Urmaresc ce se intampla la nivel macroeconomic, iar zilele trecute am auzit o idee cel putin interesanta: bugetarii sunt oameni platiti sa gestioneze bugetul (consolidat), daca acesta scade ar trebui sa fie redus si numarul lor. Pare un lucru de bun simt si totusi la noi nu se intampla.

Cea mai buna idee pentru iesirea din criza auzita pana acum mi se pare vanzarea companiilor de stat. Aceasta masura ar avea imediat doua efecte:

• ar aduce lichiditati intr-o perioada in care se gasesc foarte greu
• ar micsora numarul salariatilor de la Stat, deci ar reduce cheltuielile

Ambele ar contribui la reducerea deficitului de cont curent al tarii. Sa punem la socoteala si ca statul este cel mai prost administrator.

Ce parere aveti? Ce efecte negative ar genera aceste masuri? Si-ar face treaba acele companii mai greu daca nu ar mai fi „de stat”?

FMI găseşte bugetul cu un deficit de 5,1% din PIB la nouă luni,  sub ţinta agreată

Claudia Medrega

20.10.2009

«Ritmul de crestere a cheltuielilor bugetare s-a mai temperat dupa noua luni, in timp ce la nivelul veniturilor se observa o relativa stagnare a tendintei de scadere, ceea ce ar putea indica un inceput de redresare economica, spun analistii.

Deficitul bugetar a ajuns la sfarsitul lunii septembrie la 5,1% din PIB, sub tinta negociata cu FMI, de 5,4% din PIB. Totusi, cresterea deficitului releva mentinerea veniturilor pe o panta descendenta, precum si intarzierea ajustarii cheltuielilor.

Sumele incasate din TVA, care reprezinta cea mai importanta resursa a bugetului de stat, au inregistrat o scadere de 19,1%, la 25,3 mld. lei, indicand o usoara revigorare a consumului.

O reducere importanta a continuat sa se manifeste in cazul incasarilor din impozitul pe profit, care au coborat la sfarsitul lunii septembrie cu 16%, comparativ cu aceeasi perioada a anului trecut, la 8,4 mld. lei, reflectand ajustarea puternica a afacerilor. Contributiile de asigurari sociale au inregistrat o evolutie mai buna, respectiv o scadere de numai 1%, la 36,3 mld. lei

Pe de alta parte, impozitarea salariilor si a veniturilor a continuat sa aduca mai multi bani la buget fata de anul trecut, sumele colectate inregistrand un plus de 3,8%, la 13,9 mld. lei.

“Desi momentan se mentine pe crestere, impozitul pe salarii incepe sa dea semne de deteriorare datorita cresterii somajului si a presiunilor de diminuare a veniturilor populatiei si in special a partii variabile a acestora, respectiv bonusuri si prime, a explicat Melania Hancila, economistul-sef al Volksbank.

La nivelul cheltuielilor in septembrie incepe sa se observe o diminuare a ritmului de crestere la 7,6% fata de aceeasi perioada a anului trecut, comparativ cu un avans de 8,3% consemnat dupa opt luni.

“Reducerea usoara a cheltuielilor din ultima perioada este nesemnificativa in comparatie cu viteza de scadere a veniturilor si se datoreaza in principal sacrificarii proiectelor de investitii. Ca urmare a contractiei severe a economiei, somajul a crescut puternic determinand cresterea cheltuielilor cu asistenta sociala, iar cresterea gradului de indatorare publica a condus la majorarea cheltuielilor cu dobanzile”, a explicat Hancila.

Dinamica costurilor de personal si a cheltuielilor de capital a continuat sa ramana divergenta. Cheltuielile de personal au urcat cu 9,2%, la 35,9 mld. lei, in timp ce cheltuielile de capital au coborat cu 4,9%, la 14,6 mld. lei.

Evolutia cheltuielilor de personal a fost influentata in principal de faptul ca la nivelul autoritatilor locale si entitatilor autofinantate aceste costuri nu au fost tinute sub control.

FMI a fost de acord la inceputul lunii august, dupa prima evaluare a acordului stand-by de imprumut, cu o crestere a deficitului bugetar la 7,3% in 2009, fiind prognozata o scadere a veniturilor cu 17 mld. lei fata de estimarea initiala.

Aprobarea bugetului pentru 2010 pana la sfarsitul acestui an este una dintre conditionalitatile agreate cu FMI, deficitul bugetar trebuind sa fie ajustat la 5,9% din PIB. Guvernul interimar lucreaza in prezent la forma finala a bugetului pentru anul viitor.

Premierul in exercitiu, Emil Boc, a spus ca “daca Parlamentul nu isi face datoria”, acordul cu FMI va trebui renegociat. “Anul acesta, daca Parlamentul isi face datoria, suntem in grafic. Daca Parlamentul nu-si face datoria, trebuie renegociat. Scrie acolo, pana la sfarsitul anului, legea bugetului de stat, legea pensiilor, legea responsabilitatii fiscale, incadrarea in deficit de 7,3%. Sunt cele mai importante prevederi din acordul cu Comisia Europeana si FMI. Pentru 2009, daca Parlamentul isi face datoria, suntem in grafic, daca nu, avem probleme”, a explicat Boc, citat de Mediafax.»

Deux vieilles peintures…

Je déménage le site bientôt, les images seront plus grandes, enfin!

Et en plus il nous incite à boire !! Il voulait absolument prendre une bouteille au SupperCLub ! Comment ça l’Open Bar ne vous a pas suffit ! C’est pas joli joli tout ça !!!!

Confidence exclusive! Oui oui le lendemain de la soirée au Doble O son RDV avec le directeur à 9h du Mat’ a été TRES DUR, oui oui il a bien descendu un litre d’eau et Oui oui il a mal vécu le cours de l’après midi !

Je me répète … c’est pas joli joli tout ca !!!!

Et en plus il nous incite à boire !! Il voulait absolument prendre une bouteille au SupperCLub ! Comment ça l’Open Bar ne vous a pas suffit ! C’est pas joli joli tout ça !!!!

Confidence exclusive! Oui oui le lendemain de la soirée au Doble O son RDV avec le directeur à 9h du Mat’ a été TRES DUR, oui oui il a bien descendu un litre d’eau et Oui oui il a mal vécu le cours de l’après midi !

Je me répète … c’est pas joli joli tout ca !!!!

Source : NEP (New Economics Papers) | RePEc

1. Expectations, Monetary Policy, and Labor Markets: Lessons from the Great Depression

   Date:	2009-08
   By:	Christopher P. Reicher
   URL:	http://d.repec.org/n?u=RePEc:kie:kieliw:1543&r=mac
   This paper estimates a series of shocks to hit the US economy during the Great Depression, using a New Keynesian model with unemployment and bargaining frictions. Shocks to long-run inflation expectations appear to account for much of the cyclical behavior of employment, while an increase in labor’s bargaining power also played an important role in deepening and lengthening the Depression. Government spending played very little role during the Hoover Administration and New Deal, until the rise in military spending effectively brought an end to the Depression in 1941. With the economy at or near the zero interest rate bound, interest rates and monetary aggregates provided a misleading indicator as to the true stance of inflation expectations; in fact, conditions were deflationary all throughout the 1930s in spite of high money growth and low interest rates. The experience of the 1930s offers lessons to modern policymaker s who find themselves in a similar situation
   Keywords:	Great Depression, expectations, deflation, zero bound, liquidity trap
   JEL:	E24

2. Wage, inflation and employment dynamics with labour market matching

   Date:	2009-08
   By:	Kai Christoffel (European Central Bank) James Costain (Banco de España) Gregory de Walque (Banque Nationale de Belgique) Keith Kuester (Federal Reserve Bank of Philadelphia) Tobias Linzert (European Central Bank) Stephen Millard (Bank of England) Olivier Pierrard (Banque Centrale du Luxembourg)
   URL:	http://d.repec.org/n?u=RePEc:bde:wpaper:0918&r=mac
   In a search and matching environment, this paper assesses a range of modeling setups against macro evidence for the monetary transmission mechanism in the euro area. In particular, we assess right-to-manage vs. efficient bargaining, flexible vs. sticky wages, interactions at the firm level between price and wage-setting, alternative forms of hiring frictions, search on-the-job and endogenous job separation. Models with wage stickiness and right-to-manage bargaining or with firm-specific labour imply a sufficient degree of real rigidity, and so can reproduce inflation dynamics well. However, they imply too small a response on the employment margin. The other model variants fit employment dynamics better, but then imply too little real rigidity and, so, too volatile inflation, owing to strong responses of marginal wages and hours per employee. Further sources of real rigidities – possibly from outside of the labour market – seem to be needed to simultaneously explain the responses of wages, inflation and employment.
   Keywords:	Inflation Dynamics, Labour Market, Business Cycle, Real Rigidities
   JEL:	E31

3. On the (de)stabilizing effects of news shocks

   Date:	2009-08
   By:	Roland Winkler Hans-Werner Wohltmann
   URL:	http://d.repec.org/n?u=RePEc:kie:kieliw:1542&r=mac
   This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas anticipation amplifies volatility in any purely forward-looking model, such as the baseline New Keynesian model, the results are ambiguous when including a backward-looking component. In addition to these theoretical findings, we use the estimated model of Smets and Wouters (2003) to provide numerical evidence that news shocks increase the volatility of key macroeconomic variables in the euro area when compared to unanticipated shocks.
   Keywords:	Anticipated Shocks, Business Cycles, Volatility
   JEL:	E32

4. A Financial Conditions Index for the United States

   Date:	2009
   By:	Kimberly Beaton René Lalonde Corinne Luu
   URL:	http://d.repec.org/n?u=RePEc:bca:bocadp:09-11&r=mac
   The financial crisis of 2007-09 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to financial variables on U.S. GDP growth by constructing two growthbased financial conditions indexes (FCIs) that measure the contribution to quarterly (annualized) GDP growth from financial conditions. One FCI is constructed using a structural vector-error correction model and the other is constructed using a large-scale macroeconomic model. The authors’ results suggest that financial factors subtracted around 5 percentage points from quarterly annualized real GDP growth in the United States in 2008Q4 and 2009Q1 and should subtract another 5 percentage points from growth in 2009Q2. Moreover, to assess the effect of financial shocks in terms of policy interest rate equivalent units, the authors convert the effect of financial developm ents on growth into the number of basis points by which the federal funds rate has been tightened. The authors show that the tightening of financial conditions since mid-2007 is equivalent to about 300 basis points of tightening in terms of the federal funds rate. Thus, the aggressive monetary easing undertaken by the Federal Reserve over the financial crisis has not been sufficient to offset the tightening of financial conditions. Finally, in a key contribution to the literature, the authors assess the relationship between financial shocks and real activity in the context of the zero lower bound. They find that the effect of the tightening of financial conditions on GDP growth in the current crisis may have been amplified by as much as 40 per cent due to the fact that policy interest rates reached the zero lower bound.
   Keywords:	Business fluctuations and cycles; Monetary conditions index; Monetary and financial indicators; Recent economic and financial developments
   JEL:	E32

5. The role of structural common and country-specific shocks in the business cycle dynamics of the G7 countries

   Date:	2009
   By:	Seymen, Atilim Kappler, Marcus
   URL:	http://d.repec.org/n?u=RePEc:zbw:zewdip:09015&r=mac
   The study analyses the business cycles of the G7 countries in a structural vector autoregression(SVAR) framework comprising output, nominal interest rate and inflation. Common and country-specific supply, demand and nominal shocks of each G7 country are identified, and the corresponding shock propagation channels are computed. We establish the statistical properties of the cyclical fluctuations and investigate the role of each structural common and country-specific shock in the cyclical fluctuations of the variables of interest as well as the business cycle co-movement in the G7 group of countries.
   Keywords:	International Business Cycles,Common and Country-Specific Structural Shocks,Structural Vector Autoregression Models
   JEL:	C32

6. Expectational stability under non-zero trend inflation

   Date:	2009-09-03
   By:	Kobayashi, Teruyoshi Muto, Ichiro
   URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:17082&r=mac
   This study examines the expectational stability of the rational expectation equilibria(REE) under Taylor rules when trend inflation is non-zero. We find that whether or not a higher (lower) trend inflation makes the REE more (less) unstable depends largely on the data (such as contemporaneous data, forecasts and lagged data) used in the conduct of monetary policy.
   Keywords:	adaptive learning; E-stability; Taylor rule; trend inflation
   JEL:	D84

7. Is there a Case for Price-level Targeting?

   Date:	2009-08-24
   By:	Boris Cournède Diego Moccero
   URL:	http://d.repec.org/n?u=RePEc:oec:ecoaaa:721-en&r=mac
   There is a case, but there are also counter-arguments. With sufficient forward-looking behaviour among firms and households, price-level targeting can act as a powerful built-in stabiliser through automatic shifts in inflation expectations. This stabilisation mechanism reduces the need for large shifts in policy rates, alleviating the risk of hitting the zero lower bound of nominal interest rates and falling into a liquidity trap. Furthermore, credible price-level targeting can support capital accumulation by protecting the long-run purchasing power of money and reducing the inflation risk premium embedded in actual long-term real interest rates. However, price-level targeting can imply welfare-reducing policy-induced output volatility in situations where the degree of forward-looking behaviour is very low. The self-regulating capacity of price-level targeting can be undermined if central banks are not fully credible. Bes ides, aggressive inflation targeting can replicate some of (but not all) the benefits of price-level targeting. On balance, the case for adopting price-level targeting is not clear-cut, all the more so since transition costs are likely to be significant.<P>Y a-t-il beaucoup à dire en faveur du ciblage du niveau des prix ?<BR>Oui, mais il y a aussi de sérieux contre-arguments. Si une part suffisante des entreprises et des ménages présente un comportement tourné vers l’avenir, le ciblage du niveau des prix peut fonctionner comme un puissant outil de stabilisation autonome grâce aux ajustements automatiques des anticipations des inflations. Ce mécanisme limite le besoin d’opérer de larges mouvements des taux directeurs, ce qui réduit le risque de heurter la borne zéro sur les taux d’intérêt et de tomber dans une trappe à liquidités. Qui plus est, grâce à la manière dont elle protège le pouvoir d’achat de la monnaie, une politique crédible de ciblage du niveau des prix peut encourager l’accumulation de cap ital en réduisant la prime contre le risque d’inflation qui est incorporée aux taux d’intérêts réels effectifs. Néanmoins, le ciblage du niveau des prix peut entraîner une volatilité de l’activité préjudiciable au bien-être social si la part des ménages et des entreprises qui sont tournés vers l’avenir est très faible. La capacité de stabilisation automatique d’un régime de ciblage du niveau des prix peut aussi être moindrie si la banque centrale manque de crédibilité. Par ailleurs, une stratégie de ciblage agressif du taux d’inflation peut reproduire une partie (mais non pas l’ensemble) des avantages du ciblage du niveau des prix. Tout bien pesé, les arguments en faveur du ciblage du niveau des prix ne justifient pas de manière nette un changement de stratégie monétaire, d’autant plus que les coûts de transition risquent d’être élevés.
   Keywords:	monetary policy, politique monétaire, central bank, banque centrale, inflation targeting, ciblage d’inflation, zero lower bound, borne zéro des taux d’intérêt, monetary systems, régimes monétaires, price level targeting, ciblage du niveau des prix, price stability, stabilité des prix, trappe à liquidités, liquidity trap
   JEL:	E42

