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Macroeconomics eJournal最新文献

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Wealth and the Capitalist Spirit 财富与资本主义精神
Macroeconomics eJournal Pub Date : 2008-06-01 DOI: 10.2139/ssrn.1144342
Johanna L. Francis
{"title":"Wealth and the Capitalist Spirit","authors":"Johanna L. Francis","doi":"10.2139/ssrn.1144342","DOIUrl":"https://doi.org/10.2139/ssrn.1144342","url":null,"abstract":"The wealth distribution in the U.S. is more unequal than either the income or earnings distribution, a fact current models of saving behavior have difficulty explaining. Using MaxWeber's (1905) idea that individuals may have a 'capitalist spirit', I construct and simulate a model where individuals accumulate wealth for its own sake rather than as deferred consumption. Including capitalist-spirit preferences in a simple life cycle model, with no other modifications, generates a skewness of wealth consistent with that observed in the U.S. economy. Furthermore, capitalist-spirit preferences provide a way to generate decreasing risk aversion with increases in wealth without resorting to idiosyncratic rates of time preference.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122623401","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: 48
Does Hedging Tell the Full Story? Reconciling Differences in US Aggregate and Industry-Level Exchange Rate Risk Premia 对冲说明了全部吗?调和美国总体和行业层面汇率风险溢价的差异
Macroeconomics eJournal Pub Date : 2008-05-28 DOI: 10.2139/SSRN.1138148
Bill Francis, I. Hasan, Delroy M. Hunter
{"title":"Does Hedging Tell the Full Story? Reconciling Differences in US Aggregate and Industry-Level Exchange Rate Risk Premia","authors":"Bill Francis, I. Hasan, Delroy M. Hunter","doi":"10.2139/SSRN.1138148","DOIUrl":"https://doi.org/10.2139/SSRN.1138148","url":null,"abstract":"While the importance of currency movements to industry competitiveness is theoretically well established, there is little evidence that currency risk impacts US industries. Applying a conditional asset-pricing model to 36 US industries, we find that all industries have a significant currency premium that adds about 2.47 percentage points to the cost of equity and accounts for approximately 11.7% of the absolute value of total risk premia. Cross-industry variation in the currency premium is explained by foreign income, industry competitiveness, leverage, liquidity and other industry characteristics, while its time variation is explained by US aggregate foreign trade, monetary policy, growth opportunities and other macro variables. The results indicate that methodological weakness, not hedging, explains the insignificant industry currency risk premium found in previous work, thus resolving the conundrum that the currency risk premium is important at the aggregate stock market level, but not at industry level.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133036116","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: 28
Government Policy in the Formal and Informal Sectors 正式和非正式部门的政府政策
Macroeconomics eJournal Pub Date : 2008-05-05 DOI: 10.2139/ssrn.985284
M. Prado
{"title":"Government Policy in the Formal and Informal Sectors","authors":"M. Prado","doi":"10.2139/ssrn.985284","DOIUrl":"https://doi.org/10.2139/ssrn.985284","url":null,"abstract":"The paper quantitatively investigates, in general equilibrium, the interaction between the firms' choice to operate in the formal or the informal sector and government policy on taxation and enforcement, given a level of regulation. A static version of Ghironi and Melitz’s (2005) industry model is used to show that firms with lower productivity endogenously choose to operate in the informal sector. I use cross-country data on taxes, measures of informality, and measures of regulation (entry and compliance costs, red tape, etc) to back out how high the enforcement levels must be country by country to make the theory match the data. Welfare gains from policy reforms can be fairly large. I find also that welfare gains from reducing regulation are almost twice those computed for the policy reform. Finally, distortions associated with informality account for a factor of 1.5 of the output per capita difference between the richest and the poorest countries.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125798579","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: 105
On the Effectiveness of the Federal Reserve's New Liquidity Facilities 论美联储新流动性工具的有效性
Macroeconomics eJournal Pub Date : 2008-05-01 DOI: 10.2139/ssrn.1136942
Tao Wu
