Econometric Modeling: Macroeconomics eJournal最新文献

{"title":"Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model","authors":"B. van Os, Dick J. C. van Dijk","doi":"10.2139/ssrn.3693215","DOIUrl":"https://doi.org/10.2139/ssrn.3693215","url":null,"abstract":"The dynamic factor Markov-switching (DFMS) model introduced by Diebold and Rudebusch (1996) has proven to be a powerful framework to measure the business cycle. We extend the DFMS model by allowing for time-varying transition probabilities, with the aim of accelerating the real-time dating of turning points between expansion and recession regimes. Time-variation of the transition probabilities is brought about endogenously using the accelerated score-driven approach and exogenously using the term spread. In a real-time application using the four components of The Conference Board’s Coincident Economic Index for the period 1959-2020, we find that signaling power for recessions is significantly improved and are able to date the 2001 and 2008 recession peaks four and ten months before the NBER.<br>","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121387628","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":"High-Frequency Estimates of the Natural Real Rate and Inflation Expectations","authors":"A. Aronovich, Andrew C. Meldrum","doi":"10.2139/ssrn.3739072","DOIUrl":"https://doi.org/10.2139/ssrn.3739072","url":null,"abstract":"We propose a new method of estimating the natural real rate and long-horizon inflation expectations, using nonlinear regressions of survey-based measures of short-term nominal interest rates and inflation expectations on U.S. Treasury yields. We find that the natural real rate was relatively stable during the 1990s and early 2000s, but declined steadily after the global financial crisis, before dropping more sharply to around 0 percent during the recent COVID-19 pandemic. Long-horizon inflation expectations declined steadily during the 1990s and have since been relatively stable at close to 2 percent. According to our method, the declines in both the natural real rate and long-horizon inflation expectations are clearly statistically significant. Our estimates are available at whatever frequency we observe bond yields, making them ideal for intraday event-study analysis--for example, we show that the natural real rate and long-horizon inflation expectations are not affected by temporary shocks to the stance of monetary policy.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"33 8","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120986683","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 'Puzzle' of Vanishing Inflation","authors":"D. Carr","doi":"10.2139/ssrn.3730648","DOIUrl":"https://doi.org/10.2139/ssrn.3730648","url":null,"abstract":"Low and unresponsive inflation has been termed a “puzzle.”. The paper combines a monetary model and a growth model to explain low inflation and project its continued decline.<br><br>The monetary model forecast in 2016 central banks would fail to reach 2% targets, which has been true. The model explains inflation as changes of the unit value of a currency, a function of long lags of monetary aggregates. The model provides a highly significant statistical explanation for virtually all variability of forward long-term inflation and corresponds closely to inflation expectations measures. Its U.S. inflation forecasts are comparable to recognized leaders in accuracy with potential international applicability as well. The responsiveness of inflation to monetary stimulus is increasingly inelastic at a geometric rate, explaining central banks’ difficulty attaining targets.<br><br>While the monetary model explains virtually all variability of long-term inflation, an element of the level of inflation is explained by non-monetary factors, population growth and Hotelling interest rate effects. A Hotelling interest rate effect is found in general inflation from production factors such as labor in addition to commodities, explaining why previous Hotelling commodity tests were generally unsuccessful. A growth model finds natural interest, total factor productivity, and population growth converge and all are related to real growth. Each of these factors has been in fifty year declines in advanced economies, with a consequent reduction of inflation.<br><br>Between the decline of real factors affecting inflation and its inelasticity to monetary stimulus, it is far more likely major central banks will be staving off zero inflation or deflation than that they will realize 2% targets.