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Macroeconomic Dynamics最新文献

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Monetary policy and economic fluctuations 货币政策与经济波动
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-11-16 DOI: 10.1017/s1365100523000548
Cosmas Dery, Apostolos Serletis
{"title":"Monetary policy and economic fluctuations","authors":"Cosmas Dery, Apostolos Serletis","doi":"10.1017/s1365100523000548","DOIUrl":"https://doi.org/10.1017/s1365100523000548","url":null,"abstract":"We assess the responses of output and inflation to monetary policy shocks in the context of a Bayesian, monetary structural vector autoregressive model. We allow money supply and leverage measures to enter into the interest rate policy rule and use an identification approach that is by construction devoid of any price puzzles. We provide a comprehensive comparison between monetary policy shocks under a policy regime that follows a standard Taylor rule and those that augment the standard reaction function of the central bank with measures of leverage and the money supply. We find that contractionary monetary policy is more pronounced and persistent when the reaction function of the central bank is augmented with measures of money and leverage than when the reaction function follows a typical Taylor rule. Our results support the use and inclusion of monetary aggregates in monetary policy and business cycle analysis.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"238 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138536212","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
Income tax reductions in production networks 减少生产网络的所得税
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-11-16 DOI: 10.1017/s1365100523000512
Chunyang Fu, Bin Wang
{"title":"Income tax reductions in production networks","authors":"Chunyang Fu, Bin Wang","doi":"10.1017/s1365100523000512","DOIUrl":"https://doi.org/10.1017/s1365100523000512","url":null,"abstract":"We analytically characterize the comparative statics of the macroeconomy after income tax reductions in which production is organized in networks around the inefficient economy. We contribute to the literature by showing that in production networks, income taxes have different effects from revenue taxes which are assumed to be real distortions in the literature. The sectoral income tax reductions’ first-order effect on the GDP is given by a sufficient statistics: the product of the sectoral labor demand elasticity and sectoral Domar weight minus the sectoral labor share in the total labor supply, the latter of which is adjusted for labor supply elasticity if labor is elastic. We apply this model to quantify the effects of income tax reductions during the COVID-19 pandemic in the USA.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"34 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138536213","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
A view from outside: sovereign CDS volatility as an indicator of economic uncertainty 外部观点:主权CDS波动是经济不确定性的一个指标
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-11-15 DOI: 10.1017/s1365100523000524
Maximilian Boeck, Martin Feldkircher, Burkhard Raunig
{"title":"A view from outside: sovereign CDS volatility as an indicator of economic uncertainty","authors":"Maximilian Boeck, Martin Feldkircher, Burkhard Raunig","doi":"10.1017/s1365100523000524","DOIUrl":"https://doi.org/10.1017/s1365100523000524","url":null,"abstract":"This paper proposes the volatility of sovereign credit default swaps (CDS) as a measurement of economic uncertainty. Sovereign CDS provide protection against losses from sovereign defaults and are traded for almost all countries by the world’s largest financial institutions. The premium for protection, the so-called CDS spread, depends on a country’s economic conditions and provides an outside view from global financial institutions. Our empirical results show that the volatility of sovereign CDS spreads contains information about economic uncertainty. For a broad panel of 16 countries, we find that sovereign CDS volatility shares directional information with popular news-based economic policy uncertainty (EPU) indices. Using Bayesian panel vector autoregressions, we find similar responses of output and unemployment to shocks in CDS volatility, equity volatility, and EPU. Our results further suggest that sovereign CDS volatility primarily reflects economic and financial uncertainty rather than political uncertainty.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"4 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138536218","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
Creative destruction, human capital accumulation, and growth in a digital economy 创造性破坏、人力资本积累和数字经济增长
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-11-10 DOI: 10.1017/s1365100523000445
Lewei Liao, Xuezheng Qin, Xiaolong Li, Liutang Gong