{"title":"On the Effectiveness of the Federal Reserve's New Liquidity Facilities","authors":"Tao Wu","doi":"10.2139/ssrn.1136942","DOIUrl":"https://doi.org/10.2139/ssrn.1136942","url":null,"abstract":"This paper examines the effectiveness of the new liquidity facilities that the Federal Reserve established in response to the recent financial crisis. I develop a no-arbitrage based affine term structure model with default risk and conduct a thorough factor analysis of the counterparty default risk among major financial institutions and the underlying mortgage default risk. The new facilities' effectiveness is examined, by first separately examining their effects in relieving financial institutions' liquidity concerns and reducing the counterparty risk premiums, and then quantifying their overall effects in reducing financial strains in the inter-bank money market. ; Empirical results indicate that the Term Auction Facility (TAF) has a strong effect in reducing financial strains in the inter-bank money market, primarily through relieving financial institutions' liquidity concerns. Heightened uncertainty regarding the macroeconomy, financial markets, and mortgage default risk have significantly raised counterparty risk premiums among financial institutions, but have had little effect on their liquidity premiums. The Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF), however, are found to have had less discernible effects so far in relieving financial strains in the Libor market. This is consistent with market observations of a weaker interest from primary dealers in participating in the TSLF auctions than banks have shown in tapping the TAF.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"133 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126291366","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: 49
The Impact of Chinese Monetary Policy Shocks on East Asia 中国货币政策冲击对东亚的影响
Macroeconomics eJournal Pub Date : 2008-04-25 DOI: 10.2139/ssrn.1139806
T. Kózluk, Aaron N. Mehrotra
{"title":"The Impact of Chinese Monetary Policy Shocks on East Asia","authors":"T. Kózluk, Aaron N. Mehrotra","doi":"10.2139/ssrn.1139806","DOIUrl":"https://doi.org/10.2139/ssrn.1139806","url":null,"abstract":"We study the effects of Chinese monetary policy shocks on China s major trading partners in East Asia by estimating structural vector autoregressive (SVAR) models for six economies in the region. We find that a monetary expansion in Mainland China leads to an increase in real GDP (temporary) and the price level (permanent) in a number of economies in our sample, most notably in Hong Kong and the Philippines. The impact could result from intertemporal substitution present in a general equilibrium framework which allows for positive domestic impacts of foreign monetary expansions. Our results emphasize the growing importance of China for its neighboring economies and the significance of Chinese shocks for the design of monetary policy in Asian economies. Keywords: monetary policy shocks, Asian production chain, SVAR, East Asia, China, JEL: E52, F42","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131537756","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: 17
Contagion in Electricity Markets: Does it Exist? 电力市场的传染:存在吗?
Macroeconomics eJournal Pub Date : 2008-04-24 DOI: 10.2139/ssrn.1124862
C. Bollino, Paolo Polinori
{"title":"Contagion in Electricity Markets: Does it Exist?","authors":"C. Bollino, Paolo Polinori","doi":"10.2139/ssrn.1124862","DOIUrl":"https://doi.org/10.2139/ssrn.1124862","url":null,"abstract":"This paper investigates the existence of contagion effects in electricity markets. The concept of contagion has been developed for high frequency financial markets, see the World Bank definition(Word Bank, 2000). Following Pick (2005) and Pesaran - Pick (2007) the paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion can be distinguished from mere interdependence. The theoretical and empirical distinction between contagion and interdependence is based upon precise identification conditions, discussed in the paper. The empirical analysis is based on different regional markets in the Italian Power Exchange (IPX) and we focus only on pure contagion relationship in the IPX at the Italian regional level. This is a novel result in economic literature. The analysis and identification of contagion requires that each individual market equations contains market specific regressors, consequently we have to involve market specific variables in structural equations in order to correctly specify the model. Pesaran - Pick (2007, p. 1266) show that ignoring endogeneity and interdependence can introduce a substantial upward bias in estimation of contagion coefficient. In general, problems of endogeneity requires usage of instrumental variables (IV)estimation and, in agreement with Pick (2005), we obtain consistency by including regional market specific fundamentals. The most important conclusions of this paper are that contagion can be identified separately from interdependence and that effects are asymmetric.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126117762","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
The Proportionality Hypothesis in Capital Theory: An Assessment of the Literature 资本理论中的比例假设:文献评价
Macroeconomics eJournal Pub Date : 2008-04-16 DOI: 10.2139/ssrn.1119528
George C. Bitros
