Journal of Macroeconomics最新文献

英文中文

Time-varying interactions between monetary and housing credit policy 货币和住房信贷政策之间的时变相互作用

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-10-04 DOI: 10.1016/j.jmacro.2025.103723

Giacomo Rella

The US federal government has long played a pivotal role in the mortgage market through various agencies, most notably the government-sponsored enterprises (GSEs). The importance of these agencies in the housing credit policy landscape increased during the 1990s and in the years leading up to the Great Recession. This article examines the time-varying effects of monetary policy on mortgage credit, focusing on the role of housing credit policy from the early 1990s to 2014. Using a time-varying parameter vector autoregression model and high-frequency monetary policy surprises, I show that GSEs’ activity in the secondary mortgage market has shaped the response of mortgage originations to monetary policy shocks. As GSEs became more involved in housing policy, the response of mortgage refinancing originations and GSEs’ mortgage purchases to monetary policy strengthened. This suggests that contractionary monetary policy, by undermining housing policy objectives and increasing profit opportunities from mortgage purchases, may prompt a stronger response from GSEs, which in turn dampens the adverse effects of monetary policy tightening on housing activity.

长期以来，美国联邦政府一直通过各种机构，尤其是政府支持企业（gse），在抵押贷款市场发挥着关键作用。这些机构在住房信贷政策领域的重要性在20世纪90年代和大衰退之前的几年里有所增加。本文考察了货币政策对抵押贷款信贷的时变效应，重点研究了20世纪90年代初至2014年住房信贷政策的作用。使用时变参数向量自回归模型和高频货币政策意外，我表明gse在二级抵押贷款市场的活动塑造了抵押贷款来源对货币政策冲击的反应。随着政府支持企业更多地参与住房政策，抵押贷款再融资发起和政府支持企业购买抵押贷款对货币政策的反应增强。这表明，紧缩的货币政策，通过破坏住房政策目标和增加抵押贷款购买的盈利机会，可能会促使gse做出更强烈的反应，这反过来又会抑制货币政策收紧对住房活动的不利影响。

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引用次数: 0

Saving behavior and the intergenerational allocation of leisure time 储蓄行为与休闲时间代际分配

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-09-29 DOI: 10.1016/j.jmacro.2025.103722

Fabio Cerina , Xavier Raurich

We study how cross-country cultural differences in the intergenerational allocation of leisure time affect savings and working time. To do so, we consider a life-cycle model in which leisure and consumption are complementary and individuals decide on the intertemporal allocation of consumption, on leisure time and on its allocation among individuals of the same generation or of a different one. The latter decision margin determines the equilibrium utility services from leisure that individuals obtain in each life time period. We show that economies in which older individuals obtain higher leisure services have higher savings rates, higher stock of capital per worker and higher fraction of time worked. Using data from the World Value Survey, we provide empirical support to these findings. Our results suggest that cultural differences in leisure allocation play a structural role in shaping cross-country differences in savings and labor supply.

我们研究了在休闲时间代际分配方面的跨国文化差异如何影响储蓄和工作时间。为此，我们考虑了一个生命周期模型，其中休闲和消费是互补的，个人决定消费的跨期分配，休闲时间及其在同代或不同代个人之间的分配。后者的决策边际决定了个体在每个生命周期内从休闲中获得的均衡效用服务。我们表明，老年人获得更多休闲服务的经济体具有更高的储蓄率、更高的人均资本存量和更高的工作时间比例。利用世界价值调查的数据，我们为这些发现提供了实证支持。我们的研究结果表明，休闲分配的文化差异在形成储蓄和劳动力供给的跨国差异方面发挥了结构性作用。

引用次数: 0

What do we know about estimating government spending multipliers? 关于估算政府支出乘数，我们知道些什么？

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-09-27 DOI: 10.1016/j.jmacro.2025.103721

Taewoong Jo , Jihye Kang , Joonyoung Hur

Using the DSGE model as the data-generating process (DGP), we assess how three key modeling choices influence government spending multiplier estimates: (1) the econometric method—vector autoregressions (VARs) versus local projections (LPs); (2) the identification strategy for government spending shocks—such as recursive, Blanchard–Perotti (BP), or forecast error (FE) methods; and (3) the variable transformation—log versus Gordon–Krenn (GK). Our results demonstrate that even when using the same data set, these choices can lead to substantially different multiplier estimates. Furthermore, we find that the choice of econometric method should align with the shock identification strategy and targeted estimation horizon. For the short-run, LP method produces the most accurate government spending multipliers when the true shock sequence is known. When there is no strong candidate for the shock, BP-type shocks are preferable, with both VAR and LP methods being more suitable for short-run analysis, while VAR models yield more reliable estimates for long-run horizons. Additionally, using the GK transformation instead of the log transformation reduces the upward bias commonly observed in VAR and LP estimates.

