22 C53 E37 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:hit:hiasdp:hias-e-118&r= |
| By: | Joshua Aizenman; Yothin Jinjarak; Mark M. Spiegel |
| Abstract: | We investigate the implications of extra-normal government spending under the COVID-19 pandemic for commercial bank lending growth between 2019Q4 and 2020Q4 in a large sample of over 3000 banks from 71 countries. We control for pre-pandemic structural factors, bank characteristics and government debt. To address the likely endogeneity of government assistance under the pandemic, we instrument for extra-normal spending using disparities in pre-existing national political characteristics for identification. Our results indicate that while higher government spending was associated with higher commercial bank lending, higher public debt going into the crisis weakened the expansionary effects of higher spending on bank lending at economically and statistically significant levels. Moreover, this sensitivity is higher among weaker banks, suggesting that bank lending responses to government spending under COVID-19 reflected the perceived implications of such spending for government assistance of the banking sector going forward. Our results are robust to a variety of sensitivity analyses, including perturbations in specification, sample, and estimation methodology. |
| Keywords: | fiscal multiplier; COVID-19; bank lending |
| JEL: | E62 F34 G21 H30 |
| Date: | 2022–02–23 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:93788&r= |
| By: | Martin Hodula; Milan Szabo; Lukas Pfeifer; Martin Melecky |
| Abstract: | This paper studies the effects of regulatory recommendations concerning maximum (i) loan-to-value (LTV), (ii) debt-to-income (DTI) and (iii) debt service-to-income ratios (DSTI) on new loans secured by residential property. It uses loan-level regulatory survey data on about 82,000 newly granted residential mortgage loans in the Czech Republic from 2016 to 2019 to estimate the average effects of the Czech National Bank's regulatory recommendations and their heterogeneous effects depending on borrower, loan, bank and regional characteristics. The studied response variables include the mortgage loan size and lending rate and the value of the property with which loans are secured. The machine learning method of causal forests is employed to estimate the effects of interest and to identify any heterogeneity and its likely drivers. We highlight two important facts: (i) value-based (LTV) and income-based (DTI and DSTI) limits have different impacts on the mortgage market and (ii) borrower, loan, bank and regional characteristics play an important role in the transmission of the recommended limits. |
| Keywords: | Borrower-based measures, causal forests, Czech Republic, macroprudential recommendations, residential mortgage loans |
| JEL: | E44 G21 G28 G51 R31 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2022/3&r= |
| By: | , Le Thanh Tung |
| Abstract: | Vietnam is an Asian emerging country, which now is ranked in the group of the fastest-gro-wing economies worldwide. However, this economy has faced galloping inflation in recent years. So the Vietnamese experience is a valuable reference for the policymakers in the developing world in order to successfully control price volatility. Our study applies the Vector autoregressive method, the Johansen cointegration test, and the Granger causality test to examine the impact of fiscal and monetary policy on price volatility in Vietnam with a quarterly data sample collected over the period from 2004 to 2018. The study results confirm the existence of a long-term cointegration relationship between these policies and price volatility in Vietnam. Besides, the variance decomposition and impulse response function also show that the impact of these policies on inflation is clear, however, the fiscal policy more strongly affects inflation than the monetary policy. Finally, the Granger causality test also indicates one-way causality relationships from the government expenditure as well as the exchange rate to price volatility in the study period. |
| Date: | 2021–06–05 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:7u56v&r= |
| By: | Loretta J. Mester |
| Abstract: | In my remarks three years ago, I characterized 2019 as a year of transition for the economy and monetary policy. At that time, economic growth was expected to transition to a more sustainable pace after above-trend growth in 2018, and we were completing a monetary policy transition that had been underway for some time: a transition away from the emergency monetary policy settings needed in the wake of the Great Recession to more normal policy. Today, we are at the start of another monetary policy transition, this time away from the extraordinary accommodation that was necessary earlier in the pandemic. I will spend my time discussing the economic rationale for the transition and the implications for monetary policy going forward. As a reminder, the views I present today will be my own and not necessarily those of the Federal Reserve System or of my colleagues on the Federal Open Market Committee. |
| Keywords: | Economy; Monetary Policy |
