Macroeconomic Dynamics最新文献

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Monetary policy in advanced and emerging economies 发达经济体和新兴经济体的货币政策

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-04-04 DOI: 10.1017/s1365100524000105

Apostolos Serletis, Cosmas Dery

We are motivated by central bank responses to the rise in inflation in the aftermath of the coronavirus pandemic and investigate monetary policy behavior in advanced and emerging economies. We speak to the debate on whether the conduct of monetary policy in emerging economies is fundamentally different from that in advanced economies. We also address the issue of whether the common practice of using market rates (instead of policy rates) to proxy for the stance of monetary policy leads to different conclusions regarding the cyclicality of monetary policy in emerging economies. Using time series data for the G7 and EM7 countries, we show that the conventional wisdom that monetary policy in emerging economies is different from monetary policy in advanced economies still holds.

我们以冠状病毒大流行后中央银行对通货膨胀上升的反应为动机，调查了发达经济体和新兴经济体的货币政策行为。我们讨论了新兴经济体的货币政策行为是否与发达经济体的货币政策行为有本质区别。我们还探讨了使用市场利率（而非政策利率）来代表货币政策立场的常见做法是否会导致有关新兴经济体货币政策周期性的不同结论。利用 G7 和 EM7 国家的时间序列数据，我们表明新兴经济体的货币政策不同于发达经济体的货币政策这一传统观点仍然成立。

引用次数: 0

Embodied technological progress, heterogeneous multiworker firms, and unemployment 体现技术进步、异质多工人企业和失业问题

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-04-04 DOI: 10.1017/s1365100524000130

Kosho Tanaka

This paper studies the impact of technological progress on unemployment in a search-matching model with heterogeneous multiworker firms. In the model, some firms continue to reap rewards from new technologies over time and contribute to job creation, while other firms obsolesce and reduce their employment. Thus, the model captures an endogenous change in the aggregate composition of firms (the firm-composition effect). Considering this effect along with the two canonical effects—the capitalization and creative-destruction effects—I examine the importance of each through a simulation. The results show that the firm-composition effect explains almost all the variation in unemployment in the model, mainly through shrinking the number of obsolescing firms relative to surviving firms and increasing the aggregate technology adoption rate when technology progresses rapidly.

本文在一个具有异质性多工人企业的搜索匹配模型中研究了技术进步对失业的影响。在该模型中，一些企业随着时间的推移继续从新技术中获得回报，并为创造就业做出贡献，而另一些企业则逐渐衰退，并减少了就业。因此，该模型捕捉到了企业总体构成的内生变化（企业构成效应）。考虑到这一效应以及两种典型效应--资本化效应和创造性破坏效应--我通过模拟研究了每种效应的重要性。结果表明，企业构成效应几乎可以解释模型中失业率的所有变化，主要是通过减少相对于存活企业的淘汰企业数量，以及在技术快速进步时提高总体技术采用率。

引用次数: 0

Bankruptcy law as an alternative to fiscal policy in a Woodford model with a productivity shock 在生产率冲击的伍德福德模型中以破产法替代财政政策

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-04-02 DOI: 10.1017/s1365100524000099

Aloísio Araújo, Vitor Costa

We show that trade credit contracts between sectors can provide a useful alternative to fiscal transfers during a major productivity shock. Defaults in credit contracts function as transfers between sectors, which can be implemented through a bankruptcy law or through credit renegotiation. Transfers implemented through defaults allow for a reduction in the size of the fiscal policy that restores the economy to the optimal allocation, constituting a relevant alternative to economies without an available fiscal space to implement the optimal policy.

我们的研究表明，在生产力受到重大冲击时，部门间的贸易信贷合同可以替代财政转移支付。信贷合同违约具有部门间转移的功能，可以通过破产法或信贷重新谈判来实施。通过违约实施的转移可以减少财政政策的规模，从而使经济恢复到最优配置，这对于没有可用财政空间来实施最优政策的经济体来说是一个相关的替代方案。

引用次数: 0

Does household debt affect the size of the fiscal multiplier? 家庭债务是否会影响财政乘数的大小？

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-03-05 DOI: 10.1017/s1365100524000075

Juan Zurita

Does household debt affect the size of the fiscal multiplier? We investigate the effects of household debt on government spending multipliers using a smooth transition vector autoregression model. Through generalized impulse response functions, we measure whether the effect of government spending on GDP is conditioned by different levels of household debt in Australia, Sweden, and Norway, three countries with high levels of household indebtedness, and in the world’s seven largest economies. Our results indicate that the short-term effects of government spending tend to be higher if fiscal expansion takes place during periods of low household debt. On average, the fiscal multiplier (on impact) is 0.70, 0.61, and 0.79 (percent of GDP) larger when the increase in government spending takes place during periods of low household debt for Australia, Norway, and the United States.

