|
on Macroeconomics |
|
Issue of 2024‒06‒17
33 papers chosen by |
| By: | Marco Lorusso (University of Perugia, Newcastle University Business School); Francesco Ravazzolo (BI Norwegian Business School, Free University of Bozen-Bolzano, Italy); Claudia Udroiu (Free University of Bozen-Bolzano, Italy) |
| Abstract: | In this paper, we investigate the use of money supply issued by the central bank to support expansionary fiscal interventions. We develop and estimate a New Keynesian model using US data for the sample 1960Q1 - 2019Q4. We conduct a quantitative counterfactual analysis to assess the effects of a fiscal stimulus that does not result in an increase in public debt, as it is financed by money supply. Our impulse response analysis indicates that both increases in government spending and transfers that are monetary financed have positive effects on private consumption, investment and output. However, the expansionary impact of monetary-financed fiscal shocks comes at a cost: an increase in inflation. Our sub-sample analysis indicates that monetary-financed fiscal stimuli would have had a greater positive impact on the economy during the Great Moderation. Lastly, we find that as the debt burden increases, the positive effects of a monetary-financed fiscal stimulus diminish |
| Keywords: | Fiscal Policy, Monetary Policy, Bayesian Estimation. |
| JEL: | C11 E32 E52 E62 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:bzn:wpaper:bemps105&r= |
| By: | António Afonso; José Carlos Coelho |
| Abstract: | We assess the drivers of fiscal sustainability in 20 OECD economies between 1950 and 2019. We find stable long-term relationships between government revenues and expenditures as well as between the primary budget balance and past public debt ratio for the full panel. Performing an expanding window analysis, we conclude that the differential between the long-term real interest rate and the real GDP growth rate (r-g) plays a crucial role in fiscal sustainability, as well as the existence of fiscal rules in terms of the budget balance, and also the output gap. The effects of inflation, external accounts balance and fiscal rules on sustainability coefficients à la Hakkio and Rush (1991) and Bohn (1998) are heterogenous. Furthermore, before the global financial crisis of 2008, the effects of the (r-g) differential were particularly strong, and depended on its sign as well as on past debt-to-GDP ratios. |
| Keywords: | fiscal sustainability; primary budget balance; public debt; panel data; expanding window; fiscal rules. |
| JEL: | C23 H61 H63 E62 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:ise:remwps:wp03252024&r= |
| By: | Tänzer, Alina |
| Abstract: | Central bank intervention in the form of quantitative easing (QE) during times of low interest rates is a controversial topic. This paper introduces a novel approach to study the effectiveness of such unconventional measures. Using U.S. data on six key financial and macroeconomic variables between 1990 and 2015, the economy is estimated by artificial neural networks. Historical counterfactual analyses show that real effects are less pronounced than yield effects. Disentangling the effects of the individual asset purchase programs, impulse response functions provide evidence for QE being less effective the more the crisis is overcome. The peak effects of all QE interventions during the Financial Crisis only amounts to 1.3 pp for GDP growth and 0.6 pp for inflation respectively. Hence, the time as well as the volume of the interventions should be deliberated. |
| Keywords: | Artificial Intelligence, Machine Learning, Neural Networks, Forecasting and Simulation: Models and Applications, Financial Markets and the Macroeconomy, Monetary Policy, Central Banks and Their Policies |
| JEL: | C45 E47 E44 E52 E58 |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:imfswp:295732&r= |
| By: | Bingxin Ann Xing; Bruno Feunou; Morvan Nongni-Donfack; Rodrigo Sekkel |
| Abstract: | This paper investigates the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We follow two complementary approaches: First, we apply a regression-based framework that aggregates the impact of daily macroeconomic news on bond yields to a lower quarterly frequency. Next, we estimate a macro-finance affine term structure model linking the daily news to lower-frequency changes in bond yields and their expectations and term premia. Both approaches show that U.S. macroeconomic news is an important source of lower-frequency quarterly fluctuations in bond yields in these small open economies—even more important than the respective countries’ domestic macroeconomic news. Furthermore, the macro-finance model shows that U.S. macroeconomic news is particularly important to explain low-frequency changes in the expectation components of the nominal, real and break-even inflation rates. |
| Keywords: | Central bank research, Econometric and statistical methods |
| JEL: | E43 E44 E47 G14 |
| Date: | 2024–04 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:24-12&r= |
| By: | Thomas I. Palley |