使用DSGE模型作为数据生成过程（DGP），我们评估了三种关键建模选择如何影响政府支出乘数估算：(1)计量经济学方法-向量自回归（var）与地方预测（lp）；(2)政府支出冲击的识别策略，如递归、Blanchard-Perotti （BP）或预测误差（FE）方法；(3)变量变换对数相对于Gordon-Krenn （GK）。我们的结果表明，即使使用相同的数据集，这些选择也会导致乘数估计值的显著不同。此外，我们发现计量方法的选择应与冲击识别策略和目标估计范围相一致。对于短期而言，当真实冲击序列已知时，LP方法产生最准确的政府支出乘数。当没有强有力的候选冲击时，bp型冲击更可取，VAR和LP方法更适合短期分析，而VAR模型对长期前景的估计更可靠。此外，使用GK变换代替对数变换减少了VAR和LP估计中常见的向上偏差。

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引用次数: 0

Was pandemic fiscal relief effective fiscal stimulus? Evidence from aid to state and local governments 流行病财政救助是有效的财政刺激吗？对州和地方政府的援助就是证据

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-09-13 DOI: 10.1016/j.jmacro.2025.103720

Jeffrey Clemens , Philip G. Hoxie , Stan Veuger

We use an instrumental-variables estimator reliant on variation in congressional representation to analyze the macroeconomic effects of federal aid to state and local governments during the COVID-19 pandemic. Through December 2022, we estimate statistically insignificant impacts of federal aid on employment. Our baseline point estimate suggests that $603,000 were allocated for each state or local government job-year preserved, and the bounds on our baseline confidence interval rule out estimates smaller than $220,400. Our estimates of effects on aggregate income and output are centered on zero and imply modest if any spillover effects onto the broader economy.

我们使用依赖于国会代表性变化的工具变量估计器来分析2019冠状病毒病大流行期间联邦援助对州和地方政府的宏观经济影响。截至2022年12月，我们估计联邦援助对就业的影响在统计上微不足道。我们的基线点估计表明，为每个保留的州或地方政府工作年分配了60.3万美元，我们的基线置信区间的界限排除了小于220,400美元的估计。我们对总收入和总产出影响的估计以零为中心，暗示对更广泛经济的溢出效应即使有，也是适度的。

引用次数: 0

Why old-age poverty matters: Evidence from consumption responses to income shocks 老年贫困为何重要：来自收入冲击下消费反应的证据

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-09-09 DOI: 10.1016/j.jmacro.2025.103718

Yunho Cho , Jiseob Kim , Julie Kim

This paper investigates consumption responses to idiosyncratic income shocks, focusing on the elderly in Korea—an economy with the highest old-age poverty rate among developed nations. Using a semi-structural model of income and consumption dynamics alongside household survey data from Korea, the U.S., and Australia, we find that Korean elderly households exhibit consumption responses to permanent income shocks that are 30% points higher than those of middle-aged households in Korea and 57% points higher than those of elderly households in the U.S. and Australia. These large consumption responses are primarily driven by the low wealth elderly, who lack sufficient self-insurance. Our findings emphasize the significant role of poverty, which remains highly persistent throughout the life cycle in Korea, in undermining the elderly’s ability to maintain consumption insurance, thereby deteriorating their welfare. Furthermore, our results highlight the critical role of government transfers in providing consumption insurance for the elderly.

本文研究了消费对特殊收入冲击的反应，重点关注韩国的老年人，韩国是发达国家中老年人贫困率最高的经济体。利用收入和消费动态的半结构模型以及韩国、美国和澳大利亚的家庭调查数据，我们发现韩国老年家庭对永久性收入冲击的消费反应比韩国中年家庭高30%，比美国和澳大利亚老年家庭高57%。这些巨大的消费反应主要是由缺乏足够自我保险的低财富老年人推动的。我们的研究结果强调了贫困在削弱老年人维持消费保险的能力方面的重要作用，贫困在韩国人的整个生命周期中仍然高度持续存在，从而恶化了他们的福利。此外，我们的研究结果强调了政府转移支付在为老年人提供消费保险方面的关键作用。

引用次数: 0

Can you improve upon the GDP forecasts of professional forecasters using information about monetary policy? 你能利用有关货币政策的信息改进专业预测者对GDP的预测吗？

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-09-02 DOI: 10.1016/j.jmacro.2025.103717

Dean Croushore

In this paper, I examine the forecast errors of macroeconomic forecasters to see whether or not their forecasts are efficiently using information about monetary policy. The goal is to investigate, using real-time data, previous research that has found inefficiency in forecasts with respect to monetary policy. I use a real-time data set to investigate the relationship between GDP forecast errors and changes in monetary policy both in-sample and with out-of-sample methods. Out-of-sample results show that exploiting inefficiency is difficult in real time.

