Pub Date : 2024-11-28DOI: 10.1016/j.jmacro.2024.103658
Youngjin Hwang
This study explores the information content of yield curve dynamics in the context of monetary policy using time-varying macro VARs augmented with three yield curve factors (i.e., level, slope, and curvature). By utilizing contemporaneous co-movements between short-term interest rates and these factors, we identify multiple shocks related to monetary policy: two news shocks (supply and demand), a forward guidance shock, and an inflation-targeting shock. We find distinct differences in the dynamic responses of output and prices across shocks as well as over time. We highlight the role of each yield curve factor, in particular the curvature factor in a forward guidance shock, in generating the results across shocks.
{"title":"Information content in yield curve dynamics: Implications for monetary policy","authors":"Youngjin Hwang","doi":"10.1016/j.jmacro.2024.103658","DOIUrl":"10.1016/j.jmacro.2024.103658","url":null,"abstract":"<div><div>This study explores the information content of yield curve dynamics in the context of monetary policy using time-varying macro VARs augmented with three yield curve factors (i.e., level, slope, and curvature). By utilizing contemporaneous co-movements between short-term interest rates and these factors, we identify multiple shocks related to monetary policy: two news shocks (supply and demand), a forward guidance shock, and an inflation-targeting shock. We find distinct differences in the dynamic responses of output and prices across shocks as well as over time. We highlight the role of each yield curve factor, in particular the curvature factor in a forward guidance shock, in generating the results across shocks.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"83 ","pages":"Article 103658"},"PeriodicalIF":1.3,"publicationDate":"2024-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142759816","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-20DOI: 10.1016/j.jmacro.2024.103657
Fabrizio Carmignani
Even if formally established as independent, central banks may still be subject to partisan influences. The paper uses a simple new-Keynesian framework to model these influences as quiescence (i.e. when the central bank aligns with the ideological preferences of the incumbent government) or demurral (i.e. when the central bank moves away from the ideological preferences of the incumbent). The partisanship of the central bank then depends on which of these two prevails. The empirical analysis shows that different patterns of quiescence and demurral occur in different countries at different times. There is however also evidence that in some circumstances the conduct of monetary policy is non-partisan; that is, neither quiescence nor demurral prevails.
{"title":"The partisanship of a central banker","authors":"Fabrizio Carmignani","doi":"10.1016/j.jmacro.2024.103657","DOIUrl":"10.1016/j.jmacro.2024.103657","url":null,"abstract":"<div><div>Even if formally established as independent, central banks may still be subject to partisan influences. The paper uses a simple new-Keynesian framework to model these influences as <em>quiescence</em> (i.e. when the central bank aligns with the ideological preferences of the incumbent government) or <em>demurral</em> (i.e. when the central bank moves away from the ideological preferences of the incumbent). The partisanship of the central bank then depends on which of these two prevails. The empirical analysis shows that different patterns of quiescence and demurral occur in different countries at different times. There is however also evidence that in some circumstances the conduct of monetary policy is non-partisan; that is, neither quiescence nor demurral prevails.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"83 ","pages":"Article 103657"},"PeriodicalIF":1.3,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142700019","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-19DOI: 10.1016/j.jmacro.2024.103646
K. Peren Arin , Samuel Kaplan , Efstathios Polyzos , Nicola Spagnolo
Using a firm-level data set for the U.S., we investigate the stock price responses to unanticipated and unconventional monetary policy shocks. Our results show that indebtedness/leverage is more important than size or age in explaining the cross-firm variation in responses to monetary policy. We also show that the magnitude of the indebtedness is important while the debt structure is not, and the third quartile of firms drives our results. We assess the robustness of our empirical findings across several dimensions.
{"title":"Stock market responses to monetary policy shocks: Firm-level evidence","authors":"K. Peren Arin , Samuel Kaplan , Efstathios Polyzos , Nicola Spagnolo","doi":"10.1016/j.jmacro.2024.103646","DOIUrl":"10.1016/j.jmacro.2024.103646","url":null,"abstract":"<div><div>Using a firm-level data set for the U.S., we investigate the stock price responses to unanticipated and unconventional monetary policy shocks. Our results show that indebtedness/leverage is more important than size or age in explaining the cross-firm variation in responses to monetary policy. We also show that the magnitude of the indebtedness is important while the debt structure is not, and the third quartile of firms drives our results. We assess the robustness of our empirical findings across several dimensions.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"83 ","pages":"Article 103646"},"PeriodicalIF":1.3,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142700018","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-15DOI: 10.1016/j.jmacro.2024.103645
Laura E. Jackson, Ezgi Kurt
This paper provides industry-level evidence on the presence of downward real wage rigidity and asymmetric effects of monetary policy in the US labor market. Focusing on industry-level data from 1975q1 to 2020q4, we find strong heterogeneity in the trade-off between wage rigidity and employment. Specifically, we show that service-sector industries show downward-flexible wages and muted employment losses in response to monetary contractions. On the other hand, we find that a trade-off between wage rigidity and employment exists only weakly in the manufacturing sector. We examine this in the context of unionization and trade integration policies of recent decades and show that factors such as low unionization or high exposure to import competition weakens the wage-employment link. Among these, high exposure to trade seems to be the more important channel for manufacturing industries.