| Abstract: | This paper introduces the notion of monetary disorder. The underlying theory rests on a twin circuits view of the macro economy. The idea of monetary disorder has relevance for understanding the experience and consequences of the recent decade-long period of monetized large budget deficits and ultra-easy monetary policy. Current policy rests on Keynesian logic whereby a large fall in aggregate demand warrants robust offsetting monetary and fiscal policy actions. That logic neglects potential monetary disorder being bred within the financial circuit in the form of inflated asset prices and leveraged balance sheets. That disorder is likely to develop long before inflation accelerates so that inflation targeting fails to protect against it. Political factors increase the policy danger as the benefits of disorder are front-loaded and the costs backloaded. The paper concludes with a policy discussion regarding how to prevent Keynesian goods market counter-cyclical stabilization policy from causing monetary disorder. |
| Keywords: | Monetary disorder, twin circuits, inflation, asset price bubbles, budget deficits, modern money theory (MMT) |
| JEL: | E00 E12 E30 E40 E63 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:imk:fmmpap:93-2023&r= |
| By: | Michael Boutros; Andrej Mijakovic |
| Abstract: | In the United States, 30% of households are coholders who simultaneously borrow on credit cards and hold liquid assets. This generates a rich distribution of gross wealth positions that underpins the distribution of net wealth often used to calibrate macroeconomic models. We show that, beyond their role in constructing net wealth, gross positions in liquid assets and liquid debt are important in determining how households consume, save, and repay debt in response to positive income shocks. We build a quantitative model that generates the coholding observed in the data and matches observed marginal propensities to consume, save, and repay debt. The model highlights that fiscal transfers are more effective in stimulating demand if targeted at households with low gross positions instead of low net liquid wealth, while debt relief is less effective overall in the short run but achieves large consumption gains in the long run. |
| Keywords: | Central bank research; Fiscal policy; Monetary policy; Economic models |
| JEL: | E21 E44 E62 G51 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:24-16&r= |
| By: | Daniel Greenwald; John Krainer; Pascal Paul |
| Abstract: | We study the transmission of monetary policy through bank securities portfolios using granular supervisory data on U.S. bank securities, hedging positions, and corporate credit. Banks that experienced larger losses on their securities during the 2022-2023 monetary tightening cycle extended less credit to firms. This spillover effect was stronger for available-for-sale securities, unhedged securities, and banks that must include unrealized gains and losses in their regulatory capital. A structural model, disciplined by our cross-sectional regression estimates, shows that interest rate transmission is stronger the more banks are required to adjust their regulatory capital for unrealized value changes of securities. |
| JEL: | E32 E43 E44 E51 E52 E60 G21 G32 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:32449&r= |
| By: | Paolo Gelain; Marco Lorusso; Saeed Zaman |
| Abstract: | We document a sizable effect of oil price fluctuations on US banking variables by estimating an SVAR with sign restrictions as in Baumeister and Hamilton (2019). We find that oil market shocks that lead to a contraction in world economic activity unambiguously lower the amount of bank credit to the US economy, tend to decrease US banks' net worth, and tend to increase the US credit spread. The effects can be strong and long-lasting, or more modest and short-lived, depending on the source of the oil price fluctuations. The effects are stronger for smaller and lower leveraged banks. |
| Keywords: | oil market shocks; Bayesian SVAR models; sign restrictions; bank credit |
| JEL: | E32 E44 Q35 Q43 |
| Date: | 2024–05–21 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:98264&r= |
| By: | Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta |
| Abstract: | We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is most pronounced at intermediate forecasting horizons. This suggests that inflation is projected to revert towards the target too quickly. These results cannot be fully explained by the persistence embedded in the forecasting models nor by errors in the exogenous assumptions on interest rates, exchange rates or oil prices. The state-dependent bias may be consistent with the aim of managing inflation expectations, as published forecasts play a central role in the ECB's monetary policy communication strategy. |
| Keywords: | Inflation Forecasts, Forecast Evaluation, ECB, Central Bank Communication |
| JEL: | C12 C22 C53 E31 E52 |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bofrdp:295738&r= |
| By: | Sofia Priazhkina; Samuel Palmer; Pablo Martín-Ramiro; Román Orús; Samuel Mugel; Vladimir Skavysh |
| Abstract: | We build a network formation game of firms with trade flows to study the adoption and usage of a new digital currency as an alternative to correspondent banking. We document endogenous heterogeneity and inefficiency in adoption outcomes and explain why higher usage may correspond to lower adoption. Next, we frame the model as a quadratic unconstrained binary optimization (QUBO) problem and apply it to data. Method-wise, QUBO presents an extension to the potential function approach and makes broadly defined network games applicable and empirically feasible, as we demonstrate with a quantum computer. |
| Keywords: | Central bank research; Digital currencies and fintech; Digitalization; Economic models; Financial institutions; Payment clearing and settlement systems; Sectoral balance sheet |
| JEL: | E21 E44 E62 G51 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:24-17&r= |
