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Is the Working Capital Channel of the Monetary Policy Quantitatively Relevant? A Structural Estimation Approach 货币政策的流动资金渠道是否与数量相关?一种结构估计方法
Econometric Modeling: Macroeconomics eJournal Pub Date : 2021-02-07 DOI: 10.2139/ssrn.3781175
Hamilton Galindo Gil
{"title":"Is the Working Capital Channel of the Monetary Policy Quantitatively Relevant? A Structural Estimation Approach","authors":"Hamilton Galindo Gil","doi":"10.2139/ssrn.3781175","DOIUrl":"https://doi.org/10.2139/ssrn.3781175","url":null,"abstract":"How big is the working capital channel? To answer this question, I estimate a dynamic model of investment with a working capital channel. I study this question for all firms listed in Compustat and for seven industries. For all the sample, I find that the working capital channel is not full as commonly is assumed in macroeconomic models, but it is still quantitatively important since its estimated value is 0.76. Analysis by industry suggests that the Retail Trade sector has the lowest working capital channel (0.48), the biggest sector in terms of number of firms -Manufacturing- has a strong one (0.7), and Agriculture and Construction sectors have a full working capital channel (1). These results provide microeconomic evidence on the quantitative relevance of working capital channel with a potential effect on macroeconomic models and monetary policy.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125464352","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
Population Aging and International Monetary Transmission 人口老龄化与国际货币传导
Econometric Modeling: Macroeconomics eJournal Pub Date : 2021-02-01 DOI: 10.2139/ssrn.3779687
Myunghyun Kim
{"title":"Population Aging and International Monetary Transmission","authors":"Myunghyun Kim","doi":"10.2139/ssrn.3779687","DOIUrl":"https://doi.org/10.2139/ssrn.3779687","url":null,"abstract":"This paper shows, using a three-country life-cycle model, that a contractionary U.S. monetary policy shock has weaker effects on output in an old country than in a young country. In response to the shock, despite a larger fall in consumption in the old country, investment there decreases by less and net exports rise by more, which enables output in the old country to decline by less. I then empirically show that the shock brings about a smaller fall in output and a greater rise in net exports in old countries using VARs, and that the shock leads to a larger fall in consumption and a smaller decrease in investment in old countries using the local projection method. The stronger incentives to save in the old country due to the longer life expectancy play a key role in generating these results.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129779299","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
Measuring Macroeconomic Uncertainty: The Labor Channel of Uncertainty from a Cross-Country Perspective 衡量宏观经济不确定性:跨国视角下的劳动力不确定性渠道
Econometric Modeling: Macroeconomics eJournal Pub Date : 2021-01-14 DOI: 10.2139/ssrn.3628071
Andreas Dibiasi, Samad Sarferaz
{"title":"Measuring Macroeconomic Uncertainty: The Labor Channel of Uncertainty from a Cross-Country Perspective","authors":"Andreas Dibiasi, Samad Sarferaz","doi":"10.2139/ssrn.3628071","DOIUrl":"https://doi.org/10.2139/ssrn.3628071","url":null,"abstract":"This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to identify the effects of uncertainty shocks on economic activity under different employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125990838","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
Do We Reject Restrictions Identifying Fiscal Shocks? Identification Based on non-Gaussian Innovations 我们拒绝限制识别财政冲击吗?基于非高斯创新的识别
Econometric Modeling: Macroeconomics eJournal Pub Date : 2021-01-11 DOI: 10.2139/ssrn.3764888
Madina Karamysheva, A. Skrobotov
{"title":"Do We Reject Restrictions Identifying Fiscal Shocks? Identification Based on non-Gaussian Innovations","authors":"Madina Karamysheva, A. Skrobotov","doi":"10.2139/ssrn.3764888","DOIUrl":"https://doi.org/10.2139/ssrn.3764888","url":null,"abstract":"This paper is devoted to fiscal shock identification based on the assumption of nonGaussianity of the errors, which can be easily tested. We use additional co-kurtosis conditions in GMM estimation of the AB-model to estimate the dynamic effects of fiscal shocks and find fiscal multipliers in the U.S. economy. Our approach results in higher tax multipliers on average relative to Blanchard and Perotti 2002 and Leeper, Walker, and Yang 2013. Testing the restrictions, we are not able to reject them in Blanchard and Perotti 2002 model. Once we control for fiscal foresight, we can reject restrictions both individually and all together. Finally, comparing elasticities of tax revenue to output to elasticities found in the literature, rejecting most of them, we are not able to reject the one of Caldara and Kamps 2017.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124516114","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
