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on Macroeconomics |
| By: | Mikro Abbritti |
| Keywords: | Endogenous Growth, Monetary Policy, Optimal Inflation Target, Downward Wage Rigidity, Monetary Policy Invariance, Zero Lower Bound. |
| JEL: | E24 E3 E5 O41 J64 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:nva:unnvaa:wp01-2023&r=mac |
| By: | Schmöller, Michaela; McClung, Nigel |
| Abstract: | This paper studies price stability and debt sustainability when the real rate exceeds trend growth (r > g) in a New Keynesian model with endogenous technology growth through R&D. Under debt-stabilizing ("passive") fiscal policy the Taylor principle is not sufficient for determinacy. Instead, monetary policy should at least aim to raise r − g with persistent inflation in order to stabilize the expectations of households, firms and innovators. Endogenous growth provides a self-financing mechanism for deficits under active fiscal policy; growth provides some backing for the public debt, which reduces the need for debt-stabilizing inflation when current fiscal deficits are not backed by future fiscal surpluses. Because growth creates some fiscal space, a monetary policy that adheres to the Taylor principle combined with active fiscal policy can yield a unique stable equilibrium, provided that the policy permits r−g to fall with inflation. |
| Keywords: | Public Debt, Inflation, Monetary-Fiscal Interaction, Fiscal Theory of the Price Level, Endogenous Growth |
| JEL: | E31 E52 E62 E24 O42 |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bofrdp:281773&r=mac |
| By: | Braun, Robin (Federal Reserve Board of Governors); Miranda-Agrippino, Silvia (Bank of England); Saha, Tuli (Bank of England) |
| Abstract: | This paper introduces the UK Monetary Policy Event-Study Database (UKMPD), a new and rich dataset of high-frequency monetary policy surprises for the United Kingdom. Intraday surprises are computed around the Bank of England’s Monetary Policy Committee’s announcements, as well as around the press conference that accompanies the publication of the quarterly Monetary Policy Report. The dataset also includes factors that allow to disentangle the different dimensions of UK monetary policy. We use the data to provide updated estimates of the causal effects of rate decisions and forward guidance on financial markets and macroeconomic aggregates in the UK, and provide novel insights on how markets have responded to the changes in the communication strategy of the Bank of England. |
| Keywords: | UK monetary policy surprises; event-study; intraday; monetary policy transmission; dataset |
| JEL: | E43 E44 E52 E58 G14 |
| Date: | 2023–11–03 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:1050&r=mac |
| By: | William White |
| Abstract: | The objective pursued by most central banks in recent decades has been a low level of inflation. Since inflation was believed to respond to changes in unemployment, this implied a primary focus on labor markets and output gaps in the "real" economy when setting monetary policy. In contrast, "financial" sector developments were thought to be of no great importance. It is argued in this paper that monetary policy should be guided much more by financial sector developments (credit and debt) and much less by near term targets for inflation. This argument is first supported by an empirical review of the negative outcomes produced by the current policy framework; in particular, financial bubbles have created ever larger bubbles which threaten future growth prospects. A second level of support is provided through questioning the need for and the effectiveness of easy money, and through pointing out its many unintended and dangerous consequences. An alternative monetary policy framework would begin with the observation that an economy is a complex, adaptive system like many others in nature and society. From this perspective, arguments for introducing a "narrow money" regime need more attention. |
| Keywords: | inflation, monetary policy, financial system, complexity, bubbles |
| JEL: | N10 E31 E42 E52 E58 |
| Date: | 2023–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:thk:wpaper:inetwp210&r=mac |
| By: | Marie Alder; Nuno Coimbra; Urszula Szczerbowicz |
| Abstract: | Using French firms’ balance sheet data, we show that corporate debt structure plays a significant role in ECB monetary policy transmission. In addition to interest rate policy, we analyse the impact of a novel ECB-induced bond liquidity shock. While both types of policy tightening diminish French firms’ investment, the transmission of conventional monetary policy shocks is stronger for firms with a higher share of bank debt. Conversely, contractionary bond liquidity shocks lower investment more for firms with higher bond shares of total debt. We further investigate the transmission channels and show that bond liquidity tightening reduces French sovereign bond market liquidity and leads to higher bond-bank loan interest rate spreads and lower bond issuance. |
| Keywords: | Monetary Policy Transmission, Corporate Debt Structure, Investment |
| JEL: | E22 E43 E44 E52 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:bfr:banfra:933&r=mac |
| By: | James A. Clouse |
| Abstract: | This paper develops an analytical framework aimed at shedding light on the implications of the evolution of financial market structure for monetary policy implementation and transmission. The basic model builds on that developed in Chen et. al. (2014) which, in turn, draws inspiration from the pioneering work of Tobin (1969) and Gurley and Shaw (1960). The paper focuses, in particular, on the implications of introducing new types of fixed-rate financial assets in the financial system including retail and wholesale central bank digital currency (CBDC), stablecoins issued by narrow nonbanks, and deposits issued by narrow banks. The analysis also provides a crude way of capturing some of the effects of bank capital and liquidity regulation on financial intermediation and monetary policy implementation. Perhaps the most important conclusion is that the introduction of new fixed-rate assets by the Federal Reserve or by other financial intermediaries can have significant effects on equilibrium interest rates and patterns of financial intermediation and may also affect the potency of monetary policy tools. These effects are most pronounced when new financial assets are close substitutes for existing financial assets. |
| Keywords: | Bank Regulation; Financial Innovation; Monetary Policy Implementation; Monetary policy |
| JEL: | E40 E42 E43 E44 E50 E52 |
| Date: | 2024–01–16 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2024-01&r=mac |
