nep-mon New Economics Papers
on Monetary Economics
Issue of 2023‒10‒16
29 papers chosen by
Bernd Hayo, Philipps-Universität Marburg

  1. Monetary Policy Rule and its Performance under Inflation Targeting in Algeria By Cheddad Azzeddine; Mekidiche Mohammed
  2. Permanent and Transitory Monetary Shocks around the World By Javier Garcia Cicco; Patricio Goldstein; Federico Sturzenegger
  3. The Profitability Channel of Monetary Policy Transmission By Alex Hsu; Indrajit Mitra; Linghang Zeng
  4. Monetary policy rules: model uncertainty meets design limits By Dück, Alexander; Verona, Fabio
  5. Households’ Response to the Wealth Effects of Inflation By Philip Schnorpfeil; Michael Weber; Andreas Hackethal; Michael Weber
  6. The uneven impact of high inflation By Horacio Levy; Jakub Caisl; Luiz Hermida; Bálint Menyhért
  7. Assessing targeted longer-term refinancing operations: Identification through search intensity By Laine, Olli-Matti; Nelimarkka, Jaakko
  8. Central Bank Mandates and Communication about Climate Change: Evidence from A Large Dataset of Central Bank Speeches By David M. Arseneau; Mitsuhiro Osada
  9. Asymmetric Monetary Policy Tradeoffs By Davide Debortoli; Mario Forni; Luca Gambetti; Luca Sala
  10. Asymmetric Interest Rate Pass-through and Its Effects on Macroeconomic Variables: Evidence from Thailand By THOSAPON TONGHUI; JIN SEO CHO
  11. Mispricing in inflation markets By Barria, Rodrigo; Pinter, Gabor
  12. ANALYSIS ON MONETARY POLICY COORDINATION IN EURASIAN ECONOMIC UNION By Dobronravova, Elizaveta (Добронравова, Елизавета); Kolesnik, Sofiya (Колесник, София); Orekhov, Mikhail (Орехов, Михаил); Chembulatova, Mariya (Чембулатова, Мария)
  13. A Bayesian DSGE Approach to Modelling Cryptocurrency By Stylianos Asimakopoulos; Marco Lorusso; Francesco Ravazzolo
  14. Nonbank Lenders as Global Shock Absorbers: Evidence from US Monetary Policy Spillovers By David Elliott; Ralf R. Meisenzahl; José-Luis Peydró
  15. Forecasting Core Inflation in India: A Four-Step Approach By Rishabh Choudhary; Chetan Ghate; Md Arbaj Meman
  16. Exploring the network of individuals that influence the media's inflation message in South Africa By Katrien Smuts
  17. Inflation and Real Activity over the Business Cycle By Francesco Bianchi; Giovanni Nicolo; Dongho Song
  18. A safe core mandate By Perotti, Enrico C.
  19. The International Monetary System and International Financial System as an Analogy to the Copernican Heliocentric system: A simple multi-layers network model with simultaneous regime changes By Michael D. Bordo; Cécile Bastidon
  20. Four mistakes in the use of measures of expected inflation By Reis, Ricardo
  21. Hedging, market concentration and monetary policy: a joint analysis of gilt and derivatives exposures By Pinter, Gabor; Walker, Danny
  22. Financial Exclusion and Inflation Costs By Diogo Baerlocher
  23. The Twin Deficits, Monetary Instability and Debt Crises in the History of Modern Greece By George Alogoskoufis
  25. Stylized Facts From Prices at Multi-Channel Retailers in Mexico By Solórzano Diego
  26. Whispers of Chaos: Intervention on the Mexican Dollar Quotes in Japan, 1869-1885 By Yokoyama, Kazuki
  27. What Is Driving Inflation—Besides the Usual Culprits? By Christopher D. Cotton; Vaishali Garga
  28. Evidence on Price Stickiness in Japan By Kozo Ueda
  29. The FOMC's Use of Operational Targets: 85 Years and Counting By Jeff W. Huther; Kevin F. Kiernan; Elizabeth C. Klee; Ethan Rodriguez-Shah

  1. By: Cheddad Azzeddine (maghnia University center, Algeria); Mekidiche Mohammed (maghnia University center, Algeria)
    Abstract: The aim of this study is to reassess the efficacy of inflation targeting in Algeria by utilizing the Autoregressive Distributed Lag Bound Test (ARDL) model to analyze the Taylor rules. Our findings reveal that the implementation of inflation targeting in Algeria's monetary policy does not yield a significant immediate impact on inflation. Nonetheless, there is evidence of a gradual adjustment towards attaining the targeted inflation rate over time.
