nep-mac New Economics Papers
on Macroeconomics
Issue of 2022‒07‒11
95 papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Business Management

  1. Would households understand average inflation targeting? By Hoffmann, Mathias; Pavlova, Lora; Mönch, Emanuel; Schultefrankenfeld, Guido
  2. The Empirical Performance of Financial Frictions since 2008 By Gregor Boehl; Felix Strobel
  3. Macroeconomic Effects of Capital Tax Rate Changes By Saroj Bhattarai; Jae Won Lee; Woong Yong Park; Choongryul Yang
  4. Search Complementarities, Aggregate Fluctuations,and Fiscal Policy By Jesus Fernandez-Villaverde; Federico Mandelman; Yang Yu; Francesco Zanetti
  5. Central Banks and Climate Policy: Unpleasant Trade–Offs? A Principal–Agent Approach By Donato Masciandaro; Riccardo Russo
  6. Who Killed the Phillips Curve? A Murder Mystery By David Ratner; Jae W. Sim
  7. Chile: Proposal for an Arrangement Under the Short-Term Liquidity Line-Press Release; Staff Report; and Statement by the Executive Director for Chile By International Monetary Fund
  8. Fiscal Rules and Procyclical Fiscal Policy in Russia By Ablaev Emil; Magzhanov Timur
  9. The Anatomy of Single-Digit Inflation in the 1960s By Jeremy B. Rudd
  10. Quarterly GDP Estimates for the German States By Robert Lehmann; Ida Wikman
  11. Latin American Falls, Rebounds and Tail By Luciano Campos; Danilo Leiva-León; Steven Zapata
  12. Narratives about the Macroeconomy By Peter Andre; Ingar Haaland; Christopher Roth; Johannes Wohlfart
  13. Unconventional credit policy in an economy under zero lower bound By Jorge Pozo; Youel Rojas
  14. Uncovering Heterogeneous Regional Impacts of Chinese Monetary Policy By Tsang, Andrew
  15. Potential Output Pessimism and Austerity in the European Union By Pei Kuang; Kaushik Mitra
  16. Impacto de corto y mediano plazo del COVID-19 en la economía dominicana: un análisis de oferta y demanda agregada By Cruz-Rodriguez, Alexis
  17. Rational housing demand bubble By Lise Clain-Chamosset-Yvrard; Xavier Raurich; Thomas Seegmuller
  18. Bosnia and Herzegovina: 2022 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Bosnia and Herzegovina By International Monetary Fund
  19. La dolarización como política monetaria en el ecuador: Un enfoque desde los años 1998 hasta 2000. By Barragán, Jonathan; Anda, María; Molina, Eduardo; Solís, Andrea
  20. Ciclos económicos, inversión y rentabilidad del capital en Colombia: un análisis de series de tiempo By Duque Garcia, Carlos Alberto
  21. Political Shocks and Inflation Expectations: Evidence from the 2022 Russian Invasion of Ukraine By Lena Dräger; Klaus Gründler; Niklas Potrafke
  22. Luxembourg: 2022 Article IV Consultation-Press Release; and Staff Report for Luxembourg By International Monetary Fund
  23. Exchange rate pass-through to Inflation: Symmetric and Asymmetric Effects of Monetary Environment in Nigeria By Tiamiyu, Kehinde A.
  24. Consumption Response Heterogeneity and Dynamics with an Inattention Region By Jérémy Boccanfuso
  25. Cyprus: 2022 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Cyprus By International Monetary Fund
  26. Macroeconomic Policy Formulation: The Driver of Economic Welfare in Ghana By Alnaa, Samuel Erasmus; Matey, Juabin
  27. Bullard Discusses Inflation and His Views on the Policy Rate with Yahoo Finance By James B. Bullard
  28. Bhutan: 2022 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Bhutan By International Monetary Fund
  29. Forecasting Bitcoin price direction with random forests: How important are interest rates, inflation, and market volatility? By Syed Abul, Basher; Perry, Sadorsky
  30. Is the Fed ‘Behind the Curve’? Two Interpretations (How Monetary Policy Got Behind the Curve and How to Get Back) By James B. Bullard
  31. Novi indikatori kreditnog jaza u Hrvatskoj: unapređenje kalibracije protucikličkog zaštitnog sloja kapitala By Tihana Škrinjarić; Maja Bukovšak
  32. Are Fiscal Consolidation Episodes Helpful for Public Sector Efficiency? By António Afonso; José Alves
  33. The Demand for Money, Near-Money, and Treasury Bonds By Arvind Krishnamurthy; Wenhao Li
  34. What is the Effect of Domestic Demand Shocks on Inflation in a Small Open Economy? Chile 2000-2021 By Ramon Lopez; Kevin Sepulveda
  35. The First Steps toward Disinflation By James B. Bullard
  36. Housing Demand and Remote Work By John A. Mondragon; Johannes Wieland
  37. Human Capital Growth - with Region and Gender in Perspective By Gang Liu; Barbara M. Fraumeni; Shunsuke Managi
  38. Skill Heterogeneity and Aggregate Labor Market Dynamics By John R. Grigsby
  39. Peru: Request for an Arrangement Under the Flexible Credit Line and Cancellation of the Current Arrangement-Press Release; Staff Report; and Statement by the Executive Director for Peru By International Monetary Fund
  40. Somalia: Request for an Extension of the Arrangement Under the Extended Credit Facility-Press Release; and Staff Report By International Monetary Fund
  41. Heterogeneous Effects and Spillovers of Macroprudential Policy in an Agent-Based Model of the UK Housing Market By Farmer, J. Doyne; Carro, Adrian; Hinterschweiger, Marc; Uluc, Arzu
  42. Kantian optimization with quasi-hyperbolic discounting By Borissov, Kirill; Pakhnin, Mikhail; Wendner, Ronald
  43. Krise und Unsicherheit: IW-Konjunkturprognose Frühjahr 2022 By Bardt, Hubertus; Beznoska, Martin; Demary, Markus; Grömling, Michael; Hüther, Michael; Obst, Thomas; Pimpertz, Jochen; Schaefer, Thilo; Schäfer, Holger
  44. Financial deepening and stock market development in Nigeria: evidence from recent data (1981-2019) By Tiamiyu, Kehinde A.
  45. Colombia: Financial Sector Assessment Program-Technical Note on Macroprudential Framework Policy and Tools Macroprudential Framework Policy and Tools By International Monetary Fund
  46. Philippines: Financial Sector Assessment Program-Technical Note on Macroprudential Policy Framework and Tools By International Monetary Fund
  47. Peru: 2022 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Peru By International Monetary Fund
  48. Do Investors Care About Consumption Taxes? Evidence from Equities in Advanced and Emerging Economies By Hayley Pallan
  49. Developing Asia’s Fiscal Landscape and Challenges By Go, Eugenia; Hill, Sam; Jaber, Maria Hanna; Jinjarak, Yothin; Park, Donghyun; Ragos, Anton
  50. Predictable Forecast Errors in Full-Information Rational Expectations Models with Regime Shifts By Hajdini, Ina; Kurmann, Andre
  51. Public and private risk sharing: friends or foes? The interplay between different forms of risk sharing By Giovannini, Alessandro; Ioannou, Demosthenes; Stracca, Livio
  52. Will the U.S. Dollar Continue to Dominate World Trade? By Mary Amiti; Oleg Itskhoki; Jozef Konings
  53. Environmental Subsidies to Mitigate Transition Risk By Eric Jondeau; Gregory Levieuge; Jean-Guillaume Sahuc; Gauthier Vermandel
  54. DLT-based enhancement of cross-border payment efficiency - a legal and regulatory perspective By Dirk Zetzsche; Linn Anker-Sørensen; Maria Lucia Passador; Andreas Wehrli
  55. Getting Ahead of U.S. Inflation By James B. Bullard
  56. Measuring the Volume of Services Industries Output: An Audit of Services Producer Price Indices By Lea Samek; Mary O'Mahony
  57. Credit market concentration and systemic risk in Europe By Merike Kukk; Alari Paulus; Nicolas Reigl
  58. Financial-market volatility prediction with multiplicative Markov-switching MIDAS components By Bjoern Schulte-Tillman; Mawuli Segnon; Bernd Wilfling
  59. A shot in the arm: stimulus packages and firm performance during Covid-19 By Deniz Igan; Ali Mirzaei; Tomoe Moore
  60. The Lightning Network: Turning Bitcoin into Money By Anantha Divakaruni; Peter Zimmerman
  61. Causality between Domestic Investment and Economic Growth in Arab Countries By Bakari, Sayef; El Weriemmi, Malek
  62. Price Theory for Incomplete Markets By Emmanuel Farhi; Alan Olivi; Iván Werning
  63. Why is productivity slowing down? By Lafond, François; Goldin, Ian; Koutroumpis, Pantelis; Winkler, Julian
  64. Criptomonedas: ¿beneficio o maleficio para los ecuatorianos? By Barragán-Tandapilco, Jonathan Xavier
  65. An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates By George Kapetanios; Fotis Papailias
  66. A Quality Assessment Framework for Maintaining & Publishing New Indicators By George Kapetanios; Fotis Papailias
  67. Quantile Debt Fan Charts By Dagli , Suzette; Mariano, Paul; Salvanera, Arjan Paulo
  68. Vladimir vs. the virus - a tale of two shocks: An update of our Uncertainty Perception Indicator (UPI) to April 2022 - a research note By Müller, Henrik; Rieger, Jonas; Hornig, Nico
  69. Pressure is high - and rising: The Inflation Perception Indicator (IPI) to 30 April 2022 - a research note analysis By Müller, Henrik; Rieger, Jonas; Schmidt, Tobias; Hornig, Nico
  70. Applying Machine Learning to Detect Outliers in Alternative Data Sources. A universal methodology framework for scanner and web-scraped data sources By Xuxin Mao; Janine Boshoff; Garry Young; Hande Kucuk
  71. Real Time Indicators During the COVID-19 Pandemic Individual Predictors & Selection By George Kapetanios; Fotis Papailias
  72. Colombia: Financial Sector Assessment Program-Technical Note on Risk Analysis By International Monetary Fund
  73. Building regional payment areas: the Single Rule Book approach By Douglas Arner; Ross Buckley; Thomas Lammer; Dirk Zetzsche; Sangita Gazi
  74. The Forecasting performance of the Factor model with Martingale Difference errors By Alessandro Giovannelli; Luca Mattia Rolla
  75. Banking in the shadow of Bitcoin? The institutional adoption of cryptocurrencies By Raphael Auer; Marc Farag; Ulf Lewrick; Lovrenc Orazem; Markus Zoss
  76. Georgia: Technical Assistance Report-Updating the Balance Sheet and Quantifying Fiscal Risks From Climate Change By International Monetary Fund
  77. Albania: Technical Assistance Report-Medium-Term Revenue Strategy: Revenue Administration Reform Options By International Monetary Fund
  78. Redistribution Policy and Social Welfare: A View from Macroeconomics By Carlos Esteban Posada
  79. Montenegro: Technical Assistance Report - Public Investment Management Assessment By International Monetary Fund
  80. Median Labor Income in Chile Revised: Insights from Distributional National Accounts By Jose De Gregorio; Manuel Taboada
  81. The world uncertainty index By Hites Ahir; Nicholas Bloom; Davide Furceri
  82. Fiscal equalisation in Brazil, Canada and Australia By Constantino Cronemberger Mendes
  83. Regulatory interventions in consumer financial markets: the case of credit cards By Galenianos, Manolis; Gavazza, Alessandro
  84. Boom-bust cycles and asset market participation waves: Momentum, value, risk and herding By Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank H.
