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Macroeconomics: Monetary & Fiscal Policies eJournal最新文献

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International Effects of Euro Area Forward Guidance 欧元区前瞻指引的国际效应
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-05-22 DOI: 10.2139/ssrn.3607634
Maximilian Bock, Martin Feldkircher, P. Siklos
{"title":"International Effects of Euro Area Forward Guidance","authors":"Maximilian Bock, Martin Feldkircher, P. Siklos","doi":"10.2139/ssrn.3607634","DOIUrl":"https://doi.org/10.2139/ssrn.3607634","url":null,"abstract":"This paper explores the domestic and international effects of an increase in observed interest rates (conventional monetary policy) and expected interest rates (forward guidance). We find significant spillovers to a broad range of countries when both are subject to a tightening shock: Output growth and inflation decelerate and equity returns decline. Currencies of euro area neighboring countries tend to depreciate against the euro. A tightening forward guidance shock triggers more persistent effects on euro area and international interest rates. We find that international effects vary over the sample period when either interest rates are shocked.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126340214","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: 2
An Essay on the Fed and the U.S. Treasury: Lender of Last Resort and Fiscal Policy 美联储和美国财政部:最后贷款人和财政政策
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-05-21 DOI: 10.2139/ssrn.3607192
H. Scott
{"title":"An Essay on the Fed and the U.S. Treasury: Lender of Last Resort and Fiscal Policy","authors":"H. Scott","doi":"10.2139/ssrn.3607192","DOIUrl":"https://doi.org/10.2139/ssrn.3607192","url":null,"abstract":"This essay explores the evolution of my thinking on risky emergency lending to banks and non-banks. The Fed is now, in the Pandemic, engaging in lending with significant credit risk. While it appears these are Fed programs, in fact this lending is controlled by, and may be largely determined, by the Treasury. This is proper but should be clear. Lending with significant credit risk is a fiscal decision and should be made by the elected government not by an independent agency, whether made to banks or non-banks. And it should be the Treasury’s role, as advised by the Fed, to determine when there is significant credit risk. When there is no significant credit risk, the Fed should make the lending decision, without control or approval of the Treasury, again whether to banks or non-banks, as part of their role as liquidity supplier and lender of last resort. If there is disagreement as to whether there is significant credit risk the Treasury’s view should prevail.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116328349","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
Treasury Growth Dividends 国库增长红利
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-05-18 DOI: 10.2139/ssrn.3604324
R. Hockett
{"title":"Treasury Growth Dividends","authors":"R. Hockett","doi":"10.2139/ssrn.3604324","DOIUrl":"https://doi.org/10.2139/ssrn.3604324","url":null,"abstract":"I propose a specific use for the Treasury-issued ‘Digital Greenbacks’ (DGBs) and associated system of TreasuryDirect Digital Wallets that I have proposed elsewhere. I propose that these be issued as equitably distributed ‘Treasury Growth Dividends’ (TGDs) under normal circumstances, and deployed as a countercyclical policy lever under abnormal circumstances of deepening deflation or heightening inflation. This use of DGBs offers three highly attractive prospects: first, an equitable distribution of the proceeds of capital and labor investment nation-wide; second, a far more efficient, ‘leak-proof’ monetary policy transmission belt for countercyclical money modulation; and third, a mode of such countercyclical action that is ‘debt-free.’","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115051774","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
Monetary Policy Transmission in Segmented Markets 分割市场中的货币政策传导
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-05-15 DOI: 10.2139/ssrn.3756410
J. Eisenschmidt, Yiming Ma, Anthony Lee Zhang
{"title":"Monetary Policy Transmission in Segmented Markets","authors":"J. Eisenschmidt, Yiming Ma, Anthony Lee Zhang","doi":"10.2139/ssrn.3756410","DOIUrl":"https://doi.org/10.2139/ssrn.3756410","url":null,"abstract":"We show that dealer market power impedes the pass-through of monetary policy in the European repo market. The current literature has mostly centered around collateral scarcity, where scarce and heterogeneous collateral causes repo rates to fall below policy rates and diverge across collateral types. Using a dataset covering both inter-dealer and OTC repo trades, we find significant dispersion in repo rates that cannot be explained by collateral scarcity alone. We show that this is because most non-dealer and non-banks do not have access to e-trading on centralized exchanges. Instead, they rely on OTC-intermediated access to repo markets through dealer banks. As a result, dealers exhibit significant market power, which causes the pass-through of the ECB's policy rate to the large OTC segment of the market to be inefficient and unequal. Our model and estimates imply that a customer-facing secured funding facility like the Fed's RRP can alleviate dealer market power and improve the pass-through of monetary policy in repo markets.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133883306","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: 14
Влияние степени жесткости цен на возможности денежно-кредитной политики (Impact of the Degree of Price Rigidity on the Possibilities of Monetary Policy)