| By: | S. Borağan Aruoba; Thomas Drechsel |
| Abstract: | We develop a novel method for the identification of monetary policy shocks. By applying natural language processing techniques to documents that Federal Reserve staff prepare in advance of policy decisions, we capture the Fed's information set. Using machine learning techniques, we then predict changes in the target interest rate conditional on this information set and obtain a measure of monetary policy shocks as the residual. We show that the documents' text contains essential information about the economy which is not captured by numerical forecasts that the staff include in the same documents. The dynamic responses of macro variables to our monetary policy shocks are consistent with the theoretical consensus. Shocks constructed by only controlling for the staff forecasts imply responses of macro variables at odds with theory. We directly link these differences to the information that our procedure extracts from the text over and above information captured by the forecasts. |
| JEL: | C10 E31 E32 E52 E58 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:32417&r= |
| By: | Meri Papavangjeli (Institute of Economic Studies, Charles University, Prague, Czech Republic & Bank of Albania, Tirana, Albania); Adam Gersl (Institute of Economic Studies, Charles University, Prague, Czech Republic) |
| Abstract: | Given the prevailing global circumstances, characterized by tightening global financial conditions and substantial macro-financial vulnerabilities, the significance of monitoring financial conditions becomes even more pronounced and calls for heightened attention to the assessment and surveillance of financial indicators. This paper introduces a Financial Conditions Index (FCI) tailored for Albania, spanning from 2000 to 2022, using a factor augmented vector autoregressive models with time-varying coefficients (TVP-FAVAR) and incorporating a wide range of indicators, grounded in the empirical literature. By aligning with the main financial dynamics during this timeframe, the constructed index emerges as a robust gauge for monitoring and assessing the financial landscape of the country. Additionally, through a threshold Bayesian VAR model, the paper examines the transmission of monetary policy and financial conditions shocks to the real economy, by capturing non-linear dynamics through differentiating between periods characterized by different stands of financial fragilities. The findings suggest that the credit-to-GDP gap could potentially function as an early warning indicator of financial vulnerabilities, with a positive gap possibly reflecting excessive risk-taking by financial institutions. Furthermore, the transmission of monetary policy and financial conditions shocks to the real economy depends non-linearly on the private nonfinancial sector credit and is not symmetric throughout the considered period, with monetary policy transmission being attenuated during periods of heightened vulnerabilities. |
| Keywords: | financial conditions, monetary policy, credit gap stance, macro-financial vulnerabilities |
| JEL: | E52 E51 E61 E63 E65 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:fau:wpaper:wp2024_20&r= |
| By: | Fabrice Collard (Toulouse School of Economics); Patrick Feve (Toulouse School of Economics); Alain Guay (University of Quebec in Montreal) |
| Abstract: | This paper studies the impact of Higher Order Belief (HOB) shocks, representing shifts in agents’ beliefs about others’ beliefs, on macroeconomic outcomes. The dynamic causal effects of these shocks are identified by leveraging a combination of a proxy-VAR approach and DSGE-based instruments. Our findings suggest that HOB shocks are indeed a key driver of the business cycle and account for a sizeable share of the observed business cycle volatility. Finally, our identification approach ensures that these shocks are not confounded with other structural/fundamental shocks. |
| Keywords: | Higher Order Beliefs, Business cycles, proxy-VAR, DSGE |
| JEL: | C32 E32 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:bbh:wpaper:24-03&r= |
| By: | Li, Boyao |
| Abstract: | Monetary policy operations affect bank balance sheets (BBSs). This study develops a balance sheet model to examine the impacts of monetary policy operations on banks’ ability to supply funds. That ability is assessed using the balance sheet capacities provided by regulatory risk management instruments. The balance sheet approach views a monetary policy operation as a transaction between the central bank and a commercial bank, modeling the transaction as multiple changes to the BBS. This study identifies and distinguishes the effects of multiple changes in the BBS on balance sheet capacity. A balance sheet change resulting from a monetary policy operation may positively or negatively affect balance sheet capacity. Thus, a monetary policy may have a positive and a negative effect simultaneously. Positive (negative) effects result from balance sheet changes that reduce (increase) bank risks, as measured by regulations. As regulatory stringency decreases, the positive effects increase, whereas the negative effects remain unchanged. A BBS capacity channel of monetary policy is also shown. |
| Keywords: | Balance sheet; Banking; Monetary policy; Monetary transmission; Regulation |
| JEL: | E51 E52 E58 G21 G28 |
| Date: | 2024–04–19 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:120882&r= |
| By: | Beckers, Benjamin; Bernoth, Kerstin |
