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Undesired monetary policy effects in a bubbly world 泡沫世界中不受欢迎的货币政策效应
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-08-15 DOI: 10.1017/s1365100523000317
G. Ciccarone, F. Giuli, Enrico Marchetti, Valeria Patella, M. Tancioni
{"title":"Undesired monetary policy effects in a bubbly world","authors":"G. Ciccarone, F. Giuli, Enrico Marchetti, Valeria Patella, M. Tancioni","doi":"10.1017/s1365100523000317","DOIUrl":"https://doi.org/10.1017/s1365100523000317","url":null,"abstract":"\u0000 Stock market bubbles arise as a joint monetary and financial phenomenon. We assess the potential of monetary policy in mitigating the onset of bubbles by means of a Markov-switching Bayesian Vector Autoregression model estimated on US 1960–2019 data. Bubbles are detected and dated from the regime-specific interplay among asset prices, fundamental values, and monetary policy shocks. We rationalize the empirical evidence with an Overlapping Generations model, able to generate a bubbly scenario with shifts in monetary policy, and where agents form beliefs over transition dynamics. By matching the VAR impulse responses, we find that procyclicality and financial instability align with high equity premia and the presence of asset price bubbles. Monetary policy tightening, by increasing real rates, is ineffective in deflating bubble episodes.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48643499","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
Alternative monetary policies and wealth and income inequality: the monetary instrument problem revisited 替代货币政策与财富和收入不平等:货币工具问题的重新审视
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-08-11 DOI: 10.1017/s1365100523000299
S. Turnovsky, Yoichi Gokan
{"title":"Alternative monetary policies and wealth and income inequality: the monetary instrument problem revisited","authors":"S. Turnovsky, Yoichi Gokan","doi":"10.1017/s1365100523000299","DOIUrl":"https://doi.org/10.1017/s1365100523000299","url":null,"abstract":"\u0000 This paper compares the impact of setting the money growth rate versus pegging the interest rate on aggregate real variables and their distributions. In either case, the monetary policy, in isolation, requires the price level to jump to ensure intertemporal solvency but has no real dynamic effects. The choice of monetary instrument has consequences for wealth and income inequality, doing so in potentially conflicting ways. Following real shocks, the accompanying monetary policy will influence the ensuing transition. For real variables, this operates entirely through its impact on the speed of convergence and is negligible. For financial variables, the impact also depends upon the initial jump in the price level. These effects vary more substantially between policies and have more significant distributional consequences. Overall, the impact on inequality is dominated by the real shocks themselves, rather than the accompanying monetary policy. Finally, we compare these two policies to inflation targeting, which is shown to be the least favorable for reducing wealth inequality, but the most favorable for reducing income inequality.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45891325","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
Asset pricing with costly and delayed firm entry 企业进入成本高昂且延迟的资产定价
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-07-19 DOI: 10.1017/s1365100523000287
Lorant Kaszab, Ales Marsal, K. Rabitsch
{"title":"Asset pricing with costly and delayed firm entry","authors":"Lorant Kaszab, Ales Marsal, K. Rabitsch","doi":"10.1017/s1365100523000287","DOIUrl":"https://doi.org/10.1017/s1365100523000287","url":null,"abstract":"\u0000 Survey evidence tells us that stock prices reflect the risks investors associate with long-run technological change. However, there is a shortage of models that can rationalize long-run risks. Unlike the previous literature assuming a fixed number of products, our model allows for new product varieties that appear in the form of new firms which face entry costs and delay in the entry process. The fixed variety model has a significant limitation in translating macroeconomic volatility into asset return volatility. Our model with growing varieties induces endogenous low-frequency fluctuations in productivity driving large, persistent variations in consumption growth and asset prices. It also changes the valuation of assets through the increase in the volatility of the pricing kernel (with a positive long-run component) and leads to higher excess returns. Our model is motivated by a simple recursively identified VAR model containing quarterly US data 1992Q3-2018Q4 with the following list of variables: total factor productivity, output, a measure of firm entry, and the excess return on stocks.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43706935","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 Mexican poverty-trap regimes and struggling to escape them 论墨西哥的贫困陷阱政权及其摆脱困境的斗争
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-07-12 DOI: 10.1017/s1365100523000275
E. Sanchez Carrera, W. Risso
