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on Macroeconomics |
| By: | George J. Bratsiotis; Kasun D. Pathirage |
| Abstract: | We examine the social and agent-specific welfare effects of monetary and macroprudential policy in a four-agent estimated macroeconomic model, consisting of 'banked simple households', 'underbanked simple households', 'firm owners', and 'bank owners'. Optimal capital requirement and loan loss provisions ratios, are shown to improve all agent-specific and social welfare, but imply smaller gains for simple households and firm owners that rely on credit. Countercyclical capital buffers support firm owners and bank owners, with smaller gains for the two simple households. Countercyclical loan loss provisions improve social welfare only for specific shocks and benefit the 'simple underbanked household' and 'firm-owners' at the expense of 'bank-owners' and 'banked simple households'. Coordination between monetary and macroprudential policies yields higher social welfare than no coordination. |
| Keywords: | monetary policy; macroprudential policy; financial frictions; risk of default; welfare |
| JEL: | E31 E32 E44 E52 E58 G28 |
| Date: | 2023–06 |
| URL: | http://d.repec.org/n?u=RePEc:man:sespap:2304&r=mac |
| By: | Gomez-Pineda, Javier Guillermo; Murcia, Andrés; Cabrera-Rodríguez, Wilmar Alexander; Vargas-Herrera, Hernando; Villar-Gómez, Leonardo |
| Abstract: | Over the past 30 years, monetary and macroprudential policy in Colombia evolved towards the pursuit of a low and credible inflation target and a stable financial system. The protracted inflation that began in the early seventies was defeated at the turn of the century with the help of the new framework for monetary policy formulation, inflation targeting. In the field of macroprudential policy, the financial crisis of the late nineties led to important institutional developments in the formulation and coordination of macroprudential policy, as well as in the assessment of systemic risk. Along with these developments, important lessons have been learnt. One is that, to preserve macroeconomic stability, the price stability objective must be complemented with the financial stability objective, as well as with macroprudential policy. Another lesson is that the new institutional framework for monetary policy formulation helped Banco de la República overcome 25 years of inflation, then called moderate inflation. The challenges for the future include to continue preserving price and financial stability, strengthening the role of the Banco de la República in macroprudential policy, and to continue strengthening the channels of international coordination and cooperation in macroprudential policy. |
| Keywords: | Monetary policy; Macroprudential policy; Inflation targeting; Foreign exchange market intervention; Financial stability |
| JEL: | E58 E5 E52 E44 E61 G01 G18 G21 G28 |
| Date: | 2023–07 |
| URL: | http://d.repec.org/n?u=RePEc:rie:riecdt:107&r=mac |
| By: | Fernández-Gallardo, Álvaro (Universidad Alicante); Lloyd, Simon (Bank of England); Manuel, Ed (Bank of England) |
| Abstract: | We estimate the causal effects of macroprudential policies on the entire distribution of GDP growth by incorporating a narrative-identification strategy within a quantile-regression framework. Exploiting a data set covering a range of macroprudential policy actions across advanced European economies, we identify unanticipated and exogenous macroprudential policy ‘shocks’ and employ them within a quantile-regression setup. While macroprudential policy has near-zero effects on the centre of the GDP-growth distribution, we find that tighter macroprudential policy brings benefits by reducing the variance of future GDP growth, significantly and robustly boosting the left tail while simultaneously reducing the right. Assessing a range of potential channels through which these effects could materialise, we find that macroprudential policy operates through opposing tails of GDP and credit. Tighter macroprudential policy reduces the right tail of the future credit-growth distribution (both household and corporate) which, in turn, is particularly important for mitigating the left tail of GDP growth (ie, GDP-at-risk). |
| Keywords: | Growth-at-risk; macroprudential policy; narrative identification; quantile local projections |
| JEL: | E32 E58 G28 |
| Date: | 2023–06–16 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:1027&r=mac |
| By: | 中島, 上智; ナカジマ, ジョウチ |
| Abstract: | 本稿では、わが国の企業のインフレ予想について、日本銀行の「短観」（全国企業短期経済観測調査）の結果を用いて、1990 年以降の長期時系列を推計する。短観では、「消費者物価のインフレ予想」と「自社の販売価格のインフレ予想」の系列は2014 年までしか遡れない一方、「自社の販売価格判断ＤＩ」は長期の時系列が蓄積されている。これらの系列の2014年から2022 年までの関係を用いて、1990 年から2013 年までの自社の販売価格判断ＤＩから、同時期の消費者物価のインフレ予想（１年先）を 推計する。こうして得られた企業のインフレ予想は、消費者物価インフレ率の予測におい て、インフレ率のラグや需給ギャップには含まれない、予測精度を向上させる情報を持ち 合わせているほか、エコノミストのインフレ予想よりも予測精度を向上させることがわか った。 |
