|
on Macroeconomics |
| By: | Jesús Fernández-Villaverde; Joël Marbet; Galo Nuño Barrau; Omar Rachedi |
| Abstract: | This paper studies how household inequality shapes the effects of the zero lower bound (ZLB) on nominal interest rates on aggregate dynamics. To do so, we consider a heterogeneous agent New Keynesian (HANK) model with an occasionally binding ZLB and solve for its fully non-linear stochastic equilibrium using a novel neural network algorithm. In this setting, changes in the monetary policy stance influence households' precautionary savings by altering the frequency of ZLB events. As a result, the model features monetary policy non-neutrality in the long run. The degree of long-run non-neutrality, i.e., by how much monetary policy shifts real rates in the ergodic distribution of the model, can be substantial when we combine low inflation targets and high levels of wealth inequality. |
| Keywords: | heterogeneous agents, HANK models, neural networks, non-linear dynamics |
| JEL: | D31 E12 E21 E31 E43 E52 E58 |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:1160&r=mac |
| By: | Schmidt, Sebastian |
| Abstract: | What are the macroeconomic consequences of a government that is limited in its willingness or ability to raise primary surpluses, and a central bank that accommodates its interest-rate policy to the fiscal conditions? I address this question in a dynamic stochastic sticky-price model with endogenous shifts between an “orthodox” and a “fiscally-dominant” policy regime. The risk of future regime shifts has encompassing effects on equilibrium. Inflation is systematically higher than it would be if fiscal policy always adjusted its primary surplus sufficiently and monetary policy was solely concerned with price stability. This inflation bias is increasing in the real value of government debt. Regime-switching probabilities are not invariant to policy. The central bank can attenuate the risk of a shift to the fiscally-dominant regime by raising the real interest rate sufficiently moderately when inflation increases. Lower fiscal dominance risk, in turn, mitigates the inflation bias. JEL Classification: E31, E52, E62, E63 |
| Keywords: | endogenous regime shifts, fiscal dominance, fiscal policy, inflation bias, monetary policy |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20242889&r=mac |
| By: | Michl, Thomas R. (Department of Economics, Colgate University); Davis, Leila (Department of Economics, University of Massachusetts Boston) |
| Abstract: | The power of an inverted yield curve to predict recessions is widely discussed in the financial press, yet most undergraduate textbooks provide little discussion of this stylized fact. This paper fills this gap by extending a 3-equation textbook model to include an accessible treatment of a term structure of interest rates formed by the one-period policy rate and a two-period rate that obeys the Fisher Equation. The Phillips curve features partially anchored adaptive expectations, while financial markets and the central bank have perfect foresight. Using this framework, we show that raising the policy rate in response to an inflation shock inverts the yield curve. Whether this inversion foreshadows a recession, however, depends on the bank’s monetary policy rule, which we illustrate using numerical examples. In particular, we show that, with anchoring and an output-gap averse central bank, inflation can stabilize and the yield curve can invert without an ensuing recession. |
| JEL: | A22 E31 E43 E44 E52 |
| Date: | 2024–01–23 |
| URL: | http://d.repec.org/n?u=RePEc:cgt:wpaper:2024-01&r=mac |
| By: | Yasin Mimir |
| Abstract: | We study conditions under which a leaning against the wind (LAW)-type monetary policy is advisable to address risks to financial stability. We do so within a regime-switching dynamic stochastic general equilibrium (DSGE) model with endogenous crises and persistent financial cycles based on partly backward-looking house price beliefs. Under empirically plausible financial cycles, LAW increases inflation volatility because it amplifies the effects of supply shocks on inflation. It also leads to a lower average inflation, resulting in more frequent episodes of a binding lower bound on interest rates. LAW is advisable only if (i) the central bank puts more weight on output stability or (ii) financial cycles are less persistent than observed. |
| Keywords: | leaning against the wind, monetary policy, financial cycle, regime-switching DSGE |
| JEL: | E52 E58 G01 |
| Date: | 2023–04–04 |
| URL: | http://d.repec.org/n?u=RePEc:stm:wpaper:56&r=mac |
| By: | Yasin Mimir |
| Abstract: | We provide a theory on currency dynamics, capital flows and conditions for emerging market economy central bank asset purchases to leave room for manoeuvre for conventional monetary policy. Local-currency asset purchases ease financial conditions and boost banks’ foreign borrowing capacity. Therefore, they curb the financial amplification of government bond sell-off shocks by mitigating private sector capital outflows and the accompanying exchange rate depreciation. The resulting limited rise in inflation reduces the pro-cyclicality of conventional monetary policy. Our framework sheds light on stable exchange rate dynamics observed after the unprecedented asset purchase announcements in emerging-market economies during the COVID-19 crisis. |