{"title":"Creative destruction, human capital accumulation, and growth in a digital economy","authors":"Lewei Liao, Xuezheng Qin, Xiaolong Li, Liutang Gong","doi":"10.1017/s1365100523000445","DOIUrl":"https://doi.org/10.1017/s1365100523000445","url":null,"abstract":"Abstract The rapid development of the digital economy has highlighted the crucial role of data in economic growth. This study investigates the impact of two types of innovation on long-term growth by incorporating data into a model of creative destruction and knowledge accumulation. Unlike traditional factors, data exhibit nonrivalry between the two research and development (R&D) sectors, thereby influencing the growth rate of economic outputs simultaneously without interference. Our findings reveal the existence of a balanced growth path (BGP) in both the decentralized economy and the social planner’s economy. In horizontal innovation, data can be transformed into digital knowledge to promote the economic growth [Cong et al. (2021)]. In addition to horizontal innovation, the utilization of data in vertical innovation also enhances the success rate of innovation, with a gradual decrease in per capita data usage on the BGP. Moreover, as agents accumulate human capital, the economy achieves higher output levels, effectively addressing consumer privacy concerns. However, along the transitional path, insufficient data provision by both R&D sectors leads to lower economic growth rates or more intense economic fluctuations, necessitating policy interventions.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135092393","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
Linear quadratic approximation of rationally inattentive control problems 理性不注意控制问题的线性二次逼近
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-11-08 DOI: 10.1017/s1365100523000500
Jianjun Miao, Bo Zhang
{"title":"Linear quadratic approximation of rationally inattentive control problems","authors":"Jianjun Miao, Bo Zhang","doi":"10.1017/s1365100523000500","DOIUrl":"https://doi.org/10.1017/s1365100523000500","url":null,"abstract":"Abstract This paper proposes a linear quadratic approximation approach to dynamic nonlinear rationally inattentive control problems with multiple states and multiple controls. An efficient toolbox to implement this approach is provided. Applying this toolbox to five economic examples demonstrates that rational inattention can help explain the comovement puzzle in the macroeconomics literature.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"29 S89","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135343051","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 Gold Standard and the international dimension of the Great Depression 金本位制与大萧条的国际层面
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-11-07 DOI: 10.1017/s1365100523000494
Luca Pensieroso, Romain Restout
{"title":"The Gold Standard and the international dimension of the Great Depression","authors":"Luca Pensieroso, Romain Restout","doi":"10.1017/s1365100523000494","DOIUrl":"https://doi.org/10.1017/s1365100523000494","url":null,"abstract":"Abstract Was the Gold Standard a major determinant of the onset and protracted character of the Great Depression of the 1930s in the USA and worldwide? In this paper, we model the “Gold Standard hypothesis” in an open-economy, dynamic general equilibrium framework. We show that encompassing the international and monetary dimensions of the Great Depression is important to understand the turmoil of the 1930s. In particular, the Gold Standard turns out to be a strong transmission mechanism of monetary shocks from the USA to the rest of the world. Our results also suggest that the waves of successive nominal exchange rate devaluations coupled with the monetary policy implemented in the USA might not have enhanced the recovery.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"36 12","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135476623","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 race between offshoring and automation in explaining wage polarization 离岸外包和自动化之间的竞争解释了工资两极分化
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-10-27 DOI: 10.1017/s1365100523000470
Mafalda Pinho, Oscar Afonso, Tiago Sequeira
{"title":"The race between offshoring and automation in explaining wage polarization","authors":"Mafalda Pinho, Oscar Afonso, Tiago Sequeira","doi":"10.1017/s1365100523000470","DOIUrl":"https://doi.org/10.1017/s1365100523000470","url":null,"abstract":"Abstract Offshoring and automation are sources of wage polarization. We reassess these two determinants of wage polarization in a single directed technical change setup that encompasses routine and nonroutine production. We empirically establish the conditional positive relationship between automation and relocations on one side and wage polarization on the other. Theoretically, we show that wage polarization increases with automation and offshoring. In particular, wage polarization in favor of domestic (nonroutine) high(low)-skilled workers is positively affected by an increase in domestic (nonroutine) high(low)-skilled labor quantity and/or absolute productivity. Additionally, it is also positively influenced by a rise in foreign (routine) medium-skilled labor quantity and/or absolute productivity while negatively impacted by an increase in domestic (routine) medium-skilled labor quantity and/or absolute productivity. We show that the effect of offshoring on wage polarization diminishes with the degree of substitutability between routine and nonroutine sectors in the economy, with the share of machines in the production of intermediate goods, and with the scale effect. We quantitatively assess the impact through a thorough data-based calibration exercise, where the numerical results confirmed the theoretical findings.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"12 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136262117","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
