Macroeconomics: Monetary & Fiscal Policies eJournal最新文献

{"title":"Empirical Evidence of the Lending Channel of Monetary Policy under Negative Interest Rates","authors":"Whelsy Boungou","doi":"10.2139/ssrn.3513885","DOIUrl":"https://doi.org/10.2139/ssrn.3513885","url":null,"abstract":"Does the lending channel of monetary policy operate under a negative interest rate policy (NIRP)? The purpose of this study is to shed light on the existence of a lending channel of monetary policy under NIRP. To do so, we aim to provide an in-depth analysis of the relationship between NIRP and bank-lending behavior. To achieve this, we employ a large panel dataset of 4072 banks operating in 54 countries over the period 2009-2018 and a Difference-in-Differences methodology. We find that banks located in countries affected by negative interest rates have adjusted their bank-lending behavior by increasing lending activities. Our findings suggest that in response to negative interest rates, banks have reduced their lending cost, and increased lending supply, especially for loans longer than 3 months. Finally, we also find that the transmission of monetary policy under negative interest rates to the real economy depends on banks' specific characteristics such as reliance on retail deposits and size.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126328240","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":"한･미 금리 동조화 현상과 금융안정 The Effect of Korea-US Interest Rates Co-movement on Financial Stability Conditions in South Korea","authors":"Jong-hee Kim","doi":"10.2139/ssrn.3638865","DOIUrl":"https://doi.org/10.2139/ssrn.3638865","url":null,"abstract":"<b>Korean Abstract:</b>본 논문은 2003년부터 2018년까지 분기별 자료를 이용하여 테일러 준칙(Taylor rule)을 가정한 한국 기준금리 및 장･단기 시장금리 수준이 미국 금리변화에 통계적으로 유의한 영향을 받는지 확인하고, E-GARCH 모형과 2단계 최소자승법 모형을 이용하여 미국 금리 변화에 영향을 받아 변화하는 국내 금리수준이 국내 금융안정지표에 미치는 영향에 대해 실증분석하였다. 분석 결과, 한국의 기준금리와 장기금리는 2003년 이후 미국 기준금리 및 장기금리에 통계적으로 유의한 수준에서 정(+)의 영향을 받는 것으로 나타났으며, 한국과 미국 간 기준금리차가 확대될수록 국내 금융변동성을 나타내는 신용/GDP 갭 지표가 상승하는 반면 대외부문 금융변동성을 나타내는 단기외채/외환보유액 갭 지표는 하락하는 것으로 분석되었다. 이러한 대내･외 금융안정성 간 상충관계는 한･미 기준금리 간 격차가 일정 수준 이상 증가하지 않음으로 인해 해외자본 유출입 변동성을 완화시켜 국내금융 불안정 요인을 차단하는 효과와 예기치 않은 조달비용의 변화로 인해 대외채무 변동성을 증가시키는 효과가 공존하여 발생한 것으로 추정된다. 이러한 대내･외 금융안정 측면의 상충관계는 통화정책과 거시건전성 정책 간 긴밀한 정책공조 및 협력을 통해 완화될 수 있을 것으로 판단된다.<br><br><b>English Abstract:</b>This paper examines the effect of interest rate co-movement of South Korea and the United States on the financial stability conditions in South Korea. To answer the question, the paper preliminarily studies the effect of Federal funds rates on Taylor-type policy rates of South Korea. The paper also addresses the recently strengthening co-movements of short-term and long-term market rates between two countries. Based on these preliminary empirical findings, the paper studies strong correlations between the international interest transmission channel and the financial stability in South Korea. An increase in the differential between two policy rates, which means a less correlation in the interest rates, exacerbates domestic financial stability index estimated by credit-to-GDP gap while it ameliorates external financial stability index which is measured by short-term external debt-to-foreign reserve gap. This results means that an increase in Korean policy rate associated with the Federal funds rate stabilizes the internal financial stability, while it worsens the external financial stability. This trade-off between internal and external financial volatilities suggests that the policy rates co-movement can decrease the possibility of sudden foreign capital outflows, while it can create an unexpected increase in the borrowing cost for foreign financing.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"365 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124587183","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":"Financial Market and Capital Flow Dynamics During the COVID-19 Pandemic","authors":"J. Beirne, Nuobu Renzhi, E. Sugandi, Ulrich Volz","doi":"10.2139/ssrn.3656848","DOIUrl":"https://doi.org/10.2139/ssrn.3656848","url":null,"abstract":"We examine empirically the reaction of global financial markets across 38 economies to the COVID-19 outbreak, with a special focus on the dynamics of capital flow across 14 emerging market economies. Using daily data over the period 4 January 2010 to 30 April 2020 and controlling for a host of domestic and global macroeconomic and financial factors, we use a fixed effects panel approach and a structural VAR framework to show that emerging markets have been more heavily affected than advanced economies. In particular, emerging economies in Asia and Europe have experienced the sharpest impact on stocks, bonds, and exchange rates due to COVID-19, as well as abrupt and substantial capital outflows. Our results indicate that fiscal stimulus packages introduced