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A Shadow Rate New Keynesian Model 影子比率新凯恩斯主义模型
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-11-01 DOI: 10.2139/ssrn.2843627
Jing Cynthia Wu, Ji Zhang
{"title":"A Shadow Rate New Keynesian Model","authors":"Jing Cynthia Wu, Ji Zhang","doi":"10.2139/ssrn.2843627","DOIUrl":"https://doi.org/10.2139/ssrn.2843627","url":null,"abstract":"We propose a tractable and coherent framework that captures both conventional and unconventional monetary policies with the shadow fed funds rate. Empirically, we document the shadow rate's resemblance to an overall financial conditions index, various private interest rates, the Fed's balance sheet, and the Taylor rule. Theoretically, we demonstrate the impact of unconventional policies, such as QE and lending facilities, on the economy is identical to that of a negative shadow rate, making the latter a useful summary statistic for these policies. Our model generates the data-consistent result: a negative supply shock is always contractionary. It also salvages the New Keynesian model from the zero lower bound induced structural break.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"130 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116052037","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: 98
Liquidity Traps and Large-Scale Financial Crises 流动性陷阱与大规模金融危机
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-10-12 DOI: 10.2139/ssrn.2851620
Giovanni Caggiano, Efrem Castelnuovo, O. Damette, Antoine Parent, Giovanni Pellegrino
{"title":"Liquidity Traps and Large-Scale Financial Crises","authors":"Giovanni Caggiano, Efrem Castelnuovo, O. Damette, Antoine Parent, Giovanni Pellegrino","doi":"10.2139/ssrn.2851620","DOIUrl":"https://doi.org/10.2139/ssrn.2851620","url":null,"abstract":"This paper estimates a nonlinear Threshold-VAR to investigate if a Keynesian liquidity trap due to a speculative motive was in place in the U.S. Great Depression and the recent Great Recession. We find clear evidence in favor of a breakdown of the liquidity effect after an unexpected increase in M2 in the 1921-1940 period. This evidence, which is consistent with the Keynesian view on a liquidity trap, is shown to be state contingent. In particular, it emerges only when a speculative regime identified by high realizations of the Dow Jones index is considered. A standard linear framework is shown to be ill-suited to test the hypothesis of a Keynesian liquidity trap. An investigation performed with the same data for the period 1991-2010 confirms the presence of a liquidity trap just in the speculative regime. This last result emerges significantly only when we consider the federal funds rate as the policy instrument and we model the Divisia M2 measure of liquidity.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116013321","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
Log-Linear Approximation Versus an Exact Solution at the ZLB in the New Keynesian Model 对数线性近似与新凯恩斯模型ZLB下的精确解
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-10-01 DOI: 10.3386/W22784
Gauti B. Eggertsson, Sanjay R. Singh
{"title":"Log-Linear Approximation Versus an Exact Solution at the ZLB in the New Keynesian Model","authors":"Gauti B. Eggertsson, Sanjay R. Singh","doi":"10.3386/W22784","DOIUrl":"https://doi.org/10.3386/W22784","url":null,"abstract":"How accurate is a log-linear approximation of the New Keynesian model when the nominal interest rate is bounded by zero? This paper compares the solution of the exact non-linear model to the log-linear approximation. It finds that the difference is modest. This applies even for extreme events in numerical experiments that replicate the U.S. Great Depression. The exact non-linear model makes the same predictions as the log-linear approximation for key policy questions such as the size and sign of government spending and tax multipliers. It also replicates well known paradoxes like the paradox of toil and the paradox of price flexibility. The paper also reconciles different findings reported in the literature using Calvo versus Rotemberg pricing.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114362820","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: 44
Microfoundation for IS-LM IS-LM的微基础
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-09-30 DOI: 10.2139/ssrn.2845764
Bryce M. Kim
{"title":"Microfoundation for IS-LM","authors":"Bryce M. Kim","doi":"10.2139/ssrn.2845764","DOIUrl":"https://doi.org/10.2139/ssrn.2845764","url":null,"abstract":"This paper provides a somewhat intertemporal microfoundation for IS-LM in an economy where there is a monopoly issuer of medium of exchange, money. The core microfoundation in this model comes from the Arrow-Debreu general equilibrium result that riskless interest rate may not be uniform across sectors. Thus, people in different positions have different expectations regarding maximum riskless interest rate possible. This allows one to justify the so-called investment curve. LM curve is justified by \"real bills doctrine\" of central bank operations. The resulting IS-LM model from fully intertemporal microfoundation requires components of IS-LM to be interpreted differently, and some of the results are qualitatively different. Nevertheless, it keeps ordinary curve shape of IS-LM. As can be expected, the IS-LM model is a static simplification of the fully intertemporal model that incorporates changes in expectation of future variables by change in curves. The static IS-LM model can however be safely used when fiscal/monetary policies anchor expectations of future variables, and especially when liquidity trap phenomena, typically said as the flat region of the LM curve arises.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128482300","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: 0