| Keywords: | Asset purchases, exchange rate, conventional monetary policy |
| JEL: | E62 E63 G21 |
| Date: | 2023–05–26 |
| URL: | http://d.repec.org/n?u=RePEc:stm:wpaper:57&r=mac |
| By: | Yossi Yakhin (Bank of Israel) |
| Abstract: | The paper introduces foreign exchange interventions (FXIs) to an otherwise standard new-Keynesian small open economy model. The paper studies the transmission mechanism of FXIs, solves for the optimal policy, suggests an implementable policy rule, and evaluates the welfare implications of different policies. Relying on the portfolio balance channel, a purchase of foreign reserves crowds out private holdings of foreign assets, thereby raising the UIP premium and the effective real return domestic agents face. As a result, a purchase of foreign reserves contracts domestic demand. At the same time, it depreciates the value of the domestic currency, which raises the price of foreign goods relative to domestic goods, thereby expanding foreign demand for home exports and contracting domestic imports. The effect on production depends on the wealth effect on labor supply. Optimal FXIs completely insulate the economy from the effect of financial shocks, such as capital flows and risk premium shocks. A policy rule that aims at stabilizing the UIP premium brings the economy close to its optimal allocation, regardless of the source of the shocks. The paper discusses the conditions under which strict targeting of the UIP premium is optimal. Calibrating the model to the Israeli economy, lifetime welfare gains from following optimal FXI policy, relative to maintaining a fixed level of foreign reserves, amount to 2.4% of annual steady state consumption. The results are robust to a variety of microstructures of the financial sector suggested in recent literature. |
| Keywords: | Foreign Exchange Interventions, UIP Premium, Monetary Policy, Open Economy Macroeconomics |
| JEL: | E44 E52 E58 F30 F31 F40 F41 G10 G15 |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:boi:wpaper:2024.01&r=mac |
| By: | de Haan, Jakob; Ohnsorge, Franziska; Yu, Shu |
| Abstract: | The widening of fiscal deficits during democratic elections is well established. We examine a broader set of fiscal outcomes around elections for a large set of emerging and developing economies (EMDEs), probe for differences between democracies and non-democracies, and estimate the degree to which fiscal deteriorations are unwound after elections. We show three patterns. First, primary deficits rise statistically significantly during elections, by 0.6 percentage points of GDP. Primary spending, especially on the government wage bill, also rises statistically significantly, and indirect tax revenues fall. Second, these deteriorations occur in democracies and non-democracies alike. Third, the deterioration in primary deficits is not unwound after elections and the deterioration in primary spending is partially unwound after the election, mainly through cuts in capital spending. These patterns imply that deficits in EMDEs ratchet up over the course of several election cycles. Over time, this can threaten the sustainability of public finances. Finally, we find that better institutional quality (such as strong fiscal rules) and the presence of an IMF program partly mitigate the impact of elections on fiscal positions. |
| Keywords: | political budget cycles; emerging and developing countries; democracies; autocracies |
| JEL: | D72 E62 H62 O10 |
| Date: | 2023–12–20 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:119551&r=mac |
| By: | Adamopoulou, Effrosyni; De Philippis, Marta; Sette, Enrico; Viviano, Eliana |
| Abstract: | This paper studies the long-term consequences on firms and workers of the credit crunch triggered by the 2007-2008 global financial crisis. Relying on a unique matched bank-employer-employee administrative dataset, we construct a firm-specific credit supply shock and examine firms' and workers' outcomes for 11 years after the crisis. We find that highly-exposed firms shrink permanently and invest less; these effects are larger for high capital-intensive firms. The impact on workers' earnings is also long-lasting, especially for high skilled workers, who are more complementary to capital. Displaced workers reallocate mostly to low capital-intensive firms, experiencing persistent wage losses. |
| Keywords: | credit crunch, employment, wages, long term effects, linked bank-employer-employee panel data, capital-skill complementarity |
| JEL: | E24 E44 G21 J21 J31 J63 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:280988&r=mac |
| By: | Jahen F. Rezki (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Syahda Sabrina (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Nauli A. Desdiani (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Teuku Riefky (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Amalia Cesarina (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Meila Husna (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Faradina Alifia Maizar (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Yoshua Caesar (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)) |