    Keywords: Monetary Policy Inflation Targeting Taylor rules ARDL model JEL Classification Codes: C22 E17 E43 E52 E58, Monetary Policy, Inflation Targeting, Taylor rules, ARDL model JEL Classification Codes: C22, E17, E43, E52, E58
    Date: 2023–06–04
  2. By: Javier Garcia Cicco (Universidad de San Andrés); Patricio Goldstein (Columbia University); Federico Sturzenegger (Universidad de San Andrés)
    Abstract: The effects of monetary policy on output and inflation have been at the center of macroeconomic debate for decades. Uribe (2022) argues, by looking at the US, that a better characterization of these effects can be obtained by splitting monetary policy into transitory and permanent shocks. He finds that transitory monetary contractions reduce inflation and output as in traditional New Keynesian models, whereas long termincreases in the inflation rate increase output in the short run. In this paper we extend the analysis to other countries in the world and show that its conclusions can roughly be extended to this larger set. We also broaden the analysis by lifting the overidentifying assumption of superneutrality. We find that although superneutrality does not strictly hold, deviations from it are very small. An increase in long run inflation can slightly improve output but this effect quickly dwindles as inflation increases and eventually becomes negative. Our results provide new evidence to the standard tenets of monetary policy: monetary policy is unable to move output and has negative side effects if it is allowed to increase beyond the range typically defended by central banks.
    Date: 2023–09
  3. By: Alex Hsu; Indrajit Mitra; Linghang Zeng
    Abstract: We provide firm-level evidence that Federal Open Market Committee announcements have real effects by changing expectations of firm profitability. We use an existing decomposition of a monetary policy shock into a central bank information component (CBI) and a conventional monetary component (MP). We find (1) firms with a higher value of capital asset pricing model (CAPM) beta have a higher investment rate sensitivity to the CBI component; no similar heterogeneity in investment response is observed for the MP component. We also find (2) the heterogeneity in investment sensitivity is due to innovations to firm profitability.
    Keywords: monetary policy; Fed information shocks; investments; CAPM beta
    JEL: E22 E52 G31
    Date: 2023–06–20
  4. By: Dück, Alexander; Verona, Fabio
    Abstract: Optimal monetary policy studies typically rely on a single structural model and identification of model-specific rules that minimize the unconditional volatilities of inflation and real activity. In our proposed approach, we take a large set of structural models and look for the model-robust rules that minimize the volatilities at those frequencies that policymakers are most interested in stabilizing. Compared to the status quo approach, our results suggest that policymakers should be more restrained in their inflation responses when their aim is to stabilize inflation and output growth at specific frequencies. Additional caution is called for due to model uncertainty.
    Keywords: monetary policy rules, policy evaluation, model comparison, model uncertainty, frequency domain, design limits, DSGE models
    JEL: C49 E32 E37 E52 E58
    Date: 2023
  5. By: Philip Schnorpfeil; Michael Weber; Andreas Hackethal; Michael Weber
    Abstract: We study the redistributive effects of inflation combining administrative bank data with an information provision experiment during an episode of historic inflation. On average, households are well-informed about prevailing inflation and are concerned about its impact on their wealth; yet, while many households know about inflation eroding nominal assets, most are unaware of nominal-debt erosion. Once they receive information on the debt-erosion channel, households update upwards their beliefs about nominal debt and their own real net wealth. These changes in beliefs causally affect actual consumption and hypothetical debt decisions. Our findings suggest that real wealth mediates the sensitivity of consumption to inflation once households are aware of the wealth effects of inflation.