8. Inflation dynamics with labour market matching: assessing alternative specifications

   Date:	2009-08-24
   By:	Christoffel, Kai (European Central Bank) Costain, James (Banco de Espana) de Walque, Gregory (National Bank of Belgium) Kuester, Keith (Federal Reserve Bank of Philadelphia) Linzert, Tobias (European Central Bank) Millard, Stephen (Bank of England) Pierrard, Olivier (Banque Centrale du Luxembourg)
   URL:	http://d.repec.org/n?u=RePEc:boe:boeewp:0375&r=mac
   This paper reviews recent approaches to modelling the labour market, and assesses their implications for inflation dynamics through both their effect on marginal cost and on price-setting behaviour. In a search and matching environment, we consider the following modelling set-ups: right-to-manage bargaining versus efficient bargaining, wage stickiness in new and existing matches, interactions at the firm level between price and wage-setting, alternative forms of hiring frictions, search on-the-job and endogenous job separation. We find that most specifications imply too little real rigidity relative to the data and, so, too volatile inflation. Models with wage stickiness and right-to-manage bargaining, or with firm-specific labour emerge as the most promising candidates.
   Keywords:	Inflation dynamics; labour market; business cycle; real rigidities
   JEL:	E24

9. Market Forecasts in Brazil: performance and determinants

   Date:	2009-04
   By:	Fabia A. de Carvalho André Minella
   URL:	http://d.repec.org/n?u=RePEc:bcb:wpaper:185&r=mac
   This paper assesses a wide set of aspects of market forecasts in Brazil: rationality, predictive power, joint performance, epidemiology and determinants. Using the survey conducted by the Central Bank of Brazil (CBB) among professional forecasters during the inflation targeting period, the main results are as follows: i) credibility in Brazilian monetary policy has increased over time, since inflation targets are important to explain inflation expectations, and private agents perceive the CBB as following a Taylor-type rule that is consistent with the inflation targeting framework; ii) market inflation forecasts had similar or better forecast performance than ARMA-, VAR- and BVAR-based forecasts with standard information sets; iii) the joint performance of market forecasts has improved over the past years; iv) in the decomposition of forecast errors for inflation, interest rate and exchange rate, the common forecast error component prevails over the idiosyncratic component across survey respondents; v) top-five forecasters published by the CBB are influential in other respondents’ forecasts; vi) inflation forecasts are unbiased but not fully efficient; and vii) inflation forecast uncertainty is positively related to increasing inflation and to country-risk premium.

10. Analysis of the Dynamics of Mexican Inflation Using Wavelets.

    Date:	2009-09
    By:	Carla Ysusi
    URL:	http://d.repec.org/n?u=RePEc:bdm:wpaper:2009-09&r=mac
    This paper studies the dynamics of Mexican inflation by using a wavelet multiresolution analysis on 16 indexes of the Mexican Consumer Price Index. This enables us to estimate the long-term trend, seasonality, and local shocks of the inflation series, even when the series are non-stationary. The energy distribution between the high frequency, seasonal, and trend components, as well as its evolution through time, are compared. In particular, headline and core inflations show a more stable behavior in all the scales since 2001. Also, an increase in the proportion of variance explained by short-term variations is detected in the inflation series. In relative terms, the short run is becoming as important for headline inflation as the medium and long run, and more important for non-core inflation. These results are in line with previous studies documenting the reduction in the Mexican inflation persistence.
    Keywords:	Inflation dynamics, wavelets, multiresolution analysis, energy decomposition.
    JEL:	C19

11. Shocking aspects of monetary integration (SVAR approach)

    Date:	2009-06
    By:	Mirdala, Rajmund
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:17057&r=mac
    One of the most challenging areas relating to the European Monetary Union (EMU) enlargement is the question of new member countries’ vulnerability to exogenous shocks related to euro adoption. Even if well prepared, and also considering the business cycles of the EMU candidate countries became more correlated as the result of persisting convergence toward the old EU member countries, their real output will be still vulnerable to the exogenous structural disturbances. The responsiveness of the new EMU member countries’ real output to the exogenous shocks may of course differ in intensity and durability. If we also assume a possibly low shocks correlation in these countries, the overall short-term wealth effect of the EMU membership may be rather low or even negative at all. In the paper we analyze the impact of three common exogenous structural shocks on the real output development in the new EMU member countries (Cypr us, Malta, the Slovak Republic and Slovenia) in the period 1999-2008 using SVAR (structural vector autoregression) approach. In order to meet this objective we decompose the variability of the real GDP in these countries to permanent and temporary shocks (we assume three types of shocks – nominal (liquidity), demand and supply shocks). Impulse-response functions will be also computed so that we can estimate the behaviour of the real output after structural one standard deviation innovations. The relevant outcomes of the analysis we compare with the results of the tests for the whole euro area (represented here by old EU member countries – EU-12 group). This approach helps us to understand the common as well as differing features of the real output determination in the new EMU member countries and old EU member countries.
    Keywords:	exogenous shocks; real output; structural vector autoregression; variance decomposition; impulseresponse function
    JEL:	C32

12. Inequality and Volatility Moderation in Russia: Evidence from Micro-Level Panel Data on Consumption and Income

    Date:	2009-06-01
    By:	Yuriy Gorodnichenko Klara Sabirianova Peter (Andrew Young School of Policy Studies, Georgia State University) Dmitriy Stolyarov
    URL:	http://d.repec.org/n?u=RePEc:ays:ispwps:paper0905&r=mac
    We construct key household and individual economic variables using a panel micro data set from the Russia Longitudinal Monitoring Survey (RLMS) for 1994-2005. We analyze cross-sectional income and consumption inequality and find that inequality decreased during the 2000-2005 economic recovery. The decrease appears to be driven by falling volatility of transitory income shocks. The response of consumption to permanent and transitory income shocks becomes weaker later in the sample, consistent with greater self-insurance against permanent shocks and greater smoothing of transitory shocks. Comparisons of RLMS data with official macroeconomic statistics reveal that national accounts may underestimate the extent of unofficial economic activity, and that the official consumer price index may overstate inflation and be prone to quality bias.
    Keywords:	inequality, income, consumption, transition, Russia.

13. Macroeconomic Impact of the Financial Crisis on Armenia

    Date:	2009-07-01
    By:	King Banaian (Department of Economics, St. Cloud State University)
    URL:	http://d.repec.org/n?u=RePEc:scs:wpaper:1001&r=mac
    As a small, open economy with a small export sector, Armenia has experienced a large amount of stress from the financial crisis. The government exited a peg-like exchange rate regime after a drain of foreign reserves. The loss of reserves was put to loss of revenues from mining exports, but can also be put to the effects of global financial crisis on remittance inflows. Worldwide, the World Bank expects remittances to fall from US$305 billion in 2008 to $290 billion in 2009. In this paper I explore the effect of global crisis on the loss of reserves supporting the monetary system. Bank balance sheets expanded rapidly and, though small relative to GDP, accepted many assets tied to real estate. Banks’ asset-liability mismatches have their root cause in changes to the flow of hard currency brought on by the crisis.
    Keywords:	Armenia; financial crisis; monetary policy; exchange rates
    JEL:	E58

14. The Puzzling Divergence of Rents and User Costs, 1980-2004

    Date:	2009-03
    By:	Randal Verbrugge (U.S. Bureau of Labor Statistics)
    URL:	http://d.repec.org/n?u=RePEc:bls:wpaper:ec080080&r=mac
    This paper demonstrates that, in the context of U.S. housing data, rents and ex ante user costs diverge markedly—in both growth rates and levels—for extended periods of time, a seeming failure of arbitrage and a puzzle from the perspective of standard capital theory. The tremendous volatility of even appropriately-smoothed ex ante annual user cost measures implies that such measures are unsuitable for inclusion in official price statistics. The divergence holds not only at the aggregate level, but at the metropolitan-market level as well, and is robust across different house price and rent measures. But transactions costs matter: the large persistent divergences did not imply the presence of unexploited profit opportunities. In particular, even though detached housing is readily moved between owner and renter markets, and the detached-unit rental market is surprisingly thick, transactions costs would have prevented ri sk-neutral investors from earning expected profits by buying a property to rent out for a year, and would have prevented risk-neutral homeowners from earning expected profits by selling their homes and becoming renters for a year. Finally, computing implied appreciation as a residual yields a house price forecast with huge errors; but either longer-horizon or no-real-capital-gains forecasts— which turn out to have similar forecast errors—imply a far less divergent user cost measure which might ultimately be useful for official price statistics. Some conjectures are offered.
    Keywords:	user costs; arbitrage; transactions costs; house price appreciation; forecasting; inflation stickiness; rental equivalence; CPI
    JEL:	R31

15. Long-Run Impacts of Inflation Tax in the Presence of Multiple Capital Goods

    Date:	2009-06
    By:	Fujisaki , Seiya Mino, Kazuo
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16964&r=mac
    This paper examines the long-run impact of inflation tax in the context of a generalized Ak growth model in which the production technology uses two types of capital stocks under a constant-returns-to-scale technology. We find hat unless investment expenditure for each type of capital is subject to the same degree of cash-in-advance constraint, a change in the money growth rate affects the steady-state level of factor intensity. It is shown that if the balanced-growth path is uniquely given, we still have a negative long-run relationship between money growth and the growth rate of real income. However, due to the endogenous determination of the factor intensity, the negative relation between the velocity of money and the rate of inflation may not be established.
    Keywords:	maintenance expenditures; endogenous Growth; cash-in-advance constraint; inflation tax
    JEL:	O42

16. Credit Rationing and Exchange-Rate Stabilization: Examining the Relation between Financial Frictions, Exchange-Rate Volatility, Lending Rates, and Capital Inflows

    Date:	2009-08
    By:	Gabriel Martinez (Department of Economics, Ave Maria University)
    URL:	http://d.repec.org/n?u=RePEc:avm:wpaper:0902&r=mac
    This paper develops and tests a model of the relation between the volatility of the exchange rate, default rates, the level of interest rates on loans, and the availability of credit, laying emphasis on frictions in the financial market, specifically foreclosure costs to collecting bad debts. On the assumption that foreign sources of funds are crucial for domestic finance, the paper tests the hypothesis of a high positive relation between the volatility of the exchange rate and the lending rate, and between the volatility of the exchange rate and capital inflows, on a sample of 54 countries over 1980-2000. The paper finds that exchange-rate and macroeconomic volatility are strong predictors of capital inflows (but not of lending rates) and that there may be an important role for financial frictions in the transmission process. Moreover, the paper finds that episodes of disinflation that rely on a reduction of the rate of depreciation tend to be accompanied by lower exchange rate volatility (in addition to simply lower rates of devaluation). Both effects, but principally the latter through financial frictions, suggest a solution to the lack of connection between the theory and the stylized facts of exchange rate-based stabilizations: ERBS programs may lead to initial booms through should cause a significant rise in the availability of credit, even if the cost of credit does not fall by much.
    Keywords:	interest rates, exchange rate volatility, financial frictions, creditor rights, exchange rate based stabilization
    JEL:	E43

17. Measures of labor underutilization from the Current Population Survey

    Date:	2009-04
    By:	Steven E. Haugen (U.S. Bureau of Labor Statistics)
    URL:	http://d.repec.org/n?u=RePEc:bls:wpaper:ec090020&r=mac
    The Current Population Survey (CPS) has been the source of official labor force statistics for the U.S. since its inception in March 1940. The best-known statistic calculated from CPS data is the unemployment rate. To be classified as unemployed, a person must have had no employment during the survey reference week, been available for work, and made specific efforts to find employment during the 4-week period ending with the reference week. The unemployment rate represents the number unemployed as a percent of the labor force. The unemployment rate has proven to be a reliable indicator of overall labor market conditions and has performed quite well as a business cycle indicator. That does not mean, however, that everyone has been completely satisfied with the official figures. As a result, in the 1970s, a range of unemployment indicators known as U-1 through U-7 was introduced. In 1994, a redesigned CPS was fielded, and s ome of the survey changes affected series used as inputs in several of the U-1—U-7 measures. Consequently, BLS introduced a new set of “U’s” in 1995. The new U-1—U-6 range of alternative measures of labor underutilization offered an updated set of indicators that took advantage of newly collected information in the redesigned survey. This paper summarizes the rationale for the original and current ranges of alternative indicators. The paper also concludes that while the five alternatives to the official unemployment rate in the current U-1—U-6 range may represent varying views of labor resource underutilization, they show very similar patterns of change across the course of the business cycle.
    Keywords:	Employment, unemployment, unemployment rate, underemployment
    JEL:	E24

18. Pakistan Tax Policy Report: Tapping Tax Bases for Development

    Date:	2009-08-01
    By:	Jorge Martinez-Vazquez (International Studies Program. Andrew Young School of Policy Studies, Georgia State University) Kaspar Richter
    URL:	http://d.repec.org/n?u=RePEc:ays:ispwps:paper0908&r=mac
    Pakistan’s economic development is once again threatened by macroeconomic imbalances. Broadly speaking, high growth in the 1960s was followed by low growth in the 1970s, and high growth in the 1980s by low growth in the 1990s, as macroeconomic vulnerabilities derailed development. Supported by a favorable global environment, Pakistan returned to a strong development record for much of this decade. Growth accelerated and fiscal and social indicators improved. But as in the past, the gains proved unsustainable, as economic policies adjusted too little and too late to a deterioration in the external environment. The looming crisis is threatening to undo much of the recent development progress.
    Keywords:	Pakistan, Tax policy, Tax Bases