| Abstract: | Political climate and global monetary condition will be two of the key themes that will affect Indonesian economy 2024. The upcoming general election may have mixed effects on growth and other macroeconomic indicators in 2024. On one hand, Indonesia will carry out its first ever simultaneous elections (Pemilu Serentak) from national to city level; consequently stimulate massive money injection to the economy induced by campaign spending and other polically driven public expenditure. Hefty money multiplier will boost domestic consumption throughout 2024 as the subnational level election might be held near the end of next year. On the other hand, the long transition period until the next administration assume the office will prolong the wait-and-see sentiment by private sector and might stun the growth of credit and investment. |
| Keywords: | gdp — economic quarterly — economic outlook — inflation — macroeconomics |
| Date: | 2023–04 |
| URL: | http://d.repec.org/n?u=RePEc:lpe:queout:202304&r=mac |
| By: | Boysen-Hogrefe, Jens; Groll, Dominik; Hoffmann, Timo; Jannsen, Nils; Kooths, Stefan; Sonnenberg, Nils; Stamer, Vincent |
| Abstract: | Die deutsche Wirtschaft müht sich aus der Stagnation. Im kommenden Jahr dürfte die Wirtschaftsleistung wieder zulegen. Eine große konjunkturelle Dynamik ist aber nicht absehbar. Vor allem die recht kräftigen Zuwächse des real verfügbaren Einkommens werden den privaten Konsum anschieben. Die Zinswende belastet jedoch weiterhin die Baubranche und größere Impulse seitens der Weltwirtschaft lassen auf sich warten. Zudem wird die sich nach dem Bundesverfassungsgerichtsurteil zum Nachtragshaushalt 2021 abzeichnende Konsolidierung die wirtschaftliche Expansion bremsen. Bezüglich der genauen Ausgestaltung der Einsparungen besteht ebenso Unsicherheit wie über deren wirtschaftliche Auswirkungen. In der Prognose senken die zusätzlichen Einsparungen die Zuwachsrate des Bruttoinlandsprodukts um gut 0, 3 Prozentpunkte im Jahr 2024. Insgesamt rechnen wir nun mit einem Anstieg des Bruttoinlandsprodukts für das kommende Jahr von 0, 9 Prozent und damit mit einer langsameren Gangart als in unserer Herbstprognose (1, 3 Prozent). Im Jahr 2025 dürfte die Wirtschaftsleistung um 1, 2 Prozent zulegen (Herbstprognose: 1, 5 Prozent). Im laufenden Jahr fällt das Minus mit 0, 3 Prozent etwas niedriger aus als im Herbst erwartet (-0, 5 Prozent). Die Inflation ist deutlich gesunken. Für die kommenden beiden Jahre rechnen wir mit Raten von 2, 3 Prozent (2024) und 1, 8 Prozent (2025), nach 5, 9 Prozent im laufenden Jahr. Die geringe wirtschaftliche Dynamik hinterlässt Spuren am Arbeitsmarkt. Der demographische Wandel und da-mit verbunden der Fachkräftemangel wirken dem aber entgegen. Das Finanzierungsdefizit des Staates dürfte von 2, 5 Prozent in Relation zum Bruttoinlandsprodukt im Jahr 2022 auf 0, 7 Prozent im Jahr 2025 zurückgehen. Der Schuldenstand wird im gleichen Zeitraum von 66, 1 Prozent auf 62, 4 Prozent sinken. |
| Abstract: | The German economy is struggling to emerge from stagnation. GDP is likely to increase again in 2024, but the economic momentum will remain low. The strong growth in real disposable income will boost private consumption. However, the increases in interest rates continue to weigh on construction investment and there are no signs of large impulses from the world economy ahead. Moreover, the fiscal consolidation because of the Federal Constitutional Court's judgement on the supplementary budget for 2021 will slow economic expansion. There is uncertainty regarding the exact structuring of the reductions in expenditure as well as their economic impact. In the forecast, the additional savings will reduce growth in GDP by around 0.3 percentage points in 2024. Overall, we now expect GDP to increase by 0.9 percent in the coming year and thus at a slower pace than in our autumn forecast (1.3 percent). In 2025, economic output is likely to increase by 1.2 percent (autumn forecast: 1.5 percent). The decline in the current year of 0.3 percent will be slightly lower than expected in the autumn (-0.5 percent). Inflation has fallen significantly. For the next two years, we expect rates of 2.3 percent (2024) and 1.8 percent (2025), after 5.9 percent in the current year. The low economic momentum is leaving its mark on the labour market. However, demographic change and the associated shortage of skilled labour are counteracting this. The government's financing deficit is expected to fall from 2.5 percent relative to GDP in 2022 to 0.7 percent in 2025. The debt level will fall from 66.1 percent to 62.4 percent in the same period. |
| Keywords: | Fortgeschrittene Volkswirtschaften, Schwellenländer, Geldpolitik, Weltwirtschaft, advanced economies, monetary policy, World economy |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwkkb:281069&r=mac |
| By: | Boysen-Hogrefe, Jens; Groll, Dominik; Hoffmann, Timo; Jannsen, Nils; Kooths, Stefan; Sonnenberg, Nils; Stamer, Vincent |
