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on Macroeconomics |
| By: | Fabio Milani |
| Abstract: | This paper estimates a New Keynesian model with a nonlinearity in the monetary policy rule to capture the practice of inflation targeting with target zones or tolerance bands. Private-sector agents form subjective expectations, update their beliefs over time using a perceived model of the economy, and are subject to shifts in sentiment. The model is estimated using data on realized macroeconomic variables and survey data on expectations for four inflation-targeting economies: Australia, Canada, New Zealand, and Sweden. The results show that central banks do not treat target bands as zones of inaction. Their policy reactions when inflation falls within the band are comparable to or even exceed the reactions when inflation moves outside the band, and they always satisfy the Taylor principle. Private-sector expectations respond similarly to structural and sentiment shocks regardless of the inflation regime. In all cases, the data favor the simpler specification in which agents form expectations based on linear perceived laws of motion, without accounting for the nonlinearity induced by monetary policy. |
| Keywords: | inflation targeting, tolerance bands, target ranges, survey expectations, learning, nonlinear monetary policy rules |
| JEL: | E31 E32 E52 E58 E70 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11910 |
| By: | Richard K. Crump; Nikolay Gospodinov |
| Abstract: | Since World War II, the U.S. economy has experienced twelve recessions—one every sixty-four months, on average. Though infrequent, these contractions can cause considerable pain and disruption, with the unemployment rate rising by at least 2.5 percentage points in each of the past four recessions. Given the consequences of an economic downturn, businesses and households are perennially interested in the near-term probability of a recession. In this post, we describe our research on a related issue: how much uncertainty is there around recession probability estimates from economic models? |
| Keywords: | recession predictability; term spread; uncertainty; quantification |
| JEL: | C52 C53 E32 E37 |
| Date: | 2025–05–29 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fednls:100023 |
| By: | Daniel Stodt |
| Abstract: | This study focuses on the non-linearity of fiscal multipliers in the Czech Republic and their dependence on the phase of the economic cycle. Using an STVAR model, the variability of fiscal multipliers across different economic phases is analyzed. The findings show that fiscal multipliers are higher during recessions (1–1.5) and lower during expansions (0–0.5), aligning with the general scientific consensus. The study also suggests that as the strength of an economic expansion gradually declines, multipliers gradually increase. These results emphasize the effectiveness of fiscal policy during recessions and its importance in stabilizing aggregate demand. However, the research highlights limitations caused primarily by the short available data series and the limited number of recessionary episodes in the Czech Republic, which may impact the generalizability of the findings. |
| Keywords: | Business cycle, fiscal multipliers, STVAR |
| JEL: | C32 E62 H30 |
| Date: | 2025–03 |
| URL: | https://d.repec.org/n?u=RePEc:cnb:wpaper:2025/3 |
| By: | Connor M. Brennan; Margaret M. Jacobson; Christian Matthes; Todd B. Walker |
| Abstract: | Different series of high-frequency monetary shocks can have a correlation coefficient as low as 0.3 and the same sign in only one half of observations. Both data and methods drive these differences, which are starkest when the federal funds rate is at its effective lower bound. After documenting differences in monetary shock series, we explore their consequence for inference in several specifications. We find that empirical estimates of monetary policy transmission have few qualitative differences. We caution that inference may not be entirely robust to all shock constructions because qualitative differences can emerge when we interchange data and methods. |
| Keywords: | High-frequency monetary policy shocks; Monetary policy transmission; Empirical monetary economics |
| JEL: | E31 E32 E52 E58 |
| Date: | 2024–11–01 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedgfe:100031 |
| By: | Heather Grabbe; Bas Heerma van Voss; Camille Mehlbaum; Sjoerd van der Zwaag |
| Abstract: | This paper explores three restoration pathways, revealing trade-offs between equity, cost-efficiency, and carbon sequestration |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:bre:wpaper:node_10967 |
| By: | Burdette, Zachary; Demelash, Hiwot |