19. Exchange-rate regime and economic growth: a review of the theoretical and empirical literature

    Date:	2009
    By:	Petreski, Marjan
    URL:	http://d.repec.org/n?u=RePEc:zbw:ifwedp:200931&r=mac
    The aim of this paper is to examine the theoretical and empirical arguments for the relationship between the exchange-rate regime and economic growth. As a nominal variable, the exchange rate (regime) might not affect the long-run economic growth. However, there is no unambiguous theoretical evidence what impacts the exchange-rate target exhibits on growth. The channel through which the regime might influence growth is trade, investment and productivity. Theoretical considerations relate the exchange-rate effect on growth to the level of uncertainty imposed by flexible option of the rate. However, while reduced policy uncertainty under a peg promotes an environment which is conductive to production factor growth, trade and hence to output, such targets do not provide an adjustment mechanism in times of shocks, thus stimulating protectionist behaviour, price distortion signals and therefore misallocation of resources in th e economy. Consequently, the relationship remains blurred and requires in-depth empirical investigation. The empirical research offers divergent result though. A big part of the studies focuses on the parameter of the exchange-rate dummy, but does not appropriately control for other country-characteristics nor apply appropriate growth framework. Also, the issue of endogeneity is not treated at all or inappropriate instruments are repeatedly used. Very few studies disgracedly pay small attention to the capital controls, an issue closely related to the exchange-rate regime and only one study puts the issue in the context of monetary regimes. Overall, the empirical evidence is condemned because of growth-framework, endogeneity, sample-selection bias and the so-called peso problem. An empirical investigation which will consider all those aspects might reveal clear and robust suggestion of the relationship between exchange-rate regime and growth.
    Keywords:	Exchange rate regime,economic grow
    JEL:	E42

20. Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks

    Date:	2009-07
    By:	Marcos Souto Benjamin M. Tabak Francisco Vazquez
    URL:	http://d.repec.org/n?u=RePEc:bcb:wpaper:189&r=mac
    This study constructs a set of credit risk indicators for 39 Brazilian banks, using the Merton framework and balance sheet information on the banks’ total assets and liabilities. Despite the simplifying assumptions, the methodology captures well several stylized facts in the recent history of Brazil. In particular, it identifies deterioration in the credit risk indicators of the banking sector, following the crisis in the early 2000s. The risk indicators were regressed against a number of macro-financial variables at both individual and systemic level, showing that an increase in the system EDF, interest rates, and CDS spreads will lead to a deterioration of the individual expected default probability.

21. Shocks at large banks and banking sector distress: the Banking Granular Residual

    Date:	2009
    By:	Blank, Sven Buch, Claudia M. Neugebauer, Katja
    URL:	http://d.repec.org/n?u=RePEc:zbw:bubdp2:200904&r=mac
    Size matters in banking. In this paper, we explore whether shocks originating at large banks affect the probability of distress of smaller banks and thus the stability of the banking system. Our analysis proceeds in two steps. In a first step, we follow Gabaix (2008a) and construct a measure of idiosyncratic shocks at large banks, the so-called Banking Granular Residual. This measure documents the importance of size effects for the German banking system. In a second step, we incorporate this measure of idiosyncratic shocks at large banks into an integrated stress-testing model for the German banking system following De Graeve et al. (2007). We find that positive shocks at large banks reduce the probability of distress of small banks.
    Keywords:	Banking sector distress,size effects,shock propagation,Granular Residual
    JEL:	E44

22. Intra-Regional Trade in East Asia: The Decoupling Fallacy, Crisis, and Policy Challenges

    Date:	2009
    By:	Prema-chandra Athukorala Archanun Kohpaiboon
    URL:	http://d.repec.org/n?u=RePEc:pas:papers:2009-09&r=mac
    This paper examines the export experience of East Asian economies in the aftermaths of the global financial crisis against the backdrop of pre-crisis trade patterns. The analysis is motivated by the ‘decoupling’ thesis, which was a popular theme in the Asian policy circles in the lead-up to the onset of the recent financial crisis, and aims to probe three key issues: Was the East Asian trade integration story that underpinned the decoupling thesis simply a statistical artifact or the massive export contraction caused by an overreaction of traders to the global economic crisis and/or by the drying up of trade credit, which overpowered the cushion provided by intra-regional trade? What are the new policy challenges faced by the East Asian economies? Is there room for an integrated policy response that marks a clear departure from the pre-crisis policy stance favoring export-oriented growth? The findings caution against a possible policy backlash against openness to foreign trade arising from the new-found enthusiasm for rebalancing growth, and make a strong case for a long-term commitment to non-discriminatory multilateral and unilateral trade liberalization.
    Keywords:	production networks, trade patterns, global financial crisis
    JEL:	E32

23. Factor Decomposition of Sectoral Growth in South Africa, 1970-2007

    Date:	2009-07-30
    By:	Tregenna, F.
    URL:	http://d.repec.org/n?u=RePEc:cam:camdae:0930&r=mac
    Chenery’s factor decomposition method is used to analyse the sources of growth, by sector, in South Africa from 1970 to 2007. Using input-output data, the growth of each sector is decomposed into components associated with export growth; import substitution; growth in domestic demand; and growth in intermediate demand. The results highlight the dependence on domestic demand expansion as a source of growth in the period since 2000, especially for manufacturing. However, subsectors which relied exclusively or primarily on domestic demand expansion generally performed relatively poorly. The technological change component of growth is the only component with a consistently positive and statistically significant correlation with sectoral growth. The only two manufacturing subsectors for which all four components were positive in the period since 2000, were also the two fastest growing subsectors of the whole economy. The ana lysis also enables a typology of the subsectors of each of manufacturing and services, according to the relative importance of each of the four components.
    Keywords:	growth, sectors, factor decomposition, South Africa
    JEL:	E20

Bulletin of EU and US Inflation and Macroeconomics Analysis

(source: Lemus Institute at Carlos III University of Madrid)

En libre accès, sauf les trois derniers numéros, accessibles sur abonnement.

Avis aux professeurs et chercheurs de l’UCL: en cas d’intérêt pour cette ressource, merci de nous contacter. Un accès gratuit d’un an (voire 2 ans) peut être obtenu par notre intermédiaire.

Source : NEP (New Economics Papers) | RePEc

1. Price level targeting and stabilization policy

   Date:	2009
   By:	Aleksander Berentsen Christopher J. Waller
   URL:	http://d.repec.org/n?u=RePEc:fip:fedlwp:2009-33&r=mac
   We construct a dynamic stochastic general equilibrium model to study optimal monetary stabilization policy. Prices are fully flexible and money is essential for trade. Our main result is that if the central bank pursues a price-level target, it can control inflation expectations and improve welfare by stabilizing short-run shocks to the economy. The optimal policy involves smoothing nominal interest rates which effectively smooths consumption across states.
   Keywords:	Monetary policy ; Econometric models

2. Monetary Policy Shifts and the Term Structure

   Date:	2009-08
   By:	Andrew Ang Jean Boivin Sen Dong Rudy Loo-Kung
   URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15270&r=mac
   We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor (1993) rule where the coefficients on the output gap and inflation vary over time. The monetary policy loading on the output gap has averaged around 0.4 and has not changed very much over time. The overall response of the yield curve to output gap components is relatively small. In contrast, the inflation loading has changed substantially over the last 50 years and ranges from close to zero in 2003 to a high of 2.4 in 1983. Long-term bonds are sensitive to inflation policy shifts with increases in inflation loadings leading to higher short rates and widening yield spreads.
   JEL:	E4

3. Anchoring Fiscal Expectations

   Date:	2009-08
   By:	Eric M. Leeper
   URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15269&r=mac
   In this lecture, I argue that there are remarkable parallels between how monetary and fiscal policies operate on the macro economy and that these parallels are sufficient to lead us to think about transforming fiscal policy and fiscal institutions as many countries have transformed monetary policy and monetary institutions. Making fiscal transparency comparable to monetary transparency requires fiscal authorities to discuss future possible fiscal policies explicitly. Enhanced fiscal transparency can help anchor expectations of fiscal policy and make fiscal actions more predictable and effective. As advanced economies move into a prolonged period of heightened fiscal activity, anchoring fiscal expectations will become an increasingly important aspect of macroeconomic policy.
   JEL:	E52

4. Monetary Shocks and Central Bank Liquidity with Credit Market Imperfections

   Date:	2009
   By:	Pierre-Richard Agénor Koray Alper
   URL:	http://d.repec.org/n?u=RePEc:man:cgbcrp:120&r=mac
   This paper analyzes the transmission process of monetary policy in a closed-economy New Keynesian model with monopolistic banking, credit market imperfections, and a cost channel. Lending rates incorporate a risk premium, which depends on firms’ net worth and cyclical output. The supply of bank loans is perfectly elastic at the prevailing bank rate and so is the provision of central bank liquidity at the official policy rate. The model is calibrated for a middle-income country. Numerical simulations show that credit market imperfections and sluggish adjustment of bank deposit rates (rather than lending rates) may impart a substantial degree of persistence in the response of output and inflation to monetary shocks.

5. The Granular Origins of Aggregate Fluctuations

   Date:	2009-08
   By:	Xavier Gabaix
   URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15286&r=mac
   This paper proposes that idiosyncratic firm-level fluctuations can explain an important part of aggregate shocks, and provide a microfoundation for aggregate productivity shocks. Existing research has focused on using aggregate shocks to explain business cycles, arguing that individual firm shocks average out in aggregate. I show that this argument breaks down if the distribution of firm sizes is fat-tailed, as documented empirically. The idiosyncratic movements of the largest 100 firms in the US appear to explain about one third of variations in output and the Solow residual. This “granular” hypothesis suggests new directions for macroeconomic research, in particular that macroeconomic questions can be clarified by looking at the behavior of large firms. This paper’s ideas and analytical results may also be useful to think about the fluctuations of other economic aggregates, such as exports or the trade balance.
   JEL:	E32

6. Optimal stabilization policy with endogenous firm entry

   Date:	2009
   By:	Aleksander Berentsen Christopher J. Waller
   URL:	http://d.repec.org/n?u=RePEc:fip:fedlwp:2009-32&r=mac
   We study optimal monetary stabilization policy in a dynamic stochastic general equilibrium model where money is essential for trade and firm entry is endogenous. We do so when all prices are flexible and also when some are sticky. Due to an externality affecting firm entry, the central bank deviates from the Friedman rule. Calibration exercises suggest that the nominal interest rate should have been substantially smoother than the data if preference shocks were the main disturbance and much more volatile if productivity was the driving shock. This result is a direct consequence of policy actions to control entry.
   Keywords:	Monetary policy ; Econometric models

7. The New Keynesian Microfoundations of Macroeconomics

   Date:	2009-08
   By:	Heinz-Peter Spahn
   URL:	http://d.repec.org/n?u=RePEc:hoh:hohdip:317&r=mac
   New Keynesian Macroeconomics (NKM) obeys to the new dogma that macroeconomics should be firmly grounded in First Principles of micro theory. Households are assumed to run an intertemporal optimization calculus with respect to leisure and consumption by making use of perfect financial markets. The supply side is organized so that full employment prevails. Macroeconomic coordination problems between saving and investment are absent. In order to make model predictions more compatible with empirical facts, NKM chooses “ad hoc” microfoundations: utility functions and market structures are designed arbitrarily to allow for persistence of macro variables. NKM’s reduced hybrid macro model, with lags and expectational leads, is a useful “work horse”, compatible with various micro reasoning. However, NKM’s insistence on the representative agent obstructs an understanding of heterogeneous beliefs and learning.
   Keywords:	Representative Agent, Ramsey Saving, Calvo Pricing, Sticky Information, Rational Expectations, Heterogeneous Beliefs
   JEL:	B22

8. Money and capital: a quantitative analysis

   Date:	2009
   By:	S. Boragan Aruoba Christopher J. Waller Randall Wright
   URL:	http://d.repec.org/n?u=RePEc:fip:fedlwp:2009-31&r=mac
   We study the effects of money (anticipated inflation) on capital formation. Previous papers on this topic adopt reduced-form approaches, putting money in the utility function or imposing cash in advance, but use otherwise frictionless models. We follow a literature that is more explicit about the frictions making money essential. This introduces several new elements, including a two-sector structure with centralized and decentralized markets, stochastic trading opportunities, and bargaining. We show how these elements matter qualitatively and quantitatively. Our numerical results differ from findings in the reduced-form literature. The analysis reduces the previously large gap between mainstream macro and monetary theory.
   Keywords:	Money ; Monetary theory ; Capital ; Search theory

9. Inflation control around the world: Why are some contries more successful than others?

   Date:	2009-07
   By:	Thórarinn G. Pétursson
   URL:	http://d.repec.org/n?u=RePEc:ice:wpaper:wp42&r=mac
   This paper focuses on two important questions concerning inflation performance in a country sample of forty-two of the most developed countries in the world. The firrst is why inflation tends to be more volatile in some countries than in others, in particular in very small, open economies and emerging market economies compared to the large and more developed ones. The empirical analysis suggests that the volatility of the risk premium in multilateral exchange rates, the degree of exchange rate pass-through to inflation, and monetary policy predictability play a key role in explaining the cross-country variation in inflation volatility. Other variables, related to economic development and size, international trade, output volatility, exposure to external shocks, and central bank independence are not found significant. The second question is what explains the general decline in inflation volatility over the sample period. U sing a panel approach, the empirical analysis confirms that the adoption of inflation targeting has played a critical role in this improvement in addition to the three variables found important in the cross-country analysis. Inflation targeting therefore continues to play an important role in reducing inflation volatility even after adding the three controls to the panel analysis. The main conclusions are found to be robust to changes in the country sample and to different estimation methods.