    Keywords: inflation beliefs, information treatment, consumption, monetary policy
    JEL: D12 D14 D83 D84 E21 E31 E52
    Date: 2023
  6. By: Horacio Levy; Jakub Caisl; Luiz Hermida; Bálint Menyhért
    Abstract: Inflation indices – such as the national Consumer Price Indices (CPI) and the EU Harmonised Indices of Consumer Prices (HICP) – measure price changes for the overall economy, which may not reflect the inflation experience of an individual household or group of households. This paper contributes to previous studies of the distributive impact of recent high inflation in EU Member States. Producing more granular and recent results, this paper finds a substantial rise in effective inflation dispersion across households and confirms that lower-income households continue to experience higher inflation. This inflation gap remains even after energy prices have eased and when controlling for other household characteristics. Results also show that the distributive impact of inflation on household groups has varied over time, as changes in relative prices across the inflationary period have influenced the extent of the impact of inflation across population groups. Finally, differences in effective inflation rates have cumulated over time, particularly for households with lower-income and headed by people aged 60 years or more and with lower levels of education.
    Keywords: cost of living, household consumption, inflation inequality, inflation measurement
    JEL: D12 D14 E31 I31 D3
    Date: 2023–10–03
  7. By: Laine, Olli-Matti; Nelimarkka, Jaakko
    Abstract: We evaluate the effects of targeted credit injections of the central bank in the euro area. The aggregate policy impacts of credit easing on financial markets, bank lending and key macroeconomic variables are measured with a novel identification approach based on high-frequency web search data. Our results suggest that the targeted longer-term refinancing operations of the European Central Bank between 2014 and 2021 eased credit conditions in financial markets and had economically and statistically significant positive effects on GDP growth, bank lending and firm investment.
    Keywords: Monetary policy, High-frequency identification, TLTRO, Bank lending
    JEL: C36 E42 E51 E52 E58 G31
    Date: 2023
  8. By: David M. Arseneau (Federal Reserve Board); Mitsuhiro Osada (Bank of Japan)
    Abstract: We compare alternative methodologies to identify central banks speeches that focus on climate change and argue a supervised word scoring method produces the most comprehensive set. Using these climate-related speeches, we empirically examine the role of the mandate in shaping central bank communication about climate change. Central banks differ considerably in the extent to which their mandates support a sustainability objective -- it can be explicit, indirect whereby the central bank is mandated to support broader government policies, or it may not be supported at all. Our results show that these differences are important in determining the frequency of climate-related communication as well as context in which central banks address climate-related issues. All told, these findings suggest that mandate considerations play an important role in shaping central bank communication about climate change.
    Keywords: Central bank speeches; Mandates; Climate change; Natural language processing
    JEL: E58 E61 Q54
    Date: 2023–09–29
  9. By: Davide Debortoli; Mario Forni; Luca Gambetti; Luca Sala
    Abstract: We measure the inflation-unemployment tradeoff associated with monetary easing and tightening, during booms and recessions, using a novel nonlinear Proxy-SVAR approach. We find evidence of significant non-linearities for the U.S. economy (1973:M1 - 2019:M6): stimulating economic activity during recessions is associated with minimal costs in terms of inflation, and reducing inflation during booms delivers small costs in terms of unemployment. Overall, these results provide support for countercyclical monetary policies, in contrast with what predicted by a flat Phillips curve, or previous studies on nonlinear effects of monetary policy. Our results can be rationalized by a simple model with downward nominal wage rigidity, which is also used to assess the validity of our empirical approach.
    Keywords: monetary policy, inflation-unemployment tradeoff, structural VAR models, proxy- SVAR.