On government spending and income inequality under monopolistic competition 论垄断竞争下的政府支出与收入不平等
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-10-23 DOI: 10.1017/s1365100523000469
Juin-Jen Chang, Jang-Ting Guo, Wei-Neng Wang
{"title":"On government spending and income inequality under monopolistic competition","authors":"Juin-Jen Chang, Jang-Ting Guo, Wei-Neng Wang","doi":"10.1017/s1365100523000469","DOIUrl":"https://doi.org/10.1017/s1365100523000469","url":null,"abstract":"Abstract This paper systematically examines the theoretical and quantitative interrelations between government spending and disposable income inequality in a tractable monopolistically competitive Ramsey macroeconomy. Upon an increase in government size, we analytically show that whether the long-run after-tax Gini coefficient rises or falls depends on the sign and magnitude of the wealth/capital inequality effect versus those of the adjusted-labor effect. Under (i) a mild level of productive public expenditure externalities and (ii) a sufficiently high intertemporal elasticity of consumption substitution, our calibrated model is able to generate qualitatively as well as quantitatively consistent income inequality effects of government spending vis-à-vis recent estimation results.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"52 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135322751","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
Government debt and fiscal multipliers in the era of population aging 人口老龄化时代的政府债务与财政乘数
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-10-19 DOI: 10.1017/s1365100523000421
Dooyeon Cho, Dong-Eun Rhee
{"title":"Government debt and fiscal multipliers in the era of population aging","authors":"Dooyeon Cho, Dong-Eun Rhee","doi":"10.1017/s1365100523000421","DOIUrl":"https://doi.org/10.1017/s1365100523000421","url":null,"abstract":"Abstract Over the past decade, the most salient changes in macroeconomic conditions in developed economies have included rising government debt and population aging, which are strongly correlated with each other. This paper investigates fiscal multipliers by disentangling the effects of population aging from those of government debt. Our analysis, which uses heterogeneous panel data from 24 OECD economies, shows that while fiscal policy is ineffective for economies with high-debt levels, it is effective for economies with low-debt levels. Furthermore, the estimation results reveal that fiscal policy is ineffective for aged economies, regardless of the level of government debt. However, for nonaged economies, while fiscal policy leads to negative effects on output in times of high debt, its positive effects are more pronounced in times of low debt. Our results suggest that, for the effective implementation of fiscal stimulus policies, policy-based stimulation of employment in the labor market is essential.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135730238","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
A guide to estimating the canonical income process in quasidifferences 在准差异中估计典型收入过程的指南
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-10-19 DOI: 10.1017/s1365100523000457
Francis Chiparawasha, Dmytro Hryshko
{"title":"A guide to estimating the canonical income process in quasidifferences","authors":"Francis Chiparawasha, Dmytro Hryshko","doi":"10.1017/s1365100523000457","DOIUrl":"https://doi.org/10.1017/s1365100523000457","url":null,"abstract":"Abstract The canonical income process, including autoregressive, transitory, and fixed effect components, is routinely used in macro and labor economics. We provide a guide for its estimation using quasidifferences, cataloging biases in the estimated parameters for various $N$ , $T$ , initial conditions, and weighting schemes. Using Danish administrative data on male earnings, estimation in quasidifferences yields divergent estimates of the autoregressive parameter for different weighting schemes, which conforms to our simulation results when the variance of transitory shocks is higher than that of persistent shocks, true persistence is high, and the persistent component’s variance in the first sample year is nonzero. We further apply quasidifferences to the data from a calibrated lifecycle model and find significant biases in the persistence of shocks and their insurance. Estimation of the income process using quasidifferences is reliable only when the variance of persistent shocks is higher than that of transitory shocks and the moments are equally weighted.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"2 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135730569","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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