| By: | Nora Lustig (Tulane University); Valentina Martinez Pabon (Yale University); Carola Pessino (IDB) |
| Abstract: | This paper uses standard fiscal incidence analysis to study how much income redistribution and poverty reduction are accomplished through the fiscal system in eighteen Latin American and Caribbean (LAC) countries. We show there is considerable heterogeneity in the income inequality and poverty-reducing power of LAC fiscal systems. While all LAC fiscal systems reduce income inequality, fiscal systems in nine LAC countries are poverty-increasing, and this startling characteristic has not improved over time. When analyzing specific fiscal elements, we find that direct taxes, direct transfers, and in-kind transfers are all equalizing, and spending on education and health is often pro-poor. Moreover, contrary to expectations, indirect taxes and subsidies are more frequently equalizing than unequalizing. |
| Keywords: | Fiscal policy, inequality, poverty, Latin America |
| JEL: | D31 D6 E62 H22 I32 |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:tul:wpaper:2402&r=mac |
| By: | Leila Ben Salem; Ridha Nouira; Christophe Rault |
| Abstract: | This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two nonlinear techniques are used to this end: The nonlinear autoregressive distributed lag approach (NARDL), and the Hansen's model (2000). Our econometric results first indicate that the effect of oil price on inflation tends to change across sectors and countries. Second, the inflationary effects of variations in oil prices are likely to affect the energy sector, such as transport and equipment, which are the most dependent on oil. Third, the effect of oil price exists for all countries, but it is stronger in oil-importing than in oil-exporting ones. Besides, the country most sensitive to the oil price level is China. |
| Keywords: | oil price, sectoral inflation, NARDL, panel threshold model, oil-importing countries, oil-exporting countries |
| JEL: | C50 Q40 Q43 |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_10879&r=mac |
| By: | Fatouh, Mahmoud (Bank of England); Giansante, Simone (Department of Economics, Business and Statistics, University of Palermo); Ongena, Steven (University of Zurich, Swiss Finance Institute, KU Leuven, NTNU Business School and CEPR) |
| Abstract: | We assess the impact of quantitative easing (QE) on the provisioning of liquidity and the pricing in the UK gilt repo market. We compare the behaviour of banks that received reserves injections via QE operations to other similar banks in terms of the amounts lent and pricing. We also investigate whether leverage ratio capital requirements affected the amounts of liquidity supplied by broker-dealers and the spreads they charged. We find that QE interventions can improve liquidity provision, and that their size determines how this is attained. QE can also reduce the cost of borrowing in the repo market unless it was associated with spikes in demand for liquidity. Our findings further indicate that the leverage ratio supports the provision of liquidity during stress, as it prompts banks to become less leveraged. However, the larger capital charge repo transactions attract under the leverage ratio requirement is reflected in their spreads. |
| Keywords: | Monetary policy; quantitative easing; gilt repo market; leverage ratio |
| JEL: | G10 G21 G23 |
| Date: | 2024–02–07 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:1055&r=mac |
| By: | Assen Slim (CREE EA 4513 - Centre de recherches Europes-Eurasie - Inalco - Institut National des Langues et Civilisations Orientales, CESSMA UMRD 245 - Centre d'études en sciences sociales sur les mondes africains, américains et asiatiques - IRD - Institut de Recherche pour le Développement - Inalco - Institut National des Langues et Civilisations Orientales - UPCité - Université Paris Cité) |
| Abstract: | In einem internationalen Kontext, in dem die Blockchain-Technologie zunehmend an Attraktivität gewinnt, wurden zahlreiche Projekte für digitale Zentralbankwährungen (MDBC) ins Leben gerufen. Das von der ukrainischen Zentralbank (NBU) initiierte e-hryvnia-CBDM-Projekt ist eines der am weitesten fortgeschrittenen in Europa. Nach einer Definition des Begriffs MDBC gibt dieser Artikel einen Überblick über die Erwartungen der NBU, die Ergebnisse des 2018 gestarteten Pilotprojekts MDBC e-hryvnia und die noch zu beseitigenden Hindernisse für die endgültige Einführung dieser Zentralbankwährung der neuen Generation. |
| Abstract: | In an international context marked by a growing attraction for blockchain technology, many central bank digital currency (CBD) projects have emerged. The e-Hryvnia CBDC project initiated by the National Bank of Ukraine (NBU) is one of the most advanced in Europe. After defining the concept of CBDC, this article reviews the NBU's expectations, the findings of the CBDC e-hryvnia pilot project launched in 2018, and the hurdles to be cleared to launch this new generation of central bank currency. |
| Abstract: | La MDBC e-hryvnia : une monnaie banque centrale en projet Dans un contexte international marqué par un attrait croissant pour la technologie blockchain, de nombreux projets de monnaies digitales de banques centrales (MDBC) ont vu le jour. Le projet de MDBC e-hryvnia engagé par la banque centrale d'Ukraine (NBU) est l'un des plus avancés d'Europe. Après avoir défini la notion de MDBC, cet article fait le point sur les attentes de la NBU, les conclusions du projet pilote de MDBC e-hryvnia lancé en 2018 et les obstacles qui restent à lever pour lancer définitivement cette monnaie banque centrale de nouvelle génération. |
| Keywords: | Central bank digital currency, CDBC, e-hryvnya, Ukraine, National Bank of Ukraine, Monnaie digitale de banque centrale, MDBC, e-hryvnia, Banque nationale d'Ukraine |
| Date: | 2022–12–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03937410&r=mac |
| By: | Bukowski, Pawel; Chrostek, Pawel; Novokmet, Filip; Skawinski, Marek |
| Abstract: | This paper combines micro-level tax data, household surveys and national accounts data to provide consistent series of income distribution in Poland over the 2000-2018 period. We find that inequalities in Poland are one of the largest in Europe. In 2018, the share of pre-tax and pre-transfer income accrued to the top 10% is 37.4%, to the next 40% is 41.1%, and to the bottom 50% is 21.5%. The top 1% earns 13.4% of the total income. The increase in income inequality during this period was largely driven by high business incomes in top income shares. The extent of redistribution in Poland is modest. The tax system is regressive at the top of the income distribution due to lower taxation of business income and the low burden of social contributions. Finally, we show that top income groups are dominated by business owners, males, and big city dwellers, and these groups have been the largest beneficiaries of Poland's strong growth since 2000. Gender inequality has been high and stable in Poland, with a steeply decreasing female share with income rank (e.g. the share of females in top 0.1% group was 18% in 2018). |