  85. Asignación, distribución y uso de los ingresos fiscales derivados de la explotación minera en Chile: un análisis de sus efectos económicos y sociales By Muinelo-Gallo, Leonel
  86. Equalização fiscal no Brasil, Canadá e Austrália By Constantino Cronemberger Mendes
  87. Suriname: Technical Assistance Report on Government Finance Statistics Mission (December 6-17, 2021) By International Monetary Fund
  88. Bitcoin Price Factors: Natural Language Processing Approach By Oksana Bashchenko
  89. Local Shocks and Internal Migration: The Disparate Effects of Robots and Chinese Imports in the US By Marius Faber; Andrés P. Sarto; Marco Tabellini
  90. Philippines: Financial Sector Assessment Program-Technical Note on Risk Assessment of Banks, Non-Financial Corporates, and Macro-Financial Linkages By International Monetary Fund
  91. Stochastic Disease Spreading and Containment Policies under State-Dependent Probabilities. By La Torre, Davide; Marsiglio,Simone; Mendivil,Franklin; Privileggi, Fabio
  92. Fiscal equalisation in Brazil, Canada and Australia: The case of states or provinces By Constantino Cronemberger Mendes
  93. Broken windows policing and crime: Evidence from 80 Colombian cities By Daniel Mejía; Ervyn Norza; Santiago Tobón; Martín Vanegas-Arias
  94. El saldo estructural de las Comunidades Autónomas, 2020-2021 By Manuel Díaz; Carmen Marín; Diego Martínez
  95. 국제사회의 부동산 보유세 논의 방향과 거시경제적 영향 분석 (The Policy Direction of International Organizations on Immovable Property Tax and Its Impact on the Macro Economy) By Jeong, Young Sik; Kang, Eunjung; Lee, Jinhee; Kim, Kyunghun; Kim, Jeehye

  1. By: Hoffmann, Mathias; Pavlova, Lora; Mönch, Emanuel; Schultefrankenfeld, Guido
    Abstract: Yes, they would. In a randomized control trial, we provide groups of respondents from the Bundesbank Online Panel Households with information about a hypothetical alternative ECB monetary policy regime akin to the Federal Reserve's flexible average inflation targeting (AIT). Inflation expectations significantly increase for the treated individuals. When provided with additional information about near-term inflation, individuals update their expected inflation path in line with the central banks' intentions. This is particularly true for individuals with high trust in the ECB. We assess the economic significance of our findings by comparing two model economies under different monetary policy strategies, calibrated to match the difference in medium-term inflation expectations from our survey results. Under AIT, inflation is substantially less volatile and the frequency of hitting the lower bound on interest rates is considerably reduced.
    Keywords: Monetary Policy Strategy,Household Inflation Expectations,Randomized Control Trial,Survey Data
    JEL: F33 E31 E32
    Date: 2022
  2. By: Gregor Boehl; Felix Strobel
    Abstract: We use nonlinear Bayesian methods to evaluate the performance of financial frictions `a la Bernanke et al. (1999) during and after the Global Financial Crisis. We find that, despite the attention received in the literature, including these frictions in the canonical medium-scale DSGE model does not improve the model’s ability to explain macroeconomic dynamics in the US during the Great Recession. The reason is that in the estimated model with financial frictions, the firms’ leverage declines in response to the post-2008 collapse of investment, which in turn implies a narrowing of the credit spread. Hence, the estimated model predicts financial decelerator effects. Associated financial shocks play only a minor role for macroeconomic dynamics. Our estimates account for the binding effective lower bound on nominal interest rates, and confirm our findings independently for US and euro area data.
    Keywords: Financial Frictions, Great Recession, Business Cycles, Effective Lower Bound, Nonlinear Bayesian Estimation
    JEL: C11 C63 E31 E32 E44
    Date: 2022–06
  3. By: Saroj Bhattarai; Jae Won Lee; Woong Yong Park; Choongryul Yang
    Abstract: We study aggregate, distributional, and welfare effects of a permanent reduction in the capital tax rate in a quantitative model with capital-skill complementarity and household heterogeneity. Such a tax reform leads to expansionary long-run aggregate output and investment effects, but those are coupled with increases in wage, consumption, and income inequality. The tax reform is not self-financing and its effects depend crucially on whether the government cuts lump-sum transfers or raises distortionary labor or consumption tax rates for financing. The former results in a larger aggregate expansion, but at the expense of a greater rise in inequality. As a result, the latter is relatively more beneficial for unskilled households. We find that the tax reform, when the consumption tax rate adjusts, leads to a Pareto improvement in terms of life-time welfare. For transition dynamics, monetary policy, in addition to the fiscal adjustments, matters. In particular, if monetary policy inflates away a portion of the public debt, the economy can avoid the short-run contraction that would arise otherwise.
    Keywords: Capital tax rate; Distortionary financing; Capital-skill complementarity; Inequality; Welfare implications
    JEL: E62 E63 E52 E58 E31
    Date: 2022–05–20
  4. By: Jesus Fernandez-Villaverde; Federico Mandelman; Yang Yu; Francesco Zanetti
    Abstract: We document five novel facts about the role of search effort in forming trading relationships among firms by combining a variety of micro and macro datasets. These facts strongly suggest the presence of search complementarities. To study the implications of these facts for aggregate fluctuations, we build a dynamic general equilibrium model, disciplined by our new firm-level evidence on search effort. The model matches key aspects of the macro and micro data that have remained unaccounted for by standard models, including the time-varying bimodal distribution of output and the strong, nonlinear propagation of shocks. Also, changes to the volatility of shocks have nonlinear effects on macroeconomic fluctuations that advance a novel interpretation of the Great Moderation. Finally, we provide a new account of the state-dependent effects of fiscal policy.
    Keywords: Search complementarities, aggregate fluctuations, macroeconomic volatility, government spending.
    JEL: C63 C68 E32 E37 E44 G12
    Date: 2022–05
  5. By: Donato Masciandaro; Riccardo Russo
    Abstract: This paper focuses on the trade–offs that central banks would face if they were to start tackling climate change. Disruptive natural events can hamper growth and capital accumulation, thereby affecting price and financial stability – elements for which central banks are responsible. Yet, the array of instruments they could use to mitigate climate–related risks overlap with those already used in relation to their monetary and macroprudential mandates. By leveraging a principal–agent setting, we consider the conditions under which the central bank architecture would be fit to take on this objective without jeopardising the attainment of central banks’ core mandates. We also examine the corresponding effects in terms of climate risks. Our results show that central banks’ effectiveness in this regard depends on the degree of their independence from governments’ climate preferences and on their ability to calibrate their “green” easing, either monetary and/or regulatory, on the realised level of abatement and emissions.
    Keywords: monetary policy, macroprudential policy, fiscal policy, climate change, delegation, independence
    JEL: D02 E52 E58 E61 E63
    Date: 2022
  6. By: David Ratner; Jae W. Sim
    Abstract: Is the Phillips curve dead? If so, who killed it? Conventional wisdom has it that the sound monetary policy since the 1980s not only conquered the Great Inflation, but also buried the Phillips curve itself. This paper provides an alternative explanation: labor market policies that have eroded worker bargaining power might have been the source of the demise of the Phillips curve. We develop what we call the "Kaleckian Phillips curve", the slope of which is determined by the bargaining power of trade unions. We show that a nearly 90 percent reduction in inflation volatility is possible even without any changes in monetary policy when the economy transitions from equal shares of power between workers and firms to a new balance in which firms dominate. In addition, we show that the decline of trade union power reduces the share of monopoly rents appropriated by workers, and thus helps explain the secular decline of labor share, and the rise of profit share. We provide time series and cross sectional evidence.
    Keywords: Bargaining power; Profits; Inflation dynamics
    JEL: E31 E32 E52
    Date: 2022–05–20
  7. By: International Monetary Fund
    Abstract: The Chilean economy has rapidly recovered from the fallout of the Covid-19 pandemic, thanks to an impressive vaccination campaign and effective policy support. The authorities will continue leveraging on Chile’s very strong fundamentals and policy frameworks to safeguard the recovery, preserve macroeconomic stability, and boost inclusive and green growth.
    Keywords: policy rate corridor; inflation expectation; corridor of the March monetary policy report; SLL arrangement; SLL policy; COVID-19; Inflation; Global
    Date: 2022–05–24
  8. By: Ablaev Emil (Department of Economics, Lomonosov Moscow State University); Magzhanov Timur (Department of Economics, Lomonosov Moscow State University)
    Abstract: This article examines the role of fiscal rules in the problem of procyclical fiscal policy. The authors analyze the relationship between fiscal rules and the procyclical nature of federal budget expenditures in Russia in the period from 2003 to 2020. In the course of the work, various specifications of ARDL models were built and evaluated on the basis of quarterly data. The authors show the positive relationship between the fiscal rules and the procyclicality of fiscal policy in Russia. During the periods of functioning of the fiscal rules, federal budget expenditures were, on average, procyclical in relation to the phase of the business cycle. The temporary suspension or cancellation of fiscal rules was associated with an increase in the countercyclicality of federal budget expenditures. The authors conclude that fiscal rules, which aimed at smoothing mainly oil and gas revenues, are incapable of ensuring the implementation of countercyclical fiscal policy in Russia.
    Keywords: fiscal rules in Russia; procyclical fiscal policy; quarterly data.
    JEL: E37 E62 H50
    Date: 2022–03
  9. By: Jeremy B. Rudd
    Abstract: Recently, the experience of the 1960s—when the U.S. inflation rate rose rapidly and persistently over a comparatively short period—has been invoked as a cautionary tale for the present. An analysis of this period indicates that the inflation regime that prevailed in the 1960s was different in several key regards from the one that prevailed on the eve of the pandemic. Hence, there are few useable lessons to be drawn from this experience, save that monetary policymaking remains a difficult undertaking.
    Keywords: Great Inflation; Martin Fed; Volcker disinflation; Inflation dynamics
    JEL: E52 N12 E31
    Date: 2022–05–20
  10. By: Robert Lehmann; Ida Wikman
    Abstract: To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2020, thereby improving the regional database in Germany. The new data set will regularly be updated when quarterly economic growth for Germany becomes available. We use the new data for an in-depth business cycle analysis and find large heterogeneities in the duration and amplitudes of state-specific business cycles as well as in the degrees of cyclical concordance.
    Keywords: Regional economic activity, mixed-frequency vectorautoregression, concordance, regional business cycles, Bayesian methods
    JEL: C32 C53 E32 R11
    Date: 2022
  11. By: Luciano Campos (Universidad de Alcalá); Danilo Leiva-León (Banco de España); Steven Zapata (Banco de la República)
    Abstract: This paper proposes comprehensive measures of the Latin American business cycle that help to infer the expected deepness of recessions, and strength of expansions, asthey unfold in real time. These measures are based on the largest country economies in the region by accounting for intrinsic features of real activity, such as comovement,nonlinearities, asymmetries, and are also robust to unprecedented shocks, like the COVID-19 pandemics. The proposed measures provide timely updates on (i) inferences on the state of the regional economy, (ii) the underlying momentum embedded in short-term fluctuations of real activity, and (iii) the quantification of macroeconomic tail risks. We evaluate as well the time-varying effects of U.S. financial conditions on the Latin American economy by employing the proposed measures, and identify periods of persistent international spillovers.
    Keywords: Business Cycles, Factor Model, Nonlinear, Latin America
    JEL: E32 C22 E27
    Date: 2022–05
  12. By: Peter Andre; Ingar Haaland; Christopher Roth; Johannes Wohlfart
    Abstract: We provide evidence on narratives about the macroeconomy—the stories people tell to explain macroeconomic phenomena—in the context of a historic surge in inflation. We measure economic narratives in open-ended survey responses and represent them as Directed Acyclic Graphs. We apply this approach in surveys with more than 8,000 US households and 100 academic experts. We document three main findings. First, compared to experts, households’ narratives are coarser, focus less on the demand side, and are more likely to feature politically-loaded explanations. Second, households’ narratives strongly shape their inflation expectations, which we demonstrate with descriptive survey data and a series of experiments. Third, an experiment varying news consumption shows that the media is an important source of narratives. Our findings demonstrate the relevance of narratives for understanding macroeconomic expectation formation.
    Keywords: Narratives, Expectation Formation, Causal Reasoning, Inflation, Media, Attention.
    JEL: D83 D84 E31 E52 E71
    Date: 2022–05
  13. By: Jorge Pozo; Youel Rojas
    Abstract: In this paper we develop a simple two-period model that reconciles credit demand and supply frictions. In this stylized but realistic model credit and deposit markets are interlinked and credit demand and credit supply frictions amplify each other in such a way that produces in equilibrium inefficiently low levels of credit and stronger reductions of the real and nominal interest rates, so an economy is much closer to the ZLB. However, an unconventional credit policy, that consists on central bank liquidity injection to banks provided they commit to issue loans (indirect central bank loans) that are guaranteed by the government, can undo partially the effects of the credit frictions and prevents the economy from reaching the ZLB. Since indirect central bank (CB) loans cannot be diverted by banks and are governmentguaranteed, credit market interventions rise aggregate credit supply and positively affect the aggregate credit demand, respectively. However, once the economy is at the ZLB the effect of a credit policy is reduced due to a relatively stronger inflation reduction, which in turn reduces entrepreneurs' incentives to demand bank loans, and due to that the relative cost reduction from having access to cheaper indirect CB loans is smaller.
    Keywords: unconventional credit policy, asymmetric information, moral hazard, zero lower bound
    JEL: E44 E5 G21 G28
    Date: 2022–05
  14. By: Tsang, Andrew
    Abstract: This paper applies causal machine learning methods to analyze the heterogeneous regional impacts of monetary policy in China. The method uncovers the heterogeneous regional impacts of different monetary policy stances on the provincial figures for real GDP growth, CPI inflation and loan growth compared to the national averages. The varying effects of expansionary and contractionary monetary policy phases on Chinese provinces are highlighted and explained. Subsequently, applying interpretable machine learning, the empirical results show that the credit channel is the main channel affecting the regional impacts of monetary policy. An imminent conclusion of the uneven provincial responses to the "one size fits all" monetary policy is that different policymakers should coordinate their efforts to search for the optimal fiscal and monetary policy mix.