| Abstract: | We investigate the role of monetary policy in stock price misalignments and explore whether central banks can attenuate excessive mispricing as suggested by the proponents of a “leaning against the wind” monetary policy. Decomposing stock prices into expected excess dividends, an equity risk premium, and a mispricing component, we find that prices fall more strongly in response to an increase in the policy rate than what is implied by their underlying fundamentals. This systematic overreaction suggests that tighter monetary policy may contain emerging asset price misalignments. Our findings are at odds with the predictions of a rational bubble framework, but can be explained by mispricing arising from false subjective expectations of irrational investors. |
| Keywords: | Asset pricing, bubbles, leaning against the wind, mispricing, monetary policy, stock prices |
| JEL: | E44 E52 G12 G14 |
| Date: | 2023–07 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:120502&r= |
| By: | Knut Are Aastveit; Jamie L. Cross; Francesco Furlanetto; Herman K. Van Dijk |
| Abstract: | The Fed’s policy rule switches during the different phases of the business cycle. This finding is established using a dynamic mixture model to estimate regime-dependent Taylor-type rules on US quarterly data from 1960 to 2021. Instead of exogenously partitioning the data based on tenures of the Fed chairs, a Bayesian framework is introduced in order to endogenously select timing and number of regimes in a data-driven way. This agnostic approach favors a partitioning of the data based on two regimes related to business cycle phases. Estimated policy rule coefficients differ in two important ways over the two regimes: the degree of gradualism is substantially higher during normal times than in recessionary periods while the output gap coefficient is higher in the recessionary regime than in the normal one. The estimate of the inflation coefficient largely satisfies the Taylor principle in both regimes. The results are substantially reinforced when using real-time data. |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:bny:wpaper:0130&r= |
| By: | Tomohiro Hirano; Joseph E. Stiglitz |
| Abstract: | This paper presents a model that studies the impact of credit expansions arising from increases in collateral values or lower interest rate policies on long-run productivity and economic growth in a two-sector endogenous growth economy, with the driver of growth lying in one sector (manufacturing) but not in the other (real estate). We show that it is not so much aggregate credit expansion that matters for long-run productivity and economic growth but sectoral credit expansions. Credit expansions associated mainly with relaxation of real estate financing (capital investment financing) will be productivity-and growth-retarding (enhancing). Without financial regulations, low interest rates and more expansionary monetary policy may so encourage land speculation using leverage that productive capital investment and economic growth are decreased. Unlike in standard macroeconomic models, in ours, the equilibrium price of land will be finite even if the safe rate of interest is less than the rate of output growth. |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2405.05901&r= |
| By: | Korhonen, Iikka; Newby, Elisa; Elonen-Kulmala, Jonna |
| Abstract: | This article looks into global central bank messaging on the Twitter social media platform. At the end of 2021, a total of 122 central banks and monetary authorities had registered accounts on Twitter At that time, approximately two-thirds of world's central banks and monetary author- ities were using Twitter. Drawing on a database of central bank tweets up to the end of 2021, we document Twitter interactions of central banks by such measures as influence, connections and hashtag use. In addition to similarities among central bank strategies, we also find striking differences in influence and willingness to connect with the public. Tweeting activity during the Covid-19 pandemic provides insight in central bank crisis responses. |
| Keywords: | central banks, communications, Twitter, Covid-19 |
| JEL: | E58 |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bofecr:294868&r= |
| By: | Rude, Johanna; Weber, Lukas |
| Abstract: | Expenditures on healthcare and employment in the healthcare sector have been steadily increasing across OECD countries for many years. This shift of expenditure and employment towards a consistently found to be less productive sector has often been associated with the idea of Baumol’s (1967) cost disease. This paper investigates if diagnosing the healthcare sector with suffering from a cost disease is an apt description of the observed reallocation. The novel feature of the paper is to introduce a microeconomic foundation to the theoretical analysis of the healthcare sector. We show analytically in a model that the demand side is very important in determining equilibrium quantities and prices. Even if there is unequal technological progress in the two sectors, the unchanged demand of households dictates that the output level of the two sectors remains constant. This leads to the prima facie unintuitive result of factor allocation towards the less productive sector, in this case, healthcare. We show that this is the case under innocuous assumptions if goods are complements. We supplement the new theoretical results by testing implications from the model empirically. Specifically, we use household-level data to estimate the elasticity of substitution between healthcare consumption and all other consumption. We find robust evidence for the complementarity of healthcare consumption and all other consumption. |
