首页 > 最新文献

The B.E. Journal of Macroeconomics最新文献

英文 中文
The New Keynesian Phillips Curve and Imperfect Exchange Rate Pass-Through 新凯恩斯菲利普斯曲线与不完全汇率传递
Pub Date : 2022-12-02 DOI: 10.1515/bejm-2022-0032
Syed Kanwar Abbas
Abstract This paper estimates the New Keynesian Phillips Curve (NKPC) with imperfect exchange rate pass-through (alternatively, deviations from the law of one price). Our results describe the nature of inflation dynamics and business cycles under imperfect pass-through, with importance of both domestic price rigidity and import price rigidity for the US and other four open economies. The estimates of structural parameters of the import price and domestic price rigidities are not same and affect inflation-output gap elasticity and inflation-law of one price gap elasticity. The results yield implications for the stabilisation of real activity (also domestic inflation) compared to the deviations from the law of one price.
摘要本文估计了不完全汇率传递(即偏离一价定律)条件下的新凯恩斯菲利普斯曲线。我们的研究结果描述了不完全传递下的通胀动态和商业周期的性质,以及国内价格刚性和进口价格刚性对美国和其他四个开放经济体的重要性。进口价格和国内价格刚性的结构参数估计不相同,影响通货膨胀-产出缺口弹性和通货膨胀-单价格缺口弹性规律。与偏离单一价格规律相比,结果对实际活动(以及国内通胀)的稳定产生了影响。
{"title":"The New Keynesian Phillips Curve and Imperfect Exchange Rate Pass-Through","authors":"Syed Kanwar Abbas","doi":"10.1515/bejm-2022-0032","DOIUrl":"https://doi.org/10.1515/bejm-2022-0032","url":null,"abstract":"Abstract This paper estimates the New Keynesian Phillips Curve (NKPC) with imperfect exchange rate pass-through (alternatively, deviations from the law of one price). Our results describe the nature of inflation dynamics and business cycles under imperfect pass-through, with importance of both domestic price rigidity and import price rigidity for the US and other four open economies. The estimates of structural parameters of the import price and domestic price rigidities are not same and affect inflation-output gap elasticity and inflation-law of one price gap elasticity. The results yield implications for the stabilisation of real activity (also domestic inflation) compared to the deviations from the law of one price.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130213893","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}
引用次数: 0
The Welfare Effects of Social Insurance Reform in the Presence of Intergenerational Transfers 代际转移存在下社会保险改革的福利效应
Pub Date : 2022-11-18 DOI: 10.2139/ssrn.3890572
Jingjing Xu
Abstract Family support in the form of intergenerational transfers could serve as a substitute for the public transfer system, especially when the public safety net is weak. These intergenerational transfers could be impacted by changes in public insurance. Conversely, induced changes in family transfers could also impact the effectiveness of a public insurance program. What is the impact of social insurance reform on household welfare in the context of intergenerational transfers? This paper investigates this question by using an overlapping generations general equilibrium model where parents and their children are linked by intergenerational transfers. In the model, individuals differ in earnings ability and face idiosyncratic uninsurable income risk, health risk, and mortality risk. This paper calibrates the model to key features in the urban Chinese economy. Using this calibrated model, this paper finds that households on average experience a welfare gain from an increase in the social insurance benefits but that this effect differs across households conditional on their economic status. This paper then provides a decomposition of these welfare changes into three channels: a direct policy channel, an intergenerational-transfers channel, and a general equilibrium channel.