| Keywords: | inequality; Poland; growth; redistribution; gender gap |
| JEL: | N0 E6 |
| Date: | 2023–12–06 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:121282&r=mac |
| By: | Miguel Acosta-Henao; Sangeeta Pratap; Manuel Taboada |
| Abstract: | We evaluate the mechanisms behind relationship lending and its macroeconomic consequences. Using confidential credit registry data merged with firm tax records in Chile, we find that a closer relationship with a bank gives firms access to more credit at better terms. More productive and larger firms have closer relationships with banks. We build a dynamic model of firm behavior where firms choose their relationship status jointly with investment and borrowing decisions. Calibrating the model to Chilean data, we find that borrowing in relationships allows for greater screening and monitoring of firms, provides implicit guarantees to other creditors and necessitates a lower amount of collateral. More productive firms select into relationships, and relationship lending allows for larger loans at lower interest rates. Counterfactual experiments indicate that the effects of relationship lending are large. Extending these benefits to all firms results in an increase of almost 30 percent in aggregate output, capital and TFP. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:chb:bcchwp:999&r=mac |
| By: | Fahmida Khatun; Foqoruddin Al Kabir |
| Abstract: | The study focuses on the critical role of Green Public Financial Management (PFM) in aligning fiscal policies with environmental goals. Recognising the pressing need for climate action and substantial financing, the Government of Bangladesh (GoB) has outlined ambitious plans and policies. The government’s commitment to a unified approach across sectors, third-party monitoring of the Climate Change Trust Fund (CCTF), and proactive initiatives like the National Adaptation Plan (NAP) showcase a dedication to transparency and responsible climate finance utilisation. |
| Keywords: | Climate Budget, National Budget, FY2024, Public Finance Management, PFM, Climate Change, National Adaptation Plan, Climate-related expenditures, Bangladesh |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:pdb:opaper:151&r=mac |
| By: | Alessandro Jedlowski (Sciences Po Bordeaux),; Irene Bono (Université de Turin) |
| Abstract: | Comment les industries culturelles et créatives africaines se transformente-lles à travers le prisme de la libéralisation économique et comment, à leur tour, ces industries contribuent-elles à transformer les processus d’imagination politique de la nation dans un contexte postcolonial ? Cet article examine les rôles que jouent aujourd’hui les industries culturelles et créatives dans les processus de formation des identités collectives en Afrique et souligne l’importance de ces industries dans la production des liens sociaux permettant l’exercice de la citoyenneté dans des contextes historiquement marqués par la fragmentation des sentiments d’appartenance nationale. Il le fait sur la base des résultats de recherche d’un groupe interdisciplinaire de chercheurs africains et européens qui ont mené un projet d’équipe de deux ans dans cinq pays africains (Maroc, Sénégal, Côte d’Ivoire, Nigeria et République démocratique du Congo), comparant les secteurs audiovisuel et de la musique. |
| Keywords: | Afrique |
| JEL: | Q |
| Date: | 2024–01–30 |
| URL: | http://d.repec.org/n?u=RePEc:avg:wpaper:fr16398&r=mac |
| By: | Béatrice Cointe (CSI i3 - Centre de Sociologie de l'Innovation i3 - Mines Paris - PSL (École nationale supérieure des mines de Paris) - PSL - Université Paris sciences et lettres - I3 - Institut interdisciplinaire de l’innovation - CNRS - Centre National de la Recherche Scientifique); Antonin Pottier (CIRED - Centre International de Recherche sur l'Environnement et le Développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École des Ponts ParisTech - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique, CMB - Centre Marc Bloch - MEAE - Ministère de l'Europe et des Affaires étrangères - Bundesministerium für Bildung und Forschung - M.E.N.E.S.R. - Ministère de l'Education nationale, de l’Enseignement supérieur et de la Recherche - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | The range of climate change mitigation scenarios in the IPCC reports frames the futures and policies that we deem possible. In the mitigation pathways produced by Integrated Assessment Models (IAM), economic growth is sustained throughout the century, as we show by surveying the GDP trajectories considered in the IPCC AR5 scenario database and in the more recent IAM literature. We unpack the reasons for IAM's commitment to GDP growth, and seek to understand the quasi-absence of no-growth and degrowth scenarios. An overview of the current organisation of IAM research highlights the internal dynamics within the IAM community and the resulting coordination of choices. We then analyse the representation of economic growth in two IAMs, GCAM (exogenous growth) and WITCH (endogenous growth). From a technical point of view, degrowth scenarios could be considered, but the modelling teams have coordinated their work around growth scenarios. Ultimately, the absence of degrowth/no growth scenarios stems from the fact that, economic growth is largely conceived of and computed as a "natural" driver in IAM research, and not as an intervention point. |
| Abstract: | Los escenarios de mitigación del cambio climático identificados en los informes del IPCC limitan la gama de futuros y políticas consideradas. Los escenarios de mitigación producidos por los Modelos de Evaluación Integrada (IAM) suponen un crecimiento económico continuo a lo largo del siglo, lo que demostramos al revisar las trayectorias del PIB consideradas en la base de datos del Quinto Informe del IPCC y en la literatura reciente de los IAM. Analizamos las razones que podrían explicar la virtual ausencia de escenarios de no crecimiento o decrecientes en esta literatura. Con base en una descripción general de la organización actual de la investigación en torno a los IAM, destacamos el papel de la dinámica interna dentro de la comunidad IAM y las opciones de coordinación resultantes. Luego analizamos la representación del crecimiento en dos modelos: GCAM (modelo de crecimiento exógeno) y WITCH (modelo de crecimiento endógeno). Desde un punto de vista técnico, sería posible considerar escenarios de declive, pero hasta ahora los equipos de modelización han coordinado su trabajo en torno a escenarios de crecimiento. La ausencia de escenarios sin crecimiento o declive se explica principalmente por el hecho de que, en las investigaciones sobre IAM, el crecimiento económico sigue siendo considerado y calculado como un factor "natural" y no como un punto de intervención. |
