[MAC] Macroéconomie: working papers (RePEc, 24/07/2010)

Source : NEP (New Economics Papers) | RePEc

  • Why Do Financial Market Experts Misperceive Future Monetary Policy Decisions?
Date: 2010-07
By: Sandra Schmidt
Dieter Nautz
URL: http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2010-036&r=mac
This paper investigates why financial market experts misperceive the interest rate policy of the European Central Bank (ECB). Assuming a Taylor-rule-type reaction function of the ECB, we use qualitative survey data on expectations about the future interest rate, inflation, and output to discover the sources of in- dividual interest rate forecast errors. Based on a panel random coefficient model, we show that financial experts have systematically misperceived the ECB’s in- terest rate rule. However, although experts tend to overestimate the impact of inflation on future interest rates, perceptions of monetary policy have become more accurate since clarification of the ECB’s monetary policy strategy in May 2003. We find that this improved communication has reduced disagreement over the ECB’s response to expected inflation during the financial crisis.
Keywords: Central bank communication, Interest rate forecasts, Survey expectations, Panel random coefficient model
JEL: E47
  • Monetary and fiscal policy interactions with central bank transparency and public investment
Date: 2010-07-06
By: Dai, Meixing
Sidiropoulos, Moïse
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:23704&r=mac
In this paper, we study how the interactions between central bank transparency and fiscal policy affect macroeconomic performance and volatility, in a framework where productivity-enhancing public investment could improve future growth potential. We analyze the effects of central bank’s opacity (lack of transparency) according to the marginal effect of public investment by considering the Stackelberg equilibrium where the government is the first mover and the central bank the follower. We show that the optimal choice of tax rate and public investment, when the public investment is highly productivity-enhancing, eliminates the effects of distortionary taxation and fully counterbalance both the direct and the fiscal-disciplining effects of opacity, on the level and variability of inflation and output gap. In the case where the public investment is not sufficiently productivity-enhancing, opacity could still have some disc iplining effects as in the benchmark model, which ignores the effects of public investment.
Keywords: Distortionary taxes; output distortions; productivity-enhancing public investment; central bank transparency (opacity); fiscal disciplining effect.
JEL: E62
  • Macroeconomic stability or cycles? The role of the wage-price spiral
Date: 2010-07
By: Dag Kolsrud and Ragnar Nymoen (Statistics Norway)
URL: http://d.repec.org/n?u=RePEc:ssb:dispap:625&r=mac
We derive aggregate supply (AS) relationships for an intermediate-run macro model.The wage-price spiral provides the conceptual framework for a synthesis of different contesting theoretical and empirical perspectives on the AS curve: the Phillips curve model (PCM) and the wage-price equilibrium correction model (WPECM). The generalized AS curve is grafted into a small macro model. We analyze stability conditions, steady states, and dynamic solutions, using a combination of algebra and simulations. The specification of the AS curve, as a PCM or a WPECM, is shown to be important for all aspects of the model’s solution, but within each model also the detailed parameterization is of qualitative importance. For example, endogenous cyclical fuctuations are typical for both nominal and real variables, e.g. inflation and unemployment.
Keywords: AS-AD; cycles; dynamics; equilibrium correction; macroeconomics; nominal rigidity; Phillips curve; unemployment; wage-price spiral.
JEL: E24
  • Monetary Policy Committees and Model Uncertainty
Date: 2010
By: Peter Tillmann (Justus Liebig University Gießen)
URL: http://d.repec.org/n?u=RePEc:mar:magkse:201021&r=mac
We introduce heterogeneity into a monetary policy committee by allowing the degree of model uncertainty to differ across members. It is shown that in this framework the stage at which members reach consensus matters. An aggregation protocol under which members only average policy deemed optimal from each member’s point of view leads to more volatility compared to an alternative protocol in which members agree on a common worst-case scenario from which optimal policy is then derived. The reason is that inflation, output and the interest rate are convex functions of each member’s idiosyncratic degree of model uncertainty. If the degree of model uncertainty becomes more heterogenous, inflation volatility falls due to more vigorous stabilization policy. The degree of heterogeneity across members is therefore an important determinant of macroeconomic volatility. Interestingly, the implications for the committee design unde r a min-max approach to model uncertainty are identical to those derived from a Bayesian approach.
Keywords: Robustness, Model Uncertainty, Monetary Policy Committee, Optimal Monetary Policy
JEL: E31
  • Insulation Impossible : Fiscal Spillovers in a Monetary Union.
Date: 2010-05
By: Russell Cooper (European University Institute and University of Texas)
Hubert Kempf (Centre d’Economie de la Sorbonne – Paris School of Economics et Banque de France)
Dan Peled (University of Haifa – Department of Economics)
URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:10045&r=mac
This paper studies the effects of monetary policy rules in a fiscal federation, such as the European Union. The focus of the analysis is the interaction between the fiscal policy of member countries (regions) and the monetary authority. Each of the countries structures its fiscal policy (spending and taxes) with the interests of its citizens in mind. Ricardian equivalence does not hold due to the presence of monetary frictions, modeled here as reserve requirements. When capital markets art integrated, the fiscal policy of one country influences equilibrium wages and interest rates. Under certain rules, monetary policy may respond to the price variations induced by regional fiscal policies. Depending on the type of rule it adopts, interventions by the monetary authority affect the magnitude and nature of the spillover from regional fiscal policy.
Keywords: Monetary Union, inflation tax, seigniorage, monetary rules, public debt.
JEL: H30
  • Insulation Impossible : Fiscal Spillovers in a Monetary Union
Date: 2010-05
By: Russell Cooper (University of Texas – Department of Economics)
Hubert Kempf (EEP-PSE – Ecole d’Économie de Paris – Paris School of Economics – Ecole d’Économie de Paris, CES – Centre d’économie de la Sorbonne – CNRS : UMR8174 – Université Panthéon-Sorbonne – Paris I, Banque de France – Direction de la Recherche)
Dan Peled (University of Haifa – Department of Economics)
URL: http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-00497430_v1&r=mac
This paper studies the effects of monetary policy rules in a fiscal federation, such as the European Union. The focus of the analysis is the interaction between the fiscal policy of member countries (regions) and the monetary authority. Each of the countries structures its fiscal policy (spending and taxes) with the interests of its citizens in mind. Ricardian equivalence does not hold due to the presence of monetary frictions, modeled here as reserve requirements. When capital markets art integrated, the fiscal policy of one country influences equilibrium wages and interest rates. Under certain rules, monetary policy may respond to the price variations induced by regional fiscal policies. Depending on the type of rule it adopts, interventions by the monetary authority affect the magnitude and nature of the spillover from regional fiscal policy.