代际转移形式的家庭支持可以替代公共转移制度,特别是在公共安全网薄弱的情况下。这些代际转移可能受到公共保险变化的影响。相反,引起家庭转移的变化也可能影响公共保险计划的有效性。在代际转移背景下,社会保险改革对家庭福利的影响是什么?本文利用代际转移将父母及其子女联系在一起的代际重叠一般均衡模型来研究这一问题。在模型中,个体在盈利能力上存在差异,面临着特殊的不可保收入风险、健康风险和死亡风险。本文根据中国城市经济的主要特征对模型进行了校正。利用这一校准模型,本文发现,平均而言,家庭从社会保险福利的增加中获得了福利收益,但这种影响因家庭的经济状况而异。然后,本文将这些福利变化分解为三个渠道:直接政策渠道、代际转移渠道和一般均衡渠道。
{"title":"The Welfare Effects of Social Insurance Reform in the Presence of Intergenerational Transfers","authors":"Jingjing Xu","doi":"10.2139/ssrn.3890572","DOIUrl":"https://doi.org/10.2139/ssrn.3890572","url":null,"abstract":"Abstract Family support in the form of intergenerational transfers could serve as a substitute for the public transfer system, especially when the public safety net is weak. These intergenerational transfers could be impacted by changes in public insurance. Conversely, induced changes in family transfers could also impact the effectiveness of a public insurance program. What is the impact of social insurance reform on household welfare in the context of intergenerational transfers? This paper investigates this question by using an overlapping generations general equilibrium model where parents and their children are linked by intergenerational transfers. In the model, individuals differ in earnings ability and face idiosyncratic uninsurable income risk, health risk, and mortality risk. This paper calibrates the model to key features in the urban Chinese economy. Using this calibrated model, this paper finds that households on average experience a welfare gain from an increase in the social insurance benefits but that this effect differs across households conditional on their economic status. This paper then provides a decomposition of these welfare changes into three channels: a direct policy channel, an intergenerational-transfers channel, and a general equilibrium channel.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131802207","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}
引用次数: 1
Intergenerational Linkages, Uncertain Lifetime and Educational and Health Expenditures 代际联系、不确定的寿命以及教育和卫生支出
Pub Date : 2022-11-17 DOI: 10.1515/bejm-2021-0095
S. Gamlath, Radhika Lahiri
Abstract Empirical evidence suggests a positive correlation between health and educational outcomes at the aggregate level. However, both inter and intra-country data suggest that these variables may not always be monotonically increasing in income, pointing towards household income as a possible mitigating factor in the relationship between health and education expenditures and outcomes. We develop an overlapping generations model where agents spend their childhood studying, undertake expenditures to educate their offspring and health expenditures to improve their own longevity in adult age, and spend old age in retirement. Our model is characterised by two equilibria. In one equilibrium, longevity enhancing health expenditure is an inferior good, resulting in agents substituting health expenditures in favour of education expenditures on offspring as their income increases. In the other equilibrium, health expenditure is a normal good, but for incomes below a certain level, an increase in income causes agents to raise health expenditures whilst lowering education expenditures on offspring, while for incomes above this level all expenditures are increasing in income. These results suggest that the relationship between parental longevity and offspring’s human capital depends on income and whether agents consider longevity enhancing health expenditure to be an inferior or normal good. Dynamics of the model show that the economy could either achieve unbounded growth or converge towards a lower bound of income in the long run.