    Keywords: China,monetary policy,regional heterogeneity,machine learning,shadow banking
    JEL: E52 C54 R11 E61
    Date: 2021
  15. By: Pei Kuang (University of Birmingham); Kaushik Mitra (University of Birmingham)
    Abstract: The paper develops a business cycle model with policymakers’ learning about potential output to analyze the implications of mis-measuring cyclically-adjusted budget balance (CAB) for fiscal response and the macroeconomy in the European recession after the global financial crisis. The initial recession led to over-pessimism of potential output and structural balance triggering fiscal austerity. The austerity caused further recession, which reinforced potential output and CAB pessimism, requiring continued austerity. Mutual reinforcement between pessimism and austerity contributed to the prolonged recession. The model replicates new evidence on revisions to potential output estimates and the relation between fiscal consolidation and policymakers’ beliefs.
    Keywords: Structural fiscal balance, learning, debt brake, pessimism, potential output
    JEL: E62 D84
    Date: 2022–01
  16. By: Cruz-Rodriguez, Alexis
    Abstract: The objective of this article is to illustrate the economic impact of the COVID-19 pandemic on the Dominican economy. To do this, an OA and DA model is developed for the medium term, and an IS-RM model for the short term, within the framework of the new Keynesian economy with monetary policy following a Taylor rule; the money supply is a Phillips curve. The analysis indicates that both in the short and medium term the impact of the coronavirus translates into losses in the level of production, higher levels of unemployment and depreciation of the real exchange rate. The expectations of consumers and entrepreneurs play an important role.
    Keywords: COVID-19, growth, inflation, aggregate demand, aggregate supply
    JEL: E20 E23 F4 O4
    Date: 2021–04
  17. By: Lise Clain-Chamosset-Yvrard (Univ. Lyon, Université Lumière Lyon 2, GATE UMR 5824, F-69130 Ecully, France); Xavier Raurich (Departament d'Economia and CREB, Universitat de Barcelona); Thomas Seegmuller (Aix-Marseille Univ., CNRS, AMSE, Marseille France. 5 Boulevard Maurice Bourdet CS 50498 F-13205 Marseille cedex 1, France)
    Abstract: We provide a unified framework with demand for housing over the life cycle and financial frictions to analyze the existence and macroeconomic effects of rational housing bubbles. We distinguish a housing price bubble, defined as the difference between the housing market price and its fundamental value, from a housing demand bubble, which corresponds to a situation where a pure speculative housing demand exists. In an overlapping generation exchange economy, we show that no housing price bubble occurs. However, a housing demand bubble may occur, generating a boom in housing prices and a drop in the interest rate, when households face a binding borrowing constraint. Multiplicity of steady states and endogenous fluctuations can occur when credit market imperfections are moderate. These fluctuations involve transitions between equilibria with and without a housing demand bubble that generate large fluctuations in housing prices consistent with observed patterns. We finally extend the basic framework to a production economy and we show that a housing demand bubble increases the housing price, housing price to income ratio and economic growth.
    Keywords: Bubble; Housing; Self-fulfilling fluctuations
    JEL: E32 E44 R21
    Date: 2022
  18. By: International Monetary Fund
    Abstract: Bosnia and Herzegovina (BiH) is facing considerable challenges just as it has rebounded from the Covid-19 pandemic. Spillovers from the war in Ukraine are fueling inflation and weighing on domestic spending and external demand, while domestic political tensions are hampering economic policies and reforms.
    Date: 2022–06–09
  19. By: Barragán, Jonathan; Anda, María; Molina, Eduardo; Solís, Andrea
    Abstract: The article summarises the main reasons that led Ecuador to opt for dollarization, which enabled the country to overcome and reduce the economic crisis that it was experiencing between 1998 and 2000. It analyses the consequences on the economy after the adoption of the dollar and some of the variations that have occurred during the period of adoption of the current currency. It also analyses the changes that have occurred in macroeconomic indicators, and the causes and consequences that led Ecuador to dollarization
    Keywords: Dollarization, GDP, Inflation, Monetary policy, Macroeconomics
    JEL: A30 E0 H30 N46 P0 P5
    Date: 2021–09–14
  20. By: Duque Garcia, Carlos Alberto
    Abstract: The objective of this paper is to identify the average cycles of the Colombian economy between 1967-2019 and to evaluate, through a time series analysis, investment, average rate of profit and mass of profits as their determinants. Our analytical framework is based on Marx's economic theory where the profitability of capital determines investment and, consequently, the dynamics of output. From the cyclical deviations of real GDP, estimated with the Hodrick-Prescott filter, six cycles with an average duration of 8.3 years were identified. Employing a Vector Autoregressive (VAR) model, and Granger causality tests, evidence was found in favor of Marx's hypothesis: both the rate of profit and the mass of profits determine investment while this, in turn, is co-determined by the business cycle. On the contrary, no evidence was found that investment determines either the rate of profit or the mass of profits. Thus, for the Colombian economy, the dynamics of the profitability of capital is the key to the business cycle.
    Keywords: Ciclo económico; Tasa de ganancia; Masa de beneficios; Modelos VAR; Cycles; Rate of profit; Mass of profits; VAR model
    JEL: B51 C32 E32 N16
    Date: 2022–06–02
  21. By: Lena Dräger; Klaus Gründler; Niklas Potrafke
    Abstract: How do global political shocks influence individuals’ expectations about economic outcomes? We run a unique survey on inflation expectations among 145 tenured economics professors in Germany and exploit the 2022 Russian invasion in Ukraine as a natural experiment to identify the effect of a global political shock on expectations about national inflation rates. We find that the Russian invasion increased short-run inflation expectations for 2022 by 0.75 percentage points. Treatment effects are smaller regarding mid-term expectations for 2023 (0.47 percentage points) and are close to zero for longer periods. Text analysis of open questions shows that experts increase their inflation expectations because they expect supplyside effects to become increasingly important after the invasion. Moreover, experts in the treatment group are less likely to favor an immediate reaction of monetary policy to the increased inflation, which gives further evidence of the shock being interpreted primarily as a supply-side shock.
    Keywords: Inflation expectations, belief formation, natural experiment, 2022 Russian invasion of Ukraine, survey, economic experts
    JEL: E31 E71 D74 D84
    Date: 2022
  22. By: International Monetary Fund
    Abstract: Real GDP surpassed its pre-pandemic trend in early 2021, and the labor market is tight. Inflation is increasing, mainly driven by energy prices, but core inflation is also edging up. The fiscal position strengthened and the financial sector has remained resilient. Rapidly growing housing prices raise concerns about affordability and could pose risks for financial stability and the country’s attractiveness in the medium term. Following the outbreak of war in Ukraine, inflation pressures have intensified and financial market volatility has risen.
    Date: 2022–06–03
  23. By: Tiamiyu, Kehinde A.
    Abstract: Abstract: This study investigates symmetric, asymmetric, and structural models of exchange rate pass-through to inflation in Nigeria over the monthly period of 2000: Month 01- 2021: Month 05. The percentage change in the price of import-competing goods (traded goods) that is ascribed to a particular percentage change in the exchange rate (which is the price of one country's currency in terms of another country's currency) is referred to as exchange rate pass-through. This paper is set out to examine the impact of monetary environment in exchange rate pass-through to inflation in Nigeria using monthly time series data. The method adopted included inter-alia the use of both the Augmented Dickey-Fuller (ADF) unit root test and the Breaking point unit root test for relative comparison. The results of unit root tests from both ends indicate the existence of both stationary and non-stationary variables which made adoption of bounds cointegration test plausible and Nonlinear Autoregressive Distributed Lag(NARDL) methodologies applicable, this method allows the incorporation of possible asymmetric effects of positive and negative changes in explanatory variables on dependent variable unlike the conventional Autoregressive Distributed Lag (ARDL) models where the possible impact of explanatory variable changes remain unaccounted for on dependent variable. Further, the results from cointegration test confirm the existence of short-run situations among the variables of interest in all the models considered. Also, three models were estimated under the framework of linear and nonlinear Autoregressive Distributed Lag (ARDL) models. The model estimate findings revealed that inflation modeling in Nigeria is both autoregressive and adaptive in character. In the short run, pass-through estimates are larger, though declining, due to asymmetric behaviours of exchange rate changes as confirmed by Wald test. This justifies the existence of asymmetric effect in the behavour of exchange rate over times. It was also discovered that inflation is seldom a monetary phenomenon in this new normal as industrial production index was found to reduce consumer prices drastically and exchange rate found to explain inflation better than money supply. However, structural policy of land border closure exerts positive but insignificant pressure on inflation in Nigeria during the period under investigation, this may be because of lag effect between the policy stance and reaction of economic agents in the economy. Finally, by policy recommendation, Nigerian government is thus advised to invest heavily in productive sectors of economy, specifically, by building capacities of local producers.
    Keywords: Exchange rate pass-through; Inflation; Money supply; Land border closure; Non-linear ARDL
    JEL: E31 E42 E51 F0
    Date: 2022–03–08
  24. By: Jérémy Boccanfuso
    Abstract: A theory in which the timing of consumer expectation adjustments is endogenously state-dependent and stochastic is proposed. These expectation adjustments generate highly heterogenous consumption responses to income windfalls: many households do not respond, those who do over-react, the marginal propensity to consume depends on windfall size and is asymmetric. We document these features in the Bank of England survey of consumers and find that they simultaneously rule out most previous explanations for these effects, including consumption adjustment cost and liquidity constraints. At the aggregate level, consumption is less sensitive to expansionary policies during recessions and its excess smoothness varies significantly over the business cycle with consumers’ attention, a feature that we document in US data.
    JEL: D11 D84 E21
    Date: 2022–06
  25. By: International Monetary Fund
    Abstract: Cyprus is highly exposed to the fallout from the war in Ukraine through trade with Russia. This new challenge comes against the background of the lingering effects of the pandemic and financial vulnerabilities dating from the 2012–13 crisis. Growth is projected to slow from 5½ percent in 2021 to around 2 percent this year. Recovery will regain momentum in 2023, and is projected to continue in the medium term, supported by investments and structural reforms in the Recovery and Resilience Plan.
    Date: 2022–06–01
  26. By: Alnaa, Samuel Erasmus; Matey, Juabin
    Abstract: Dialogue on the effects of macroeconomic policies relative to the welfare of citizens has remained virtually unchanged since time immemorial. These economic policy discussions have had different dimensions, from subjective to objective welfare. As a contribution to literature, this paper thoughtfully wades into this discourse with a specific reference to national policies on nominal GDP growth rate, inflation, and unemployment and how they interact to impact the welfare of citizens. It is common knowledge that macroeconomic policy decisions affect the very survival of citizens; however, it is unclear how policymakers communicate the long-term impact of these blueprints on the livelihoods of citizens to the implementing authorities. What is in the public domain are seminal reports on nominal annual rates of these macroeconomic variables, which are thought to either imply an improvement or a deterioration in the well-being of citizens. Indeed, not every gain in nominal rates, particularly GDP, can be construed as an improvement in the economic well-being of citizens. This study questions whether different approaches to designing and implementing macroeconomic policies are the reasons for the mismatch in the living standards of people around the world, or whether the free market economy, which is deficient in developing people's capabilities, is rather dictating the well-being of citizens. The vector error correction model (VECM) results indicate that economic growth (using GDP as a proxy) has a negative effect on welfare in the long run. As such, we believe that national governments should establish and implement comprehensive and long-term macroeconomic policies capable of boosting the welfare of citizens through creating jobs of all varieties, because mere annual gains in macroeconomic indicators do not realistically reflect the economic welfare of the citizenry
    Keywords: Economic welfare; citizens; macroeconomic policy implementation, and development
    JEL: E6 E60 I3 I31 I38 O1 O11
    Date: 2022–02–16
  27. By: James B. Bullard
    Abstract: St. Louis Fed President Jim Bullard shared his views on the latest inflation data and Fed action needed to put downward pressure on inflation. During an interview with Yahoo Finance, he also said that the probability of a U.S. recession is not particularly elevated at this time. Asked about the latest CPI report, Bullard said, “my takeaway is that inflation is broader and more persistent than many have thought and that the Fed will have to act in order to keep inflation under control.” He added that the Federal Open Market Committee (FOMC) has a plan in place—a 50-basis-point increase in the policy rate at the last meeting and also teeing that up for future meetings. Bullard noted that he has been advocating a policy rate of 3.5% by the end of the year. “I think we’re going to have to do more than just get to neutral. We’re going to have to go above neutral in order to put downward pressure on the persistent component of this inflation,” he said. Regarding the effect of the Fed’s forward guidance since late last year, Bullard noted that the two-year Treasury yield—which is indicative of where the market thinks policy will go—has moved up substantially over the last six to nine months. (For more details, see his May 6 remarks at Stanford University’s Hoover Institution, “Is the Fed ‘Behind the Curve’? Two Interpretations.”)