Keywords: Monetary union, inflation tax, seigniorage, monetary rules, public debt.
  • The financial market impact of quantitative easing
Date: 2010-07-12
By: Joyce, Michael (Bank of England)
Lasaosa, Ana (Bank of England)
Stevens , Ibrahim (Bank of England)
Tong, Matthew (Bank of England)
URL: http://d.repec.org/n?u=RePEc:boe:boeewp:0393&r=mac
As part of its response to the global banking crisis and a sharp downturn in domestic economic prospects, the Bank of England’s Monetary Policy Committee (MPC) began a programme of large-scale asset purchases (commonly referred to as quantitative easing or QE) in March 2009, with the aim of injecting additional money into the economy and so increasing nominal spending growth to a rate consistent with meeting the CPI inflation target in the medium term. By February 2010, the MPC had made £200 billion of purchases, most of which had been of UK government securities (gilts). Based on analysis of the reaction of financial market prices and econometric estimates, this paper attempts to assess the impact of the Bank’s QE policy on asset prices. Our estimates of the reaction of gilt prices to the programme suggest that QE may have depressed gilt yields by about 100 basis points. On balance the evidence seems to suggest that the largest part of the impact of QE came through a portfolio rebalancing channel. The wider impact on other asset prices is more difficult to disentangle from other influences: the initial impact was muted but the overall effects were potentially much larger, though subject to considerable uncertainty.
Keywords: QE; monetary policy; asset purchases; asset prices
JEL: E44
  • Nominal Uncertainty and Inflation: The Role of European Union Membership
Date: 2010
By: Kyriakos C. Neanidis
Christos S. Savva
URL: http://d.repec.org/n?u=RePEc:man:cgbcrp:146&r=mac
Using a GARCH model we provide evidence that higher inflation uncertainty leads to higher inflation in the new European Union (EU) member states and candidate countries only prior to EU accession. During EU accession and entry inflation uncertainty has no effect on mean inflation. This result supports the consideration of policy regime shifts in assessing the nominal uncertainty-average inflation relationship.
  • On the Optimal Adherence to Money Targets in a New-Keynesian Framework: An Application to Low-Income Countries
Date: 2010-06-04
By: D. Filiz Unsal
Rafael Portillo
Andrew Berg
URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:10/134&r=mac
Many low-income countries continue to describe their monetary policy framework in terms of targets on monetary aggregates. This contrasts with most modern discussions of monetary policy, and with most practice. We extend the new-Keynesian model to provide a role for “M†in the conduct of monetary policy, and examine the conditions under which some adherence to money targets is optimal. In the spirit of Poole (1970), this role is based on the incompleteness of information available to the central bank, a pervasive issues in these countries. Ex-ante announcements/forecasts for money growth are consistent with a Taylor rule for the relevant short-term interest rate. Ex-post, the policy maker must choose his relative adherence to interest rate and money growth targets. Drawing on the method in Svensson and Woodford (2004), we show that the optimal adherence to ex-ante targets is equivalent to a signal extraction pro blem where the central bank uses the money market information to update its estimate of the state of the economy. We estimate the model, using Bayesian methods, for Tanzania, Uganda (both de jure money targeters), and Ghana (a de jure inflation targeter), and compare the de facto adherence to targets with the optimal use of money market information in each country.
Keywords: Central bank policy , Cross country analysis , Economic models , Ghana , Low-income developing countries , Monetary aggregates , Monetary policy , Money , Tanzania , Uganda ,
  • Macroeconomic Uncertainty, Inflation and Growth: Regime-Dependent Effects in the G7
Date: 2010
By: Kyriakos C. Neanidis
Christos S. Savva
URL: http://d.repec.org/n?u=RePEc:man:cgbcrp:145&r=mac
We analyze the causal effects of real and nominal macroeconomic uncertainty on inflation and output growth and examine whether these effects vary with the level of inflation and location on the business cycle. Employing a bivariate Smooth Transition VAR GARCH-M model for the G7 countries during the period 1957- 2009, we find strong nonlinearities in these effects. First, uncertainty regarding the output growth rate is related with a higher average growth rate mostly in the low-growth regime, supporting the theory of “creative destruction”. Second, higher inflation uncertainty induces lower growth rates, increasingly so at the high-inflation regime. Third, real and nominal uncertainties have mixed effects on average inflation. Nevertheless, there is a trend in favour of the Cukierman- Meltzer hypothesis in the high-inflation regime. Our results can be viewed as offering an explanation for the often mixed and ambiguous findings in the literature.
  • The Transmission of Shocks to the Chinese Economy in a Global Context: A Model-Based Approach
Date: 2010
By: Jeannine Bailliu
Patrick Blagrave
URL: http://d.repec.org/n?u=RePEc:bca:bocawp:10-17&r=mac
To better understand the dynamics of the Chinese economy and its interaction with the global economy, the authors incorporate China into an existing model for the G-3 economies (i.e., the United States, the euro area, and Japan), paying particular attention to modelling the exchange rate and monetary policy in China. Their findings suggest that the Chinese economy adjusts more slowly to shocks, compared to the large advanced economies, because monetary policy is less effective and the real exchange rate more persistent. In addition, the authors’ model underscores the importance of spillovers from China to the G-3 economies, and vice versa, thus highlighting the need to analyze the Chinese economy in a global context.