| Keywords: | Healthcare Reallocation |
| JEL: | E20 E21 E22 E23 E24 E25 E27 I1 |
| Date: | 2024–05–07 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:120873&r= |
| By: | Ana Luisa Gómez (Insituto Politécnico Nacional y CICATA - Legaria); José G. Rivera (Insituto Politécnico Nacional y CICATA - Legaria) |
| Abstract: | In the context of research in mathematics education, a national study was carried out to identify characteristics of the teaching and evaluation of statistics by professors who teach statistics in university courses. For this purpose, a survey was designed with 76 questions, including the open-ended question: As a result of the COVID-19 health contingency, how has your teaching changed? The survey was answered by 750 professors, of whom 627 responded to the question. We present the analysis method applied with Stata 17 to analyze the 627 responses. Coincidence analysis was performed, a research technique that analyzes texts, documents, or responses by extracting keywords to obtain structured information and identify possible response patterns. Text analysis tools (txttool, precoin, and coin) were used to identify the most frequent words and possible relationships between them. Implementing these tools made it possible to obtain information on the modifications made by the statistics professor in his teaching due to the COVID-19 health contingency. |
| URL: | http://d.repec.org/n?u=RePEc:boc:mexi23:10&r= |
| By: | Jack Birner; Marco Mazzoli; Eleonora Priori; Pietro Terna |
| Abstract: | Traditional notions of production function do not consider the time dimension, appearing thus timeless and instantaneous. We propose an agent-based model accounting for the whole production side of the economy to unfold the production process from its very beginning, when firms receive production orders, to the delivery of the products to the market. In the model we analyze with a high-degree of details how heterogeneous firms, having labor and capital as productive factors, behave along all the realization processes of their outputs. The main focus covers: i) the heterogeneous duration of firms' production processes, ii) the adaptive strategies they implement to adjust their choices, and iii) the possible failures which may occur due to the duration of the production. Our agent-based model is a controlled experiment: we use a virtual central planner mechanism, which acts as the demand side of the economy, to observe which firm individual behaviors and aggregate macroeconomic outcomes emerge as a reply to its different behaviors in a ceteris paribus environment. Our applied goal, then, is to discuss the role of industrial policy by modeling production processes in detail. |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2405.07103&r= |
| By: | ITO Hiroyuki; KAWAI Masahiro |
| Abstract: | The US dollar has long been the most dominant international currency used for international trade, investment, financial settlements, foreign exchange market trading, foreign reserve holding, and exchange rate anchoring. This paper develops a new method to estimate the size of major currency zones, i.e., those for the US dollar (USD), euro (EUR), Japanese yen (JPY), British pound sterling (GBP), and Chinese yuan (RMB), and identify their determinants. The paper employs the simple Frankel-Wei (1994) and Kawai-Pontines (2016) estimation models to identify major anchor currencies and the degree of exchange rate stability (ERS) for each economy. The paper uses the estimated currency weights to construct the size of major currency zones globally and regionally over time and econometrically identify the determinants of these currency weights. In this analysis, the paper considers the degree of ERS, defined by the Root Mean Squared Error (RMSE) of the estimation model, which allows for the possibility that a part of each economy or region or part of the world is under a floating exchange rate regime. This method avoids overestimating the size of a particular major currency zone such as the RMB zone, when economies do not rigidly stabilize their currencies to such a major currency, and thus presents a better picture that is more consistent with the current state of the international monetary system. The paper yields several interesting results. First, the global economic share of the USD zone, still the largest in the world, has declined over time due to the emergence of the EUR zone and the recent rapid rise of the RMB zone. The size of the EUR zone is larger than that of the RMB zone if the degree of ERS is taken into account. Additionally, the share of the world economy under floating exchange rates has expanded in size over time. Second, the USD zone is the largest in the Middle East & Central Asia, followed by emerging & developing Asian and Sub-Saharan African economies, while the EUR zone is dominant in emerging & developing economies in Europe. The USD zone share has been declining rapidly in Latin America & the Caribbean. The size of the RMB zone has been increasing in most regions. Third, the USD weight is positively affected by the share of trade with the United States and the US dollar shares in export invoicing and cross-border bank liabilities. Similarly, the EUR weight is positively affected by economies’ shares of trade with the Euro Area as well as the euro shares in export invoicing, inward FDI stock, and cross-border bank liabilities. The RMB weight is not significantly affected by economies’ shares of trade with, or inward FDI stock or borrowing from China. The paper provides some policy implications. |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:24059&r= |
