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What Drives Indian Inflation? Demand or Supply 是什么推动了印度的通货膨胀?需求或供给
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-07-22 DOI: 10.2139/ssrn.3657956
A. Goyal, Abhishek Kumar
{"title":"What Drives Indian Inflation? Demand or Supply","authors":"A. Goyal, Abhishek Kumar","doi":"10.2139/ssrn.3657956","DOIUrl":"https://doi.org/10.2139/ssrn.3657956","url":null,"abstract":"In this paper, we estimate a structural shock (inflation shock) that explains maximum forecast error variance of inflation using a structural vector auto regression (SVAR) framework. Our identification is agnostic and not based on sign and zero restrictions commonly used in SVAR literature. Estimated shock explains more than 80 percent variance of inflation up-to 40 quarters. This shock increases inflation and decreases output; implying that it is a supply shock. It also, increases interest rate and decreases credit and investment. The shock also explains more than 40 percent of variance of credit, output, investment and interest rate over the same time period; suggesting that this shock is a significant driver of Indian business cycle. Using the shocks obtained from a medium scale new Keynesian model, we provide additional evidence that most of the variance of estimated inflation shock is explained by supply shocks.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132963181","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
Stability in Regime Switching VAR 状态切换VAR的稳定性
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-06-29 DOI: 10.2139/ssrn.3788533
Pu Chen, Chih-Ying Hsiaoy, W. Semmler
{"title":"Stability in Regime Switching VAR","authors":"Pu Chen, Chih-Ying Hsiaoy, W. Semmler","doi":"10.2139/ssrn.3788533","DOIUrl":"https://doi.org/10.2139/ssrn.3788533","url":null,"abstract":"In this paper, we consider the stability in regime-switching autoregressive models. Applying the concept of joint spectral radius to the regime-switching systems we provide a sufficient condition for the stationarity and the ergodicity of the regime-switching autoregressive models.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"92 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132365085","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
Article Effet Non Linéaire De L’endettement Sur La Croissance Dans l’UEMOA (the Non Linear Effect of Debt to Economic Growth in WEAMU Countries) 《债务对经济增长的非线性影响》(the非线性影响of Debt to Economic Growth in WEAMU Countries)
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-06-19 DOI: 10.2139/ssrn.3631079
Soulama Patrice
{"title":"Article Effet Non Linéaire De L’endettement Sur La Croissance Dans l’UEMOA (the Non Linear Effect of Debt to Economic Growth in WEAMU Countries)","authors":"Soulama Patrice","doi":"10.2139/ssrn.3631079","DOIUrl":"https://doi.org/10.2139/ssrn.3631079","url":null,"abstract":"<b>French Abstract:</b> L’objectif de cette recherche est d’analyser l’effet non linéaire de la dette publique sur la croissance économique dans la zone UEMOA au cours de la période allant de 2005 à 2018. En utilisant une combinaison du modèle PSTAR (Panel Smooth Transition Autoregressive model) et du modèle PSTR .Les résultats montrent que l’endettement public a des effets non linéaires et significatifs sur la croissance économique et indiquent l’existence d’un seuil de 50% du ratio d’endettement, au-delà duquel tout accroissement de la dette publique affecte négativement la croissance dans la zone. Les résultats donnent également un seuil minimum de 59% pour la Côte d’Ivoire et un seuil maximum de 65% pour le Mali. Ce travail a suggéré le contrôle de la dette publique et la substitution progressive de la dette publique extérieure par la dette publique intérieure. <br><br><b>English Abstract:</b> The objective of this paper is to analyze the relationship between debt and economy grow in WEAMU. We used PSTR and PSTAR for our estimations. The conclusion is that: the relation between debt and growth is not linear .After 50% debt affect negatively growth in weamu. The less level ils show in Ivory Cost and the height in Mali. We suggest to replace public debt by intern debt.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"214 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121722879","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
Stressing the Fed Stress Tests Against COVID-19 强调美联储针对COVID-19的压力测试
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-06-19 DOI: 10.2139/ssrn.3635187
Simon M. Potter, Til Schuermann