在本文中，我检验了宏观经济预测者的预测误差，看看他们的预测是否有效地利用了有关货币政策的信息。其目的是利用实时数据，调查先前发现货币政策预测效率低下的研究。我使用实时数据集来研究样本内和样本外方法的GDP预测误差与货币政策变化之间的关系。样本外结果表明，在实时情况下很难利用低效率。

引用次数: 0

The role of MPC heterogeneity for fiscal policy in the euro area 货币政策委员会异质性在欧元区财政政策中的作用

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-08-29 DOI: 10.1016/j.jmacro.2025.103719

Nicolas Albacete , Pirmin Fessler , Atanas Pekanov

We assess the implications of heterogeneity in the marginal propensity to consume (MPC) for fiscal policy in the euro area. Extending the seminal work of Jappelli and Pistaferri (2014), we document an average MPC of 0.46, with significant variation across countries, household characteristics, and financial positions, including cash-on-hand as well as liquid and illiquid wealth. The mean MPC ranges from 0.33 in the Netherlands to 0.57 in Lithuania. Households with lower cash-on-hand exhibit higher MPCs on average. Policy experiments demonstrate that accounting for MPC heterogeneity enhances the effectiveness of fiscal policy in stimulating GDP growth compared with assuming uniform MPCs. We provide a pandemic-related example: a fiscal stimulus programme targeted at a contact-intensive sector with higher MPCs on average, which increases aggregate consumption by 1.70%, while the same programme targeted at a less contact-intensive sector increases consumption by only 1.17%. Finally, we provide moments to support the calibration of Heterogeneous Agent New Keynesian models such as the ratio of household assets-to-GDP in the euro area, which stands at 689%.

我们评估了欧元区边际消费倾向（MPC）的异质性对财政政策的影响。延伸Jappelli和Pistaferri（2014）的开创性工作，我们记录了平均MPC为0.46，在国家，家庭特征和财务状况（包括手头现金以及流动和非流动财富）之间存在显着差异。平均MPC从荷兰的0.33到立陶宛的0.57不等。手头现金较少的家庭平均mpc较高。政策实验表明，与假设统一的MPC相比，考虑MPC异质性可以提高财政政策刺激GDP增长的有效性。我们提供了一个与大流行相关的例子：针对MPCs平均较高的接触密集型部门的财政刺激计划，可使总消费增加1.70%，而针对接触密集程度较低的部门的相同计划，仅可使消费增加1.17%。最后，我们提供了支持异质代理新凯恩斯模型校准的时刻，例如欧元区家庭资产与gdp的比率，该比率为689%。

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引用次数: 0

Efficiency wages, consumption inequality and self-fulfilling business cycles 效率工资、消费不平等和自我实现的商业周期

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-08-29 DOI: 10.1016/j.jmacro.2025.103716

Wei Dai , Mark Weder , Bo Zhang

We propose a model of business cycles for an economy that is characterized by involuntary unemployment and being dependent on energy imports. The presence of both factors increases aggregate volatility in a well-defined way: empirically reasonable degrees of income insurance and cost shares of imported energy generate equilibrium indeterminacy making the economy potentially subject to sunspots. The underlying force for this result is the heterogeneity in consumption levels of the employed and unemployed individuals. We estimate the model and find that its specification with indeterminacy has a marginal data density significantly higher than the determinacy version for the Great Moderation period as well as since the Great Recession. We back out a series for non-fundamental changes in expectations. This series of sunspots is highly correlated with a common measure of confidence and, through the lens of our theory, these sunspot shocks have played a non-trivial role in driving the U.S. business cycle.