    JEL: C32 E32
    Date: 2023–09
  10. By: THOSAPON TONGHUI (Yonsei University); JIN SEO CHO (Yonsei University)
    Abstract: This study employs the two-step Nonlinear Autoregressive Distributed Lag estimation method proposed by Cho, Greenwood-Nimmo, and Shin (2019) to identify the asymmetric impact of monetary policy on economic variables using monthly data from Thailand between 2001 and 2023. The primary objective is to investigate the effects of policy rate shocks on the economy. This study examines three key aspects: (i) the asymmetric pass-through of policy rates to commercial bank deposits and loan rates; (ii) pass-through variations across bank sizes; and (iii) the asymmetric macroeconomic effects on output and inflation. The empirical findings reveal the presence of asymmetry within the relationships between the variables. First, the study identifies an incomplete interest rate pass-through with deposit rates ranging from 28.1% to 102.7% and loan rates ranging from 12.7% to 89.6%. Notably, long-term upward asymmetry is observed for loan rates, whereas the evidence for deposit rates is limited. Second, regarding bank size, large banks exhibit a greater pass-through effect on loan rates, whereas small and medium-sized banks display higher responsiveness to short-term deposits or savings rates. Finally, this study provides strong evidence of long-term asymmetric macroeconomic impacts. Quantitatively, rate hikes have a more substantial effect on output growth, being 1.4 times larger than the impact of rate cuts. Conversely, rate decreases exhibit a more pronounced effect on inflation, being 3.4 times larger than the impact of rate increases. These findings suggest the presence of downward price rigidity associated with monetary policy shocks in the context of Thailand.
    Keywords: Interest rate pass-through; asymmetric impact; macroeconomic effects; Nonlinear Autoregressive Distributed Lag model.
    JEL: E43 E51 E52
    Date: 2023–09
  11. By: Barria, Rodrigo (University of Warwick); Pinter, Gabor (Bank of England)
    Abstract: We use UK transaction-level data on nominal bond, inflation-linked bond and inflation swap markets to study trading behaviour and prices in inflation markets. Our empirical analysis yields five main results: (i) there is persistent inflation mispricing over the 2018–22 period, with nominal gilts on average 135 basis points more expensive (per £100 notional) than their synthetic counterparts constructed from inflation swaps and inflation-linked bonds; (ii) hedge funds respond to changes in mispricing but their response does not constitute arbitrage – they adjust their bond portfolios appropriately, but do not hedge these trades in the inflation swap market; (iii) inflation markets are largely segmented with liability-driven investors and pension funds (LDI-P) dominating the inflation swap market, and many clients that are active in bond markets are absent in the inflation swap market; (iv) LDI-P activity is a key driver of inflation mispricing – the sector’s orderflows in inflation-linked bonds and (to lesser extent) nominal bonds and inflation swaps contribute significantly to day-to-day variations in mispricing; (v) the generally weak link between market-based measures of inflation expectations and survey-based measures is strengthened once we clean market prices from the effect of LDI-P trading activity.
    Keywords: Bond markets; inflation swaps; mispricing; arbitrage; pension funds
    JEL: E31 G12 G23
    Date: 2023–08–04
  12. By: Dobronravova, Elizaveta (Добронравова, Елизавета) (The Russian Presidential Academy of National Economy and Public Administration); Kolesnik, Sofiya (Колесник, София) (The Russian Presidential Academy of National Economy and Public Administration); Orekhov, Mikhail (Орехов, Михаил) (The Russian Presidential Academy of National Economy and Public Administration); Chembulatova, Mariya (Чембулатова, Мария) (The Russian Presidential Academy of National Economy and Public Administration)
    Abstract: In this paper we the synchronization of monetary policy in Eurasian Economic Union. The relevance of the study arises from two points: first, independent monetary policy may be a flexible tool of economic stabilization, so is important for countries; second, fluctuations of Russian economy and global shocks affect all the economies of EAEU, so their monetary policy depends on global and Russian interest rates anyway. The purpose of this paper is to estimate the reaction of EAEU central banks to individual, regional and global shocks. For the empirical model we use monthly data on EAEU key macroeconomic indicators from 2013 to 2021, the basic methods are general method of moments, error correction models and global vector autoregressions. Our results show that the reaction of EAEU countries’ macroeconomic variables to global shocks is by large the same, and spillovers from Russian economy play the key role. We conclude that despite heterogenous production structure, level of capital mobility and financial development the key trends in monetary policy depend on Russian inflation and financial cycle. But the future results will depend on the prospect of trade and financial integration in EAEU under external restrictions. The study can be extended with detailed analysis of capital mobility in EAEU transmission by financial channels.
