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Nonseparability of credit card services within Divisia monetary aggregates 信用卡服务在 Divisia 货币总量中的不可分割性
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-09-18 DOI: 10.1017/s1365100524000245
William A. Barnett, Hyun Park
{"title":"Nonseparability of credit card services within Divisia monetary aggregates","authors":"William A. Barnett, Hyun Park","doi":"10.1017/s1365100524000245","DOIUrl":"https://doi.org/10.1017/s1365100524000245","url":null,"abstract":"We use the New Keynesian Dynamic Stochastic General Equilibrium (DSGE) framework and Vector Autoregressive (VAR) to investigate the usefulness and relevancy of monetary services, augmented to include credit card transaction services. We use the new credit-card-augmented Divisia monetary aggregates in the models to further the existing research on their usefulness and relevancy. In this research, we compare three different monetary aggregates within the New Keynesian framework: (1) the aggregation-theoretic “true” monetary aggregate, (2) the credit-card-augmented Divisia monetary aggregate, and (3) the simple sum monetary aggregate. We acquire the following primary results. (1) The credit-card-augmented Divisia monetary aggregate tracks the theoretical (true) monetary aggregate, while simple sum does not. Although this result would be expected from the theory in classical economic models, the result is not an immediate implication of the theory in New Keynesian models and therefore needs empirical confirmation. (2) Under the recursive VAR framework, the credit-card-augmented Divisia monetary aggregate serves as a preferable monetary policy indicator compared to the traditional federal funds rate. (3) On theoretical grounds, we find that the separability condition for existence of a monetary aggregator function could fail, if credit card deferred payment services were excluded from the monetary services block, unless all markets are perfect.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"7 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142248776","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Money growth and inflation in the Euro Area, UK, and USA: measurement issues and recent results 欧元区、英国和美国的货币增长和通货膨胀：衡量问题和最新结果
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-08-27 DOI: 10.1017/s1365100524000282
Peter N. Ireland
{"title":"Money growth and inflation in the Euro Area, UK, and USA: measurement issues and recent results","authors":"Peter N. Ireland","doi":"10.1017/s1365100524000282","DOIUrl":"https://doi.org/10.1017/s1365100524000282","url":null,"abstract":"This paper identifies several ways in which “measurement matters” in detecting quantity-theoretic linkages between money growth and inflation in recent data from the Euro Area, United Kingdom, and USA. Elaborating on the “Barnett critique,” it uses Divisia aggregates in place of their simple-sum counterparts to gauge the effects that monetary expansion or contraction is having on inflationary pressures. It also uses one-sided time series filtering techniques to track, in real time, slowly shifting trends in velocity and real economic growth that would otherwise weaken the statistical money growth-inflation relationship. Finally, it documents how measures of inflation based on GDP were distorted severely, especially in the EA and UK, during the 2020 economic closures. Using measures based on consumption instead, estimates from the P-star model confirm that changes in money growth have strong predictive power for subsequent movements in inflation.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"53 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142201248","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Is the working capital channel of the monetary policy quantitatively relevant? A structural estimation approach 货币政策的营运资本渠道在数量上相关吗？结构性估算方法
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-05-31 DOI: 10.1017/s1365100524000233
Hamilton Galindo Gil
{"title":"Is the working capital channel of the monetary policy quantitatively relevant? A structural estimation approach","authors":"Hamilton Galindo Gil","doi":"10.1017/s1365100524000233","DOIUrl":"https://doi.org/10.1017/s1365100524000233","url":null,"abstract":"Is the working capital channel big, and does it vary across industries? To answer this question, I estimate a dynamic stochastic macro-finance model using firm-level data. In aggregate, I find a partial channel —about three-fourths of firms’ labor bill are borrowed. However, the strength of this channel varies across industries, reaching as low as one-half for retail firms and as high as one for agriculture and construction. This provides evidence that monetary policy could have varying effects across industries through the working capital channel.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"14 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141192248","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Uncertainty shocks and monetary policy rules in a small open economy 小型开放经济体中的不确定性冲击和货币政策规则
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-05-16 DOI: 10.1017/s1365100524000178
Sargam Gupta