Keywords: Economic models; International topics; Business fluctuations and cycles; Exchange rate regimes
JEL: E32
  • A New Approach to Analyzing Convergence and Synchronicity in Growth and Business Cycles: Cross Recurrence Plots and Quantification Analysis
Date: 2010-07
By: Crowley, Patrick
Aaron, Schultz
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:23728&r=mac
Convergence and synchronisation of business and growth cycles are important issues in the efficient formulation of euro area economic policies, and in particular European Central Bank (ECB) monetary policy. Although several studies in the economics literature address the issue of synchronicity of growth within the euro area, this is the first study to address this issue using cross-recurrence analysis. The main findings are that member state growth rates had largely converged before the introduction of the euro, but there is a wide degree of different synchronisation behaviours which appear non-linear in nature. Many of the euro area member states display what is termed here as « intermittency » in synchronization, although this is not consistent across countries or members of the euro area. These differences in synchronization behaviors could cause problems in future implementation of euro area monetary policy.
Keywords: Euro area; business cycles; growth cycles; recurrence plots; recurrence quantification analysis; non-stationarity; complex systems; surrogate analysis.
JEL: E32
  • The Importance of Commitment in the New Keynesian Model
Date: 2010-07
By: Jean-Paul Lam (Department of Economics, University of Waterloo)
URL: http://d.repec.org/n?u=RePEc:wat:wpaper:1008&r=mac
In the New Keynesian model, even if the central bank does not have an over-ambitious output target, policy under discretion leads to an inefficiency known as the stabilisation bias. In this paper, using a New Keynesian model, we explore and quantify how various uncertainties such as an information lag, a cost channel and multi-period data revisions affect the size of the stabilisation bias. When an information lag is introduced in an otherwise standard New Keynesian model, we find that the size of the stabilisation bias is considerably reduced. The presence of a cost-channel in the model, on the other hand, increases the stabilisation bias significantly. Finally, multi-period revisions to output and inflation, reduces the inefficiency associated with discretionary policy.
JEL: E52
  • The Impact of Banking Sector Stability on the Real Economy
Date: 2010-04-01
By: Monnin, Pierre (Swiss National Bank)
Jokipii, Terhi (Swiss National Bank)
URL: http://d.repec.org/n?u=RePEc:ris:snbwpa:2010_005&r=mac
This article studies the relationship between the degree of banking sector stability and the subsequent evolution of real output growth and inflation. Adopting a panel VAR methodology for a sample of 18 OECD countries, we find a positive link between banking sector stability and real output growth. This finding is predominantly driven by periods of instability rather than by very stable periods. In addition, we show that an unstable banking sector increases uncertainty about future output growth. No clear link between banking sector stability and inflation seems to exist. We then argue that the link between banking stability and real output growth can be used to improve output growth forecasts. Using Fed forecast errors, we show that banking sector stability (instability) results in a significant underestimation (overestimation) of GDP growth in the subsequent quarters.
Keywords: Banking sector stability; real output growth; output growth forecasts
JEL: E20
  • Financial Globalization, Financial Frictions and Optimal Monetary Policy.
Date: 2010-06
By: Ester Faia (Goethe University Frankfurt et CEPREMAP)
Eleni Iliopulos (Centre d’Economie de la Sorbonne – Paris School of Economice et CEPREMAP)
URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:10053&r=mac
How should monetary policy be optimally designed in an environment with high degrees of financial globalization ? To answer this question we lay down an open economy model where net lending toward the rest of the world is constrained by a collateral constraint motivated by limited enforcement. Borrowing is secured by collateral in the form of durable goods whose accumulation is subject to adjustment costs. We demonstrate that, although this economy can generate persistent current account deficits, it can also deliver a stationary equilibrium. The comparison between different monetary policy regimes (floating versus pegged) shows that the impossible trinity is reversed : a higher degree of financial globalization, by inducing more persistent and volatile current account deficits, calls for exchange rate stabilization. Finally, we study the design of optimal (Ramsey) monetary policy. In this environment the policy maker fac es the additional goal of stabilizing exchange rate movements, which exacerbate fluctuations in the wedges induced by the collateral constraint. In this context optimality requires deviations from price stability and calls for exchange rate stabilization.
Keywords: Global imabalances, collateral constraints, monetary regimes.
JEL: E52
  • Inflation Dynamics in Yemen: An Empirical Analysis
Date: 2010-06-15
By: Abdullah Almounsor
URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:10/144&r=mac
Yemen has had a high and volatile rate of inflation in recent years. This paper studies the underlying determinants of inflation dynamics in Yemen using three different approaches: (i) a single equation model, (ii) a Structural Vector Autoregression Model, and (iii) a Vector Error Correction Model. The outcomes suggest that inflation dynamics in Yemen are driven by international price shocks, exchange rate depreciation, domestic demand shocks, and monetary innovations. The impact of international prices and exchange rate depreciation indicate a significant pass-through of import prices. In the short run, external shocks of international prices and the exchange rate account for most variations in inflation, but domestic shocks to money supply and domestic demand explain larger variations in the medium term.
  • Asynchronous Business Cycles in the E.U.: the Effect of the Common Currency
Date: 2010-07-04
By: Gogas, Periklis (Democritus University of Thrace, Department of International Economic Relations and Development)
Kothroulas, George (Democritus University of Thrace, Department of International Economic Relations and Development)
URL: http://d.repec.org/n?u=RePEc:ris:duthrp:2010_004&r=mac
The purpose of this paper is to examine the effectiveness of the policies and procedures towards economic convergence between the countries that participated in the European Exchange Mechanism I and which are now members states of the Eurozone. The question posed is whether the introduction of the common currency has strengthened the synchronisation of the business cycles of the member states or it has acted as the monetary ground for the creation of a multi-speed Europe that includes economies that bear little resemblance in terms of their basic economic features and figures and especially with respect to the fluctuations in their Gross Domestic Product. The empirical analysis is done through the use of linear regressions, the estimation of the correlation coefficient, and also a proposed sign concordance index (SCI). The results provide evidence that the synchronisation of the cycles seems to become weaker since the ado ption of the new currency. Especially for G6, the group of the smaller regional economies, the results are consistent throughout all three methodologies used and for both groups of countries’ cycles used as a comparison base, the broad EU15 and the narrow G3.
Keywords: Business Cycle; Synchronisation; Eurozone
JEL: E32
  • The monetary origins of the financial and economic crisis
Date: 2010-03-11
By: Landais, Bernard
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:23769&r=mac
Abstract The monetary policy, especially the American one, can be blamed for the remote role (2002-2004) it played in the creation of the speculative bubble which led to a financial crisis. It also has a part of the responsibility through its restrictive direction during the 2004-2006 period; this time, a direction shared by other central banks. Finally, it is more immediately involved through its lack of clear-sightedness and responsiveness in the first months of the recession.
