This article discusses a form of fiscal monetization that produces losses in the central bank’s balance sheet, without a permanent increase in the money base. If an independent central bank acts as a long-sighted policymaker, an optimal helicopter monetary policy can be identified. At the same time, if the government in charge is made up of career-concerned politicians and citizens are heterogenous, then the policy mix will produce distributional effects, and conflicts between politicians and central bankers will be likely. Political pressures will arise and the helicopter money option will be less likely. The framework is applied in a discussion of the economics and politics of issuing COVID-19 perpetual bonds with the European Central Bank as the buyer.
{"title":"COVID-19 Helicopter Money, Monetary Policy and Central Bank Independence: Economics and Politics","authors":"D. Masciandaro","doi":"10.2139/ssrn.3583466","DOIUrl":"https://doi.org/10.2139/ssrn.3583466","url":null,"abstract":"This article discusses a form of fiscal monetization that produces losses in the central bank’s balance sheet, without a permanent increase in the money base. If an independent central bank acts as a long-sighted policymaker, an optimal helicopter monetary policy can be identified. At the same time, if the government in charge is made up of career-concerned politicians and citizens are heterogenous, then the policy mix will produce distributional effects, and conflicts between politicians and central bankers will be likely. Political pressures will arise and the helicopter money option will be less likely. The framework is applied in a discussion of the economics and politics of issuing COVID-19 perpetual bonds with the European Central Bank as the buyer.","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84226081","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The European Central Bank (ECB) is a special, even unique central bank. It is a central bank without a treasury by its side or a state behind it, just as the euro, Europe’s common currency that the ECB is tasked with guarding, is a ‘denationalised’ currency. The euro area is a rare exception to the global ‘one state, one currency’ rule. But the ECB is not the only central bank in the euro area. Rather, the ECB is designed as the headquarters (or perhaps ‘cockpit’) of the Eurosystem, the system of European central banks that also includes the national central banks (NCBs) of European Union (EU) member countries that have adopted the euro as their common currency. The euro has failed to deliver on its promises. While the euro area’s performance during the euro’s first decade was mediocre, things turned truly dismal when the global fi nancial crisis of 2007–2009 struck. In contrast to the rest of the world, which started to recover from the crisis in 2010, the euro area suffered a ‘double-dip’ recession. Only since 2013 has the euro currency union experienced a fragile, uneven and incomplete revival. This study evaluates the ECB’s unconventional monetary policies and its role as euro crisis manager under Mario Draghi’s presidency, exploring the options available for adding further monetary policy stimulus going forward. As the euro’s central bank guardian, the ECB has been a central force throughout the crisis and its aftermath. Many observers would argue that among the euro area authorities the ECB stands out as the most constructive. ECB president Mario Draghi’s famous ‘whatever it takes’ declaration in July 2012 stopped the escalating crisis and marked a critical turning point. As the euro area’s uneven growth slowed markedly in 2018–2019 and the recovery increasingly appeared at risk of unravelling, all eyes once again turned to the ECB to come up with another ‘whatever it takes’ attack-plan to restore the positive momentum and keep the recovery alive. The ECB duly delivered a fresh monetary stimulus programme in autumn 2019, prompting new controversies, especially in Germany. But how much ammunition does the ECB really have left? Will it be enough to restore sustainable growth and save the euro for good?