| Abstract: | The German economy is struggling to emerge from stagnation. GDP is likely to increase again in 2024, but the economic momentum will remain low. The strong growth in real disposable income will boost private consumption. However, the increases in interest rates continue to weigh on construction investment and there are no signs of large impulses from the world economy ahead. Moreover, the fiscal consolidation because of the Federal Constitutional Court's judgement on the supplementary budget for 2021 will slow economic expansion. There is uncertainty regarding the exact structuring of the reductions in expenditure as well as their economic impact. In the forecast, the additional savings will reduce growth in GDP by around 0.3 percentage points in 2024. Overall, we now expect GDP to increase by 0.9 percent in the coming year and thus at a slower pace than in our autumn forecast (1.3 percent). In 2025, economic output is likely to increase by 1.2 percent (autumn forecast: 1.5 percent). The decline in the current year of 0.3 percent will be slightly lower than expected in the autumn (-0.5 percent). Inflation has fallen significantly. For the next two years, we expect rates of 2.3 percent (2024) and 1.8 percent (2025), after 5.9 percent in the current year. The low economic momentum is leaving its mark on the labour market. However, demographic change and the associated shortage of skilled labour are counteracting this. The government's financing deficit is expected to fall from 2.5 percent relative to GDP in 2022 to 0.7 percent in 2025. The debt level will fall from 66.1 percent to 62.4 percent in the same period. |
| Keywords: | advanced economies, emerging economies, energy crisis, monetary policy |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwkeo:281071&r=mac |
| By: | Andrea Atencio De Leon; Claudia Macaluso; Chen Yeh |
| Abstract: | This paper investigates the increasing importance of domestic outsourcing in U.S. manufacturing. Under domestic outsourcing, the agency is the employer of record for temporary workers, though they perform their tasks at the client business’ premises. On a yearly basis, one in two manufacturing plants hires at least some of its workers through a temporary help agency. Furthermore, domestic outsourcing is becoming increasingly more important: the average share of revenue spent on such arrangements has gone up by 85 percent since 2006. We develop a methodology to transform reported expenses on temporary and leased workers into plant-level outsourced employment counts, using administrative data on the U.S. manufacturing sector. We find that domestic outsourcing is an important margin of adjustment that plants use to modify their workforce in response to productivity shocks. Plant-level outsourced employment adjusts more quickly and is twice as responsive as payroll employment. These micro implications have significant aggregate consequences. Without taking reallocations in outsourced employment into account, the measured pace at which jobs reallocate across workplaces is underestimated. On average, we omit the equivalent of 15 percent of payroll employment reallocations in each year. However, outsourced employment churns at a much higher rate compared to its payroll counterpart. Therefore, the omission of outsourced reallocations can rationalize 37 percent of the secular decline in the aggregate job reallocation rate. Lastly, the extent of mismeasurement varies with the business cycle; falling in downturns and increasing in upturns implying that the speed of economic recovery is underestimated. |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:cen:wpaper:23-64&r=mac |
| By: | J. Carter Braxton; Nisha Chikhale; Kyle F. Herkenhoff; Gordon M. Phillips |
| Abstract: | We combine the Decennial Census, credit reports, and administrative earnings to create the first panel dataset linking parent’s credit access to the labor market outcomes of children in the U.S. We find that a 10% increase in parent’s unused revolving credit during their children’s adolescence (13 to 18 years old) is associated with 0.28% to 0.37% greater labor earnings of their children during early adulthood (25 to 30 years old). Using these empirical elasticities, we estimate a dynastic, defaultable debt model to examine how the democratization of credit since the 1970s – modeled as both greater credit limits and more lenient bankruptcy – affected intergenerational mobility. Surprisingly, we find that the democratization of credit led to less intergenerational mobility and greater inequality. Two offsetting forces underlie this result: (1) greater credit limits raise mobility by facilitating borrowing and investment among low-income households; (2) however, more lenient bankruptcy policy lowers mobility since low-income households dissave, hit their constraints more often, and reduce investments in their children. Quantitatively, the democratization of credit is dominated by more lenient bankruptcy policy and so mobility declines between the 1970s and 2000s. |
| JEL: | D14 E21 J13 J24 |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:32031&r=mac |
| By: | Shovon Sengupta; Tanujit Chakraborty; Sunny Kumar Singh |