{"title":"Downward wage rigidity and asymmetric effects of monetary policy","authors":"Laura E. Jackson, Ezgi Kurt","doi":"10.1016/j.jmacro.2024.103645","DOIUrl":"10.1016/j.jmacro.2024.103645","url":null,"abstract":"<div><div>This paper provides industry-level evidence on the presence of downward real wage rigidity and asymmetric effects of monetary policy in the US labor market. Focusing on industry-level data from 1975q1 to 2020q4, we find strong heterogeneity in the trade-off between wage rigidity and employment. Specifically, we show that service-sector industries show downward-flexible wages and muted employment losses in response to monetary contractions. On the other hand, we find that a trade-off between wage rigidity and employment exists only weakly in the manufacturing sector. We examine this in the context of unionization and trade integration policies of recent decades and show that factors such as low unionization or high exposure to import competition weakens the wage-employment link. Among these, high exposure to trade seems to be the more important channel for manufacturing industries.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"83 ","pages":"Article 103645"},"PeriodicalIF":1.3,"publicationDate":"2024-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142699478","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-10-10DOI: 10.1016/j.jmacro.2024.103643
Joshua Brault, Hashmat Khan
We present novel stylized facts on the declining cyclicality of labour productivity for large firms. Changes in their output-labour productivity correlations mirror those in aggregate US data. Large firms account for 88% of the aggregate labour productivity-output correlation post-1985. The decline in cyclicality aligns with their increased use of extensive margin adjustments, such as hiring more workers. For a 1% output increase, large firms hire 75 additional workers pre-1985, compared to 90 post-1985. Our findings are relevant to the literature on the role of large firms in US business cycles.
{"title":"Large firms and the cyclicality of US labour productivity","authors":"Joshua Brault, Hashmat Khan","doi":"10.1016/j.jmacro.2024.103643","DOIUrl":"10.1016/j.jmacro.2024.103643","url":null,"abstract":"<div><div>We present novel stylized facts on the declining cyclicality of labour productivity for large firms. Changes in their output-labour productivity correlations mirror those in aggregate US data. Large firms account for 88% of the aggregate labour productivity-output correlation post-1985. The decline in cyclicality aligns with their increased use of extensive margin adjustments, such as hiring more workers. For a 1% output increase, large firms hire 75 additional workers pre-1985, compared to 90 post-1985. Our findings are relevant to the literature on the role of large firms in US business cycles.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"82 ","pages":"Article 103643"},"PeriodicalIF":1.3,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142442078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-10-04DOI: 10.1016/j.jmacro.2024.103644
Qichun He
This paper studies the effect of consumption subsidies on long-run growth and welfare in a Schumpeterian model with the spirit of capitalism (SOC)—wealth in the utility function. It finds that consumption subsidy promotes (reduces) long-run growth and welfare when the spirit of capitalism is weak (strong). By contrast, consumption subsidy has no effect on long-run growth in the Ramsey model of capital accumulation, whereas its effect on the level of consumption and capital stock also depends on the strength of the SOC. Consumption subsidy decreases growth in the AK model with the SOC. In quantitative analysis, we find that when the ratio of consumption subsidy to total consumption increases from 0 to 10%, long-run growth increases by about 0.044 (0.1) percentage points in China (the U.S.), and this effect decreases with the strength of the SOC. Moreover, labor tax, capital tax, and income tax are also studied and compared.