{"title":"Stressing the Fed Stress Tests Against COVID-19","authors":"Simon M. Potter, Til Schuermann","doi":"10.2139/ssrn.3635187","DOIUrl":"https://doi.org/10.2139/ssrn.3635187","url":null,"abstract":"COVID-19 is a new type of shock that is likely to produce losses on loans and financial assets higher and more correlated than historical adverse macroeconomic shocks unless policy stabilization efforts are successful. Further, the sudden economic stop caused by the need for social distancing requires bridge financing to support existing contractual arrangements for employment, debt service, and a range of other obligations. Society has resources in the form of taxation of future income that it can move to the present to provide bridge financing and absorb losses from defaulting loans and ensure that existing forms of capital (physical, human and intangible) remain available for production after the COVID-19 virus wanes. For the US this is taking the form of transfers, direct loans and equity from the US Treasury (UST), and UST “capital” used to back the Federal Reserve’s various lending facilities under its 13(3) authority. The goal of this note is to provide a simple framework to analyze how much UST capital is needed to back the Fed Facilities to achieve the stabilization goal. Simply put, what should be the aggregate capacity (leverage) of the facilities, and how much capital will be available in tail outcomes where the private banking system faces losses greater than its substantial capital buffer? We will bootstrap recent Federal Reserve stress test results to illustrate some possible answers to these questions. This is the notion of how we are stressing the stress tests.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129292834","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
Recession Forecasting With Big Data 用大数据预测衰退
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-06-18 DOI: 10.2139/ssrn.3630146
Lauri Nevasalmi
{"title":"Recession Forecasting With Big Data","authors":"Lauri Nevasalmi","doi":"10.2139/ssrn.3630146","DOIUrl":"https://doi.org/10.2139/ssrn.3630146","url":null,"abstract":"In this paper, a large amount of different financial and macroeconomic variables are used to predict the U.S. recession periods. We propose a new cost-sensitive extension to the gradient boosting model which can take into account the class imbalance problem of the binary response variable. The class imbalance, caused by the scarcity of recession periods in our application, is a problem that is emphasized with high-dimensional datasets. Our empirical results show that the introduced cost-sensitive extension outperforms the traditional gradient boosting model in both in-sample and out-of-sample forecasting. Among the large set of candidate predictors, different types of interest rate spreads turn out to be the most important predictors when forecasting U.S. recession periods.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"1231 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132087242","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
Effect of State and Local Sexual Orientation Anti-Discrimination Laws on Labor Market Differentials 州和地方反性取向歧视法对劳动力市场差异的影响
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-06-16 DOI: 10.2139/ssrn.3625193
Scott Delhommer
{"title":"Effect of State and Local Sexual Orientation Anti-Discrimination Laws on Labor Market Differentials","authors":"Scott Delhommer","doi":"10.2139/ssrn.3625193","DOIUrl":"https://doi.org/10.2139/ssrn.3625193","url":null,"abstract":"This paper presents the first quasi-experimental research examining the effect of both local and state anti-discrimination laws on sexual orientation on the labor supply and wages of lesbian, gay, and bisexual (LGB) workers. To do so, I use the American Community Survey data on household composition to infer sexual orientation and combine this with a unique panel dataset on local anti-discrimination laws. Using variation in law implementation across localities over time, I find that anti-discrimination laws significantly reduce gaps in labor force participation rate, employment, and the wage gap for gay men relative to straight men. These laws also significantly reduce the labor force participation rate, employment, and wage premium for lesbian women relative to straight women. One explanation for the reduced labor supply and wage premium is that lesbian couples begin to have more children in response to the laws, shifting to a more traditional household with one woman working fewer hours. Finally, I present evidence that state anti-discrimination laws significantly and persistently increased support for same-sex marriage. This research shows that anti-discrimination laws can be an effective policy tool for reducing labor market inequalities across sexual orientation and improving sentiment toward LGB Americans.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128445122","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: 9
The Causality between Human Capital, Energy Consumption, CO2 Emissions, and Economic Growth: Empirical Evidence from Indonesia 人力资本、能源消耗、二氧化碳排放与经济增长的因果关系:来自印度尼西亚的经验证据
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-06-13 DOI: 10.2139/ssrn.3626060
Abdul Bashir, K. Thamrin, M. Farhan, M. Mukhlis, Dirta Pratama Atiyatna