10. Causal Ordering Between Inflation and Productivity of Labor and Capital: An Empirical Approach for Pakistan

    Date:	2009-08-06
    By:	Hussain, Karrar
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16486&r=mac
    This study attempts to analyze the causal relationship between inflation and productivity of labor and capital, in Pakistan’s economy by covering the period from 1960-M1 to 2007-M12. For this purpose Vector Autoregression (VAR) approach is used, which is based on error correction model (ECM). Using this approach we have showed the causal ordering between inflation and exchange rate management policy controlling for, monetary variables like broad money (M-2) and discount rate, which are endogenous in case of Pakistan. We considered the relationship of inflation with two measures of productivity (average and marginal productivity) of labor and capital controlling for capital labor ratio. The objective of this paper is to identify the relative importance of each of these inflation channels by generating Impulse Response Functions (IRFs) to confirm the response of a shock on a variable upon itself and other variables over t he four years of time span. Our study concludes that there is a unidirectional causality from inflation to labor productivity through capital labor ratio. And also, there is bidirectional causality between inflation and capital productivity through capital labor ratio. And lastly each channel takes almost fifteen months (on average) for input productivities to affect or affected by inflation.
    Keywords:	Productivity, Inflation, Vector Autoregression
    JEL:	C32

11. Real Interest Rates and the Crisis: Where are the Rates Headed?

    Date:	2009
    By:	Dino Martellato (Department of Economics, University Of Venice Cà Foscari)
    URL:	http://d.repec.org/n?u=RePEc:ven:wpaper:2009_14&r=mac
    This paper examines the likely direction of real interest rates in the Euro area and the United States from April 2009 on. It is argued that the crisis that began in 2007 and the ensuing recession changed the descending trend in real interest rates which started a long time ago. If real interest rates were to rise too much, private and public finances, housing markets and stock markets would suffer particularly in the countries where the past credit binge and the crisis response has made debts mount, thus prolonging the current crisis. Economic theory should help shed light on the likely future direction of long-term real interest rates. In the paper, growth models are briefly discussed and shown to offer disparate predictions about the level of real interest rates in a growing economy and little practical guidance. Monetary theories, i.e. theories explicitly focused on the role of interest rates in balancing supply and d emand in the single markets of the economy, make reference to some normal or natural level of real interest rate but obviously suffer from the difficulties of estimating such normal or natural levels both in general and particularly in a unusually dynamic and uncertain situation such as the current one. The more pragmatic approach, consisting in the assessment of the relevant single components of the long-term real nominal interest rate over the cycle, points to the risks of a surge in the risk premium as well as in expected short-term real interest rates and thus to a prolongation of the current economic contraction.
    Keywords:	Interest rates
    JEL:	E4

12. Too Much to Lose, or More to Gain? Should Sweden Join the Euro?

    Date:	2009
    By:	J. James Reade Ulrich Volz
    URL:	http://d.repec.org/n?u=RePEc:oxf:wpaper:442&r=mac
    This paper considers the costs and benefits of Sweden joining the European Economic and Monetary Union (EMU). We pay particular attention to the costs of abandoning the krona in terms of a loss of monetary policy independence. For this purpose, we apply a cointegrated VAR framework to examine the degree of monetary independence that the Sveriges Riksbank enjoys. Our results suggest that Sweden has in fact relatively little to lose from joining EMU, at least in terms of monetary independence. We complement our analysis by looking into other criteria affecting the cost-benefit calculus of monetary integration, which, by and large, support our positive assessment of Swedish EMU membership.
    Keywords:	Swedish EMU membership, Monetary policy independence, European monetary integration, Cointegrated VAR method
    JEL:	E52

13. Dynamic taxation, private information and money

    Date:	2009
    By:	Christopher J. Waller
    URL:	http://d.repec.org/n?u=RePEc:fip:fedlwp:2009-35&r=mac
    The objective of this paper is to study optimal fiscal and monetary policy in a dynamic Mirrlees model where the frictions giving rise to money as a medium of exchange are explicitly modeled. The framework is a three period OLG model where agents are born every other period. The young and old trade in perfectly competitive centralized markets. In middle age, agents receive preference shocks and trade amongst themselves in an anonymous manner. Since preference shocks are private information, in a record-keeping economy, the planner’s constrained allocation trades off efficient risk sharing against production efficiency in the search market. In the absence of record-keeping, the government uses flat money as a substitute for dynamic contracts to induce truthful revelation of preferences. Inflation affects agents’ incentive constraints and so distortionary taxation of money may be needed as part of the optimal policy even if lump-sum taxes are available.
    Keywords:	Money ; Taxation

14. “The Second End of Laissez-Faire — Bootstrapping Nature of Money and Inherent Instability of Capitalism”

    Date:	2009-08
    By:	Katsuhito Iwai (Faculty of Economics, University of Tokyo)
    URL:	http://d.repec.org/n?u=RePEc:tky:fseres:2009cf646&r=mac
    “Globalization” can be interpreted as a grand experiment of the laissez-faire doctrine of neoclassical economics that the wider and the deeper markets cover the capitalist economy, the more efficient and the more stable it would become. The “once a hundred years” global economic crisis of 2007-9 demonstrated the grand failure of this grand experiment. Following the lead of Wicksell and Keynes, this article argues that capitalist economy is subject to an inevitable trade-off between efficiency and stability because of its essentially “speculative” nature. First, financial markets need, for their risk-diversifying function, the participation of a large number of risk-taking speculators. But competition among professional speculators is like a Keynesian beauty-contest that constantly exposes financial markets to risks of bubble and bust. Second and more fundamentally, the article maintains that “money” that is the capitalist economy’s ultimate source of efficiency is also its ultimate source of instability. Indeed, Wicksell’s Interest and Prices showed how a monetary disequilibrium sets off cumulative inflation or deflation, and Keynes’ General Theory then pointed out that it is the stickiness of money wage that saves capitalist economy from its inherent instability, albeit at the expense of full employment. This article also contends that such monetary instability has manifested itself in the current crisis in the forms of the collapse of liquidity in the whole financial markets as well as of the decline of confidence on dollar as the global capitalism’s key currency.

15. Random matching and money in the neoclassical growth model: some analytical results

    Date:	2009
    By:	Christopher J. Waller
    URL:	http://d.repec.org/n?u=RePEc:fip:fedlwp:2009-34&r=mac
    I use the monetary version of the neoclassical growth model developed by Aruoba, Waller and Wright (2008) to study the properties of the model when there is exogenous growth. I first consider the planner’s problem, then the equilibrium outcome in a monetary economy. I do so by first using proportional bargaining to determine the terms of trade and then consider competitive price taking. I obtain closed form solutions for the balanced growth path of all variables in all cases. I then derive closed form solutions for the transition paths under the assumption of full depreciation and, in the monetary economy, a non-stationary interest rate policy.
    Keywords:	Monetary policy ; Econometric models

16. Click to download data: an event study of Internet access to economic statistics

    Date:	2009-08-17
    By:	Tokel, O. Emre Yucel, M. Eray
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16833&r=mac
    This study examines the online access statistics of the Central Bank of Turkey’s Electronic Data Delivery System within an event study framework. The comparisons of pre-event and post-event statistics suggest that announcements of both the policy interest rates and the consumer price data considerably affect society’s data access behavior. The timing and amplitude of these effects are further studied with respect to inflation expectations and surprise content of events; yet no solid pattern was revealed.
    Keywords:	Data access; Macroeconomic data; Market efficiency; Event study
    JEL:	G14

17. “How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan”

    Date:	2009-08
    By:	Chia-Lin Chang (Department of Applied Economics, National Chung Hsing University) Philip Hans Franses (Econometric Institute, Erasmus School of Economics) Michael McAleer (Econometric Institute, Erasmus School of Economics Erasmus University Rotterdam and Tinbergen Institute and Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics, University of Tokyo)
    URL:	http://d.repec.org/n?u=RePEc:tky:fseres:2009cf637&r=mac
    A government’s ability to forecast key economic fundamentals accurately can affect business confidence, consumer sentiment, and foreign direct investment, among others. A government forecast based on an econometric model is replicable, whereas one that is not fully based on an econometric model is non-replicable. Governments typically provide non-replicable forecasts (or, expert forecasts) of economic fundamentals, such as the inflation rate and real GDP growth rate. In this paper, we develop a methodology to evaluate non-replicable forecasts. We argue that in order to do so, one needs to retrieve from the non-replicable forecast its replicable component, and that it is the difference in accuracy between these two that matters. An empirical example to forecast economic fundamentals for Taiwan shows the relevance of the proposed methodological approach. Our main finding is that it is the undocumented knowledge of the Taiwa nese government that reduces forecast errors substantially.

18. Real and Nominal Wage Rigidity in a Model of Equal-Treatment Contracting

    Date:	2009-08
    By:	Martins, Pedro S. (Queen Mary, University of London) Snell, Andy (University of Edinburgh) Thomas, Jonathan P. (University of Edinburgh)
    URL:	http://d.repec.org/n?u=RePEc:iza:izadps:dp4346&r=mac
    Following insights by Bewley (1999a), this paper analyses a model with downward rigidities in which firms cannot pay discriminate based on a year of entry to a firm, and develops an equilibrium model of wages and unemployment. We solve for the dynamics of wages and unemployment under conditions of downward wage rigidity, where forward looking firms take into account these constraints. Using simulated productivity data based on the post-war US economy, we analyse the ability of the model to match certain stylised labour market facts.
    Keywords:	labour contracts, business cycle, unemployment, equal treatment, downward rigidity, cross-contract restrictions
    JEL:	E32

19. Employment Fluctuations with Downward Wage Rigidity: The Role of Moral Hazard

    Date:	2009-08
    By:	Costain, James (Banco de Espana) Jansen, Marcel (Universidad Carlos III de Madrid)
    URL:	http://d.repec.org/n?u=RePEc:iza:izadps:dp4344&r=mac
    This paper studies the cyclical dynamics of Mortensen and Pissarides’ (1994) model of job creation and destruction when workers’ effort is not perfectly observable, as in Shapiro and Stiglitz (1984). An occasionally-binding no-shirking constraint truncates the real wage distribution from below, making firms’ share of surplus weakly procyclical, and may thus amplify fluctuations in hiring. It may also cause a burst of inefficient firing at the onset of a recession, separating matches that no longer have sufficient surplus for incentive compatibility. On the other hand, since marginal workers in booms know firms cannot commit to keep them in recessions, they place little value on their jobs and are expensive to motivate. For a realistic calibration, this last effect is by far the strongest; even a moderate degree of moral hazard can eliminate all fluctuation in the separation rate. This casts doubt on Ramey and Watson’s (19 97) “contractual fragility” mechanism, and means worker moral hazard only makes the “unemployment volatility puzzle” worse. However, moral hazard has potential to explain other labor market facts, because it is consistent with small but clearly countercyclical fluctuations in separation rates, and a robust Beveridge curve.
    Keywords:	job matching, shirking, efficiency wages, endogenous separation, contractual fragility
    JEL:	C78

20. A Simple Model of an Oil Based Global Savings Glut – The “China Factor” and the OPEC Cartel

    Date:	2009-07
    By:	Ansgar Belke Daniel Gros
    URL:	http://d.repec.org/n?u=RePEc:rwi:repape:0128&r=mac
    The purpose of this contribution is to illustrate the mechanism by which higher oil prices might lead to lower interest rates in the context of a simple model that takes into account the global external savings equilibrium. The simple model has interesting implications for how one views the huge US current account deficit and how the emergence of China’s savings surplus and oil supply shocks impact the global economy.We show that the new equilibrium is located at a lower interest rate but also at a lower income level than without the China effect. Moreover, we argue that the lower real interest rates resulting from excess OPEC savings have facilitated the adjustment to the subprime crisis.
    Keywords:	China factor, current account adjustment, interest rate, oil prices, saving glut
    JEL:	E21

21. International business cycles and the relative price of investment goods

    Date:	2009-09
    By:	Parantap Basu Christoph Thoenissen
    URL:	http://d.repec.org/n?u=RePEc:san:cdmawp:0905&r=mac
    Is the relative price of investment goods a good proxy for investment frictions? We model this relative price in a flexible price international economy with two fundamental shocks, namely the total factor productivity (TFP) shock and the investment specific technology (IST) shock. The paper argues that the one-to-one correspondence between investment friction and the relative price of investment goods breaks down in an international economy because of the short run correlation between the terms of trade and the relative price of investment goods. The data congruent negative correlation between the investment rate and the relative price of investment goods thus does not necessarily reflect decline in investment frictions (rise in IST) as suggested by many studies. A calibration experiment with the US data demonstrates that such an inverse relation between rate of investment and the relative price of investment goods basica lly reflects the positive effect of TFP on the terms of trade for a broad range of econ mies where the home bias in consumption exceeds investment and there is a sizable adjustment cost of investment. A regression experiment with major OECD countries provided empirical support of the fact that terms of trade effect on the relative price of investment is important
    Keywords:	Investment frictions, investment specific technological progress, total factor productivity, relative price of investment goods terms of trade
    JEL:	E22

22. Growing Up in a Recession: Beliefs and the Macroeconomy

    Date:	2009-08
    By:	Giuliano, Paola (University of California, Los Angeles) Spilimbergo, Antonio (International Monetary Fund)
    URL:	http://d.repec.org/n?u=RePEc:iza:izadps:dp4365&r=mac
    Do generations growing up during recessions have different socio-economic beliefs than generations growing up in good times? We study the relationship between recessions and beliefs by matching macroeconomic shocks during early adulthood with self-reported answers from the General Social Survey. Using time and regional variations in macroeconomic conditions to identify the effect of recessions on beliefs, we show that individuals growing up during recessions tend to believe that success in life depends more on luck than on effort, support more government redistribution, but are less confident in public institutions. Moreover, we find that recessions have a long-lasting effect on individuals’ beliefs.
    Keywords:	beliefs formation, macroeconomic shocks
    JEL:	P16

23. Productivity Growth and Capital Flows: The Dynamics of Reforms

    Date:	2009-08
    By:	Francisco J. Buera Yongseok Shin
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15268&r=mac
    Why doesn’t capital flow into fast-growing countries? In this paper, we provide a quantitative framework incorporating heterogeneous producers and underdeveloped domestic financial markets to study the joint dynamics of total factor productivity (TFP) and capital flows. When an unexpected once-and-for-all reform eliminates non-financial distortions and liberalizes capital flows, the TFP of our model economy rises gradually and capital flows out of it. The rise in TFP reflects efficient reallocation of capital and talent, a process drawn out by frictions in domestic financial markets. The concurrent capital outflows are driven by the positive response of domestic saving to higher returns, and by the sluggish response of domestic investment to the higher TFP—the latter being another ramification of domestic financial frictions. We use our model to analyze the welfare consequences of opening up capital accounts . We find that the marginal welfare effect of capital account liberalization is negative for workers and positive for entrepreneurs and wealthy individuals.
    JEL:	E44