{"title":"The Proportionality Hypothesis in Capital Theory: An Assessment of the Literature","authors":"George C. Bitros","doi":"10.2139/ssrn.1119528","DOIUrl":"https://doi.org/10.2139/ssrn.1119528","url":null,"abstract":"It is found that the hypothesis of a constant replacement investment capital stock ratio has several fundamental shortcomings. It conflicts with most of the available theoretical and empirical evidence. It is alien to researchers in other fields of economics and related areas; and, perhaps most importantly, it has restrained progress in economic theory and econometric applications based on more realistic conceptualizations of the time structure of capital. On these grounds it is concluded that its abandonment is long overdue.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130864490","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
Aggregate Wealth and Consumption, and the Term Structure of Interest Rates 总财富、消费和利率期限结构
Macroeconomics eJournal Pub Date : 2008-04-15 DOI: 10.2139/ssrn.1107414
David P. Brown
{"title":"Aggregate Wealth and Consumption, and the Term Structure of Interest Rates","authors":"David P. Brown","doi":"10.2139/ssrn.1107414","DOIUrl":"https://doi.org/10.2139/ssrn.1107414","url":null,"abstract":"The equilibrium value of the market portfolio of all assets, i.e. aggregate wealth is calculated within a continuous-time Rubinstein/Lucas model. Aggregate wealth is a function of aggregate consumption and the state of the economy. The exante expected rate of return of the market portfolio varies with economic conditions, and these conditions are revealed by the equilibrium term structure of nominal bond yields and partially revealed by the aggregate consumption-to-wealth ratio cay. Using simulations of quarterly observations, linear regressions of expost excess market returns on predictive variables are studied. The ratio cay in isolation has modest predictive power for excess returns. Similarly, the level and slope of the term structure have modest power as predictors. However, the relation between expected excess return and the underlying state variables is nonlinear and cay picks up this structure. For this reason a multiple regression that includes both cay and the term structure variables captures the nonlinearity and it has considerable predictive power.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129638424","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
On the Optimality of a GCC Monetary Union: Structural VAR, Common Trends, and Common Cycles Evidence 海湾合作委员会货币联盟的最优性:结构VAR、共同趋势和共同周期证据
Macroeconomics eJournal Pub Date : 2008-04-07 DOI: 10.1111/j.1467-9701.2008.01096.x
Aamer S. Abu-Qarn, Suleiman Abu-Bader
{"title":"On the Optimality of a GCC Monetary Union: Structural VAR, Common Trends, and Common Cycles Evidence","authors":"Aamer S. Abu-Qarn, Suleiman Abu-Bader","doi":"10.1111/j.1467-9701.2008.01096.x","DOIUrl":"https://doi.org/10.1111/j.1467-9701.2008.01096.x","url":null,"abstract":"This paper examines the suitability of the proposed monetary union among the members of the Gulf Cooperation Council (GCC). To do so, we identify the underlying structural shocks that these economies are subject to and assess the extent to which the shocks are symmetric. Additionally, we test for common trends and common business cycles among the GCC economies. We find that while the transitory demand shocks are typically symmetric, the permanent supply shocks are asymmetric. Furthermore, we do not find synchronous long-run and short-run movements in output. Despite the progress that has been made in terms of integration, our findings indicate that the conditions for forming a GCC monetary union have not as yet been met.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128414237","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: 57
Emerging Market Business Cycles Revisited: Learning About the Trend 重新审视新兴市场商业周期:了解趋势
Macroeconomics eJournal Pub Date : 2008-04-01 DOI: 10.2139/ssrn.1123981
E. Boz, Christian Daude, C. B. Durdu
{"title":"Emerging Market Business Cycles Revisited: Learning About the Trend","authors":"E. Boz, Christian Daude, C. B. Durdu","doi":"10.2139/ssrn.1123981","DOIUrl":"https://doi.org/10.2139/ssrn.1123981","url":null,"abstract":"The data reveal that emerging markets do not differ from developed countries with regards to the variance of permanent TFP shocks relative to transitory. They do differ, however, in the degree of uncertainty agents face when formulating expectations. Based on these observations, we build an equilibrium business cycle model in which the agents cannot perfectly distinguish between the permanent and transitory components of TFP shocks. When formulating expectations, they assign some probability to TFP shocks being permanent even when they are purely transitory. This is sufficient for the model to produce \"permanent-like\" effects in response to transitory shocks. The imperfect information model calibrated to Mexico predicts a higher variability of consumption relative to output and a strongly negative correlation between the trade balance and output, without the predominance of trend shocks. The same model assuming perfect information and calibrated to Canada accounts for developed country business cycle regularities. The estimated relative variance of trend shocks in these two models is similar.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120855127","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: 63
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