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Macroeconomics: Monetary & Fiscal Policies eJournal最新文献

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Corporate Investment and Shadow Banking Channel of Monetary Policy 企业投资与影子银行货币政策通道
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-08-15 DOI: 10.2139/ssrn.3905367
Bo Jiang
{"title":"Corporate Investment and Shadow Banking Channel of Monetary Policy","authors":"Bo Jiang","doi":"10.2139/ssrn.3905367","DOIUrl":"https://doi.org/10.2139/ssrn.3905367","url":null,"abstract":"This paper studies the heterogeneous response of State-owned enterprises (SOEs) and nonState-owned enterprises (nonSOEs) to the monetary policy. I find that SOEs’ investment declines by 5% - 12% more than nonSOEs after a 100 basis point monetary tightening shock using recent data from China. I provide evidence that a shadow banking channel could explain the empirical results. I show that, via a rise of shadow banking relative to bank loans, a monetary tightening shock raises the credit spread of SOEs to nonSOEs, which further slows down the investment of SOEs compared to nonSOEs.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"189 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121272297","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
Optimal Fiscal Implications of Optimal Unconventional Monetary Policy 最优非常规货币政策的最优财政含义
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-08-12 DOI: 10.2139/ssrn.3904390
Mehrab Kiarsi
{"title":"Optimal Fiscal Implications of Optimal Unconventional Monetary Policy","authors":"Mehrab Kiarsi","doi":"10.2139/ssrn.3904390","DOIUrl":"https://doi.org/10.2139/ssrn.3904390","url":null,"abstract":"This paper studies the joint determination of optimal fiscal and unconventional and conventional monetary policy in a medium-scale macroeconomic model with financial intermediaries. An agency problem between borrowers and lenders makes financial frictions endogenous and makes banks facing endogenous balance sheet constraints. The main result is that taking active fiscal policy explicitly into account leads to significant changes in implications of central banks direct lending programs, which are considered to be “the most important dimension of their balance sheet activities”. In the calibrated exogenous-policy model the balance sheet constraints tighten and a negative financial shock results in a financial crisis. In this case, unconventional monetary policy is effective in ameliorating the crisis. We then endogenize fiscal and monetary instruments and solve for the optimal policy. We explicitly solve for the optimal fraction of private credit intermediation by the central bank. In the presence of credit market intervention the Ramsey planner calls for extremely large long-run labor income or consumption tax subsidy. This is because the government issues short-term riskless debt and buys long-term risky assets and obtains large revenues from its asset-purchase policies, due to the assumed imperfect financial markets and abnormal excess returns. Furthermore, the optimal dynamics of the model with credit policy intervention feature extremely volatile distortionary taxes and government liabilities, which act as shock absorbers of negative financial innovations. With active fiscal policy the Ramsey dynamics do not imply that the central bank direct lending policy is effective in offsetting large financial disturbances, even under credit scarcity.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131904073","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
Central Banks and Climate Change - The Case for Action 中央银行与气候变化——采取行动的理由
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3895605
Luke Bartholomew, P. Diggle
{"title":"Central Banks and Climate Change - The Case for Action","authors":"Luke Bartholomew, P. Diggle","doi":"10.2139/ssrn.3895605","DOIUrl":"https://doi.org/10.2139/ssrn.3895605","url":null,"abstract":"Central banks are increasingly considering their role in meeting climate objectives. Often, central banks justify this by arguing that climate considerations directly impact on their primary objectives of price and financial stability. We argue that a stronger case is that the urgency of climate risks is such that standard neutrality-based objections to central bank involvement in economic allocation are obviated. Indeed, neutrality-based arguments look especially weak when it is realised neutrality is essentially impossible for central banks to achieve.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130475761","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
Tax Curvature 税收曲率
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3895549
A. Hummel