    Keywords: monetary policy, monetary policy independence, economic integration, Eurasian economic union, econometric analysis
    JEL: E52 E58 F02 F15 F36 C51 C32
    Date: 2022–11–10
  13. By: Stylianos Asimakopoulos; Marco Lorusso; Francesco Ravazzolo
    Abstract: We develop and estimate a DSGE model to evaluate the economic repercussions of cryptocurrency. In our model, cryptocurrency offers an alternative currency option to government currency, with endogenous supply and demand. We uncover a substitution effect between the real balances of government currency and cryptocurrency in response to technology, preferences and monetary policy shocks. We find that an increase in cryptocurrency productivity induces a rise in the relative price of government currency with respect to cryptocurrency. Since cryptocurrency and government currency are highly substitutable, the demand for the former increases whereas it drops for the latter. Our historical decomposition analysis shows that fluctuations in the cryptocurrency price are mainly driven by shocks in cryptocurrency demand, whereas changes in the real balances for government currency are mainly attributed to government currency and cryptocurrency demand shocks.
    Date: 2023–09
  14. By: David Elliott; Ralf R. Meisenzahl; José-Luis Peydró
    Abstract: We show that nonbank lenders act as global shock absorbers from US monetary policy spillovers. We exploit loan-level data from the global syndicated lending market and US monetary policy surprises. When US policy tightens, nonbanks increase dollar credit supply to non-US firms (relative to banks), mitigating the dollar credit reduction. This increase is stronger for riskier firms, proxied by emerging market firms, high-yield firms, or firms in countries with stronger capital inflow restrictions. However, firm-lender matching, zombie lending, fragile-nonbank lending, or periods of low vs higher local GDP growth do not drive these results. Furthermore, the substitution from bank to nonbank credit has firm-level real effects. Consistent with a funding-based mechanism, when US monetary policy tightens, non-US nonbanks increase short-term dollar debt funding, relative to banks. In sum, despite increased risk-taking by less regulated and more fragile nonbanks (relative to banks), access to nonbank credit reduces the volatility in capital flows—and associated economic activity—stemming from US monetary policy spillovers, with important implications for theory and policy.
    Keywords: nonbank lending; international monetary policy; Global financial cycle; Banks
    JEL: E5 F34 F42 G21 G23 G28
    Date: 2023–08
  15. By: Rishabh Choudhary; Chetan Ghate; Md Arbaj Meman (Institute of Economic Growth, Delhi)
    Abstract: We propose a novel approach to forecasting core inflation in India, whose average contribution to headline inflation has been about 55 percent since January 2016. Our approach involves using the dis-aggregated components of core inflation, as well as the construction of a demand index using high frequency (HF) indicators. We find that individually forecasting and then aggregating core CPI components improves the short-term forecasting accuracy of core inflation. However, forecasting aggregate core inflation directly is more effective for longer horizons. We estimate a demand index using high frequency indicators. We find that the inclusion of the demand index and other co-variates enhances forecasting efficacy by capturing demand-side factors specific to the Indian economy. We also find that an accurate specification of the dis-aggregate components model contributes to maximizing prediction accuracy.
    Date: 2023
  16. By: Katrien Smuts
    Abstract: The main goal of this study—and its potential to add to the policy debate—is to cast light on the network of voices that influence the narrative about inflation and monetary policy in South Africa. To that end, this paper first identifies the main individuals (journalists, domestic policy makers, and financial analysts) that influence the inflation message in the news media. Using social network analysis, graph theory, and opinion leadership techniques, I describe the relationships and identify the most prominent persons in the network.