Financial Factors and Monetary Policy: Determinacy and Learnability of Equilibrium 金融因素与货币政策:均衡的确定性与可学习性
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-07-01 DOI: 10.2139/ssrn.2802947
Paul Kitney
{"title":"Financial Factors and Monetary Policy: Determinacy and Learnability of Equilibrium","authors":"Paul Kitney","doi":"10.2139/ssrn.2802947","DOIUrl":"https://doi.org/10.2139/ssrn.2802947","url":null,"abstract":"This paper contributes to the debate whether central banks should respond to asset prices, credit spreads and other financial factors in setting monetary policy, by evaluating determinacy and expectational stability of equilibria under various monetary policy rules. With adaptive learning, beliefs constitute an additional set of state variables, which may require more than a response to inflation, that has traditionally been argued in the literature as sufficient to achieve central bank objectives under rational expectations. Furthermore, financial frictions are introduced by extending the determinacy and adaptive learning methodology embodied in Bullard and Mitra (2002) and Bullard and Mitra (2007), beyond the New Keynesian modelling framework by incorporating a Financial Accelerator (Bernanke, Gertler and Gilchrist 1999). A key result is that monetary policy rules responding to lagged asset prices and credit volume have less desirable determinacy and learnability characteristics than responding to current asset prices and credit spreads. This conclusion dovetails with recent research such as Gilchrist and Zakrajsek (2011) and Gilchrist and Zakrajsek (2012), who show that signals derived from credit spreads contain information which help explain business cycle fluctuations and demonstrate that a credit spread augmented monetary policy rule dampens cycle variability. Another result is that the conclusions in both Bullard and Mitra (2002) and Bullard and Mitra (2007) are robust to a New Keynesian model with financial frictions.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127393037","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
The Nature of Money in Modern Economy – Implications and Consequences 现代经济中货币的性质——含义和后果
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-07-01 DOI: 10.4197/islec.29-2.4
Stephen Zarlenga, R. Poteat
{"title":"The Nature of Money in Modern Economy – Implications and Consequences","authors":"Stephen Zarlenga, R. Poteat","doi":"10.4197/islec.29-2.4","DOIUrl":"https://doi.org/10.4197/islec.29-2.4","url":null,"abstract":"This paper discusses the great importance of the monetary question, and briefly examines some of the dominant erroneous concepts of money and their effects upon societies. It also points and links to the great progress currently being made by researchers in this field, so readers can examine them more fully. It presents very brief summaries of what some of the important new papers do. It also aims at helping instructors in outlining a reading curriculum to assist in a long overdue understanding of money power. Finally, the paper presents a money and banking system proposal which has evolved since the Great Depression of the 1930s, and is now ready for implementation and has even been introduced as potential legislation into the United States Congress.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"158 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121392416","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: 0
Nonlinearities in the U.S. Wage Phillips Curve 美国工资菲利普斯曲线的非线性
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-06-01 DOI: 10.2139/ssrn.2636945
Luiggi Donayre, Irina Panovska
{"title":"Nonlinearities in the U.S. Wage Phillips Curve","authors":"Luiggi Donayre, Irina Panovska","doi":"10.2139/ssrn.2636945","DOIUrl":"https://doi.org/10.2139/ssrn.2636945","url":null,"abstract":"We examine the relationship between wage inflation and the unemployment rate in the U.S. economy for the 1964–2014 period by means of a three-regime threshold regression model. The estimated threshold parameters suggest that this relationship changes when the unemployment rate transitions between regimes defined by 5.61% and 7.63%. During mild recessions and their subsequent recoveries, the time-varying estimates of the model indicate a negative relationship between both variables, consistent with the implications of a wage Phillips curve (WPC) derived from the standard New Keynesian model with staggered wage setting in Gali (2011). However, we find that this relationship breaks down during deep recessions and their recovery periods, which explains the difference between wage inflation predicted by standard New Keynesian models and the observed low wage growth in the aftermath of the ‘Great Recession’. This finding and the fact that statistical tests strongly favor our three-regime model suggest that linear and two-regime models are insufficient to account for all the variability in the relationship between wage inflation and unemployment.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133267682","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: 22
