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on Macroeconomics |
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Issue of 2024‒08‒12
eighteen papers chosen by |
| By: | Luigi Bocola; Alessandro Dovis; Kasper Jørgensen; Rishabh Kirpalani |
| Abstract: | This paper uses high frequency data to detect shifts in financial markets' perception of the Federal Reserve stance on inflation. We construct daily revisions to expectations of future nominal interest rates and inflation that are priced into nominal and inflation-protected bonds, and find that the relation between these two variables-positive and stable for over twenty years-has weakened substantially over the 2020-2022 period. In the context of canonical monetary reaction functions considered in the literature, these results are indicative of a monetary authority that places less weight on inflation stabilization. We augment a standard New Keynesian model with regime shifts in the monetary policy rule, calibrate it to match our findings, and use it as a laboratory to understand the drivers of U.S. inflation post 2020. We find that the shift in the monetary policy stance accounts for half of the observed increase in inflation. |
| JEL: | E58 G13 |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32620&r= |
| By: | Sangyup Choi (Yonsei University); Kimoon Jeong (University of Virginia); Jiseob Kim (Yonsei University) |
| Abstract: | This paper examines how the call option-like mortgage refinancing structure can generate sign-dependent effects of monetary policy shocks on consumption. Utilizing European data, we confirm that consumption declines more significantly with a higher share of adjustable-rate mortgages (ARMs) in response to contractionary monetary policy shocks. However, we uncover that consumption does not necessarily increase more in response to expansionary shocks in the same countries, resulting in asymmetry. Both household-level microdata and model-based quantitative analysis indicate that refinancing in response to a decline in the interest rate—akin to exercising call options—is the key to rationalizing the asymmetric responses between monetary tightening and easing. Since the incentive to refinance heavily depends on its exercising cost, this mechanism is ineffective in economies where the refinancing cost is high. |
| Keywords: | Adjustable-rate mortgages; Refinancing; Monetary policy; Consumption; Call option. |
| JEL: | E21 E32 E44 E52 G21 G51 |
| Date: | 2024–07 |
| URL: | https://d.repec.org/n?u=RePEc:yon:wpaper:2024rwp-228&r= |
| By: | Robert Stehrer; Bernhard Dachs; Maria Yoveska |
| Abstract: | In view of the importance of the export economy for Austria this study examines the role and characteristics of Austrian exporting firms compared with non-exporting firms. Specifically, it assesses how the share of exporting firms has developed in recent years, whether exports have become more important for firms over time and to what extent exporters have an advantage over other firms (export premium). The results show that about two third of the Austrian manufacturing firms are engaged in exporting activities and indicate that – in line with existing literature - exporting firms are larger, more productive, generate higher surpluses, invest more, and spend more on environmental protection than non-exporters. Further, the results highlight that only a small number of firms account for a large share of Austrian manufacturing exports. Finally, the results point towards a mutual positive relationship between export behaviour, productivity, and R&D expenditures. |
| Keywords: | Export premium, Firm-level analysis, productivity and exporting |
| JEL: | F14 D22 |
| Date: | 2022–07 |
| URL: | https://d.repec.org/n?u=RePEc:wsr:ecbook:y:2022:m:07:i:viii-002&r= |
| By: | Abhay Aneja; Silvia Farina; Guo Xu |
| Abstract: | This paper combines personnel records of the U.S. federal government with census data to study how shocks to the gender composition of a large organization can persistently shift gender norms. Exploiting city-by-department variation in the sudden expansion of female clerical employment driven by World War I, we find that daughters of civil servants exposed to female co-workers are more likely to work later in life, command higher income, and have fewer children. These intergenerational effects increase with the size of the city-level exposure to female government workers and are driven by daughters in their teenage years at the time of exposure. We also show that cities exposed to a larger increase in female federal workers saw persistently higher female labor force participation in the public sector, as well as modest contemporaneous increases in private sector labor force participation suggestive of spill-overs. Collectively, the results are consistent with both the vertical and horizontal transmission of gender norms and highlight how increasing gender representation within the public sector can have broader labor market implications. |
| JEL: | J16 J7 N4 |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32639&r= |
| By: | Costas Milas (Department of Economics, University of Macedonia); Theodore Panagiotidis (University of Liverpool); Georgios Papapanagiotou (Department of Economics, University of Macedonia) |