    Keywords: Inflation, Social networks, South Africa
    Date: 2023
  17. By: Francesco Bianchi; Giovanni Nicolo; Dongho Song
    Abstract: We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show that cyclical fluctuations of inflation are related to cyclical movements in real activity and unemployment, in line with what is implied by the New Keynesian framework. We then discuss the reasons for which our results relying on a Trend-Cycle VAR differ from the findings of previous studies based on VAR analysis. We explain empirically and theoretically how to reconcile these differences.
    Keywords: inflation; real activity; business cycles; trend-cycle VAR
    JEL: E31 E32 C32
    Date: 2023–03
  18. By: Perotti, Enrico C.
    Abstract: Central banks have vastly expanded their footprint on capital markets. At a time of extraordinary pressure by many sides, a simple benchmark for the scale and scope of their core mandate of price and financial stability may be useful. We make a case for a narrow mandate to maintain and safeguard the border between safe and quasi safe assets. This ex-ante definition minimizes ambiguity and discourages risk creation and limit panic runs, primarily by separating market demand for reliable liquidity from risk-intolerant, price-insensitive demand for a safe store of value. The central bank may be occasionally forced to intervene beyond the safe core but should not be bound by any such ex-ante mandate, unless directed to specific goals set by legislation with explicit fiscal support. We review distinct features of liquidity and safety demand, seeking a definition of the safety border, and discuss LOLR support for borderline safe assets such as MMF or uninsured deposits. A safe core formulation is close to the historical focus on regulated entities, collateralized lending and attention to the public debt market, but its specific framing offers some context on controversial issues such as the extent of LOLR responsibilities. It also justifies a persistently large scale for central bank liabilities (Greenwood, Hansom and Stein 2016), as safety demand is related to financial wealth rather than GDP. Finally, it is consistent with an active central bank role in supporting liquidity in government debt markets trading and clearing (Duffie 2020, 2021).
    Keywords: Lender of Last Resort, Central Banks, Money Market Funds
    Date: 2023
  19. By: Michael D. Bordo; Cécile Bastidon
    Abstract: The evolution of the IMS and IFS in the past several hundred years can be viewed through the lens of the Copernican heliocentric system developed over 500 years ago. We trace out the evolution across regimes of the IMS and IFS in terms of network representations of the Copernican system. We provide a simple, fully testable theoretical model whose assumptions are based on these representations. The IMS and IFS are described by a two-layer graph whose three key features (hub, core, distances) are affected by nonlinear joint regime changes linked to a technological, institutional, geopolitical and regulatory environment variable. We conclude with a discussion of some perspectives of the future of the international monetary and financial systems. Our analysis is based on economic history, theory and some resonant concepts from astrophysics.
    JEL: C3 C82 E42 F33 G15 N2
    Date: 2023–09
  20. By: Reis, Ricardo
    Abstract: With the profusion of measures of expected inflation (from market prices and from surveys of households, firms, and professionals) it is a mistake to focus on a single one while ignoring the others. This paper discusses four common arguments for a single focus, and finds each of them to be lacking. In the process, it isolates characteristics of different measures that models that combine them should take into account.
    JEL: D84 E31 E37 G20
    Date: 2023–05–01
  21. By: Pinter, Gabor (Bank of England); Walker, Danny (Bank of England)
    Abstract: We use granular data sets – merged across the UK government bond, interest rate swap, options and futures markets – to estimate exposures to interest rate risk at the sector level and for individual funds within the same sector. We focus on non-bank financial intermediaries (NBFIs) such as insurance companies, pension funds, asset managers and hedge funds. We find that NBFIs tend to use derivatives to amplify bond market exposures to interest rate risk, rather than to hedge them. Moreover, interest rate derivatives usage is highly concentrated among a few investors, which could increase the aggregate consequences of idiosyncratic shocks to these investors. We show that this market concentration impedes the monetary policy transmission to asset prices. We also find that monetary policy loosening (tightening) causes NBFIs to take on more (less) interest rate risk via derivatives, consistent with the risk-taking channel of monetary policy.