{"title":"Uncertainty shocks and monetary policy rules in a small open economy","authors":"Sargam Gupta","doi":"10.1017/s1365100524000178","DOIUrl":"https://doi.org/10.1017/s1365100524000178","url":null,"abstract":"Post the great financial crisis (GFC) of 2008–2009, there has been a surge in the macroeconomics literature on aggregate uncertainty. Although the recent literature has recognized the adverse real effects of global uncertainty shocks in emerging market economies (EMEs), the role of monetary policy in offsetting these adverse effects and their link with the exchange rates is not explored in the literature. We find that the currently followed interest rate rules (IRRs) under a flexible inflation-targeting regime are ineffective in stabilizing the domestic economy during periods of high global uncertainty in the EMEs. Using a small open economy new Keynesian DSGE model with Epstein–Zin preferences and second-moment demand shocks, we compare and propose alternate monetary policy rules that significantly reduce welfare losses. We find that the best monetary policy rule in terms of welfare depends on the nature of shock that is, first-moment or second-moment shock.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"24 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141147318","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Economic resilience and the dynamics of capital stock 经济复原力和资本存量动态
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-05-10 DOI: 10.1017/s1365100524000208
Francisco-Javier Escribá-Pérez, María-José Murgui-García, Jose-Ramon Ruiz-Tamarit
{"title":"Economic resilience and the dynamics of capital stock","authors":"Francisco-Javier Escribá-Pérez, María-José Murgui-García, Jose-Ramon Ruiz-Tamarit","doi":"10.1017/s1365100524000208","DOIUrl":"https://doi.org/10.1017/s1365100524000208","url":null,"abstract":"The role of capital in measuring resilience is investigated. Focusing on the current short-run and potential long-run growth paths of the economic system, we propose new indexes to separately measure adaptability and resistance to shocks, which are the essence of a system’s resilience. Capital dynamics during the transition and along the balanced growth path are used here instead of employment to represent the evolution of the size and composition of the economy. Our indexes measure adaptability and resistance by comparing the two capital growth rates. They are built by mimicking the average and variance of the difference in growth rates. In this new setting, investment and depreciation flows play an important role in explaining what the partial index of adaptability reveals. The available data on the USA and Spanish capital allow us to empirically compute the indexes and draw conclusions about their ability to resist shocks and absorb their effects. We conclude that the US economy is more adaptable and has a greater capacity to absorb impacts than the Spanish economy, but it is less resistant to disturbances.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"140 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140941022","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The rise and fall of armies 军队的兴衰
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-05-10 DOI: 10.1017/s1365100524000191
Jonathan J. Adams
{"title":"The rise and fall of armies","authors":"Jonathan J. Adams","doi":"10.1017/s1365100524000191","DOIUrl":"https://doi.org/10.1017/s1365100524000191","url":null,"abstract":"Over a thousand years, military employment rises, peaks, and then falls. I argue that rising military shares were driven by structural change out of agriculture, and the recent declines are driven by substitution from soldiers toward military goods. I document evidence for this substitution effect and introduce a model of growth and warfare that reproduces the time series patterns of military expenditure and employment. The model also correctly predicts the cross-sectional patterns, and that military employment and expenditure shares are decreasing in income during wars. Finally, I show that faster economic growth can reduce military expenditure in the long run.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"84 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140941167","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Is the Hamilton regression filter really superior to Hodrick–Prescott detrending? 汉密尔顿回归滤波器真的优于霍德里克-普雷斯科特去趋势法吗？
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-05-02 DOI: 10.1017/s136510052400018x
Reiner Franke, Jiri Kukacka, Stephen Sacht
{"title":"Is the Hamilton regression filter really superior to Hodrick–Prescott detrending?","authors":"Reiner Franke, Jiri Kukacka, Stephen Sacht","doi":"10.1017/s136510052400018x","DOIUrl":"https://doi.org/10.1017/s136510052400018x","url":null,"abstract":"An article published in 2018 by J.D. Hamilton gained significant attention due to its provocative title, “Why you should never use the Hodrick-Prescott filter.” Additionally, an alternative method for detrending, the Hamilton regression filter (HRF), was introduced. His work was frequently interpreted as a proposal to substitute the Hodrick–Prescott (HP) filter with HRF, therefore utilizing and understanding it similarly as HP detrending. This research disputes this perspective, particularly in relation to quarterly business cycle data on aggregate output. Focusing on economic fluctuations in the United States, this study generates a large amount of artificial data that follow a known pattern and include both a trend and cyclical component. The objective is to assess the effectiveness of a certain detrending approach in accurately identifying the real decomposition of the data. In addition to the standard HP smoothing parameter of <jats:inline-formula> <jats:alternatives> <jats:inline-graphic xmlns:xlink=\"http://www.w3.org/1999/xlink\" mime-subtype=\"png\" xlink:href=\"S136510052400018X_inline1.png\"/> <jats:tex-math> $lambda = 1600$ </jats:tex-math> </jats:alternatives> </jats:inline-formula>, the study also examines values of <jats:inline-formula> <jats:alternatives> <jats:inline-graphic xmlns:xlink=\"http://www.w3.org/1999/xlink\" mime-subtype=\"png\" xlink:href=\"S136510052400018X_inline2.png\"/> <jats:tex-math> $lambda ^{star }$ </jats:tex-math> </jats:alternatives> </jats:inline-formula> from earlier research that are seven to twelve times greater. Based on three unique statistical measures of the discrepancy between the estimated and real trends, it is evident that both versions of HP significantly surpass those of HRF. Additionally, HP with <jats:inline-formula> <jats:alternatives> <jats:inline-graphic xmlns:xlink=\"http://www.w3.org/1999/xlink\" mime-subtype=\"png\" xlink:href=\"S136510052400018X_inline3.png\"/> <jats:tex-math> $lambda ^{star }$ </jats:tex-math> </jats:alternatives> </jats:inline-formula> consistently outperforms HP-1600.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"2012 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140837333","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Adaptive agents may be smarter than you think: unbiasedness in adaptive expectations 自适应代理可能比你想象的更聪明：自适应预期的无偏性