| By: | Martin, Will; Mamun, Abdullah; Minot, Nicholas |
| Abstract: | Food trade barriers in many countries are systematically adjusted to insulate domestic markets from world price changes—a response not predicted by traditional political economy models. In this study, policymakers are assumed to minimize the political costs associated with changing domestic prices and deviating from longer-run political-economy equilibria. Error correction techniques applied to domestic and world price data for rice and wheat collected to measure trade policy distortions allow estimation of policy response parameters. The results suggest that systematic short-run price insulation reduces shocks to domestic prices but sharply increases world price volatility and the costs of trade distortions. However, idiosyncratic domestic price shocks resulting from inefficient policy instruments such as quantitative restrictions increase domestic price volatility relative to the magnified volatility of world prices—frequently outweighing the stabilizing impacts of price insulation. This fundamentally changes our understanding of the impacts of price-insulation—from a zero-sum game where some countries reduce the volatility of their prices using beggar-thy-neighbor policies that raise price volatility elsewhere, into one where price volatility rises in most countries. National policy reforms to move away from discretionary, destabilizing policies could lower costs, reduce volatility in domestic and world prices, and facilitate reform of international trade rules. |
| Keywords: | food prices; volatility; consumer economics; trade policies; behaviour; econometric models |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:fpr:ifprid:2253&r= |
| By: | Agustin G. Bonifacio; Nadia Gui\~nazu; Noelia Juarez; Pablo Neme; Jorge Oviedo |
| Abstract: | We study a one-to-one labor matching market. If a worker considers resigning from her current job to obtain a better one, how long does it take for this worker to actually get it? We present an algorithm that models this situation as a re-stabilization process involving a vacancy chain. Each step of the algorithm is a link of such a chain. We show that the length of this vacancy chain, which can be interpreted as the time the worker has to wait for her new job, is intimately connected with the lattice structure of the set of stable matchings of the market. Namely, this length can be computed by considering the cardinalities of cycles in preferences derived from the initial and final stable matchings involved. |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2405.07084&r= |
| By: | ANTONIOLI Federico (European Commission - JRC); CIAIAN Pavel (European Commission - JRC); BALDONI Edoardo (European Commission - JRC) |
| Abstract: | Relying on the EU FADN dataset for the period 2004-2020, the reports quantitatively estimates the impact of Geographical Indications (GIs) on the economic, environmental and social performances of GI vineyard farms. The empirical analyses employed the combined matching and difference-in-differences estimation technique, which allows several important sources of bias to be addressed, such as self-selection bias, time-invariant and time-variant systematic differences across farms and functional form misspecification. The estimated results suggest that GIs improve economic performance of vineyard farms. GIs also have some positive impact on social dimension by stimulating higher farm wages, while have statistically insignificant impact on farm employment. In contrast, GIs are found to have rather small impact on environmental performance of farms potentially leading to some reduction of energy use, while having no impact on plant protection use of vineyard farms. |
| Date: | 2024–01 |
| URL: | http://d.repec.org/n?u=RePEc:ipt:iptwpa:jrc135467&r= |
| By: | GOMEZ GUTIERREZ Emilia (European Commission - JRC); SOLER GARRIDO Josep (European Commission - JRC); ESCOBAR PLANAS Marina (European Commission - JRC); FANO YELA Delia (European Commission - JRC); FERNANDEZ LLORCA David (European Commission - JRC); HUPONT TORRES Isabelle (European Commission - JRC); PANIGUTTI Cecilia (European Commission - JRC); PORCARO Lorenzo (European Commission - JRC); SALA Arianna (European Commission - JRC); VINAGRE MARQUES DA SILVA Joao (European Commission - JRC) |
| Abstract: | The European Centre for Algorithmic Transparency (ECAT) will contribute to a safer, more predictable and trusted online environment for people and business. How algorithmic systems shape the visibility and promotion of content, and its societal and ethical impact, is an area of growing concern. Measures adopted under the Digital Services Act (DSA) call for algorithmic accountability and transparency audits. The ECAT is part of the European Commission, hosted by the Joint Research Centre (JRC) -the Commission’s in-house science and knowledge service- in close cooperation with the Directorate General Communications Networks, Content and Technology (DG CONNECT). It contributes scientific and technical expertise to the Commission's exclusive supervisory and enforcement role of the systemic obligations on Very Large Online Platforms (VLOPs) and Very Large Online Search Engines (VLOSEs) provided for under the DSA. Scientists and experts working at the ECAT will cooperate with industry representatives, academia and civil society organisations to improve our understanding of how algorithms work: they will analyse transparency, assess risks, and propose new transparent approaches and best practices. |