    Keywords: inflation; policy rate
    Date: 2022–05–11
  28. By: International Monetary Fund
    Abstract: The pandemic has had a substantial impact on the economy, straining pre-pandemic gains in income and poverty reduction. The wide-ranging policy measures, including containment protocols, rapid vaccination and booster campaigns, direct income support, and policy support for borrowers and businesses, mitigated the adverse impact on lives and well-being. As the pandemic recedes and in light of the uncertainties from the war in Ukraine, the focus needs to be on securing livelihoods and ensuring strong and job-rich medium-term growth, while minimizing any persistent adverse effects from the pandemic and mitigating risks.
    Keywords: development goal; quarterly balance of payments; income support; FDI investment rule; Five-Year Plans; food price; COVID-19; Debt sustainability; Debt sustainability analysis; Global; South Asia
    Date: 2022–05–24
  29. By: Syed Abul, Basher; Perry, Sadorsky
    Abstract: Bitcoin has grown in popularity and has now attracted the attention of individual and institutional investors. Accurate Bitcoin price direction forecasts are important for determining the trend in Bitcoin prices and asset allocation. This paper addresses several unanswered questions. How important are business cycle variables like interest rates, inflation, and market volatility for forecasting Bitcoin prices? Does the importance of these variables change across time? Are the most important macroeconomic variables for forecasting Bitcoin prices the same as those for gold prices? To answer these questions, we utilize tree-based machine learning classifiers, along with traditional logit econometric models. The analysis reveals several important findings. First, random forests predict Bitcoin and gold price directions with a higher degree of accuracy than logit models. Prediction accuracy for bagging and random forests is between 75% and 80% for a five-day prediction. For 10-day to 20-day forecasts bagging and random forests record accuracies greater than 85%. Second, technical indicators are the most important features for predicting Bitcoin and gold price direction, suggesting some degree of market inefficiency. Third, oil price volatility is important for predicting Bitcoin and gold prices indicating that Bitcoin is a substitute for gold in diversifying this type of volatility. By comparison, gold prices are more influenced by inflation than Bitcoin prices, indicating that gold can be used as a hedge or diversification asset against inflation.
    Keywords: forecasting; machine learning; random forests; Bitcoin; gold; inflation
    JEL: C58 E44 G17
    Date: 2022–06–06
  30. By: James B. Bullard
    Abstract: St. Louis Fed President Jim Bullard provided updated estimates of the degree to which the Federal Reserve is “behind the curve” on raising its policy rate in response to high inflation. He spoke at Stanford University’s Hoover Institution. Bullard highlighted two interpretations of “behind the curve,” incorporating more recent data since his April 7 and April 21 presentations on this topic.
    Keywords: inflation; monetary policy; forward guidance
    Date: 2022–05–06
  31. By: Tihana Škrinjarić (Hrvatska narodna banka, Hrvatska); Maja Bukovšak (Hrvatska narodna banka, Hrvatska)
    Abstract: Protuciklički zaštitni sloj kapitala je jedan od ključnih instrumenata makrobonitetne politike, čija je namjena stvaranje dodatnog kapitala u razdobljima porasta cikličkih rizika, kako bi se njegovim otpuštanjem u krizi bankama osigurao prostor za nastavak nesmetanog kreditiranja, a u razdobljima koje joj prethode i posredno ublažilo prekomjerno kreditiranje. Njegova kalibracija započinje ocjenom kreditnog jaza, na način da se primjenom statističkih filtera određuje dugoročna kreditna aktivnost u odnosu na ekonomsku, kako bi se ocijenilo koliko trenutna kretanja odstupaju od ravnotežnih. Budući da se u praksi pojavio niz problema u primjeni takvih indikatora, ovim istraživanjem se razmatraju mogućnosti unapređenja procjene kreditnog jaza, koje se ocjenjuju uz primjenu kriterija kvalitete signaliziranja krize u povijesnom uzorku i stručnu procjenu. Glavni rezultati istraživanja upućuju da je potrebno zasebno filtrirati serije kredita i BDP-a uz pretpostavku da kreditni ciklus traje dulje u odnosu na gospodarski, te da se nepoznavanje točne duljine trajanja kreditnog ciklusa može premostiti promatranjem raspona mogućih kreditnih jazeva. Novi indikatori koji se predlažu u istraživanju su ranije signalizirali prethodnu globalnu financijsku krizu, te su stabilniji od prethodno korištenih specifičnih indikatora, čime se u realnom vremenu omogućava ranija i postepenija izgradnja protucikličkog zaštitnog sloja kapitala, manje podložna promjenama.
    Keywords: kreditni jaz, statistički filtri, makrobonitetna politika, sistemski rizik, protuciklički zaštitni sloj kapitala.
    JEL: C18 E32 E58 G01 G2
    Date: 2022–06–14
  32. By: António Afonso; José Alves
    Abstract: We assess the consequences of fiscal consolidation episodes on public sector efficiency (scores) for 35 OECD countries for the 2007-2020 period. We find that fiscal consolidations improve public sector efficiency and results are robust across efficiency models. Moreover, peripheral euro-area economies and economies with debt-to-GDP ratios between 60% and 90% are those whose public sector efficiency scores improve more when fiscal consolidation episodes occur. The evidence that fiscal consolidations enhance spending efficiency is an additional argument for fiscal consolidations, from a policy perspective.
    Keywords: fiscal consolidation episodes, government spending efficiency, panel data, OECD
    JEL: C23 D61 H21 E62 H63
    Date: 2022
  33. By: Arvind Krishnamurthy; Wenhao Li
    Abstract: Bank-created money, shadow-bank money, and Treasury bonds all satisfy investors' demand for a liquid transaction medium and safe store of value. We measure the quantity of these three forms of liquidity and their corresponding liquidity premium over a sample from 1934 to 2016. We empirically examine the links between these different assets, estimating the extent to which they are substitutes, and the amount of liquidity per unit delivered by each asset. Treasury bonds and bank deposits are imperfect substitutes, in contrast to the findings of perfect substitutes of Nagel (2016). This result is directly relevant to the monetary transmission mechanism running through shifts in asset supplies, such as quantitative easing policies. Our results on the imperfect substitutability of bank and shadow-bank money also inform analyses of the coexistence of the shadow-banking and regulated banking system. We construct a new broad monetary aggregate based on our estimates and show that it helps resolve the money-demand instability and missing-money puzzles of the monetary economics literature.
    JEL: E41 E43 G21 G23
    Date: 2022–05
  34. By: Ramon Lopez; Kevin Sepulveda
    Abstract: This study decomposes the factors that determined inflation in Chile during the period 2000-2021. We find that the main determinants of domestic inflation are variables of external origin and the exchange rate. Domestic demand has played a rather limited role as an inflationary factor. In general, in normal periods, increases in domestic demand explain no more than 20% of observed inflation. The average monthly inflation observed during the 2000-2021 period reached 0.3%, which means that domestic demand increases in normal periods explain a monthly inflation of 0.06%. Surprisingly, the extraordinary periods of rapid acceleration in demand as a result of highly expansionary fiscal policies and/or of the large withdrawals from pension retirement savings had a rather modest effect on the acceleration of inflation. Only in the last 5 months of 2021 we can detect some effects of the expansion in domestic demand on inflation. This study corroborates an expected fact in a small and open economy like Chile's: most domestic price changes are determined by foreign price changes.
    Date: 2022–05
  35. By: James B. Bullard
    Abstract: St. Louis Fed President Jim Bullard presented “The First Steps toward Disinflation” virtually at an event hosted by the Economic Club of Memphis. Bullard noted that inflation in the U.S. is comparable to levels seen in the 1970s. He added that U.S. inflation expectations could become unmoored without credible Fed action, possibly leading to a new regime of high inflation and volatile real economic performance. The Fed has reacted by taking important first steps to return inflation to the 2% target, Bullard said, adding that market interest rates have increased substantially, partially in response to promised Fed action. Meanwhile, U.S. labor markets remain robust, and output is expected to continue to expand through 2022, he said.
    Keywords: inflation
    Date: 2022–06–01
  36. By: John A. Mondragon; Johannes Wieland
    Abstract: What explains record U.S. house price growth since late 2019? We show that the shift to remote work explains over one half of the 23.8 percent national house price increase over this period. Using variation in remote work exposure across U.S. metropolitan areas we estimate that an additional percentage point of remote work causes a 0.93 percent increase in house prices after controlling for negative spillovers from migration. This cross-sectional estimate combined with the aggregate shift to remote work implies that remote work raised aggregate U.S. house prices by 15.1 percent. Using a model of remote work and location choice we argue that this estimate is a lower bound on the aggregate effect. Our results imply a fundamentals-based explanation for the recent increases in housing costs over speculation or financial factors, and that the evolution of remote work is likely to have large effects on the future path of house prices and inflation.
    JEL: E31 E66 M11 R21 R31
    Date: 2022–05
  37. By: Gang Liu; Barbara M. Fraumeni; Shunsuke Managi
    Abstract: Chapter 6 from the forthcoming Inclusive Wealth Report 2022 looks at human capital in greater detail, based on the latest human capital estimates from the Inclusive Wealth Report (IWR) project. In the chapter, which is repeated here, the growth of human capital and several of its constituent factors are broken down by gender and by region, and in some cases also by income, since apparently, human capital in the world is not evenly distributed across different regions or countries by income, or between educated males and females, although in almost all country cases total and per capita human capital have grown over time. The purpose is to identify the sources of human capital growth by region, gender, and various determining factors over the observed time period, 1990-2020.
    JEL: E01 E24 J16 O57
    Date: 2022–05
  38. By: John R. Grigsby
    Abstract: This paper studies aggregate labor market dynamics when workers have heterogeneous skills for tasks which are subject to non-uniform labor demand shocks. When workers have different skills, movements in aggregate wages partly reflect a reallocation of different workers across tasks and into employment. This ensures that there nearly always exists some combination of task-specific demand shocks that induce aggregate employment and wages to negatively comove even in a frictionless economy. Furthermore, such reallocations would be interpreted either as a labor wedge or as a shift in an aggregate labor supply curve in representative agent economies. Developing a method to estimate the multidimensional skill distribution, I show that a frictionless model with realistic heterogeneity can replicate the mean wage increase and employment collapse of the Great Recession. Reduced-form composition-adjustment methods recover positive co-movements between employment and wages in recent periods suggesting an increasing role for composition effects through time, which the model rationalizes through changes in the skill distribution and composition of sectoral shocks.
    JEL: E24 J24
    Date: 2022–05
  39. By: International Monetary Fund
    Abstract: Over the last quarter of a century, Peru has become one of the most dynamic economies in Latin America. During this period, Peru built very strong policy and institutional frameworks and economic fundamentals while maintaining external, financial, and fiscal stability. The strength of the Peruvian economy was tested with the COVID-19 pandemic in 2020, when the economy collapsed, leading to a significant deterioration of the fiscal accounts. Subsequently, the economy recovered strongly in 2021, and the fiscal position strengthened considerably, while inflationary pressures emerged (in line with global trends). However, Peru is bearing a very high humanitarian and economic cost from the COVID-19 pandemic, sizable under-employment, and a large increase in poverty. These challenges and recent social unrest related to high energy and food prices point to the need to accelerate structural reforms to foster high and inclusive growth. While political uncertainty has risen, with frequent cabinet reshufflings, the authorities remain committed to maintaining their very strong policy frameworks and prudent macroeconomic policies.
    Date: 2022–06–07
  40. By: International Monetary Fund
    Abstract: In the attached letter, the Somali authorities request an extension of the date on which the arrangement under the Extended Credit Facility (ECF) will automatically expire unless a review is completed to August 17, 2022. On March 25, 2020, the Executive Board approved Somalia’s HIPC Initiative Decision Point1 and a three-year arrangement under the ECF.2 The first review under the ECF arrangement was completed by the Executive Board on November 18, 2020.3 However, as no review has been completed since then, the ECF arrangement is set to automatically expire on May 17, 2022, in line with the rule on automatic expiration of ECF arrangements if no review has been completed for 18 months. Under Fund policy, the Board may decide to delay the automatic expiry of the arrangement by up to three months if staff and the authorities appear close to reaching understandings on targets and measures to put the ECF-supported program back on track.
