ERN: Price Level; Inflation; Deflation (Topic)最新文献

{"title":"The Dynamic Effects of Oil Price Shocks on the Economies of the Twelve Major Oil Exporting Countries from 1970-2013: The Role of Political Economy Factors","authors":"S. Sonmez","doi":"10.25103/ijbesar.131.04","DOIUrl":"https://doi.org/10.25103/ijbesar.131.04","url":null,"abstract":"Purpose: This paper examines whether the economies of oil-exporting countries respond to oil shocks differently, depending on the country's political economy factors, such as regional economic alliance, stage of economic development, and the exchange rate regime, using a structural Vector Error Correction Model (VECM). The sample countries covered in this study include all the major twelve oil exporters: the GCC countries (Bahrain, Kuwait, Oman, Saudi Arabia, UAE, and Qatar) and the non-GCC oil exporters (Iran, Nigeria, Norway, Canada, Russia and Venezuela) for the 1970-2013 period. Design/methodology/approach: To achieve the above, this paper employs a four-variable restricted structural Vector Error Correction Model (VECM) with oil prices (exogenous) and a set of endogenous variables, including GDP, M2, and Inflation for the 1970-2013 period, with a co-integrating relationship that varies from 1 to 2. Both Johansen Cointegration Test and Granger Causality Tests have been applied. To eliminate the effects of a contemporaneous correlation of the residuals with the regressors, the errors are orthogonalized by a Choleski decomposition. Finding: The political economy characteristics of countries explain why the economies of oil exporters either with fixed or managed floating exchange rates behave differently than those economies with floating exchange rates. Money is endogenous in oil-exporting countries with fixed or managed floating exchange rates, but not in oil-exporting countries with floating exchange rates. The evidence found in this paper suggests that the fixed exchange rate regime of the GCC countries is not effective in tamping down inflationary pressures, as planned. There is a strong positive effect of oil price shocks on the foreign exchange reserves of the GCC countries, whereas the effect of oil price shocks on foreign exchange reserves has been rather non-existent for the non-GCC oil exporters with floating exchange rates. Research limitations/implications: The data span is restricted by data availability, the study could ensure for more robustness and better confidence with quarterly data, but most of the variables for countries are reported annually, except for Canada, Russia, and Norway. Originality/value: This paper separates oil exporters into two distinct categories, the GCC countries and the non-GCC oil exporters. To my knowledge, this has not been done before in the academic literature. Unlike the GCC countries, the non-GCC oil exporters do not participate in a common political alliance or an economic union. Their economies are diversified and less dependent on oil exports. This study shows that the political economy characteristics play a large role in explaining why the economies of oil exporters with either fixed or managed floating exchange rates behave differently than the oil exporters with floating exchange rates.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"25 3-4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133193132","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}

{"title":"The Financial Accelerator, Wages, and Optimal Monetary Policy","authors":"Tobias König","doi":"10.2139/ssrn.3576407","DOIUrl":"https://doi.org/10.2139/ssrn.3576407","url":null,"abstract":"This paper studies the effects of labor market outcomes on firms’ loan demand and on credit intermediation. In a first step, I investigate how wages in the production sector affect bank net worth and the process of financial intermediation in partial equilibrium. Second, the role of the identified channels are studied in general equilibrium using a new- Keynesian DSGE-model with financial frictions and an endogenous financial accelerator mechanism. Third, I investigate how perfect and imperfect labor markets, in a setting with interactions between production factor costs and the intermediation of credit, affect the transmission mechanism of monetary policy. The analysis reveals that financial frictions reduce the factor demand elasticity of capital to a change in wages. This finding is relevant for the determination of optimal monetary policy, both for financial shocks and supply shocks inflation stabilization imposes high welfare costs. At the same time, stabilizing nominal wages becomes welfare beneficial by reducing both the volatility of the credit spread and the output gap.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125463670","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}

{"title":"The Year of Living Dangerously: The Covid-19 Shock and the Probability of Deflation","authors":"Kevin L. Kliesen","doi":"10.20955/es.2020.14","DOIUrl":"https://doi.org/10.20955/es.2020.14","url":null,"abstract":"With inflation currently low, the probability that it turns negative (deflation) will likely increase over the near term.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128834151","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}

{"title":"Money/Asset Ratio as a Predictor of Inflation","authors":"N. Do","doi":"10.2139/ssrn.3549021","DOIUrl":"https://doi.org/10.2139/ssrn.3549021","url":null,"abstract":"In this paper, a P-star model was modified to forecast inflation using an argument that is in line with the concept of “price gap”. Liquid assets such as government bonds were also included to measure money demand for asset transaction. The out-of-sample forecast results show that money supply/government debt ratio is a useful predictor of U.S. inflation in the sense that money/asset model significantly outperforms auto-regressive models over 1- to 3-year horizons during the period 1985Q1-2019Q4. These results also imply that inflation in the U.S. can be explain by two ratios: money supply and government debt as percentage of gross domestic product (GDP). Moreover, the relationship between inflation and government debt is negative because the latter positively affect demand for money.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114277504","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}