Measuring Central Banks’ Sentiment and its Spillover Effects with a Network Approach 用网络方法衡量央行情绪及其溢出效应
Econometric Modeling: Macroeconomics eJournal Pub Date : 2021-01-11 DOI: 10.2139/ssrn.3764004
Maria Paola Priola, Piero Lorenzini, Giacomo Tizzanini, Lea Zicchino
{"title":"Measuring Central Banks’ Sentiment and its Spillover Effects with a Network Approach","authors":"Maria Paola Priola, Piero Lorenzini, Giacomo Tizzanini, Lea Zicchino","doi":"10.2139/ssrn.3764004","DOIUrl":"https://doi.org/10.2139/ssrn.3764004","url":null,"abstract":"Applying text analysis to speeches and press releases we construct a Sentiment Index (CBSI) of four central banks to (i) investigate spillovers generated by CBSIs on financial variables with GIRF; (ii) analyze the time-varying and statistically significant spillovers among CBs’ communication with a new a two-step network approach. We find that after the Great Recession the sentiment conveyed by CBs became more negative. Second, CBSIs influence financial variables with the right sign. Finally, CBSIs affect each other and these effects are time-varying: the Fed seems to be the most influential institution, especially in the aftermath of the Great Recession and the ECB appears to have increased its communication spillovers after the European Debt Crisis.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130937457","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
Estimation Methods for the Upper Tail of the Wealth Distribution 财富分配上尾的估计方法
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-12-13 DOI: 10.2139/ssrn.3754363
S. Toussaint
{"title":"Estimation Methods for the Upper Tail of the Wealth Distribution","authors":"S. Toussaint","doi":"10.2139/ssrn.3754363","DOIUrl":"https://doi.org/10.2139/ssrn.3754363","url":null,"abstract":"This paper investigates methods to estimate the upper tail of the wealth distribution. I compare data types and estimation methods using data from the Netherlands for the period 1993–2018, exploiting the unique availability of multiple types of data for this context. In addition to comparing the existing methods of OLS regression, Maximum Likelihood, and Generalized Pareto interpolation, I develop a new method to combine data from several sources. This method, called Robust Pareto Regression, combines local estimates of wealth concentration from individual data sources, and uses fixed effects methods to correct for the heterogeneity across data sources and years. Several conclusions emerge: (i) No data source on its own accurately captures the top tail, meaning that all sources need to be adjusted or combined to estimate top wealth. (ii) Combining surveys with rich lists is highly sensitive to the quality of the underlying data sources; generalized Pareto interpolation partly addresses this concern, but straight Pareto regression and Maximum Likelihood methods do not. (iii) Robust Pareto Regression is preferable to existing methods, since it more adequately adjusts for data heterogeneity, and easily shows trends over time.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133135164","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
Maximizing Utility of Withdrawals in Retirement and the Efficiency of Required Minimum Distributions 退休时提款的效用最大化和所需的最低分配效率
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-12-02 DOI: 10.2139/ssrn.3740927
C. Chambers
{"title":"Maximizing Utility of Withdrawals in Retirement and the Efficiency of Required Minimum Distributions","authors":"C. Chambers","doi":"10.2139/ssrn.3740927","DOIUrl":"https://doi.org/10.2139/ssrn.3740927","url":null,"abstract":"We focus on a simplified problem for a risk-averse retiree seeking to maximize utility associated with annual spending and a remaining value at the end of the problem horizon when the funds are extracted from a portfolio that includes a risk-free and a risky asset. To organize discussions about this setting we utilize a novel metric which we label “Efficiency”. This measurement compares the utility derived from annual withdrawals and the final value with a benchmark based upon the maximum sustainable spending rate that could have been chosen under perfect information. We use 10,000 scenarios developed using historical data to evaluate efficiency over a family of spending rules and asset allocations. In the process, we develop insights about the structure of such rules, and asset allocation schemes. The metric used here can be useful by planners and advisors who wish to present a comparison of policies built around upon a single value. Some withdrawal strategies will outperform the benchmark for many investors. In particular, we find that strategies built around Required Minimum Distribution (RMD) rules are surprisingly efficient and also have characteristics that mitigate against some effects of market risk, longevity risk, and sequencing risk. Our findings suggest that advisors and clients will be well served by comparing policies in a consistent way and that we all should more seriously consider withdrawal strategies built around RMD rules.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128586009","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