| Date: | 2022–02–24 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcsp:93765&r= |
| By: | Chung Tran; Sebastian Wende |
| Abstract: | A dividend imputation system is designed to address double taxation of capital income by allowing companies to pass on profit taxes paid at the corporate level to shareholders in form of franking tax credits. In this paper, we study implications of dividend imputation in a small open economy model with firm heterogeneity and an internationally integrated capital market. Our analysis indicates that dividend imputation has opposing effects on investment and capital accumulation. On one hand, it mitigates the adverse effects of double taxation and induces more saving and investment; on other hand, it raises the cost of investment for firms that are not fully imputed, which subsequently results in less investment. Moreover, different tax treatments for resident and foreign investors amplify frictions in reallocation of capital across firms, which prevents inflows of foreign capital from fully offsetting the shortage of domestic savings. International investors are not marginal investors in our small open economy setting. Overall, the net effect on capital accumulation is analytically ambiguous, depending on which force is dominant. Our quantitative results indicate that the positive force is dominant and removing dividend imputation leads to decreases in domestic savings, aggregate capital and output. Interestingly, the overall welfare effect is positive as low income households benefit more from additional government transfers, while tax burdens are shifted towards high income households and foreign investors. |
| Keywords: | Double taxation; Franking tax credit; Fiscal policy; Firm heterogeneity; Overlapping generations; Open economy; Dynamic general equilibrium; Welfare. |
| JEL: | D21 E62 H21 H22 H25 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:acb:cbeeco:2022-687&r= |
| By: | Todd E. Clark; Florian Huber; Gary Koop; Massimiliano Marcellino |
| Abstract: | The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we develop a model for inflation forecasting that is nonparametric both in the conditional mean and in the error using Gaussian and Dirichlet processes, respectively. We discuss how both these features may be important in producing accurate forecasts of inflation. In a forecasting exercise involving CPI inflation, we find that our approach has substantial benefits, both overall and in the left tail, with nonparametric modeling of the conditional mean being of particular importance. |
| Keywords: | nonparametric regression; Gaussian process; Dirichlet process mixture; inflation forecasting |
| JEL: | C11 C32 C53 |
| Date: | 2022–03–02 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:93787&r= |
| By: | Yasuo Hirose (Keio University); Hirokuni Iiboshi (Tokyo Metropolitan University); Mototsugu Shintani (The University of Tokyo); Kozo Ueda (Waseda University) |
| Abstract: | We estimate a New Keynesian model incorporating two notable features: bounded rationality and the zero lower bound on the nominal interest rate. Our Bayesian estimation of a fully nonlinear model shows that the model with bounded rationality better fits the US data than its rational expectations counterpart and that both households and firms exhibit a substantial degree of bounded rationality. Moreover, we demonstrate that bounded rationality expands a parameter region in which the model can be estimated and weakens the power of forward guidance. |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:cfi:fseres:cf535&r= |
| By: | Jordan Barone; Alain P. Chaboud; Adam Copeland; Cullen Kavoussi; Frank M. Keane; Seth Searls |
| Abstract: | As the economic disruptions associated with the COVID-19 pandemic increased in March 2020, there was a global dash-for-cash by investors. This selling pressure occurred across advanced sovereign bond markets and caused a deterioration in market functioning, leading to central bank interventions. We show that these market disruptions occurred disproportionately in the U.S. Treasury market and were due to investors’ selling pressures being far more pronounced and broad-based. Furthermore, we assess differences in key drivers of the market disruptions across sovereign bond markets, based on an analysis of the data as well as structured outreach to a range of market participants. |
| Keywords: | sovereign bond markets; financial crisis; COVID-19 |
| JEL: | G01 G12 E44 H63 |
| Date: | 2022–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:93852&r= |
| By: | Gary Koop; Stuart McIntyre; James Mitchell; Aubrey Poon |
| Abstract: | Recent decades have seen advances in using econometric methods to produce more timely and higher-frequency estimates of economic activity at the national level, enabling better tracking of the economy in real time. These advances have not generally been replicated at the sub–national level, likely because of the empirical challenges that nowcasting at a regional level presents, notably, the short time series of available data, changes in data frequency over time, and the hierarchical structure of the data. This paper develops a mixed– frequency Bayesian VAR model to address common features of the regional nowcasting context, using an application to regional productivity in the UK. We evaluate the contribution that different features of our model provide to the accuracy of point and density nowcasts, in particular the role of hierarchical aggregation constraints. We show that these aggregation constraints, imposed in stochastic form, play a key role in delivering improved regional nowcasts; they prove to be more important than adding region-specific predictors when the equivalent national data are known, but not when this aggregate is unknown. |