24. Endogenous income taxes in OLG economies: A clarification

    Date:	2009-08-16
    By:	Chen, Yan Zhang, Yan
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16824&r=mac
    This paper introduces endogenous capital income tax rates as in Schmitt-Grohe and Uribe (1997), into the overlapping generations model with endogenous labor and consumption in both periods of life (e.g., Cazzavillan and Pintus, 2004). In contrast with the previous result that the existence of endogenous labor income taxes raises the possibility of local indeterminacy (Chen and Zhang 2009), it shows that increasing the size of capital income taxes can make shrink the range of values of the consumption–to–wage ratio associated with local indeterminacy, because of two conflicting effects on savings that operate through wage and interest rate.
    Keywords:	Indeterminacy; Endogenous capital income tax rate.
    JEL:	E32

25. Structural and Cyclical Trends in Net Employment over US Business Cycles, 1949–2009: Implications for the Next Recovery and Beyond

    Date:	2009-09
    By:	Jacob Funk Kirkegaard (Peterson Institute for International Economics)
    URL:	http://d.repec.org/n?u=RePEc:iie:wpaper:wp09-5&r=mac
    This paper expands on the methodology of Groshen and Potter (2003) for studying cyclical and structural changes in the US economy and analyzes the net structural and cyclical employment trends in the US economy during the last 10 trough-to-trough business cycles from 1949 to the present. It illustrates that the US manufacturing sector and an increasing number of services sectors, including parts of the financial services sector, are experiencing structural employment declines. Structural employment gains in the US labor market are increasingly concentrated in the healthcare, education, food, and professional and technical services sectors and in the occupations related to these industries. The paper concludes that the improved operation of the US labor market during the 1990s has reversed itself in the 2000s, with negative long-term economic effects for the United States.
    Keywords:	Business cycles, structural change, unemployment duration, occupational/sectoral employment shifts, labor turnover, Okun’s Law relationship, Beveridge curves.
    JEL:	J21

26. Means-Tested Mortgage Modification: Homes Saved or Income Destroyed?

    Date:	2009-08
    By:	Casey B. Mulligan
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15281&r=mac
    This paper uses the theories of price discrimination and optimal taxation to investigate effects of underwater mortgages on foreclosures and the incentives to earn income, and the degree to which those effects are shaped by public policy. I find that the federal government’s means-tested mortgage modification plan creates a massive implicit tax that may be significant even from a macroeconomic perspective. An alternative of modifying mortgages to maximize lender collections would also feature means tests, but with less effort distortion and perhaps fewer foreclosures. The paper also considers the consequences of a public policy that left mortgage modification to lenders, subject to a requirement that modification would not be conditioned on borrower income.
    JEL:	E24

27. Frequentist inference in weakly identified DSGE models

    Date:	2009
    By:	Pablo Guerron-Quintana Atsushi Inoue Lutz Kilian
    URL:	http://d.repec.org/n?u=RePEc:fip:fedpwp:09-13&r=mac
    The authors show that in weakly identified models (1) the posterior mode will not be a consistent estimator of the true parameter vector, (2) the posterior distribution will not be Gaussian even asymptotically, and (3) Bayesian credible sets and frequentist confidence sets will not coincide asymptotically. This means that Bayesian DSGE estimation should not be interpreted merely as a convenient device for obtaining asymptotically valid point estimates and confidence sets from the posterior distribution. As an alternative, the authors develop a new class of frequentist confidence sets for structural DSGE model parameters that remains asymptotically valid regardless of the strength of the identification. The proposed set correctly reflects the uncertainty about the structural parameters even when the likelihood is flat, it protects the researcher from spurious inference, and it is asymptotically invariant to the prior in th e case of weak identification.
    Keywords:	Stochastic analysis ; Macroeconomics – Econometric models

28. Technical Appendix to “Delivering endogenous inertia in prices and output”

    Date:	2009-03
    By:	Alok Johri (McMaster University)
    URL:	http://d.repec.org/n?u=RePEc:red:append:07-131&r=mac
    This appendix provides simulation results for consumption, invest- ment and hours series for the “full model” discussed in the paper. The graphs also plot the relevant data for the US.

29. House Prices, Home Equity-Based Borrowing, and the U.S. Household Leverage Crisis

    Date:	2009-08
    By:	Atif R. Mian Amir Sufi
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15283&r=mac
    Using individual-level data on homeowner debt and defaults from 1997 to 2008, we show that borrowing against the increase in home equity by existing homeowners is responsible for a significant fraction of both the sharp rise in U.S. household leverage from 2002 to 2006 and the increase in defaults from 2006 to 2008. Employing land topology-based housing supply elasticity as an instrument for house price growth, we estimate that the average homeowner extracts 25 to 30 cents for every dollar increase in home equity. Money extracted from increased home equity is not used to purchase new real estate or pay down high credit card balances, which suggests that borrowed funds may be used for real outlays (i.e., consumption or home improvement). Home equity-based borrowing is stronger for younger households, households with low credit scores, and households with high initial credit card utilization rates. Homeowners in high house price appreciation areas experience a relative decline in default rates from 2002 to 2006 as they borrow heavily against their home equity, but experience very high default rates from 2006 to 2008. Our estimates suggest that home equity-based borrowing is equal to 2.8% of GDP every year from 2002 to 2006, and accounts for at least 34% of new defaults from 2006 to 2008.
    JEL:	E0

30. The Macroeconomic Determinants of Cross Border Mergers and Acquisitions and Greenfield Investments

    Date:	2009-08
    By:	Paula Neto (ISCA, University of Aveiro) António Brandão (FEP, University of Porto) António Cerqueira (FEP, University of Porto)
    URL:	http://d.repec.org/n?u=RePEc:mde:wpaper:0017&r=mac
    When a company decides to invest abroad, it can do it through the establishment of a new firm (greenfield investment) or by the purchase of an already existing firm. Although there is a vast empirical literature on the macroeconomic determinants of aggregate FDI, there are just a few studies examining the location-specific determinants of each entry mode. The aim of this study is to extend the previous work by Globerman and Shapiro (2005) through the analysis of panel data of 53 countries over the period 1996-2006, in order to identify the potential location-specific determinants of both M&A and greenfields. We have found evidence that there is a group of mode-encompassing variables which are common to all entry modes (such as economy’s size, openness, governance and human development index) and mode-specific variables. Investor’s protection and cultural variables seem to play an important role in the explanation of M&A and greenfields, respectively.
    Keywords:	Foreign Direct Investment, Cross Border Mergers and Acquisitions, Greenfield Investments.
    JEL:	F23

31. “From Unpaid to Paid Care Work–The Macroeconomic Implications of HIV and AIDS on Women’s Time-tax Burdens”

    Date:	2009-08
    By:	Rania Antonopoulos Taun N. Toay
    URL:	http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_570&r=mac
    This paper considers public employment guarantee programs in the context of South Africa as a means to address the nexus of poverty, unemployment, and unpaid work burdens–all factors exacerbated by HIV/AIDS. It further discusses the need for genderinformed public job creation in areas that mitigate the “time-tax” burdens of women, and examines a South African initiative to address social sector service delivery deficits within the government’s Expanded Public Works Programme. The authors highlight the need for well-designed employment guarantee programs–specifically, programs centered on community and home-based care–as a potential way to help offset the destabilizing effects of HIV/AIDS and endemic poverty. The paper concludes with results from macroeconomic simulations of such a program, using a social accounting matrix framework, and sets out implications for both participants and policymakers.

Source : NEP (New Economics Papers) | RePEc

1. Habit Formation, Interest-Rate Control and Equilibrium Determinacy

   Date:	2009-08
   By:	Seiya Fujisaki (Graduate School of Economics, Osaka University)
   URL:	http://d.repec.org/n?u=RePEc:osk:wpaper:0923&r=mac
   We examine macroeconomic stability of a monetary economy with habit formation in consumption. We assume that monetary authority controls the rate of nominal interest in response to inflation and output gap. We show that in the presence of habit persistence not only active but also passive monetary policy can generate equilibrium determinacy under empirically plausible values of the elasticity of intertemporal substitution in felicity.
   Keywords:	equilibrium determinacy, habit formation, Taylor rule, endogenous labor.
   JEL:	E21

2. Global slack and domestic inflation rates: a structural investigation for G-7 countries

   Date:	2009
   By:	Fabio Milani
   URL:	http://d.repec.org/n?u=RePEc:fip:feddgw:33&r=mac
   Recent papers have argued that one implication of globalization is that domestic inflation rates may have now become more a function of “global,” rather than domestic, economic conditions, as postulated by closed-economy Phillips curves. This paper aims to assess the empirical importance of global output in determining domestic inflation rates by estimating a structural model for a sample of G-7 economies. The model can capture the potential effects of global output fluctuations on both the aggregate supply and the aggregate demand relations in the economy and it is estimated using full-information Bayesian methods. The empirical results reveal a significant effect of global output on aggregate demand in most countries. Through this channel, global economic conditions can indirectly affect inflation. The results, instead, do not seem to provide evidence in favor of altering domestic Phillips curves to include global slack as an additional driving variable for inflation.
   Keywords:	Globalization ; Inflation (Finance) ; Group of Seven countries ; Monetary policy ; Banks and banking, Central ; Phillips curve

3. Monetary policy response to oil price shocks

   Date:	2009
   By:	Jean-Marc Natal
   URL:	http://d.repec.org/n?u=RePEc:fip:fedfwp:2009-16&r=mac
   How should monetary authorities react to an oil price shock? This paper argues that a meaningful trade-off between stabilizing inflation and the welfare relevant output gap arises in a distorted economy once one recognizes (1) that oil (energy) cannot be easily substituted by other factors, (2) that monopolistic competition implies that production is suboptimally low in the steady state, and (3) that increases in oil prices also directly affect consumption by raising the price of fuel, heating oil, and other energy sources. While the first two conditions are necessary to introduce a microfounded monetary policy trade-off, the third one makes it quantitatively significant. ; The optimal precommitment monetary policy relies on unobservables and is therefore hard to implement. To address this concern, I derive a simple interest rate feedback rule that mimics the optimal plan for all practical purposes but that depends only o n observables, namely core inflation, oil price inflation, and the growth rate of output.
   Keywords:	Monetary policy ; Petroleum products – Prices

4. Government Spending Shocks in Quarterly and Annual U.S. Time-Series

   Date:	2009-08
   By:	Benjamin Born Gernot J. Müller
   URL:	http://d.repec.org/n?u=RePEc:bon:bonedp:bgse16_2009&r=mac
   Government spending shocks are frequently identi?ed in quarterly time-series data by ruling out a contemporaneous response of government spending to other macroeconomic aggregates. We provide evidence that this assumption may not be too restrictive for U.S. annual time-series data.
   Keywords:	Government spending shocks, Annual Data, Identi?cation
   JEL:	E62

5. Has globalization transformed U.S. macroeconomic dynamics?

   Date:	2009
   By:	Fabio Milani
   URL:	http://d.repec.org/n?u=RePEc:fip:feddgw:32&r=mac
   This paper estimates a structural New Keynesian model to test whether globalization has changed the behavior of U.S. macroeconomic variables. Several key coefficients in the model–such as the slopes of the Phillips and IS curves, the sensitivities of domestic inflation and output to “global” output, and so forth–are allowed in the estimation to depend on the extent of globalization (modeled as the changing degree of openness to trade of the economy), and, therefore, they become time-varying. The empirical results indicate that globalization can explain only a small part of the reduction in the slope of the Phillips curve. The sensitivity of U.S. inflation to global measures of output may have increased over the sample, but it remains very small. The changes in the IS curve caused by globalization are similarly modest. Globalization does not seem to have led to an attenuation in the effects of monetary policy shocks. The nested closed economy specification still appears to provide a substantially better fit of U.S. data than various open economy specifications with timevarying degrees of openness. Some time variation in the model coefficients over the postwar sample exists, particularly in the volatilities of the shocks, but it is unlikely to be related to globalization.
   Keywords:	Globalization ; Macroeconomics – Econometric models ; Inflation (Finance) ; Monetary policy ; Banks and banking, Central ; Phillips curve

6. Common and Spatial Drivers in Regional Business Cycles

   Date:	2009-04
   By:	Michael Artis Christian Dreger Konstantin Kholodilin
   URL:	http://d.repec.org/n?u=RePEc:cep:sercdp:0022&r=mac
   We examine real business cycle convergence for 41 euro area regions and 48 US states.Results obtained by a panel model with spatial correlation indicate that the relevance ofcommon business cycle factors is rather stable over the past two decades in the euro area andthe US. Ongoing business cycle convergence often detected in cross-country data is notconfirmed at the regional level. The degree of synchronization across the euro area is similarto that to be found for the US states. Thus, the lack of convergence does not seem to be animpediment to a common monetary policy.
   Keywords:	Business cycle convergence, spatial correlation, spatial panel model
   JEL:	E32

7. Fiscal stabilization with partial exchange rate pass-through

   Date:	2009
   By:	Erasmus K. Kersting
   URL:	http://d.repec.org/n?u=RePEc:fip:feddgw:31&r=mac
   This paper examines the role of fiscal stabilization policy in a two-country framework that allows for a general degree of exchange rate pass-through. I derive analytical solutions for optimal monetary and fiscal policy which are shown to depend on the degree of pass-through. In the case of partial pass-through, an optimizing policy maker uses countercyclical fiscal stabilization in addition to monetary stabilization. However, in the extreme cases of complete or zero pass-through, the fiscal stabilization instrument is not employed. There is also no additional gain from the fiscal instrument in the case of coordination between the two countries. These results are due to the specific way the optimal fiscal policy rule affects marginal costs: Rather than being a substitute for monetary policy, fiscal policy complements it by increasing the correlation of the marginal cost terms within and across countries. This in turn make s monetary policy more effective at stabilizing them.
   Keywords:	Economic stabilization ; Monetary policy ; Fiscal policy

8. Bank risk and monetary policy

   Date:	2009-07
   By:	Yener Altunbas (University of Wales, Bangor, Gwynedd LL57 2DG, Wales, United Kingdom.) Leonardo Gambacorta (Bank for International Settlements, Monetary and Economics Department, Centralbahnplatz 2, CH-4002 Basel, Switzerland.) David Marques-Ibanez (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)
   URL:	http://d.repec.org/n?u=RePEc:ecb:ecbwps:20091075&r=mac
   We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the other indicators (i.e. size, liquidity and capitalization), traditionally used in the bank lending channel literature to assess a bank’s ability and willingness to supply new loans. Using a large sample of European banks, we find that banks characterized by lower expected default frequency are able to offer a larger amount of credit and to better insulate their loan supply from monetary policy changes. JEL Classification: E44, E55.
   Keywords:	bank, risk, bank lending channel, monetary policy.