| Keywords: | インフレ予想, 販売価格予想, 短観 |
| JEL: | C22 E31 E37 |
| Date: | 2023–07 |
| URL: | http://d.repec.org/n?u=RePEc:hit:hituec:744&r=mac |
| By: | Michael D. Bordo; John V. Duca |
| Abstract: | The rise of inflation in 2021 and 2022 surprised many macroeconomists who ignored the earlier surge in money growth because past instability in the demand for simple-sum monetary aggregates had made these aggregates unreliable indicators. We find that the demand for more theoretically-based divisia aggregates can be modeled and that their growth rates provide useful information for future nominal GDP growth. Unlike M2 and divisia-M2, whose velocities do not internalize shifts in liabilities across commercial and shadow banks, the velocities of broader Divisia monetary aggregates are more stable and can be reasonably empirically modeled in both the short run and the long run through the Covid-19 pandemic and to date. In the long run, these velocities depend on regulatory changes and mutual fund costs that affect the substitutability of money for other financial assets. In the short run, we control for swings in mortgage activity and use vaccination rates and an index of the stringency of government pandemic restrictions to control for the unusual effects of the pandemic. The velocity of broad Divisia money temporarily declines during crises like the Great and COVID Recessions, but later rebounds. In each recession monetary policy lowered short-term interest rates to zero and engaged in quantitative easing of about $4 Trillion. Nevertheless, broad money growth was more robust in the COVID Recession, likely reflecting that the banking system was less impaired and could promote rather than hinder multiple deposit creation. Partly as a result, our framework implies that nominal GDP growth and inflationary pressures rebounded much more quickly from the COVID Recession versus the Great Recession. We consider different scenarios for future Divisa money growth and the unwinding of the pandemic that have different implications for medium-term nominal GDP growth and inflationary pressures as monetary policy tightening seeks to restore low inflation. |
| JEL: | E41 E51 E52 E58 |
| Date: | 2023–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:31304&r=mac |
| By: | Theresa Hager (Institute for Comprehensive Analysis of the Economy, Johannes Kepler University Linz, Austria); Patrick Mellacher (Schumpeter Centre, University of Graz, Austria); Magdalena Rath (Schumpeter Centre, University of Graz, Austria) |
| Abstract: | We study the impact of gender norms on the distribution of paid and unpaid labor between women and men in an intra-household bargaining model featuring endogenous social norms. In contrast to the previous literature, which assumes a homogeneous social norm, agents are connected via explicitly modeled social networks and accordingly face heterogeneous perceptions of gender norms. In our model, social pressure to conform to gender norms exacerbates gender inequalities in the distribution of paid and unpaid labor that may result from a gender pay gap or gender-specific preferences. However, we show that the behavior of agents connected in different standardized social networks is significantly closer to a situation in which agents face no social pressure than in a scenario in which the whole of society perceives homogeneous gender norms. This is particularly true if agents are more likely to form connections to other agents that have similar preferences. |
| Date: | 2023–06 |
| URL: | http://d.repec.org/n?u=RePEc:ico:wpaper:147&r=mac |
| By: | Andrea Bassanini (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique); Eve Caroli (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique, Legos - Laboratoire d'Economie et de Gestion des Organisations de Santé - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres, LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Kevin Geay (IRISSO - Institut de Recherche Interdisciplinaire en Sciences Sociales - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Antoine Rebérioux (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique, LADYSS - Laboratoire Dynamiques Sociales et Recomposition des Espaces - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité) |
| Abstract: | We develop a theory of non-monetary costs incurred by CEOs when deciding about layoffs and test its predictions on French data. Our results support the idea that, being strongly embedded in their social environment, CEOs find it more difficult to fire employees closer to their own workplace. This effect is stronger whenever social interactions are less anonymous in the CEOs' local environment. It is weaker when CEOs live further away from where they work, because of limited exposure to local discontent. |