    Keywords: ECF arrangement; IMF's transparency policy; IMF's executive board; election delay; ECF review; Development policy; Development assistance; Global
    Date: 2022–05–24
  41. By: Farmer, J. Doyne; Carro, Adrian; Hinterschweiger, Marc; Uluc, Arzu
    Abstract: We develop an agent-based model of the UK housing market to study the impact of macroprudential policy experiments on key housing market indicators. The heterogeneous nature of this model enables us to assess the effects of such experiments on the housing, rental and mortgage markets not only in the aggregate, but also at the level of individual households and sub-segments, such as first-time buyers, homeowners, buy-to-let investors, and renters. This approach can therefore offer a broad picture of the disaggregated effects of financial stability policies. The model is calibrated using a large selection of micro-data, including data from a leading UK real estate online search engine as well as loan-level regulatory data. With a series of comparative statics exercises, we investigate the impact of (i) a hard loan-to-value limit, and (ii) a soft loan-to-income limit, allowing for a limited share of unconstrained new mortgages. We find that, first, these experiments tend to mitigate the house price cycle by reducing credit availability and therefore leverage. Second, an experiment targeting a specific risk measure may also affect other risk metrics, thus necessitating a careful calibration of the policy to achieve a given reduction in risk. Third, experiments targeting the owner-occupier housing market can spill over to the rental sector, as a compositional shift in home ownership from owner-occupiers to buy-to-let investors affects both the supply of and demand for rental properties.
    Keywords: Agent-based model, housing market, macroprudential policy, borrower-based measures, buy-to-let sector
    JEL: D1 D31 E58 G51 R21 R31
    Date: 2022–04
  42. By: Borissov, Kirill; Pakhnin, Mikhail; Wendner, Ronald
    Abstract: We consider a neoclassical growth model with quasi-hyperbolic discounting under Kantian optimization: each temporal self acts in a way that they would like every future self to act. We introduce the notion of a Kantian policy as an outcome of Kantian optimization in a given class of policies. We derive and characterize a Kantian policy in the class of policies with a constant saving rate for an economy with log-utility and Cobb--Douglas production technology and an economy with isoelastic utility and linear production technology. In all cases, the Kantian saving rate is higher than the saving rate of sophisticated agents, and a Kantian path Pareto dominates a sophisticated path.
    Keywords: Quasi-hyperbolic discounting; Time inconsistency; Kantian equilibrium; Sophisticated agents; Saving rate; Welfare
    JEL: C70 D14 D91 E21 O40
    Date: 2022–06–06
  43. By: Bardt, Hubertus; Beznoska, Martin; Demary, Markus; Grömling, Michael; Hüther, Michael; Obst, Thomas; Pimpertz, Jochen; Schaefer, Thilo; Schäfer, Holger
    Abstract: Die deutsche Wirtschaft wankt - bereits angeschlagen - von der einen Krise in die nächste. Noch immer werden die Unternehmen von den vielfältigen Auswirkungen der Corona-Pandemie belastet - vor allem über gestörte Lieferketten und Personalausfälle. Die erneuten Restriktionen in China verdeutlichen, dass diese Risiken auch weiterhin nicht wegzudenken sind. Hinzu kommen seit Februar die Lasten des Kriegs in der Ukraine. Diese verstärken die bestehenden Produktionsstörungen, bewirken zusätzlich stark ansteigende Produktionskosten und Preise und führen zu erheblichen Verunsicherungen. Vor allem die umfassende Versorgung mit wichtigen Industrie- und Energierohstoffen stellt derzeit ein schwer kalkulierbares Risiko dar. Ein ebenso kaum abschätzbarer Konjunktureinbruch könnte aus einer abrupten Unterbrechung der Gaslieferungen aus Russland resultieren. Auch ohne eine solche Eskalation wird sich die weltwirtschaftliche Dynamik empfindlich abschwächen. Für das Jahr 2022 wird bei Weltproduktion und Welthandel jeweils ein Plus von 3 1/2 Prozent erwartet. Für 2023 fallen die Zuwächse leicht schwächer aus. Rund um den Globus zehren die hohen Preise und Unsicherheiten an der Konsum- und Investitionsnachfrage. In diesem Umfeld verlangsamt sich auch das Konjunkturtempo in Deutschland stark. Die Exporte leiden unter der schwächelnden Weltwirtschaft. Konsum und Investitionen stehen im Bann von hohen Inflationsraten und Stress in den Lieferketten. Die notwendige Erholung wird nochmals aufgeschoben. Die Wachstumsaussichten für das Jahr 2022 haben sich auf nur noch weniger als 1 3/4 Prozent halbiert. Im Jahr 2023 wird das reale Bruttoinlandsprodukt in Deutschland um 2 3/4 Prozent zulegen. Das setzt aber voraus, dass es im zweiten Halbjahr 2022 zu keinen zusätzlichen Belastungen durch geopolitische Konflikte kommt und sich die konjunkturaufzehrenden Inflationseffekte zurückbilden. Nach gut 6 Prozent in diesem Jahr steigen die Verbraucherpreise 2023 um 3 Prozent an. Produktionsstörungen wirken im gesamten Prognosezeitraum, sie lassen unter den gesetzten Bedingungen aber nach. Trotz dieser erneuten Belastungen bleibt der deutsche Arbeitsmarkt robust. Die Beschäftigung legt wieder zu und die Arbeitslosigkeit wird auf unter 5 Prozent im nächsten Jahr sinken. Die Pandemie und der Krieg führen auch in diesem und im kommenden Jahr zu einem hohen Staatsdefizit. Hinzu kommen steigende Sozialversicherungsausgaben. Insgesamt wird die Staatsschuldenquote im Prognosezeitraum bei rund 70 Prozent liegen.
    Keywords: Konjunktur,Weltwirtschaft,Arbeitsmarkt,Staatshaushalt,Finanzmärkte
    JEL: E2 E3 E5 E6
    Date: 2022
  44. By: Tiamiyu, Kehinde A.
    Abstract: Abstract: This study has so far investigated the link between financial deepening and the development of the stock market over the period of 1981 and 2019 using Bound test conintegration ARDL approach on the ground that Nigeria's financial sector is still shallow and lacks the necessary liquidity and capital to bring about the required development of stock markets in Nigeria. The Bounds cointegration test revealed that cointegration existed among the variables under investigation. As a result, both the short and long term models were empirically examined. In the long run, the significant drivers of stock market development in Nigeria are financial development, domestic saving as a ratio of GDP, broad money diversification and GDP as they are all significant determinants in term of signs, magnitude and size. This result parallels the findings of Okeya and Dare (2019). However, from 1981 to 2019, a considerable inverse relationship was seen between broad money diversification and stock market performance, contrary to projections. By implication, Nigerian financial sector lacks financial diversification in the long run. However, the finding supports the popular consensus that money is neutral in the long run as stock market mirrors economic condition of the country it represents. Nonetheless, the short run counterpart of the regression model showed that stock market development follows adaptive expectation in Nigeria as its previous values significantly determined the present values. However, unlike in the long run, financial development indicator exerts negative influence to stock market and but only becomes significant after some lags. This therefore reinforces the reality that private sectors lacks enough liquidity, limiting its beneficial contribution to the development of the stock market in the near term. This, by inference, confirms the shallowness of the Nigerian financial sector, as it lacks sufficient liquidity in the short run. Besides, regardless of model considered be it long run or short run, total domestic saving ratio of GDP has been a good candidate driving stock market development in Nigeria. Based on this conclusion, the Central Bank of Nigeria (CBN) is enjoined to liberate interest rate so as to allow for more robust operations of financial sectors in Nigeria.
    Keywords: Financial Deepening; Financial Sector; Stock Market Development; ARDL; Nigeria
    JEL: E42 E44 G1 G12 G21 G24
    Date: 2022–03–28
  45. By: International Monetary Fund
    Abstract: There has been little change in the institutional framework for macroprudential policy oversight since the last FSAP. Macroprudential policy for the banking sector is a shared competency of the Financial Superintendency of Colombia (SFC), the Banco de la República (BR), and the Ministry of Finance (MHCP), although the SFC and the MHCP play dominant roles. The Financial Sector Coordination and Monitoring Committee (CCSSF), which consists of the three institutions and the Financial Institutions Guarantee Fund (Fogafin), is the main platform for information sharing and cooperation, but it does not have a macroprudential mandate or any formal powers. The SFC supervises asset managers and insurance companies, but there is no formal macroprudential oversight framework for those types of financial institutions.
    Date: 2022–06–03
  46. By: International Monetary Fund
    Abstract: The Bangko Sentral Ng Pilipinas (BSP), together with the other financial sector regulators and the Department of Finance (DoF), made significant progress in developing a framework for macroprudential supervision. The BSP plays a central role as the bank and payment system supervisor, as well as macroprudential authority with with its financial stability mandate obtained in 2019, and the chair of inter-agency coordination mechanisms (Financial Stability Coordination Council, FSCC). The FSCC was established in 2011 as a voluntary interagency body (without decision-making powers) to coordinate macroprudential policies and crisis management and include the BSP, Securities Exchange Commission (SEC), Insurance Commission (IC), Philippine Deposit Insurance Commission (PDIC) and the DoF. Within the BSP, a financial stability “unit” (OSRM, established in 2017) works on macroprudential analysis and policy preparation. BSP’s Financial Stability Policy Committee (FSPC), a Monetary Board (MB) subcommittee established in 2020, decides on macroprudential issues, while policy decision making on monetary policy and financial sector supervision takes place in the MB.
    Date: 2022–06–03
  47. By: International Monetary Fund
    Abstract: After being hit very hard by the pandemic in 2020, both in terms of health and economic outcomes, Peru experienced an equally strong economic rebound in 2021. A new administration was inaugurated in July 2021 with a program focused on reducing inequality and improving social conditions, but limited support from Congress and lack of cohesion heightened political uncertainty. While real GDP surpassed its pre-pandemic level by 2021, labor force participation and total employment have not fully recovered yet. Poverty increased significantly in 2020 and, despite some improvement in 2021, remains higher than in 2019. On May 27, 2021, the IMF Executive Board completed the mid-term review of Peru’s continued qualification under the Flexible Credit Line (FCL) arrangement.
    Date: 2022–05–11
  48. By: Hayley Pallan (IHEID, Graduate Institute of International and Development Studies, Geneva)
    Abstract: This paper examines whether investors react to consumption taxes. Despite the near global adoption of VAT policies, relatively little is known regarding the investor response to VAT changes. In an event-study setup, using a new dataset of daily equity returns and precise dates of tax policy announcements across 20 countries between 1990 and 2014, I find heterogeneous responses: in advanced economies, equities react negatively to an announcement regarding a consumption tax increase, while in emerging markets, equities react positively to similar announcements. In emerging economies, the positive response to consumption tax increases is amplified in times of worsening macro-indicators, such as higher fiscal deficits and inflation. This result holds using both country-level index returns and firm-level equity returns. Furthermore, in emerging economies, the equity returns of high-debt firms respond more positively to VAT increases. Overall, the results suggest that investor sentiment in emerging economies is positive in response to VAT increases. This may be due to the expectation that fiscal prudence will prevent increases in interest rates, which would be particularly damaging for countries with deteriorating macro-conditions and firms with high levels of debt.
    Keywords: Fiscal Policies; Financial Markets; Macroeconomic Conditions; Corporate Debt
    JEL: H3 E6 G1
    Date: 2022–06–10
  49. By: Go, Eugenia (World Bank); Hill, Sam (World Bank); Jaber, Maria Hanna (Asian Development Bank); Jinjarak, Yothin (Asian Development Bank); Park, Donghyun (Asian Development Bank); Ragos, Anton (Asian Development Bank)
    Abstract: What are the salient features of developing Asia’s tax revenues and public expenditures? How do these compare with other economies and how have they been affected by the coronavirus disease (COVID-19) pandemic? To analyze these issues we assemble data across economies drawing on a range of sources to maximize temporal and coverage of economies. We find that while tax revenues in developing Asia steadily rose in the 2 decades before COVID-19, they continued to lag behind high-income economies and some developing peers. The region relies on indirect taxes, particularly consumption taxes, creating a relatively efficient but less progressive tax structure. Alongside these lower tax revenues, government expenditures on education and health were comparatively modest. Substantial fiscal policy stimulus in response to COVID-19 comprised both tax and expenditure measures which, combined with the impact of the downturn on revenues, has severely weakened public finances in many developing Asian economies.
    Keywords: tax revenue; government expenditure; pandemic crisis
    JEL: E62 H12 H20 H30
    Date: 2022–06–21
  50. By: Hajdini, Ina (Federal Reserve Bank of Cleveland); Kurmann, Andre (Drexel University)
    Abstract: This paper shows that in the presence of Markov regime shifts, Full Information Rational Expectations (FIRE) models lead to predictable, regime-dependent forecast errors. More generally, regime shifts imply that ex-post forecast error regressions display waves of over-and under-reaction to current information over rolling sample windows. Using survey-based forecast data of macroeconomic aggregates, we confirm the existence of such waves. We then estimate a medium-scale DSGE model with regime shifts in the aggressiveness of monetary policy on U.S. data to assess the quantitative importance of the proposed mechanism. Despite the assumption of FIRE, simulated data conditional on the estimated sequence of regime realizations generates ex-post forecast error predictability consistent with reduced-form regressions from the existing literature and large waves of over- and under-reaction across subsamples. Hence, predictabiliy of ex-post forecast errors is neither a sufficient condition to reject FIRE nor by itself a good metric to test alternative theories of expectations formation.