Keywords: Economic crisis; Financial crisis; Monetary Policy; Taylor Rule;Taylor gap; Interest Term Spread; Recession
  • Some Evidence on the Importance of Sticky Wages
By: Alessandro Barattieri (Boston College)
Susanto Basu (Boston College)
Peter Gottschalk (Boston College)
URL: http://d.repec.org/n?u=RePEc:boc:bocoec:740&r=mac
Nominal wage stickiness is an important component of recent medium-scale structural macroeconomic models, but to date there has been little microeconomic evidence supporting the as- sumption of sluggish nominal wage adjustment. We present evidence on the frequency of nominal wage adjustment using data from the Survey of Income and Program Participation (SIPP) for the period 1996-1999. The SIPP provides high-frequency information on wages, employment and demographic characteristics for a large and representative sample of the US population. The main results of the analysis are as follows. 1) After correcting for measurement error, wages appear to be very sticky. In the average quarter, the probability that an individual will experience a nominal wage change is between 5 and 18 percent, depending on the samples and assumptions used. 2) The frequency of wage adjustment does not display significant seasonal patterns. 3) There is little heterogeneity in the frequency of wage adjustment across industries and occupations 4) The hazard of a nominal wage change first increases and then decreases, with a peak at 12 months. 5) The probability of a wage change is positively correlated with the unemployment rate and with the consumer price inflation rate.
Keywords: Wage stickiness, micro-level evidence, measurement error
JEL: E24
  • The Euro-Project at Risk
Date: 2010-07-09
By: Hauskrecht, Andreas
Stuart, Bryan
Hankel, Wilhelm
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:23750&r=mac
In contrast to Robert Mundell‘s Optimum Currency Area theory and his recommendation of forming a monetary union, the economic fundamentals of Euro area member countries have not harmonized. The opposite holds: the Euro core countries – most of all Germany, but also the Netherlands and Finland – increased productivity growth while limiting nominal wage growth. However, Mediterranean countries – particularly Greece, but also Spain, Portugal, and Italy – have dramatically lost international competitiveness. Although the overall balance of payments for the Euro area at large is almost balanced, internal disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the stability of the monetary union. The findings confirm that a common currency without fiscal union is inherently unstable. The international financial and economic crisis has merely triggered events whi ch highlight this instability. The paper discusses three possible scenarios for the future of the Euro: a laissez faire approach, a bailout, and finally an exit strategy for the Mediterranean countries, or an organized exit by a group of core countries led by Germany, forming their own smaller monetary union.
Keywords: Optimum currency areas; monetary union; risk spreads; central banking; exchange rates; fiscal policy
JEL: E58
  • Fiscal Policy Issues in Korea after the Current Crisis
Date: 2010-07-02
By: Hong, Kiseok (Asian Development Bank Institute)
URL: http://d.repec.org/n?u=RePEc:ris:adbiwp:0225&r=mac
This paper examines fiscal policy issues in the Republic of Korea (hereafter Korea) after the 2009 global financial crisis, including the timing of fiscal policy responses, the effectiveness of expansionary measures, and the long-term implications for government debt. In order to evaluate more accurately Korea’s fiscal response since late 2008, this paper conducts an empirical analysis using historical data from Korea and other countries and derives stylized patterns on counter-cyclicality of fiscal policy and its role in the recovery process. The analysis suggests that Korea’s fiscal stimulus in 2009, while having contributed greatly to the economy’s fast recovery, was unusually large compared with typical fiscal responses during economic downturns. This paper also investigates whether the rapid increase in Korea’s fiscal debt burden is admissible in terms of long-term sustainability. Although existing evidence suggests that Korea’s fiscal debt is still manageable, the sizeable deficit and the increasing trend in the debt to GDP ratio in recent years call for vigilance. The paper concludes with some suggestions for fiscal consolidation in Korea: a stricter practice of medium-term budget planning, expansion of automatic stabilizers and reduction of discretionary components, use of more comprehensive measures of government debt, and further reforms in the national pension system are discussed.
Keywords: korean fiscal policy; korean government debt; korean economic recovery
JEL: E30
  • Current Account Imbalances in the Southern Euro Area
Date: 2010-06-11
By: Piyaporn Sodsriwiboon
Florence Jaumotte
URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:10/139&r=mac
The paper examines the causes, consequences, and potential cures of the large current account deficits in the Southern Euro Area (SEA). These were mostly driven by a decline in private saving rates. But it was the European Monetary Union and the Euro, which enabled these countries to maintain investment rates, and thus run larger current account deficits, by improving their access to the international pool of saving. The paper finds that the deficits in SEA in 2008 were larger than can be explained by fundamentals, though the situation varies substantially across countries. It also finds that although the global financial crisis has started to force some unwinding, the current account deficits are expected to remain high in the medium run, though again with substantial variation across countries. The paper argues these large external deficits pose risks to the economy and therefore matter, even in a currency union, and di scusses some policy options to reduce them.
  • Does Inflation Targeting decrease Exchange Rate Pass-through in Emerging Countries ?.
Date: 2010-05
By: Dramane Coulibaly (Centre d’Economie de la Sorbonne)
Hubert Kempf (Centre d’Economie de la Sorbonne – Paris School of Economics et Banque de France)
URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:10049&r=mac
In this paper, we empirically examine the effect of inflation targeting on the exchange rate pass-through to prices in emerging countries. We use a panel VAR that allows us to use the larger data set on twenty-seven emerging countries (fifteen inflation targeters and twelve inflation nontargeters). Our evidence suggests that inflation targeting in emerging countries has helped to reduce the pass-through to various price indexes (import prices, producer prices and consumer prices) from a higher level to a new level that is significantly different from zero. The variance decomposition shows that the contribution of exchange rate shocks to prices fluctuations is more important in emerging targeters compared to nontargeters, and the contribution of exchange rate shocks to price fluctuations in emerging targeters declines after adopting inflation targeting.