| Abstract: | This paper uses time-varying Bayesian models to assess the impact of the shifting, and progressively more volatile (especially since the EU Referendum vote in 2016) macroeconomic landscape on Foreign Direct Investment (FDI) inflows to the UK. FDI inflows are depressed in response to higher UK-specific economic and geopolitical uncertainty. A stronger real exchange rate and a higher interest rate also have a negative effect. It benefits from lower UK corporate tax rates and higher US uncertainty, the latter creating investment opportunities in the UK. Rising economic policy uncertainty since the EU Referendum, has led to FDI losses of up to 0.5% of GDP. |
| JEL: | C11 C32 F21 F23 F30 |
| Date: | 2024–04 |
| URL: | https://d.repec.org/n?u=RePEc:mcd:mcddps:2024_04&r= |
| By: | Lee, Wang-Sheng (Monash University) |
| Abstract: | This study investigates the impact of single-sex versus coeducational schooling on students' decisions to pursue STEM fields at the university level. Using administrative data from eight undergraduate cohorts (2012-2019) at a prominent Australian university, we compare students with similar Australian Tertiary Admissions Ranks (ATARs) who could have feasibly enrolled in either school type of comparable quality under different circumstances. We control for individual characteristics and the academic quality of the high schools attended. Our primary outcomes are the proportion of students from each school type choosing a STEM major and their weighted average marks for each year of university studies. Contrary to expectations, we find no evidence that a single-sex high school background increases STEM participation among girls at the university level. Interestingly, students from single-sex high schools show a higher propensity to choose a business major. Additionally, we find that the linear correlation between ATAR scores and first-year university grades is approximately 0.4. However, our analysis suggests that this relationship is better characterized as nonlinear rather than linear. |
| Keywords: | single-sex schooling, coeducational, STEM, academic performance, Australia |
| JEL: | I21 I23 J24 |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:iza:izadps:dp17084&r= |
| By: | Shifrah Aron-Dine; Johannes Beutel; Monika Piazzesi; Martin Schneider |
| Abstract: | This paper studies green investing in a quantitative asset pricing model with heterogeneous investors calibrated using high-quality, representative survey data of German households. We find substantial heterogeneity in green taste for both safe and risky green assets throughout the wealth distribution. Model counterfactuals show nonpecuniary benefits and hedging demands currently make green equity more expensive for firms. Yet, these taste effects are dominated by optimistic expectations about green equity returns, lowering firms' cost of green equity to a greenium of 1%. Looking ahead, we use our model to trace out the aggregate effects of information provision in an RCT and find green equity investment could potentially double when information about green finance spreads across the population. Regarding safe green assets, our model counterfactuals show that if green deposits could be offered at a 50 basis point interest rate spread, aggregate green investments in the economy could quadruple in the medium run. |
| JEL: | E0 F0 |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32615&r= |
| By: | Kamil Kashif; Robert \'Slepaczuk |
| Abstract: | This study focuses on building an algorithmic investment strategy employing a hybrid approach that combines LSTM and ARIMA models referred to as LSTM-ARIMA. This unique algorithm uses LSTM to produce final predictions but boosts the results of this RNN by adding the residuals obtained from ARIMA predictions among other inputs. The algorithm is tested across three equity indices (S&P 500, FTSE 100, and CAC 40) using daily frequency data from January 2000 to August 2023. The testing architecture is based on the walk-forward procedure for the hyperparameter tunning phase that uses Random Search and backtesting the algorithms. The selection of the optimal model is determined based on adequately selected performance metrics focused on risk-adjusted return measures. We considered two strategies for each algorithm: Long-Only and Long-Short to present the situation of two various groups of investors with different investment policy restrictions. For each strategy and equity index, we compute the performance metrics and visualize the equity curve to identify the best strategy with the highest modified information ratio. The findings conclude that the LSTM-ARIMA algorithm outperforms all the other algorithms across all the equity indices which confirms the strong potential behind hybrid ML-TS (machine learning - time series) models in searching for the optimal algorithmic investment strategies. |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2406.18206&r= |
| By: | Zheng, Yanan; Goodhue, Rachael E. |
| Keywords: | Farm Management, Crop Production/Industries, Agricultural And Food Policy |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ags:aaea22:343560&r= |
| By: | Fuß, Aline; Nuske, Jessica; Becke, Guido; Bleses, Peter; Friemer, Andreas |