摘要经验证据表明,总体上健康与教育成果之间存在正相关关系。然而,国家间和国家内部的数据都表明,这些变量可能并不总是收入单调增加,这表明家庭收入可能是保健和教育支出与结果之间关系的缓解因素。我们建立了一个代际重叠模型,在该模型中,代理人将童年用于学习,承担教育后代的支出和成年后提高自己寿命的医疗支出,并在退休时度过老年。我们的模型以两个均衡为特征。在一种均衡中,提高寿命的保健支出是一种劣等商品,导致代理人随着收入的增加而将保健支出代之以子女的教育支出。在另一均衡中,卫生支出是一种正常商品,但对于低于某一水平的收入,收入的增加导致代理人提高卫生支出,同时降低对子女的教育支出,而对于高于这一水平的收入,所有支出都在收入中增加。这些结果表明,父母寿命与后代人力资本之间的关系取决于收入,以及代理人是否认为长寿促进健康支出是一种劣等还是正常的商品。该模型的动态表明,从长期来看,经济要么实现无限增长,要么向收入的下限收敛。
{"title":"Intergenerational Linkages, Uncertain Lifetime and Educational and Health Expenditures","authors":"S. Gamlath, Radhika Lahiri","doi":"10.1515/bejm-2021-0095","DOIUrl":"https://doi.org/10.1515/bejm-2021-0095","url":null,"abstract":"Abstract Empirical evidence suggests a positive correlation between health and educational outcomes at the aggregate level. However, both inter and intra-country data suggest that these variables may not always be monotonically increasing in income, pointing towards household income as a possible mitigating factor in the relationship between health and education expenditures and outcomes. We develop an overlapping generations model where agents spend their childhood studying, undertake expenditures to educate their offspring and health expenditures to improve their own longevity in adult age, and spend old age in retirement. Our model is characterised by two equilibria. In one equilibrium, longevity enhancing health expenditure is an inferior good, resulting in agents substituting health expenditures in favour of education expenditures on offspring as their income increases. In the other equilibrium, health expenditure is a normal good, but for incomes below a certain level, an increase in income causes agents to raise health expenditures whilst lowering education expenditures on offspring, while for incomes above this level all expenditures are increasing in income. These results suggest that the relationship between parental longevity and offspring’s human capital depends on income and whether agents consider longevity enhancing health expenditure to be an inferior or normal good. Dynamics of the model show that the economy could either achieve unbounded growth or converge towards a lower bound of income in the long run.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115529115","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}
引用次数: 0
Forward Guidance Effectiveness in a New Keynesian Model with Housing Frictions 考虑住房摩擦的新凯恩斯模型的前瞻指导有效性
Pub Date : 2022-11-09 DOI: 10.1515/bejm-2021-0197
Stephen J. Cole, Sungjun Huh
Abstract Housing markets are closely related to monetary policy. This paper studies the link between housing frictions and the effectiveness of forward guidance. A housing collateral constraint and forward guidance shocks are incorporated into a standard medium-scale New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model. Our main results produce a number of important implications. First, financial frictions emanating from the housing market dampen the effectiveness of forward guidance on the economy. Second, forward guidance shocks generate welfare gains, though the magnitude of these gains declines when housing frictions increase. Housing frictions also attenuate the effect of forward guidance at the zero lower bound. Finally, this article provides a solution to “forward guidance puzzle” of Del Negro, M., M. P. Giannoni, and C. Patterson (2012. “The Forward Guidance Puzzle.” In FRB of New York Staff Report, 574). Thus, policymakers should consider housing frictions when examining the effects of forward guidance on the economy.
房地产市场与货币政策密切相关。本文研究了房屋摩擦与前瞻指导有效性之间的关系。住房抵押约束和前瞻指导冲击被纳入标准的中等规模新凯恩斯主义动态随机一般均衡(DSGE)模型。我们的主要结果产生了一些重要的含义。首先,房地产市场产生的金融摩擦削弱了经济前瞻性指引的有效性。其次,前瞻指引冲击会产生福利收益,尽管当住房摩擦增加时,这些收益的幅度会下降。住房摩擦也减弱了零利率下限前瞻指引的效果。最后,本文对Del Negro、M.、M. P. Giannoni和C. Patterson(2012)提出的“前向制导难题”提供了一个解决方案。“前瞻指引谜题。”见FRB纽约工作人员报告,第574页)。因此,政策制定者在考察前瞻性指引对经济的影响时,应该考虑住房摩擦。
{"title":"Forward Guidance Effectiveness in a New Keynesian Model with Housing Frictions","authors":"Stephen J. Cole, Sungjun Huh","doi":"10.1515/bejm-2021-0197","DOIUrl":"https://doi.org/10.1515/bejm-2021-0197","url":null,"abstract":"Abstract Housing markets are closely related to monetary policy. This paper studies the link between housing frictions and the effectiveness of forward guidance. A housing collateral constraint and forward guidance shocks are incorporated into a standard medium-scale New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model. Our main results produce a number of important implications. First, financial frictions emanating from the housing market dampen the effectiveness of forward guidance on the economy. Second, forward guidance shocks generate welfare gains, though the magnitude of these gains declines when housing frictions increase. Housing frictions also attenuate the effect of forward guidance at the zero lower bound. Finally, this article provides a solution to “forward guidance puzzle” of Del Negro, M., M. P. Giannoni, and C. Patterson (2012. “The Forward Guidance Puzzle.” In FRB of New York Staff Report, 574). Thus, policymakers should consider housing frictions when examining the effects of forward guidance on the economy.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132572582","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}
