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on Macroeconomics |
| By: | Cristina Jude; Grégory Levieuge |
| Abstract: | At the height of the COVID-19 crisis, many countries have reduced their countercyclical capital buffer (CCyB) and cut key policy rates. We exploit this quasi-natural experiment to gauge the combined effects of these two policies on bank lending rates (BLRs). First, we theoretically show that the joint action of CCyB release and monetary policy easing lowers BLRs by more than the sum of their individual effects. We then empirically confirm this synergy by a difference-in-difference analysis. Notably, for a one percentage point release of the CCyB, corporate BLRs decreased by around 11 basis points more compared to countries without CCyB relief. |
| Keywords: | Countercyclical Capital Buffer, Monetary Policy, Policy Complementarity, Lending Rates, Covid-19 |
| JEL: | G21 G28 E52 E44 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:bfr:banfra:961 |
| By: | Alain Paquet (University of Quebec in Montreal); Christophe Barrette (University of Quebec in Montreal) |
| Abstract: | Using US quarterly data from 1967 to 2023, which includes the surge and subsequent decline in inflation following the pandemic, as well as the significant expansionary monetary policy from quantitative easing preceding a renewed focus on bringing inflation back to the 2% target, we resort to both traditional and new econometric tools to assess the stability of the sign and size of key macroeconomic variables’ responses to monetary shocks. Our results reinforce and confirm the importance of a broad Divisia measure for understanding monetary policy transmission and making informed policy decisions. In particular, the overall shape of the price responses to a Divisia-based monetary shock is particularly consistent throughout the entire sample. Monetary policy shocks from the fed funds rate or shadow policy interest rate alone fail to produce responses free from empirical puzzles and consistent with expected intuition, for both earlier and extended sample periods. In contrast, Divisia measures generate IRFs that are puzzle-free and align with economic theory and intuition. They are empirically relevant in explaining output and price dynamics from the late 60s to today. |
| Keywords: | Monetary policy shock, Divisia monetary aggregates, SVAR, Time-Varying Parameter Structural VAR, output and price level |
| JEL: | E5 E51 E52 E3 E31 E32 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:bbh:wpaper:24-04 |
| By: | Bianchi, Francesco (Johns Hopkins, CEPR and NBER); Callegari, Giovanni (European Stability Mechanism); Hitaj, Ermal (European Stability Mechanism); Theodoridis, Konstantinos (European Stability Mechanism and Cardiff Business School) |
| Abstract: | We develop a data-rich measure of expected macroeconomic skewness in the US economy. Expected macroeconomic skewness is strongly procyclical, mainly reflects the cyclicality in the skewness of real variables, is highly correlated with the cross-sectional skewness of firm-level employment growth, and is distinct from financial market skewness. Revisions in expected skewness, and the associated macroeconomic response to those, are nearly indistinguishable from the main business cycle shock of Angeletos et al. (2020). This result is robust to controlling for macroeconomic volatility and uncertainty, and alternative macroeconomic shocks. Our findings highlight the importance of higherorder dynamics for business cycle theories. |
| Keywords: | Asymmetry, principal component analysis, quantile regression, VAR |
| JEL: | C22 C38 E32 |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:cdf:wpaper:2024/13 |
| By: | Miriam Braig (University of Erfurt); Sebastian K. Rüth (University of Erfurt); Wouter Van der Veken (National Bank of Belgium, Economics and Research Department and Ghent University) |
| Abstract: | We solve a canonical, estimated, medium-sized, open-economy New Keynesian model, cast it into a small-scale population vector autoregression, and assess whether best-practice structural identifications detect textbook “overshooting” after a monetary policy hike—i.e., an instant real appreciation that monotonically reverts. Our results include “delayed overshooting, ” “exchange rate puzzles, ” “forward discount puzzles, ” and model-consistent overshooting. Identifications that regularly indicate open-economy anomalies in empirics likewise produce them in our controlled setup. Vice versa, identifications that prompt theory-conform conclusions in actual data do so in our experimental data. We infer that less empirical evidence may contradict canonical international macro theory than previously understood. |
| Keywords: | New open economy macroeconomics, population vector autoregression, invertibility, structural identification, exchange rate, overshooting. |
| JEL: | C32 E32 E52 F41 F42 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:nbb:reswpp:202409-455 |
| By: | Kaas, Leo; Kocharkov, Georgi; Syrichas, Nicolas |