| Abstract: | Der vorliegende Aufsatz stellt die Ergebnisse einer Dokumentenanalyse der BMBF-Förderprogramme der Arbeitsforschung zwischen 1990 und 2020 dar. Dabei wird insbesondere den Fragen nachgegangen, wie das BMBF in seinen Förderprogrammen zur Arbeitsforschung den Transfer von Wissen konzeptualisiert, welche Instrumente für einen erfolgreichen Wissenstransfer über die Zeit hinweg eingeführt und modifiziert wurden und welche Rolle dabei transdisziplinäre Kooperationen zwischen Wissenschaft und Praxis spielen. Die Analyse gewährt interessante Einblicke in (sich wandelnde) Verständnisse des transdisziplinären Wissenstransfers, dessen Funktionsweise und in die vom BMBF angeführten Qualitäts- und korrespondierenden Erfolgskriterien. Die Erkenntnisse werden abschließend in acht Punkten zusammengefasst und diskutiert. Ein besonderes Augenmerk wird dabei auf die wissenschaftliche Anschlussfähigkeit des transdisziplinären Forschungsmodus in der BMBFgeförderten Arbeitsforschung gelegt. |
| Abstract: | This article presents the results of a document analysis of the BMBF funding programs for labour research between 1990 and 2020. In particular, it examines how the BMBF conceptualises the transfer of knowledge in its funding programmes for labour research, which instruments for successful knowledge transfer have been introduced and modified over time and what role transdisciplinary cooperation between science and practice plays in this. The analysis provides interesting insights into (changing) understandings of transdisciplinary knowledge transfer, how it works and the quality and corresponding success criteria cited by the BMBF. The findings are summarised and discussed in eight points. Particular attention is paid to the scientific connectivity of the transdisciplinary research mode in BMBF-funded labour research. |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:iawsch:300247&r= |
| By: | Martin Guzi; Maciej Duszczyk; Peter Huber; Ulrike Huemer; Marcela Veselková |
| Abstract: | The paper provides an overview of the situation of Ukrainian refugees in the labour markets of Austria, Czechia, Poland, and Slovakia, emphasizing the initiatives aimed at facilitating their integration. Refugees face challenges in securing employment adequate to their skills due to language barriers, limited capacity in childcare services, strict entry conditions for skilled occupations, and uncertainty surrounding their refugee status. The chapter concludes with recommendations for enhancing the labour market integration of refugees. |
| JEL: | E24 F22 J41 |
| Date: | 2024–07–15 |
| URL: | https://d.repec.org/n?u=RePEc:cel:dpaper:68&r= |
| By: | Zachary Porreca |
| Abstract: | I analyze the demand side impacts of a supply side intervention into the market for illegal drugs in what has been described as America’s largest open air drug market. Beginning in 2018, the Pennsylvania Attorney General’s office and the Philadelphia Police Department engaged in an ambitious effort to shut down the drug market in Philadelphia’s Kensington neighborhood. The intervention involved increased police presence in the targeted area alongside a series of targeted “kingpin” sweeps which were intended to remove the most pervasive operators from the market. I employ highly granular Safegraph cell phone location data to track changes in traffic flows between census block groups, observing that the initiative led to sizable and persistent reductions in traffic flows to the target area. Additionally, in contrast to substitution effects observed in other work, I observe that the initiative led to reductions in traffic flows to other regional drug markets and large declines in overdose mortality in the Philadelphia metropolitan area as a whole, suggesting a genuine reduction in the demand for illegal narcotics. With a combination of theory and empirics, I argue that this reduction in regional demand is able to be achieved due to the initiative disrupting a supply-chain that data indicates flows from the target area outwards to smaller satellite markets. Together this all suggests that, despite the inelastic demand for narcotics, regionally linked markets can be impacted broadly by location specific interventions. |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:baf:cbafwp:cbafwp24227&r= |
| By: | Alexander Lipton; Vladimir Lucic; Artur Sepp |
| Abstract: | We develop static and dynamic approaches for hedging of the impermanent loss (IL) of liquidity provision (LP) staked at Decentralised Exchanges (DEXes) which employ Uniswap V2 and V3 protocols. We provide detailed definitions and formulas for computing the IL to unify different definitions occurring in the existing literature. We show that the IL can be seen a contingent claim with a non-linear payoff for a fixed maturity date. Thus, we introduce the contingent claim termed as IL protection claim which delivers the negative of IL payoff at the maturity date. We apply arbitrage-based methods for valuation and risk management of this claim. First, we develop the static model-independent replication method for the valuation of IL protection claim using traded European vanilla call and put options. We extend and generalize an existing method to show that the IL protection claim can be hedged perfectly with options if there is a liquid options market. Second, we develop the dynamic model-based approach for the valuation and hedging of IL protection claims under a risk-neutral measure. We derive analytic valuation formulas using a wide class of price dynamics for which the characteristic function is available under the risk-neutral measure. As base cases, we derive analytic valuation formulas for IL protection claim under the Black-Scholes-Merton model and the log-normal stochastic volatility model. We finally discuss estimation of risk-reward of LP staking using our results. |