{"title":"Pushing the Limits: The European Central Bank’s Role in Restoring Sustainable Growth","authors":"Jörg Bibow","doi":"10.2139/ssrn.3559302","DOIUrl":"https://doi.org/10.2139/ssrn.3559302","url":null,"abstract":"The European Central Bank (ECB) is a special, even unique central bank. It is a central bank without a treasury by its side or a state behind it, just as the euro, Europe’s common currency that the ECB is tasked with guarding, is a ‘denationalised’ currency. The euro area is a rare exception to the global ‘one state, one currency’ rule. But the ECB is not the only central bank in the euro area. Rather, the ECB is designed as the headquarters (or perhaps ‘cockpit’) of the Eurosystem, the system of European central banks that also includes the national central banks (NCBs) of European Union (EU) member countries that have adopted the euro as their common currency. The euro has failed to deliver on its promises. While the euro area’s performance during the euro’s first decade was mediocre, things turned truly dismal when the global fi nancial crisis of 2007–2009 struck. In contrast to the rest of the world, which started to recover from the crisis in 2010, the euro area suffered a ‘double-dip’ recession. Only since 2013 has the euro currency union experienced a fragile, uneven and incomplete revival. This study evaluates the ECB’s unconventional monetary policies and its role as euro crisis manager under Mario Draghi’s presidency, exploring the options available for adding further monetary policy stimulus going forward. As the euro’s central bank guardian, the ECB has been a central force throughout the crisis and its aftermath. Many observers would argue that among the euro area authorities the ECB stands out as the most constructive. ECB president Mario Draghi’s famous ‘whatever it takes’ declaration in July 2012 stopped the escalating crisis and marked a critical turning point. As the euro area’s uneven growth slowed markedly in 2018–2019 and the recovery increasingly appeared at risk of unravelling, all eyes once again turned to the ECB to come up with another ‘whatever it takes’ attack-plan to restore the positive momentum and keep the recovery alive. The ECB duly delivered a fresh monetary stimulus programme in autumn 2019, prompting new controversies, especially in Germany. But how much ammunition does the ECB really have left? Will it be enough to restore sustainable growth and save the euro for good?","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"96 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74065179","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The growth of virtual, digital or crypto currencies has surged in the 21st Century. Accompanying that growth has been an increased level of awareness that Internet-related cyberassets have become critically important in the field of secured financing. There is no reason to believe that this trend will change any time soon. One of the problems financers face, however, is that while the pace of cyberasset-based financing accelerates, the law governing those transactions seems to fall further behind. This is especially the case with the use of virtual currencies as collateral. This paper attempts to identify and clarify some of the most fundamental legal doctrines that are likely to be most important to lenders operating in this field.The paper begins with a discussion of how virtual currencies could be classified for the purpose of creditors asserting claims to them. Assuming that they are personal property subject to Article 9, what attributes and characteristics of these assets are important for creditors to understand when they obtain security interests in them, perfect that interest, attempt to ensure priority, and enforce the interest upon the debtor’s default? Can virtual currencies qualify as “investment property” under Article 8, as “money” or a “deposit account” under Article 9, or are they by default placed in the catch-all category of “general intangibles” for Article 9 purposes? Because of the unique nature of these assets and their relatively new status as important business assets, the answers to these questions are not always clear. As more courts and legislatures decide issues related to the use of virtual currencies as collateral, we hope to find more clarity in the years to come.
{"title":"Security Interests in Virtual Currencies","authors":"James P. Nehf","doi":"10.2139/ssrn.3547540","DOIUrl":"https://doi.org/10.2139/ssrn.3547540","url":null,"abstract":"The growth of virtual, digital or crypto currencies has surged in the 21st Century. Accompanying that growth has been an increased level of awareness that Internet-related cyberassets have become critically important in the field of secured financing. There is no reason to believe that this trend will change any time soon. One of the problems financers face, however, is that while the pace of cyberasset-based financing accelerates, the law governing those transactions seems to fall further behind. This is especially the case with the use of virtual currencies as collateral. This paper attempts to identify and clarify some of the most fundamental legal doctrines that are likely to be most important to lenders operating in this field.The paper begins with a discussion of how virtual currencies could be classified for the purpose of creditors asserting claims to them. Assuming that they are personal property subject to Article 9, what attributes and characteristics of these assets are important for creditors to understand when they obtain security interests in them, perfect that interest, attempt to ensure priority, and enforce the interest upon the debtor’s default? Can virtual currencies qualify as “investment property” under Article 8, as “money” or a “deposit account” under Article 9, or are they by default placed in the catch-all category of “general intangibles” for Article 9 purposes? Because of the unique nature of these assets and their relatively new status as important business assets, the answers to these questions are not always clear. As more courts and legislatures decide issues related to the use of virtual currencies as collateral, we hope to find more clarity in the years to come.","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"952 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87444599","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper analyses the impact of the reclassification of the exchange rate regimes on the emerging economies. The factors that are taken into consideration are the economic growth, financial stability, inflation, trade and investment. To compare between the two phases a paired t-test was conducted which gave a mixed conclusion for different factors. It was seen that the reclassification was beneficial for some factors whereas in some cases it resulted in its decline.