{"title":"The Causality between Human Capital, Energy Consumption, CO2 Emissions, and Economic Growth: Empirical Evidence from Indonesia","authors":"Abdul Bashir, K. Thamrin, M. Farhan, M. Mukhlis, Dirta Pratama Atiyatna","doi":"10.2139/ssrn.3626060","DOIUrl":"https://doi.org/10.2139/ssrn.3626060","url":null,"abstract":"This study to investigate the causality between human capital, energy consumption, CO2 emissions, and economic growth in Indonesia. The data used world development indicator has obtained from the World Bank database during 1985-2017. The analysis method used vector error correction model. The finding of this study, first, there is the validity of long-run balance causality exists only for the model of human capital nor energy consumption; second, neither CO2 emissions per capita nor real gross domestic product (GDP) per capita cause human capital in the long-run causality nor short-run; Third, there is no causal evidence from the human capital, CO2 emission per capita, and real GDP per capita to consumption energy per capita, but in the short-run, there is causal evidence between CO2 emission and energy consumption; fourth, there is no causal evidence from the human capital, consumption energy per capita, and real GDP per capita toward CO2 emission per capita, but human capital, consumption energy, and economic growth cause CO2 emission in the short-run; and the last finding, there is no causal evidence from the human capital, consumption energy per capita, and CO2 emission per capita to real GDP per capita, neither in the long-run causality and short-run.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130295526","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: 56
Returns to Community Lending 社区借贷的回报
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-06-07 DOI: 10.2139/ssrn.3353786
Indraneel Chakraborty, Vidhi Chhaochharia, Rong Hai, P. Vatsa
{"title":"Returns to Community Lending","authors":"Indraneel Chakraborty, Vidhi Chhaochharia, Rong Hai, P. Vatsa","doi":"10.2139/ssrn.3353786","DOIUrl":"https://doi.org/10.2139/ssrn.3353786","url":null,"abstract":"For forty years, the Community Reinvestment Act (CRA) has encouraged U.S. banks to lend to lower-income neighborhoods. Regarding costs, to comply with CRA, banks substitute away from small-business lending to other income groups and face higher default rates on loans made. Regarding benefits, in recent years, approximately 65 thousand Americans are lifted out of poverty annually through the CRA small-business lending channel. New jobs are a stronger mechanism to alleviate poverty than new entrepreneurships. The incidence of the act is on smaller banks who lend more due to the act. Taxpayers benefit from lower welfare costs as poverty declines.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"188 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114203572","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
Wealth Inequality, Intergenerational Transfers and Family Background 财富不平等、代际转移和家庭背景
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3623547
Juan C. Palomino, G. A. Marrero, B. Nolan, Juan Gabriel Rodríguez
{"title":"Wealth Inequality, Intergenerational Transfers and Family Background","authors":"Juan C. Palomino, G. A. Marrero, B. Nolan, Juan Gabriel Rodríguez","doi":"10.2139/ssrn.3623547","DOIUrl":"https://doi.org/10.2139/ssrn.3623547","url":null,"abstract":"This paper estimates the contribution of intergenerational transfers (inheritances and gifts) and socioeconomic background to wealth inequality in four OECD countries: France, Spain, Great Britain and the United States. We generate a non-parametric counterfactual distribution where all differences in wealth associated with the intergenerational transfers received and the socioeconomic background have been removed. Despite the diversity of the four countries analysed, we find similar patterns in the results. The combined contribution of intergenerational transfers and socioeconomic background to wealth inequality is sizeable in all four countries studied, ranging from 37% in Great Britain to 48% in the US. When interactions between the two factors are controlled for, the net contribution of inheritances and gifts is between 23% and 30%, while the net contribution of family background lies between 4% and 11%. These values are substantial and reveal that the importance of intergenerational transfers in all these countries is at least twice that of socioeconomic background.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121080996","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
Biases in Fiscal Multiplier Estimates 财政乘数估计的偏差
Econometric Modeling: Macroeconomics eJournal Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3420838
Zareh Asatryan, Annika Havlik, F. Heinemann, Justus Nover
{"title":"Biases in Fiscal Multiplier Estimates","authors":"Zareh Asatryan, Annika Havlik, F. Heinemann, Justus Nover","doi":"10.2139/ssrn.3420838","DOIUrl":"https://doi.org/10.2139/ssrn.3420838","url":null,"abstract":"The \"true\" size of fiscal multipliers is widely debated by economists and policy makers as large (small) multipliers provide arguments to expand (cut) public spending. Within a meta-analytical framework, we ask whether the large observed variance in multiplier estimates can be explained by the national imprint and various author incentives. For this purpose, we use data on economists' personal characteristics including results from a selfconducted author survey. Our evidence is consistent with the hypotheses that the national background of researchers and the interests of donors financing the research matter for the degree and direction of multiplier estimates. These potential biases largely disappear for teams of international co-authors.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"529 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123453143","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
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