| Abstract: | Les scenarios d'atténuation du changement climatiques recensés dans les rapports du GIEC contraignent l'éventail des futurs et des politiques envisagés. Les scénarios d'atténuation produits par les modèles d'évaluation intégrés (IAM) supposent un maintien de la croissance économique tout au long du siècle, ce que nous montrons en passant en revue les trajectoires de PIB considérés dans la base de données du cinquième rapport du GIEC et dans la littérature récente émanant des IAM. Nous analysons les raisons pouvant expliquer la quasi-absence de scénario sans croissance ou décroissant dans cette littérature. A partir d'un panorama de l'organisation actuelle de la recherche autour des IAMs, nous soulignons le rôle des dynamiques internes au sein de la communauté des IAM et les choix de coordination qui en résultent. Nous analysons ensuite la représentation de la croissance dans deux modèles : GCAM (modèle à croissance exogène) et WITCH (modèle à croissance endogène). D'un point de vue technique, il serait possible de considérer des scénarios de décroissance, mais les équipes de modélisation ont jusqu'à présent coordonné leur travail autour de scénarios de croissance. L'absence de scénarios sans croissance ou de décroissance s'explique essentiellement par le fait que, dans la recherche autour des IAM, la croissance économique reste considérée et calculée comme un facteur « naturel » et non comme un point d'intervention. |
| Keywords: | degrowth, GDP, mitigation scenarios, Integrated Assessment Models, decrecimiento, PIB, escenarios de mitigación, modelos de evaluación integrados, décroissance, scénarios d’atténuation, modèles d’évaluation intégrés |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04384329&r=mac |
| By: | Diva Astinova; Mr. Romain A Duval; Mr. Niels-Jakob H Hansen; Ben Park; Mr. Ippei Shibata; Mr. Frederik G Toscani |
| Abstract: | Three years after the COVID-19 crisis, employment and total hours worked in Europe fully recovered, but average hours per worker did not. We analyze the decline in average hours worked across European countries and find that (i) it is not cyclical but predominantly structural, extending a long-term trend that predates COVID-19, (ii) it mainly reflects reduced hours within worker groups, not a compositional shift towards lower-hours jobs and workers, (iii) men—particularly those with young children—and youth drive this drop, (iv) declines in actual hours match declines in desired hours. Policy reforms could help involuntary parttimers and women with young children raise their actual hours towards desired levels, but the aggregate impact on average hours would be limited to 0.5 to 1.5 percent. Overall, there is scant evidence of slack at the intensive margin in European labor markets, and the trend fall in average hours worked seems unlikely to reverse. |
| Keywords: | hours worked; working hours; labor market; Europe |
| Date: | 2024–01–12 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2024/002&r=mac |
| By: | Xuanling Yang; Dong Li; Ting Zhang |
| Abstract: | Economic and financial time series can feature locally explosive behavior when a bubble is formed. The economic or financial bubble, especially its dynamics, is an intriguing topic that has been attracting longstanding attention. To illustrate the dynamics of the local explosion itself, the paper presents a novel, simple, yet useful time series model, called the stochastic nonlinear autoregressive model, which is always strictly stationary and geometrically ergodic and can create long swings or persistence observed in many macroeconomic variables. When a nonlinear autoregressive coefficient is outside of a certain range, the model has periodically explosive behaviors and can then be used to portray the bubble dynamics. Further, the quasi-maximum likelihood estimation (QMLE) of our model is considered, and its strong consistency and asymptotic normality are established under minimal assumptions on innovation. A new model diagnostic checking statistic is developed for model fitting adequacy. In addition two methods for bubble tagging are proposed, one from the residual perspective and the other from the null-state perspective. Monte Carlo simulation studies are conducted to assess the performances of the QMLE and the two bubble tagging methods in finite samples. Finally, the usefulness of the model is illustrated by an empirical application to the monthly Hang Seng Index. |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2401.07038&r=mac |
| By: | Josten, Cecily; Lordan, Grace |
| Abstract: | This study tests whether personality traits are legitimately rewarded in the labour market or whether there are differing rewards across gender that cannot be explained with productivity. We investigate if personality traits affect the likelihood of making it to the top income quintile within an occupation differently by gender using UK Household Longitudinal data. We find that being agreeable hurts men more than women across a majority of occupations, which points at the role of gender norms for wages. Further, female legislators and senior officials who are conscientious, extraverted, neurotic and open are more likely to be among the top earners than men. Other than that, we find small gender differences in personality rewards. |
| Keywords: | personality traits; agreeableness; Big Five; labor market; earnings; gender wage gap |
| JEL: | J16 J24 J31 |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:121448&r=mac |
| By: | Dunne, Peter (Central Bank of Ireland); Ghiselli, Angelica (Central Bank of Ireland); Ledoux, Frederik (Central Bank of Ireland); McCarthy, Barra (Central Bank of Ireland) |