| Keywords: | Regional data; Mixed frequency; Nowcasting; Bayesian methods; Real-time data; Vector autoregressions |
| JEL: | C32 C53 E37 |
| Date: | 2022–03–03 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:93793&r= |
| By: | Mary C. Daly |
| Abstract: | Presentation to the Los Angeles World Affairs Council & Town Hall, Los Angeles, CA, February 23, 2022, by Mary C. Daly, President and Chief Executive Officer, Federal Reserve Bank of San Francisco. |
| Keywords: | covid19; inflation; price stability; economic conditions; transparency; monetary policy |
| Date: | 2022–02–23 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfsp:93772&r= |
| By: | Flavio M. Menezes (School of Economics, University of Queensland, Brisbane, Australia); John Quiggin (School of Economics, University of Queensland, Brisbane, Australia) |
| Abstract: | The central point of this note is that the relationship between market power and inflation depends crucially on the source of inflationary shocks. To the extent that inflation is driven by demand shocks, firms with market power are likely to respond by increasing margins, and thereby amplifying the inflationary impact of higher demand. By contrast, imperfectly competitive markets typically display only partial cost pass-through. This analysis is relevant to debates about the role of monopoly power in recent US inflation. |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:qld:uq2004:653&r= |
| By: | Linh, Nguyen Thuy |
| Abstract: | This study examines the spillovers of the Bank of Japan’s (BOJ’s) exchange-traded fund (ETF) and corporate bond (CB) purchases on bank operations and the supply of bank loans for public and private firms not subject to BOJ purchases. The results show that, first, following the introduction of the BOJ’s purchases in 2010, the total lending of highly exposed banks decreased; instead, such banks invested more in securities compared to less exposed banks. Second, evidence suggests a small but negative effect of the purchase program on bank investment and performance ratios. The decline in targeted firms’ bank loans may have intensified banking competition and encourage highly affected banks to engage more in risk-taking activities, which might adversely affect banks. Third, consistent with the increase in exposed banks’ risk-taking incentives, the impact on bank loans of public ineligible firms is shown to be insignificant, while SMEs with higher exposure to the BOJ’s program had more favorable loan terms such as larger loan amounts and lower interest rates after the policy implementation. However, this positive impact on SMEs is not strong enough to improve firms’ performance. |
| Keywords: | Unconventional monetary policy, Risk asset purchases, Risk-taking channel, Firm financing, Bank-firm relationship |
| JEL: | E52 G21 G32 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:hit:tdbcdp:e-2021-02&r= |
| By: | Aitor Erce (Navarra Public University); Enrico Mallucci (Board of Governors of the Federal Reserve System); Mattia Picarelli (ESM) |
| Abstract: | We introduce a novel database on sovereign defaults that involve public debt instruments governed by domestic law. By systematically reviewing a large number of sources, we identify 134 default and restructuring events of domestic debt instruments, in 52 countries from 1980 to 2018. Domestic-law defaults are a global phenomenon. Over time, they have become larger and more frequent than foreign-law defaults. Domestic-law debt restructurings proceed faster than foreign ones, often through extensions of maturities and amendments to the coupon structure. While face value reductions are rare, net-present-value losses for creditors are still large. Unilateral amendments and post-default restructuring are the norm but negotiated pre-default restructurings are becoming increasingly frequent. We also document that domestic-law defaults typically involve debt denominated in local currency and held by resident investors. We complement our analysis with a collection “sovereign histories", which provide the fine details about each episode. |
| Keywords: | Public debt, sovereign default, domestic law, database |
| JEL: | E62 E65 F34 G01 H12 H63 K00 K41 |
| Date: | 2022–03–10 |
| URL: | http://d.repec.org/n?u=RePEc:stm:wpaper:51&r= |
| By: | Christian Kubitza (University of Bonn, Institute of Finance and Statistics, Adenauerallee 24-42, 53113 Bonn, Germany); Nicolaus Grochola (Goethe University Frankfurt, International Center for Insurance Regulation, Germany.); Helmut Gründl (Goethe University Frankfurt, International Center for Insurance Regulation, Germany.) |