{"title":"Are Fiscal Budget Deficits Inflationary? Evidence in the Case of Tanzania","authors":"M. Ndanshau, J. Mtui","doi":"10.2139/ssrn.3637289","DOIUrl":"https://doi.org/10.2139/ssrn.3637289","url":null,"abstract":"This study has employed (bounds) Autoregressive Distributive Lag (ARDL) cointegration and Granger causality tests to empirically establish the relationship between budget deficits, money supply and inflation in Tanzania during the period 1967-2018. The study established inflation, money supply and budget deficit, as conditioned by output were cointegrated. Nonetheless, the null hypotheses that budget deficit Granger cause inflation and money supply Granger cause inflation both over the short and long-run periods. In contrast, the null hypothesis that either inflation or money supply Granger cause budget deficit over the short-run was accepted. Even though, the causal effect of money growth on inflation was positive and that of budget deficit was unexpectedly negative. The results also revealed the causal effect of economic growth on inflation was negative and statistically significant over short-run and long-run. The findings emphasizes importance of monetary policy in macroeconomic stabilization, and also prudent fiscal policy and attendance to structural factors to achieve price stability.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"118 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126421975","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}

{"title":"Natural Rate Chimera and Bond Pricing Reality","authors":"Claus Brand, G. Goy, Wolfgang Lemke","doi":"10.2139/ssrn.3530892","DOIUrl":"https://doi.org/10.2139/ssrn.3530892","url":null,"abstract":"Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are cornerstones determining equilibrium yields across maturities and macroeconomic trends. Taking into account the secular decline in equilibrium rates, term premia exhibit cyclical behavior over the business cycle, rather than the commonly reported trend. Our estimates suggest a fall in r from a pre-crisis level of about 3% to around zero, but estimates are subject to sizeable uncertainty. Including survey expectations can lift r estimates for recent quarters by a margin.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127373456","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}

{"title":"Questioning the Puzzle: Fiscal Policy, Exchange Rate and Inflation","authors":"L. Ferrara, Luca Metelli, Filippo Natoli, D. Siena","doi":"10.2139/ssrn.3526007","DOIUrl":"https://doi.org/10.2139/ssrn.3526007","url":null,"abstract":"The paper re-investigates the effects of government spending shocks on the real exchange rate and inflation. In contrast with some previous puzzling results, we find that an increase in government spending appreciates the real exchange rate and is inflationary; besides, it induces a trade balance deficit and a decrease in consumption. The discrepancy with the existing literature lies in the identification of fiscal shocks: embedding a narrative approach in a proxy-SVAR is what makes the difference. Empirical findings are then well explained by a standard estimated open real business cycle model.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132500518","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}

{"title":"Inflation and Public Debt Reversals in Advanced Economies","authors":"Ichiro Fukunaga, T. Komatsuzaki, Hideaki Matsuoka","doi":"10.5089/9781513521596.001","DOIUrl":"https://doi.org/10.5089/9781513521596.001","url":null,"abstract":"This paper quantitatively assesses the effects of inflation shocks on the public debt-to-GDP ratio in 19 advanced economies using simulation and estimation approaches. The simulations based on the debt dynamics equation and estimations of impulse responses by local projections both suggest that a 1 percentage point shock to inflation rate reduces the debt-to-GDP ratio by about 0.5 to 1 percentage points. The results also suggest that the impact is larger and more persistent when the debt maturity is longer, but the difference from the benchmark case is not significant. These results imply that modestly higher inflation, even if accompanied by some financial repression, could reduce public debt burden only marginally in many advanced economies.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126885398","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}

{"title":"The Cost of Heterogeneity: Can Density Peaks Clustering Improve CES Aggregation?","authors":"Chris Surro","doi":"10.2139/ssrn.3627757","DOIUrl":"https://doi.org/10.2139/ssrn.3627757","url":null,"abstract":"This paper applies recent advances in machine learning to a long-standing macroeconomics question by using density peaks clustering to improve estimation of aggregate price indexes. To measure a price index that properly accounts for consumer welfare, it is important to consider the effect of changes in product variety. Standard methods for estimating this effect using CES demand systems implicitly rely on the assumption that consumer tastes can be accurately represented by a single taste parameter. However, if consumers have heterogeneous unobserved tastes across goods, the estimated aggregate elasticity will tend to be lower than that of the groups. By clustering consumers into groups that share similar tastes, we can accurately estimate elasticity and get more representative measurements for each consumer’s cost of living. Applying the method to a panel of consumer retail purchases, I show that methods that ignore consumer heterogeneity imply elasticities on average 20% below my method and inflation rates about half a percentage point per year lower than a weighted average of the heterogeneous groups.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116291285","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}

{"title":"The Inflationary Effects in a Crisis and the Risk Management Strategy with International Reserves","authors":"A. Silva Jr.","doi":"10.2139/ssrn.3481464","DOIUrl":"https://doi.org/10.2139/ssrn.3481464","url":null,"abstract":"This work presents a model of a two-period economy where the household has a CRRA utility function and monetary policy impacts his budgetary constraint. There are two possible states of nature in the second period: a normal state and a crisis state. The policy maker buys an Arrow-Debreu security to insure against crisis. The costs of the Arrow-Debreu security are equal to the costs of holding international reserves. The model considers that the central bank wants to avoid crisis and to smooth inflation and then the main contribution of this paper is to connect monetary policy with the precautionary motivation of holding international reserves. As a result, the framework provides an equation to calculate the level of international reserves and the model calibration shows that the equation can help to evaluate international reserves holdings. The calibration also shows that not considering monetary policy in the risk management strategy can lead to an underestimated amount of international reserves.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130996333","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}