我们提出了一个以非自愿失业和依赖能源进口为特征的经济的商业周期模型。这两个因素的存在以一种明确的方式增加了总波动性：经验上合理的收入保险程度和进口能源的成本份额产生了平衡不确定性，使经济可能受到太阳黑子的影响。造成这一结果的根本原因是就业人员和失业人员消费水平的异质性。我们对模型进行了估计，发现其具有不确定性的规范具有显著高于大缓和时期和大衰退以来的确定性版本的边际数据密度。我们从一系列预期的非根本性变化中剔除。这一系列的太阳黑子与一种常见的信心测量高度相关，通过我们的理论，这些太阳黑子冲击在推动美国经济周期方面发挥了重要作用。

引用次数: 0

Public investment multipliers and the role of efficiency: new evidence for emerging markets 公共投资乘数和效率的作用：新兴市场的新证据

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-08-28 DOI: 10.1016/j.jmacro.2025.103705

Martín Ardanaz , Zoila Llempén López , Jorge Puig , Oscar Valencia

This paper estimates the public investment multiplier in a sample of emerging economies across Latin America and the Caribbean under a common methodological approach. Based on the Local Projections method, we identify fiscal shocks using timing restrictions for a panel of 11 countries observed over the last 30 years. The results show that the multiplier is, on average, 1.1 two years after the investment shock. In addition, we find heterogeneous multiplier effects depending on the degree of public investment efficiency. Under low levels of efficiency, public investment does not affect economic activity. However, the multiplier is 2.5 and private sector investment is stimulated for higher levels of efficiency. By shedding light on the size of the public investment multiplier and its sensitivity to efficiency levels, our findings inform the design of fiscal policy strategies conducive to sustainable growth in emerging markets.

本文以拉丁美洲和加勒比地区新兴经济体为样本，采用一种通用的方法估算了公共投资乘数。基于本地预测方法，我们对过去30年观察的11个国家进行了时间限制，确定了财政冲击。结果表明，投资冲击后两年的乘数平均为1.1。此外，我们发现不同的乘数效应取决于公共投资效率的程度。在低效率水平下，公共投资不会影响经济活动。然而，乘数为2.5，私营部门投资受到刺激以提高效率水平。通过揭示公共投资乘数的大小及其对效率水平的敏感性，我们的研究结果为有利于新兴市场可持续增长的财政政策策略的设计提供了信息。

引用次数: 0

A monetary policy accordion: Why do central banks from different countries expand and contract together? 货币政策手风琴：为什么不同国家的央行会同时扩张和收缩？

IF 1.5 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-08-25 DOI: 10.1016/j.jmacro.2025.103703

Parantap Basu , Yongdae Lee , Leslie J. Reinhorn

During recent decades, the monetary policies of central banks have shown significant co-movements mostly led by major economies such as the US. We find that this can be explained even when central banks adopt “inward looking” policy rules without aiming to stabilize exchange rates. We develop an open economy dynamic stochastic general equilibrium (DSGE) model with an agency problem in the banking sector. Our study suggests two channels through which the foreign and home policy rates co-move. Following the terms of trade channel, an exogenous rise in the foreign policy rate results in a capital outflow and a depreciation of the home currency. As import prices rise, home inflation increases and imports decrease. Then, via the Taylor rule, the home central bank raises its policy rate. The balance sheet channel coupled with a borrowing constraint amplifies the effects of the foreign policy rate shock. Due to the capital outflows that follow from the increase in the foreign rate, home banks experience a contraction of their balance sheets. The borrowing constraint then generates a feedback effect. This financial accelerator makes funding scarce, puts upward pressure on the user cost of capital, and feeds into even higher inflation. The policy co-movement becomes stronger when (a) global financial markets are more integrated, (b) the home country’s openness is higher, and (c) the home central bank is more aggressive in fighting inflation.

近几十年来，各国央行的货币政策呈现出明显的协同运动，主要由美国等主要经济体主导。我们发现，即使央行在不以稳定汇率为目标的情况下采取“内向”的政策规则，这也可以得到解释。本文建立了一个考虑银行部门代理问题的开放经济动态随机一般均衡（DSGE）模型。我们的研究表明，国外政策利率和国内政策利率共同变动的两个渠道。在贸易条件通道之后，外生的外交政策利率上升导致资本外流和本国货币贬值。随着进口价格上涨，国内通货膨胀加剧，进口减少。然后，根据泰勒规则，本国央行提高政策利率。资产负债表渠道加上借贷约束，放大了外交政策利率冲击的影响。由于外币汇率上升导致资本外流，国内银行的资产负债表出现收缩。于是，借贷约束产生了一种反馈效应。这种金融加速器使资金稀缺，给用户资本成本带来上行压力，并导致更高的通胀。当(a)全球金融市场更加一体化，(b)母国的开放程度更高，(c)母国央行在抗击通胀方面更积极时，政策协同运动就会变得更强。

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