| Abstract: | Over September-October 2022, the UK government bond (gilt) market experienced a severe disruption, as selling pressures amplified yield increases. At the centre of this dynamic were liability driven investment (LDI) funds, a product designed to manage interest rate and inflation risk for defined benefit UK pension funds. This Note details how sterling (GBP) denominated Irish-resident LDI funds, which have a significant footprint in the gilt market, were affected by, and contributed to, gilt market disruption over the period. Funds saw substantial declines in the value of their assets, which – in the presence of substantial leverage – posed a significant risk to funds’ survival. Due to their use of leverage, funds faced modest demands for cash from margin calls, while collateral calls that could be met with securities were more substantial. Gilt sales by Irish-resident funds accounted for 30 per cent (£11 billion) of net sales by all LDI entities over the crisis period, but these funds raised more cash from investor subscriptions than gilt sales. LDI fund resilience has improved since the crisis, supported by supervisory interventions by the Central Bank of Ireland and other European authorities. |
| Date: | 2023–09 |
| URL: | http://d.repec.org/n?u=RePEc:cbi:fsnote:7/fs/23&r=mac |
| By: | Wayne Passmore; Roger Sparks |
| Abstract: | This paper analyzes a model of the mortgage market, considering scenarios with and without government-sponsored mortgage securitization. Conventional wisdom says that securitization, by fostering diversification and creating a “safe†asset in the form of mortgage-backed security (MBS), will reduce risk and enhance liquidity, thereby mitigating financial crises. We construct a strategic-game framework to model the interaction between the securitizer and banks. In this framework, the securitizer initiates the process by setting the MBS contract terms, which includes the guaranteed rate and the criterion that qualifies a mortgage for securitization. The bank then selects which qualifying mortgages to exchange for the MBS. Our investigation leads to a key result: government-sponsored securitization, somewhat counterintuitively, is more likely to exacerbate the severity and frequency of financial crises. |
| Keywords: | Financial Crises; Government Sponsored; Mortgage Market; Mortgage-backed securities (MBS); Securitization |
| Date: | 2024–01–19 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2024-02&r=mac |
| By: | Acabbi, Edoardo (Universidad Carlos III de Madrid); Alati, Andrea (Bank of England) |
| Abstract: | This study employs Italian administrative data to investigate how the use of permanent and fixed-term labor contracts influences the transmission of aggregate shocks to firms’ fundamentals. We explore how firms strategically manage their labor-induced operating leverage by adjusting the composition of contracts in their workforce. Our findings reveal two key insights. First, a higher labor share is associated with increased volatility in cash flows following unexpected real shocks, indicating the presence of operating leverage through labor costs. Second, firms with a greater proportion of temporary contracts exhibit lower variability in cash flows and profits. This smoothing effect is more pronounced in firms with a higher labor share attributed to the permanent workforce. We complement our analysis by examining the 2001 labor market reform that lifted restrictions on the creation of temporary contracts. Our results demonstrate that firms, following the staggered implementation of the reform, increased their utilization of temporary contracts while reducing average labor compensation. Furthermore, we find that, only among firms with an ex-ante more rigid labor cost structure and in more concentrated labor markets, the earlier transition to a more flexible workforce composition led to a sizable increase in profit margins and a decrease in the cross-sectional standard deviation of profits. |
| Keywords: | Leverage; labor share; dual labor markets; liquidity; event-study |
| JEL: | E23 G12 J23 |
| Date: | 2023–11–17 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:1051&r=mac |
| By: | Ognjen Obućina; Ariane Pailhé |
| Abstract: | Cet article analyse la formation des couples des populations migrantes et de leurs descendant.es en France. Elle s’intéresse aux types de mise en couple, à l'importance des différents contextes de rencontre pour la formation du couple et à l'origine du partenaire actuel, avec un accent particulier sur la formation des couples mixtes. Grâce aux données de l’enquête Trajectoires et Origine 2 (TeO2), menée par l’Ined et l’Insee en 2019-20, nous montrons que les modèles de mise en couple varient fortement au fil des générations d’immigration. Ainsi, les hommes et les femmes immigré.es sont légèrement plus souvent en couple que les natifs. Leur univers de rencontre est, pour une partie significative de ceux qui ont rencontré leur conjoint actuel après leur arrivée en France, transnational. Ils rencontrent plus souvent leur conjoint par le biais de la famille et ils optent plus fréquemment pour le mariage, notamment sans cohabitation préalable, qui est presque aussi fréquent que le mariage formé après une cohabitation. Environ la moitié des immigrés vivent dans des unions endogames. |
| Keywords: | Immigration, Génération d’immigration, Origine, Descendants d'immigrés, Couple, Mariage, Cohabitation, Endogamie, Union mixte, Lieu de rencontre, TeO2, France, GENERATION / GENERATIONS, IMMIGRATION / IMMIGRATION, COHABITATION / COHABITATION, FORMATION DES COUPLES / UNION FORMATION, COUPLE MIXTE / MIXED COUPLE, COUPLE / COUPLE, DESCENDANTS D'IMMIGRES / DESCENDENTS OF IMMIGRANTS, IMMIGRE / IMMIGRANTS, UNION CONJUGALE / UNION, FRANCE / FRANCE, ENDOGAMIE / ENDOGAMY, MARIAGE / MARRIAGE |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:idg:wpaper:k2grwy0bh3-mp3dlily0&r=mac |
| By: | Goodhart, C. A. E.; Postel-Vinay, Natacha |
| Abstract: | The City of Glasgow Bank failure in 1878, which led to large numbers of shareholders becoming insolvent, generated great public concern about their plight, and led directly to the 1879 Companies Act, which paved the way for the adoption of limited liability for all shareholders. In this paper, we focus on the question of why the opportunity was not taken to distinguish between the appropriate liability for ‘insiders, ’ i.e. those with direct access to information and power over decisions, as contrasted with ‘outsiders.’ We record that such issues were raised and discussed at the time, and we report why proposals for any such graded liability were turned down. We argue that the reasons for rejecting graded liability for insiders were overstated, both then and subsequently. While we believe that the case for such graded liability needs reconsideration, it does remain a complex matter, as discussed in Section 4. |
| Keywords: | corporate governance; limited liability; bank risk-taking; financial regulation; financial crises; senior management regime; banks; banking |