{"title":"On Mexican poverty-trap regimes and struggling to escape them","authors":"E. Sanchez Carrera, W. Risso","doi":"10.1017/s1365100523000275","DOIUrl":"https://doi.org/10.1017/s1365100523000275","url":null,"abstract":"\u0000 This paper deals with the phenomenon of poverty-trap regimes in Mexico, that is, self-reinforcing mechanisms in which municipalities which start poor remain poor. We develop a coordination game of poverty traps driven by strategic interactions of economic agents: people choose to complete or not their education levels since it might be excessively costly and unprofitable. A one-shot game is constructed and then converted into a system of differential equations in which strategies that perform relatively better become more abundant in the population. Applying evolutionary games and symbolic-regimes dynamics (nonparametric and nonlinear techniques), we show that Mexican regions are in poverty-trap regimes (stable and dynamically evolving low-level equilibria) characterized by incomplete education and low income since initial conditions (education and income per capita) are such (very precarious) that poverty is the stable steady-state situation. We examine scenarios to show that to overcome the high-poverty regime by the year 2030, it is necessary to reduce incomplete education by 10% in the 5-year periods 2020–2025 and 2025–2030 and increase per-capita income by 10% in both periods.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45732789","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
Negative income tax and universal basic income in the eyes of Aiyagari 艾雅加里眼中的负所得税与全民基本收入
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-07-10 DOI: 10.1017/s1365100523000263
Yongsung Chang, Jong-suk Han, Sun-Bin Kim
{"title":"Negative income tax and universal basic income in the eyes of Aiyagari","authors":"Yongsung Chang, Jong-suk Han, Sun-Bin Kim","doi":"10.1017/s1365100523000263","DOIUrl":"https://doi.org/10.1017/s1365100523000263","url":null,"abstract":"\u0000 We compare two welfare programs: the universal basic income (UBI) and negative income tax (NIT). Under a linear income tax system, we show that (i) the NIT can replicate the allocation of the UBI exactly by providing an identical marginal effective tax schedule, and (ii) the budget of the NIT is always smaller than that of the UBI. According to our quantitative model, which is calibrated to approximate the income and wealth distributions in the United States, the optimal UBI is to pay everyone 7.2% of the average income. We also show that the NIT can achieve a similar average welfare with a much smaller budget (2.3% of the GDP) by providing a subsidy that is generous to the very poor and quickly phases out as income increases.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48149053","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
Simple mandates, monetary rules, and trend-inflation 简单的命令、货币规则和趋势通胀
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-07-07 DOI: 10.1017/s136510052300024x
S. Deák, P. Levine, Son T. Pham
{"title":"Simple mandates, monetary rules, and trend-inflation","authors":"S. Deák, P. Levine, Son T. Pham","doi":"10.1017/s136510052300024x","DOIUrl":"https://doi.org/10.1017/s136510052300024x","url":null,"abstract":"\u0000 A mandate framework is proposed for delegating monetary policy to an instrument-independent, but goal-dependent central bank that emphasizes simplicity in both the objectives entering the welfare criterion and those in the instrument rule. It consists of: (i) a simple quadratic loss function penalizing deviations from target variables; (ii) a welfare-optimized, Taylor-type log-linear nominal interest-rate rule with targets that match those in the loss function; (iii) a zero-lower-bound (ZLB) constraint on the nominal interest rate imposing a low unconditional probability of ZLB episodes; and (iv) a long-run inflation target. In an estimated New Keynesian model with these features, we find that for a quarterly probability of 5%, an optimal annual inflation target is close to 2%, weights for real variables in the loss function are small compared with inflation except for the real wage growth mandate and the optimized rules mimic a price-level rule.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45660445","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 spending multipliers with the Real Cost channel 政府支出与实际成本渠道相乘
IF 0.9 4区 经济学
Macroeconomic Dynamics Pub Date : 2023-07-06 DOI: 10.1017/s1365100523000251
He Nie
{"title":"Government spending multipliers with the Real Cost channel","authors":"He Nie","doi":"10.1017/s1365100523000251","DOIUrl":"https://doi.org/10.1017/s1365100523000251","url":null,"abstract":"In the benchmark New Keynesian (NK) model, I introduce the real cost channel to study government spending multipliers and provide simple Markov chain closed-form solutions. This model departs fundamentally from most previous interpretations of the nominal cost channel by flattening the NK Phillips Curve in liquidity traps. At the zero lower bound, I show analytically that following positive government spending shocks, the real cost channel can make inflation rise less than in a model without this channel. This then causes a smaller drop in real interest rates, resulting in a lower output gap multiplier. Finally, I confirm the robustness of the real cost channel’s effect on multipliers using extensions of two models.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"22 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138536215","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 effects of public sector employment on household savings and labor supply 公共部门就业对家庭储蓄和劳动力供给的影响