| Keywords: | Layoffs, Non-monetary costs, CEO, Social embeddedness, DT LEDa-LEGOS |
| Date: | 2023–06–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-04118212&r=mac |
| By: | David B Colwell (UNSW Business School - UNSW - University of New South Wales [Sydney]); David Feldman (UNSW Business School - UNSW - University of New South Wales [Sydney]); Wei Hu (Curtin University [Perth] - PATREC - Planning and Transport Research Centre); Monique Pontier (IMT - Institut de Mathématiques de Toulouse UMR5219 - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INSA Toulouse - Institut National des Sciences Appliquées - Toulouse - INSA - Institut National des Sciences Appliquées - UT - Université de Toulouse - UT2J - Université Toulouse - Jean Jaurès - UT - Université de Toulouse - UT3 - Université Toulouse III - Paul Sabatier - UT - Université de Toulouse - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | We introduce a theoretical model of executives with insider information (insider-executives) granted incentivizing executive stock options (ESO). We show that while insider-executives optimize their wealth, using their insider information nullies ESO incentives, misaligning their and shareholders' interests. We oer realigning methods: granting insider-executives reload stock options (RSO) and imposing blackout trading periods (blackouts). Eective blackouts keep insider-executives incentivized without being overly restrictive, i.e., without reducing their welfare below that of outsiders. We introduce RSO pricing for insider-executives and oer policy implications: reestablishing the currently out-of-favor RSO, and allowing rms, not regulators, to set blackout periods on securities they issue. |
| Keywords: | Executive Stock Options, Insider Information, Constrained Portfolio Optimization, Non-Hedgeable, Non-Transferable, Reload, Enlarged Filtration |
| Date: | 2023–06–05 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-04116818&r=mac |
| By: | Francisco Cabo (UVa - Universidad de Valladolid [Valladolid]); Alain Jean-Marie (NEO - Network Engineering and Operations - CRISAM - Inria Sophia Antipolis - Méditerranée - Inria - Institut National de Recherche en Informatique et en Automatique, CRISAM - Inria Sophia Antipolis - Méditerranée - Inria - Institut National de Recherche en Informatique et en Automatique); Mabel Tidball (CEE-M - Centre d'Economie de l'Environnement - Montpellier - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Montpellier - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement - UM - Université de Montpellier) |
| Abstract: | Social context gives rise, in some individuals, to a desire to conform with other people. Conversely, other people desire to be exclusive or different from the "common herd". We study the interaction between two different agents: the positional player, characterized by the snob effect, and the conformist player, characterized by the bandwagon effect. Both agents engage in a public good game. For a static game we prove that some contribution is feasible only if the status concern of the positional player is sufficiently large. Moreover, contribution by both players requires also that the conformist player sees private contributions as complements. We also analyze how status concerns influence social welfare. In the second part of the paper, we extent the game to a dynamic setting, considering individuals who are change-adverse and who compare their current action against the opponent's past action. Convergence to the static Nash equilibrium can be monotone, oscillating, or spiral. Numerical simulations show that some properties of contributions and utilities along the transition path can be different than those in the long run; specifically, non-monotone convergence can induce overshooting in contributions allowing for over/undershooting in welfare. |
| Keywords: | Public good, positional concerns, inertia, static and dynamic game. |
| Date: | 2023–06–30 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-04147447&r=mac |
| By: | Camila Casas; Sergii Meleshchuk; Yannick Timmer |
| Abstract: | We propose a new channel through which exchange rates affect trade. Exploiting the heterogeneity in firms’ foreign currency debt maturity structure around a large depreciation in Colombia, we show that debt revaluation compresses imports due to higher delinquencies and interest rates, while exports are unaffected. Natural and financial hedging successfully mute the import contraction. A costly state verification model with dominant currency financing (DCF) and exporting rationalizes these findings. Quantitatively, DCF explains a significant part of external adjustment in addition to the expenditure switching channel. Pricing exports in the dominant vs. producer currency mutes the effect of DCF on trade. |
