Journal of Macroeconomics最新文献

Is there a magnifying role of the banking sector during depressions? How can a financial perturbation, possibly small-sized, create large impacts on output and enduring recessions? What is the role played by the massive stock of due claims brought about by a financial crisis? We address these questions by putting forth a general equilibrium model endowed with a banking system in which due claims – henceforth named due loans – and occasionally binding credit restrictions coexist and their effects reinforce each other. Under “bad” financially-driven perturbations due loans hike and the concomitant opportunity, holding, regulatory, and impairment costs trigger sizable increases in external finance premia and promote credit restrictiveness. Firms’ net worth collapses as they are called in to finance banks’ problems, and their ability to invest and accumulate capital becomes compromised. The amplification effect can be very large: the full-fledged banking model may only require a perturbation of one-tenth the size of a plain vanilla version to deliver the same output drop at the trough. Effects are non-linear, since credit restrictions remain slack on the boundary of the steady state, and asymmetric, since these restrictions play no role whatsoever under “good shocks.”

While low real interest rates and issuing public debt in fiat money safeguard against rising sovereign debt-to-GDP ratios, evidence shows that high debt often precedes default, and credit spreads may not signal imminent risk.

We offer a simple way to model the trade-offs using local martingales. On the one hand, it acknowledges that large debt overhangs tend to raise default risks. On the other hand, it allows sovereigns to roll over debt regardless of long-term fiscal solvency. The combination allows credit spreads to stay very low for decades, eventually spiral out of control and trigger a default. Hence, neither the reassurance of low spreads nor the alarm from growing overhang should automatically prevail.

To illustrate the trade-offs, we review the ebb and flow of US sovereign debt burdens since World War II. Between record peacetime debt-to-GDP ratios and weakened fiscal discipline, an exemplary double-or-triple-A credit rating for the US no longer seems justified. Moreover, the current outlook is poor, with debt growing much faster than GDP and scant prospects of contraction.

This paper analyzes the price and quantity effects of monetary policy statements in an emerging market economy. Surprises in monetary policy are identified using intraday data on asset prices around monetary policy announcements in Mexico. I find that asset prices and the portfolio flows of domestic and foreign investors respond strongly and persistently to both news about the policy rate and guidance about its future path communicated via statements. The ability to manage expectations about future policy via statements is thus not exclusive to central banks in advanced economies and does not require the zero lower bound to be binding.

This study examines the role of temperature as a driver of seasonal economic cycles. The study first presents a novel dataset of seasonal temperature and seasonal GDP. Stylised facts show that seasonal economic cycles are much more diverse than previous research suggested. The study then attributes seasonal economic cycles to temperature variability. For causal identification, the study proposes a novel econometric approach that accounts for expectations. The results suggest that seasonal temperature has a statistically significantly positive and economically large effect on seasonal GDP. Overall, a substantial share of seasonality in GDP timeseries appears to be due to weather. For a subsample of European countries, the effect of temperature can be attributed to sectors that are relatively more exposed to ambient environmental conditions. Projections of climate change suggest that seasonal economic cycles might substantially change in the future, with larger cycles expected for about half of the countries in the sample.

This paper examines the relationship between the utilization of short-time work, inflation dynamics and monetary policy. Using a New Keynesian general equilibrium model with search and matching frictions, this study is a first to point out that short-time work can give rise to deflationary tendencies which may impact its efficacy, contingent on the monetary environment. While aggressive inflation targeting supports the stabilizing employment effects of short-time work, only little stabilization is observed when monetary policy is constrained by the zero lower bound. Our analysis also indicates that expanding the eligibility criteria may not deliver additional stabilization, whilst lowering the costs of short-time work could enhance employment even more.

This study uses a narrative account of quarterly discretionary changes in tax liabilities from 1974Q4 to 2018Q2 in a VAR setting to examine whether legislative tax changes affect the trade balance in the US, Germany, and the UK. Six different types of legislative tax changes are considered, including indirect tax changes, personal income tax changes, and business tax changes. The results show that, in general, reductions in aggregated tax liabilities tend to reduce exports in the US and the UK, whereas imports tend to increase, leading to a fall in the net-exports-to-GDP ratio. However, this pattern does not necessarily hold for disaggregated tax changes. Moreover, the results for Germany differ from those for the US and the UK. Overall, the economic magnitude of the estimated effects of tax changes on trade variables is relatively small.

We study how household concerns about their future financial situation may affect the marginal propensity to consume (MPC) during the COVID-19 pandemic. We use a representative survey of UK households to compute the MPC from a hypothetical transfer of £500. We find that household expectations play a key role in determining differences in MPCs across households: households that are concerned about not being able to make ends meet have a 20% higher MPC than other households. Our findings suggest that policies targeted at vulnerable and financially distressed households may prove more effective in stimulating demand than providing stimulus payments to all households.

This paper analyzes theoretically and empirically the coordination failure problem inherent within the 21st-century automation revolution. First, we build a general equilibrium model with labor-saving artificial intelligence (AI) technology that is developed through R&D investments in automation. The model exhibits multiple market equilibria due to a positive feedback loop between AI investments and general economic activities. The available evidence supports our model's predictions regarding the interaction between AI technologies, income inequality, and wages. We also find strong empirical support for multiple equilibria in AI development—the primary prediction of our model. These empirical and theoretical results suggest that AI development can cause coordination failures, thereby creating leaders and followers in automation. However, according to our policy analysis, R&D subsidies and public-private partnerships are efficient coordination devices to tackle this problem.

Probably not. When firms face higher uncertainty, they may reset their prices more frequently, but this does not necessarily mean that monetary policy is less effective in boosting real activity. In fact, the real effect of monetary policy may be strengthened because firms shift their attention away from the monetary policy shock to productivity shocks to minimize profit loss due to suboptimal price-setting. This conjecture is supported by a model with an information processing capacity constraint, which shows that monetary policy becomes more effective in stimulating the economy during periods of high uncertainty. Moreover, the model’s key characteristics and moments of price distribution match those observed in the micro price data.

This paper constitutes the first effort to measure the welfare costs of economic cycles considering that the consumer derives utility from the consumption of nondurable goods and services and the stock of durable goods. To accomplish such a task, we put forward a novel approach based on a nonseparable utility function. As a result, we take into account the complementarities among the consumption categories and the correlations of the shocks in those series. Our findings for the U.S. economy suggest that the single-good approach in the literature tends to underestimate the welfare costs of business cycles.