| Abstract: | We examine the evolution of spatial house price dispersion during Germany's recent housing boom. Using a dataset of sales listings, we find that house price dispersion has significantly increased, which is driven entirely by rising price variation across postal codes. We show that both price divergence across labor market regions and widening spatial price variation within these regions are important factors for this trend. We propose and estimate a directed search model of the housing market to understand the driving forces of rising spatial price dispersion, highlighting the role of housing supply, housing demand and frictions in the matching process between buyers and sellers. While both shifts in housing supply and housing demand matter for overall price increases and for regional divergence, we find that variation in housing demand is the primary factor contributing to the widening spatial dispersion within labor market regions. |
| Keywords: | House price dispersion, Spatial housing markets, Search frictions in housing markets |
| JEL: | D83 R21 R31 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:safewp:302566 |
| By: | Francesco Avvisati (OECD); Celine Wuyts (OECD) |
| Abstract: | With each survey cycle, the measurement of socio-economic status in PISA must strike a delicate balance between at-times conflicting goals: accuracy, coverage, cost-efficiency, trend continuity, relevance (keeping up with changes in society) and comparability across countries. Over the past decade, a number of changes were introduced in the instruments and scaling processes; new related questions were added; and experiments were conducted with alternative question formats. In light of these changes, new variables, and experiments, we examine the quality of the indicators and scales that contribute to the index of economic, social and cultural status (ESCS) in PISA. We conclude with implications for questionnaire development, recommendations for scaling, and suggestions for future research. |
| Date: | 2024–09–19 |
| URL: | https://d.repec.org/n?u=RePEc:oec:eduaab:321-en |
| By: | Sastry, Kartik; Taylor, David; Leamy, Michael |
| Abstract: | Electrification of the transportation sector provides the means to significantly reduce greenhouse gas emissions from internal combustion engine vehicles (ICEVs). However, for electric vehicles (EVs) to remain a viable alternative to ICEVs, solutions must be developed to meet the associated growth in power demand (for charging) without stressing the power distribution infrastructure. One potential solution to this challenge is to control the EV charging load through smart charging. The objectives of the proposed research effort are to (i) clearly define the smart charging problem, (ii) complete a comprehensive literature review, (iii) develop and document fundamental models needed to analyze EV charging and grid impact, and (iv) develop mathematical algorithms for solving the smart-charging problem defined in (i). View the NCST Project Webpage |
| Keywords: | Engineering, Physical Sciences and Mathematics, Electric vehicles, smart charging, convex optimization, grid impact |
| Date: | 2023–06–30 |
| URL: | https://d.repec.org/n?u=RePEc:cdl:itsdav:qt0v64f30n |
| By: | Martha Jemio Salas (ORBITA); Ariel Tamayo Nava (ORBITA); Melvy Plata Burgoa (ORBITA); Reynaldo San Martín Camacho (ORBITA) |
| Abstract: | Se muestra la vocación y los recursos turísticos de Luribay, los aprendizajes alcanzados a lo largo de la asesoría de ORBITA y la percepción de los turistas que visitaron el destino. |
| Keywords: | Turismo comunitario, recursos turísticos, percepciones, Luribay, Bolivia |
| JEL: | L83 D12 L26 |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:iad:obitwp:2420 |
| By: | Mayana Pereira; Shane Greenstein; Raffaella Sadun; Prasanna Tambe; Lucia Ronchi Darre; Tammy Glazer; Allen Kim; Rahul Dodhia; Juan Lavista Ferres |
| Abstract: | We build and analyze new metrics of digital usage that leverage telemetry data collected by Microsoft during operating system updates across forty million Windows devices in U.S. households. These measures of US household digital usage are much more comprehensive than those made available through any existing commercial or government survey. We construct representations of devices in ZIP codes and find evidence of significant variation in usage reflecting an urban-rural divide. We also show the existence of substantial disparities in usage even within narrowly defined Metropolitan Statistical Areas. Income and education correlate with these observed differences. These effects are large and suggest digital literacy gaps that extend beyond the availability of essential IT infrastructure at the local level. These findings call for interventions beyond the traditional focus on infrastructure access and address usage and skills development. The indices are made publicly available to support future research. |
| JEL: | C43 L63 L86 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32932 |
| By: | Gonzalo Bohorquez; John Cartlidge |
| Abstract: | We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences and investor behaviour. To explore this hypothesis, we introduce an agent-based model of financial markets, where trading agents are embedded in a hierarchical network of communities, and communities influence the strategies and opinions of traders. Empirical analysis of the model shows that its behaviour conforms to several stylized facts observed in real financial markets; and the model is able to realistically simulate the effects that social media-driven phenomena, such as echo chambers and pump-and-dump schemes, have on financial markets. |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2409.00742 |