家庭债务会影响财政乘数的大小吗？我们利用平稳过渡向量自回归模型研究了家庭债务对政府支出乘数的影响。通过广义脉冲响应函数，我们测算了在澳大利亚、瑞典和挪威这三个家庭负债水平较高的国家以及世界七大经济体中，政府支出对国内生产总值的影响是否受不同家庭债务水平的制约。我们的研究结果表明，如果财政扩张发生在家庭债务水平较低的时期，政府支出的短期效应往往会更高。在澳大利亚、挪威和美国，如果政府支出的增加发生在家庭债务较低的时期，财政乘数（影响）平均分别为 0.70、0.61 和 0.79（占国内生产总值的百分比）。

引用次数: 0

The credit-augmented Divisia aggregates and the monetary business cycle 信贷增量的迪维亚总量与货币商业周期

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-03-05 DOI: 10.1017/s1365100523000627

Apostolos Serletis, Libo Xu

We follow Belongia and Ireland (2021) and investigate the role that the Center for Financial Stability credit card-augmented Divisia monetary aggregates could play in monetary policy and business cycle analysis. We use Bayesian methods to estimate a structural VAR under priors that reflect Keynesian channels of monetary transmission, but produce posterior distributions for the structural parameters consistent with classical channels. We also find that valuable information is contained in the credit-augmented Divisia monetary aggregates and that they perform even better than the conventional Divisia aggregates, in terms of highlighting the role of the money supply in aggregate demand.

我们效仿 Belongia 和 Ireland（2021 年），研究了金融稳定中心的信用卡增强 Divisia 货币总量在货币政策和商业周期分析中可能发挥的作用。我们使用贝叶斯方法在反映凯恩斯货币传导渠道的先验条件下估计结构性 VAR，但得出的结构参数后验分布与经典渠道一致。我们还发现，在突出货币供应在总需求中的作用方面，信贷增强的 Divisia 货币总量包含了有价值的信息，其表现甚至优于传统的 Divisia 总量。

引用次数: 0

New evidence on US monetary policy activism and the Taylor rule 关于美国货币政策激进主义和泰勒规则的新证据

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-02-29 DOI: 10.1017/s136510052400004x

Chew Lian Chua, Sarantis Tsiaplias

We provide new evidence about US monetary policy using a model that: (i) estimates time-varying monetary policy weights without relying on stylized theoretical assumptions; (ii) allows for endogenous breakdowns in the relationship between interest rates, inflation, and output; and (iii) generates a unique measure of monetary policy activism that accounts for economic instability. The joint incorporation of endogenous time-varying uncertainty about the monetary policy parameters and the stability of the relationship between interest rates, inflation, and output materially reduces the probability of determinate monetary policy. The average probability of determinacy over the period post-1982 to 1997 is below 60% (hence well below seminal estimates of determinacy probabilities that are close to unity). Post-1990, the average probability of determinacy is 75%, falling to approximately 60% when we allow for typical levels of trend inflation.

我们利用一个模型提供了有关美国货币政策的新证据：(i)估计随时间变化的货币政策权重，而不依赖于风格化的理论假设；(ii)允许利率、通胀和产出之间关系的内生分解；以及(iii)生成一个独特的货币政策积极性衡量标准，以说明经济的不稳定性。货币政策参数的内生时变不确定性以及利率、通货膨胀和产出之间关系的稳定性共同降低了确定性货币政策的概率。1982 年后至 1997 年期间，确定性的平均概率低于 60%（因此远低于对接近统一的确定性概率的开创性估计）。1990 年后，确定性的平均概率为 75%，如果考虑到典型的趋势通胀水平，则下降到约 60%。

引用次数: 0

Unionization, industry concentration, and economic growth 工会化、产业集中度和经济增长

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-02-29 DOI: 10.1017/s1365100524000063

Colin Davis, Ken-ichi Hashimoto, Ken Tabata

This paper examines how unionization affects economic growth through its impact on industry concentration in a two-country model of international trade and endogenous productivity growth. Knowledge spillovers link firm-level productivity in innovation with geographic patterns of industry ensuring a faster rate of output growth when industry is relatively concentrated in the country with the greater labor supply. We show that stronger bargaining power in the relatively large country increases the rate of output growth when labor unions are employment-oriented but decreases the rate of growth when unions are wage-oriented. We then calibrate the model using labor market data for the United Kingdom and France and study the effects of union bargaining power on industry location patterns, output growth, and national welfare.