{"title":"Wealth in the utility function, consumption subsidy, and long-run growth and welfare","authors":"Qichun He","doi":"10.1016/j.jmacro.2024.103644","DOIUrl":"10.1016/j.jmacro.2024.103644","url":null,"abstract":"<div><div>This paper studies the effect of consumption subsidies on long-run growth and welfare in a Schumpeterian model with the spirit of capitalism (SOC)—wealth in the utility function. It finds that consumption subsidy promotes (reduces) long-run growth and welfare when the spirit of capitalism is weak (strong). By contrast, consumption subsidy has no effect on long-run growth in the Ramsey model of capital accumulation, whereas its effect on the level of consumption and capital stock also depends on the strength of the SOC. Consumption subsidy decreases growth in the AK model with the SOC. In quantitative analysis, we find that when the ratio of consumption subsidy to total consumption increases from 0 to 10%, long-run growth increases by about 0.044 (0.1) percentage points in China (the U.S.), and this effect decreases with the strength of the SOC. Moreover, labor tax, capital tax, and income tax are also studied and compared.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"82 ","pages":"Article 103644"},"PeriodicalIF":1.3,"publicationDate":"2024-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142421980","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-25DOI: 10.1016/j.jmacro.2024.103641
Casey Pender
This paper examines the relationship between deflation, real output, and bank panics in the United States during the National Banking era from 1868 to 1913, a period marked by frequent deflationary episodes and many bank panics. Using a structural vector autoregression with sign restrictions, I distinguish between deflation as part of negative aggregate demand shocks and deflation as part of positive aggregate supply shocks. My findings indicate that negative aggregate demand shocks are associated with an increased likelihood of bank panics, while positive aggregate supply shocks are not. I then bolster these findings with case studies of the major bank panics of 1873, 1893, and 1907, analyzing stock data, bank clearing data, and narrative evidence. Combined, these results suggest that unexpected declines in nominal income, rather than deflation itself, contribute to financial stress, aligning with recent theoretical work.
{"title":"Is deflation cause for panic? Evidence from the National Banking era","authors":"Casey Pender","doi":"10.1016/j.jmacro.2024.103641","DOIUrl":"10.1016/j.jmacro.2024.103641","url":null,"abstract":"<div><div>This paper examines the relationship between deflation, real output, and bank panics in the United States during the National Banking era from 1868 to 1913, a period marked by frequent deflationary episodes and many bank panics. Using a structural vector autoregression with sign restrictions, I distinguish between deflation as part of negative aggregate demand shocks and deflation as part of positive aggregate supply shocks. My findings indicate that negative aggregate demand shocks are associated with an increased likelihood of bank panics, while positive aggregate supply shocks are not. I then bolster these findings with case studies of the major bank panics of 1873, 1893, and 1907, analyzing stock data, bank clearing data, and narrative evidence. Combined, these results suggest that unexpected declines in nominal income, rather than deflation itself, contribute to financial stress, aligning with recent theoretical work.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"82 ","pages":"Article 103641"},"PeriodicalIF":1.3,"publicationDate":"2024-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142327267","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-12DOI: 10.1016/j.jmacro.2024.103640
Christopher Malikane
We provide theoretical underpinnings to the traditional IS curve by using the concept of basic and non-basic goods and services in the consumption basket. An extended version of this IS curve incorporates the effects of functional income distribution by appealing to rule-of-thumb behavior. An empirical analysis for both emerging and advanced economies shows that this IS curve does not suffer from the "IS puzzle," a weakness that affects its new Keynesian counterpart, when a measure of the nominal interest rate is used. The interest rate negatively and significantly affects output. Secondly, the second-order term typically specified in the output dynamics does not arise from structural consumption behavior. Thirdly, although we find significant rule-of-thumb behavior in that the labor share is statistically significant, optimal behavior dominates economies. Lastly, basics make up an overwhelming component of the consumption basket, which explains the sluggish response of output to shocks. The implication is that there is a need to extend the basic two-equation model into a 3-equation system by adding the dynamics of the labor share.