| Date: | 2024–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2407.05146&r= |
| By: | David Hummels; Kan Yue |
| Abstract: | Recent work documents declining business dynamism in the United States, with concerning implications for markups, innovation and productivity. Using import data for 146 countries over three decades we document a set of new stylized facts describing market dynamism world-wide. Market entry rates and the reallocation of market shares fall significantly over time. Young exporters experience rising prices, falling market shares, and increased exit probabilities relative to longer-tenured incumbents. While the variance of price shocks hitting markets is rising, long-tenured incumbents exhibit lower volatility in prices and the response of prices and quantities to tariff shocks are falling over time. These patterns hold for over 90 percent of countries and products suggesting the inadequacy of explanations that point to the macroeconomic or regulatory environment of particular countries or the unique industrial organization of particular products. |
| JEL: | D22 F14 L23 O40 |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32637&r= |
| By: | Keyoung Lee; David Wylie |
| Abstract: | Institutional investors that buy and rent out single family homes have continued to increase their presence after the Great Recession. We examine their neighborhood entry choices and rent charging behavior by leveraging tax and deed transfer records and Multiple Listing Service (MLS) data for 2010-2021. We find that investor share is higher in markets with lower housing values and higher shares of Black and noncollege residents, but higher median income. We also find that investors raise rents at 60% higher rates than the average increase when first acquiring the property, and higher investor share in a neighborhood is correlated with faster rent increases for non-investor landlords. We do not find evidence that investor entry is associated with gentrification, as neighborhoods with high investor activity saw reductions in White and college educated resident share relative to other neighborhoods in their metro area. |
| Keywords: | real estate; institutional investors; single family residential market; rentals |
| JEL: | G23 R21 R23 R31 |
| Date: | 2024–07–09 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedpwp:98521&r= |
| By: | Rawaa Laajimi (INRAE); Laurence Delattre (LEM); Hubert Jayet (LEM) |
| Abstract: | If the characteristics and location of farms and consumers involved in short food supply chain (SFSC) are well studied, especially for on-farm sales, the location of off-farm points of sale—as interaction points between supply and demand—has not been much analyzed, especially from a quantitative perspective. Though, a better understanding of the factors favoring and impeding the emergence of such points of sale could be valuable for producers (farmers), sellers (farmers or intermediaries), consumers (through consumers driven initiatives), and also for policymakers. To fill this gap, we have compiled an original database from local, regional, and national websites for the year 2020 and geolocalized more than 500 points of sale (pick-up point for sale by internet, pick-up point for community supported agriculture, producers' collective stores, markets, and retail stores) in two French departments (Nord and Pas-de-Calais). We account for the local environment of each point of sales, both in terms of potential supply of agricultural products and potential food demand, by relying on distance-weighted variables (inspired by the concept of market potential). We then |
| Date: | 2024–06–29 |
| URL: | https://d.repec.org/n?u=RePEc:boc:fsug24:25&r= |
| By: | OECD |
| Abstract: | This paper was prepared as a background note for discussions on “Ex-post Assessment of Merger Remedies” taking place at the 2023 Global Forum on Competition on 7-8 December 2023, |
| Date: | 2023–10–25 |
| URL: | https://d.repec.org/n?u=RePEc:oec:dafaac:302-en&r= |
| By: | Yupeng Cao; Zhiyuan Yao; Zhi Chen; Zhiyang Deng |
| Abstract: | The integration of Large Language Models (LLMs) into financial analysis has garnered significant attention in the NLP community. This paper presents our solution to IJCAI-2024 FinLLM challenge, investigating the capabilities of LLMs within three critical areas of financial tasks: financial classification, financial text summarization, and single stock trading. We adopted Llama3-8B and Mistral-7B as base models, fine-tuning them through Parameter Efficient Fine-Tuning (PEFT) and Low-Rank Adaptation (LoRA) approaches. To enhance model performance, we combine datasets from task 1 and task 2 for data fusion. Our approach aims to tackle these diverse tasks in a comprehensive and integrated manner, showcasing LLMs' capacity to address diverse and complex financial tasks with improved accuracy and decision-making capabilities. |
| Date: | 2024–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2407.01953&r= |