in response to COVID-19, as well as quantitative easing by central banks, have helped to restore overall investor confidence through reducing bond yields and boosting stock prices. Our findings also highlight the role that global factors and developments in the world’s leading financial centers have on financial conditions in EMEs. Importantly, the impact of COVID-19 related quantitative easing measures by central banks in advanced countries, which helped to lower sovereign bond yields and prop up stock markets at home, extended to EMEs, notably in relation to stabilizing capital flow dynamics. While the ultimate resolution of COVID-19 may be expected to lead to a market correction as uncertainty declines, our impulse response analysis suggests that there may be some permanent effects on financial markets and capital flows as a result of COVID-19, particularly in EMEs.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131789381","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 Finance of Unemployment Compensation and its Consequence","authors":"Audrey Guo, Andrew C. Johnston","doi":"10.2139/ssrn.3617421","DOIUrl":"https://doi.org/10.2139/ssrn.3617421","url":null,"abstract":"A vast literature considers the influence of unemployment benefits on labor supply, but little has been done to understand the consequences of the unique tax that finances benefits in the United States. We present new evidence on the statutory incidence of the tax along the income distribution, across industries, by geography, and over the business cycle. This labor policy presents several fascinating questions for economists: Do the penalties produced by experience rating reduce layoffs amid recessions? What impact do tax increases have on hiring and recovery? We provide a handrail for analysts to understand the institutions and engage outstanding questions.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114730387","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":"V –, U –, L – Or W–Shaped Economic Recovery After COVID-19: Insights From an Agent Based Model","authors":"Dhruv Sharma, J. Bouchaud, S. Gualdi, M. Tarzia, F. Zamponi","doi":"10.2139/ssrn.3627505","DOIUrl":"https://doi.org/10.2139/ssrn.3627505","url":null,"abstract":"We discuss the impact of a Covid-like shock on a simple toy economy, described by the Mark-0 Agent-Based Model that we developed and discussed in a series of previous papers. We consider a mixed supply and demand shock, and show that depending on the shock parameters (amplitude and duration), our toy economy can display V-shaped, U-shaped or W-shaped recoveries, and even an L-shaped output curve with permanent output loss. This is due to the existence of a self-sustained \"bad\" state of the economy. We then discuss two policies that attempt to moderate the impact of the shock: giving easy credit to firms, and the so-called helicopter money, i.e. injecting new money into the households savings. We find that both policies are effective if strong enough, and we highlight the potential danger of terminating these policies too early. While we only discuss a limited number of scenarios, our model is flexible and versatile enough to allow for a much wider exploration, thus serving as a useful tool for the qualitative understanding of post-Covid recovery. We provide an on-line version of the code at https://gitlab.com/sharma.dhruv/markovid .","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123356481","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":"Slow Recoveries, Endogenous Growth and Macro-prudential Policy","authors":"Dario Bonciani, D. Gauthier, Derrick Kanngiesser","doi":"10.2139/ssrn.3616855","DOIUrl":"https://doi.org/10.2139/ssrn.3616855","url":null,"abstract":"Banking crises have severe short and long-term consequences. We develop a general equilibrium \u0000model with financial frictions and endogenous growth in which macro-prudential policy \u0000supports economic activity and productivity growth by strengthening bank’s resilience \u0000to adverse financial shocks. The improved intermediation capacity of a safer banking system \u0000leads to a higher steady state growth rate. The optimal bank capital ratio of 18% increases \u0000welfare by 6.7%, 14 times more than in the case without endogenous growth. When the \u0000economy enters a liquidity trap, the effects of financial disruptions and thus the benefits of \u0000macro-prudential policy are even more significant.