| Abstract: | Will the race for advanced artificial intelligence (AI) make war more likely? If technology futurists are right that the advent of artificial general intelligence (AGI) will radically alter the global balance of power, could AGI development tempt states to resort to war to secure those advantages for themselves or to deny them to their rivals? In this working paper, we develop a framework of variables that shape preventive war risks and consider how these variables apply to AGI development. By AGI, we mean advanced artificial intelligence that can match or exceed human performance across a broad spectrum of tasks. This working paper evaluates AGI’s implications from a political rather than a technical perspective. That is, if rapid technological progress toward AGI continues, what are the political implications for international stability? Drawing from three scenarios for how preventive pressures could potentially manifest as preventive wars, the analysis suggests that the probability of war is low in absolute terms. But preventive war appears relatively more likely to occur in an attempt to preserve a monopoly on AGI than to prevent one. |
| Date: | 2025–05–02 |
| URL: | https://d.repec.org/n?u=RePEc:osf:socarx:dx3aw_v1 |
| By: | Marcus How; Olga Pindyuk (The Vienna Institute for International Economic Studies, wiiw) |
| Abstract: | FDI in Central, East and Southeast Europe Geo-economic uncertainty taking its toll by Olga Pindyuk Long-term FDI developments in CESEE point to a structural shift in many countries, especially in Central Europe. Recently, investor confidence in the region has been badly affected by rising uncertainty. Data on greenfield investment projects announced reveal a significant weakening of investment performance in most countries of the region. China has been cementing its role as the biggest investor in the region. Navigating political risks The resilience of FDI in Hungary’s evolving economy by Marcus How Hungary has experienced institutional decline under Prime Minister Viktor Orbán’s administrations, while nationalisation and ‘indigenisation’ have reduced FDI in sectors such as banking, utilities and energy. However, FDI in manufacturing and construction has remained stable – or has even grown – due to discretionary policy incentives. Despite the overall political risks, Hungary’s FDI inward stock exceeded EUR 100bn by 2023, with robust macroeconomic fundamentals, a low rate of corporate tax and the country’s EU membership serving to attract investors. Forecasts of main economic indicators for Central, East and Southeast Europe for 2024-2026 |
| Keywords: | foreign direct investment, greenfield projects, political risks, foreign direct investment, nationalisation, indigenisation |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:wii:mpaper:mr:2024-11 |
| By: | Diego Bonelli (BANCO DE ESPAÑA); Berardino Palazzo (FEDERAL RESERVE BOARD OF GOVERNORS); Ram Yamarthy (FEDERAL RESERVE BOARD OF GOVERNORS) |
| Abstract: | Using inflation swap prices, we study how changes in expected inflation affect firm-level credit spreads and equity returns, and uncover evidence of a time-varying inflation sensitivity. In times of “good inflation, ” when inflation news is perceived by investors to be more positively correlated with real economic growth, movements in expected inflation substantially reduce corporate credit spreads and raise equity valuations. Meanwhile in times of “bad inflation, ” these effects are attenuated and the opposite may even occur. These dynamics naturally arise in an equilibrium asset pricing model with a time-varying inflation-growth covariance and persistent macroeconomic expectations. |
| Keywords: | inflation sensitivity, time variation, asset prices, stock-bond correlation |
| JEL: | E31 E44 G12 |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:bde:wpaper:2525 |
| By: | Buschulte, Sonja Lisa |
| Abstract: | This dissertation examines the informational efficiency in the corporate bond market. More precisely, it shows how new information stemming from announcements of bond issuing firms impacts the prices of these bonds. While the equity market efficiency is well examined, historically limited data quality and the complexity of bonds leave research gaps in the corporate bond market. Composed of three studies, this dissertation uses a comprehensive sample of US corporate bond trading data to close these gaps further. The first study examines the power of event studies in corporate bond markets and thus sets the basis for testing informational efficiency in the bond market around any event. It shows that two market phenomena negatively impact the informative value of results: Test power decreases rapidly in the presence of event induced variance. Moreover, bond market illiquidity is problematic with samples focused on above average maturities and credit risks. The