<br>","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127307893","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":"Understanding Trend Inflation Through the Lens of the Goods and Services Sectors","authors":"Yunjong Eo, L. Uzeda, Benjamin Wong","doi":"10.2139/ssrn.3717699","DOIUrl":"https://doi.org/10.2139/ssrn.3717699","url":null,"abstract":"La politique monetaire cherche dans une large mesure a agir sur la part de l’inflation qui est durable ou permanente, laquelle est souvent qualifiee d’« inflation tendancielle ». Il suffit d’ouvrir n’importe quel rapport sur la politique monetaire de la Reserve federale americaine pour constater que cette banque centrale se focalise non seulement sur l’inflation globale, mais aussi sur des mesures de l’inflation dite « sous-jacente » ou « fondamentale » qui excluent les composantes les plus volatiles comme l’alimentation et l’energie. Cette strategie repose sur l’idee que les fluctuations des prix des aliments et de l’energie ne sont en definitive que temporaires et que les considerations de politique monetaire concernant la trajectoire a long terme de l’inflation devraient en faire abstraction. Les notions d’inflation tendancielle et d’inflation fondamentale sont donc etroitement liees, puisque l’une et l’autre permettent d’obtenir une lecture de l’inflation qui n’est pas entachee du « bruit » cense s’estomper a court terme. \u0000 \u0000Or, les prix dans les secteurs des biens et des services – les deux grands secteurs sur lesquels repose la mesure de l’inflation – ont evolue selon des dynamiques tres differentes au cours des 30 dernieres annees. Dans cette etude, nous avons cherche a comprendre comment des evolutions sectorielles aussi contrastees se repercutent sur la dynamique de l’inflation tendancielle globale. Nous elaborons a cette fin un cadre empirique qui prend en compte les variations de la volatilite de l’inflation tendancielle dans les secteurs des biens et des services aux Etats-Unis et les covariations entre ces inflations tendancielles sectorielles au fil du temps. \u0000 \u0000La principale conclusion de notre etude est que si les deux secteurs contribuaient auparavant a la variation totale de l’inflation tendancielle globale, depuis les annees 1990, les variations de cette mesure sont presque entierement attribuables au secteur des services. Ce resultat tient a deux changements intervenus dans la dynamique de l’inflation particuliere a chaque secteur : premierement une baisse marquee de la variance de l’inflation tendancielle dans le secteur des biens et, deuxiemement, la disparition de la covariation entre les deux secteurs. Nous arrivons a des conclusions similaires quand nous etendons notre analyse aux cas de l’Australie et du Canada, ce qui donne a penser que le phenomene n’est pas propre aux Etats-Unis.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122177457","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":"Intergenerational Altruism: Estimates Based on News About Expected Mortality","authors":"J. Kvaerner","doi":"10.2139/ssrn.2985465","DOIUrl":"https://doi.org/10.2139/ssrn.2985465","url":null,"abstract":"This paper analyzes the inter-vivos transfers and bequest decisions of about 700,000 individuals during a period when the decision-maker receives negative news about future life expectancy. The event that produces the news is a negative health outcome. In line with models of dynastic utility maximization, increases in expected mortality increase the likelihood of transferring wealth to the next generation along both the intensive and the extensive margins. The size of the inter-vivos transfer and the bequest are positively related to the wealth of the parent and the severity of the diagnosis--irrespective of diagnosis-specific demand for informal care.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124728938","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":"Разработка методических подходов к оценке эффективности инвестиций в инфраструктуру с учетом зарубежного опыта (Development of Methodological Approaches to Assessing the Effectiveness of Investments in Infrastructure, Taking Into Account Foreign Experience)","authors":"R. Melnikov, Matvey Koptelov, Argishti Ginoyan, V. Krasnoshchekov, Tatiana Spitsyna","doi":"10.2139/ssrn.3713028","DOIUrl":"https://doi.org/10.2139/ssrn.3713028","url":null,"abstract":"<b>Russian Abstract:</b> В работе предложены методы оценки эффективности инфраструктурных инвестиций на макроэкономическом и проектном уровнях. С использованием панельных данных и методов пространственной эконометрики изучено влияние развития инфраструктуры на экономический рост в российских регионах. Оценено влияние создания высокотехнологичных перинатальных центров на снижение младенческой и материнской смертности с учетом эффекта кривой обучения. Разработаны методические подходы к оценке информационных рисков и рисков отклонения фактической выработки электроэнергии от проектной при<br>реализации проектов сооружения атомных станций.<br><br><b>English Abstract:</b> The study proposes methods of infrastructural investments evaluation at macroeconomic and project levels. The impact of infrastructure development on economic growth in Russian regions has been studied using methods of spatial econometrics and panel data. The impact of high-tech perinatal centers opening on reducing infant and maternal mortality has been evaluated considering the effect of learning curve. The techniques to assess information risks and risks of deviation of actual electricity generation from the projected level of nuclear power plant construction projects have been developed.