| Date: | 2024–02 |
| URL: | http://d.repec.org/n?u=RePEc:ipt:iptwpa:jrc132946&r= |
| By: | Matías Vernengo |
| Abstract: | Right-wing critics of Keynes have often suggested that he was a socialist. His policy proposals were very often described as a slippery slope that would lead society into a totalitarian nightmare. Alternatively, from the left, Keynes was often seen as a reformist that intended to preserve the essence of capitalism. His reforms were mere window dressing on an exploitative system. The scholarship on Keynes also remained divided. However, in the last few decades a more robust position in favor of Keynes' socialist affiliation was developed, particularly in the careful scholarship by Rod O'Donnell and James Crotty. This paper suggests that while Keynes was a pragmatist willing to experiment in economic policy, and fully aware of the need to transform and transcend laissez-faire capitalism, he remained a liberal, in particular because Labourites, and most socialists, remained conservative in their economic policy outlook. Keynes was a revolutionary in economic theory, but a moderate in his politics. |
| Keywords: | Neoclassical Economics, Socialism, Macroeconomics, Keynes |
| JEL: | B13 B14 B22 B31 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:imk:fmmpap:94-2023&r= |
| By: | Lukas Endres (Macroeconomic Policy Institute (IMK)) |
| Abstract: | Ab 2027 ist mit der Einführung des EU-ETS 2 für die Sektoren Verkehr und Wärme mit deutlich höheren Preisen für CO2-Zertifikate zu rechnen. Infolge dürften die Energiekosten für viele private Haushalte erheblich steigen. Als Kompensationsmechanismus hat die Bundesregierung die Auszahlung einer Pro-Kopf Pauschale angekündigt. Dieser Policy Brief zeigt anhand der Einkommens- und Verbrauchsstichprobe, dass sich hierdurch vor allem Haushalte in unteren Einkommensgruppen und jene mit mittleren Verbräuchen umfassend entlasten lassen. Insbesondere für Haushalte mit höheren Verbräuchen in der Mitte der Einkommensverteilung bleibt die Belastung relativ zum Einkommen jedoch hoch. Im Bereich der Wärmeenergie sind vor allem Haushalte mit Wohneigentum stärker betroffen, während Haushalte in Mietwohnungen von der CO2-Kostenaufteilung profitieren. Eine deutlich höhere Belastung in beiden Sektoren verzeichnen außerdem Haushalte in ländlichen Regionen. Insgesamt sind die Verbräuche von Kraftstoffen und Wärmeenergie und somit die Kosten durch die CO2-Bepreisung sehr ungleich verteilt. Ein pauschales Klimageld reicht daher für viele Haushalte nicht aus, um teils hohe finanzielle Belastungen zu kompensieren. |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:imk:pbrief:161-2023&r= |
| By: | Lorenz Emter; Peter McQuade; Swapan-Kumar Pradhan; Martin Schmitz |
| Abstract: | This paper provides insights into the determinants of currency choice in cross-border bank lending, such as bilateral distance, financial and trade linkages to issuer countries of major currencies, and invoicing currency patterns. Cross-border bank lending in US dollars, and particularly in euro, is highly concentrated in a small number of countries. The UK is central in the international network of loans denominated in euro, although there are tentative signs that this role has diminished for lending to non-banks since Brexit. Offshore financial centres are pivotal for US dollars loans, reflecting, in particular, lending to non-bank financial intermediaries in the Cayman Islands, possibly as a result of regulatory and tax optimisation strategies. The empirical analysis suggests that euro-denominated loans face the "tyranny of distance", in line with predictions of gravity models of trade, in contrast to US dollar loans. Complementarities between trade invoicing and bank lending are found for both the euro and the US dollar. |
| Keywords: | dominant currency paradigm, currency denomination, cross-border banking, gravity |
| JEL: | F31 F33 F34 F36 G21 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:1184&r= |
| By: | Ales Franc (Department of Economics, Faculty of Business and Economics, Mendel University in Brno, Czech Republic); Sona Kukuckova (Department of Finance, Faculty of Business and Economics, Mendel University in Brno, Czech Republic); Marek Litzman (Department of Economics, Faculty of Business and Economics, Mendel University in Brno, Czech Republic) |
| Abstract: | Time spent commuting plays a significant role in decision-making within the labour market, particularly for job seekers. Investments in road infrastructure have a direct effect on commuting times and thus may also have an effect on the local labour markets. The aim of the article is to evaluate the effect of improvements in infrastructure on regional unemployment. In this paper, we use a unique database that includes data on the time taken to commute from all municipalities in the Czech Republic (n=6237) to their regional centres for every month between March 2014 and December 2022 (106 periods). Overall 1534 changes that met the criteria for a significant change in travelling time were identified. Our results suggest that a one-minute drop in commuting time from the respective municipality to the regional centre is linked to a 0.07 percentage point drop in the unemployment rate one year later, in comparison to the control group. The ratio rises over time, after five years, the same one-minute reduction in commuting time, is then related to a 0.19 percentage point drop in unemployment. Therefore, better infrastructure can help to reduce differences in regional rates of unemployment and can justify infrastructure investments. |