second study specifically tests informational efficiency around dividend announcements that imply dividend payout ratio changes. It provides insights into significant, negative reactions that bondholders exhibit and highlights the complex effects that drive these bond market reactions. Additionally, it shows the explanatory power of signaling and wealth transfer hypotheses, while the information content hypothesis is refuted. The third study analyzes the interaction effect between earnings and dividend announcements. The results of this study suggest that a strong interaction effect is present in the corporate bond market and that it is robust across several specifications. Consequently, the interaction effect of dividend and earnings announcements has to be considered when evaluating the overall contained information for the bond market. |
| Date: | 2025–05–12 |
| URL: | https://d.repec.org/n?u=RePEc:dar:wpaper:154753 |
| By: | Shovon Sengupta (SUAD_SAFIR - SUAD - Sorbonne University Abu Dhabi, BITS Pilani - Birla Institute of Technology and Science, Fidelity Investments); Tanujit Chakraborty (SUAD_SAFIR - SUAD - Sorbonne University Abu Dhabi); Sunny Kumar Singh (BITS Pilani - Birla Institute of Technology and Science) |
| Abstract: | Forecasting consumer price index (CPI) inflation is of paramount importance for both academics and policymakers at central banks. This study introduces the filtered ensemble wavelet neural network (FEWNet) to forecast CPI inflation, tested in BRIC countries. FEWNet decomposes inflation data into high- and low-frequency components using wavelet transforms and incorporates additional economic factors, such as economic policy uncertainty and geopolitical risk, to enhance forecast accuracy. These wavelet-transformed series and filtered exogenous variables are input into downstream autoregressive neural networks, producing the final ensemble forecast. Theoretically, we demonstrate that FEWNet reduces empirical risk compared to fully connected autoregressive neural networks. Empirically, FEWNet outperforms other forecasting methods and effectively estimates prediction uncertainty due to its ability to capture non-linearities and long-range dependencies through its adaptable architecture. Consequently, FEWNet emerges as a valuable tool for central banks to manage inflation and enhance monetary policy decisions. |
| Keywords: | Inflation forecasting Wavelets Neural networks Empirical risk minimization Conformal prediction intervals |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-05056934 |
| By: | Clément Nedoncelle (UMR PSAE - Paris-Saclay Applied Economics - AgroParisTech - Université Paris-Saclay - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Léa Marchal (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique); Amandine Aubry (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique); Jérôme Héricourt (CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique, EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay, CEPS - Centre d'Economie de l'ENS Paris-Saclay - Université Paris-Saclay - ENS Paris Saclay - Ecole Normale Supérieure Paris-Saclay) |
| Abstract: | The impact of immigration on native workers' wages has been a long-standing debate in labour economics. This meta-analysis synthesises findings from 88 studies published between 1985 and 2023, providing a comprehensive assessment of reduced-form estimates of the wage effect of immigration. Our results align with the existing literature, showing that the average wage effect is centred around zero, with substantial heterogeneity across studies. We highlight the critical role of contexts and methodological choices in shaping wage estimates. In particular, we find that shift-share instrumental variables correct for an upward bias of the OLS. Our findings emphasise the need for replication studies and greater transparency in methodological choices. |
| Abstract: | L'impact de l'immigration sur les salaires des travailleurs autochtones est un débat de longue date en économie du travail. Cette méta-analyse synthétise les résultats de 88 études publiées entre 1985 et 2023, fournissant une évaluation complète des estimations de forme réduite de l'effet salarial de l'immigration. Nos résultats s'alignent sur la littérature existante, montrant que l'effet salarial moyen est centré autour de zéro, avec une hétérogénéité substantielle d'une étude à l'autre. Nous soulignons le rôle essentiel des contextes et des choix méthodologiques dans l'élaboration des estimations salariales. En particulier, nous constatons que les variables instrumentales du shift-share corrigent un biais à la hausse des MCO. Nos résultats soulignent la nécessité d'études de réplication et d'une plus grande transparence dans les choix méthodologiques. |
