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Monetary Policy According to HANK 根据HANK的货币政策
ECB: Working Paper Series (Topic) Pub Date : 2016-01-01 DOI: 10.1257/AER.20160042
Greg Kaplan, Benjamin Moll, G. Violante
{"title":"Monetary Policy According to HANK","authors":"Greg Kaplan, Benjamin Moll, G. Violante","doi":"10.1257/AER.20160042","DOIUrl":"https://doi.org/10.1257/AER.20160042","url":null,"abstract":"We revisit the transmission mechanism of monetary policy for household consumption in a Heterogeneous Agent New Keynesian (HANK) model. The model yields empirically realistic distributions of household wealth and marginal propensities to consume because of two key features: multiple assets with different degrees of liquidity and an idiosyncratic income process with leptokurtic income changes. In this environment, the indirect effects of an unexpected cut in interest rates, which operate through a general equilibrium increase in labor demand, far outweigh direct effects such as intertemporal substitution. This finding is in stark contrast to small- and medium-scale Representative Agent New Keynesian (RANK) economies, where intertemporal substitution drives virtually all of the transmission from interest rates to consumption.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121733671","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: 942
Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area 资产购买计划和金融市场:来自欧元区的教训
ECB: Working Paper Series (Topic) Pub Date : 2015-11-01 DOI: 10.2139/ssrn.2717398
Carlo Altavilla, Giacomo Carboni, Roberto Motto
{"title":"Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area","authors":"Carlo Altavilla, Giacomo Carboni, Roberto Motto","doi":"10.2139/ssrn.2717398","DOIUrl":"https://doi.org/10.2139/ssrn.2717398","url":null,"abstract":"We evaluate the effects on asset prices of the ECB asset purchase programme (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then derive model-based predictions for cross-asset price movements associated with the transmission channels identified in the model. We finally validate empirically these predictions by means of an event- study methodology, reaching the following conclusions: The impact of the APP on asset prices is sizeable albeit the programme was announced at a time of low financial distress. This may appear puzzling in light of existing literature that finds a large impact of asset purchases only in periods of high financial distress. Consistent with the model, we explain this apparent puzzle by showing how the low financial distress, while indeed weakening certain transmission channels, has reinforced other channels because of its interplay with the asset composition of the programme. Targeting assets at long maturity and spanning the investment-grade space have supported the duration and the credit channels. At the same time, the low degree of financial stress prevailing at announcement of the programme, while weakening the local supply channel, has facilitated spill-overs to non-targeted assets. JEL Classification: E43, E44, E52, E58, E65, G14","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124455097","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: 273
Does Slack Influence Public and Private Labor Market Interactions? Slack会影响公共和私人劳动力市场的互动吗?
ECB: Working Paper Series (Topic) Pub Date : 2015-07-01 DOI: 10.2139/ssrn.2856944
Ana E. Lamo, Enrique Moral-Benito, Javier J. Pérez
{"title":"Does Slack Influence Public and Private Labor Market Interactions?","authors":"Ana E. Lamo, Enrique Moral-Benito, Javier J. Pérez","doi":"10.2139/ssrn.2856944","DOIUrl":"https://doi.org/10.2139/ssrn.2856944","url":null,"abstract":"We empirically analyse the impact of public employment and public wages shocks on private labour market outcomes by examining whether policies operate differently in periods of economic slack than in normal times. We use local projection methods and focus on the Spanish and euro area aggregate cases. We find that the degree of unemployment slack is key for determining: (i) whether public employment crowds out private employment, and (ii) the degree and extent of the influence of public wages on the private sector. In addition, we find that at times of economic distress, public wage adjustment has lower output costs than public employment cuts for the Spanish case, while the opposite occurs at the euro area level. We conjecture that differences in the degree of wage rigidities and the size of the unemployment pool may rationalise our findings","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116958702","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: 8
Exports and Capacity Constraints -- A Smooth Transition Regression Model for Six Euro Area Countries 出口与产能约束——欧元区六国的平稳过渡回归模型
ECB: Working Paper Series (Topic) Pub Date : 2013-10-08 DOI: 10.4419/86788506
A. Belke, Anne Oeking, Ralph Setzer
{"title":"Exports and Capacity Constraints -- A Smooth Transition Regression Model for Six Euro Area Countries","authors":"A. Belke, Anne Oeking, Ralph Setzer","doi":"10.4419/86788506","DOIUrl":"https://doi.org/10.4419/86788506","url":null,"abstract":"The significant gains in export market shares made in a number of vulnerable euro-area crisis countries have not been accompanied by an appropriate improvement in price competitiveness. This paper argues that, under certain conditions, firms consider export activity as a substitute for serving domestic demand. The strength of the link between domestic demand and exports is dependent on capacity constraints. Our econometric model for six euro-area countries suggests domestic demand pressure and capacity-constraint restrictions as additional variables of a properly specified export equation. As an innovation to the literature, we assess the empirical significance through the logistic and the exponential variant of the non-linear smooth transition regression model. We find that domestic demand developments are relevant for the short-run dynamics of exports in particular during more extreme stages of the business cycle. A strong substitutive relationship between domestic and foreign sales can most clearly be found for Spain, Portugal and Italy, providing evidence of the importance of sunk costs and hysteresis in international trade.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122592275","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: 20