{"title":"Tax Curvature","authors":"A. Hummel","doi":"10.2139/ssrn.3895549","DOIUrl":"https://doi.org/10.2139/ssrn.3895549","url":null,"abstract":"In a Mirrleesian environment, a monopsonist sets hourly wages and individuals choose how many hours to work. Labor market outcomes do not only depend on the level and slope of the income tax function, but also on its curvature. A more concave tax schedule raises the elasticity of labor supply, which boosts wages. Consequently, optimal marginal tax rates for low-skilled workers are declining in income. I derive an optimal tax formula in terms of sufficient statistics that accounts for the impact of tax curvature on labor market outcomes.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125498758","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
Where do DeFi Stablecoins Go? A Closer Look at What DeFi Composability Really Means. DeFi稳定币何去何从?深入了解定义可组合性的真正含义。
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-07-26 DOI: 10.2139/ssrn.3893487
Kanis Saengchote
{"title":"Where do DeFi Stablecoins Go? A Closer Look at What DeFi Composability Really Means.","authors":"Kanis Saengchote","doi":"10.2139/ssrn.3893487","DOIUrl":"https://doi.org/10.2139/ssrn.3893487","url":null,"abstract":"One of the benefits of decentralized finance (DeFi) – an alternative financial system built on blockchain – is composability, which means the system’s building blocks (tokens) can freely interact with one another to form new services. One example is stablecoin, a token with fixed exchange rate, which is backed by token collaterals. While stablecoins can be used to facilitate payments and exchanges, in DeFi they can be used to earn returns (“yield farming”), potentially multiplicatively. We use transaction-level blockchain data to analyze a stablecoin’s flows between protocols and provide suggestive evidence of DeFi yield-chasing behavior. We shed light on what DeFi total value locked might really measure and highlight the complexity in DeFi analysis and market surveillance.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133130891","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: 15
Gini in the Taylor Rule: Should the Fed Care About Inequality? 泰勒法则中的基尼系数:美联储应该关注不平等吗?
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-07-23 DOI: 10.2139/ssrn.3892306
Eunseong Ma, Kwangyong Park
{"title":"Gini in the Taylor Rule: Should the Fed Care About Inequality?","authors":"Eunseong Ma, Kwangyong Park","doi":"10.2139/ssrn.3892306","DOIUrl":"https://doi.org/10.2139/ssrn.3892306","url":null,"abstract":"This study investigates whether the Federal Reserve (Fed) should care about inequality. We develop a Heterogeneous Agent New Keynesian (HANK) model, which generates empirically realistic inequalities and business cycle properties observed in the U.S. data. Households in the model economy are subject to the aggregate productivity shock and to the idiosyncratic labor efficiency and preference shocks. In addition, the model distinguishes the extensive and intensive margins of labor supply. We consider the income Gini coefficient in a monetary policy rule to see how an inequality-targeting monetary policy might affect aggregate and disaggregate outcomes, as well as economic welfare. First, we find that a monetary policy rule with an explicit inequality target can be welfare improving, even if inequality becomes volatile. Second, there is an efficiency-equity trade-off: an economy should sacrifice a more volatile output in order to have smaller cyclical variations in its inequality measures. Lastly, when the Fed targets the employment of a specific group of households, it can improve economic welfare and stabilize inequality at the same time.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134619694","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
The Informative Value of Central Banks Talks: A Topic Model Application to Sentiment Analysis 中央银行谈话的信息价值:一个话题模型在情绪分析中的应用
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-07-15 DOI: 10.2139/ssrn.3935168
Paola Priola, A. Molino, Giacomo Tizzanini, Lea Zicchino
