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Pegs and Pain 钉钉与痛苦
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2011-03-01 DOI: 10.3386/W16847
Stephanie Schmitt-Grohé, Martin Uribe
{"title":"Pegs and Pain","authors":"Stephanie Schmitt-Grohé, Martin Uribe","doi":"10.3386/W16847","DOIUrl":"https://doi.org/10.3386/W16847","url":null,"abstract":"This paper quantifies the costs of adhering to a fixed-exchange-rate arrangement, such as a currency union, for emerging economies. To this end it develops a novel dynamic stochastic disequilibrium model of a small open economy with monetary nonneutrality due to downward nominal wage rigidity. In the model, a negative external shock causes persistent unemployment because the fixed exchange rate and downward wage rigidity stand in the way of real depreciation. In these circumstances, optimal exchange-rate policy calls for large devaluations. In a calibrated version of the model, a large contraction, defined as a two-standard-deviation decline in tradable output causes the unemployment rate to rise by more than 20 percentage points under a peg. The required devaluation under the optimal exchange-rate policy is more than 50 percent. The median welfare cost of a currency peg is shown to be enormous, about 10 percent of lifetime consumption. Adhering to a fixed exchange-rate arrangement is found to be more costly when initial fundamentals are characterized by high past wages, large external debt, high country premia, or unfavorable terms of trade.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134414647","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 88
Impact of International Financial Shocks on Small Open Economies: The Case of Four ASEAN Countries 国际金融冲击对小型开放经济体的影响:以东盟四国为例
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2011-03-01 DOI: 10.2139/ssrn.1856380
Arief Ramayandi
{"title":"Impact of International Financial Shocks on Small Open Economies: The Case of Four ASEAN Countries","authors":"Arief Ramayandi","doi":"10.2139/ssrn.1856380","DOIUrl":"https://doi.org/10.2139/ssrn.1856380","url":null,"abstract":"A more integrated global financial system has implications on the economic volatility of small open economies. This paper simulates the impact of a short term shock originating from the global financial system on small open economies in the Association of Southeast Asian Nations (ASEAN). The simulation is conducted by means of empirically estimated small open economy dynamic stochastic general equilibrium models for Indonesia, Malaysia, the Philippines, and Thailand. The analysis highlights similarities and differences of the impact of a pure international financial shock on aggregate domestic price inflation and on output gap for each of the four ASEAN countries. It suggests that the impact of such shock on the sampled economies tends to be relatively small but long lasting, hence placing challenges on the task of managing economic volatility in these economies.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132396189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Introduction to the Macroeconomic Dynamics: Special Issues on Money, Credit, and Liquidity 宏观经济动力学导论:关于货币、信贷和流动性的特别问题
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2010-11-04 DOI: 10.2139/ssrn.1715554
Ed Nosal, Christopher J. Waller, Randall Wright
{"title":"Introduction to the Macroeconomic Dynamics: Special Issues on Money, Credit, and Liquidity","authors":"Ed Nosal, Christopher J. Waller, Randall Wright","doi":"10.2139/ssrn.1715554","DOIUrl":"https://doi.org/10.2139/ssrn.1715554","url":null,"abstract":"We motivate and provide an overview to New Monetarist Economics. We then briefly describe the individual contributions to the Macroeconomics Dynamics special issues on money, credit and liquidity.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"420 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131828529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Home Equity, Mobility, and Macroeconomic Fluctuations 房屋净值、流动性和宏观经济波动
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2010-10-01 DOI: 10.2139/ssrn.1950081
Vincent Sterk
{"title":"Home Equity, Mobility, and Macroeconomic Fluctuations","authors":"Vincent Sterk","doi":"10.2139/ssrn.1950081","DOIUrl":"https://doi.org/10.2139/ssrn.1950081","url":null,"abstract":"How does a fall in house prices affect real activity? This paper presents a business cycle model in which a decline in house prices reduces geographical mobility, creating distortions in the labor market. This happens because homeowners face declines in their home equity levels, after which it becomes more difficult to provide the down-payment required for a new mortgage loan. Unemployed homeowners therefore turn down job offers that would require them to move. The model explains joint cyclical patterns in housing and labor market aggregates, as well as the puzzling breakdown of the U.S. Beveridge curve that occurred during 2009.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115005501","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 77
Public Debt Places No Burden on Future Generations under Demand Shortage 在需求不足的情况下，公共债务不会给后代带来负担
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2010-09-22 DOI: 10.2139/ssrn.1680693
Takayuki Ogawa, Yoshiyasu Ono
{"title":"Public Debt Places No Burden on Future Generations under Demand Shortage","authors":"Takayuki Ogawa, Yoshiyasu Ono","doi":"10.2139/ssrn.1680693","DOIUrl":"https://doi.org/10.2139/ssrn.1680693","url":null,"abstract":"In a Diamond-type overlapping-generations setting public debt issuanceplaces no burden on future generations including those who repay the debt if prices and wages are fixed and unemployment occurs in the periods in which public bonds are issued and repaid. Whether the collected fund is spent on government purchases or transfers to the present generation, public bond issuance stimulates aggregate demand and creates additional employment of future generations, which yields additional income that is large enough to cover their tax burden. This property is true whether the debt is repaid by children or grandchildren.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114370753","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Yield Curve Dynamics and Spillovers in Central and Eastern European Countries 中东欧国家收益曲线动态与溢出效应
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2010-02-01 DOI: 10.5089/9781451963328.001.A001
A. Hoffmaister, J. Roldos, A. Tuladhar