Keywords: Inflation targeting, exchange rate Pass-through, panel VAR.
JEL: E31
  • Does Inflation Targeting decrease Exchange Rate Pass-through in Emerging Countries ?
Date: 2010-05
By: Dramane Coulibaly (CES – Centre d’économie de la Sorbonne – CNRS : UMR8174 – Université Panthéon-Sorbonne – Paris I)
Hubert Kempf (CES – Centre d’économie de la Sorbonne – CNRS : UMR8174 – Université Panthéon-Sorbonne – Paris I, EEP-PSE – Ecole d’Économie de Paris – Paris School of Economics – Ecole d’Économie de Paris, Banque de France – Direction de la Recherche)
URL: http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-00497446_v1&r=mac
In this paper, we empirically examine the effect of inflation targeting on the exchange rate pass-through to prices in emerging countries. We use a panel VAR that allows us to use the larger data set on twenty-seven emerging countries (fifteen inflation targeters and twelve inflation nontargeters). Our evidence suggests that inflation targeting in emerging countries has helped to reduce the pass-through to various price indexes (import prices, producer prices and consumer prices) from a higher level to a new level that is significantly different from zero. The variance decomposition shows that the contribution of exchange rate shocks to prices fluctuations is more important in emerging targeters compared to nontargeters, and the contribution of exchange rate shocks to price fluctuations in emerging targeters declines after adopting inflation targeting.
Keywords: Inflation targeting, exchange rate pass-through, panel VAR.
  • The Potential Contribution of Fiscal Policy to Rebalancing and Growth in New Zealand
Date: 2010-05-26
By: Werner Schule
URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:10/128&r=mac
Simulations with the Fund’s GIMF model show that raising government savings in New Zealand permanently by 1 percent of GDP is likely to improve the current account balance by about ½ percent of GDP. The way government savings are achieved matters for GDP but little for the current account. However, results are sensitive to changes in the risk premium. Fiscally neutral changes in taxes and expenditures can raise output in the long run.
  • Forecasting Macroeconomic Aggregates
Date: 2010-01-28
By: Mayr, Johannes
URL: http://d.repec.org/n?u=RePEc:lmu:dissen:11140&r=mac
  • Uniform and Nonuniform Staggering of Wage Contracts
Date: 2010-06
By: Danziger, Leif (Ben Gurion University)
URL: http://d.repec.org/n?u=RePEc:iza:izadps:dp5023&r=mac
This paper provides a model that can account for the almost uniform staggering of wage contracts in some countries as well as for the markedly nonuniform staggering in others. In the model, short and long contracts as well as long contracts concluded in different periods are strategic substitutes, which provides a powerful rationale for staggering. We show that for realistic parameter values, there is a continuum of possible equilibria with various degrees of staggering of long contracts. If the contracting cost is not too large, then the lowest possible degree of staggering decreases with the contracting cost and increases with monetary uncertainty.
Keywords: uniform staggering, nonuniform staggering, monetary policy shocks, strategic substitutability, wage contracts, contract duration
JEL: E31
  • Financial shocks and macroeconomic policies during the Argentine crisis of 2001-2002
Date: 2010-07-05
By: Jose MOURELLE (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES) and Banco Central del Urugay)
URL: http://d.repec.org/n?u=RePEc:ctl:louvir:2010024&r=mac
The objective of this paper is analyse the determinants of the Argentine crisis of 2001-2002. In particular we analyse the role of macroeconomic policies during the crisis. The crisis coincided with a sudden stop of capital flows.We use a VAR model to better understand the shocks and mechanisms by which the crisis propagated throughout the economy. We find evidence that Argentine crisis was the consequence of an external financial shock, expressed by the increase in sovereign spread, amplified by local vulnerabilities. Fiscal policy, that faced financial restrictions, was tightened and the economy suffered additional contractionary fiscal shocks. The recession was exacerbated by a real exchange rate shock, that was appreciated. This result is the consequence of the rigid fixed exchange rate used by Argentina and the lack of coordination inside the Mercosur agreement where Brazil devaluate while Argentina not. Our analysis suggests the convenience of generate an institutional framework that allows a flexible use of fiscal and exchange rate policies to confront with adverse external shocks.
Keywords: crisis, Argentina, country risk, fixed exchange rates, procyclical fiscal policy
JEL: E32
  • Daytime is money
Date: 2010-01-31
By: Kraenzlin, Sébastien (Swiss National Bank)
Nellen, Thomas (Swiss National Bank)
URL: http://d.repec.org/n?u=RePEc:ris:snbwpa:2010_006&r=mac
Based on real-time trade data from the Swiss franc overnight interbank repo market and SIX Interbank Clearing (SIC) – the Swiss real-time gross settlement (RTGS) system – we are able to gain valuable insights on the daytime value of money and its determinants: First, an implicit hourly interbank interest rate can be derived from the intraday term structure of the overnight rate. We thereby provide evidence that an implicit intraday money market exists. Second, we show that after the introduction of the foreign exchange settlement system CLS the value of intraday liquidity has increased during the hours of the CLS settlement cycle. Third, the turnover as well as the liquidity in SIC influence the intraday rate correspondingly. These facts provide evidence for the cost of immediacy. Features like RTGS, delivery-versus-payment and payment-versus-payment substitute credit risk with liquidity risk which in turn increases t he value of intraday liquidity. The analysis is central bank policy relevant insofar as different designs of intraday liquidity facilities and different collateral policies result in different intraday term structures for the overnight money market.
Keywords: interbank money market; intraday credit; term structure
JEL: E58
  • Monetary Policy under the Classical Gold Standard (1870s – 1914)
Date: 2010-07
By: M Morys
URL: http://d.repec.org/n?u=RePEc:yor:cherry:10/01&r=mac
Drawing on monthly data for 12 European countries, this paper asks whether countries under the Classical Gold Standard followed the so-called “rules of the game” and, if so, whether the external constraint implied by these rules was more binding for the periphery than for the core. Our econometric focus is a probit estimation of the central bank discount rate behaviour. Three main findings emerge: First, all countries followed specific rules but rules were different for core countries as opposed to peripheral countries. The discount rate decisions of core countries were motivated by keeping the exchange-rate within the gold points. In stark contrast, the discount rate decisions of peripheral countries reflected changes in the domestic cover ratio. The main reason for the different rules was the limited effectiveness of the discount rate tool for peripheral countries which resulted in more frequent gold point violation s. Consequently, peripheral countries relied on high reserve levels and oriented their discount rate policy towards maintaining the reserve level. Second, there was a substantial amount of discretionary monetary policy left to all countries, even though we find that core countries enjoyed marginally more liberty in setting their discount rate than peripheral countries. Third, interest rate decisions were influenced more by Berlin than by London, suggesting that the European branch of the Classical Gold Standard was less London-centered than hitherto assumed.