| Abstract: | Forecasting a key macroeconomic variable, consumer price index (CPI) inflation, for BRIC countries using economic policy uncertainty and geopolitical risk is a difficult proposition for policymakers at the central banks. This study proposes a novel filtered ensemble wavelet neural network (FEWNet) that can produce reliable long-term forecasts for CPI inflation. The proposal applies a maximum overlapping discrete wavelet transform to the CPI inflation series to obtain high-frequency and low-frequency signals. All the wavelet-transformed series and filtered exogenous variables are fed into downstream autoregressive neural networks to make the final ensemble forecast. Theoretically, we show that FEWNet reduces the empirical risk compared to single, fully connected neural networks. We also demonstrate that the rolling-window real-time forecasts obtained from the proposed algorithm are significantly more accurate than benchmark forecasting methods. Additionally, we use conformal prediction intervals to quantify the uncertainty associated with the forecasts generated by the proposed approach. The excellent performance of FEWNet can be attributed to its capacity to effectively capture non-linearities and long-range dependencies in the data through its adaptable architecture. |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2401.00249&r=mac |
| By: | Marc-André Gosselin; Sharon Kozicki |
| Abstract: | This paper aims to bridge the gap between models in research and models used to support policy decisions in central banks. Models used in central bank projection environments overlap with research models and benefit from lessons learned in research, but they differ from research models in important ways. For example, to deal with real-world macroeconomic projection issues, central bank models may have a broader scope. To inform policy decision-making, models generally need both a theoretical basis and an ability to “fit” the data. For repeated projection exercises, forecasters need models that can be adapted to deal with data flows, including historical revisions. And, to provide valuable advice, forecasters must incorporate judgement into their projections to address issues outside the scope of the model. If all these challenges are met, then central bank models and projections will also inform the economic narrative that helps the public understand the policy decisions. In this context, this paper is organized around four main themes: 1) model requirements for central bank purposes; 2) overview of the Bank of Canada’s main policy models—ToTEM and LENS; 3) challenges in meeting those modelling requirements; and 4) practical approaches to addressing some challenges under time constraints. The paper concludes with a description of how lessons learned from research and practice set the stage for the Bank’s future modelling agenda, as discussed in Coletti (2023). |
| Keywords: | Economic models; Monetary policy |
| JEL: | C32 C51 E37 E47 E52 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocadp:23-29&r=mac |
| By: | Jahen F. Rezki (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Syahda Sabrina (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Nauli A. Desdiani (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Teuku Riefky (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Amalia Cesarina (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Meila Husna (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Faradina Alifia Maizar (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)); Yoshua Caesar (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia (LPEM FEB UI)) |
| Abstract: | Despite the economic bleakness in the global economy following serious disruptions of prolonged Covid-19 spread, geopolitical tension, rising food and energy prices, and overheating inflation throughout 2022, Indonesia has managed to persistently grow at 5.72% (y.o.y) in Q3-2022. The figure is the highest level in the last ten years and marks its third consecutive quarter having a growth rate higher than expectations. The growth was mainly supported by the solid demand and production activity as Indonesia managed to channel the commodity windfall profit to increase the budget and delay the fuel price hike. Moreover, the relatively low growth in the same period previous year has also contributed to the higher-than-expected growth in Q3-2022. Manufacturing industry as the biggest sector to contribute to GDP recorded a significant growth increase from 4.01% (y.o.y) in Q2-2022 to 4.83% (y.o.y) in Q3-2022. From expenditure side, the robust household consumption of 5.39% (y.o.y) and investment growth of 4.96% (y.o.y) has played an important role in boosting economic growth. |
| Keywords: | gdp — economic quarterly — economic outlook — inflation — macroeconomics |
| Date: | 2023–03 |
| URL: | http://d.repec.org/n?u=RePEc:lpe:queout:202303&r=mac |
| By: | Issiaka Coulibaly; Blaise Gnimassoun; Hamza Mighri; Jamel Saadaoui |
| Abstract: | The paper adds to the literature on the issue of public debt in African economies, by investigating the role foreign exchange reserves play in improving the level of indebtedness and as buffer of the negative effect of exchange rate depreciation while considering the exchange rate policy. Our results show a direct link between the level of foreign currency reserves and that of external debt in Africa. Particularly, we demonstrate that higher foreign currency reserves tend to decrease the public debt stock to GDP. This effect is even more significant when countries go through high exchange rate depreciation episodes (10% or higher). This impact, however, is not homogenous among country groups, as only countries with a floating exchange regime tend to benefit from this buffer effect compared to anchored regimes. In a time where most African economies face severe exchange rate depreciation episodes following the U.S. monetary tightening policy, central bankers and policy makers need to consider a plethora of policy issues including interventions in the FX market to mitigate depreciations and maintain a sustainable public debt stock. |
