Imf Economic Review最新文献

We study how macroeconomic volatility relates to trends in exchange rate volatility through the prism of the Great Moderation hypothesis. We find significant heterogeneity in exchange rate volatility trends across advanced economy currencies against the USD. Financial centers currencies became less volatile over a 50-year history, while commodity currencies became more volatile. This occurred despite decreases in the volatility of macroeconomic variables, particularly expected interest rate differentials. Instead, trends in the volatility of non-macro (currency risk premium) exchange rate components were a main driver of patterns in exchange rate volatility. However, the behavior of macroeconomic variables still mattered greatly for explaining the rise in commodity currency volatility. We document that a meaningful part of this increasing volatility can be tied to less negative co-movements over time between changes in expectations of relative interest rates and changes in expectations of excess returns – a pattern that is consistent with a weakening or even disappearance of the Fama puzzle for commodity currencies.

We use the euro area debt crisis experience to study episodes when sovereigns lose access to bond markets. We construct a detailed dataset with potential leading indicators and evaluate their ability to forecast episodes when market access is lost. We show that factors capable of foreseeing market tensions go beyond traditional metrics of the fiscal stance and of global and domestic macroeconomic conditions. Variables that describe conditions in primary and secondary sovereign bond markets are key predictors of market access tensions. We construct simple indices and multivariate models and use them to predict market access tensions. Simple indices capture worsening conditions but yield unsatisfactory out-of-sample results. Multivariate models generate better forecasts highlighting how tools to evaluate risks to sovereign market access trade off communicability and accuracy. Finally, we show the importance of accounting for different policymakers’ preferences.

We study a DSGE model with “massive” heterogeneity, enough to approach Gini coefficients for income, wealth, and consumption in the U.S. data. The economy features three aggregate shocks as well as both permanent and temporary idiosyncratic risk. We introduce policymakers that can mitigate these risks for households, and a welfare theorem outlines how the proposed policies imply an optimal allocation of resources. The proposed policies include achieving the Wicksellian natural real rate of interest, social insurance, and a set of taxes and transfers designed to reduce consumption inequality. We calibrate the model to U.S. data from 1995 to 2023 assuming the optimal set of policies and argue that the model fit is promising. This suggests that, broadly speaking, U.S. macroeconomic policy has in recent decades been close to optimal. Improvements beyond this set of policies requires design of responses to very large shocks, and we suggest some directions in which such a design may proceed.

We use UK transaction-level data to study whether nationwide mortgage moratoria, or payment holidays (PH), can act as a mechanism for smoothing mortgagors’ consumption following negative aggregate shocks. We find that both borrowers with pre-existing financial vulnerabilities and with stronger balance sheets, including buy-to-let investors, had an incentive to access the policy. This is not surprising since PH were available to all mortgagors and without affecting households’ credit risk scores. Using a quasi-experimental DiD research design based on eligibility, we find that the PH allowed liquidity-constrained households to smooth consumption during the pandemic relative to the control group. By contrast, other mortgagors did not seem to increase consumption relative to the control group, preferring to save the liquidity relief provided by PH. Overall, we find evidence that PH were able to support consumption of more vulnerable households, who are more likely to pull away from consumption during stress periods.

We explore the consequences of global capital market segmentation by currency for the optimal currency composition of borrowing by firms. Global bond portfolios are driven by the currency of denomination of assets as investors prefer to lend in their home currency or the international currency, the US Dollar. Larger and more productive firms select into foreign currency issuance. International segmentation results in a quantity dimension of the exorbitant privilege whereby US firms that only issue in the domestic currency benefit from being able to more easily borrow from global investors.

This paper examines the effects of changing input-output linkages within and across countries in transmitting shocks across countries between 1965 and 2011. We apply the global input-output framework with the time series for the world input-output tables to examine the spillover of shocks to final demand in 23 countries over the last 47 years. We document that the spillover to foreign countries associated with exogenous changes in final demand in domestic economy is about twice as large now as that in 1965. Moreover, demand spillover is even larger when final demand for more open sectors or foreign goods increases, suggesting the importance of sectoral demand composition. Finally, the foreign spillover in the 2008–2009 Great Recession is large due to both input-output structure changes and sectoral composition of demand.

We analyze the inflationary effects of a gradual increase in a carbon tax in the textbook New Keynesian model. The policy gradually reduces emissions, a key feature of the green transition. We find that the increase in the tax today exerts inflationary pressures, but the expected further increase in the tax tomorrow depresses current demand, putting downward pressure on prices: We show that the second effect is larger. If households do not anticipate a future fall in income (because they are not rational or the government is not credible), the overall effect may be inflationary. We extend the analysis in a medium-scale DSGE model, and we find again that the green transition is deflationary. Also in this larger model, by relaxing the rational expectations assumption, we show that the transition may initially be inflationary.

I show that preferences over safe assets (POSA), calibrated by targeting estimates of the wedge between household discount and market interest rates and the effect of the supply of government bonds on their yields, attenuate the of effect forward guidance in a New Keynesian model, by reducing consumption’s responsiveness to future interest rates and generating a wealth effect from real government bond holdings. The attenuation carries over to a medium-scale model with POSA estimated on Euro Area macroeconomic, fiscal and interest-rate expectation data. The empirical fit of the POSA model strongly outperforms an otherwise identical model without POSA.

We investigate the effect of uncertainty about the nature of output costs of sovereign default on debt tolerance. While the theoretical literature assumes output losses lasting until market access is restored, the empirical evidence points to persistent effects, and output may not return to its pre-default trend. We include such uncertainty in a model of sovereign default and find that it can significantly boost equilibrium debt levels. We also consider a government which is averse to this type of uncertainty and seeks robust decision rules. We calibrate the model to match evidence on the output trajectory around debt restructuring episodes and infer output costs of about the size found in the empirical literature, alongside significant uncertainty about their permanence and a strong desire for robustness. Uncertainty and robustness contribute about a quarter of observed debt tolerance.

We build a semi-structural New Keynesian model to study the drivers of macroeconomic tail risk (‘GDP-at-Risk’). Our model features three key nonlinearities: an effective lower bound on nominal interest rates; a credit crunch in bank loan supply when bank capital depletes; and deleveraging by borrowers when debt service burdens become excessive. These nonlinearities can interact to amplify GDP-at-Risk: for example, when debt burdens rise sufficiently, this increases the risk of debt deleveraging but also that of a credit crunch and hitting the effective lower bound. We use the model to study various UK recessions and document the amplification potential driven by the prevailing levels of headroom vis-a-vis the effective lower bound, the bank capital constraint, and the debt service burden threshold. Furthermore, we simulate a persistent inflation shock to analyse how these interactions might operate at this juncture.