| Keywords: | Immigration, Labour market, Meta-analysis, Wage |
| Date: | 2025–02 |
| URL: | https://d.repec.org/n?u=RePEc:hal:cesptp:halshs-05052498 |
| By: | McWay, Ryan; Braaksma, Matthew |
| Abstract: | Mahadevan and Shenoy (2023) assesses the use of state influence on funding for welfare programs in West Bengal for political targeting during periods of economic distress. Using a multidimensional regression discontinuity design, the authors find a misallocation of funding for a make-work program to support incumbent majority parties in electoral jurisdictions facing water-stress. This clientelism increased voting shares from farming communities using vote-buying strategies during a period of high unemployment (the dry season). We successfully computationally reproduce their results, and note some potential revisions to the replication packet to improve future replication. Further, we test the robustness replicability of the results through re-analyses modifying the definition of labor allocation, the definition of water-stress, as well as sub-analysis by voter turnout and voter population. We find that extreme water-stress jurisdictions are heavy recipients of reallocated labor, and find that labor is reallocated from part-time to full-time employment through the welfare program. Electoral victories from the ruling party successful implement vote-buying strategies in water-stressed electorates with high voter-turnout and large constituencies. This replication provides support for the internal validity of Mahadevan and Shenoy (2023)'s results and sheds a deeper light into the reallocation of welfare programs during periods of economic disaster. |
| Keywords: | Democracy, Resource Scarcity, Labor Allocation, Groundwater, India |
| JEL: | D72 H53 I38 O13 Q25 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:i4rdps:231 |
| By: | Kyohei Okumura |
| Abstract: | This paper investigates the robustness of online learning algorithms when learners possess private information. No-external-regret algorithms, prevalent in machine learning, are vulnerable to strategic manipulation, allowing an adaptive opponent to extract full surplus. Even standard no-weak-external-regret algorithms, designed for optimal learning in stationary environments, exhibit similar vulnerabilities. This raises a fundamental question: can a learner simultaneously prevent full surplus extraction by adaptive opponents while maintaining optimal performance in well-behaved environments? To address this, we model the problem as a two-player repeated game, where the learner with private information plays against the environment, facing ambiguity about the environment's types: stationary or adaptive. We introduce \emph{partial safety} as a key design criterion for online learning algorithms to prevent full surplus extraction. We then propose the \emph{Explore-Exploit-Punish} (\textsf{EEP}) algorithm and prove that it satisfies partial safety while achieving optimal learning in stationary environments, and has a variant that delivers improved welfare performance. Our findings highlight the risks of applying standard online learning algorithms in strategic settings with adverse selection. We advocate for a shift toward online learning algorithms that explicitly incorporate safeguards against strategic manipulation while ensuring strong learning performance. |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2505.05341 |
| By: | Daniel Cunha; Mr. Rodrigo Garcia-Verdu; Pedro Juca Maciel |
| Abstract: | We explore the relationship of recessions and tourism cycles on the economic performance of tourism-dependent Small Developing States (SDS). Using local projections regressions, we examine how these cycles affect potential output growth and its drivers—investment and employment—and estimate the short-run elasticity of tourism growth to economic activity. Our findings reveal that the long-term influence of recessions are less persistent in SDS than in larger emerging markets, as tourist-dependent economies experience faster recoveries from recessions. Moreover, we use Cabo Verde as a natural experiment to assess the short-term relation of tourism on growth and found that tourism's short-run elasticity to growth is around 0.4 over 12 months, with limited spillovers to non-tourism areas. |
| Keywords: | Small Developing States; Tourism; Growth |
| Date: | 2025–05–23 |
| URL: | https://d.repec.org/n?u=RePEc:imf:imfwpa:2025/103 |
| By: | Johannes Buggle (University of Innsbruck); Max Deter (Max Deter Berlin School of Economics, University of Potsdam, CEPA); Martin Lange (ZEW Mannheim) |