9. Long-Run Impacts of Inflation Tax with Endogenous Capital Depreciation

   Date:	2009-07-13
   By:	Fujisaki, Seiya Mino, Kazuo
   URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16657&r=mac
   This paper examines the long-run impact of inflation tax in the context of a generalized Ak growth model in which the rate of capital depreciation is endogenously determined. It is assumed that the rate of capital depreciation positively depends on capital utilization rate and negatively depends on maintenance spending. Money is introduced via a cash in advance constraint that may apply to the maintenance expenditure as well as to consumption and investment spending. We find that the long-run effects of inflation tax are more complex than those obtained in the monetary Ak growth model with a fixed capital depreciation rate. In particular, the relation between inflation and growth is highly sensitive to the specifications of the capital depreciation technology as well as to the forms of cash-in-advance constraint.
   Keywords:	cash-in-advance constraint; AK growth model; endogenous capital depreciation; maintenance expenditures
   JEL:	E22

10. Estimation of a Time Varying Natural Interest Rate for Peru

    Date:	2009-03
    By:	Humala, Alberto (Central Reserve Bank of Peru) Rodríguez, Gabriel (Central Reserve Bank of Peru and Pontificia Universidad Católica del Perú)
    URL:	http://d.repec.org/n?u=RePEc:rbp:wpaper:2009-009&r=mac
    Following the approach of Mésonnier and Renne (2007), we estimate a Natural Rate of Interest (NRI) using quarterly Peruvian data for the period 1996:3 – 2008:3. The model has six equations and it is estimated using the Kalman filter with output gap and NRI as unobservable variables. Estimation results indicate a more stable NRI in period 2001:3 – 2008:3 than in period 1996:3 – 2001:2 and also more stable than the observed real interest rate. Real interest rate gap (difference between real and natural rates), which measures monetary policy stance, indicates a restrictive policy for 1996-2001 and for 2003. Results also suggest a real interest rate greater than NRI for 2002 and for 2004-2008.
    Keywords:	Interest rate, natural interest rate, Kalman filter, output gap, unobservable components
    JEL:	C32

11. Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru

    Date:	2009-04
    By:	Rodríguez, Gabriel (Central Reserve Bank of Peru and Pontificia Universidad Católica del Perú)
    URL:	http://d.repec.org/n?u=RePEc:rbp:wpaper:2009-010&r=mac
    This paper identifies the output gap using the theoretical definition of the gap within a Phillips curve. The results show that the output gap is large and persistent. Furthermore, the output gap is not correlated with the stochastic trend which is similar to the asumption used in the unobserved components model. The model is extended to include information coming from the unemployment rate. The results are very similar to those obtained without this variable indicating poor additional information in the unemployment rate to identify the output gap. Other estimations of the output gap are performed. I use the procedures of Hodrick and Prescott (1997), Baxter and King (1999), Beveridge and Nelson (1981), Morley, Nelson and Zivot (2003), the unobserved components model of Clark (1987) and a simple quadratic trend. The results show strong di¤erences between our measure of output gap and the other measures. The closer measur e is the one obtained using the unobserved component model and the simple quadratic trend.
    Keywords:	Business Cycles, Phillips Curve, Output Gap, Inflation, Unemployment, Filters
    JEL:	C22

12. Financial Frictions and Monetary Transmission

    Date:	2009-08
    By:	Uluc Aysun (University of Connecticut) Ryan Brady (Unites States Naval Academy) Adam Honig (Amherst College)
    URL:	http://d.repec.org/n?u=RePEc:uct:uconnp:2009-24&r=mac
    This paper examines the effect of financial frictions on the strength of the credit channel of monetary policy. First, we use a DSGE model characterized by financial frictions as in Bernanke, Gertler, and Gilchrist (1999), and calibrate it using parameter values for countries with different levels of financial frictions. We find that the credit channel is stronger in countries with high levels of financial frictions. The intuition is that in these countries, external finance premiums are more sensitive to firms’ financial leverage. By affecting asset prices, therefore, monetary policy has greater impact on external finance premiums and output. Second, we provide empirical evidence for this relationship. We use cross-country data in SVAR models to generate indicators for credit channel strength. We then show that there is a positive relationship between financial frictions, captured by bankruptcy recovery rates, and credit channel strength, confirming the predictions of the model.
    Keywords:	credit channel, financial frictions, bankruptcy costs
    JEL:	E44

13. Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty

    Date:	2009-06
    By:	Yu-Fu Chen Michael Funke
    URL:	http://d.repec.org/n?u=RePEc:dun:dpaper:225&r=mac
    The paper studies the interaction between cyclical uncertainty and investment in a stochastic real option framework where demand shifts stochastically between three different states, each with different rates of drift and volatility. In our setting the shifts are governed by a three-state Markov switching model with constant transition probabilities. The magnitude of the link between cyclical uncertainty and investment is quantified using simulations of the model. The chief implication of the model is that recessions and financial turmoil are important catalysts for waiting. In other words, our model shows that macroeconomic risk acts as an important deterrent to investments.
    Keywords:	Business Cycles, Real Options, Investment, Markov Switching, Tobin’s q, Uncertainty
    JEL:	D81

14. Search, Nash Bargaining and Rule of Thumb Consumers

    Date:	2009-06
    By:	J.E. Boscá R. Doménech J. Ferri
    URL:	http://d.repec.org/n?u=RePEc:bbv:wpaper:910&r=mac
    This paper analyses the effects of introducing typical Keynesian features, namely rule-of-thumb consumers and consumption habits, into a standard labour market search model. It is a well-known fact that labour market matching with Nash-wage bargaining improves the ability of the standard real business cycle model to replicate some of the cyclical properties featuring the labour market. However, when habits and rule-of-thumb consumers are taken into account, the labour market search model gains extra power to reproduce some of the stylised facts characterising the US labour market, as well as other business cycle facts concerning aggregate consumption and investment behaviour.
    Keywords:	general equilibrium, labour market search, habits, rule-of-thumb consumers
    JEL:	E24

15. Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights

    Date:	2009-07-16
    By:	Lennart Hoogerheide (Erasmus University Rotterdam) Richard Kleijn (PGGM, Zeist) Francesco Ravazzolo (Norges Bank) Herman K. van Dijk (Erasmus University Rotterdam) Marno Verbeek (Erasmus University Rotterdam)
    URL:	http://d.repec.org/n?u=RePEc:dgr:uvatin:20090061&r=mac
    Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series. The results indicate that the proposed time varying model weight schemes outperform other combination schemes in terms of predictive and economic gains. In an empirical application using returns on the S&P 500 index, time varying model weights provide improved forecasts with substantial economic gains in an investment strategy including transaction costs. Another empirical example refers to forecasting US economic growth over the business cycle. It suggests that time varying combination schemes may be very useful in business cycle analysis and forecasting, as these may provide an early indicator for recessions.
    Keywords:	forecast combination; Bayesian model averaging; time varying model weights; portfolio optimization; business cycle
    JEL:	C11

16. What lessons from the 1930s?

    Date:	2009-05
    By:	Alcidi, Cinzia Gros, Daniel
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16726&r=mac
    This paper explores three areas in which the experience of the Great Depression might be relevant today: monetary policy, fiscal policy and the systemic stability of the banking system. We confirm the consensus on monetary policy: deflation must be avoided. With regard to fiscal policy, the picture is less clear. We cannot confirm a widespread opinion according to which fiscal policy did not work because it was not tried. We find that fiscal policy went to limit of what was possible under the conditions as they existed then. Our investigation of the US banking system shows a surprising resilience of the sector: commercial banking operations (deposit taking and lending) remained profitable even during the worst years. This suggests one policy conclusion: At present the authorities, in both the US and Europe, have little choice but to make up for the losses on ‘legacy’ assets and wait for banks to earn back their capita l. But to prevent future crisis of this type one should make sure that losses from the investment banking arms cannot impair commercial banking operations. At least a partial separation of commercial and investment banking seems thus justified by the greater stability of commercial banking operations.
    Keywords:	Great depression; Monetary policy; Fiscal policy; Commercial banks
    JEL:	B22

17. The main recessions in Italy: a retrospective comparison

    Date:	2009-07
    By:	Andrea Brandolini Antonio Bassanetti (Banca d’Italia) Martina Cecioni (Banca d’Italia) Andrea Nobili (Banca d’Italia) Giordano Zevi (Banca d’Italia)
    URL:	http://d.repec.org/n?u=RePEc:bdi:opques:qef_46_09&r=mac
    This paper proposes a comparative analysis of the main macroeconomic aggregates (both real and credit aggregates), and the monetary policy response during the most severe recessions experienced by the Italian economy. This descriptive study focuses mainly on the last forty years, a period for which there is ample and detailed information available. In particular, the paper contrasts the data on the current deep recession with those in 1974-75 and 1992-93, at the times of the oil crisis and the currency crisis respectively. For a selected list of variables, a comparison is made with the dynamics of the recession of the 1930s.
    Keywords:	gcyclical fluctuations, recession, credit supply, monetary policy
    JEL:	E20

18. Inflation Targeting and Inflation Convergence within Turkey

    Date:	2009
    By:	Yilmazkuday, Hakan
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16770&r=mac
    Using a disaggregated level CPI data, this paper compares bilateral convergence properties of Turkish regional inflation rates between pre-inflation-targeting and inflation-targeting periods. Rather than using an ad hoc date for the introduction of inflation-targeting regime, structural break dates are estimated for Turkish national inflation rate as well as the standard deviation of Turkish regional inflation rates. The first moment of Turkish national inflation rate has an estimated break at the beginning of explicit inflation-targeting regime in January 2002, and the second moment of Turkish regional inflation rates has an estimated break at the financial crisis in February 2001 after which Turkey adopted a flexible exchange rate. It is found that during the inflation-targeting period, Turkish regional inflation rates have converged to each other in terms of CPI groups with relatively non-tradable components, and they have diverged from each other in terms of CPI groups with relatively tradable components.
    Keywords:	Inflation Targeting; Inflation Rate Convergence; Regional Analysis; Turkey
    JEL:	E31

19. The stability of the inflation rate in the Euro area: the role of Globalization and labour market

    Date:	2009
    By:	Forte, Antonio
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16587&r=mac
    In this paper I present a statistical analysis of some macroeconomic data that can shed more light on the causes of the low inflation rate that we registered in the Euro area during the last years. I focus on both the globalization and the labour market for their importance, as external and internal factor respectively, in influencing the domestic inflation. The main finding of this study, in which I also present an international comparison, is that the firms’ behaviour can help explain the stable trend of the inflation rate in the Euro area. This result can be interpreted as a signal of the redistribution, in favour of the firms, of the positive features of the globalization process
    Keywords:	Inflation rate; Euro area; Exchange rate; Labour cost
    JEL:	L25

20. Estimating Output Gap, Core Inflation, and the NAIRU for Peru

    Date:	2009-04
    By:	Rodríguez, Gabriel (Central Reserve Bank of Peru and Pontificia Universidad Católica del Perú)
    URL:	http://d.repec.org/n?u=RePEc:rbp:wpaper:2009-011&r=mac
    Following Doménech and Gómez (2006), and using quarterly Peruvian data for 1970:1-2007:4, I estimate a model that exploits the information contained in the inflation, unemployment and private investment rates in order to estimate non-observable variables as output gap, the NAIRU and the core inflation. The unknown parameters are esti- mated by maximun likelihood using a Kalman filter initialized with a partially difuse prior, and the unobserved components are estimated using a smoothing algorithm. The results suggest that only the infla- tion rate contains useful information in order to estimate the output gap. Estimates suggest poor performance for the unemployment and private investment rates. I explain this issue as related to the poor quality of the construction of these variables. In order to perform a sensitivity analysis, I estimate the output gap using other alternative methods. The correlations are very differe nt and very far away from the estimates obtained in this paper. It is clear that estimates obtained from simple statistical filters give poor approximations.
    Keywords:	Potential Output, Core Inflation, NAIRU, Latent Variables, Investment
    JEL:	C22

21. A Parsimonious Macroeconomic Model for Asset Pricing

    Date:	2009-08
    By:	Fatih Guvenen
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15243&r=mac
    In this paper, I study asset prices in a two-agent macroeconomic model with two key features: limited participation in the stock market and heterogeneity in the elasticity of intertemporal substitution in consumption (EIS). The model is consistent with some prominent features of asset prices that have been documented in the literature, such as a high equity premium; relatively smooth interest rates; procyclical variation in stock prices; and countercyclical variation in the equity premium, in its volatility, and in the Sharpe ratio. While the model also reproduces the long-horizon predictability of the equity premium, the extent of predictability is smaller than in the data. In this model, the risk-free asset market plays a central role by allowing the non-stockholders (who have low EIS) to smooth the fluctuations in their labor income. This process concentrates nonstockholders’ aggregate labor income risk among a small group of stockholders, who then demand a high premium for bearing the aggregate equity risk. Furthermore, this mechanism is consistent with the very small share of aggregate wealth held by non-stockholders in the US data, which has proved problematic for previous models with limited participation. I show that this large wealth inequality is also important for the model’s ability to generate a countercyclical equity premium. Finally, when it comes to business cycle performance the model’s progress has been more limited: consumption is still too volatile compared to the US data, whereas investment is still too smooth. These are important areas for potential improvement in this framework.
    JEL:	E21

22. Should monetary policy “lean or clean”?

    Date:	2009
    By:	William R. White
    URL:	http://d.repec.org/n?u=RePEc:fip:feddgw:34&r=mac
    It has been contended by many in the central banking community that monetary policy would not be effective in “leaning” against the upswing of a credit cycle (the boom) but that lower interest rates would be effective in “cleaning” up (the bust) afterwards. In this paper, these two propositions (can’t lean, but can clean) are examined and found seriously deficient. In particular, it is contended in this paper that monetary policies designed solely to deal with short term problems of insufficient demand could make medium term problems worse by encouraging a buildup of debt that cannot be sustained over time. The conclusion reached is that monetary policy should be more focused on “preemptive tightening” to moderate credit bubbles than on “preemptive easing” to deal with the after effects. There is a need for a new macrofinancial stability framework that would use both regulatory and monetary instruments to resist credit bu bbles and thus promote sustainable economic growth over time.
    Keywords:	Monetary policy ; Financial crises

23. Price Inflation and Income Distribution

    Date:	2009-08
    By:	Jennings, Anne (ESRI) Lyons, Seán (ESRI) Tol, Richard S. J. (ESRI)
    URL:	http://d.repec.org/n?u=RePEc:esr:wpaper:wp308&r=mac