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123191397","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 Helicopter Money Puzzle: Economic and Political Economy Arithmetic","authors":"D. Masciandaro","doi":"10.2139/ssrn.3604186","DOIUrl":"https://doi.org/10.2139/ssrn.3604186","url":null,"abstract":"We have helicopter money when there is a lump-sum monetary transfer which produces intended central bank capital losses and/or a permanent monetary base change. This extraordinary monetary policy option appears whenever there is a significant economic crisis. But then the helicopter never flies. Political economy reasons can explain such as outcome. An independent central bank can credibly define a social optimal helicopter money. But as the redistributive effects of helicopter money increase, and such as effects are politically relevant, the risk of citizen hostility towards the central bank policy increases, a multiple equilibria setting arises and the central bank helicopter money becomes unlikely.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130827476","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":"Luck or Insight? The Simon–Ehrlich Bet Re‐Examined","authors":"Gale Pooley, Marian L. Tupy","doi":"10.1111/ecaf.12398","DOIUrl":"https://doi.org/10.1111/ecaf.12398","url":null,"abstract":"After a long argument about the effect of population growth on the availability of resources, Julian Simon and Paul Ehrlich undertook a $1,000 bet in October1980. The wager concerned the inflation‐adjusted prices of five metals. If, over ten years, prices rose, Simon would pay Ehrlich. If they fell, Ehrlich would pay Simon. In October 1990 Ehrlich mailed Simon a cheque, as the real price of the five‐metal basket of commodities had fallen by 36 per cent. Since then, some researchers have argued that Simon ‘got lucky’; over other periods the result would have been different. We review data from 1900–2019 and find that, if war years are excluded, Simon would have won the bet 69.9 per cent of the time. During this 119‐year period, the time price of the five‐metal basket fell by 87.2 per cent despite both US and world populations having grown substantially.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"266 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133795262","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":"Fiscal and Monetary Interdependence","authors":"G. Steele","doi":"10.1111/ecaf.12397","DOIUrl":"https://doi.org/10.1111/ecaf.12397","url":null,"abstract":"Where classical economics integrates the quantity theory of money with the concept of Ricardian equivalence, the tendency of recent macroeconomic presentations is to focus either upon money and inflation or upon taxation and debt. That neglect of classical monetary–fiscal integration is surprising, given an initiative by the International Monetary Fund that set credit, money, and fiscal policy within a single structure. This article places those ‘credit counterparts of broad money’ in the context of the Great Depression and the recent global financial crisis. The upshot is a set of conclusions: that, to counter the prospect of deflation, quantitative easing is a weak policy response; that fiscal deficits are better; and that cuts in taxation are preferable to increased government spending.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134214532","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":"On Economic Market Cycles and Immigration","authors":"O. Butriy","doi":"10.2139/ssrn.3609003","DOIUrl":"https://doi.org/10.2139/ssrn.3609003","url":null,"abstract":"In my previous paper “On Economic Market Cycles and Dominating Market Behaviour”, I’ve introduced the chronological phases of a Big Economic Market Cycle. In order to remind the readers briefly, the economic market develops as a series of small and big swings. The market debt is the source of market swings. The accumulation of debt and its period of back payment cause market swings or, in other words, market cycles. During a market cycle the economy first goes up and, then, experiences a downturn. The economic rise during a market cycle is linked to money borrowing and economic growth, while the downturn in a market cycle results from the accumulated debt which has to be paid back.<br><br>A Big Economic Cycle lasts for about 75-100 years. The downturn in a Big Market Curve associates with an economic depression which might last for a decade.<br><br>Further, I suggested that 75-100 years it’s the time span of 3 mature generations of people in the society. Let’s say, a person stays economically active 30-35 years.<br><br>In the article “On Economic Market Cycles and Dominating Market Behaviour”, I suggest that that 75-100 years of a Big Economic Market Cycle represents three generations of society, that is, the generation of developers, the generation of benefiters and the generation of decline.<br><br>The immigration might do from very good to very bad for the recipient society, its economic and social well-being. The influence of individual economic behaviour of immigrants on the group economic behaviour of the recipient society in the long term is decisive in the end of the day.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115214106","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}