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134048838","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 Impact of Vocational Training on Labor Market Outcomes in the Philippines","authors":"P. Vandenberg, Jade R. Laranjo","doi":"10.2139/ssrn.3773541","DOIUrl":"https://doi.org/10.2139/ssrn.3773541","url":null,"abstract":"The paper analyzes the labor market outcomes of graduates of post-secondary technical and vocational education and training (TVET) in the Philippines. Based on human capital theory, our guiding assumption is that investment in education is rewarded through higher wages and a greater likelihood of being employed. Using household data for 2015–2016, the results show significantly higher wages for TVET graduates relative to those who entered the job market with a secondary school education or below. However, individuals who both trained in TVET and pursued tertiary (university) education tend to have a lower wage than those with secondary school education or below. This counterintuitive result is explained by the tendency for such dual-level individuals to complete the lowest level of TVET. Another result is that TVET graduates are more likely to be employed than both those who only studied at secondary school or below and those who studied at the tertiary level. The results are generated from a linear regression model that corrects for sample selection into employment and from the use of propensity score matching which addresses selection into TVET.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130092918","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":"Trajectories to High Income: Growth Dynamics in Japan, the People’s Republic of China, and the Republic of Korea","authors":"M. Murach, H. Wagner, Jungsuk Kim, Donghyun Park","doi":"10.22617/wps200276-2","DOIUrl":"https://doi.org/10.22617/wps200276-2","url":null,"abstract":"We analyze and compare the patterns of economic growth and development in the Japan, the People’s Republic of China, and the Republic of Korea in the postwar period. The geographical proximity and cultural affinity between the three countries, as well as the key role of the development state in the economies, suggest that an analytical comparison would be a meaningful and valuable exercise. Furthermore, Japan and the Republic of Korea are two of the few economies that have jumped from middle income to high income in a short period and thus offer potentially valuable lessons for the PRC. We use Cobb–Douglas production functions to assess the long-run equilibrium relationships between per capita gross domestic product, capital, and labor by means of cointegrated vector autoregressive models. We show that such equilibrium relationships cannot be rejected for all three countries, while the evidence is stronger for the PRC and the Republic of Korea than for Japan. Our hypothesis tests show that the estimated Cobb–Douglas production functions display coefficients of capital and employment that sum up to 1 and broken linear trends that can be attributed to structural breaks and (changes in) total factor productivity growth. We observe a striking similarity between the experience in the Republic of Korea and the PRC, which gives some optimism that the PRC may be capable of graduating to high income, like the Republic of Korea.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114834366","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":"Sovereign Default and the Decline in Interest Rates","authors":"Max Miller, James D. Paron, Jessica A. Wachter","doi":"10.2139/ssrn.3641568","DOIUrl":"https://doi.org/10.2139/ssrn.3641568","url":null,"abstract":"Sovereign debt yields have declined dramatically over the last half-century. Standard explanations for this decline, including aging populations and increases in asset demand from abroad, encounter difficulties when confronted with the full range of evidence across asset classes. We propose instead that the decline in inflation and default risk caused falling interest rates, a phenomenon that is not unique to our century. We show that a model with investment, inventory storage, and sovereign default captures the decline in interest rates, the stability of equity valuation ratios, and the recent reduction in investment and output growth corresponding to the zero lower bound.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132508885","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":"Does Product Revenue Matter for Price Setting and Monetary Policy Transmission?","authors":"Dongik Kang, Andrew Usher","doi":"10.2139/ssrn.3363889","DOIUrl":"https://doi.org/10.2139/ssrn.3363889","url":null,"abstract":"Using retail scanner data, we find that the probability of price adjustment increases with a product's revenue, and the average absolute size of price adjustment decreases with the product's revenue. Furthermore, the responsiveness of prices to monetary shocks increases with product revenue. These facts are consistent with menu cost models in which the menu cost increases less than one-to-one with revenue, and inconsistent with models in which the menu cost increases one-to-one with revenue. In a calibrated menu cost model, the real effect of monetary policy is smaller in economies in which the price response to monetary policy shocks increases with revenue than in economies where no such relationships exist. Together with cyclical shifts in the revenue distribution, the increase in price responsiveness with revenue introduces a counter-cyclical effect that strengthens the real effect of monetary policy during recessions.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121371676","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}