    Keywords: Full-information Rational Expectations; Markov Regime Shifts; Forecasting Errors; Waves of Over- and Under-Reaction; Survey of Professional Forecasters
    JEL: C53 E37
    Date: 2022–05–27
  51. By: Giovannini, Alessandro; Ioannou, Demosthenes; Stracca, Livio
    Abstract: Well-functioning risk-sharing arrangements are essential for the shock absorbing capacity and resilience of an economy, even more so for countries in a monetary union where the single monetary policy is unable to address asymmetric shocks. The common shocks that euro area member states have been facing over the past years are just that: common. Yet their impacts are far from equal across countries, implying that risk sharing remains an important issue. This paper discusses the different forms and channels of risk sharing and reviews the main arguments in favour and against the development of different forms of public and private risk sharing in the euro area, focusing in particular on whether they act as complements or substitutes. It proposes a stylised theoretical model of a monetary union to test the complementarity or substitutability between public and private risk sharing. While the model calibration finds that substitutability prevails, the model also contains an interesting complementarity whereby a central fiscal capacity makes private risk sharing more efficient, especially in crisis times. Our findings are relevant for the ongoing policy discussion on EMU deepening as the provision of public risk sharing as well as the overall degree of risk sharing are still comparatively low in the euro area. JEL Classification: C23, E62, G11, G15
    Keywords: Economic and Monetary Union, monetary union, Risk sharing
    Date: 2022–06
  52. By: Mary Amiti; Oleg Itskhoki; Jozef Konings
    Abstract: There are around 180 currencies in the world, but only a very small number of them play an outsized role in international trade, finance, and central bank foreign exchange reserves. In the modern era, the U.S. dollar has a dominant international presence, followed to a lesser extent by the euro and a handful of other currencies. Although the use of specific currencies is remarkably stable over time, with the status of dominant currencies remaining unchanged over decades, there have been decisive shifts in the international monetary system over long horizons. For example, the British pound only lost its dominant currency status in the 1930s, well after Britain stopped being the leading world economy. In a new study, we show that the currency that is used in international trade transactions is an active firm-level decision rather than something that is just fixed. This finding raises the question of what factors could augment or reduce the U.S. dollar’s dominance in world trade.
    Keywords: currency invoicing; exporters; trade; US dollar
    JEL: E2 F0
    Date: 2022–06–21
  53. By: Eric Jondeau (University of Lausanne - Faculty of Business and Economics (HEC Lausanne); Swiss Finance Institute; Swiss Finance Institute); Gregory Levieuge (Banque de France); Jean-Guillaume Sahuc (Banque de France; Université Paris Ouest - Nanterre, La Défense - EconomiX); Gauthier Vermandel (Ecole Polytechnique; Department of Economics, Paris-Dauphine)
    Abstract: We explore the role of public subsidies in mitigating the transition risk associated with a climate-neutral objective by 2060. We develop and estimate an environmental dynamic stochastic general equilibrium model for the world economy featuring an endogenous market structure for green products. We show that public subsidies, financed by a carbon tax, are an efficient instrument to promote firm entry into the abatement goods sector by fostering competition and lowering the selling price of such products. We estimate that the subsidy, optimally distributed between startups at 60% and existing companies at 40%, will save nearly $2.9 trillion in GDP each year by 2060.
    Keywords: Climate change, E-DSGE model, bayesian estimation, stochastic growth, endogenous firms, environment-related products
    JEL: E32 H23 Q50 Q55 Q58
    Date: 2022–05
  54. By: Dirk Zetzsche; Linn Anker-Sørensen; Maria Lucia Passador; Andreas Wehrli
    Abstract: Financial law and regulation have, to date, assumed that regulated activities and functions are concentrated in a single legal entity responsible and accountable for operations and compliance. Even with regard to financial market infrastructure where the regulatory perspective acknowledges the need for interoperability of many entities as a system, each entity is subject to its own rules and regulations, and can thus meet its own compliance requirements independent of other system participants. The entity-focused regulatory paradigm is under pressure in the world of DLT-based payment arrangements where some ledgers, and thus the performance of the services as such, are distributed. DLT arrangements could provide an alternative to the traditional reliance on a mutually trusted central entity to transfer funds and enable the creation of new foundational infrastructures by distributing technical functions or linking existing systems. As such, we identify and outline concepts for use cases where DLT is potentially improving the efficiency of cross-border payments, namely a Best Execution DLT, a DLT application for a Network of Central Banks, a DLT as an AML/KYC utility, as well as DLT arrangements for an Identity Platform, a Small Payments Platform and, finally, an Interoperability Platform connecting multiple closed-loop and proprietary banking systems.
    Keywords: distributed ledgers, blockchain, payments, central banks, cross-border payments, law
    JEL: G20 G21 G28 E42 E58 K23 K24 O16
    Date: 2022–05
  55. By: James B. Bullard
    Keywords: inflation
    Date: 2022–05–27
  56. By: Lea Samek; Mary O'Mahony
    Abstract: This paper discusses measurement of Services Producer Price Indices, which are important in estimating the volume of the output of services sectors. Price Indexes for 31 individual services activities were downloaded from the websites of National Statistical Institutes for 15 OECD countries and compared to those for the UK. The results show that UK services prices tend on average to have either lower or equal price growth than in other countries, suggesting that an underestimate of services output growth is not likely to be an explanation of why productivity growth slowed more in the UK than in other countries after the financial crisis. Nevertheless, there may be common biases across countries due to inadequate adjustments for quality. Further analysis of measurement methods suggests a small but significant positive bias in price inflation for one commonly employed method based on time spent on the provision of services. This means that the growth in the volume of services activity may be understated in general in the group of countries considered in this report.
    Keywords: measurement, prices, services
    JEL: E31 L8 O47
    Date: 2021–03
  57. By: Merike Kukk; Alari Paulus; Nicolas Reigl
    Abstract: We assess empirically the relationship between credit market concentration and a novel country-level systemic risk indicator that has been developed at the European Central Bank. We find a weakly U-shaped relationship between market concentration and systemic risk for Western European countries, where very low and high levels of market concentration are associated with higher systemic risk. Cumulative estimates with dynamic models show that systemic risk has a persistent negative response to an increase in market concentration from low and median levels of concentration. Local projection estimates for the period preceding the global financial crisis also suggest that an increase in market concentration may have further added to systemic risk at a time when it was building up in countries with high banking concentration, demonstrating the complexity of the relationship between systemic risk and market concentration
    Keywords: systemic risk, financial stability, credit institutions, credit growth, market concentration
    JEL: G10 G21 E58 C22 C54
    Date: 2022–03–24
  58. By: Bjoern Schulte-Tillman; Mawuli Segnon; Bernd Wilfling
    Abstract: We propose four multiplicative-component volatility MIDAS models to disentangle short- and long-term volatility sources. Three of our models specify short-term volatility as Markov-switching processes. We establish statistical properties, covariance-stationarity conditions, and an estimation framework using regime-switching filter techniques. A simulation study shows the robustness of the estimates against several mis-specifications. An out-of-sample forecasting analysis with daily S&P500 returns and quarterly-sampled (macro)economic variables yields two major results. (i) Specific long-term variables in the MIDAS models significantly improve forecast accuracy (over the non-MIDAS benchmarks). (ii) We robustly find superior performance of one Markov-switching MIDAS specification (among a set of competitor models) when using the 'Term structure' as the long-term variable.
    Keywords: MIDAS volatility modeling, Hierarchical hidden Markov models, Markov-switching, Forecasting, Model conï¬ dence sets
    JEL: C51 C53 C58 E44
    Date: 2022–06
  59. By: Deniz Igan; Ali Mirzaei; Tomoe Moore
    Abstract: We use firm-level data to provide some early evidence on the effectiveness of COVID-19 economic policy packages. Our empirical strategy relies on the varying degree of vulnerability to the pandemic across industries. We find a robust association of fiscal stimulus with changes in firm performance indicators (as measured by sales-to-assets ratio, profit margin, interest coverage ratio as well as probability of default) in pandemic-prone sectors. We also observe marginal effects of monetary policy on the sales-to-assets ratio and of foreign exchange intervention on the interest coverage ratio in the hardest-hit firms. These results broadly survive a battery of exercises to address endogeneity. Additionally, we show that firms with a better financial position are more likely to take advantage of the stimulus packages to withstand the pandemic shock. Overall, these provide preliminary evidence suggesting that policy interventions have bought time for the hardest-hit industries, by supporting turnover and improving liquidity.
    Keywords: economic stimulus, pandemic-prone, COVID-19, policy effectiveness
    JEL: G01 G14 G28 E65
    Date: 2022–05
  60. By: Anantha Divakaruni; Peter Zimmerman
    Abstract: The Lightning Network (LN) is a means of netting Bitcoin payments outside the blockchain. We find a significant association between LN adoption and reduced blockchain congestion, suggesting that the LN has helped improve the efficiency of Bitcoin as a means of payment. This improvement cannot be explained by other factors, such as changes in demand or the adoption of SegWit. We find mixed evidence on whether increased centralization in the Lightning Network has improved its efficiency. Our findings have implications for the future of cryptocurrencies as a means of payment and their environmental footprint.
    Keywords: bitcoin; blockchain; cryptocurrency; Lightning Network; payments
    JEL: E42 G10
    Date: 2022–06–21
  61. By: Bakari, Sayef; El Weriemmi, Malek
    Abstract: The aim of this investigation is to examine the nexus between domestic investment and economic growth in Arab countries. To attempt our goal, we used annual data for the period 1990 – 2020 and Vector Error Correction Model. Empirical analysis indicates that there is no relationship between domestic investment and economic growth in the long run. However, we find a bidirectional causality between domestic investment and economic growth in the short run. These results provide evidence that domestic investment is necessary in Arab countries’ economy and is presented as an engine of growth since they cause economic growth in the short term. But they are not carried out and treated with a solid and fair manner, which offer new insights into Arabe countries’ investment policy for promoting economic growth.
    Keywords: Domestic Investment, Economic Growth, VECM, Arab Countries.
    JEL: C13 E22 O40 O47
    Date: 2022
  62. By: Emmanuel Farhi; Alan Olivi; Iván Werning
    Abstract: We provide a price theory for incomplete markets that extends the traditional Walrasian analysis. We derive formulas expressing the consumption response to current and future changes in interest rates and income. Our analysis provides a natural decomposition of these responses into substitution and income effects with structural interpretation, emphasizing statistics such as the marginal propensity to save and local measures of prudence in utility. We handle general uncertainty in a compact and intuitive manner by adjusting probability distributions: a risk-adjusted probability, commonly used in finance, and a novel prudence-adjusted probability, specifically useful for incomplete markets. Our formulas reveal various cross-restrictions implied by the theory on consumer behavior. Numerical explorations show that the new statistics we identify matter significantly to understand aggregate demand in incomplete markets, beyond the impact of heterogeneous marginal propensities to consume or binding borrowing constraints.
    JEL: D1 D52
    Date: 2022–05
  63. By: Lafond, François; Goldin, Ian; Koutroumpis, Pantelis; Winkler, Julian
    Abstract: We review recent research on the slowdown of labor productivity and examine the contribution of different explanations to this decline. Comparing the post-2005 period with the preceding decade for five advanced economies, we seek to explain a slowdown of 0.8 to 1.8pp. We trace most of this to lower contributions of TFP and capital deepening, with manufacturing accounting for the biggest sectoral share of the slowdown. No single explanation accounts for the slowdown, but we have identified a combination of factors which, taken together, accounts for much of what has been observed. In the countries we have studied, these are mismeasurement, a decline in the contribution of capital per worker, lower spillovers from the growth of intangible capital, the slowdown in trade, and a lower growth of allocative efficiency. Sectoral reallocation and a lower contribution of human capital may also have played a role in some countries. In addition to our quantitative assessment of explanations for the slowdown, we qualitatively assess other explanations, including whether productivity growth may be declining due to innovation slowing down.
    JEL: O40 E66 D24
    Date: 2022–05
  64. By: Barragán-Tandapilco, Jonathan Xavier
    Abstract: An introduction to the field of cryptocurrencies is made, to later develop the central idea, which deals with whether cryptocurrencies are a benefit or a curse for Ecuadorians, analyzing together with what the ECB and the Monetary and Financial Code tell us about this matter. Finally, a conclusion is made that adapts to the new era of new technological and financial innovation, without the desire to infer personal financial decisions, and as explained in this article, due to price volatility, there may be large losses. economic, so all the information compiled is left to the free interpretation of the readers.
