Macroeconomics eJournal最新文献

{"title":"Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence","authors":"A. Blinder, Michael Ehrmann, Marcel Fratzscher, J. de Haan, D. Jansen","doi":"10.1257/JEL.46.4.910","DOIUrl":"https://doi.org/10.1257/JEL.46.4.910","url":null,"abstract":"Over the last two decades, communication has become an increasingly important aspect of monetary policy. These real-world developments have spawned a huge new scholarly literature on central bank communication -- mostly empirical, and almost all of it written in this decade. We survey this ever-growing literature. The evidence suggests that communication can be an important and powerful part of the central bank's toolkit since it has the ability to move financial markets, to enhance the predictability of monetary policy decisions, and potentially to help achieve central banks' macroeconomic objectives. However, the large variation in communication strategies across central banks suggests that a consensus has yet to emerge on what constitutes an optimal communication strategy.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"9 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":"115673671","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":"House Prices, Money, Credit and the Macroeconomy","authors":"C. Goodhart, Boris Hofmann","doi":"10.1093/OXREP/GRN009","DOIUrl":"https://doi.org/10.1093/OXREP/GRN009","url":null,"abstract":"This paper assesses the links between money, credit, house prices, and economic activity in industrialized countries over the last three decades. The analysis is based on a fixed-effects panel vector autoregression, estimated using quarterly data for 17 industrialized countries spanning the period 1970-2006. The main results of the analysis are the following. (i) There is evidence of a significant multidirectional link between house prices, monetary variables, and the macroeconomy. (ii) The link between house prices and monetary variables is found to be stronger over a more recent sub-sample from 1985 to 2006. (iii) The effects of shocks to money and credit are found to be stronger when house prices are booming.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"25 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":"114181133","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":"PPI and Measuring Inflation in Business Transactions in Egypt","authors":"A. Nawar","doi":"10.2139/ssrn.1106416","DOIUrl":"https://doi.org/10.2139/ssrn.1106416","url":null,"abstract":"This paper discusses and analyzes selected pertinent statistical and economic questions raised by the shift in price statistics towards covering broader markets of the economy, namely introducing a Producers Price Index (PPI) series in place of the Wholesale Price Index (WPI) series in Egypt since the beginning of 2008. The paper discusses the price index gap in Egypt and the methodology employed in constructing the newly-introduced PPI. The paper proposes tackling several characterized problems concerning the construction of the elementary indices and quality of PPI statistics in light of e-commerce and globalization, existing limited coverage of service sectors, and improper indices for cost escalation and contracting. The paper also proposes devising a core inflation measure for inflation targeting in Egypt.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133460410","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":"Using Financial Markets Information to Identify Oil Supply Shocks in a Restricted VAR","authors":"Marko Melolinna","doi":"10.2139/ssrn.1107980","DOIUrl":"https://doi.org/10.2139/ssrn.1107980","url":null,"abstract":"This paper introduces a methodology for identifying oil supply shocks in a restricted VAR system for a small open economy. Financial market information is used to construct an identification scheme that forces the response of the restricted VAR model to an oil shock to be the same as that implied by futures markets. Impulse responses are then calculated by using a bootstrapping procedure for partial identification. The methodology is applied to Finland and Sweden in illustrative examples in a simple 5-variable model. While oil supply shocks have an inflationary effect on domestic inflation in these countries during the past decade or so, the effect on domestic GDP is more ambiguous.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121965442","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":"Technical Change and U.S. Economic Growth: The Interwar Period and the 1990s","authors":"A. Field","doi":"10.1017/CBO9780511616464.006","DOIUrl":"https://doi.org/10.1017/CBO9780511616464.006","url":null,"abstract":"Multifactor productivity growth in the U.S. economy between 1919 and 1929 was almost entirely attributable to advance within manufacturing. Distributing steam power mechanically over shafts and belts required multistory buildings for economical operation. The widespread diffusion of electric power permitted a shift to single story layouts in which goods flow could be optimized around work stations powered by small electric motors. Within this framework, as well as opportunities to produce a variety of new products, economies of scale and learning by doing permitted rapid and across the board gains in manufacturing productivity. The sector contributed 83 percent of the 2.02 percent per year overall advance in the private nonfarm economy in this ten year period. The Depression years witnessed manufacturing MFP growth that was not as uniformly distributed as it had been during the twenties, and only half as rapid: 2.60 as opposed to 5.12 percent per year. As a consequence, and in spite of a rise in the sector's share, manufacturing accounted for only 48 percent of PNE MFP growth between 1929 and 1941. Yet overall growth in MFP was by far the highest of any comparable period in the twentieth century - 2.31 percent per year. This resulted from combining a manufacturing contribution which by any standard of comparison other than that of the 1920s was world class, with spillovers from government financed infrastructural investment that enabled rapid advance in other parts of the economy, particularly transport and public utilities and wholesale and retail distribution. MFP growth between 1989 and 2000 was more than twice what it had been during the years 1973-89, but less than a third that registered between 1929 and 1941. Within manufacturing, advance was narrowly concentrated within the old SIC 35 and 36, virtually all of this attributable to information technology (IT). IT was also responsible for some MFP growth in using industries, notably wholesale and retail distribution and securities trading. This paper questions the common practice of also crediting IT with the portion of capital deepening's effect on labor productivity associated with the accumulation of specific IT capital goods.