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-05-12 DOI: 10.2139/ssrn.3696272
A. Bozhechkova, Elizaveta Dobronravova, A. Evseev, K. Shemyakina, Pavel Trunin
{"title":"Влияние степени жесткости цен на возможности денежно-кредитной политики (Impact of the Degree of Price Rigidity on the Possibilities of Monetary Policy)","authors":"A. Bozhechkova, Elizaveta Dobronravova, A. Evseev, K. Shemyakina, Pavel Trunin","doi":"10.2139/ssrn.3696272","DOIUrl":"https://doi.org/10.2139/ssrn.3696272","url":null,"abstract":"<b>Russian Abstract:</b> Работа посвящена оценке степени жесткости цен в российской экономике. Сначала в работе проведен обзор теоретических моделей жесткого ценообразования, обзор методов прямой оценки степени жесткости на микроэкономических данных о ценах отдельных товаров и методов косвенной оценки на основе динамики макроэкономических показателей. Далее приведены результаты оценок жесткости цен на микроэкономических данных о ценах ряда онлайн-ритейлеров, собранных при помощи метода веб-скраппинга. Результаты показали, что средний период неизменности цены для продовольственных составляет 2,6 месяцев. Кроме того, в работе осуществлена калибровка параметров жесткости цен на основе моделей равновесия в секторе фирм при помощи макроэкономических данных. Результаты калибровки показали, что средний период неизменности цен не превышает 4,5 месяцев, что демонстрирует большую гибкость цен по сравнению с общепринятыми значениями (3-4 квартала), используемыми при построении DGSE-моделей.<br><br><b>English Abstract:</b> In this paper we estimate the level of price rigidity in Russian economy. First we review the main theoretical models of price setting, the methods used to estimate the level of price rigidity using micro-data on the prices of particular goods and services and indirectly using the data on the dynamics of macroeconomic indicators. Then we present the results of microestimates of price rigidity based on online-prices, which were collected using web-scrapping techniques. The average price duration for food commodities is estimated at 2.6 months. We also do the calibration of price rigidity parameters in a structural model of the production sector using macroeconomic data. According to our estimates, the average price duration in Russian economy doesn’t exceed 4.5 months, which is much less than standard values (3-4 quarters) used in DSGE-models.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131033321","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
Credit Supply, Firms, and Earnings Inequality 信贷供给、企业和收入不平等
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-05-12 DOI: 10.2139/ssrn.3597181
C. Moser, Farzad Saidi, B. Wirth, S. Wolter
{"title":"Credit Supply, Firms, and Earnings Inequality","authors":"C. Moser, Farzad Saidi, B. Wirth, S. Wolter","doi":"10.2139/ssrn.3597181","DOIUrl":"https://doi.org/10.2139/ssrn.3597181","url":null,"abstract":"We study the distributional effects of a monetary policy-induced firm-level credit supply shock on individual wages and employment. To this end, we construct a novel dataset that links worker employment histories to firms' bank credit relationships in Germany. We document that firms in relationships with banks that were more exposed to negative monetary policy rates in 2014 see a relative reduction in credit supply. A negative credit supply shock in turn is associated with lower firm-level average wages and employment. These effects are concentrated among distinct worker groups within firms, with initially lower-paid workers more likely to be fired and initially higher-paid workers more likely to receive wage cuts. At the same time, wages decline by more at initially higher-paying firms. Consequently, wage inequality within and between firms decreases. Our results suggest that monetary policy has important distributional effects in the labor market.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":" 12","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132157797","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: 13
The Returns on Government and Corporate Securities with Prices Propped up by Central Bank Purchases using Unlimited Quantities of Currencies with Less Intrinsic Value than Toilet Paper 政府和公司证券的回报，其价格由中央银行购买支撑，使用无限数量的货币，其内在价值不如卫生纸
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-05-06 DOI: 10.2139/ssrn.3592388
A. Murphy
{"title":"The Returns on Government and Corporate Securities with Prices Propped up by Central Bank Purchases using Unlimited Quantities of Currencies with Less Intrinsic Value than Toilet Paper","authors":"A. Murphy","doi":"10.2139/ssrn.3592388","DOIUrl":"https://doi.org/10.2139/ssrn.3592388","url":null,"abstract":"This paper evaluates several investment scenarios which could result from the rather dire economic situation existing in early 2020 caused by the coronavirus pandemic that is restricting economic production of goods and services at the same time that cost-push factors and the unlimited creation of money by central banks worldwide create upward inflationary pressures. Just as during the similar situation in Germany in 1923, the nominal prices of both equities and fixed-rate instruments might be propped up, but all security investments would generate highly negative real returns short-term. Only stock prices might eventually match the inflation rate.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"26 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133890413","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
Expenditure Elasticity and Inequality Over the Business Cycle 经济周期中的支出弹性和不平等
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-05-05 DOI: 10.2139/ssrn.3593499
Ana Danieli