引用次数: 0
News-Driven Housing Booms: Spain Versus Germany 新闻驱动的房地产繁荣:西班牙与德国
Pub Date : 2022-10-18 DOI: 10.1515/bejm-2021-0116
Laurentiu Guinea, L. Puch, J. Ruiz
Abstract We investigate how the economy responds to anticipated (news) shocks to future investment decisions. Using structural vector autoregressions (SVARs), we show that news about the future relative price of residential investment explains a high fraction of the variance of output, aggregate investment and residential investment for Spain. In contrast, for Germany it is the news shocks on business structures and equipment that explain a higher fraction of the variance of output, consumption and non-residential investment. We confront the identified shock with other shocks to provide evidence that our structural interpretation is valid. Then, to address our empirical findings, we propose a stylized two-sector model of the willingness to substitute current consumption for future investment in housing, structures or equipment. The model combines a wealth effect driven by the expectation of rising house prices, with a reduced-form friction in labor reallocation. We find that the model calibrated for Spain displays a response to anticipated house price shocks that stimulate residential investment, whereas for Germany those shocks enhance investment in equipment and structures. The results highlight the propagation mechanism of anticipated shocks to future investment, which is consistent with the housing booms in Spain and their absence in Germany. Such a mechanism complements a view relying on a combination of monetary, financial or housing supply and demand, surprise shocks.
摘要:我们研究经济如何应对预期的(新闻)冲击对未来投资决策的影响。使用结构向量自回归(SVARs),我们表明有关未来住宅投资相对价格的新闻解释了西班牙产出、总投资和住宅投资方差的很大一部分。相比之下,对德国来说,商业结构和设备方面的新闻冲击解释了产出、消费和非住宅投资差异的更大比例。我们将已识别的冲击与其他冲击进行对比,以提供证据证明我们的结构解释是有效的。然后,为了解决我们的实证发现,我们提出了一个程式化的两部门模型,以替代当前消费的意愿在住房,结构或设备的未来投资。该模型结合了由房价上涨预期驱动的财富效应,以及劳动力再分配中减少的摩擦。我们发现,为西班牙校准的模型显示了对预期房价冲击的反应,刺激了住宅投资,而对于德国,这些冲击增强了对设备和结构的投资。结果突出了预期冲击对未来投资的传播机制,这与西班牙的房地产繁荣和德国的房地产繁荣是一致的。这种机制补充了一种依赖货币、金融或住房供应与需求、突发性冲击组合的观点。
{"title":"News-Driven Housing Booms: Spain Versus Germany","authors":"Laurentiu Guinea, L. Puch, J. Ruiz","doi":"10.1515/bejm-2021-0116","DOIUrl":"https://doi.org/10.1515/bejm-2021-0116","url":null,"abstract":"Abstract We investigate how the economy responds to anticipated (news) shocks to future investment decisions. Using structural vector autoregressions (SVARs), we show that news about the future relative price of residential investment explains a high fraction of the variance of output, aggregate investment and residential investment for Spain. In contrast, for Germany it is the news shocks on business structures and equipment that explain a higher fraction of the variance of output, consumption and non-residential investment. We confront the identified shock with other shocks to provide evidence that our structural interpretation is valid. Then, to address our empirical findings, we propose a stylized two-sector model of the willingness to substitute current consumption for future investment in housing, structures or equipment. The model combines a wealth effect driven by the expectation of rising house prices, with a reduced-form friction in labor reallocation. We find that the model calibrated for Spain displays a response to anticipated house price shocks that stimulate residential investment, whereas for Germany those shocks enhance investment in equipment and structures. The results highlight the propagation mechanism of anticipated shocks to future investment, which is consistent with the housing booms in Spain and their absence in Germany. Such a mechanism complements a view relying on a combination of monetary, financial or housing supply and demand, surprise shocks.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":" 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114053103","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}
引用次数: 0
Housing Taxation and Economic Growth: Analysis of a Balanced-Growth Model with Residential Capital 住房税收与经济增长:一个包含住宅资本的平衡增长模型分析
Pub Date : 2022-09-29 DOI: 10.1515/bejm-2021-0159
P. Vinson
Abstract Using a neoclassical model with endogenous growth, this study examines the effects of increasing housing taxation and eliminating the mortgage interest tax deduction on economic growth and household welfare in the United States. The optimal tax policy reduces taxation of income in favor of increased taxation of housing and consumption. This policy increases the growth rate by 0.49 percentage points. In addition, simply shifting the tax burden by reducing the tax rates on productive forms of capital toward housing can increase the growth rate up to 0.18 percentage points. This study also find that eliminating the income tax deduction on mortgage interest and lowering income taxes would increase growth by about 0.016 percentage points. Each of these proposed policies improves household welfare.