| By: | António Afonso; Ana Patricia Montes Caparrós; José M. Domínguez |
| Abstract: | In this paper, we estimate the potential tax burden in a panel data set comprising OECD countries over the period 2000-2021. To this end, we use non-parametric and parametric techniques: Data Envelopment Analysis (DEA) and Stochastic Frontier Analysis (SFA). In this way, it will be possible for us to identify which countries are close to their potential tax capacity and which are far from it. Moreover, we can determine whether they may sustain an increase (decrease) in their actual tax burden depending on whether the tax effort ratio is lower or higher relatively to other similar countries in the sample. Non-parametric and parametric results coincide rather closely on the positioning of the countries vis-à-vis the production possibility frontier and on their relative distances to the frontier. Efficient countries most of the times are: Belgium, Colombia, Finland, France, Italy, Latvia, Slovak Republic, and Sweden. |
| Keywords: | OECD; tax burden; tax efficiency; Stochastic Frontier Analysis; Data Envelopment Analysis. |
| JEL: | C14 C23 H20 H21 H30 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:ise:remwps:wp03392024 |
| By: | Zlata Sergeeva; Colin Ward (King Abdullah Petroleum Studies and Research Center) |
| Abstract: | In 2019, a new product – carbon-neutral LNG – was born. By 2021, the market for this product had grown rapidly. However, in 2022, the number of announcements about the volumes delivered to customers significantly decreased. To a large extent, this decrease was linked to credibility issues because all supplied cargoes used carbon offsets of various qualities to address emissions. Due to the lack of transparency and proper reporting, as well as global standards for the industry, the practice of trading carbon-neutral LNG has received substantial criticism from the media and stakeholders. However, considering the recent energy crisis and growing need for natural gas in certain regions, decarbonizing LNG is crucial for ensuring energy security in the coming decades. |
| Keywords: | Carbon, carbon capture and storage, Carbon Capture and Storage (CCS), Carbon Neutrality |
| Date: | 2024–07–01 |
| URL: | https://d.repec.org/n?u=RePEc:prc:dpaper:ks--2024-dp22 |
| By: | Görg, Holger; Mulyukova, Alina |
| Abstract: | This paper exploits time and geographic variation in the adoption of Special Economic Zones in India to assess the direct effects of the program on firm performance. We combine geocoded firm-level data and geocoded SEZs. Our analysis yields that conditional on controlling for initial selection based on observables, the establishment of new SEZs did not induce any discernible positive effect on the productivity growth of firms in the SEZs. To explain this, we focus on the possibility of distortions through non-profitable activities on the part of managers. We find that firms especially in publicly-owned SEZs decreased their productivity growth, while firms located in privately-owned SEZs experience productivity increases. We also show that directors of firms located inside the publicly-owned zones experienced a significant increase in their salary growth, which is not the case in privately-owned SEZs. Our findings are in line with the idea that the possibility of rent-seeking by managers leads to distortions in program implementation. |
| Keywords: | Special Economic Zones, Firm performance, India |
| JEL: | O18 O25 P25 R10 F21 F60 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:ifwkie:302102 |
| By: | Congressional Budget Office |
| Abstract: | Understanding patterns of student loan repayment before payments were suspended during the pandemic can shed light on how recent and proposed changes to the federal student loan program might affect students, educational institutions, and the federal budget. To that end, CBO identified a representative sample of federal student loans whose repayment periods began between July 2009 and June 2013 and examined several measures of their progress through 2019. |
| JEL: | H52 I22 I28 |
| Date: | 2024–09–12 |
| URL: | https://d.repec.org/n?u=RePEc:cbo:report:58963 |
| By: | Enrique Calfucura; Felipe Avilés-Lucero; Gabriel Peraita |
| Abstract: | This paper reviews and discusses the literature on natural capital accounts for Chile, considering the two approaches to measure natural capital from the United Nations’ System of Economic and Environmental Accounting: the central framework of the year 2012 for natural assets (SEEA CF) and the ecosystem services framework of the year 2021 (SEEA EA). The analysis of methodologies, experiences and data availability shows that is feasible to compile SEEA CF in Chile. On the other hand, the compilation of the SEEA EA proves to be more challenging due to the lack of direct measurements for the regulating ecosystem services. These estimates require locally calibrated biophysical modeling that can project the ecosystem services under different climate conditions. While the approach to the monetary valuation of natural assets and provisioning ecosystem services seems straightforward, this is more complex for the case of regulating ecosystem services because of methodological and data issues related to its geospatial nature. From an institutional perspective, coordination and collaborative work among stakeholders is key for the implementation of natural capital accounts. |