| Keywords: | Exchange Rate, International Reserves, Buffer Effect, Public Debt. |
| JEL: | F3 F31 F32 F34 H6 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:ulp:sbbeta:2023-42&r=mac |
| By: | Lehmann, Tobias (USI Università della Svizzera Italiana) |
| Abstract: | I study inequality in job values, both in terms of wages and non-wage values, in Austria over the period 1996 to 2011. I show that differences in non-wage job value between firms are non-parametrically identified from data on worker flows and wage differentials. Intuitively, firms with high non-wage value attract workers without paying a wage premium. I study the distribution of job value among workers and find a positive correlation between wage and non-wage value. Inequality in job value is thus considerably greater than wage inequality, reflected in the standard deviation of job value being more than twice as large as the standard deviation of wage. Job value inequality increases between 1996 and 2011, although wage inequality remains constant. An important reason is that, over time, dispersion of rents offered by firms increases, while compensating differentials lose importance. |
| Keywords: | inequality, amenities, worker heterogeneity, firm heterogeneity, on-the-job search, wage dispersion, matched employer-employee data |
| JEL: | E24 J31 J32 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp16663&r=mac |
| By: | Nino Buliskeria (Institute of Economic Studies of the Faculty of Social Sciences, Charles University, Prague, Czech Republic & The Czech Academy of Sciences, Institute of Information Theory and Automation, Prague, Czech Republic); Jaromir Baxa (Institute of Economic Studies of the Faculty of Social Sciences, Charles University, Prague, Czech Republic & The Czech Academy of Sciences, Institute of Information Theory and Automation, Prague, Czech Republic); Tomas Sestorad (Institute of Economic Studies of the Faculty of Social Sciences, Charles University, Prague, Czech Republic & The Czech Academy of Sciences, Institute of Information Theory and Automation, Prague, Czech Republic & The Czech National Bank, Prague, Czech Republic) |
| Abstract: | The news-based Economic Policy Uncertainty indices (EPU) of Germany, France, and the United Kingdom display discernible trends that can be found neither in other European countries nor in other uncertainty indicators. Therefore, we replicate the EPU index of European countries and show that these trends are sensitive to the rather arbitrary choice of normalizing the raw counts of news related to economic policy uncertainty by the count of all newspaper articles. We show that an alternative normalization by news on economic policy leads to different long-term dynamics with less pronounced trends and markedly lower uncertainty during recent periods of uncertainty such as Brexit or the COVID-19 pandemic. Consequently, our results suggest that the effects of uncertainty related to these events on economic activity may have been overestimated. |
| Keywords: | economic policy uncertainty, trend-cycle decomposition, reproducibility, reliability |
| JEL: | D80 E66 E32 |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:fau:wpaper:wp2024_01&r=mac |
| By: | Pollitt, M G. |
| Abstract: | This paper examines the 2021-2023 energy crisis in Europe exacerbated by the energy consequences of the full-scale Russia – Ukraine war which began in February 2022. We show that this is an historically unprecedented price shock to both gas and electricity prices. We then draw on lessons from UK energy policy in World War Two to inform European energy policy during this crisis. In light of this, we examine actual policy responses by the European Union (EU). The EU has responsibility for the European single market in electricity and gas (which also formally includes Norway and effectively includes the UK) and has attempted to co-ordinate EU-27 responses to the crisis. We highlight four good and three bad policy responses observed across Europe. We conclude with longer-run lessons for energy and climate policy arising from this gas and electricity price shock. |
| Keywords: | energy crisis, single market in energy, wartime |
| JEL: | L94 L95 |
| Date: | 2023–12–29 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camdae:2350&r=mac |
| By: | Svetlov, Nikolai (Светлов, Николай) (The Russian Presidential Academy of National Economy and Public Administration); Ternovsky, Denis (Терновский, Денис) (The Russian Presidential Academy of National Economy and Public Administration); Uzun, Vasily (Узун, Василий) (The Russian Presidential Academy of National Economy and Public Administration); Shagaida, Natalia (Шагайда, Наталья) (The Russian Presidential Academy of National Economy and Public Administration); Potapova, Alexandra (Потапова, Александра) (The Russian Presidential Academy of National Economy and Public Administration); Shishkina, Ekaterina (Шишкина, Екатерина) (The Russian Presidential Academy of National Economy and Public Administration) |