摘要本研究采用一个具有内生增长的新古典模型,考察了增加住房税和取消抵押利息税减免对美国经济增长和家庭福利的影响。最优的税收政策是减少收入的税收,增加住房和消费的税收。这一政策使增长率提高了0.49个百分点。另外,如果将生产资本的税率降低到住宅领域,将税金负担转移到住宅领域,则增长率最高可提高0.18个百分点。该研究还发现,取消抵押贷款利息的所得税扣除和降低所得税将使增长率提高约0.016个百分点。每一项拟议的政策都改善了家庭福利。
{"title":"Housing Taxation and Economic Growth: Analysis of a Balanced-Growth Model with Residential Capital","authors":"P. Vinson","doi":"10.1515/bejm-2021-0159","DOIUrl":"https://doi.org/10.1515/bejm-2021-0159","url":null,"abstract":"Abstract Using a neoclassical model with endogenous growth, this study examines the effects of increasing housing taxation and eliminating the mortgage interest tax deduction on economic growth and household welfare in the United States. The optimal tax policy reduces taxation of income in favor of increased taxation of housing and consumption. This policy increases the growth rate by 0.49 percentage points. In addition, simply shifting the tax burden by reducing the tax rates on productive forms of capital toward housing can increase the growth rate up to 0.18 percentage points. This study also find that eliminating the income tax deduction on mortgage interest and lowering income taxes would increase growth by about 0.016 percentage points. Each of these proposed policies improves household welfare.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114393737","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}
引用次数: 1
Sovereign Debt Crisis, Fiscal Consolidation, and Active Central Bankers in a Monetary Union 主权债务危机、财政整顿和货币联盟中活跃的中央银行家
Pub Date : 2022-09-21 DOI: 10.1515/bejm-2022-0038
Paolo Canofari, Giovanni Di Bartolomeo, M. Messori
Abstract This paper examines the impact of exogenous shocks on sovereign debts in an incomplete monetary union. We assume that financial stability is a public good that sovereign debt shocks can undermine in fragile (peripheral) members. Our model shows that, unlike the common misconception, active monetary policies do not induce the peripheral government to relax its fiscal constraints; on the contrary, these policies tend to incentivize fiscal discipline by reducing the cost of balance consolidation. Active monetary policies, in fact, partially reallocate the stabilization costs from the periphery to the core of the union, preserving the common good and facilitating fiscal discipline in the periphery.