24. Imperfect Information, Lagged Labor Adjustment And The Great Moderation

    Date:	2009-07-17
    By:	Tim Willems (University of Amsterdam) Sweder van Wijnbergen (University of Amsterdam)
    URL:	http://d.repec.org/n?u=RePEc:dgr:uvatin:20090063&r=mac
    This paper first documents the increase in the time lag with which labor input reacts to output fluctuations (“the labor adjustment lag”) that is visible in US data since the mid-1980s. We show that a lagged labor adjustment response is optimal in a setting where there is uncertainty about the persistence of shocks and where labor input is costly to adjust. We then present evidence that both the nature of shocks as well as labor adjustment costs may have changed during the 1980s in a direction that could explain the observed increase in the lag. Finally, we argue that the increased labor adjustment lag has the potential to explain some macroeconomic puzzles that characterize post-1984 US data, such as the reduced procyclicality of labor productivity and the reduction in output volatility (known as the Great Moderation).
    Keywords:	imperfect information; labor adjustment; jobless growth; option value of waiting; Great Moderation
    JEL:	E24

25. Resource Price Turbulence and Macroeconomic Adjustment for a Resource Exporter: a conceptual framework for policy analysis

    Date:	2009
    By:	Harvie, Charles (University of Wollongong) Cox, Grant M (University of Wollongong)
    URL:	http://d.repec.org/n?u=RePEc:uow:depec1:wp09-06&r=mac
    Increased global demand for energy and other resources, particularly from the rapidly developing economies of China and India and the opening up of global resource markets to global investors and speculative activity, has resulted in considerable recent turbulence in resource prices. The recent magnitude of change in resource prices, both positive and negative, and their macroeconomic implications is of considerable contemporary importance to both resource importing and exporting economies. For a resource exporting economy, such as that of Australia, the recent resource price boom has resulted in: increased government taxation revenue, increased employment and wages in the resource and resource related sectors, increased spending in the domestic economy that contributed to buoyant economic growth, increased resource exports to the booming economies of China and India and contributed to a stronger domestic currency with be neficial effects upon inflation. On the other hand these developments have had adverse effects on the non resource sector by: subjecting it to more intense competition for limited resources, contributing to a loss of international competitiveness and reduced exports arising from a stronger exchange rate, reducing employment in the relatively more labour intensive non resource sector, and contributing to an eventual slow down in the overall economy. These positive and negative effects, and the overall impact of a resource price boom, require a fundamentally closer analysis of the structure of the economy under scrutiny. In this context the policy response by government is likely to be pivotal in determining the overall macroeconomic outcomes from a resource price boom. The aim of this paper is to develop a generic analytical framework to appraise economic outcomes in the wake of a resource price boom for a resource producing and exporting economy. To this end a dynamic long r un macroeconomic model is developed, emphasising the important role a nd contribution of government fiscal policy in influencing subsequent macroeconomic outcomes. The adjustment process in the model arising from a resource price shock emphasises a spending (or wealth) effect, an income effect, a revenue effect, a current account effect and an exchange rate effect, which facilitate a robust analysis of subsequent macroeconomic outcomes from such a shock as well as related policy responses.
    Keywords:	Resource price shock, dynamic macroeconomic model, simulation analysis, macroeconomic adjustment, policy analysis
    JEL:	E27

26. Trending Current Accounts

    Date:	2009-08
    By:	Horag Choi Nelson C. Mark
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15244&r=mac
    Trending current accounts pose a challenge for intertemporal open-economy macro models. This paper shows that a two-country representative-agent business cycle model is able to explain the historical time-paths of the US and Japanese current accounts, both of which display trends but in opposite directions. Households have a state-dependent subjective discount factor such that they become relatively impatient (patient) when societal consumption is abnormally high (low). We present agents in the model with historical observations on the exogenous state variables, run the economy, and compare the current account implied by the model with the data. We find that the model generates national saving behavior that matches the current account’s trend. Investment dynamics are important for explaining current account fluctuations around the trend, but not for the trend itself. The model also accounts for the timing of cyclical curr ent account fluctuations around the trend.
    JEL:	F3

27. The Determinants of Stock and Bond Return Comovements

    Date:	2009-08
    By:	Lieven Baele Geert Bekaert Koen Inghelbrecht
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15260&r=mac
    We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and liquidity proxies as additional potential factors. We find that macro-economic fundamentals contribute little to explaining stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The macro factors are still important in fitting bond return volatility; whereas the “variance premium” is critical in explaining stock return volatility. However, the factor model primarily fails in fitting covariances.
    JEL:	E43

28. Multiple Reserve Requirements, Exchange Rates, Sudden Stops and Equilibrium Dynamics in a Small Open Economy

    Date:	2009-03-05
    By:	Hernandez-Verme, Paula Wang, Wen-Yao
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16748&r=mac
    We model a typical Asian-crisis-economy using dynamic general equilibrium tech-niques. Exchange rates obtain from nontrivial fiat-currencies demands. Sudden stops/bank-panics are possible, and key for evaluating the merits of alternative ex-change rate regimes. Strategic complementarities contribute to the severe indetermi-nacy of the continuum of equilibria. The scope for existence and indeterminacy of equilibria and dynamic properties are associated with the underlying policy regime. Binding multiple reserve requirements promote stability under floating but increase the scope for panic equilibria under both regimes. Backing the money supply acts as a stabilizer only in fixed regimes, but reduces financial fragility under both regimes.
    Keywords:	Sudden stops; Bank runs; Exchange rate regimes; Multiple reserve requirements; Dynamic Stochastic General Equilibrium; Open Economy Macroeconomics; International Financial crises.
    JEL:	G14

29. The UK Intranational Trade Cycle

    Date:	2009-04
    By:	Michael Artis Toshihiro Okubo
    URL:	http://d.repec.org/n?u=RePEc:cep:sercdp:0019&r=mac
    The paper uses annual data on real GDP for the UK regions and 12 manufacturing sectors toderive regional and regional/sectoral business cycles using an H-P filter. The cohesion of thecycles is examined via cross-correlations and comparisons made with the regional cycles forJapan, the United States and the EuroArea. The UK emerges as especially cohesive andefforts to explain the overall cross-correlations of regional GDP are not very successfulowing to the low variance of the explicand; when attention is turned to the sectoral/regionalcycles, with their greater variance it is possible to demonstrate that economic variables suchas distance, dissimilarity in structure and level of output play a significant role in explainingthe variance in the cross-correlations. A significant feature of the cross-correlations inrelation to those of EU countries is that whilst they continue to provide support for the “UKidiosyncrasy” they no longer do so as strongly as they did in earlier data samples
    Keywords:	intranational business cycle, regional business cycles, income convergence,Hodrick-Prescott filter, Euro-sympathy
    JEL:	E32

30. Comparing forecasts of Latvia’s GDP using simple seasonal ARIMA models and direct versus indirect approach

    Date:	2009-08-06
    By:	Bušs, Ginters
    URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:16684&r=mac
    This paper contributes to the literature by comparing predictive accuracy of one-period real-time simple seasonal ARIMA forecasts of Latvia’s Gross Domestic Product (GDP) as well as by comparing a direct forecast of Latvia’s GDP versus three kinds of indirect forecasts. Four main results are as follows. Direct forecast of Latvia’s Gross Domestic Product (GDP) seems to yield better precision than an indirect one. AR(1) model tends to give more precise forecasts than the benchmark moving-average models. An extra regular differencing appears to help better forecast Latvia’s GDP in an economic downturn. Finally, only AR(1) gives forecasts with better precision compared to a naive Random Walk model.
    Keywords:	real-time forecasting; seasonal ARIMA; Direct versus indirect forecasting; Latvia’s GDP
    JEL:	C13

31. A Three State Model of Worker Flows in General Equilibrium

    Date:	2009-08
    By:	Per Krusell Toshihiko Mukoyama Richard Rogerson Aysegul Sahin
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15251&r=mac
    We develop a simple model featuring search frictions and a nondegenerate labor supply decision along the extensive margin. The model is a standard version of the neoclassical growth model with indivisible labor with idiosyncratic shocks and frictions characterized by employment loss and employment opportunity arrival shocks. We argue that it is able to account for the key features of observed labor market flows for reasonable parameter values. Persistent idiosyncratic productivity shocks play a key role in allowing the model to match the persistence of the employment and out of the labor force states found in individual labor market histories.
    JEL:	E24

32. Entrepreneurship and the Business Cycle

    Date:	2009-06-30
    By:	P.D. Koellinger (Erasmus School of Economics, Erasmus University Rotterdam) A.R. Thurik (Erasmus School of Economics, Erasmus Universiteit Rotterdam)
    URL:	http://d.repec.org/n?u=RePEc:dgr:uvatin:20090032&r=mac
    We study the cyclical pattern of entrepreneurial activity. Results across 22 OECD countries for the period 1972-2007 show that entrepreneurial activity is a leading indicator of the business cycle in a Granger-causality sense. This contradicts existing theoretical hypotheses which predict that entrepreneurship is pro-cyclical or not cyclical. We discuss possible causes and implications of this finding.
    Keywords:	Entrepreneurship; business cycle
    JEL:	L26

33. Aggregate Labor Market Outcomes: The Role of Choice and Chance

    Date:	2009-08
    By:	Per Krusell Toshihiko Mukoyama Richard Rogerson Aysegul Sahin
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15252&r=mac
    Commonly used frictional models of the labor market imply that changes in frictions have large effects on steady state employment and unemployment. We use a model that features both frictions and an operative labor supply margin to examine the robustness of this feature to the inclusion of a empirically reasonable labor supply channel. The response of unemployment to changes in frictions is similar in both models. But the labor supply response present in our model greatly attenuates the effects of frictions on steady state employment relative to the simplest matching model, and two common extensions. We also find that the presence of empirically plausible frictions has virtually no impact on the response of aggregate employment to taxes.
    JEL:	E24

34. Necessary and sufficient attributes of an automatic fiscal stabilizator. Mechanisms of impulse stabilization transmission

    Date:	2009-08-09
    By:	Dinga, Ene (Romanian Academy, Centre of Financial and Monetary Research Victor Slavescu) Padurean, Elena (Romanian Academy, Centre of Financial and Monetary Research Victor Slavescu) Baltaretu, Camelia (Romanian Academy, Centre of Financial and Monetary Research Victor Slavescu) Leonida, Ionel (Romanian Academy, Centre of Financial and Monetary Research Victor Slavescu)
    URL:	http://d.repec.org/n?u=RePEc:ris:sphedp:2009_056&r=mac
    The study is focused on identifying of the features of the concept of automatic fiscal stabilizers as well as on logic and economic assessment of them. The result of these steps is developing the definition of automatic fiscal stabilizer. Based on the definition, the sufficient predicates (attributes) of the automatic fiscal stabilizer (i.e. those characteristics that, once verified, ensure the quality of automatic fiscal stabilizer) are identified and, based on the last, are also identified the necessary predicates (attributes) of it. A particularly important aspect is the formal description of the generic action of the automatic fiscal stabilizer in different assumptions of the variation rate action, and of the variation of the base action of this special institutional tool. The study ends with analyzing the portfolio problem of the automatic fiscal stabilizers that could be designed and implemented under a non-discreti onary fiscal policy framework.
    Keywords:	automatic; fiscal; stabilizers
    JEL:	E62

35. Tax Reforms and Labour-market Performance: An Evaluation for Spain using REMS

    Date:	2009-05
    By:	J.E. Boscá R. Doménech J. Ferri
    URL:	http://d.repec.org/n?u=RePEc:bbv:wpaper:908&r=mac
    This paper uses REMS, a Rational Expectations Model of the Spanish economy designed by Boscá et al (2007) to analyse the effects of lowering the overall tax edge to the level prevailing in the US. Our results partially confirm previous findings in the literature: a reduction in the overall tax wedge of 19.5 points, in order to reach the US levels, has a positive effect in the long run, increasing total hours by about 7 per cent and GDP by about 8 percentage points. In terms of GDP per adult, these results account for ¼ of the gap with respect to the US, but imply a reduction of only one percentage point in the labour productivity gap. The rise in total hours per adult is explained by a similar increase in both hours per employee and the employment rate of about 3.5 percentage points, allowing hours per adult to converge to levels only slightly lower than those in the US.
    Keywords:	General equilibrium, tax wedge, tax reforms, fiscal policy, labour market.
    JEL:	E32

36. Consumption and Labor Supply with Partial Insurance: An Analytical Framework

    Date:	2009-08
    By:	Jonathan Heathcote Kjetil Storesletten Giovanni L. Violante
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15257&r=mac
    This paper studies consumption and labor supply in a model where agents have partial insurance and face risk and initial heterogeneity in wages and preferences. Equilibrium allocations and variances and covariances of wages, hours and consumption are solved for analytically. We prove that all parameters of the structural model are identified given panel data on wages and hours, and cross-sectional data on consumption. The model is estimated on US data. Second moments involving hours and consumption show that the rise in wage dispersion in the 1970s was effectively insured by households, while the rise in the 1980s was not.
    JEL:	E21

37. On the Size Distribution of Macroeconomic Disasters

    Date:	2009-08
    By:	Robert J. Barro Tao Jin
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15247&r=mac
    In the rare-disasters setting, a key determinant of the equity premium is the size distribution of macroeconomic disasters, gauged by proportionate declines in per capita consumption or GDP. The long-term national-accounts data for up to 36 countries provide a large sample of disaster events of magnitude 10% or more. For this sample, a power-law density provides a good fit to the distribution of the ratio of normal to disaster consumption or GDP. The key parameter of the size distribution is the upper-tail exponent, alpha, estimated to be near 5, with a 95% confidence interval between 3-1/2 and 7. The equity premium involves a race between alpha and the coefficient of relative risk aversion, gamma. A higher alpha signifies a thinner tail and, therefore, a lower equity premium, whereas a higher gamma implies a higher equity premium. The equity premium is finite if (alpha-1>gamma). To accord with an observed average unle vered equity premium of around 5%, we get a point estimate for gamma close to 3, with a 95% confidence interval of roughly 2 to 4.
    JEL:	E20