本文在一个国际贸易和内生生产力增长的两国模型中，研究了工会化如何通过对产业集中度的影响来影响经济增长。当产业相对集中于劳动力供给较多的国家时，知识溢出效应会将企业层面的创新生产力与产业的地理格局联系起来，从而确保更快的产出增长率。我们的研究表明，当工会以就业为导向时，相对大国较强的谈判能力会提高产出增长率，而当工会以工资为导向时，则会降低产出增长率。然后，我们利用英国和法国的劳动力市场数据对模型进行了校准，并研究了工会议价能力对产业选址模式、产出增长和国民福利的影响。

引用次数: 0

Expectation formation and the Phillips curve revisited 再论预期形成和菲利普斯曲线

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-02-28 DOI: 10.1017/s1365100524000051

Robert L. Czudaj

This paper studies expectation formation of professional forecasters in the context of the Phillips curve. We assess whether professionals form their expectations regarding inflation and unemployment consistent with the Phillips curve based on individual forecast data taken from the ECB Survey of Professional Forecasters. We consider expectations over different horizons and do not restrict the analysis to point forecasts but we also take the information inherent in density forecasts into account. We explicitly consider the role of anchoring of inflation expectations as potential source of nonlinearity, and we also assess whether the Phillips curve relation translates to a link between uncertainty regarding inflation and unemployment. Our findings show that professionals tend to build their expectations in line with the Phillips curve but this is only observed for expectations made for shorter horizons. For longer horizons, the Phillips curve connection is much weaker. This relationship also depends on the degree of anchoring and results in a connection between uncertainty regarding future inflation and unemployment.

本文研究了菲利普斯曲线背景下专业预测者的预期形成。我们根据欧洲央行专业预测者调查中的个人预测数据，评估专业预测者对通货膨胀和失业率的预期是否与菲利普斯曲线一致。我们考虑了不同时间跨度的预期，分析并不局限于点预测，还考虑了密度预测的内在信息。我们明确考虑了通胀预期锚定作为非线性潜在来源的作用，我们还评估了菲利普斯曲线关系是否转化为通胀和失业不确定性之间的联系。我们的研究结果表明，专业人士倾向于根据菲利普斯曲线来建立他们的预期，但这只适用于较短期的预期。对于较长期限的预期，菲利普斯曲线的联系要弱得多。这种关系还取决于锚定程度，并导致未来通胀的不确定性与失业率之间的联系。

引用次数: 0

Inter-industry trade and business cycle dynamics 产业间贸易和商业周期动态

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-02-20 DOI: 10.1017/s1365100524000014

Wolfgang Lechthaler, Mariya Mileva

Motivated by the increased importance of trade between industrialized and less-developed countries, we build a two-sector dynamic stochastic general equilibrium model featuring inter-industry trade as well as intra-industry trade to analyze the business cycle dynamics of industrialized countries. We find that import-competing sectors are more sensitive to domestic productivity shocks than exporting sectors, due to their stronger reliance on domestic demand. This generates pressure to adjust relative prices and to reallocate factors of production. It also propagates the international spillover effects of productivity shocks leading to stronger business cycle comovement across countries, relative to a traditional business cycle model that does not feature inter-industry trade.

由于工业化国家与欠发达国家之间的贸易日益重要，我们建立了一个以产业间贸易和产业内贸易为特征的双部门动态随机一般均衡模型，以分析工业化国家的商业周期动态。我们发现，与出口部门相比，进口竞争部门由于更依赖国内需求，对国内生产率冲击更为敏感。这就产生了调整相对价格和重新分配生产要素的压力。与不以行业间贸易为特征的传统商业周期模型相比，它还传播了生产率冲击的国际溢出效应，导致各国间商业周期的更强关联性。

引用次数: 0

A note on the neutrality of interest rates 关于利率中性的说明

IF 0.9 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics

Pub Date : 2024-02-14 DOI: 10.1017/s1365100524000026

Apostolos Serletis, Libo Xu

We test the neutrality of nominal interest rates taking advantage of recent advances in quantitative financial history using the Schmelzing (2022) global nominal interest rate and inflation rate series (across eight centuries), for France, Germany, Holland, Italy, Japan, Spain, the United Kingdom, and the USA. We pay attention to the integration and cointegration properties of the variables and use the bivariate autoregressive methodology proposed by King and Watson (1997). We argue that meaningful long-run neutrality tests can be performed only for three countries—Japan, Spain, and the United Kingdom—and we find no evidence consistent with the neutrality of nominal interest rates.

我们利用定量金融史的最新进展，使用 Schmelzing（2022 年）的全球名义利率和通货膨胀率序列（跨越八个世纪），对法国、德国、荷兰、意大利、日本、西班牙、英国和美国的名义利率中性进行了检验。我们关注变量的整合和协整特性，并使用 King 和 Watson（1997 年）提出的二元自回归方法。我们认为，只有日本、西班牙和英国这三个国家可以进行有意义的长期中性检验，而且我们没有发现与名义利率中性一致的证据。

引用次数: 0

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