| Keywords: | commuting, unemployment, road infrastructure, OSRM, New Economic Geography, inter-regional disparities, regional development |
| JEL: | H54 R41 J61 |
| Date: | 2024–05 |
| URL: | http://d.repec.org/n?u=RePEc:men:wpaper:94_2024&r= |
| By: | Hager, Sebastian (Ludwig-Maximilians-Universit¨at M¨unchen); Schwarz, Carlo (Universit`a Bocconi, Department of Economics, IGIER, PERICLES, CEPR, CAGE); Waldinger, Fabian (Ludwig-Maximilians-Universit¨at M¨unchen, CEPR, CESifo) |
| Abstract: | We study how performance metrics affect the allocation of talent by exploiting the introduction of the first citation database in science. For technical reasons, it only covered citations from certain journals and years, creating quasi-random variation: some citations became visible, while others remained invisible. We identify the effects of citation metrics by comparing the predictiveness of visible to invisible citations. Citation metrics increased assortative matching between scientists and departments by reducing information frictions over geographic and intellectual distance. Highly-cited scientists from lower-ranked departments (“hidden stars†) and from minorities benefited more. Citation metrics also affected promotions and NSF-grants, suggesting Matthew effects. |
| Keywords: | JEL Classification: |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:cge:wacage:698&r= |
| By: | Ayrton Amaral; Marique Kruger; Monique Reid |
| Abstract: | This note gives an overview of the Bureau for Economic Researchs business sector inflation expectations data in South Africa, including additional firm-level dimensions and characteristics, and provides motivation for prioritising the analysis of this data. We show how the disaggregated data can provide valuable insights for policymakers about how well anchored inflation expectations are and the extent to which inflationary pressures filter through the economy and become more generalised. Our illustrative analysis of the disaggregated firm-level data in recent post-COVID years (2021-2023) suggests that second-round effects may have arisen, with evidence that inflation expectations may have become moderately unanchored along with underlying inflationary pressures that have broadened. |
| Date: | 2024–04–25 |
| URL: | http://d.repec.org/n?u=RePEc:rbz:oboens:11057&r= |
| By: | Frondel, Manuel; Gerster, Andreas; Hiemann, Philipp; Kaestner, Kathrin; Pahle, Michael; Schwarz, Antonia; Singhal, Puja |
| Abstract: | Im Herbst 2022 fand die zweite Erhebung des im Rahmen des BMBF-geförderten Kopernikus-Projekts Ariadne etablierten Wärme- & Wohnen-Panels unter ca. 15.000 Haushalten statt. Das Panel verknüpft in bislang einzigartiger Weise Informationen zum Gebäudebestand und dem Endenergiebedarf mit Angaben zu den sozioökonomischen Charakteristika der Haushalte. Ein Schwerpunkt lag auf den Auswirkungen der durch den Angriff Russlands auf die Ukraine verursachten Energiepreiskrise auf die privaten Haushalte. So wurde gefragt, wie stark die Teilnehmenden von den steigenden Energiepreisen betroffen sind und welche Maßnahmen sie dagegen ergreifen würden. Lediglich 28% der Teilnehmenden planten jedoch, ihren Heizenergieverbrauch im Winter 2022/2023 stark oder sehr stark zu reduzieren. Ein bemerkenswertes Ergebnis ist auch, dass nur etwa 21% der Antwortenden angaben, die Informationskampagne der Bundesregierung mit dem Titel "80 Millionen gemeinsam für den Energiewechsel" wahrgenommen zu haben. Andererseits hat die überwältigende Mehrheit von etwa 88% der Befragten von der für Herbst 2022 geplanten, letztlich aber nicht eingeführten Gasumlage gehört. Als größten Hinderungsgrund in Bezug auf energetische Modernisierung wurden steigende Preise im Baugewerbe genannt, die Unsicherheit über die Preisentwicklung verschiedener Energieträger war ebenfalls von großer Bedeutung. |
| Abstract: | In fall 2022, the second survey of the Heating & Living Panel, which was established as part of the BMBF-funded Kopernikus project Ariadne, was conducted among around 15, 000 households. The panel combines information on the building stock and final energy demand with data on the socio-economic characteristics of households in a unique way. One focus was on the effects of the energy price crisis caused by Russia's attack on Ukraine on private households. Participants were asked how badly they were affected by rising energy prices and what measures they would take to counteract this. However, only 28% of participants planned to reduce their heating energy consumption significantly or very significantly in the winter of 2022/2023. Another notable result is that only around 21% of respondents stated that they had taken note of the German government's information campaign entitled "80 million together for the energy transition". On the other hand, the overwhelming majority of around 88% of respondents had heard about the gas levy planned for fall 2022 but ultimately not introduced. Rising prices in the construction industry were cited as the biggest obstacle to energy modernization, while uncertainty about the price development of various energy sources was also of great importance. |
| Keywords: | Endenergiebedarf, Heizkosten, Modernisierungsrate |
| JEL: | D12 Q41 |
| Date: | 2024 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:rwimat:295239&r= |