38. An assessment of financial sector rescue programmes

    Date:	2009-07
    By:	Fabio Panetta (Banca d’Italia) Thomas Faeh (Bank for International Settlements) Giuseppe Grande (Banca d’Italia) Corrinne Ho (Bank for International Settlements) Michael King (Bank for International Settlements) Aviram Levy (Banca d’Italia) Federico M. Signoretti (Banca d’Italia) Marco Taboga (Banca d’Italia) Andrea Zaghini (Banca d’Italia)
    URL:	http://d.repec.org/n?u=RePEc:bdi:opques:qef_47_09&r=mac
    We analyse the wide array of rescue programmes adopted in several countries, following Lehman Brothers’ default in September 2008, in order to support banks and other financial institutions. We first provide an overview of the programmes, comparing their characteristics, magnitudes and participation rates across countries. We then consider the effects of the programmes on banks’ risk and valuation, looking at the behaviour of CDS premia and stock prices. We then proceed to analyse the issuance of government guaranteed bonds by banks, examining their impact on banks’ funding and highlighting undesired effects and distortions. Finally, we briefly review the recent evolution of bank lending to the private sector. We draw policy implications, in particular as regards the way of mitigating the distortions implied by such programmes and the need for an exit strategy.
    Keywords:	bank asset guarantees, capital injection, banks, financial sector, financial crisis, bank consolidation, bank mergers and acquisitions, event studies, government guaranteed bonds, credit crunch, exit strategy
    JEL:	E58

39. The Canadian Manufacturing Sector: Adapting to Challenges

    Date:	2009-07-28
    By:	Baldwin, John R. Macdonald, Ryan
    URL:	http://d.repec.org/n?u=RePEc:stc:stcp5e:2009057e&r=mac
    This paper examines the challenges that the manufacturing sector has faced over the last half century focusing on both long- and short-term performance. It first examines whether there is evidence that this sector is in long-term decline. The paper also investigates how the industry has responded to specific shocks during this period from exchange-rate movements, trade liberalization and business cycles. It finds little evidence of long-term decline. Rather it describes how manufacturing has adapted to varying challenges, whether from demand shifts due to business cycles, relative price shifts associated with exchange rate shocks or changes in tariff regimes.
    Keywords:	International trade, Manufacturing, Business performance and ownership, Business cycles

40. Risk, Volatility, and the Global Cross-Section of Growth Rates

    Date:	2009-08
    By:	Craig Burnside Alexandra Tabova
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15225&r=mac
    We reconsider the empirical links between volatility and growth between 1970 and 2007. There is a strong and significant correlation between individual country growth rates and global factors that are arguably exogenous with respect to their economies. The amount of volatility driven by these external factors is highly correlated, cross-sectionally, with the overall amount of volatility in GDP growth. There is also a strong correlation between a country’s average growth rate and the magnitude and sign of its exposure to global factors. We interpret our findings as a partial answer to the question “Why doesn’t capital flow from rich to poor countries?” We argue that low-income countries that grow slowly are riskier from the perspective of the marginal international investor.
    JEL:	E32

41. Modelo de Proyección Trimestral del BCRP

    Date:	2009-04
    By:	Departamento de Modelos Macroeconómicos (Central Bank of Peru)
    URL:	http://d.repec.org/n?u=RePEc:rbp:wpaper:2009-006&r=mac
    El documento describe el Modelo de Proyección Trimestral (MPT) utilizado por el Banco Central de Reserva del Perú (BCRP) para fines de simulación de política monetaria y de proyección de las principales variables macroeconómicas. La estructura básica del modelo es una aproximación a la representación lineal de un modelo de equilibrio general dinámico para una economía pequeña y abierta con dolarización parcial. El modelo incorpora expectativas racionales y posee un fundamento neo-keynesiano (rigidez de precios) que permite un rol de la política monetaria sobre las variables reales en el corto plazo. El documento presenta también ejercicios de simulación de momentos y de funciones impulsorespuesta generados con el MPT, así como algunas consideraciones adicionales sobre el sistema de proyecciones macroeconómicas del BCRP.
    Keywords:	Modelo semiestructural, Proyecciones macroeconómicas, Perú
    JEL:	E37

42. Reforma de las pensiones y política fiscal: algunas lecciones de Chile

    Date:	2009-07
    By:	Angel Muñoz Angel Melguizo David Tuesta Joaquín Vial
    URL:	http://d.repec.org/n?u=RePEc:bbv:wpaper:913&r=mac
    En este documento analizamos los costes fiscales a corto y medio plazo derivados de la reforma estructural del sistema de pensiones, tomando a Chile como ejemplo. El sistema de pensiones chileno, basado en cuentas de capitalización individual gestionadas por el sector privado está funcionando desde hace casi 30 años, lo que permite analizar con garantías el impacto de los sistemas de pensiones privados en las cuentas públicas. Además, en la actualidad se está implementando una reforma que cambia radicalmente el pilar solidario. En este documento sostenemos que aunque los costes de la transición fiscal son mucho menores que sus beneficios, suelen ser altos y persistentes, por lo que es aconsejable una consolidación fiscal antes de embarcarse en el proceso. Esto también permite solventar la falta de cobertura que provoca la informalidad del mercado de trabajo, como se demuestra para Chile, Colombia, México y Per� �. Finalmente, en términos más generales, la posibilidad de “exportar” este tipo de reforma de las pensiones no solo depende de su diseño específico, si no de la calidad las instituciones públicas y de regulación del mercado.
    Keywords:	“Reforma de las pensiones, deuda implícita, costes fiscales, pilar solidario, pensión mínima, Chile”
    JEL:	E62

43. Pension reform and fiscal policy: some lessons from Chile

    Date:	2009-07
    By:	Angel Melguizo Angel Muñoz David Tuesta Joaquín Vial
    URL:	http://d.repec.org/n?u=RePEc:bbv:wpaper:911&r=mac
    In this paper we analyze the short and medium term fiscal costs stemming from structural pension reform, taking Chile as workhorse. The Chilean pension system, based on individual capital accounts managed by the private sector, has been in operation for almost 30 years, providing a rich evidence of the impact of pension systems on public accounts. Besides, a recent reform that crucially changes the solidarity pillar is being implemented now. In the paper we argue that although much lower than its benefits, fiscal transition costs tend to be high and persistent, so a fiscal consolidation prior to the reform is advisable. This also allows filling the coverage holes that labour market informality generates, as illustrated for Chile, Colombia, Mexico and Peru. Finally, in more general terms, the exportability of this type of pension reform depends not only on its specific design, but on the quality of market and public instit utions.
    Keywords:	Pension reform, implicit debt, fiscal costs, solidarity pillar, minimum pension, Chile
    JEL:	E62

44. Accounting for Incomplete Pass-Through

    Date:	2009-08
    By:	Emi Nakamura Dawit Zerom
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15255&r=mac
    Recent theoretical work has suggested a number of potentially important factors in causing incomplete pass-through of exchange rates to prices, including markup adjustment, local costs and barriers to price adjustment. We empirically analyze the determinants of incomplete pass-through in the coffee industry. The observed pass-through in this industry replicates key features of pass-through documented in aggregate data: prices respond sluggishly and incompletely to changes in costs. We use microdata on sales and prices to uncover the role of markup adjustment, local costs, and barriers to price adjustment in determining incomplete pass-through using a structural oligopoly model that nests all three potential factors. The implied pricing model explains the main dynamic features of short and long-run pass-through. Local costs reduce long-run pass-through (after 6 quarters) by a factor of 59% relative to a CES benchmark. Mark up adjustment reduces pass-through by an additional factor of 33%, where the extent of markup adjustment depends on the estimated “super-elasticity” of demand. The estimated menu costs are small 0.23% of revenue) and have a negligible effect on long-run pass-through, but are quantitatively successful in explaining the delayed response of prices to costs. The estimated strategic complementarities in pricing do not, therefore, substantially delay the response of prices to costs. We find that delayed pass-through in the coffee industry occurs almost entirely at the wholesale rather than the retail level.
    JEL:	E30

45. Revisiting Indonesia’s Sources of Economic Growth and Its Projection Towards 2030

    Date:	2009-07
    By:	Armida Alisjahbana (Department of Economics, Padjadjaran University)
    URL:	http://d.repec.org/n?u=RePEc:unp:wpaper:200905&r=mac
    This paper revisits Indonesia’s sources of economic growth using the Growth Accounting Framework with education adjusted employment for period 1971-2007. The study estimates contribution of growth in capital stock, human capital and Total Factor Productivity (TFP) during the period before and after the crisis. TFP played positive but minor role in Indonesia’s economic growth before the crisis. Growth in capital stock had been the main driver, attributing between 50-70% of growth. Growth in human capital accounted for another 30%. The pattern of sources of growth has changed substantially post crisis. TFP growth has played a more significant role, whereas capital stock growth has been increasing but at a meager pace. Human capital has consistently contributed about 30% to the overall growth. The roles of capital stock growth, human capital growth and TFP have been on a more equal footing after post-crisis. If this tren d persists, it will have profound implication on the driver of Indonesian economy’s growth in the future and its trajectory projection towards 2030.
    Keywords:	Economic growth, Total Factor Productivity, Indonesia 2030
    JEL:	E37

46. Macroeconomical data

    Date:	2009
    By:	Ullrich Heilemann
    URL:	http://d.repec.org/n?u=RePEc:rsw:rswwps:rswwps63&r=mac
    The following look on the current state and the future of macroeconomic data is likely to fail. For one thing, researchers will be disappointed to find that their claims for more and “better” data are not adequately supported; the Amtliche Statistik [(Official Statistics (OS)], while to some degree perhaps sharing this disappointment, may miss suggestions and specific comments on old and new data needs. In a material sense, the situation does not appear lamentable and no case can be made requiring immediate action. In addition, few of the following remarks are new or unique. Indeed, as an empirical macroeconomist, and as a member of various statistical advisory bodies, the present author is impressed by the progress made in numerous areas of research infrastructure that were inconceivable only a decade ago. Within the triad of data, methods, and theory, for an increasing number of areas of the social and behavioural s ciences, “data” no longer appear to be the limiting factor (so here appetite comes with eating, too) – especially not when also looking at cost, returns, and setting negative priorities. It is true that improvements to the macroeconomic informational infrastructure over the last two decades were much smaller than the progress made in microeconomics and many of its sub-categories (for labour economics, e.g., Bender and Möller 2009; Schneider 2009). However, these other areas were only catching up with the state of macroeconomic data, which had experienced a similar jump with the launch of the National Accounts (NA) in Germany some 50 years ago. Given the breadth of the topic, at least in the context of this volume, the following remarks will be cursory and the references rather general.

47. Costly Portfolio Adjustment

    Date:	2009-08
    By:	Yosef Bonaparte Russell Cooper
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15227&r=mac
    This paper studies the dynamic optimization problem of a household when portfolio adjustment is costly. The analysis is motivated by the observation that on a monthly basis, less than 10% of stockholders typically adjust their portfolio of common stocks. We use this, and related observations, to estimate the parameters of household preferences and portfolio adjustment costs. We find significant adjustment costs, beyond the direct costs of buying and selling assets. These adjustment costs imply that inferences drawn about household risk aversion and the elasticity of intertemporal substitution are biased: household risk aversion is lower compared to other estimates and it is not equal to the inverse of the elasticity of intertemporal substitution.
    JEL:	E21

48. Disasters implied by equity index options

    Date:	2009-08
    By:	David Backus Mikhail Chernov Ian Martin
    URL:	http://d.repec.org/n?u=RePEc:nbr:nberwo:15240&r=mac
    We use prices of equity index options to quantify the impact of extreme events on asset returns. We define extreme events as departures from normality of the log of the pricing kernel and summarize their impact with high-order cumulants: skewness, kurtosis, and so on. We show that high-order cumulants are quantitatively important in both representative-agent models with disasters and in a statistical pricing model estimated from equity index options. Option prices thus provide independent confirmation of the impact of extreme events on asset returns, but they imply a more modest distribution of them.
    JEL:	E44

49. Do re-election probabilities influence public investment?

    Date:	2009-08-11
    By:	Jon H. Fiva (University of Oslo) Gisle James Natvik (Norges Bank (Central Bank of Norway))
    URL:	http://d.repec.org/n?u=RePEc:bno:worpap:2009_13&r=mac
    We identify exogenous variation in incumbent policymakers’ re-election probabilities and explore empirically how this variation affects the incumbents’ investment in physical capital. Our results indicate that a higher re-election probability leads to higher investments, particularly in the purposes preferred more strongly by the incumbents. This aligns with a theoretical framework where political parties disagree about which public goods to produce using labor and predetermined public capital. Key for the consistency between data and theory is to account for complementarity between physical capital and flow variables in government production.
    Keywords:	Political economics, Strategic capital accumulation, Identifying popularity shocks
    JEL:	E62

50. Back to Basics: Restoring Equity and Efficiency in the EI Program – EI Reform Part II

    Date:	2009-08
    By:	Colin Busby (C.D. Howe Institute) Alexandre Laurin (C.D. Howe Institute) David Gray (University of Ottawa)
    URL:	http://d.repec.org/n?u=RePEc:cdh:ebrief:84&r=mac
    Regionally based entry requirements and benefit durations prolong the persistence of unemployment and reduce economic incentives to adjust to labour-market conditions. Reforms aimed at equity are overdue. Regionally based criteria should be replaced by uniform, countrywide, employment insurance entrance requirements and benefit durations.
    Keywords:	employment insurance reform
    JEL:	E24

–

Télécharger

Mots clés: définition, définitions, économie politique, sociétés prénéolitiques, néolithiques, industrielles, science économique, méthode inductive, méthode déductive, approche théorique, approche empirique, modèle, modèles, niveaux d’analyse économique, micro-économie, mesoéconomie, méso-économie, positive, normative, notion du besoin, rareté, valeur, bien, biens économiques, économique, courant libéral, Adam Smith, Jean Baptiste-Say, loi des débouchés, David Ricardo, libéralisme, salaire, rente, profit, intérêt, courant libéral néo-classique, Homo-oeconomicus, Karl Marx, Marxisme, courant Marxiste, plus-value, baisse tendancielle du taux de profit, BTTP, B.T.T.P., Keynes, courant Keynésien, sous-emploi.

–

Télécharger

Mots clés: économie fermée, dépenses gouvernementales, recettes de l’Etat, fonction de consommation agrégée, revenu, investissement, propension marginale, moyenne, déficit budgétaire, multiplicateur keynésien des dépenses publiques, taux d’imposition, consommation autonome, incompressible, production d’équilibre, revenu national.

–

Télécharger

Mots clés: PIB, nominal, déflateur, réel, chômage, chômeurs, taux d’activité, fonction de production, capital, facteur travail, rendement, croissance démographique, taux d’amortissement, épargne, équation fondamentale d’accumulation du capital, équation dynamique d’accumulation du capital.