| JEL: | G21 G28 G30 G32 G39 N23 K22 K29 L20 |
| Date: | 2024–02–01 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:wpaper:121956&r=mac |
| By: | Felipe Beltrán; Luigi Durand; Mario González-Frugone; Javier Moreno |
| Abstract: | The study of energy and climate has become of primary relevance for policymakers in central banks and other institutions. Current analyses for Chile suggest medium to strong direct physical effects, with some studies pointing to relatively higher impacts in the northern and central regions. Also, indirect effects, such as those originating from green transitions around the world, are likely to be significant. This paper provides a brief review of the effects that climate change may have on the economy and describes efforts made by the Central Bank of Chile to gain a better understanding of these effects. These efforts include: geo-referencing of assets and the primary physical risks they face, characterization of the transmission channels through which climate risks can propagate, a better estimation of the uncertainty of climatic events and the development of new general equilibrium models. |
| Date: | 2023–10 |
| URL: | http://d.repec.org/n?u=RePEc:chb:bcchwp:997&r=mac |
| By: | Ranil Dissanayake (Center for Global Development); Rachael Calleja (Center for Global Development) |
| Abstract: | How can the UK (re)organise its development work to optimally address the challenges of a vastly changed development and geopolitical landscape? Noting that the (de facto) objectives of development policy ultimately determine how and why alternative arrangements are adopted, we assess the strengths and weaknesses of four main organisational models and examine their trade-offs in the UK context. We discuss how the choice of objectives informs the choice of institutional form, and how the UK’s own arrangements have evolved with its objectives; and consider how policy coherence, expertise, the experience of partner countries and accountability vary with different models. Since there is no inherently superior option, the choice of institutional structure depends on specific trade-offs that are most palatable to UK policymakers. We conclude by outlining five key design features for any new arrangements: the clarity of its objectives; the predictability and stability of its funding; the strategic coherence it achieves across government; its ability to retain and develop a wide range of capabilities (both in personnel and modes of action) and its administrative and legal basis. |
| Date: | 2024–01–25 |
| URL: | http://d.repec.org/n?u=RePEc:cgd:ppaper:319&r=mac |
| By: | Julie Y. Cai (Center for Economic and Policy Research.) |
| Abstract: | One emerging but underexplored factor that is likely to contribute to group racial earnings disparity is unstable work schedules. This is often detrimental for hourly workers when volatility is frequent, involuntary, or unanticipated. Using data from 2005-2022 monthly Current Population Survey and its panel design, this study follows a group of hourly workers across a four-month period to assess whether labor market volatility relates to their financial well-being, focusing on low-wage care and service occupations as well as female workers and workers of color. The findings are threefold: In general, during economic expansion periods, nonwhite workers often benefit more in terms of wage growth compared to their white counterparts. Second, net of other characteristics, on average, greater volatility is associated with lower earnings, and this is mostly driven by those holding jobs in low-wage service sectors and health care support roles. Last, the earnings consequences of volatility vary significantly by the type of low-wage jobs a worker holds and their gender and race, but this is only true when volatility happens in a job. Specifically, when working within the same employment spell, female workers, particularly those of color and those working in low-wage service and care jobs, earn significantly less when facing greater volatility than their male counterparts or those working in non-service, non-care occupations. |
| Keywords: | earnings inequality, unstable work schedules, racial discrimination, precarious work |
| JEL: | J01 J70 E24 |
| Date: | 2024–01–12 |
| URL: | http://d.repec.org/n?u=RePEc:thk:wpaper:inetwp217&r=mac |
| By: | Calvillo Preciado, David Alejandro; Lara Lara, Jaime; Martínez Elizondo, Arnoldo; Pequeño Morán, Eliseo Samuel; Velarde Villasana, Victor Manuel |
| Abstract: | This paper examines explanatory factors for the drop in the net migratory flow between Mexico and the United States to zero in the period 2005-2015. To do this, we used a pseudo-maximum likelihood Poisson gravitational model, estimating the state-to-state migration from Mexico to the United States with data from EMIF-North. The change with the greatest quantitative impact on migratory flows was the increase in the presence of the border patrol and the deportation policies for long-stay migrants, which decreased emigration and increased return. The drop in economic activity during the 2008 crisis diminished the attractiveness of destination economies, but also increased incentives to migrate at source. Other factors such as migratory networks, distance and population increase are also significant in explaining the migratory flows between the states of the two countries. |
| Keywords: | migration, return migration, deportations |
| JEL: | F22 J61 K37 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:119985&r=mac |
| By: | NAKAGAWA Junji |
| Abstract: | The discussion on the social clause, which repeatedly took place under the GATT/WTO, was finally settled in 1996 by the WTO Singapore Ministerial Declaration, which consigned the ILO to deal with core labor standards. The 1998 Declaration on Fundamental Principles and Rights at Work and its Follow-up (the Declaration) commissioned ILO members to respect, promote, and realize the four core labor rights and forbade the use of trade sanctions to enforce them. However, an increasing number of regional trade agreements (RTAs) came to refer to the Declaration and obliged parties to secure core labor rights. This phenomenon is referred to as the resurgence of the social clause. This study analyzes this treaty practice in the Asia-Pacific region, focusing on the domestic labor law reforms of Korea, Vietnam, and Japan under their RTAs with the US and EU. Korea and Vietnam carried out their labor law reform by implementing their treaty obligations to respect, promote, and realize freedom of association under the Declaration, which was incorporated into their RTAs with the US and EU. Japan voluntarily conducted its labor law reform and ratified ILO Convention No.105; however, the reference to the core ILO Conventions under the Japan-EU EPA put political pressure on carrying out the reform. Now that these countries have ratified the core ILO Conventions, the ILO will monitor their implementation, but RTAs will also monitor their implementation in parallel with the ILO. |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:24009&r=mac |