    Keywords: Interest rate risk; hedging; swaps; options; gilts; futures; NBFI
    JEL: D40 E50 E52 G10 G20 G23
    Date: 2023–07–21
  22. By: Diogo Baerlocher (Department of Economics, University of South Florida)
    Abstract: This paper constructs two models of financial exclusion to assess the welfare costs of inflation. In the first, inflation costs are measured within a classical endowment economy. The second includes a production sector and costly credit. Both models are calibrated to account for inflation costs in a high-inflation economy (developing country) and in a low-inflation economy (developed economy). In an endowment economy, when inflation is reduced from 1.5% to zero in a developed economy, the welfare costs for agents with (without) financial access are 0.36% (1.1%) consumption equivalent variation (CEV). In a model with costly credit, the welfare costs for agents with (without) financial access are 0.7% (1.36%) CEV. For developing countries, when inflation is reduced from 6.2% to zero, the welfare costs for agents with (without) financial access are 1.3% (5%) in an endowment economy. In the costly-credit model, the welfare costs for agents with (without) financial access are 0.44% (6%) CEV. The main finding is that there is a substantial asymmetry in welfare costs between individuals with and without access to financial services, especially in developing countries.
    Keywords: Financial Exclusion, Inflation Costs, Costly Credit
    JEL: D53 E31 E51 G23
    Date: 2023–09
  23. By: George Alogoskoufis
    Abstract: This paper reviews, analyses and interprets the determinants and the implications of the twin, fiscal and current account, deficits in the history of modern Greece. The analysis focuses on the determinants and the dynamic interactions among the twin deficits, domestic monetary regimes, and access to international borrowing. Two are the main conclusions: First, when Greece did not have access to international borrowing, fiscal imbalances usually led to monetary destabilization and inflation. Second, when it did have access to international borrowing, fiscal imbalances were generally larger, led to external deficits and, eventually, sovereign debt crises and defaults. The monetary and exchange rate regime also mattered. The 1950s and 1960s were the only prolonged period in which the twin deficits were tackled effectively and, as a result, the only period in which Greece enjoyed high economic growth, monetary stability, and external balance simultaneously.
    Keywords: Modern Greece, economic history, institutions, fiscal policy, monetary policy, debt crises
    Date: 2023–10
  24. By: Kazakova, Maria (Казакова, Мария) (The Russian Presidential Academy of National Economy and Public Administration)
    Abstract: The development of e-commerce in the context of digitalization of the economy contributes to the introduction and expansion of opportunities for the use of new macro- and microeconomic indicators based on big data to study inflationary processes. The relevance of this work is determined by the fact that due to their availability and high frequency online prices of multi-channel retailers can be a more representative source of information for measuring and forecasting inflation levels than traditional data. Price indices based on online data made it possible to track price dynamics during the COVID-19 pandemic in real time. The main purpose of the study is to systematize the results of empirical work on the use of online trading data to analyze the features of inflationary processes (subject of the study). In addition, the work is aimed at exploring the possibilities of using online data and online price indices to predict offline prices. The achievement of the stated goal is facilitated by a review of academic literature devoted to the use of online price data for constructing high-frequency online indicators, measuring and forecasting the inflation rate, analyzing price dynamics in the online segment and comparing the rigidity of online prices and prices in traditional retail (tasks of research). The study was conducted using relevant academic literature and as the major source of information and methods such as descriptive, statistical, graphical analysis, a systematic approach, and comparative analysis. Based on the results of the study of the empirical experience of using online price data, it can be concluded that at present, online trade data are intensively used by foreign statistical agencies to build high-frequency price indices and can serve as a representative source of information about the level of inflation. Nevertheless, the review revealed that the official CPI was not replicated completely in any of the existing studies due to the high complexity of data collection and maintaining the database in working order (scientific novelty of the work). In this regard, the prospects for further research of the problem are presented in the maximum possible elimination of this shortcoming based on the previous world experience in the use of online price data and highfrequency online indicators. The results of the review can be used in the interests of the monetary authorities of the Russian Federation to build forecast models of inflation, considering high-frequency online data on prices.