| Abstract: | The current stage of regulation of the domestic market of agricultural products using foreign trade restrictions, associated with the growth of world food prices in 2020-2022 solves the problem of preventing the transfer of growth in world prices to domestic prices. The need to assess the impact of the regulatory tools used on the state of agricultural producers forms a hypothesis and determines the relevance of the study. Objective: to assess the impact of foreign trade instruments for regulating the agricultural market on the state of its producers. Object: producers of agricultural products. Subject: production, consumption, export and import of agricultural products. The study was carried out at the Center of Agro-Food Policy, RANEPA, 2022. Methods and data: data from Rosstat, Ministry of Agriculture of the Russian Federation, Federal Tax Service of Russia, Federal Customs Service of Russia, Bank of Russia, FAS USDA, CEPII. The data and regulatory documents used, links to which are placed in the text of the study, are relevant as of May 2022. Methods of economic and statistical analysis were used during the study. Results: assessment of the current regulation of the domestic market of agricultural goods and the prerequisites for the use of alternative instruments. Conclusions. The introduced export duty on grain crops performs a fiscal function and, in part, a regulatory function in terms of reducing domestic prices. The direct effect of the introduction of export customs duties is a multiple of the fiscal effect of the current tax system. There are disproportions in the distribution of the amount of collected duties - in regions with developed chains of vertical integration, the cost recovery rate per 1 ton is higher than in regions where the produced grain is fully sold on the market. The level of marketability of production has a significant impact on the amount of support. The transition to determining the amount of subsidies using the maximum level of co-financing of the expenditure obligation of the subject of the federation leads to a significant decrease in the funds received by manufacturers in regions with a high level of budgetary security. Research prospects. The analysis carried out serves as a basis for studying the effectiveness of domestic market regulation instruments, alternative to foreign trade restrictions. |
| Keywords: | Agriculture, food markets, agri-food policy, tariff regulation, grain damper, subsidies |
| JEL: | Q11 Q17 Q18 |
| Date: | 2022–11–07 |
| URL: | http://d.repec.org/n?u=RePEc:rnp:wpaper:w20220286&r=mac |
| By: | Ruiying Xiao |
| Abstract: | This study investigates the impact of female leadership on the financial constraints of firms, which are publicly listed entrepreneurial enterprises in China. Utilizing data from 938 companies on the China Growth Enterprise Market (GEM) over a period of 2013-2022, this paper explores how the female presence in CEO positions, senior management, and board membership influences a firm's ability to manage financial constraints. Our analysis employs the Kaplan-Zingales (KZ) Index to measure these constraints, encompassing some key financial factors such as cash flow, dividends, and leverage. The findings reveal that companies with female CEOs or a higher proportion of women in top management are associated with reduced financial constraints. However, the influence of female board members is less clear-cut. Our study also delves into the variances of these effects between high-tech and low-tech industry sectors, emphasizing how internal gender biases in high-tech industries may impede the alleviation of financing constraints on firms. This research contributes to a nuanced understanding of the role of gender dynamics in corporate financial management, especially in the context of China's evolving economic landscape. It underscores the importance of promoting female leadership not only for gender equity but also for enhancing corporate financial resilience. |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2401.02134&r=mac |
| By: | Kosarev, Vladimir (Косарев, Владимир) (The Russian Presidential Academy of National Economy and Public Administration); Makarov, Andrey (Макаров, Андрей) (The Russian Presidential Academy of National Economy and Public Administration); Pleskachev, Yuriy (Плескачев, Юрий) (The Russian Presidential Academy of National Economy and Public Administration); Ponomarev, Yuriy (Пономарев, Юрий) (The Russian Presidential Academy of National Economy and Public Administration); Saprykin, Matvey (Сапрыкин, Матвей) (The Russian Presidential Academy of National Economy and Public Administration); Rostislav, Kirill (Ростислав, Кирилл) (The Russian Presidential Academy of National Economy and Public Administration) |