摘要本文研究了不完全货币联盟中外生冲击对主权债务的影响。我们假设金融稳定是一种公共产品,主权债务冲击可能会破坏脆弱(外围)成员国的金融稳定。我们的模型表明,与常见的误解不同,积极的货币政策不会促使外围国家政府放松财政约束;相反,这些政策往往会通过降低平衡巩固的成本来激励财政纪律。事实上,积极的货币政策在一定程度上将稳定成本从外围国家重新分配给了联盟的核心国家,维护了共同利益,促进了外围国家的财政纪律。
{"title":"Sovereign Debt Crisis, Fiscal Consolidation, and Active Central Bankers in a Monetary Union","authors":"Paolo Canofari, Giovanni Di Bartolomeo, M. Messori","doi":"10.1515/bejm-2022-0038","DOIUrl":"https://doi.org/10.1515/bejm-2022-0038","url":null,"abstract":"Abstract This paper examines the impact of exogenous shocks on sovereign debts in an incomplete monetary union. We assume that financial stability is a public good that sovereign debt shocks can undermine in fragile (peripheral) members. Our model shows that, unlike the common misconception, active monetary policies do not induce the peripheral government to relax its fiscal constraints; on the contrary, these policies tend to incentivize fiscal discipline by reducing the cost of balance consolidation. Active monetary policies, in fact, partially reallocate the stabilization costs from the periphery to the core of the union, preserving the common good and facilitating fiscal discipline in the periphery.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129363286","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}
引用次数: 3
Robustly Optimal Monetary Policy in a Behavioral Environment 行为环境下稳健最优货币政策
Pub Date : 2022-09-13 DOI: 10.2139/ssrn.4011146
Lahcen Bounader, Guido Traficante
Abstract This paper studies robustly optimal monetary policy with myopic agents in a behavioral New Keynesian model. The central bank is assumed to have Knightian uncertainty about the degree of myopia and the degree of price stickiness. We show that, under uncertainty about myopia, the Brainard’s attenuation principle holds under commitment and discretion, while, under uncertainty on price stickiness, alone or in addition to myopia, monetary policy becomes more aggressive. Welfare evaluation shows significant gains from a robust conduct of monetary policy when the model is distorted.
摘要本文研究了新凯恩斯行为模型中具有短视行为主体的稳健最优货币政策。人们假定央行对短视程度和价格粘性程度具有奈特式的不确定性。我们的研究表明,在近视的不确定性下,布雷纳德的衰减原理在承诺和自由裁量权下都适用,而在价格粘性的不确定性下,单独或加上近视,货币政策变得更加激进。福利评估显示,当模型被扭曲时,稳健的货币政策行为会带来显著收益。
{"title":"Robustly Optimal Monetary Policy in a Behavioral Environment","authors":"Lahcen Bounader, Guido Traficante","doi":"10.2139/ssrn.4011146","DOIUrl":"https://doi.org/10.2139/ssrn.4011146","url":null,"abstract":"Abstract This paper studies robustly optimal monetary policy with myopic agents in a behavioral New Keynesian model. The central bank is assumed to have Knightian uncertainty about the degree of myopia and the degree of price stickiness. We show that, under uncertainty about myopia, the Brainard’s attenuation principle holds under commitment and discretion, while, under uncertainty on price stickiness, alone or in addition to myopia, monetary policy becomes more aggressive. Welfare evaluation shows significant gains from a robust conduct of monetary policy when the model is distorted.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"61 10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121837973","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}
引用次数: 0
Population Aging and Convergence of Household Credit 人口老龄化与家庭信贷趋同
Pub Date : 2022-09-09 DOI: 10.1515/bejm-2022-0048
Can Sever
Abstract This paper sheds light on the role of population aging in convergence of household credit. Using data from 32 economies over the period of 1995–2015, it shows that household credit tends to converge across countries over time, but aging populations hinder this convergence process. The result is also robust to controlling for various country-specific factors. Focusing on a further breakdown of credit to households, population aging weakens the convergence process in the case of housing loans, while it does not have a pronounced role in convergence of consumer credit. These findings can have implications for macroeconomic and financial policies, given the potential effects of household credit on economic growth and stability.