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-06-14 DOI: 10.1017/s1365100523000226
Luis G. Bettoni, Marcelo R. Santos
{"title":"The effects of public sector employment on household savings and labor supply","authors":"Luis G. Bettoni, Marcelo R. Santos","doi":"10.1017/s1365100523000226","DOIUrl":"https://doi.org/10.1017/s1365100523000226","url":null,"abstract":"Abstract In many countries, the structure of wages and the labor law legislation are completely different for public and private sector employees. In this paper, we develop a general equilibrium overlapping generations model to study the effect of such differences on household savings and labor supply. To conduct our analysis, first we use microdata from two Brazilian household surveys to document that civil servants save and work significantly less than their counterparts in the private sector. Second, we use matched employer–employee microdata from Brazil (RAIS) to document differences between the two sectors in terms of wage and unemployment risk. Then, we calibrate the model to be consistent with micro and macro evidence for Brazil. Our counterfactual exercises show that differences in wages characteristics and labor law legislation account for nearly 70% of the gap in savings between civil servants and private sector workers, and 57% of the gap in labor supply. In addition, we find that eliminating those differences can produce sizable increase on aggregate savings, employment, and welfare.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"324 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135859773","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
Deregulation as a source of China’s economic growth 放松管制是中国经济增长的一个源泉
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-06-05 DOI: 10.1017/s1365100523000238
Shiyuan Pan, Kai Xu, Kai Zhao
{"title":"Deregulation as a source of China’s economic growth","authors":"Shiyuan Pan, Kai Xu, Kai Zhao","doi":"10.1017/s1365100523000238","DOIUrl":"https://doi.org/10.1017/s1365100523000238","url":null,"abstract":"Abstract We develop a simple two-sector neoclassical growth model in which the upstream sector produces intermediate goods, and the downstream sector produces final goods with outputs from the upstream. While the downstream sector features perfect competition, firms in the upstream sector engage in Cournot competition and charge a markup. We show that the deregulation and the introduction of competition in the upstream goods sector not only increases the productivity in the sector but also has a substantial spillover effect on the productivity of the downstream sector and factor prices. We calibrate the model to the Chinese economy and use the calibrated model to quantitatively evaluate the extent to which the deregulation in the upstream market in China from 1998 to 2006 can account for the rapid economic growth and the high and rising returns to capital in China over the same period. Our quantitative experiments show that the deregulation in the upstream sector can account for a significant share of economic growth in China during the study period. In addition, our model delivers implications that are consistent with several other relevant observations in China during the same period.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135657252","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
Love of novelty: a source of innovation-based growth… or underdevelopment traps? 对新奇事物的热爱:创新增长的源泉……还是欠发达的陷阱?
4区 经济学
Macroeconomic Dynamics Pub Date : 2023-05-30 DOI: 10.1017/s1365100523000196
Yuichi Furukawa, Tat-kei Lai, Kenji Sato
{"title":"Love of novelty: a source of innovation-based growth… or underdevelopment traps?","authors":"Yuichi Furukawa, Tat-kei Lai, Kenji Sato","doi":"10.1017/s1365100523000196","DOIUrl":"https://doi.org/10.1017/s1365100523000196","url":null,"abstract":"Abstract This study develops a new dynamic general equilibrium model to explore the role of people’s love of novelty as a cultural preference in innovation and innovation-based growth. The model considers (a) an infinitely lived representative consumer who has standard love-of-variety preferences for differentiated products and additional love-of-novelty preferences for new products and (b) technological progress driven by two costly and time-consuming innovation activities, new product development and existing product development. We demonstrate that consumers’ love of novelty is a source of innovation-based growth, wherein economies with a moderate love of novelty can achieve innovation and long-run growth through endogenous cycles between periods in which new product development is active and those in which existing product development is active. However, if love of novelty preference is too weak or too strong, the economy is caught in an underdevelopment trap with less innovation and no long-run growth. We also provide some suggestive empirical evidence that supports our theoretical predictions.","PeriodicalId":18078,"journal":{"name":"Macroeconomic Dynamics","volume":"152 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135478838","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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