    Keywords: Cryptocurrencies, Digital Economy, DAO, Crypto-Economy
    JEL: A22 G33 O16 Z00
    Date: 2022
  65. By: George Kapetanios; Fotis Papailias
    Abstract: National statistics offices and similar institutions often produce country indices which are based on the aggregation of large number of disaggregate series. In some cases these disaggregate series are also published and, therefore, are available to be used for further research. In other cases the disaggregate series are available only for in-house purposes and are still under research on whether more indices could be extracted. This report is concerned with the very specific task of comparing gains in nowcasting using a single aggregate variable/index versus the full use of all the available disaggregate indices. This approach should be viewed as part of an overall dataset assessment framework where our aim is to assist the applied statistician on whether a novel dataset of time series could be useful to economics researchers
    Keywords: factor models, neural networks, nowcasting, penalised regression, support vector regression
    JEL: C53 E37
    Date: 2022–05
  66. By: George Kapetanios; Fotis Papailias
    Abstract: This technical report builds on the research output of “National Accounts and Beyond GDP: Predictive Performance of Real-Time Indicators” ESCoE/ONS collaborative project to summarise the key findings and provide a standardised methodology to guide the editing, maintenance, publishing and potential incorporation of new real-time indicators into the development of early estimates of headline economic statistics. Empirical results from previous tasks are revisited and standardised qualitative and quantitative criteria are discussed.
    Keywords: machine learning, nowcasting, real-time indicators
    JEL: C53 E37
    Date: 2022–05
  67. By: Dagli , Suzette (Asian Development Bank); Mariano, Paul (Asian Development Bank); Salvanera, Arjan Paulo (Asian Development Bank)
    Abstract: The paper applies quantile regression technique, specifically, quantile vector autoregression to stochastic debt sustainability analysis (DSA) and the construction of public debt fan charts. Stochastic approach to DSA typically uses standard ordinary least squares vector autoregression (OLS VAR) and “fan charts” to depict the upside and downside risks surrounding public debt projections due to uncertain macroeconomic conditions. These VAR models rely on constant coefficients and random variables that are independent and identically distributed. However, empirical evidence suggests that macroeconomic variables are characterized by nonlinearities and asymmetries that linear regression models, such as OLS VAR, may not capture. Many attempt to show how such nonlinearities can be accounted for by using quantile regression methods. Quantile regression allows for varying parameters for each quantile and facilitates the analysis of asymmetric dynamics. It is also a natural environment for stress testing exercises by estimating the reaction of the endogenous variable to tail shocks or future quantile realizations.
    Keywords: debt; quantile regression; fan charts
    JEL: C31 H63 H68
    Date: 2022–06–08
  68. By: Müller, Henrik; Rieger, Jonas; Hornig, Nico
    Keywords: uncertainty,narratives,latent Dirichlet allocation,business cycles,text mining,computational methods,Covid-19,Ukraine war,Russia,Putin
    Date: 2022
  69. By: Müller, Henrik; Rieger, Jonas; Schmidt, Tobias; Hornig, Nico
    Keywords: inflation,expectations,narratives,latent Dirichlet allocation,text mining,computational methods,behavioral economics
    Date: 2022
  70. By: Xuxin Mao; Janine Boshoff; Garry Young; Hande Kucuk
    Abstract: This research explores new ways of applying machine learning to detect outliers in alternative price data resources such as web-scraped data and scanner data sources. Based on text vectorisation and clustering methods, we build a universal methodology framework which identifies outliers in both data sources. We provide a unique way of conducting goods classification and outlier detection. Using Density based spatial clustering of applications with noise (DBSCAN), we can provide two layers of outlier detection for both scanner data and web-scraped data. For web-scraped data we provide a method to classify text information and identify clusters of products. The framework allows us to efficiently detect outliers and explore abnormal price changes that may be omitted by the current practices in line with the 2019 Consumer Prices Indices Manual 2019. Our methodology also provides a good foundation for building better measurement of consumer prices with standard time series data transformed from alternative data sources.
    Keywords: consumer price index, machine learning, outlier detection, scanner data, text density based clustering, web-scraped data
    JEL: C43 E31
    Date: 2021–11
  71. By: George Kapetanios; Fotis Papailias
    Abstract: This technical report aims to present a generalised framework for assessing the predictive content of ONS real time indicators in both dimensions: (i) individual predictors (i.e. variable-by-variable), and (ii) using machine learning techniques to build variable selection models. The evaluation is done on a nowcasting basis (h = 0). Simple correlation and predictive power scores are included as well as best subset selection, penalised regressions, random forests and principal components.
    Keywords: factor models, nowcasting, penalised regression, variable selection
    JEL: C53 E37
    Date: 2022–03
  72. By: International Monetary Fund
    Abstract: The Financial Sector Assessment Program (FSAP) risk analysis work was conducted in the aftermath of the initial COVID shock and subsequent lockdowns, and while a strong economic recovery was underway in Colombia during 2021. Given the persistent uncertainty around the evolution of the COVID-19 virus, and for the trajectory of the economic recovery, the outlook remained subject to significant revisions throughout the year. While the workstreams took the latest macroeconomic and supervisory data updates into account as much as possible for the various analyses, the test results and their implications should be interpreted with caution due to high uncertainty around the central projections and downside risks.
    Date: 2022–06–03
  73. By: Douglas Arner; Ross Buckley; Thomas Lammer; Dirk Zetzsche; Sangita Gazi
    Abstract: In October 2020, the G20 endorsed a significant initiative to enhance cross-border payments. Faster, cheaper, more transparent, and more inclusive cross-border payment services will deliver widespread benefits for citizens and economies worldwide, supporting economic growth, international trade, global development, and financial inclusion. Enhancing cross-border payments requires more than mere adoption of technical standards. The best outcome involves aligned technological, regulatory, and legal frameworks. This paper analyzes such payment integration projects. Each border adds to the costs of a cross-border payment if crossing the border means entering into a different technological, regulatory and legal environment, with different systems, regulators, and courts. Under ideal circumstances, cross-border payments will be processed as seamlessly as comparable domestic payments, even where various currencies are processed. While this highly ambitious target is unlikely to be achieved globally in the short to medium term, regionally, the gap between cross-border and domestic payments has already been narrowed. At the global level, mismatches between the inter-institutional framework on the back-end and the contractual relationship with clients on the front-end represent potential costs for the payment services provider and increase legal risk, prompting costly legal, due diligence manual adjustments in payments processes. A high degree of cross-border harmonization via rulebooks along the technological, regulatory, and legal dimensions has been instrumental for successful regional integration projects and has promoted straight-through-processing. Potentially costly events such as rejects, returns, and revocations of payment orders have been reduced, sanction screening and financial crime compliance processes agreed. Drawing on this insight, this paper suggests globally coordinated action to develop a comprehensive framework to guide and support regional payment integration. This we call a "Single Rule Book." Such a Single Rule Book could be instrumental in enhancing safety, efficiency, and integrity in cross-border payments. We explore its potential contents, and importantly, the minimum standards it would impose.
    Keywords: payments, cross-border payments, central banks, harmonization of law
    JEL: G20 G21 G28 E42 E58 K23 K24 O16
    Date: 2022–05
  74. By: Alessandro Giovannelli; Luca Mattia Rolla
    Abstract: We compare the pseudo-real-time forecasting performance of two factor models for a large set of macroeconomic and financial time series: (i) The standard principal-component model used by Stock and Watson (2002) (ii) The factor model with martingale difference errors introduced by Lee and Shao (2018). The factor model with martingale difference error (FMMDE) makes it possible to retrieve a transformation of the original series so that the resulting variables can be partitioned into distinct groups according to whether they are conditionally mean independent upon past information or not. In terms of prediction, this feature of the model allows us to achieve optimal results (in the mean squared error sense) as dimension reduction is performed. Conducting a pseudo-real-time forecasting exercise based on a large dataset of macroeconomic and financial monthly time series for the U.S. economy, the results obtained from the empirical study suggest that FMMDE performs comparably to SW for short-term forecasting horizons. In contrast, for long-term forecasting horizons, FMMDE displays superior performance. These results are particularly evident for Output & Income, Labor Market, and Consumption sectors.
    Date: 2022–05
  75. By: Raphael Auer; Marc Farag; Ulf Lewrick; Lovrenc Orazem; Markus Zoss
    Abstract: The phenomenal growth of cryptocurrencies raises important questions about their footprint on the financial system. What role are traditional financial intermediaries playing in cryptocurrency markets and what drives their engagement? Are new nodes emerging? We help answer these questions by leveraging a novel global supervisory database of banks' cryptocurrency exposures and by synthesising a range of complementary data sources for other types of institutions. We find that major banks' exposures currently remain at very modest levels. Across countries, higher innovation capacity, more advanced economic development, and greater financial inclusion are associated with a higher likelihood of banks taking on cryptocurrency exposures. We show that substantial activity is concentrated in lightly regulated crypto exchanges. This "shadow crypto financial system" serves both retail and institutional clients, such as dedicated investment funds. An uneven regulatory treatment across banks and crypto exchanges and significant data gaps suggest that a proactive, holistic and forward-looking approach to regulating and overseeing cryptocurrency markets is needed. It should focus on ensuring a more level playing field with regard to financial services provided by established financial institutions and intermediaries in the emerging crypto shadow financial system by introducing more stringent regulatory and supervisory oversight for the latter.
    Keywords: cryptocurrencies, decentralised finance, digital currencies, financial regulation, financial supervision, exchange, stablecoin, Bitcoin, Ethereum
    JEL: E42 G12 G21 G23 G28 O33
    Date: 2022–05
  76. By: International Monetary Fund
    Abstract: The Georgian Ministry of Finance (MoF) has continued to progress its analysis and reporting of fiscal risks, with its annual Fiscal Risk Statement (FRS) becoming the leading example in the region. In addition to detailed discussions of risks from SOEs and the balance sheet, amongst other, the December 2020 FRS included for the first time a qualitative discussion on the fiscal risks from climate change. Looking ahead, the government has committed to strengthening that further with the inclusion of quantitative estimates in the 2022 version of the FRS. This report provides the tools and analytical approaches to support that, as well as an update to the public sector balance (PSBS) sheet to identify the impact of the pandemic.
    Keywords: IMF resident representative; IMF's Fiscal Affairs Department; EU delegation; C. Intertemporal balance sheet effect; climate scenario; Climate change; Natural disasters; Financial statements; Fiscal risks; Global
    Date: 2022–05–27
  77. By: International Monetary Fund
    Abstract: Albania is formulating a Medium-Term Revenue Strategy (MTRS) with IMF support. The decision to commit to the development of an MTRS was taken against the background of revenue persistently falling short of budget projections, revenue continuing to lag behind regional peers in tax to Gross Domestic Product (GDP) ratios and the Government’s assessment that an increase of revenue of 2.2 – 3.0 percent of GDP will be required to finance its additional spending needs over the next five years.
    Keywords: FAD mission; MTRS governance arrangement; increase tax certainty; I. MTRS gap analysis; MTRS development; B. MTRS context; MTRS approach; IMF's Fiscal Affairs Department; Medium term revenue strategy; Tax administration core functions; Value-added tax; Training and development in revenue administration; Global; Eastern Europe
    Date: 2022–05–19
  78. By: Carlos Esteban Posada
    Date: 2022–03–02
  79. By: International Monetary Fund
    Abstract: Public investment is expected to play a significant role in the post-pandemic economic recovery in Montenegro. Due to the importance of the tourism sector, the pandemic has had a deep economic impact. In addition, as government debt already exceeds one hundred percent of GDP, fiscal space to increase public investment is limited. Nevertheless, the completion of the first phase of the Bar-Boljare Highway (BBH), by the end of 2021, should free up public resources within the budget constraint, that could be used for public investments. In this context, a strengthened public investment management (PIM) framework would contribute to maximize its impact on economic growth.
    Date: 2022–06–09
  80. By: Jose De Gregorio; Manuel Taboada
    Abstract: This study uses national accounts, household surveys, and administrative records to provide consistent distributional series, emphasizing labor income between 2006 and 2017. Our new methodology is able to correct the known limitations of different data sources and combine them coherently for the first time using Chilean data. In contrast to estimations in advanced economies we propose methods to estimate data that are not available, which could be use to estimate distributional series in other developing countries with limited official statistics. The validity of the imputations is verified by contrasting the results with various external references. On average, the underestima- tion of gross wages in the Chilean national household survey as compared to national accounts is 40%, significantly larger than other countries. About a quarter of this gap is attributed to the “missing rich†in the survey. For 2017, this equates to an esti- mated median gross income for dependent labor of CLP 600,000 and CLP 570,000 for all workers. The corrected mean-median income ratio (Gini) is 26% (17%) larger than in the raw survey of 2017, and falls only 6% (3%) between 2006 and 2017 compared with a larger decline of 12% (11%) in the original data.