| Abstract: | This paper examines how network ties between local social leaders influenced the diffusion of mass protests in an autocracy. We focus on the Protestant Church and the Peaceful Revolution in East Germany. To quantify the role of leader networks in protest diffusion, we compile biographical records of over 1, 600 Protestant pastors, including their employment and education histories. Our findings reveal that network connections led to an increase in protest diffusion by up to 4.9 percentage points in a given week. Moreover, we highlight the importance of network centrality, pastors as information bridges, and the interaction with preexisting grievances and repression. |
| Keywords: | autocracy, religion, protests, networks, leaders |
| JEL: | D72 D74 N44 P16 |
| Date: | 2025–04 |
| URL: | https://d.repec.org/n?u=RePEc:pot:cepadp:87 |
| By: | Subelack, Jonas |
| Abstract: | Objective: This study aims to investigate whether specific treatments or combinations of treatments are significantly associated with the profitability of Swiss acute-care hospitals under the current diagnosis-related group (S-DRG) reimbursement system, while accounting for differences between public and private institutions. Methods: A comprehensive panel dataset of 142 Swiss acute-care hospitals, spanning from 2015 to 2022, was utilized, combining detailed financial and clinical case-level data. Profitability was assessed through hospital-level net financial results excluding deficit-covering payments. All cases were assigned uniquely to a medically homogeneous service group or area, as determined by Swiss hospital capacity planning. Fixed-effects panel regression models analyzed the associations between service areas and profitability, while an Apriori association rule mining algorithm identified service group combinations associated with profitability. Results: From 2015 to 2022, overall hospital profitability margins declined continuously, with public hospitals consistently reporting lower profitability than private hospitals (net profitability margin: 0.75% vs. 1.61%), despite receiving substantial subsidies (CHF 67.1 million vs. CHF 4.1 million). The primary panel regression revealed that three service areas are significantly associated with hospital profitability: Ear, nose and throat (16, 778 CHF; p |
| Keywords: | Hospital financing, hospital profitability, hospital reimbursement, DRG, Switzerland |
| JEL: | H51 I11 I15 I18 L51 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:hsgmed:202502 |
| By: | Kilic, Tugce |
| Abstract: | This study investigates how the economic structure of host regions shapes the labor market impacts of refugee inflows, focusing on the case of the Syrian refugee influx into Germany in 2014-2015. Utilizing a fuzzy difference-in-differences approach, the analysis introduces a novel measure of sectoral diversification to assess local absorptive capacity. The results show that sectoral diversification plays a significant role in moderating short-term labor market outcomes. Counties with less diversified employment structures experience greater adverse impacts on non-German workers, while more diversified regions are better able to absorb new arrivals and mitigate unemployment pressures. These results underscore the importance of considering local economic structures in the regional allocation of refugees and the design of integration policies. |
| Keywords: | Immigration, Labor market, Asylum seekers, Syrian refugees, Germany |
| JEL: | F22 J21 J61 C21 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:ipewps:319062 |
| By: | Chomali, Laura |
| Abstract: | Household chores, particularly those related to food—such as meal preparation and grocery shopping—continue to reflect significant gender disparities. Supermarkets, by reducing the distance between consumers and food purchases while leveraging economies of scale to offer affordable and diverse options, are often associated with food security. However, it remains unclear how the establishment of these businesses impacts their surroundings, especially in comparison to other security measures, such as addressing crime. This study examines how the operating hours and proximity of supermarkets affect local crime levels in Chicago, USA, over a one-year period (September 2023–August 2024). By combining three georeferenced datasets from the Chicago Police Department, Google Maps, and weather information to create a database and applying three negative binomial regression models. Results indicate that open supermarkets are generally linked to slightly lower crime rates, though this effect fluctuates throughout the day—reducing crime in early hours but increasing it during peak periods. While proximity alone shows no strong correlation with crime, open supermarkets exhibit a localized deterrent effect. |
| Keywords: | Crime, operating hours, supermarket, supermarket proximity |
| JEL: | D0 H0 R0 R00 |
| Date: | 2025–05–20 |
| URL: | https://d.repec.org/n?u=RePEc:pra:mprapa:124888 |