Keywords: gold standard, rules of the game, balance-of-payment adjustment, central banking
  • The Credit Boom in the EU New Member States: Bad Luck or Bad Policies?
Date: 2010-05-28
By: Bas Berend Bakker
Anne Marie Gulde
URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:10/130&r=mac
In the past decade, most of the EU New Member States experienced a severe credit-boom bust cycle. This paper argues that the credit boom-bust cycle was to a large extent the result of factors external to the region (“bad luckâ€). Rapid credit growth followed from a high liquidity in global markets and the particular attractiveness of “new Europe†for capital flows, while the end of the credit cycle was brought about by a global crisis. However, the fact that some countries managed to avoid most of the excesses, including asset price bubbles and foreign exchange lending, suggests that policies and policy failures (“bad policiesâ€)—in particular overly expansionary macroeconomic settings and excessively optimistic views on prudential risks—also have played a critical role.
  • Revisiting Overborrowing and its Policy Implications
Date: 2010-07
By: Gianluca Benigno
Huigang Chen
Christopher Otrok
Alessandro Rebucci
Eric Young
URL: http://d.repec.org/n?u=RePEc:idb:wpaper:4676&r=mac
This paper analyzes quantitatively the extent to which there is overborrowing (i.e., inefficient borrowing) in a business cycle model for emerging market economies with production and an occasionally binding credit constraint. The main finding of the analysis is that overborrowing is not a robust feature of this class of model economies: it depends on the structure of the economy and its parametrization. Specifcally, underborrowing in a production economy is found with the baseline calibration, but overborrowing with more impatient agents and more volatile shocks. Endowment economies display overborrowing regardless of parameter values, but they do not allow for policy intervention when the constraint binds (in crisis times). Quantitatively, the welfare gains from implementing the constrained¬effcient allocation are always larger near crisis times than in normal ones. In production economies, they are one order of magnit ude larger than in endowment economies both in crisis and normal times. This suggests that the scope for economy¬widemacro¬prudential policy interventions (e.g., prudential taxation of capital flows and capital controls) is weak in this class of models.
Keywords: Bailouts, Financial Frictions, Macro Prudential Policies, Overborrowing
JEL: E52
  • VGR-Revisionen – Eine Fallgrube für Ökonomen?
Date: 2010
By: Dieter Bruemmerhoff (University of Rostock)
Michael Groemling (Institut der deutschen Wirtschaft Köln)
URL: http://d.repec.org/n?u=RePEc:ros:wpaper:116&r=mac
Im Rahmen der regelmäßigen Revisionen der Volkswirtschaftlichen Gesamtrechnungen (VGR) werden nicht nur die Daten am aktuellen Rand, sondern auch weit in die Vergangenheit zurückreichende Zeitreihen überarbeitet. Damit gehen regelmäßig Niveaueffekte, zum Beispiel ein höheres Bruttoinlandsprodukt, aber auch Struktureffekte und Auswirkungen auf die Veränderungsraten einher. Dies kann zu einer im Nachhinein veränderten Bewertung von konjunkturellen Wechsellagen und zum Verschwinden von stilisierten Fakten des Konjunkturzyklus führen. Wirtschaftswissenschaftliche Ergebnisse hängen damit auch von den zugrunde liegenden VGR-Zahlen ab.
Keywords: National Accounting, Income Distribution, Business Cycles
JEL: E01
  • Downward Wage Rigidities and Other Firms’ Responses to an Economic Slowdown: Evidence from a Survey of Colombian Firms
Date: 2010-07-05
By: Ana María Iregui B.
Ligia Alba Melo B.
María Teresa Ramírez G.
URL: http://d.repec.org/n?u=RePEc:col:000094:007195&r=mac
This paper uses a wage setting survey of 1,305 Colombian firms to explore the nature and sources of wage rigidities. This is the first study of a non-European emerging economy that uses evidence from a survey of firms to analyse this topic. The survey was carried out during the first half of 2009, when the Colombian economy was showing signs of a slowdown in economic activity and increasing unemployment. The sample is fully representative of the population under study. The results provide evidence of nominal and real downward wage rigidities in the country. The most important factor in not reducing base wages during an economic slowdown is to avoid the loss of more experienced and productive workers, which is related to the efficiency wage theory in its adverse selection version. In addition, ordered logit regressions were used to determine what factors are related to wage rigidities. The findings indicate that, in genera l, permanent contracts, workforce composition, labour intensity and the presence of collective agreements play an important role in explaining wage rigidities in the country.
  • Brain versus brawn: the realization of women’s comparative advantage
Date: 2010-07
By: Michelle Rendall
URL: http://d.repec.org/n?u=RePEc:zur:iewwpx:491&r=mac
This paper estimates how much of the post-World War II evolution in employment and average wages by gender can be explained by a model where changing labor demand requirements are the driving force. I argue that a large fraction of the original female employment and wage gaps in mid-century, and the subsequent shrinking of both gaps, can be explained by labor reallocation from brawn-intensive to brain-intensive jobs favoring women’s comparative advantage in brain over brawn. Thus, aggregate gender-specific employment and wage gap trends resulting from this labor reallocation are simulated in a general equilibrium model. This shift in production is able to explain: (1) about 79 percent of the rise in female labor force participation, (2) approximately 37 percent of the stagnation in the average female to male wage ratio from 1960 to 1980, and (3) about 83 percent of the closing wage gap between 1980 and 2005. In contrast, a counterfactual experiment, where agents cannot increase their innate brain abilities through education, fails to match the shape of the wage gap over time, resulting in a stagnant simulated wage gap from the 1960s onward.