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-04-15 DOI: 10.1017/s1365100524000129
A. Palestrini, D. Delli Gatti, M. Gallegati, B. Greenwald
{"title":"Adaptive agents may be smarter than you think: unbiasedness in adaptive expectations","authors":"A. Palestrini, D. Delli Gatti, M. Gallegati, B. Greenwald","doi":"10.1017/s1365100524000129","DOIUrl":"https://doi.org/10.1017/s1365100524000129","url":null,"abstract":"Experimental evidence shows that human subjects frequently rely on adaptive heuristics to form expectations but their forecasting performance in the lab is not as inadequate as assumed in macroeconomic theory. In this paper, we use an agent-based model (ABM) to show that the average forecasting error is indeed close to zero even in a complex environment if we assume that agents augment the canonical adaptive algorithm with a <jats:italic>Belief Correction</jats:italic> term which takes into account the previous trend of the variable of interest. We investigate the reasons for this result using a streamlined nonlinear macro-dynamic model that captures the essence of the ABM.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"25 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140563493","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fiscal policy and inequality in middle- and high-income countries: redistributive effects of tax and spending shocks 中等收入和高收入国家的财政政策与不平等：税收和支出冲击的再分配效应
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-04-15 DOI: 10.1017/s1365100524000142
Abdulaleem Isiaka, Alexander Mihailov, Giovanni Razzu
{"title":"Fiscal policy and inequality in middle- and high-income countries: redistributive effects of tax and spending shocks","authors":"Abdulaleem Isiaka, Alexander Mihailov, Giovanni Razzu","doi":"10.1017/s1365100524000142","DOIUrl":"https://doi.org/10.1017/s1365100524000142","url":null,"abstract":"Motivated by the sharp increases in public spending following the global financial crisis, we employ the GMM Panel VAR approach at annual frequency between 2004 and 2014 to investigate the dynamic response of alternative income distribution variables to shocks imposed on tax revenues and three key components of social expenditures: social protection, health, and education. We confirm the potential of fiscal policy to reduce income inequality in the medium to longer run, but point to the differential approaches to pursue such a goal in middle- versus high-income countries. We find that the particular expenditure component under consideration matters in terms of the dynamic effect on inequality and on different parts of the income distribution, as well as in terms of the implied time profile. In middle-income countries, positive education spending shocks are the most effective in achieving better distributional outcomes over a medium run of several years. By contrast, in high-income countries, positive health spending and tax shocks have a more pronounced favorable dynamic distributional effect.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"43 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140564027","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Household debt and economic growth in Europe 欧洲的家庭债务和经济增长
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2024-04-11 DOI: 10.1017/s1365100524000117
L. Barbaglia, S. Manzan, E. Tosetti
{"title":"Household debt and economic growth in Europe","authors":"L. Barbaglia, S. Manzan, E. Tosetti","doi":"10.1017/s1365100524000117","DOIUrl":"https://doi.org/10.1017/s1365100524000117","url":null,"abstract":"We investigate the role and impact of household debt on the economic performance of European economies during the double-dip recession of 2008–2013. We use a loan-level data set of millions of residential mortgages originated between 2000 and 2013 to calculate regional indicators of household debt. The granular information allows us to construct a measure of interest rate mispricing during the housing boom that we use to identify the effect of a credit shock (CS) on household debt. Our analysis provides three main conclusions. First, in the period 2004–2006, the measure of CS was negative in most European regions which indicates that credit conditions were significantly relaxed relative to earlier years. Second, we find that regions in which household leverage increased more rapidly during the 2002–2007 period experienced a more severe decline in output and employment after 2008. Third, we find that the CS had the largest effect on increasing leverage for the low-income and the middle-income households, although the leverage of the high-income households represents a more powerful predictor of the decline in economic activity.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"87 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140563520","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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