{"title":"Expenditure Elasticity and Inequality Over the Business Cycle","authors":"Ana Danieli","doi":"10.2139/ssrn.3593499","DOIUrl":"https://doi.org/10.2139/ssrn.3593499","url":null,"abstract":"I analyze a new channel through which real labor income inequality can vary over the business cycle arising from heterogeneity in the households exposure to different sectors in their consumption and labor choices. This heterogeneous exposure has two sources of origin both are empirically documented in this paper. First, low income households consume less from sectors with high expenditure elasticity and are therefore less exposed to fluctuations in their prices. Second, low income households tend to work more in service occupations that are used most intensely in sectors with high expenditure elasticity and are therefore more exposed to labor demand fluctuation in these sectors. While the mechanism is relevant to any shock that increases income, I focus my analysis on monetary policy shocks that are reliably identified using high frequency data. In my analysis I establish that as a response to a monetary policy shock the aggregate value added share of sectors with high expenditure elasticity increases. This implies an increase in:<br><br>(1) the relative prices of goods or services in these sectors <br><br>(2) the relative income share of employees in these sectors. <br><br>Both effects result in an increase in the relative real wage of low income households that are less exposed to the increase in prices while more exposed to the increase in wages. I use a TANK model with non-homothetic preferences and sector heterogeneity to quantify the effects of this mechanism and evaluate how it has change over time with changes in sectoral and occupational composition.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126503351","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
The ATO Longitudinal Information Files (ALife): A New Resource for Retirement Policy Research ATO纵向信息档案(ALife):退休政策研究的新资源
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-04-20 DOI: 10.2139/ssrn.3582216
C. Polidano, Andrew Carter, Marc K. Chan, A. Chigavazira, Hang To, Justin Holland, Son Nguyen, Ha Vu, R. Wilkins
{"title":"The ATO Longitudinal Information Files (ALife): A New Resource for Retirement Policy Research","authors":"C. Polidano, Andrew Carter, Marc K. Chan, A. Chigavazira, Hang To, Justin Holland, Son Nguyen, Ha Vu, R. Wilkins","doi":"10.2139/ssrn.3582216","DOIUrl":"https://doi.org/10.2139/ssrn.3582216","url":null,"abstract":"The Australian Taxation Office release of annual longitudinally linked individual tax and superannuation records, known as the ATO Longitudinal Information Files (ALife), opens up opportunities for new research. In this study, we provide an overview of ALife, focusing on its use for retirement income research. To this end, we provide the first longitudinal estimates of superannuation outcomes for 1‐year birth cohorts. Results show marked increase in disparity of super balances in the lead‐up to retirement as those in the top quartile ramp‐up their contributions, possibly to take advantage of the favourable tax treatment of superannuation income in retirement years.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"132 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115542828","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: 6
Consumption and Portfolio Rebalancing Response of Households to Monetary Policy: Evidence of the HANK Channel 家庭消费和投资组合再平衡对货币政策的响应:HANK通道的证据
Macroeconomics: Monetary & Fiscal Policies eJournal Pub Date : 2020-04-18 DOI: 10.2139/ssrn.3585541
Sumit Agarwal, Yeow Hwee Chua, Pulak Ghosh, Changcheng Song
{"title":"Consumption and Portfolio Rebalancing Response of Households to Monetary Policy: Evidence of the HANK Channel","authors":"Sumit Agarwal, Yeow Hwee Chua, Pulak Ghosh, Changcheng Song","doi":"10.2139/ssrn.3585541","DOIUrl":"https://doi.org/10.2139/ssrn.3585541","url":null,"abstract":"This paper tests one specific monetary transmission mechanism through households: portfolio rebalancing. We use a unique panel dataset of household’s credit and debit card spending, ATM withdrawals, financial investments into risky assets such as mutual funds and equities, as well as bank deposits from a leading bank in India to study the impact of the monetary policy pass-through for term depositors. The difference-in-differences estimators show that when interest rate falls, households increase consumption by 2,095 rupees (30 USD) and risky investments by 20,728 rupees (300 USD) after the expiry of term deposits. The increase in risky investment is about 10 times as much as the increase in consumption, suggesting that savers rebalance their portfolio and “reach for yield” when interest rate falls, shifting from safe assets (bank deposits) to more risky assets (mutual funds and equities). We estimate the interest elasticity of consumption to be -1.02 and interest elasticity of risky investments to be -19.5. Furthermore, we find that the effects on consumption and risky investment are larger for households holding term deposits without automatic renewal feature. The consumption effect is larger for those with less liquid wealth and the portfolio rebalancing effect on risky investment is larger for those with more liquid wealth. These results highlight how the heterogeneity in contract design and household wealth affects the monetary policy pass-through.","PeriodicalId":244949,"journal":{"name":"Macroeconomics: Monetary & Fiscal Policies eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125765737","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
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