| Abstract: | Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document for the German life insurance sector. Using a calibrated model, we estimate that surrender options would force insurers to sell up to 2% of their investments during an enduring interest rate rise of 25 bps per annum. The resulting price impact depends on insurers' investment behavior. Forced asset sales are amplified by insurers' long-term investments but mitigated by reducing the guarantees on surrender values. |
| Keywords: | Life Insurance, Liquidity Risk, Interest Rates, Fire Sales, Systemic Risk |
| JEL: | G22 E52 G32 G28 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:ajk:ajkdps:154&r= |
| By: | Lucia Granelli; Matteo Brunelli |
| Abstract: | The international community acted swiftly to respond to the outbreak of the COVID-19 pandemic. In April 2020, G20 Finance Ministers and Central Bank Governors (FMCBGs) endorsed the “G20 Action Plan Supporting the Global Economy Through the COVID-19 Pandemic”. This paper compares and assesses the economic policy response to the COVID-19 crisis across all the G20 members, with a focus on the measures undertaken during the first six months after the outbreak of the pandemic. The analysis was made on the basis of the policy trackers developed by the IMF and OECD, on the mandate from the G20. The information retrieved and compiled from these sources was further augmented with information coming from other databases, reports, working documents, policy notes, and the authors’ own analytical work as appropriate. Building on the analysis developed, the paper distils a series of key take-aways on the global policy response to the COVID-19 pandemic. |
| JEL: | E02 F01 H87 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:euf:dispap:158&r= |
| By: | Loretta J. Mester |
| Abstract: | But before we get to that, since I have just returned from last week’s meeting of the Federal Open Market Committee (FOMC), the body that sets monetary policy in the U.S., I thought it would be helpful to briefly review the FOMC’s decisions and put them into context. As a reminder, the views I present today will be my own and not necessarily those of the Federal Reserve System or of my colleagues on the Federal Open Market Committee. |
| Keywords: | Monetary Policy |
| Date: | 2022–03–22 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcsp:93864&r= |
| By: | Xiaoqing An (School of Economics, Jinan University, Guangzhou city, Guangdong Province, China); William Barnett (Department of Economics, University of Kansas and Center for Financial Stability, New York City); Xue Wangd (dInstitute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu, China and Department of Economics, Emory University, Atlanta, GA, U.S.); Qingyuan Wu (School of Economics and Management, Hanshan Normal University, Chaozhou, China) |
| Abstract: | We examine the Brexit spillovers on five major EU member states and the UK through economic policy uncertainty. Cluster analysis and TVP VAR model are applied to data from five major EU member states and the UK to analyze the impacts of economic policy uncertainty (EPU) on foreign direct investment (FDI) and international trade (TRADE) during Brexit. The results show that the impacts of EPU in six economies are different at different stages of Brexit. The impulse responses of FDI are relatively large in the Netherlands and the UK, especially in the short term. Moreover, in terms of strengths, the impulse responses of FDI are generally greater than those of TRADE. At the time points related to Brexit, the EPU of the Netherlands has the greatest impacts on its FDI and TRADE, followed by the UK. Furthermore, the duration of the impact of EPU on FDI is generally greater than that of EPU on TRADE. Overall, the Brexit spillovers induced by economic policy uncertainty can be grouped into three categories considering intensity: high impact for two economies (the Netherlands and the UK); medium impact for two economies (France and Spain); and low impact for two economies (Germany and Italy). |
| Keywords: | Brexit, Economic Policy Uncertainty, Foreign Direct Investment, International Trade. |
| JEL: | E0 F1 H0 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:kan:wpaper:202208&r= |
| By: | Robert S. Chirinko (Professor, Department of Finance, University of Illinois at Chicago (E-mail: chirinko@uic.edu)); Debdulal Mallick (Associate Professor, Department of Economics, Deakin University (E-mail: dmallic@deakin.edu.au)) |
| Abstract: | We study the return on private capital across 88 countries for 1970-2014. The return on private capital has exhibited two phases, approximately constant from 1970-1990, but then rising dramatically from 1991-2014. This latter increase occurs for both Rich/Developed and Poor/ Developing countries, though at an uneven pace; the Lucas Paradox seems to have become more pronounced in recent years. Despite falling real interest rates lowering the returns on private capital, 60% of the secular rise in the returns in poor countries is explained by rising equity risk, depreciation, and markups and by the capital loss from expected decreases in the relative price of new capital. These same factors explain 163% of the secular rise in the returns of private capital in rich countries (i.e., the factors rise more than the returns). Policy implications are discussed. |
