Oxford Bulletin of Economics and Statistics最新文献

I examine the effectiveness of monetary policy under the ultra-low interest rate environment in Japan through the lens of yield curve dynamics. To that end, I employ the dynamic Nelson–Siegel model with time-varying parameters, thereby computing indicators for tracing monetary easing effects. I show that the estimation performance of the yield curve models is sufficiently improved even under the ultra-low interest rate environment by extending the dynamic Nelson–Siegel model to allow a loading parameter to vary over time, in addition to three factors of yield curve dynamics: level, slope, and curvature. However, I also demonstrate that the identification of the level and loading parameters is critical in assessing monetary policy effects. I reveal that monetary easing effects under the Quantitative and Qualitative Monetary Easing (QQE) are produced by flattening the yield curve in the ultra-long-term maturity zone over 10 years, while monetary easing effects from maturities shorter than ten years remain almost unchanged. Monetary policy fails to produce sufficient monetary easing effects within the time frame of the standard macroeconomic stabilization policy, even with the full-fledged implementation of unconventional monetary policy measures under the ultra-low interest rate environment in Japan.

What role do credit supply shocks (CSS) play in macroeconomic dynamics in emerging economies? We exploit Russia's setting, including the 2014 Western sanctions, and show that a negative CSS normalized to 0.5 p.p. increase in the lending rate leads to a decrease of 2 p.p. in the output growth rate, 1.5 p.p. in the consumption growth rate and 5 p.p. in the investment growth rate within a quarter. The heterogeneity of the household and firm responses to CSS is driven by debt-to-income and leverage ratios, with indebted poorer households and larger firms being more sensitive to fluctuations in credit conditions.

The demand for transparency about the microeconomic sources of environmental pollution has surged recently, causing carbon disclosure to rise to the top of the global climate change discourse. In this study, we empirically investigate how the environmental performance of firm production technologies shapes their voluntary carbon disclosure behaviour and how key stakeholders influence the performance-disclosure relationship. Using a panel of 1,547 firms across 24 countries covering 2006–20, we find that firms with the most efficient technologies for reducing emissions tend to disclose their carbon impact, especially when they face more stringent environmental regulations. These high-performing firms demonstrate a tendency for non-disclosure when faced with intense shareholder and environmental activist pushback against pollution. Our findings also highlight the existence of a profitability penalty for transparent high-efficiency firms relative to comparable firms that adopt strategic silence.

How do output prices respond to trade shocks? Using detailed firm-product level data on sales and quantity between 1996 and 2007, we study the causal effect of Chinese import competition on prices for Indian manufacturing firms. We find that Chinese import competition induces a significant decline in firm-product prices. A 1 percentage point increase in the Chinese import penetration ratio reduces firm-product prices by 3.5%. Further, this decline in prices is driven by a decline in markup, conditional on costs, as opposed to the pass through of cost savings to prices – providing evidence for pro-competitive effect. This decline in prices and markup is less pronounced for firms owned by Business Groups compared to stand-alone, privately owned firms. We also document a large decrease in marginal costs and an increase in markup with no significant effect on prices for firms on account of increased access to imported Chinese inputs.

While natural disasters cause loss of life and worsen health in the local areas they impact, the overall health impacts of these disasters can be more widespread. Using linked administrative and survey data (the 45 and Up Study) from Australia, a country where one in four residents was born overseas, we show that migrant mental health is significantly affected by home-country natural disasters. In the 3 months following a disaster, mental health related drug use and visits to mental health specialists increase by 7% and 34%, respectively. The effects persist for up to 12 months after the initial shock. To place these effects in context we provide suggestive comparisons to the impacts of home-country terrorist attacks and macroeconomic shocks on mental health, and also compare the effects on mental health to physical health conditions of migrants.

This study examines the influence of global and country factors on inflation movements in Korea using a multi-level factor model. Our results indicate that country factors showed a more pronounced alignment with inflation in Korea up to the mid-2000s, having particularly strong impacts around the Asian financial crisis. Beyond the mid-2000s, global factors played a more influential role in shaping inflation. This increased influence of global factors on inflation became particularly apparent during the notable inflationary surge following the COVID-19 pandemic. We construct structural models to identify global and country shocks and find that the effect of global shocks persists for a longer period, whereas the immediate impact of country shocks is more pronounced. Global shocks have a greater influence on producer price index and import price index inflation compared to consumer price index (CPI) or core CPI inflation. We further find that energy prices closely correlate with global factors, while exchange rates are highly correlated with country factors in Korea.

We study the effects of lottery winning on consumption spending using household survey data of older individuals aged 50–70 years in Singapore. We find strong consumption responses to a transitory income shock from lottery wins, and lottery winners spend about half of their prizes within 12 months of winning. We show that consumption responses are stronger among households with more binding liquidity constraints. The strong consumption response suggests that fiscal stimulus policies or other public transfer programmes could effectively boost consumption spending in the short run.

The literature on the effects of country risk premium shocks has largely focused on emerging market economies. We empirically show that in developed economies, risk premium shocks explain a non-trivial share of aggregate fluctuations and are key drivers of real activity during crises. Our empirical results and results from a two-country New Keynesian model indicate that an increase in the risk premium leads to a reduction in aggregate output under monetary union, but not so in countries with flexible exchange rates and independent monetary policy. Model simulations suggest that managing international capital flows enhances welfare in countries under monetary union.

This paper assembles a comprehensive sovereign green bond database and estimates the sovereign greenium. The development of green bond markets has been one of the most important financial breakthroughs in the domain of sustainable finance during the last 15 years. A central pecuniary benefit for green bond issuers has been that these bonds exhibit a positive green premium (greenium), that is, a lower yield relative to a similar conventional bond. Yet, issuances at the sovereign level have been relatively recent and not well documented in the literature. We find that green bonds are issued at a relatively small premium (4 basis points on average) in Advanced Economies. Yet, importantly, the greenium is growing over time and is considerably larger (11 basis points on average) for Emerging Market Economies.

We estimate government spending multipliers in demand- and supply-driven recessions for the Euro Area. Multipliers in a moderately demand-driven recession are two to three times larger than in a moderately supply-driven recession, with the difference between multipliers being non-zero with very high probability. More generally, multipliers are inversely correlated with the deviation of inflation from its trend, implying that the more demand-driven a recession, the higher the multiplier. Multipliers range from $��-�$0.5 in supply-driven recessions to about 2 in demand-driven recessions. The econometric approach leverages a factor-augmented interacted vector-autoregression model purified of expectations (FAIPVAR-X). The model captures the time-varying state of the business-cycle including strongly and moderately demand- and supply-driven recessions, by taking the whole distribution of inflation deviations from trend into account.