    Date: 2022–05
  81. By: Hites Ahir; Nicholas Bloom; Davide Furceri
    Abstract: We construct the World Uncertainty Index (WUI) for an unbalanced panel of 143 individual countries on a quarterly basis from 1952. This is the frequency of the word "uncertainty" in the quarterly Economist Intelligence Unit country reports. Globally, the Index spikes around major events like the Gulf War, the Euro debt crisis, the Brexit vote and the COVID pandemic. The level of uncertainty is higher in developing countries but is more synchronized across advanced economies with their tighter trade and financial linkages. In a panel vector autoregressive setting we find that innovations in the WUI foreshadow significant declines in output. This effect is larger and more persistent in countries with lower institutional quality, and in sectors with greater financial constraints.
    Date: 2022–12
  82. By: Constantino Cronemberger Mendes (IPC-IG)
    Keywords: fiscal equalisation; fiscal capacity
    Date: 2022–06
  83. By: Galenianos, Manolis; Gavazza, Alessandro
    Abstract: We build a framework to understand the effects of regulatory interventions in creditmarkets, such as caps on interest rates. We focus on the credit card market, in whichwe observe U.S. consumers borrowing at high and very dispersed interest rates despitereceiving many credit card offers. Our framework includes twomain features to accountfor these patterns: the endogenous effort of examining offers and product differentiation.Our calibration suggests that most borrowers examine few ofthe offers they receive, andthereby forego cards with low interest rates and high non-price benefits. The calibratedmodel implies that interest-rate caps reduce credit supplyand significantly curb lenders’market power, thereby increasing consumer surplus. Moderate caps may yield largergains in consumer surplus than tighter ones.
    Keywords: 771004
    JEL: D83 D14 G28
    Date: 2022–03–24
  84. By: Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank H.
    Abstract: We develop an asset market participation model in which investors base their market entry decisions on the momentum, value and risk of the market. Despite our behavioral framework, the model's fundamental steady state is characterized by standard present-value relations between expected future payouts and the model-implied risk-adjusted return. We derive conditions under which endogenous asset market participation waves and co-evolving boom-bust cycles emerge. Moreover, we show that the asset market may display spontaneous, sharp and permanent downturns if investors react sensitively to risk, an outcome that goes hand in hand with low asset market participation rates and excess volatility.
    Keywords: boom-bust cycles,asset market participation waves,momentum, value and risk,herding behavior,feedback loops
    JEL: D84 G12 G41
    Date: 2022
  85. By: Muinelo-Gallo, Leonel
    Abstract: El objetivo de esta investigación es determinar si existieron “buenas prácticas fiscales” en la regulación minera de Chile durante el período 2000-2020. Uno de los desafíos de la economía chilena es lograr una administración eficaz de los flujos de ingresos fiscales provenientes de la explotación minera y, a su vez, conseguir efectos derrame que permitan desarrollar la economía de forma sostenible. Por un lado, en este trabajo se intenta averiguar si la administración de dichos recursos fiscales ha contribuido a generar ciertas mejoras económicas y sociales en el país. Por otro lado, se analizan la generación, asignación, distribución y uso de los recursos fiscales provenientes de la minería en los distintos sectores y niveles de gobierno. En concreto, se investiga si la utilización de estos recursos fiscales ha contribuido a mejorar el desempeño macroeconómico, reducir las desigualdades económicas, fomentar la generación e implementación de políticas públicas de tipo social, impulsar la inversión pública agregada o disminuir las disparidades de ingresos fiscales entre las regiones.
    Date: 2022–05–23
  86. By: Constantino Cronemberger Mendes (IPC-IG)
    Keywords: equalização fiscal; capacidade fiscal
    Date: 2022–06
  87. By: International Monetary Fund
    Abstract: At the request of the Suriname authorities, a remote technical assistance (TA) mission took place during December 6–17, 2021. The mission was conducted in coordination with the IMF’s Western Hemisphere Department. The main objective of the mission was to assist the Ministry of Finance and Planning (MFP) and the Central Bank of Suriname (CBS) to improve the quality of the Government Finance Statistics (GFS) in view of the IMF program. The main tasks were to (i) conduct a diagnostic assessment of the current GFS and public debt compilation process,(ii) explain and reduce statistical discrepancies, (iii) analyze data on arrears and reassess their treatment in GFS, (iv) review the integration of stocks and flows of the gross debt; and (v) update the public sector institutional table, and (vi) deliver a workshop on GFSM 2014 framework and (PSDS).
    Keywords: IMF's Statistics Department; Suriname debt management office; staff team of the International Monetary Fund; government finance Statistics mission; CBS accounting report; Government finance statistics; Stocks; Fiscal accounting and reporting
    Date: 2022–06–07
  88. By: Oksana Bashchenko (Swiss Finance Institute - HEC Lausanne)
    Abstract: I propose a new methodology to construct interpretable, fundamental-based pricing factors from news to explain Bitcoin returns. Each news article from a specialized cryptocurrency website is classified in a semi-supervised manner into one of the few predefined topics. Topic sentiments become factors contributing to the price variation. I use a cutting-edge NLP algorithm (SBERT network) to embed linguistic data into a vector space, which allows the application of an intuitive classification rule. This approach permits the exclusion of news pieces that describe the price movements per se from the analysis, thus mitigating endogeneity concerns. I show that non-endogenous news contains fundamental information about Bitcoin. Thus I reject the concept of Bitcoin price being based on pure speculation and show that Bitcoin returns are partially explained by fundamental topics. Among those, the adoption of cryptocurrencies and blockchain technology is the most important aspect. On top of that, I study the media expressed attitude toward Bitcoin from the functions of money perspective. I show that investors consider Bitcoin as the store of value rather than the medium of exchange.
    Keywords: Bitcoin, Cryptocurrency, Natural Language Processing, BERT.
    JEL: C45 C55 C80 G12 G19
    Date: 2022–05
  89. By: Marius Faber; Andrés P. Sarto; Marco Tabellini
    Abstract: Migration is a key mechanism through which local labor markets adjust to economic shocks. In this paper, we analyze the migration response of American workers to two of the most important shocks that hit US manufacturing since the 1990s: Chinese import competition and the introduction of industrial robots. Exploiting plausibly exogenous variation in exposure across US local labor markets over time, we establish a new fact. Even though both shocks drastically reduced employment in the manufacturing sector, only robots led to a sizable decline in population size. We provide evidence that negative employment spillovers outside manufacturing, caused by robots but not by Chinese imports, can explain the different migration responses. We interpret our findings through the lens of a model that highlights two mechanisms: the cost savings that each shock provides and the degree of complementarity between directly and indirectly exposed industries.
    JEL: J21 J23 J61
    Date: 2022–05
  90. By: International Monetary Fund
    Abstract: The Philippines is a dynamic economy with a relatively smaller financial system than other Asian emerging market economies, dominated by banks. The total assets of the system amount to 126 percent of GDP. However, bank credit is just over 50 percent of GDP and mostly goes to nonfinancial corporates (NFCs). Banks are also tightly interlinked with NFCs through conglomerate ownerships. Access to finance for individuals is significantly lower than comparator systems, with only a third of adults having formal accounts. Non-bank financial institutions and capital markets—especially bond markets—are substantially less developed than banks. The Fintech ecosystem is nascent.
    Date: 2022–06–03
  91. By: La Torre, Davide; Marsiglio,Simone; Mendivil,Franklin; Privileggi, Fabio (University of Turin)
    Abstract: We analyze the role of disease containment policy in the form of treatment in a stochastic economic-epidemiological framework in which the probability of the occurrence of random shocks is state dependent, namely it is related to the level of disease prevalence. Random shocks are associated with the diffusion of a new strain of the disease which affects both the number of infectives and the growth rate of infection, and the probability of such shocks realization may be either increasing or decreasing in the number of infectives. We determine the optimal policy and the steady state of such a stochastic framework, which is characterized by an invariant measure supported on strictly positive prevalence levels, suggesting that complete eradication is never a possible long run outcome where instead endemicity will prevail. Our results show that: (i) independently of the features of the state-dependent probabilities, treatment allows to shift leftward the support of the invariant measure; and (ii) the features of the state-dependent probabilities affect the shape and spread of the distribution of disease prevalence over its support, allowing for a steady state outcome characterized by a distribution alternatively highly concentrated over low prevalence levels or more spread out over a larger range of prevalence (possibly higher) levels.
    Date: 2022–05
  92. By: Constantino Cronemberger Mendes (IPC-IG)
    Keywords: fiscal equalisation; fiscal capacity
    Date: 2022–06
  93. By: Daniel Mejía; Ervyn Norza; Santiago Tobón; Martín Vanegas-Arias
    Abstract: We study the effects of broken windows policing on crime using geo-located crime and arrest reports for 80 Colombian cities. Broadly defined, broken windows policing consists of intensifying arrests -sometimes for minor offenses- to deter potential criminals. To estimate causal effects, we build grids of 200 × 200 meters over the urban perimeter of all cities and produce event studies to look at the effects of shocks in police activity in the periods to follow. We use spikes in the number of arrests with no warrant -which are more likely associated with unplanned police presence- as a proxy for shocks in broken windows policing. As expected, we observe an increase in crimes during the shock period, as each arrest implies at least one crime report. In the following periods, crimes decrease both in the place of the arrests and the surroundings. With many treated grids and many places exposed to spillovers, these effects add up. On aggregate, the crime reduction offsets the observed increase during the shock period. Direct effects are more immediate and precise at low crime grids, but beneficial spillovers seem more relevant at crime hot spots. The effects of broken windows policing circumscribe to cities with low or moderate organized crime, consistent with criminal organizations planning their activities more systematically than disorganized criminals.
    Keywords: crime, violence, police, arrests, spillovers
    JEL: K42 O17 E26 J48 C93
    Date: 2022–06–16
  94. By: Manuel Díaz; Carmen Marín; Diego Martínez
    Abstract: En este trabajo se aplica la metodología que sigue la Comisión Europea para descomponer el saldo presupuestario de las regiones en sus componentes cíclico y estructural para el periodo 2020-2021. Las Comunidades Autónomas han cerrado 2021 con un saldo en Contabilidad Nacional cercano al equilibrio presupuestario (-0,03% PIB). Sin embargo, este saldo no refleja la situación fiscal real de las regiones, debido a que está distorsionado por el efecto de la COVID sobre las cuentas públicas y el del ciclo económico. Las Comunidades Autónomas han recibido mayores ingresos por parte de la Administración Central en 2021 a través del Fondo Extraordinario (13.466 millones de euros) y de la Línea COVID (6.974 millones de euros). Estos recursos han cubierto con creces los gastos extraordinarios por COVID, dando lugar a un saldo positivo del 1% del PIB. En sentido contrario, las Comunidades Autónomas han visto reducidos sus ingresos en un 0,5% del PIB debido al ciclo económico. En suma, estos dos efectos dan lugar a un saldo estructural en 2021 del -0,4% del PIB.
    Date: 2022–06
  95. By: Jeong, Young Sik (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Kang, Eunjung (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Lee, Jinhee (National Assembly Budget Office (NABO)); Kim, Kyunghun (Hongik University); Kim, Jeehye (Korea Research Institute for Human Settlements (KRIHS))
    Abstract: Korean Abstract: 본 연구는 국제사회의 부동산 보유세 논의 방향, 주요국의 주택 보유세 과세 체계, 부동산 보유세 세부담 국제비교를 살펴보고, 부동산 보유세가 주택가격, 불평등, 경제성장에 미치는 영향을 실증적으로 분석하였다. OECD 등 국제사회는 부동산 보유세 강화를 지속적으로 권고하고 있는 가운데 우리나라의 부동산 보유세는 실효세율 기준으로 주요국 평균에 비해 낮다. 그리고 부동산 보유세는 주택가격 안정, 불평등 개선, 경제성장률 하락에 영향을 미치는 것으로 나타났다. 본 연구의 분석 결과는 포용성장 및 지속가능성장 측면에서 부동산 보유세의 중요성에 대한 이해의 폭을 넓히고, 바람직한 부동산 세제 마련에 활용될 수 있을 것으로 기대된다. English Abstract: Since the 2008 global financial crisis, inequality has been increasing worldwide. In particular, levels of wealth (asset) inequality are increasing further than income inequality. And Korea is no exception. This deepening of inequality is more worrisome in that it leads to inequality of opportunity while suppressing movement between classes, which in turn deepens inequality, creating a vicious cycle of inequality. This is a bigger problem than the inequality itself. The international communities are calling for stronger property taxes, including recurrent taxes on immovable property, as part of mitigating inequality and promoting inclusive growth. In Korea, there is heated discussion on property taxes, such as recurrent taxes on immovable property including the comprehensive real estate tax. Therefore, this study aims to investigate policy directions in international organizations and major countries on immovable property tax and examine the effect of property tax on the macro economy. (the rest omitted)
    Keywords: Policy Direction; International Organizations; Immovable Property Tax; Macro Economy
    Date: 2021–12–30

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