| Abstract: | National development goals achievability analysis, as well as the impact of national projects on the achievement of these goals, has been conducted on an ongoing basis since the signing of Presidential Decree No. 204 of 7.05.2018 and represents a complex task. This study presents an attempt to build such a model based on machine learning methods. Several important points need to be taken into account while building such model: the ability to effectively take into account nonlinear dependencies between factors, the possibility of using large arrays of heterogeneous incoming data, taking into account the influence of macroeconomic factors, as well as the direct results of national projects on indicators of national development goals. With the help of the constructed model, a shortterm forecast for 2022 was built for several indicators of national goals. As a part of the model this paper also analyzes the mutual impact of expenditures on national projects, as well as their contribution to the achievement of national development goals. |
| Date: | 2022–11–10 |
| URL: | http://d.repec.org/n?u=RePEc:rnp:wpaper:w20220301&r=mac |
| By: | Alessandro V. M. Oliveira; Bruno F. Oliveira; Moises D. Vassallo |
| Abstract: | The service quality of a passenger transport operator can be measured through face-to-face surveys at the terminals or on board. However, the resulting responses may suffer from the influence of the intrinsic aspects of the respondent's personality and emotional context at the time of the interview. This study proposes a methodology to generate and select control variables for these latent psychosituational traits, thus mitigating the risk of omitted variable bias. We developed an econometric model of the determinants of passenger satisfaction in a survey conducted at the largest airport in Latin America, S\~ao Paulo GRU Airport. Our focus was on the role of flight delays in the perception of quality. The results of this study confirm the existence of a relationship between flight delays and the global satisfaction of passengers with airports. In addition, favorable evaluations regarding airports' food/beverage concessions and Wi-Fi services, but not their retail options, have a relevant moderating effect on that relationship. Furthermore, dissatisfaction arising from passengers' interaction with the airline can have negative spillover effects on their satisfaction with the airport. We also found evidence of blame-attribution behavior, in which only delays of internal origin, such as failures in flight management, are significant, indicating that passengers overlook weather-related flight delays. Finally, the results suggest that an empirical specification that does not consider the latent psychosituational traits of passengers produces a relevant overestimation of the absolute effect of flight delays on passenger satisfaction. |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2401.02139&r=mac |
| By: | Knobel, Alexander (Кнобель, Александр) (The Russian Presidential Academy of National Economy and Public Administration); Zaytsev, Yuriy (Зайцев, Юрий) (The Russian Presidential Academy of National Economy and Public Administration); Sedalishchev, Vladimir (Седалищев, Владимир) (The Russian Presidential Academy of National Economy and Public Administration); Bagdasaryan, Kniaz (Багдасарян, Княз) (The Russian Presidential Academy of National Economy and Public Administration); Kuznetsov, Dmitry (Кузнецов, Дмитрий) (The Russian Presidential Academy of National Economy and Public Administration); Besov, Vladislav (Бесов, Владислав) (The Russian Presidential Academy of National Economy and Public Administration); Yeremin, Vladimir (Еремин, Владимир) (The Russian Presidential Academy of National Economy and Public Administration) |
| Abstract: | Improving the efficiency of firms is one of the most important factors in economic growth. There are studies pointing to a possible increase in the productivity of firms as a result of their involvement in international trade. Partly, these differences are due to the fact that more efficient firms initially enter the international market (selection effect), but beyond this effect there is a direct effect on the productivity of participation in international trade. In addition, there is reason to believe that simultaneous participation in both exporting and importing activities (e.g. as a result of being embedded in value chains) may have a greater effect. Using econometric and analytical methods of data analysis, the heterogeneity of causal relationships between the increase in productivity of enterprises and their export and import status was revealed. However, the paper developed a methodology to identify enterprises whose potential involvement in international trade can contribute most to the growth of their productivity. The results of this research can be used for: the patterns established, as well as quantitative estimates of the magnitude of the effects corresponding to them, can be used to refine the forecasts of the effects of economic policy in the scenario analysis. Estimates of the effects of lowering the barriers to firms' export market entry on the productivity of Russian enterprises. |
| Keywords: | production frontier, export status, efficiency, international trade, productivity, selection effect, stochastic frontier model, high-dimensional model |
| JEL: | D21 F23 L22 B17 F13 |
| Date: | 2022–11–11 |
| URL: | http://d.repec.org/n?u=RePEc:rnp:wpaper:w20220302&r=mac |