| Keywords: | Return on private capital, International capital allocations |
| JEL: | E22 F21 O10 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:ime:imedps:22-e-02&r= |
| By: | Antonio Afonso (Universidade de Lisboa); Jose Alves (Universidade de Lisboa); Joao Tovar Jalles (Universidade de Lisboa) |
| Abstract: | We assess the specific need (or its absence) of a country to implement a fiscal consolidation programme by focusing specifically on their degree of success, notably in terms of fiscal sustainability. The “need†to consolidate is based on having a primary balance above or below the debt-stabilizing primary balance (provided by the IMF’s Debt Sustainability Analysis) for each country. We then link the need for and the actual (historical) existence of fiscal adjustments to their sustainability impact. Looking at a large sample of developed and developing economics over the period 1980-2018, we find that, on average, there is a higher need of consolidations in advanced economies than in developing economies. In addition, the implementation of a fiscal consolidation program implies an improvement in the degree of public finances´ sustainability, for both advanced and developing economies. Finally, fiscal sustainability deteriorates when the need to implement a fiscal retrenchment arises. |
| Keywords: | fiscal consolidations, cyclically-adjusted primary balance, sustainability, panel data, time-varying |
| JEL: | H |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:inf:wpaper:2022.02&r= |
| By: | Schelkle, Waltraud |
| Abstract: | How does the inherent norm of integration, notably to share risks among its members in good faith, become a self-sustaining practice? I address this question generally and for a critical case of a divisive institution, i.e. the evolution of sovereign bailout funding in the Euro Area since 2010. Community building between states is a potential outcome of solidaristic practices, reinforced by positive feedback processes. Inspired by Deborah Stone’s [Stone, D. A. (1999). Beyond moral hazard: Insurance as moral opportunity. Connecticut Insurance Law Journal, 6(1), 12–46] work on insurance, I demonstrate that there are social mechanisms at play that favour the secular expansion of risk sharing between states. |
| Keywords: | crisis; Euro area; insurance; moral hazard; risk-sharing; solidarity; European Research Council under the Synergy Grant number ERC_SYG_2018 Grant no. 810356; as part of the project SOLID – Policy Crisis and Crisis Politics. Sovereignty; Solidarity and Identity in the EU post 2008. |
| JEL: | E6 |
| Date: | 2022–02–26 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:113746&r= |
| By: | Abe, Naohito; Rao, D.S. Prasada |
| Abstract: | We offer a simple alternative to the Gini-Eltetö-Köves-Szulc and Geary-Khamis methods used for international price and real expenditure comparisons. We show that the only symmetric average fixed basket price index that satisfies transitivity, country symmetry, and invariance to proportional changes in quantities is the multilateral Walsh index, a generalization of the superlative bilateral Walsh index (Diewert, 2001). Simplicity and its superior axiomatic properties, including identity and monotonicity, compared to current International Comparison Program (ICP) and Penn World Table (PWT) methods and plausibility and comparability of results based on the 2017 ICP data make the multilateral Walsh method an ideal choice. |
| Keywords: | Price comparisons, Transitivity, Proportionality, Real expenditures |
| JEL: | E31 C43 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:hit:rcesrs:dp22-1&r= |
| By: | Damir Filipović (Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute); Markus Pelger (Stanford University - Department of Management Science & Engineering); Ye Ye (Stanford University) |
| Abstract: | We introduce a robust, flexible and easy-to-implement method for estimating the yield curve from Treasury securities. This method is non-parametric and optimally learns basis functions in reproducing Hilbert spaces with an economically motivated smoothness reward. We provide a closed-form solution of our machine learning estimator as a simple kernel ridge regression, which is straightforward and fast to implement. We show in an extensive empirical study on U.S. Treasury securities, that our method strongly dominates all parametric and non-parametric benchmarks. Our method achieves substantially smaller out-of-sample yield and pricing errors, while being robust to outliers and data selection choices. We attribute the superior performance to the optimal trade-off between flexibility and smoothness, which positions our method as the new standard for yield curve estimation. |
| Keywords: | yield curve estimation, U.S. Treasury securities, term structure of interest rates, nonparametric method, machine learning in finance, reproducing kernel Hilbert space |
| JEL: | C14 C38 C55 E43 G12 |
| Date: | 2022–03 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp2224&r= |