{"title":"Comparison of Effects of Reclassification of Exchange Rate Regime between Poland and Indonesia","authors":"S. Saha, Nivedita Mandal, Rituparna Das","doi":"10.2139/ssrn.3545977","DOIUrl":"https://doi.org/10.2139/ssrn.3545977","url":null,"abstract":"This paper analyses the impact of the reclassification of the exchange rate regimes on the emerging economies. The factors that are taken into consideration are the economic growth, financial stability, inflation, trade and investment. To compare between the two phases a paired t-test was conducted which gave a mixed conclusion for different factors. It was seen that the reclassification was beneficial for some factors whereas in some cases it resulted in its decline.","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81875388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Diogo de Prince, Pedro L. Valls Pereira, Emerson Fernandes Marçal
We test forecast rationality for Brazilian inflation using Survey of Professional Forecasters (SPF) for each month. We consider panel data traditional tests as Mincer and Zarnowitz (1969) and West and McCracken (1998) to verify if forecast errors have zero mean and are uncorrelated with the forecasts for both databases. We also use time series traditional tests and Rossi and Sekhposyan (2016) test with their asymptotic critical values and alternatively we compare the results with finite sample adjusted distribution critical values of El-Shagi (2019). This work is the only one that uses the fluctuation rationality test with finite sample adjusted distribution critical values for forecast rationality besides El-Shagi (2019). We do not reject the null hypothesis of forecast rationality with restricted version with panel data. We reject this null hypothesis with traditional time series approach for the consensus inflation but we do not reject the null hypothesis using fluctuation rationality test of Rossi and Sekhposyan (2016). We obtain that there is bias in inflation forecasts in the easing and tightening periods of monetary policy or election periods with panel data. But we have that economic cycle and monetary policy do not affect the rationality test with panel data. The consensus forecast seems to neutralize the bias of individual forecasts when we test considering panel data and it reduces irrationality only for periods of recession, monetary policy tightening and without election.
{"title":"Are Professional Forecasters Rational? Evidence for Brazilian Dataset","authors":"Diogo de Prince, Pedro L. Valls Pereira, Emerson Fernandes Marçal","doi":"10.2139/ssrn.3545366","DOIUrl":"https://doi.org/10.2139/ssrn.3545366","url":null,"abstract":"We test forecast rationality for Brazilian inflation using Survey of Professional Forecasters (SPF) for each month. We consider panel data traditional tests as Mincer and Zarnowitz (1969) and West and McCracken (1998) to verify if forecast errors have zero mean and are uncorrelated with the forecasts for both databases. We also use time series traditional tests and Rossi and Sekhposyan (2016) test with their asymptotic critical values and alternatively we compare the results with finite sample adjusted distribution critical values of El-Shagi (2019). This work is the only one that uses the fluctuation rationality test with finite sample adjusted distribution critical values for forecast rationality besides El-Shagi (2019). We do not reject the null hypothesis of forecast rationality with restricted version with panel data. We reject this null hypothesis with traditional time series approach for the consensus inflation but we do not reject the null hypothesis using fluctuation rationality test of Rossi and Sekhposyan (2016). We obtain that there is bias in inflation forecasts in the easing and tightening periods of monetary policy or election periods with panel data. But we have that economic cycle and monetary policy do not affect the rationality test with panel data. The consensus forecast seems to neutralize the bias of individual forecasts when we test considering panel data and it reduces irrationality only for periods of recession, monetary policy tightening and without election.","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"54 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89058616","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This project postulates that an additional cost of increased inflation is an increase in the cross-sectional dispersion of household-level inflation rates. Using scanner data and the Consumer Expenditure Survey, I construct novel measures of household-level inflation and show that households experience inflation at very different rates. An increase in a household's personal inflation rate leads to a persistent increase in their price index. Households respond to a personal inflation shock by decreasing nominal consumption, which means that real consumption falls more than one-for-one; poor households are least able to smooth their consumption in response to household inflation shocks. I find that inflation dispersion (the variance of household inflation rates) increases with the level of absolute aggregate inflation. This relationship is robust across time, methodology, and data.