| By: | Antonio Cosma (DEM, Université du Luxembourg); Katrin Hussinger (DEM, Université du Luxembourg); Gautam Tripathi (DEM, Université du Luxembourg) |
| Abstract: | We consider the estimation of finite dimensional parameters identified via a system of conditional moment equalities when at least one of the endogenous variables (outcomes and/or explanatory variables) is missing at random for some individuals in the sample. We derive the semiparametric efficiency bound for estimating the parameters and use it to demonstrate that efficiency gains occur only if there exists at least one endogenous variable that is nonmissing, i.e., observed for all individuals in the sample. We show how to construct “doubly robust” estimators and propose an estimator that achieves the efficiency bound. A simulation study reveals that our estimator works well in medium-sized samples for point estimation as well as for inference. To see what insights our estimator can deliver in empirical applications with very large sample sizes, we revisit the female labor supply model of Angrist and Evans (1998) and show that if there is even medium missingness in female labor income (the outcome variable), then having more than 200, 000 observations is not enough for a researcher using inverse propensity score weighted GMM to find a statistically significant negative effect of having a 3rd child (the endogenous explanatory variable) on labor income. In contrast, our semiparametrically efficient estimator can deliver point estimates of this effect that are comparable to the GMM estimates as well as being statistically significant. |
| Keywords: | Conditional moment restrictions, Double robustness, Efficiency bound, Efficient estimation, Smoothed empirical likelihood, Missing at random, Missing endogenous variables. |
| JEL: | C14 C30 |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:luc:wpaper:24-01&r=mac |
| By: | Sofoklis Goulas; Rigissa Megalokonomou; Yi Zhang |
| Abstract: | Recent research has shown that females make classrooms more conducive to effective learning. We identify the effect of a higher share of female classmates on students’ disruptive behavior, engagement, test scores, and major choices in disadvantaged and non-disadvantaged schools. We exploit the random assignment of students to classrooms in early high school in Greece. We combine rich administrative data with hand-collected student-level data from a representative sample of schools that feature two novel contributions. Unlike other gender peer effects studies, a) we use a rich sample of schools and students that contains a large and diverse set of school qualities, and household incomes, and b) we measure disruption and engagement using misconduct-related (unexcused) teacher-reported and parent-approved (excused) student class absences instead of self-reported measures. We find four main results. First, a higher share of female classmates improves students’ current and subsequent test scores in STEM subjects and increases STEM college participation, especially for girls. Second, a higher share of female classmates is associated with reduced disruptive behavior for boys and improved engagement for girls, which indicates an increase in overall classroom learning productivity. Third, disadvantaged students—those who attend low-quality schools or reside in low-income neighborhoods—drive the baseline results; they experience the highest improvements in their classroom learning productivity and their STEM outcomes from a higher share of female classmates. Fourth, disadvantaged females randomly assigned to more female classmates in early high school choose college degrees linked to more lucrative or prestigious occupations 2 years later. Our results suggest that classroom interventions that reduce disruption and improve engagement are more effective in disadvantaged or underserved environments. |
| Keywords: | gender peer effects, natural experiment, classroom learning productivity, STEM careers, quasi-random variation, disadvantaged students |
| JEL: | J16 J24 I24 I26 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_10864&r=mac |
| By: | Wenyuan Wang; Kaixin Yan; Xiang Yu |
| Abstract: | This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is periodically evaluated on the relative ratio of two adjacent wealth levels over an infinite horizon. For both power and logarithmic utilities, we formulate the auxiliary one-period optimization problems with modified utility functions, for which we develop the martingale duality approach to establish the existence of the optimal portfolio processes and the dual minimizers can be identified as the "least favorable" completion of the market. With the help of the duality results in the auxiliary problems and some fixed point arguments, we further derive and verify the optimal portfolio processes in a periodic manner for the original periodic evaluation problems over an infinite horizon. |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2401.14672&r=mac |
| By: | Roberto Rivera; Guido Rocco; Massimiliano Marzo; Enrico Talin |
| Abstract: | This whitepaper introduces RIVCoin, a cryptocurrency built on Cosmos, fully stabilized by a diversified portfolio of both CeFi and DeFi assets, available in a digital, non-custodial wallet called RIV Wallet, that aims to provide Users an easy way to access the cryptocurrency markets, compliant to the strictest AML laws and regulations up to date. The token is a cryptocurrency at any time stabilized by a basket of assets: reserves are invested in a portfolio composed long term by 50% of CeFi assets, comprised of Fixed Income, Equity, Mutual and Hedge Funds and 50% of diversified strategies focused on digital assets, mainly staking and LP farming on the major, battle tested DeFi protocols. The cryptocurrency, as well as the dollar before Bretton Woods, is always fully stabilized by vaulted proof of assets: it is born and managed as a decentralized token, minted by a Decentralized Autonomous Organization, and entirely stabilized by assets evaluated by professional independent third parties. Users will trade, pool, and exchange the token without any intermediary, being able to merge them into a Liquidity Pool whose rewards will be composed by both the trading fees and the liquidity rewards derived from the reserve's seigniorage. Users who wish and decide to pool RIVCoin in the Liquidity Pool will receive additional RIVCoin for themselves, and new RIVCoin are minted when the reserves increase in value or in case of purchase of new RIVCoin. The proposed model allows for alignment of incentives: decreasing the risk exposure by wealthier Users, but implicitly increasing that of smaller ones to a level perceived by them as still sustainable. Users indirectly benefit from the access to the rewards of sophisticated cryptocurrency portfolios hitherto precluded to them, without this turning into a disadvantage for the wealthy User. |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2401.05393&r=mac |