Granular Instrumental Variables 粒状工具变量
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-12-01 DOI: 10.2139/ssrn.3368612
X. Gabaix, R. Koijen
{"title":"Granular Instrumental Variables","authors":"X. Gabaix, R. Koijen","doi":"10.2139/ssrn.3368612","DOIUrl":"https://doi.org/10.2139/ssrn.3368612","url":null,"abstract":"We propose a new way to construct instruments in a broad class of economic environments: “granular instrumental variables” (GIVs). In the economies we study, a few large firms, in- dustries or countries account for an important share of economic activity. As the idiosyncratic shocks from these large players affect aggregate outcomes, they are valid and often powerful instruments. We provide a methodology to extract idiosyncratic shocks from the data in order to create GIVs, which are size-weighted sums of idiosyncratic shocks. These GIVs allow us to then estimate parameters of interest, including causal elasticities and multipliers. We first illustrate the idea in a basic supply and demand framework: we achieve a novel identification of both supply and demand elasticities based on idiosyncratic shocks to either supply or demand. We then show how the procedure can be enriched to work in many sit- uations. We provide illustrations of the procedure with two applications. First, we measure how “sovereign yield shocks” transmit across countries in the Eurozone. Second, we estimate short-term supply and demand multipliers and elasticities in the oil market. Our estimates match existing ones that use more complex and labor-intensive (e.g., narrative) methods. We sketch how GIVs could be useful to estimate a host of other causal parameters in economics.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122705022","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: 53
The International Dimension of a Fragile EMU 脆弱的欧洲货币联盟的国际层面
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-12-01 DOI: 10.2139/ssrn.3771348
Demosthenes Ioannou, M. Pagliari, Livio Stracca
{"title":"The International Dimension of a Fragile EMU","authors":"Demosthenes Ioannou, M. Pagliari, Livio Stracca","doi":"10.2139/ssrn.3771348","DOIUrl":"https://doi.org/10.2139/ssrn.3771348","url":null,"abstract":"This paper quantifies the economic influence that shocks to EMU cohesion, which in turn reflect the incomplete nature of the monetary union, have on the rest of the world, by disentangling euro area stress shocks and global risk aversion shocks on the basis of a combination of sign, magnitude and narrative restrictions in a daily Structural Vector Autoregression (VAR) model with financial variables. We find that the effects of euro area stress shocks are significant not only for the euro area but also for the rest of the world. Notably, an increase in euro area stress entails a slowdown of economic activity in the rest of the world, as well as a fall in imports/exports of both the euro area and the rest of the world. A decrease in euro area stress has somewhat more widespread beneficial effects on both economic performance and global trade activity","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"03 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130457083","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
Weigh(T)Ing the Basket: Aggregate and Component-Based Inflation Forecasts for the Euro Area 权衡(T)篮子:欧元区的总体和基于组成部分的通胀预测
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-12-01 DOI: 10.2139/ssrn.3748331
Andrej Sokol, M. Porqueddu, Jakub Chalmovianský
{"title":"Weigh(T)Ing the Basket: Aggregate and Component-Based Inflation Forecasts for the Euro Area","authors":"Andrej Sokol, M. Porqueddu, Jakub Chalmovianský","doi":"10.2139/ssrn.3748331","DOIUrl":"https://doi.org/10.2139/ssrn.3748331","url":null,"abstract":"We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with forecasting practices at many policy institutions. Our main findings are that point forecasts perform similarly using both approaches, whereas directly forecasting aggregate indices tends to yield better density forecasts. In the aftermath of the Great Financial Crisis, relative forecasting performance was typically only affected temporarily. Inflation forecasts made by Eurosystem/ECB staff perform similarly or slightly better than those from our models for the euro area.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"259 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115881737","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
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