{"title":"Household Inflation and Aggregate Inflation","authors":"Jacob Orchard","doi":"10.2139/ssrn.3946684","DOIUrl":"https://doi.org/10.2139/ssrn.3946684","url":null,"abstract":"This project postulates that an additional cost of increased inflation is an increase in the cross-sectional dispersion of household-level inflation rates. Using scanner data and the Consumer Expenditure Survey, I construct novel measures of household-level inflation and show that households experience inflation at very different rates. An increase in a household's personal inflation rate leads to a persistent increase in their price index. Households respond to a personal inflation shock by decreasing nominal consumption, which means that real consumption falls more than one-for-one; poor households are least able to smooth their consumption in response to household inflation shocks. I find that inflation dispersion (the variance of household inflation rates) increases with the level of absolute aggregate inflation. This relationship is robust across time, methodology, and data.","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"170 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76988472","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Johannes Bersch, H. Degryse, Thomas K. Kick, Ingrid Stein
How does bank distress impact their customers' probability of default and trade credit availability? We address this question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance sheets. We find that a distressed bank bailout, which is subject to restructuring and deleveraging conditions, leads to a bank-induced increase of firms' probabilities of default. Moreover, bailouts tend to reduce trade credit availability and ultimately firms' sales. We further find that the direction and magnitude of the effects depends on firm quality and the relationship orientation of banks.
{"title":"The Real Effects of Bank Distress: Evidence from Bank Bailouts in Germany","authors":"Johannes Bersch, H. Degryse, Thomas K. Kick, Ingrid Stein","doi":"10.2139/ssrn.3472868","DOIUrl":"https://doi.org/10.2139/ssrn.3472868","url":null,"abstract":"How does bank distress impact their customers' probability of default and trade credit availability? We address this question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance sheets. We find that a distressed bank bailout, which is subject to restructuring and deleveraging conditions, leads to a bank-induced increase of firms' probabilities of default. Moreover, bailouts tend to reduce trade credit availability and ultimately firms' sales. We further find that the direction and magnitude of the effects depends on firm quality and the relationship orientation of banks.","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"39 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87119971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper analyzes the shocking episode of “2016 demonetization” in India. The policy declared 86% of cash in circulation in the form of INR 500 ($7.5) & INR 1000 ($15) notes as an illegal tender effective from midnight of November 8, 2016. However, the government of India gradually introduced new notes of INR 500 and INR 2000 ($30) over the next several months. This is considered as one of the biggest macroeconomic shocks that happened in a stable economic environment. Following the demonetization announcement, there was a rapid decline in the stock prices of cash-sensitive sectors like consumer goods and financial services, signaling a lower market expectation of a fall in demand. However, demonetization has affected purchasing power, which sharply declines the demand for various goods and services. Therefore, this paper focuses on the short-term impact of demonetization announcement on the stock price of 100 publicly listed firms in India using daily data. We use an estimation window that ranges from one week after the announcement to 60 days to capture the short-term announcement effect. Ordinary Least Square (OLS), Fixed Effect (FE), and Random Effect (RE) estimation techniques are used in this study. The results found that the announcement effect of demonetization sharply declines the stock prices of Indian firms. To control heterogeneous effect among the firms, this paper divides the firm into “Economic & Financial sectors” and “other sectors” and found that stock prices were severely affected by the demonetization announcement in the short-term.
{"title":"Did Demonetization Affect Indian Stock Market? A Short-Term Analysis","authors":"S. Raza, S. Munir","doi":"10.2139/ssrn.3522052","DOIUrl":"https://doi.org/10.2139/ssrn.3522052","url":null,"abstract":"This paper analyzes the shocking episode of “2016 demonetization” in India. The policy declared 86% of cash in circulation in the form of INR 500 ($7.5) & INR 1000 ($15) notes as an illegal tender effective from midnight of November 8, 2016. However, the government of India gradually introduced new notes of INR 500 and INR 2000 ($30) over the next several months. This is considered as one of the biggest macroeconomic shocks that happened in a stable economic environment. Following the demonetization announcement, there was a rapid decline in the stock prices of cash-sensitive sectors like consumer goods and financial services, signaling a lower market expectation of a fall in demand. However, demonetization has affected purchasing power, which sharply declines the demand for various goods and services. Therefore, this paper focuses on the short-term impact of demonetization announcement on the stock price of 100 publicly listed firms in India using daily data. We use an estimation window that ranges from one week after the announcement to 60 days to capture the short-term announcement effect. Ordinary Least Square (OLS), Fixed Effect (FE), and Random Effect (RE) estimation techniques are used in this study. The results found that the announcement effect of demonetization sharply declines the stock prices of Indian firms. To control heterogeneous effect among the firms, this paper divides the firm into “Economic & Financial sectors” and “other sectors” and found that stock prices were severely affected by the demonetization announcement in the short-term.","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90144200","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A. Bozhechkova, Elizaveta Dobronravova, A. Evseev, F. Iskhakova, Pavel Trunin
Russian Abstract: Настоящее исследование посвящено оценке степени жесткости цен производителей в российской экономике и выявлению особенностей реакции различных отраслей на шоки монетарной политики с учетом гетерогенности параметра жесткости. В первой части работы проведен обзор теоретических подходов к моделированию жесткости цен производителей, включая модели, в которых пересмотры цен зависят либо только от времени, либо только от состояния экономики, а также модели гибридного ценообразования.