| By: | Juan S. Mora-Sanguinetti (Banco de España); Isabel Soler (Banco de España) |
| Abstract: | El objetivo de este documento es presentar los resultados de una novedosa base de datos de regulación sectorial a nivel desagregado en España. En concreto, se han construido indicadores objetivos del volumen de nueva regulación para 23 sectores de actividad aprobada por cada comunidad autónoma, año a año a lo largo del período 1995-2020. En total, se han identificado y ordenado 206.777 normas. Los indicadores ponen de manifiesto que la regulación sectorial en España es creciente a lo largo del tiempo, pero hay diferencias relevantes tanto entre sectores como entre comunidades autónomas. Así, es más frecuente regular año a año los sectores de servicios y agrícola, frente a los industriales. A escala temporal, se observa que es más frecuente aprobar nuevas normas en los períodos recesivos. Este fenómeno se produce especialmente en 2020, en el contexto de la pandemia de COVID-19, destacando los sectores recreativos, la hostelería, el comercio y la industria textil. Estos resultados cuantitativos, que se presentan en forma de panel, abren la posibilidad de realizar en el futuro nuevos estudios sobre el impacto y la idoneidad del marco institucional (en concreto, de su pilar regulatorio) en elementos como el valor añadido sectorial, la productividad por sector o la demografía empresarial. |
| Keywords: | complejidad de la regulación, análisis sectorial, regulación por sector, volumen de regulación, fragmentación de la regulación |
| JEL: | K2 R11 E02 O43 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:2202&r= |
| By: | Christopher J. Waller |
| Date: | 2022–02–24 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgsq:93767&r= |
| By: | Menyhert, Balint (European Commission) |
| Abstract: | This paper explores the feasibility of calculating absolute poverty lines on the basis of minimum food expenditures in developed countries. It makes three important contributions. First, it demonstrates that standard statistical methods used in the developing world deliver inadequate poverty estimates in rich countries characterised by a relatively low food expenditure share. Second, it proposes a new simulation-based inverse method that focuses on the non-food Engel curve and uses available food reference budgets not as inputs but as targeted reference points for the calculations. Finally, an empirical application of the new method using household budget survey data from Italy shows that resulting poverty estimates are in line with the official figures of the Italian Statistical Office in terms of both the poverty rate and the poverty profiles. The proposed method is therefore well suited to produce robust and consistent absolute poverty measures in a large number of developed countries. |
| Keywords: | absolute poverty measurement, household expenditures, statistical modeling |
| JEL: | C10 C63 D12 E20 G50 I32 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:jrs:wpaper:202104&r= |
| By: | BAGDE, RAKSHIT MADAN (Late. Mansaramji Padole Arts College, Ganeshpur, Bhandara) |
| Abstract: | Although the share of industry in GDP remained stable, it underwent significant fundamental changes. During this period, as a process of product restructuring, when a gross value was adjusted, production increased at current prices by 8 percent per annum. Then in 2004-09, the GDP growth rate increased to 20%. At the same prices, the annual but significant increase in employment was also 7.5 percent per annum. The work participation rate was 39.2 percent in 2009-10. Of these, 53 percent were in agriculture and the remaining 47 percent were in non-agricultural sectors. For the first time in the late 2000s, the number of perfect workers in the agricultural sector decreased. Unemployment in the economy as a whole has come down from 8.3 percent in 2004-05 to 6.6 percent in 2009-10. We can say that the Indian economy has performed well since 1991 but now the Indian economy is going through another turbulent period. The growth rate of the Indian economy has been slowing down since 2014. In addition to this, Kovid 19 has spread its legs in India and has slowed down the growth rate. The research paper will conclude the study of the Indian economy from 2014 to 2020, as well as three economic sectors. |
| Date: | 2021–08–25 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:cqzyu&r= |
| By: | Grant, Allan; Figus, Gioele; Schubert, Torben |
| Abstract: | Estimating the economic returns to public science investments has been a key topic in economics. However, while in particular microeconomic approaches have been proposed, only a few studies have tried estimating the macroeconomic effects of public science investments. In this paper, we propose a micro-rooted macro-modelling framework, which combines the strength of an econo-metric causal identification of key effects with the power of a Computable General Equilibrium (CGE) framework, and provides additional economic structure of the estimates allowing us a fine-grained sectoral differentiation of all effects. Applying our approach to the German Fraunhofer-Gesellschaft, the world's largest publicly funded organization for applied research, we show that macroeconomic returns are - irrespective of econometric specification - a high multitude of the original investment costs. In specific, the activities by the Fraunhofer-Gesellschaft increase German GDP by 1.6% and employment by 437,000 jobs. Our CGE analysis further shows that the effects concentrate in chem-icals, pharmaceuticals, motor vehicles and machinery sectors. The substantial size of our estimated effects corroborate recent macroeconomic evidence on the social returns to innovation. |