Keywords: Technological progress, education, gender wage gap, labor demand/supply
JEL: E21
  • Management of International Capital Flows: The Indian Experience
Date: 2010-07
By: Sen Gupta, Abhijit
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:23747&r=mac
In this paper we devise quantitative techniques to analyze the management of foreign capital flows in India over the past three decades. The paper argues that India’s overall approach towards liberalization of the capital account can be characterized as gradualist and calibrated, whereby certain agents and flows have been accorded priority in the liberalization process, from the viewpoint of ensuring financial stability. A cross country analysis indicates that the calibrated approach has resulted in India being ranked towards the lower end of the spectrum in terms of capital account openness. We analyze the extant regulations governing different types of foreign capital flow, and highlight the evolution of various types of capital flows over the recent period. To evaluate Indian macroeconomic management in the face of capital flows, we quantify the various policy options under the classic problem of « impossible trinity ». We find that India, like other emerging markets, has also been confronted with the various alternatives under « impossible trinity » and has chosen to adopt an intermediate regime, juggling the objectives of monetary independence, exchange rate stability, and an open capital account as per the needs of the economy.
Keywords: Capital Flows; Impossible Trinity; Macroeconomic Management
JEL: E52
  • The Wage-Productivity Gap Revisited: Is the Labour Share Neutral to Employment?
Date: 2010-07
By: Marika Karanassou (Queen Mary, University of London and IZA)
Hector Sala (Universitat Autònoma de Barcelona and IZA)
URL: http://d.repec.org/n?u=RePEc:qmw:qmwecw:wp668&r=mac
This paper challenges the prevailing view of the neutrality of the labour income share to labour demand, and investigates its impact on the evolution of employment. Whilst maintaining the assumption of a unitary long-run elasticity of wages with respect to productivity, we demonstrate that productivity growth affects the labour share in the long run due to frictional growth (that is, the interplay of wage dynamics and productivity growth). In the light of this result, we consider a stylised labour demand equation and show that the labour share is a driving force of employment. We substantiate our analytical exposition by providing empirical models of wage setting and employment equations for France, Germany, Italy, Japan, Spain, the UK, and the US over the 1960-2008 period. Our findings show that the timevarying labour share of these countries has significantly influenced their employment trajectories across decades. This indicates that the evolution of the labour income share (or, equivalently, the wage-productivity gap) deserves the attention of policy makers.
Keywords: Wages, Productivity, Labour income share, Employment
JEL: E24
  • Fiscal Responsibility and Budget Management Bill 2000
Date: 2010
By: Shruti Rajagopalan
URL: http://d.repec.org/n?u=RePEc:ess:wpaper:id:2629&r=mac
The Fiscal Responsibility and Budget Management Bill 2003, the most recent attempt at controlling fiscal profligacy, has been passed in the Lok Sabha after a lot of debate. The FRBMB 2000 covers wide ground, has numerous angles, dimensions and levels to it. To assess the various measures in the FRBMB, it might be useful to divide its provisions into four categories — legal statutes, accounting stipulations, numerical targets and ceilings for deficit measures. The implementation of rules to cut spending and/or raise taxes when deficit targets (triggers) are reached, are also included in the measures. [Working Paper No. 0074]
Keywords: Fiscal Responsibility, Budget Management Bill, Lok Sabha, numerous angles, dimensions, levels,numerical targets, ceilings
  • Job Creation in Spain: Productivity Growth, Labour Market Reforms or both
Date: 2010-05
By: J. Andrés
J.E. Boscá
R. Doménech
J. Ferri
URL: http://d.repec.org/n?u=RePEc:bbv:wpaper:1013&r=mac
The benefits implied by changing the growth model are at the heart of the heated political and economic debate in Spain. Increases in productivity and the reallocation of employment towards more innovative sectors are defended as the panacea for most of the ills afflicting the Spanish economy. In this paper we use a DSGE model with price rigidities, and labour market search frictions a la Mortensen- Pissarides, to assess the effects of the change in the growth model on unemployment. In so doing, we assume that the vigorous demand shock which has been mostly responsible for recent economic growth in Spain will be successfully substituted by a productivity shock as the main driver of Spain‘s economic growth in the future. So we assume that we actually succeed in the so called « change in the growth model ». We show that whatever the benefits that this change might bring to the Spanish economy, the time span needed to br ing the unemployment rate down to the European average actually increases. We then analyze the impact of several reforms in the labour market and evaluate their interaction with the new growth model. We conclude that changes in the economic structure do not make labour reforms any less necessary, but rather the opposite if we want to shorten employment recovery significantly.
Keywords: productivity, labour market, general equilibrium.
JEL: E24
  • Dynamic provisioning: Some lessons from existing experiences
Date: 2010-05
By: Santiago Fernández de Lis
Alicia Garcia Herrero
URL: http://d.repec.org/n?u=RePEc:bbv:wpaper:1014&r=mac
After analyzing the different reasons why the financial system and also the regulatory framework induced procyclicality, this paper reviews the experiences of three countries which have introduced dynamic provisioning as a regulatory tool to limit procyclicality. The case of Spain—the country with the longest experience—is reviewed as well as those of Colombia having recently adopted dynamic provisioning. A number of policy lessons are drawn from that comparison.
Keywords: Financial Stability, banking regulation, dynamic provisioning, Spain, Peru
JEL: E32
  • Evaluating the Effects of Decoupled Payments under Output and Price Uncertainty
Date: 2010-03-29
By: Kotakou, Christina A.
Katranidis, Stelios D
URL: http://d.repec.org/n?u=RePEc:ags:aesc10:91753&r=mac
This paper examines the effects of decoupling policies on Greek cotton production under the hypothesis that producers face uncertainty about output price and quantity. Using our estimation results we simulate the effects on cotton production under four alternative policy scenarios: the âOldâ CAP regime (i.e. the policy practiced until 2005), the Mid Term Review regime, a fully decoupled policy regime and a free tradeno policy scenario. Our results indicate the decoupled payment will have two contradictious effects on risk aversion. Producers become less risk averse through the wealth effect but more risk averse because of the increased output variance. The overall result of these two effects depends on the degree of risk aversion by farmers. We found that when the degree of risk aversion is high the wealth effect is positive. However, in the case of low risk aversion and a wealth effect equal to zero the decoupled payme nts become production neutral.