English Abstract: In this paper we estimate the degree of producer price rigidity in the Russian economy and identify the response of various industries to monetary policy shocks, taking into account the heterogeneity of the rigidity parameter. The first part of the paper reviews theoretical approaches to modeling producer price rigidity, including models in which price revisions depend either only on time, or only on the state of the economy, as well as a hybrid pricing model.
{"title":"ВЛИЯНИЕ МОНЕТАРНОЙ ПОЛИТИКИ НА ИНВЕСТИЦИИ И ВЫПУСК В ОТРАСЛЯХ С РАЗЛИЧНОЙ ЖЕСТКОСТЬЮ ЦЕН (Impact of Monetary Policy on Investment and Issue in Industries With Different Price Rigidity)","authors":"A. Bozhechkova, Elizaveta Dobronravova, A. Evseev, F. Iskhakova, Pavel Trunin","doi":"10.2139/ssrn.3860125","DOIUrl":"https://doi.org/10.2139/ssrn.3860125","url":null,"abstract":"<b>Russian Abstract:</b> Настоящее исследование посвящено оценке степени жесткости цен производителей в российской экономике и выявлению особенностей реакции различных отраслей на шоки монетарной политики с учетом гетерогенности параметра жесткости. В первой части работы проведен обзор теоретических подходов к моделированию жесткости цен производителей, включая модели, в которых пересмотры цен зависят либо только от времени, либо только от состояния экономики, а также модели гибридного ценообразования. <br><br><b>English Abstract:</b> In this paper we estimate the degree of producer price rigidity in the Russian economy and identify the response of various industries to monetary policy shocks, taking into account the heterogeneity of the rigidity parameter. The first part of the paper reviews theoretical approaches to modeling producer price rigidity, including models in which price revisions depend either only on time, or only on the state of the economy, as well as a hybrid pricing model.<br>","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"4 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75559686","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Christopher Gust, Edward P. Herbst, D. López-Salido
We estimate a behavioral New Keynesian (NK) model in which households and firms plan over a finite horizon. The finite-horizon planning (FHP) model outperforms rational expectations versions of the NK model as well as other behavioral NK models. In the FHP model, households and firms are forward-looking in thinking about events over their planning horizon but are backward-looking regarding events beyond that point. This gives rise to substantial aggregate persistence without resorting to additional features such as habit persistence and price contracts indexed to lagged inflation. (JEL E12, E23, E31, E32, E52)
{"title":"Short-term Planning, Monetary Policy, and Macroeconomic Persistence","authors":"Christopher Gust, Edward P. Herbst, D. López-Salido","doi":"10.17016/feds.2020.003","DOIUrl":"https://doi.org/10.17016/feds.2020.003","url":null,"abstract":"We estimate a behavioral New Keynesian (NK) model in which households and firms plan over a finite horizon. The finite-horizon planning (FHP) model outperforms rational expectations versions of the NK model as well as other behavioral NK models. In the FHP model, households and firms are forward-looking in thinking about events over their planning horizon but are backward-looking regarding events beyond that point. This gives rise to substantial aggregate persistence without resorting to additional features such as habit persistence and price contracts indexed to lagged inflation. (JEL E12, E23, E31, E32, E52)","PeriodicalId":10548,"journal":{"name":"Comparative Political Economy: Monetary Policy eJournal","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87450880","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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