| Date: | 2023–04 |
| URL: | https://d.repec.org/n?u=RePEc:chb:bcchee:138 |
| By: | Gary Richardson; Marco Del Angel; Michael Gou |
| Abstract: | Dun’s Review began publishing monthly data on bankruptcies by branch of business during the 1890s. Those series evolved through many iterations. This essay reconstructs the series from 1895 to 1935 and discusses how it can be used for economic analysis. |
| JEL: | K29 K35 L6 L80 L90 N12 N13 N21 N22 N51 N52 N61 N62 N71 N72 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32928 |
| By: | Xiao, Jing (CIRCLE, Lund University); Lindholm Dahlstrand, Åsa (CIRCLE, Lund University) |
| Abstract: | Recently, acqui-hiring, which refers to the acquisitions driven by gaining access to target human capital, has emerged as a proliferating phenomenon in acquisitions of small technology firms. However, we still know little about this phenomenon, particularly outside the community of Silicon Valley. This study sheds new light on the nature of acqui-hiring by focusing on what drives acqui-hiring. Using a sample of 213 technological acquisitions of Swedish technology firms, our results show that firms tend to be acqui-hired when they are younger and when they are based on the development of deep tech, a group of emerging disruptive technologies, of which the technological base involves high levels of technological newness and complexity. The results show a support to our initial idea that acqui-hiring could be driven by the acquiring firm’s need to acquire complex knowledge and/or new capabilities that are embodied in target key employees or engineering teams. In addition, we develop a typology and identify four types of acqui-hiring. We use case illustrations of deep-tech acqui-hiring to demonstrate four differentiated acquisition strategies, including technology strengthening, product expansion, product experimentation and technology experimentation. |
| Keywords: | Acqui-hiring; deep tech; technological acquisitions; technological newness and complexity; combined methods; Sweden |
| JEL: | G34 L26 O32 O33 |
| Date: | 2024–09–04 |
| URL: | https://d.repec.org/n?u=RePEc:hhs:lucirc:2024_011 |
| By: | Caceres Bustamante, Javiera; Delev, Christian |
| Abstract: | The European Union (EU) is renegotiating its trade agreements with Latin American States. The core objective of this process is to modernize the Trade and Sustainable Development (TSD) chapters of these agreements. As such, this article critically examines the prospects of the modernized TSD chapters in the Chile-EU Association Agreement and the EU-Mexico Global Agreement, drawing lessons for the potential amendment of the EU-Andes Agreement. For this purpose, the article addresses the modernization process of the EU-Chile Association Agreement by surveying Chile’s negotiating practice in incorporating environment and climate change-related provisions in trade agreements. It compares the evolution of these provisions within the EU’s practice and discusses the convergence or divergence of views that have shaped the existing agreement. Additionally, it explores the possible future review process of the TSD chapter in the agreement. Furthermore, the article discusses the ongoing renegotiating process of the Global Agreement between the EU and Mexico. It examines the opportunity to enhance the current environmental protection disciplines in this agreement. Finally, the article evaluates how these experiences can inform a future renegotiation of the EU-Andes Agreement, with a focus on prioritising the Parties’ nationally determined contributions (NDCs) under the Paris Agreement. |
| Keywords: | environmental commitments; EU-Andes; EU-Chile; EU-Mexico; Free Trade Agreements; sustainable development; trade; AAM requested |
| JEL: | L81 J1 |
| Date: | 2023–08–01 |
| URL: | https://d.repec.org/n?u=RePEc:ehl:lserod:123563 |
| By: | Oytun Ha\c{c}ar{\i}z; Torsten Kleinow; Angus S. Macdonald |
| Abstract: | If individuals at the highest mortality risk are also least likely to lapse a life insurance policy, then lapse-supported premiums magnify adverse selection costs. As an example, we model 'Term to 100' contracts, and risk as revealed by genetic test results. We identify three methods of managing lapse surplus: eliminating it by design; disposing of it retrospectively (through participation); or disposing of it prospectively (through lapse-supported premiums). We then assume a heterogeneous population in which: (a) insurers cannot identify individuals at high mortality risk; (b) a secondary market exists that prevents high-risk policies from lapsing; (c) financial underwriting is lax or absent; and (d) life insurance policies may even be initiated by third parties as a financial investment (STOLI). Adverse selection losses under (a) are typically very small, but under (b) can be increased by multiples, and under (c) and (d) increased almost without limit. We note that the different approaches to modeling lapses used in studies of adverse selection and genetic testing appear to be broadly equivalent and robust. |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2409.01843 |