    Keywords: inflation, e-commerce, inflation factors, inflation models, digitalization, consumer price index, online data, online price index, data parsing
    JEL: E17 E31 E52 C81
    Date: 2022–11–10
  25. By: Solórzano Diego
    Abstract: Using data gathered through web scraping techniques, this paper characterizes product categories' frequency, size and dispersion of price changes in eight retail chains in Mexico, and compare them with price statistics stemming from brick and mortar stores data of the same retailers. Notably, between 2016 and 2019, prices observed in brick and mortar stores (offline) change more frequently than those observed on websites (online). However, given a price change, online prices tend to exhibit larger price changes than their offline counterparts. In 2020, period affected by the pandemic, the above relationship across sales channel holds, while the frequency of price changes increased roughly by the same magnitude in both sales channels and the average size of price adjustments did not change relative to previous years. Results from this paper highlight the importance of recognizing the differences between survey and web scraped data.
    Keywords: Nominal rigidities;Consumer prices;Web scraped data;Survey microdata
    JEL: E31 L16
    Date: 2023–09
  26. By: Yokoyama, Kazuki
    Abstract: In the 19th century, Japan was one of the nations where the Mexican dollar had a lasting presence. The Meiji government introduced the yen as a new domestic currency during the 1870s and began tightening regulations on yogin trading, which involved the foreign exchange of Mexican and Japanese silver currencies. The statistical evidence provided in this paper illustrates that the risk of yogin trading saw a substantial rose as a result of the intensified intervention by the Meiji government. The policies to control yogin quotes proved to be unsuccessful. The prioritization of financial security led to a policy intervention characterized by inconsistency, enabling the reintroduction of speculative transactions that had been banned earlier.
    Keywords: yogin trading, speculation, intervention.
    JEL: G15 N25
    Date: 2023–09–01
  27. By: Christopher D. Cotton; Vaishali Garga
    Abstract: The prices of services associated with low-skill workers have been a key driver of “supercore” inflation, which excludes food, energy prices, and shelter prices. Low-skill-services inflation seems to be tied to faster wage growth in those industries coming out of the COVID-19 pandemic. Wage growth in low-skill services has begun to decline, suggesting that there may be lower inflation in these industries going forward. At the same time, wage growth in high-skill services has recently accelerated, suggesting that there may be higher inflation in these industries in the near future.
    Keywords: Inflation; CPI; supercore
    JEL: E31 E50 E66
    Date: 2023–07–13
  28. By: Kozo Ueda (Waseda University)
    Abstract: Using microdata from the Retail Price Survey (the basic statistics for the Consumer Price Index), we document facts regarding price stickiness in Japan. The main results are as follows: (1) The average frequency of price changes approximates 20% on a monthly basis. (2) The frequency of price changes is more heterogenous than that in the U.S. (3) Whereas no clear relationship exists between the frequency and size of price changes, a positive correlation emerges between the size of price changes and price dispersion across stores. (4) Large cities tend to have a higher frequency of price changes and smaller price dispersion than small cities. (5) A positive relationship exists between price changes and jobs-to-applicants ratio for some services, whereas a negative relationship exists between the frequency of price changes and jobs-to-applicants ratio for some goods. (6) Behind the 2022-23 price increase, the frequency of price changes exhibits a notable increase for certain goods and services such as eating out, while no distinct change is observed for the size of price changes or price dispersion.
    Date: 2023–09
  29. By: Jeff W. Huther; Kevin F. Kiernan; Elizabeth C. Klee; Ethan Rodriguez-Shah
    Abstract: This paper uses summaries of the Federal Open Market Committee’s (FOMC’s) meetings to identify its operational targets and map those to operating regimes. We find that operational targets were more often discussed in the earlier part of the FOMC’s 85-year history, but recent years have seen a resurgence in discussions. We identify distinct operating regimes and find that regimes with discussions of multiple targets, usually rate and quantity pairs, are more common than regimes dominated by discussions of single targets. We document that the current period (the 2007-2009 financial crisis to today) is a notable break in operational targets from earlier periods. We also show that shifts in operational targets occur during recoveries, or after a significant downturn in the macroeconomy.
    Date: 2023–05–14

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