| Keywords: | macroeconomic Effects of public Research,Fraunhofer-Gesellschaft,Regression-microfounded CGE-model |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:fisidp:72&r= |
| By: | Müller, Henrik; Schmidt, Tobias; Rieger, Jonas; Hufnagel, Lena Marie; Hornig, Nico |
| Abstract: | In this paper, we present a new indicator to measure the media coverage of inflation. Our Inflation Perception Indicator (IPI) for Germany is based on a corpus of three million articles published by broadsheet newspapers between January 2001 and February 2022. It is designed to detect thematic trends, thereby providing new insights into the dynamics of inflation perception over time. These results may prove particularly valuable at the current juncture, where massive uncertainty prevails due to geopolitical conflicts and the pandemic-related supply-chain jitters. Economists inspired by Shiller (2017; 2020) have called for analyses of economic narratives to complement econometric analyses. The IPI operationalizes such an approach by isolating inflation narratives circulating in the media. Methodically, the IPI makes use of RollingLDA (Rieger et al. 2021), a dynamic topic modeling approach refining the rather static original LDA (Blei et al. 2003) to allow for changes in the model's structure over time. By modeling the process of collective memory, where experiences of the past are partly overwritten and altered by new ones and partly sink into oblivion, RollingLDA is a potent tool to capture the evolution of economic narratives as social phenomena. In addition, it is suitable to produce stable time-series, to the effect that the IPI can be updated frequently. Our initial results show a narrative landscape in turmoil. Never in the past two decades has there been such a broad shift in inflation perception, and therefore, possibly, in inflation expectations. Also, second-round effects, such as significant wage demands, that have not played a major role in Germany for a long time, seem to be in the making. Towards the end of the time horizon, raw material prices are high on the agenda, too, triggered by the Russian war against Ukraine and the ensuing sanctions against the aggressor. We would like to encourage researchers to use our data and are happy to share it on request. |
| Keywords: | Inflation,Expectations,Narratives,Latent Dirichlet Allocation,Covid-19,Text Mining,Computational Methods,Behavioral Economics |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:docmaw:9&r= |
| By: | Gennaro Zezza; Dimitri B. Papadimitriou; Nikolaos Rodousakis |
| Abstract: | In 2020, the Hellenic Statistical Authority (ElStat) started a revision of the national accounts for Greece to bring them into line with the new European System of Accounts. Data from national accounts have gained more relevance as a crucial set of information for policy, especially in the eurozone, since many indicators--like the size of the public deficit relative to GDP--depend on them. It is therefore crucial that these data provide a realistic description of the actual state of the economy. Models that aim at understanding the medium-term trajectory of an economy usually need to abstract from short-term volatility due to the seasonal behavior of some variables, and it is therefore common practice to use seasonally adjusted data rather than the observed seasonal data. Research Scholar Gennaro Zezza, Institute President Dimitri Papadimitriou, and Research Associate Nikos Rodousakis recently noticed that the dynamics of relative prices, as measured by the ratios between the deflators of the different seasonally adjusted components of GDP, had an excess volatility, which made it more difficult to obtain meaningful econometric estimates of their determinants. They have therefore decided to investigate whether this excess volatility could be observed in the original seasonal data, and this note documents their results. |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:lev:levypn:22-1&r= |
| By: | Zieba, Marta; , Thi-Kieu-Trang; Mbugua, Rahab Njeri |
| Abstract: | The question around factors affecting economic growth in developing nations is widely debated as it influences the policies to promote economic welfare. This paper, therefore, determines the factors influencing economic growth in developing countries. By estimating a fixed-effect model with a panel dataset for 62 developing countries from 2010 to 2018, the study found that government spending and natural resource rents have a favourable impact on per capita GDP growth. In contrast, rising labour force participation and inflation stifle economic growth in these countries. |
| Date: | 2022–02–13 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:jm7h4&r= |