| Keywords: | imports, exports, foreign currency exposure, capital structure, exchange rates, debt revaluation, hedging |
| JEL: | F31 F32 F41 G15 G21 G32 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_10514&r=mac |
| By: | Luc Arrondel (PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Fabrice Etilé (PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement) |
| Abstract: | La psyché des individus est-elle susceptible de changer pendant les « crises » ? Ou inversement, pour paraphraser Stigler et Becker (1977), les préférences individuelles sont-elles « solides comme un roc », en d'autres termes, stables temporellement ? Même si théoriquement, les économistes privilégient la stabilité des préférences à l'instabilité, savoir si des « chocs », qu'ils soient démographiques, sanitaires, naturels, conflictuels ou économiques, sont susceptible de modifier les paramètres de goût des individus et en conséquence leurs comportements, est une question importante en matière de politique publique. De nombreux travaux empiriques cherchent aujourd'hui à tester si les préférences évoluent ou non dans le temps, ou encore si elles sont durablement modifiées par des événements de la vie ou des chocs structurels auxquels sont confrontés les individus. Les conclusions dépendent de l'origine des chocs, de la méthodologie adoptée pour mesurer les préférences et de la nature des questions posées. Le choc de la pandémie du Covid-19 de 2020 est une nouvelle opportunité pour étudier cette question de la stabilité des goûts. Il existe déjà de nombreuses études qui ont analysé l'impact de la crise du Covid sur les épargnants mais qui n'aboutissent à aucun consensus sur le sens de l'impact de la crise sanitaire sur les préférences. Pour la France, les traitements statistiques réalisés ici à partir de l'enquête Pat€r 2020 montrent plutôt une stabilité des préférences vis-à-vis du risque : le « grand confinement » n'aurait ainsi eu que peu d'impact sur les préférences de l'épargnant. |
| Keywords: | Préférence de l'épargnant, Aversion au risque, Choc, Demande d'actions |
| Date: | 2023–04 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-04075720&r=mac |
| By: | Albrecht, Sabina; Collins, Jason; Gauriot, Romain; Wu, Fannie |
| Abstract: | Alesina et al. (2023) examine how people perceive the number and characteristics of migrants and how those perceptions affect their support for redistribution. They find that respondents from the United States, United Kingdom, Sweden, Italy, Germany and France markedly overestimate the share of immigrants in each country, with the average respondent in all countries except Sweden overestimating by more than a factor of two. We reproduce these results using the original code and data and test the robustness by (i) including participants excluded for time to complete the survey, (ii) extending the analysis of misperceptions to all survey respondents, and (iii) using alternative authoritative estimates of the proportion of immigrants. We find that these checks marginally change the estimates of the size of the misperception but do not change the conclusions to be drawn from the analysis. Alesina et al. (2023) also test the effect on support for redistribution of showing videos on immigrant characteristics. We computationally reproduced the treatment effects on support for redistribution. |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:i4rdps:40&r=mac |
| By: | Arthur E. Attema (Erasmus University Rotterdam); Olivier L'Haridon (IUF - Institut Universitaire de France - M.E.N.E.S.R. - Ministère de l'Education nationale, de l’Enseignement supérieur et de la Recherche, CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique); Gijs van de Kuilen (Tilburg University [Netherlands]) |
| Abstract: | In this paper, we use the risk apportionment technique of Eeckhoudt, Rey and Schlesinger (2007) to study higher order risk preferences for others' health as well as ex-ante and ex-post inequality preferences for social risky distributions, and their interaction. In an experiment on a sample of university students acting as impartial spectators, we observe risk aversion towards social health losses and a dislike of ex-ante inequality. In addition, evidence for ex-post inequality seeking is much weaker than evidence for ex-ante inequality aversion. Because ex-ante inequality aversion is unrelated to risk aversion, we conclude that simple forms of utilitarianism are not relevant for individual judgment of social risk over health. Last, our investigation of precautionary distribution, which would occur when one particular group in the society suffers from background health risk, shows substantial polarization of preferences. |
| Keywords: | Social risk, Ex-ante social welfare, Ex-post social welfare, Risk apportionment |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04116959&r=mac |