{"title":"Yield Curve Dynamics and Spillovers in Central and Eastern European Countries","authors":"A. Hoffmaister, J. Roldos, A. Tuladhar","doi":"10.5089/9781451963328.001.A001","DOIUrl":"https://doi.org/10.5089/9781451963328.001.A001","url":null,"abstract":"This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries). Using the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve, the paper finds that the two-way relationship between macroeconomic and financial variables in the CEE countries is similar to the one in mature economies. However, inflation shocks have very little persistence in the CEE countries, owing to the strong convergence trends in these countries-which tend to re-anchor expectations faster. Increased convergence in policies and market integration over time are associated with a stronger correlation between the levels of the yield curves, while the curves slopes are more driven by idiosyncratic factors. Shifts in the euro yield curve are transmitted both to interest rates and inflation expectations in the CEE countries-and transmission is stronger after 2004.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123295215","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Internal vs. External Habit Formation in a Growing Economy with Overlapping Generations 代际重叠的经济增长中的内部与外部习惯形成
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2009-08-19 DOI: 10.2139/ssrn.1457630
Masako Ikefuji, Kazuo Mino
{"title":"Internal vs. External Habit Formation in a Growing Economy with Overlapping Generations","authors":"Masako Ikefuji, Kazuo Mino","doi":"10.2139/ssrn.1457630","DOIUrl":"https://doi.org/10.2139/ssrn.1457630","url":null,"abstract":"This paper explores the roles of internal and external habit formation in a simple model of endogenous growth with overlapping generations. Unlike the representative agent settings in which the distinction between internal and external habits may not yield significant qualitative differences in working of the model economy, we show that the internal and external habit persistence in overlapping generations economies may have qualitatively different effects on the steady-state characterization as well as on the dynamic behavior of the economy. We also confirm that in an overlapping generations framework, whether the habits in the utility function takes subtractive or multiplicative forms may be critical both for long-run growth and for transitional dynamics.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125181167","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Wilfred Edward Graham Salter: The Merits of a Classical Economic Education 威尔弗雷德·爱德华·格雷厄姆·索尔特:《古典经济教育的优点》
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2009-05-23 DOI: 10.2139/ssrn.1408884
E. Weber
{"title":"Wilfred Edward Graham Salter: The Merits of a Classical Economic Education","authors":"E. Weber","doi":"10.2139/ssrn.1408884","DOIUrl":"https://doi.org/10.2139/ssrn.1408884","url":null,"abstract":"During his honours research on an index of industrial production at the University of Western Australia, Salter gained an understanding of the composite commodity theorem. The applied work on the index of industrial production provided him with the analytic foundations for his two famous contributions to economic theory, in capital theory and international trade theory. In his Ph.D. thesis at the University of Cambridge he agreed with Joan Robinson that it is impossible to measure the aggregate capital stock because the assumptions of the composite commodity theorem do not hold in a general equilibrium framework. But Salter was not bothered by the elusive nature of capital because he saw no need to measure the capital stock in the first place. He developed a vintage model of capital, in which technical progress occurs at the margin of the capital stock, when new investment goods are installed. In the dependent economy model Salter, however, accepted the aggregation of exportables and importables because in a small open economy the terms of trade are unaffected by domestic economic policy. Thus, Salter recognised that the capital stock is an invalid aggregate in a macroeconomic model, but internationally traded goods are a valid aggregate in the dependent economy model. His success as an economic theorist lies in the fact that he understood when to apply the composite commodity theorem as an analytic tool, and when to avoid it.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127782968","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Sectoral Price Rigidity and Aggregate Dynamics 部门价格刚性和总体动态
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2009-02-01 DOI: 10.2139/ssrn.1548020
Hafedh Bouakez, Emanuela Cardia, F. Ruge-Murcia
{"title":"Sectoral Price Rigidity and Aggregate Dynamics","authors":"Hafedh Bouakez, Emanuela Cardia, F. Ruge-Murcia","doi":"10.2139/ssrn.1548020","DOIUrl":"https://doi.org/10.2139/ssrn.1548020","url":null,"abstract":"This paper studies the business cycle implications of sectoral heterogeneity in price rigidity using a highly disaggregated multi-sector model. The model is estimated by the Simulated Method of Moments using a mix of aggregate and sectoral U.S. data. The frequencies of price changes implied by our estimates are consistent with those reported in micro-based studies. We show that heterogeneity in price rigidity is the primary factor explaining the heterogeneity in the responses of sectoral output and inflation to a monetary policy shock. We also find that ignoring sectoral heterogeneity in price rigidity leads to the mismeasurement of the relative importance of aggregate and sector-specific shocks in aggregate and sectoral fluctuations.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130495994","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 77
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 非参数模拟极大似然的动态模型估计
ERN: Theoretical Dynamic Models (Topic) Pub Date : 2005-01-15 DOI: 10.2139/ssrn.1300864
Dennis Kristensen, Yongseok Shin
{"title":"Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood","authors":"Dennis Kristensen, Yongseok Shin","doi":"10.2139/ssrn.1300864","DOIUrl":"https://doi.org/10.2139/ssrn.1300864","url":null,"abstract":"We propose an easy-to-implement simulated maximum likelihood estimator for dynamic models where no closed-form representation of the likelihood function is available. Our method can handle any simulable model without latent dynamics. Using simulated observations, we nonparametrically estimate the unknown density by kernel methods, and then construct a likelihood function that can be maximized. We prove that this nonparametric simulated maximum likelihood (NPSML) estimator is consistent and asymptotically efficient. The higher-order impact of simulations and kernel smoothing on the resulting estimator is also analyzed; in particular, it is shown that the NPSML does not suffer from the usual curse of dimensionality associated with kernel estimators. A simulation study shows good performance of the method when employed in the estimation of jump–diffusion models.","PeriodicalId":123778,"journal":{"name":"ERN: Theoretical Dynamic Models (Topic)","volume":"173 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113985962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 77
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