The Economic Consequences of 'Market-Based' Lending “市场化”贷款的经济后果
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-05-24 DOI: 10.2139/ssrn.2766693
Carolyn Sissoko
{"title":"The Economic Consequences of 'Market-Based' Lending","authors":"Carolyn Sissoko","doi":"10.2139/ssrn.2766693","DOIUrl":"https://doi.org/10.2139/ssrn.2766693","url":null,"abstract":"The growth of “market-based” lending is closely related to the growth of repurchase agreements and similar contracts that grant the lender the right to sell collateral on the market if a threshold level of over-collateralization is not maintained. This paper argues that this contractual structure relies so heavily on market liquidity that its ubiquitous use has the paradoxical effect of disrupting market liquidity itself. The paper takes a Keynesian view of market liquidity as prone to crises of confidence and thus fundamentally unstable. It develops an analytic framework that explains how the economic function of the traditional banking system is to act as a shock absorber for the liquidity crises that are inherent to markets. The growth of “market-based” lending and in particular its culmination in the development of a money market that is dominated by repurchase agreements and other collateralized instruments is analyzed using this framework.This paper argues that the growth of repurchase and margin contracts has created an environment where liquidity crises are endemic. In this environment even in normal times market participants seek to self-insure by holding “safe haven” assets that are unlikely to fall in value in a liquidity crisis. Thus, this structural shift in the financial system explains (i) the decline in real interest rates that started in the late 1990s, (ii) the increase in the spreads between “safe” and riskier assets, and (iii) the lackluster economic performance that has led to concerns about secular stagnation.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114547118","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: 0
Effects of an Employment Subsidy in Long-Run Stagnation 就业补贴对长期经济停滞的影响
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-05-16 DOI: 10.2139/ssrn.2780345
Ryu-ichiro Murota
{"title":"Effects of an Employment Subsidy in Long-Run Stagnation","authors":"Ryu-ichiro Murota","doi":"10.2139/ssrn.2780345","DOIUrl":"https://doi.org/10.2139/ssrn.2780345","url":null,"abstract":"We develop a money-in-the-utility-function model with two features. One is that a Phillips curve relationship between nominal wages and unemployment appears because of efficiency wages. The other is that as in the Japanese economy since the early 1990s, unemployment attributable to aggregate demand deficiency arises even in the long run. We analyze the effect of an employment subsidy in this long-run stagnation and show that an increase in the subsidy may worsen aggregate demand deficiency and unemployment.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"251 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115275004","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: 3
EAGLE-FLI. A Macroeconomic Model of Banking and Financial Interdependence in the Euro Area EAGLE-FLI。欧元区银行和金融相互依存的宏观经济模型
ERN: Keynes; Keynesian; Post-Keynesian (Topic) Pub Date : 2016-04-28 DOI: 10.2139/ssrn.2859461
N. Bokan, A. Gerali, S. Gomes, P. Jacquinot, M. Pisani
{"title":"EAGLE-FLI. A Macroeconomic Model of Banking and Financial Interdependence in the Euro Area","authors":"N. Bokan, A. Gerali, S. Gomes, P. Jacquinot, M. Pisani","doi":"10.2139/ssrn.2859461","DOIUrl":"https://doi.org/10.2139/ssrn.2859461","url":null,"abstract":"We incorporate financial linkages in EAGLE, a New Keynesian multi-country dynamic general equilibrium model of the euro area (EA) by including financial frictions and country-specific banking sectors. In this new version, termed EAGLE-FLI (Euro Area and Global Economy with Financial Linkages), banks collect deposits from domestic households and cross-country interbank market and raise capital to finance loans issued to domestic households and firms. In order to borrow from local (regional) banks, households use domestic real estate whereas firms use both domestic real estate and physical capital as a collateral. These features – together with the full characterization of trade balance and real exchange rate dynamics and with a rich array of financial shocks – allow to properly assess domestic and cross-country macroeconomic effects of financial shocks. Our results support the views that: (1) the business cycles in the EA can be driven not only by real shocks, but also by financial shocks, (2) the financial sector could amplify the transmission of (real) shocks, and (3) the financial/banking shocks and the banking sectors can be sources of business cycle asymmetries and spillovers across countries in a monetary union.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125752138","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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