我们利用消费篮中基本和非基本商品与服务的概念，为传统的 IS 曲线提供了理论基础。该 IS 曲线的扩展版本通过诉诸经验法则行为，纳入了功能性收入分配的影响。对新兴经济体和发达经济体的实证分析表明，当使用名义利率的衡量标准时，这条 IS 曲线不会受到 "IS 之谜 "的影响，"IS 之谜 "是影响新凯恩斯主义对应曲线的一个弱点。利率对产出有显著的负面影响。其次，产出动态中通常指定的二阶项并非源于结构性消费行为。第三，尽管我们发现了显著的经验法则行为，即劳动份额在统计上是显著的，但最优行为主导了经济。最后，基础产品在消费篮子中占绝大多数，这也是产出对冲击反应迟缓的原因。这意味着有必要通过增加劳动力份额的动态变化，将基本两方程模型扩展为三方程系统。
{"title":"Traditional output dynamics: A structural perspective","authors":"Christopher Malikane","doi":"10.1016/j.jmacro.2024.103640","DOIUrl":"10.1016/j.jmacro.2024.103640","url":null,"abstract":"<div><p>We provide theoretical underpinnings to the traditional IS curve by using the concept of basic and non-basic goods and services in the consumption basket. An extended version of this IS curve incorporates the effects of functional income distribution by appealing to rule-of-thumb behavior. An empirical analysis for both emerging and advanced economies shows that this IS curve does not suffer from the \"IS puzzle,\" a weakness that affects its new Keynesian counterpart, when a measure of the nominal interest rate is used. The interest rate negatively and significantly affects output. Secondly, the second-order term typically specified in the output dynamics does not arise from structural consumption behavior. Thirdly, although we find significant rule-of-thumb behavior in that the labor share is statistically significant, optimal behavior dominates economies. Lastly, basics make up an overwhelming component of the consumption basket, which explains the sluggish response of output to shocks. The implication is that there is a need to extend the basic two-equation model into a 3-equation system by adding the dynamics of the labor share.</p></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"82 ","pages":"Article 103640"},"PeriodicalIF":1.3,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0164070424000557/pdfft?md5=118f5de1b764d624e5fec6ab519cc2f2&pid=1-s2.0-S0164070424000557-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142239671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-11DOI: 10.1016/j.jmacro.2024.103639
Matthew Greenwood-Nimmo , Daan Steenkamp , Rossouw van Jaarsveld
We study the pass-through of policy rate hikes and cuts to household and corporate lending and deposit interest rates in South Africa over the period January 2009 to December 2020. We show that rate hikes are typically passed through to mortgage interest rates completely while rate cuts are not. This asymmetry is more prevalent for household than corporate mortgages. Pass-through to household and corporate call deposit interest rates is typically complete, but cheque account interest rates are highly sticky and experience weak pass-through. Our results indicate that banks’ pass-through decisions often impose greater costs on households than firms, and may blunt the stimulatory effect of rate cuts by weakening their impact on debt servicing costs and the remuneration of deposit balances.
{"title":"A bank-level analysis of interest rate pass-through in South Africa","authors":"Matthew Greenwood-Nimmo , Daan Steenkamp , Rossouw van Jaarsveld","doi":"10.1016/j.jmacro.2024.103639","DOIUrl":"10.1016/j.jmacro.2024.103639","url":null,"abstract":"<div><p>We study the pass-through of policy rate hikes and cuts to household and corporate lending and deposit interest rates in South Africa over the period January 2009 to December 2020. We show that rate hikes are typically passed through to mortgage interest rates completely while rate cuts are not. This asymmetry is more prevalent for household than corporate mortgages. Pass-through to household and corporate call deposit interest rates is typically complete, but cheque account interest rates are highly sticky and experience weak pass-through. Our results indicate that banks’ pass-through decisions often impose greater costs on households than firms, and may blunt the stimulatory effect of rate cuts by weakening their impact on debt servicing costs and the remuneration of deposit balances.</p></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"82 ","pages":"Article 103639"},"PeriodicalIF":1.3,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142233687","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-08-13DOI: 10.1016/j.jmacro.2024.103624
Yuki Uemura
Search intensity, as well as the aggregate economic condition, is a crucial factor that determines unemployed workers’ success in job searches. Their search intensity is predicted to be procyclical in standard search and matching models. However, many empirical studies show that search intensity is countercyclical. This study examines the job search behavior of unemployed workers over business cycles using a search and matching model that incorporates wage rigidity and a generalized matching function. Unlike previous studies, the proposed model can generate both procyclical and countercyclical search intensities by introducing wage rigidity. This study calibrates the model to the U.S. economy and provides various impulse response analyses. The numerical exercises show that the model successfully and simultaneously reproduces countercyclical search efforts and sizable labor market fluctuations.
{"title":"Job search intensity and wage rigidity in business cycles","authors":"Yuki Uemura","doi":"10.1016/j.jmacro.2024.103624","DOIUrl":"10.1016/j.jmacro.2024.103624","url":null,"abstract":"<div><p>Search intensity, as well as the aggregate economic condition, is a crucial factor that determines unemployed workers’ success in job searches. Their search intensity is predicted to be procyclical in standard search and matching models. However, many empirical studies show that search intensity is countercyclical. This study examines the job search behavior of unemployed workers over business cycles using a search and matching model that incorporates wage rigidity and a generalized matching function. Unlike previous studies, the proposed model can generate both procyclical and countercyclical search intensities by introducing wage rigidity. This study calibrates the model to the U.S. economy and provides various impulse response analyses. The numerical exercises show that the model successfully and simultaneously reproduces countercyclical search efforts and sizable labor market fluctuations.</p></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"82 ","pages":"Article 103624"},"PeriodicalIF":1.3,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142011153","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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