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121541946","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":"Stress Test and Consistent Aggregation of Market, Credit and Transfer Risk by Geometric Arbitrage Theory","authors":"Simone Farinelli","doi":"10.2139/ssrn.1103882","DOIUrl":"https://doi.org/10.2139/ssrn.1103882","url":null,"abstract":"As an application of Geometric Arbitrage Theory, we apply the derived generator of consistent economic scenarios developed in (Farinelli 2008) to a set consisting of macroeconomic leading indicators, financial market , default probabilities and loss given default time series. The resulting scenarios display consistently possible future evolutions of market and credit risk drivers with equal probability. In particular, PDs and LGDs behavior reflect the credit cycle. Macro-economical stress tests follow, by selecting the paths for which macro-economical variables satisfy required (linear) inequalities whose bounds are given a priori. The portfolio model has following prominent features: - risk factors are observable macroeconomic variables, - multiperiodicity, - full integration of market and credit risk with the possibilities of splitting the different contributions by different risk drivers, - quadratic approximation of the P&L by utilizing first and second sensitivities to the risk factors, - stress test of PDs, LGDs and P&L distributions are embedded.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125198469","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":"Macroeconomic Conditions and Capital Structure Adjustment Speed","authors":"Douglas O. Cook, Tian Tang","doi":"10.2139/ssrn.1101664","DOIUrl":"https://doi.org/10.2139/ssrn.1101664","url":null,"abstract":"Using two dynamic partial adjustment capital structure models to estimate the impact of several macroeconomic factors on the speed of capital structure adjustment toward target leverage, we find evidence that firms adjust their leverage toward target faster in good macroeconomic states relative to bad states. This evidence holds whether or not firms are subject to financial constraints. Our results are robust to an alternative method of calculating states and to omitting zero-debt boundary firms and are not driven by firm size, deviation from target, or leverage definitions.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134570057","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 Optimal Demand for Retail Derivatives","authors":"Nicole Branger, Beate Breuer","doi":"10.2139/ssrn.1101399","DOIUrl":"https://doi.org/10.2139/ssrn.1101399","url":null,"abstract":"It has been shown that investors can benefit from including derivatives into their portfolios. For retail investors, however, a direct investment in derivatives is often too complicated. Investment certificates offer a potential solution to this problem. We analyze if retail investors who buy and hold their portfolio for one year can indeed benefit from an investment in these certificates. We use a model with stochastic volatility and jumps calibrated to the German stock market index DAX. We find that the benefit of investing in typical retail products is equivalent to an annualized risk-free excess return of at most 35 basis points for a CRRA investor with a low risk aversion. If we take transaction costs into account, this number reduces to at most 14~bp. In terms of the types of contracts, we find that discount certificates perform best, while more sophisticated certificates, in particular those with knock-in or knock-out features, should often not be held by investors at all. Therefore, standard preferences cannot explain the large observed demand for investment certificates.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130838393","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 Wealth Effect of Demutualization: Evidence from the U.S. Property-Liability and Life Insurance Industries","authors":"Gene C. Lai, Michael J. McNamara, Tong Yu","doi":"10.1111/j.1539-6975.2007.00251.x","DOIUrl":"https://doi.org/10.1111/j.1539-6975.2007.00251.x","url":null,"abstract":"This study examines the wealth effect of demutualization initial public offerings (IPOs) by investigating underpricing and postconversion long-run stock performance. Our results suggest that there is more \"money left on the table\" for demutualized insurers than for non-demutualized insurers. We show that higher underpricing for demutualized firms can be explained by greater market demand, market sentiment, and the size of the offering. Further, contrary to previous research reporting an average underperformance of industrial IPOs, we show that demutualization IPOs outperform non-IPO firms with comparable size and book-to-market ratios and non-demutualized insurers. We present evidence that the outperformance in stock returns is mainly attributable to improvement in post-demutualization operating performance and demand at the time of the IPOs. The combined results of underpricing and long-term performance suggest that the wealth of policyholders who choose stock rather than cash or policy credits is not harmed by demutualization. Stockholders who purchase demutualized company shares either during or after the IPO have earned superior returns. Our findings are consistent with the efficiency improvement hypothesis. Copyright The Journal of Risk and Insurance, 2008.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"208 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"119256933","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":"Policy Uncertainty and Precautionary Savings","authors":"F. Giavazzi, Michael McMahon","doi":"10.3386/W13911","DOIUrl":"https://doi.org/10.3386/W13911","url":null,"abstract":"In 1997 Chancellor Kohl proposed a major pension reform and pushed the law through Parliament explaining that the German PAYG system had become unsustainable. One limitation of the new law -- one that is crucial for our identification strategy -- is that it left the generous pension entitlements of civil servants intact. The year after, in 1998, Kohl lost the elections and was replaced by Gerhard Shroeder. One of the first decisions of the new Chancellor was to revoke the 1997 pension reform. We use the quasi-experiment of the adoption and subsequent revocation of the pension reform to study how households reacted to the increase in uncertainty about the future path of income that such an event produced. Our estimates are obtained from a diff-in-diff estimator: this helps us overcome the identification problem that often affects measures of precautionary saving. Departing from the majority of studies on precautionary saving we also analyze households' response in terms of labor market choices: we find evidence of a labor supply response by those workers who can use the margin offered by part-time employment","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121698244","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}