Keywords: Common Agricultural Policy, decoupling, uncertainty, Agricultural and Food Policy, D21, Q18,
  • Rise of the service sector and female market work: Europe vs US
Date: 2010-07
By: Michelle Rendall
URL: http://d.repec.org/n?u=RePEc:zur:iewwpx:492&r=mac
Continental Europe has seen a smaller rise in formal female employment compared with the United States or the Nordic countries. Additionally, Continental Europe has a substantially smaller service sector. These facts coincide with job requirements shifting from physical strength to intellectual capacity. Given empirical evidence, this paper develops a model of endogenous technical change, where new ‘technologies’ can be invented to increase the productivity of brain-inputs. Two inputs, brain and brawn, are combined through CES production functions into services and industrial goods, with the production sector for goods requiring more brawn than brain. Households allocate time to working at home or the labor market, choose consumption of services and goods, and invest in new technologies. The key is households can produce a substitute for market services and women have, on average, less brawn than men, giving them a compar ative advantage with respect to staying home and working in the service sector. Therefore, an economy that does not facilitate the movement of women into the labor market, by imposing high taxes, causes service production to remain at home. This reduces technological innovation, pushing an economy into a self-reinforcing loop, where a small service sector feeds back into low total hours worked by women (and men), further depressing the service sector.
Keywords: Technological progress, sectoral labor allocation, cross-country differences, gender wage gap, labor demand/supply.
JEL: E21
  • Renovation of the Global Reserve Regime: Concepts and Proposals
Date: 2010-06
By: Peter B. Kenen (Princeton University)
URL: http://d.repec.org/n?u=RePEc:pri:cepsud:1227&r=mac
The subject of this paper is one about which I have written before, but this paper goes further than those published previously. It contemplates the gradual transformation of the global reserve regime by making the IMF’s quasi-currency, the SDR, the primary reserve asset of the international monetary system, which was the objective adopted when the SDR was introduced in 1969.
Keywords: foreign exchange, currency reserves
JEL: E42
  • Economic growth and the environment
Date: 2010-03
By: Everett, Tim
Ishwaran, Mallika
Ansaloni, Gian Paolo
Rubin, Alex
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:23585&r=mac
As the UK economy emerges from the downturn, attention is shifting to how best to return it to sustained and durable economic growth. But what does sustained and durable economic growth mean in the context of the natural environment? The UK and the global economy face significant environmental challenges, from averting dangerous climate change to halting biodiversity loss and protecting our ecosystems. There has been debate over whether it is possible to achieve economic growth whilst also tackling these challenges. This paper does not try to answer the question of what the sustainable level of economic growth might be, but instead examines the link between economic growth and the environment, and the role of environmental policy in managing the provision and use of natural assets. Many question the value of continued growth in GDP, given its limitations – including as a measure of wellbeing – and some evidence of its diminishing benefits within rich countries. However, it remains essential to support continued improvements in factors that affect people’s wellbeing, from health and employment to education and quality of life, and to help the government deliver on a range of policy objectives – economic, social, and environmental.
Keywords: Environmental policy: Natural Environment: Natural Capital: Growth: Sustainable Growth:
JEL: E62
  • Zu Migration und Strukturfonds im Binnenmarkt der EU
Date: 2010-01-06
By: Schmidt, Peter
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:23740&r=mac
As stated in the preamble of the founding Treaty of the European Economic Community (EEC) of 1957, the essential goal of European integration, is to improve the living and employment situation (usually measured in terms of per-capita GDP and unemployment rate) of EU citizens. From an economic perspective, this depends on the optimal allocation of scarce resources and production factors, as well as the distribution of the income earned with and through them. According to the neoclassical economic theory, allocative efficiency and thus an achievement of a welfare maximum, and an income convergence can only succeed in a common European Single Market without barriers to production factors, goods and services. The European economic policy obviously does not belief that the European Single Market is able to achieve these goals alone. The existing economic gap between the 27 member states of the EU with its 271 regions should be actively shaped by a European regional policy (notably the Structural Funds). In comparison to other domestic markets, e.g. the U.S., where regional policy plays a subordinate role, the EU is going a different way. It is noticeable in this context, that the internal mobility of U.S. citizens, who simply leave economically weak or declining regions, is significantly higher. Therefore, this paper attempts from a purely economic point of view to answer the question in which way the allocative and distributive objectives of European integration can be better achieved by the current European regional policy or by (more) internal mobility of EU citizens like in the USA? That is why at the beginning of the paper, the effects of migration on allocation and distribution in an integrated market are studied within the context of various economic theories. At the same time these theories are the general theoretical basis for regional policy, so that we can elaborate their implications for the European Single market, too. Subsequently, the current situat ion concerning European internal migration and the EU Structural Funds is presented. By comparing theory, the present situation and empirical findings regarding internal migration and European regional policy, the last chapter is analyzing if there is an empirically sound connection between the European regional policies on the one hand and internal migration on the other hand in terms of achieving the allocative and distributive goals of European integration. In the end we try to answer the question whether intra-European migration is either a threat, as in the context of all previous enlargements of the EU it was often considered, or even a precondition for an improved living and employment situation of the EU-citizens facing the European integration process. The answers to this question can deliver important implications for necessary changes in the EU’s regional policy and its structural funds.
Keywords: Migration; Structural Funds; European Integration
JEL: E62
  • Determinants of Economic Growth: Will Data Tell?
Date: 2010-05
By: Antonio Ciccone
Marek Jarocinski
URL: http://d.repec.org/n?u=RePEc:bbv:wpaper:1009&r=mac
Many factors inhibiting and facilitating economic growth have been suggested. Can agnostics rely on international income data to tell them which matter? We find that agnostic priors lead to conclusions that are sensitive to differences across available income estimates. For example, the PWT 6.2 revision of the 1960-96 income estimates in the PWT 6.1 leads to substantial changes regarding the role of government, international trade, demography, and geography. We conclude that margins of error in international income estimates appear too large for agnostic growth empirics.
Keywords: growth regressions, robust growth determinants, agnostic Bayesian econometrics
JEL: E01

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