摘要本文探讨了人口老龄化在家庭信贷趋同中的作用。利用1995年至2015年期间32个经济体的数据,该报告显示,随着时间的推移,各国的家庭信贷倾向于趋同,但人口老龄化阻碍了这一趋同进程。该结果在控制不同国家特定因素方面也很稳健。重点是家庭信贷的进一步分解,人口老龄化削弱了住房贷款的趋同过程,而对消费信贷的趋同作用不明显。鉴于家庭信贷对经济增长和稳定的潜在影响,这些发现可能对宏观经济和金融政策产生影响。
{"title":"Population Aging and Convergence of Household Credit","authors":"Can Sever","doi":"10.1515/bejm-2022-0048","DOIUrl":"https://doi.org/10.1515/bejm-2022-0048","url":null,"abstract":"Abstract This paper sheds light on the role of population aging in convergence of household credit. Using data from 32 economies over the period of 1995–2015, it shows that household credit tends to converge across countries over time, but aging populations hinder this convergence process. The result is also robust to controlling for various country-specific factors. Focusing on a further breakdown of credit to households, population aging weakens the convergence process in the case of housing loans, while it does not have a pronounced role in convergence of consumer credit. These findings can have implications for macroeconomic and financial policies, given the potential effects of household credit on economic growth and stability.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126281491","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}
引用次数: 0
Filtering Persistent and Asymmetric Cycles 过滤持久和非对称循环
Pub Date : 2022-08-15 DOI: 10.1515/bejm-2022-0091
Luiggi Donayre
Abstract This paper evaluates the ability of the trend-cycle decomposition approach of Hamilton (2018. “Why You Should Never Use the Hodrick-Prescott Filter.” The Review of Economics and Statistics 100 (5): 831–43) to adequately characterize linear and (a)symmetric nonlinear business cycles fluctuations that are known to be persistent. This ability is contrasted to that of the Hodrick–Prescott filter. By means of Monte Carlo simulations, the results indicate that neither filter is able to preserve the cyclical properties of the data-generating process nor reproduce U.S. business cycles features, although this inability is exacerbated for the decomposition of Hamilton (2018. “Why You Should Never Use the Hodrick–Prescott Filter.” The Review of Economics and Statistics 100 (5): 831–43). Based on these findings, caution is called into question when this approach is applied to linear or nonlinear processes that are thought to exhibit persistence.
摘要本文评估了Hamilton(2018)趋势周期分解方法的能力。“为什么你不应该使用霍德里克-普雷斯科特过滤器。”《经济与统计评论》100(5):831-43)充分描述已知持续存在的线性和(a)对称非线性商业周期波动。这种能力与Hodrick-Prescott滤波器的能力形成对比。通过蒙特卡罗模拟,结果表明,两种滤波器都不能保持数据生成过程的周期性特性,也不能重现美国的商业周期特征,尽管Hamilton(2018)的分解加剧了这种无能。“为什么你不应该使用霍德里克-普雷斯科特过滤器。”经济学与统计评论100(5):831-43。基于这些发现,当这种方法被应用于被认为具有持久性的线性或非线性过程时,需要谨慎。
{"title":"Filtering Persistent and Asymmetric Cycles","authors":"Luiggi Donayre","doi":"10.1515/bejm-2022-0091","DOIUrl":"https://doi.org/10.1515/bejm-2022-0091","url":null,"abstract":"Abstract This paper evaluates the ability of the trend-cycle decomposition approach of Hamilton (2018. “Why You Should Never Use the Hodrick-Prescott Filter.” The Review of Economics and Statistics 100 (5): 831–43) to adequately characterize linear and (a)symmetric nonlinear business cycles fluctuations that are known to be persistent. This ability is contrasted to that of the Hodrick–Prescott filter. By means of Monte Carlo simulations, the results indicate that neither filter is able to preserve the cyclical properties of the data-generating process nor reproduce U.S. business cycles features, although this inability is exacerbated for the decomposition of Hamilton (2018. “Why You Should Never Use the Hodrick–Prescott Filter.” The Review of Economics and Statistics 100 (5): 831–43). Based on these findings, caution is called into question when this approach is applied to linear or nonlinear processes that are thought to exhibit persistence.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"110 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131647223","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}
引用次数: 0
期刊
The B.E. Journal of Macroeconomics
全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1