{"title":"The Informative Value of Central Banks Talks: A Topic Model Application to Sentiment Analysis","authors":"Paola Priola, A. Molino, Giacomo Tizzanini, Lea Zicchino","doi":"10.2139/ssrn.3935168","DOIUrl":"https://doi.org/10.2139/ssrn.3935168","url":null,"abstract":"Central banks communication has lately become an important tool to guide expectations and its impact on the economy has been acknowledged by the literature. Nowadays central banks speeches face an increasing variety of topics, which are not discriminated by text analysis. In this paper we build a topic-weighted central bank sentiment index as a combination of machine learning and text analysis techniques to investigate large datasets. First, we develop a methodological framework to grid search the best Latent Dirichlet Allocation (LDA) model to uncover the latent topics in central banks' speeches and releases published between 2000 and 2021. Then, we build a topic-specific sentiment index based on dictionary techniques. Next, we summarise the results in a topic-weighted Central Bank Sentiment Index (CBSIw) for the Bank of Canada (BoC), the Bank of England (BoE), the European Central Bank (ECB) and the Federal Reserve (Fed). We find that the main common driver of the CBSIw is the monetary policy topic, followed by macroprudential policy and payments and settlements. We also uncover bank-specific topics and topics related to new challenges, for example innovation and climate change. Moreover, we find that the CBSIw decreases after the Great Recession, signalling a worsening in sentiment, as well as during the COVID-19 crisis. Finally, we employ a probit regression to further assess the predictive power of our monetary policy topic-specific index. We find that the indicator helps predicting future changes in policy rate, corroborating the evidence that central banks communication signals future monetary policy decisions.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121200070","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
What is Money? A Lawyer's Perspective on U.S. Payment System Evolution and Dollars in the Digital Age 钱是什么?从律师的角度看数字时代美国支付系统的演变和美元
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-07-12 DOI: 10.2139/ssrn.3885031
Jess Cheng, Joseph A. Torregrossa
{"title":"What is Money? A Lawyer's Perspective on U.S. Payment System Evolution and Dollars in the Digital Age","authors":"Jess Cheng, Joseph A. Torregrossa","doi":"10.2139/ssrn.3885031","DOIUrl":"https://doi.org/10.2139/ssrn.3885031","url":null,"abstract":"This article analyzes the current frictions, and opportunities for evolution, in the U.S. dollar payment system, by viewing money through the lens of network effects, interoperability, and their legal underpinnings. It gives a lawyer’s perspective on the workings of the U.S. payment system and lessons from history, including the free banking era. This article also discusses current developments, such as various central bank digital currency (CBDC) proposals and private-sector stablecoin developments, in this context. The goal is to contribute to the discussion around the future of the U.S. payment system, toward greater efficiency that does not come at the cost of introducing instability.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"147 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116424941","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
Hysteresis in the New Keynesian three equation model 新凯恩斯三方程模型中的滞后性
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-07-08 DOI: 10.2139/ssrn.3882537
Robert Calvert Jump, P. Levine
{"title":"Hysteresis in the New Keynesian three equation model","authors":"Robert Calvert Jump, P. Levine","doi":"10.2139/ssrn.3882537","DOIUrl":"https://doi.org/10.2139/ssrn.3882537","url":null,"abstract":"This paper introduces unemployment hysteresis into a tractable New Keynesian three equation model using an insider-outsider labour market. We demonstrate that strict inflation targeting can lead to a unit root in the unemployment rate, but dual mandate monetary policy can stabilise the economy around its efficient employment rate.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121707364","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
Cash Demand at Negative Policy Rates 负政策利率下的现金需求
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2021-07-05 DOI: 10.2139/ssrn.3899783
Edoardo Rainone
{"title":"Cash Demand at Negative Policy Rates","authors":"Edoardo Rainone","doi":"10.2139/ssrn.3899783","DOIUrl":"https://doi.org/10.2139/ssrn.3899783","url":null,"abstract":"Following the implementation of negative policy rates, interest rates on bank deposits reached their historic lows, with values close or equal to zero. This paper investigates the implications of such a new environment for the demand of cash. We find evidence of a discontinuity in the demand of cash when rates on bank deposits fall below 0.1 per cent. Exploiting time, bank and banknote denomination variation, as well as exogenous shocks to cash payments and holdings, our analysis finds that the increase of cash in circulation seems to be mostly driven by transactions demand instead of store-of-value demand.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126214071","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
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