| By: | Ferreira, Susana (University of Georgia); Martinez-de-Morentin, Sara (Universidad Pública de Navarra); Erro-Garcés, Amaya (Universidad Pública de Navarra) |
| Abstract: | Hedonic wage regressions show little evidence that European workers facing larger job risks and other workplace disamenities receive higher wages. On the other hand, workers in more risky or unpleasant jobs are less satisfied with their jobs, ceteris paribus. If labor markets were perfectly competitive and workers fully informed of their working conditions ex ante, according to the theory of compensating differentials, there should be no relationship between on-the-job risk and job satisfaction because wages would fully adjust to compensate for differences in job characteristics. We show that when wages do not fully compensate for on-the-job risks, the willingness to pay to reduce mortality risks estimated from hedonic regressions needs to be complemented with a residual effect of job risks on utility which is not capitalized on wages. We explore the potential of job satisfaction regressions as an additional valuation approach to estimate the tradeoffs between wages and risks that keep job satisfaction constant. |
| Keywords: | on-the-job risk, experienced preference, job satisfaction, hedonic wages, stated preference, value of a statistical life |
| JEL: | Q51 I12 I18 J17 J31 K32 |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp16716&r=mac |
| By: | Jérome Dugast (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique); Thierry Foucault (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | We study, using a noisy rational expectations framework, how the availability of new data to forecast asset payoffs ("data abundance") affect the capital allocated to quantitative asset managers ("data miners") relative to other active asset managers, the mean and the cross-sectional dispersion of their performance, and price informativeness. Data miners search for predictors of asset payoffs and trade when they find one with a sufficiently high precision. Data abundance raises the precision of the best predictors. Yet, it eventually induces data miners to lower the bar for their signal precision. Then, their performance becomes more dispersed, and they receive less capital. Overall, data abundance is both a catalyst and an impediment to the rise of quant funds. |
| Keywords: | Big Data, Active Asset Management, Data Mining, Price Informativeness |
| Date: | 2023–05–04 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04390540&r=mac |
| By: | Sina Montazeri; Akram Mirzaeinia; Haseebullah Jumakhan; Amir Mirzaeinia |
| Abstract: | The published MLP-based DRL in finance has difficulties in learning the dynamics of the environment when the action scale increases. If the buying and selling increase to one thousand shares, the MLP agent will not be able to effectively adapt to the environment. To address this, we designed a CNN agent that concatenates the data from the last ninety days of the daily feature vector to create the CNN input matrix. Our extensive experiments demonstrate that the MLP-based agent experiences a loss corresponding to the initial environment setup, while our designed CNN remains stable, effectively learns the environment, and leads to an increase in rewards. |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2401.06179&r=mac |
| By: | Christine Petr (LEGO - Laboratoire d'Economie et de Gestion de l'Ouest - UBS - Université de Bretagne Sud - UBO - Université de Brest - IMT - Institut Mines-Télécom [Paris] - IBSHS - Institut Brestois des Sciences de l'Homme et de la Société - UBO - Université de Brest - UBL - Université Bretagne Loire - IMT Atlantique - IMT Atlantique - IMT - Institut Mines-Télécom [Paris], UBS - Université de Bretagne Sud); Paul Caudan (UBS - Université de Bretagne Sud); Olivier Segard (LITEM - Laboratoire en Innovation, Technologies, Economie et Management (EA 7363) - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay - IMT-BS - Institut Mines-Télécom Business School - IMT - Institut Mines-Télécom [Paris], IMT-BS - MMS - Département Management, Marketing et Stratégie - TEM - Télécom Ecole de Management - IMT - Institut Mines-Télécom [Paris] - IMT-BS - Institut Mines-Télécom Business School - IMT - Institut Mines-Télécom [Paris]); Emmanuel Baudoin (IMT-BS - MMS - Département Management, Marketing et Stratégie - TEM - Télécom Ecole de Management - IMT - Institut Mines-Télécom [Paris] - IMT-BS - Institut Mines-Télécom Business School - IMT - Institut Mines-Télécom [Paris], LITEM - Laboratoire en Innovation, Technologies, Economie et Management (EA 7363) - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay - IMT-BS - Institut Mines-Télécom Business School - IMT - Institut Mines-Télécom [Paris]) |
| Abstract: | En exploitant les résultats des études barométriques de l'observatoire du Groupement d'Intérêt Scientifique de Marsouin menées auprès des particuliers et ménages sur les trois périodes 2019, 2020 et 2022, l'objet de cette proposition est d'étudier les variations dans les intensités d'usage et dans le degré d'aisance/difficultés d'usage de six pratiques permises par internet. Nos résultats conduisent à questionner l'effet du confinement comme expérience d'usage forcé sur la fracture numérique. Nous relevons un double effet : l'un quantitatif qui est favorable à l'e-inclusion puisque plus d'individus par catégories socio-démographiques pratiquent internet ; l'autre qualitatif qui semble défavorable à l'e-inclusion puisque plus d'individus, toutes catégories sociodémographiques confondues, déclarent rencontrer plus de difficultés vis-à-vis de ces 6 usages en 2022 que cela était exprimé en 2019. |
| Keywords: | Fracture numérique, Confinement, Digitalisation, Usages, Apprentissage comportemental, E-inclusion |
| Date: | 2023–05–25 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04156619&r=mac |