Real-Time Data and Fiscal Analysis: A Survey of the Literature 实时数据与财政分析:文献综述
ECB: Working Paper Series (Topic) Pub Date : 2011-12-06 DOI: 10.2139/ssrn.1968857
Jacopo Cimadomo
{"title":"Real-Time Data and Fiscal Analysis: A Survey of the Literature","authors":"Jacopo Cimadomo","doi":"10.2139/ssrn.1968857","DOIUrl":"https://doi.org/10.2139/ssrn.1968857","url":null,"abstract":"This paper surveys the empirical research on fiscal policy analysis based on real-time data. This literature can be broadly divided in three groups that focus on: (1) the statistical properties of revisions in fiscal data; (2) the political and institutional determinants of projection errors by governments and (3) the reaction of fiscal policies to the business cycle. It emerges that, first, fiscal data revisions are large and initial releases are biased estimates of final values. Second, the presence of strong fiscal rules and institutions leads to relatively more accurate releases of fiscal data and small deviations of fiscal outcomes from government plans. Third, the cyclical stance of fiscal policies is estimated to be more ‘counter-cyclical’ when real-time data are used instead of ex-post data. Finally, more work is needed for the development of real-time datasets for fiscal policy analysis. In particular, a comprehensive real-time dataset including fiscal variables for industrialized (and possibly developing) countries, published and maintained by central banks or other institutions, is still missing.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":" 1115","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120826360","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: 3
A VAR Analysis for the Uncovered Interest Parity and the Ex-Ante Purchasing Power Parity: The Role of Macroeconomic and Financial Information 未披露利率平价和事前购买力平价的VAR分析:宏观经济和金融信息的作用
ECB: Working Paper Series (Topic) Pub Date : 2011-11-28 DOI: 10.2139/ssrn.1965412
C. Macchiarelli
{"title":"A VAR Analysis for the Uncovered Interest Parity and the Ex-Ante Purchasing Power Parity: The Role of Macroeconomic and Financial Information","authors":"C. Macchiarelli","doi":"10.2139/ssrn.1965412","DOIUrl":"https://doi.org/10.2139/ssrn.1965412","url":null,"abstract":"This study revisits the relation between the uncovered interest parity (UIP), the ex ante purchasing power parity (EXPPP) and the real interest parity (RIP) using a VAR approach for the US dollar, the British sterling and the Japanese yen interest rates, exchange rates and changes in prices. The original contribution is on developing some joint coefficient-based tests for the three parities conditions at a long horizon. Particularly, test results are derived by rewriting the UIP, the EXPPP and the RIP as a set of cross-equation restrictions in the VAR (see also Campbell and Shiller, 1987; Bekaert and Hodrick, 2001; and Bekaert et al., 2007; King and Kurmann, 2002). Consistent with the idea of some form of proportionality among the above three parities, we find a ”forward premium” bias in both the UIP - as it is normally found in empirical analysis (e.g. Fama, 1987) - and the ex ante PPP. The latter result is new in the literature and stems from testing the PPP in expectational terms, thus assuming agents to bear on the uncertainty of future exchange rate changes and inflation dynamics. The overall results confirm the UIP to be currency-based (see also Bekaert et al., 2007) and the EXPPP to be horizon-dependent (see also Lothian and Taylor, 1996; Taylor, 2002). Moreover, we find (weak) evidence that conditioning the VAR on variables having a strong forward-looking component (i.e. share prices) helps recover a unitary coefficient in the UIP equation. JEL Classification: E31, E43, E44, F31, C58","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123339293","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
Economic Performance and Government Size 经济绩效与政府规模
ECB: Working Paper Series (Topic) Pub Date : 2011-10-28 DOI: 10.2139/ssrn.1950570
António Afonso, J. Jalles
{"title":"Economic Performance and Government Size","authors":"António Afonso, J. Jalles","doi":"10.2139/ssrn.1950570","DOIUrl":"https://doi.org/10.2139/ssrn.1950570","url":null,"abstract":"We construct a growth model with an explicit government role, where more government resources reduce the optimal level of private consumption and of output per worker. In the empirical analysis, for a panel of 108 countries from 1970-2008, we use different proxies for government size and institutional quality. Our results, consistent with the presented growth model, show a negative effect of the size of government on growth. Similarly, institutional quality has a positive impact on real growth, and government consumption is consistently detrimental to growth. Moreover, the negative effect of government size on growth is stronger the lower institutional quality, and the positive effect of institutional quality on growth increases with smaller governments. The negative effect on growth of the government size variables is more mitigated for Scandinavian legal origins, and stronger at lower levels of civil liberties and political rights. Finally, for the EU, better overall fiscal and expenditure rules improve growth.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"264 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121818623","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: 72
Bank Risk During the Financial Crisis: Do Business Models Matter? 金融危机中的银行风险:商业模式重要吗?
ECB: Working Paper Series (Topic) Pub Date : 2011-10-17 DOI: 10.2139/ssrn.1945143
Yener Altunbaş, S. Manganelli, David Marqués-Ibáñez
{"title":"Bank Risk During the Financial Crisis: Do Business Models Matter?","authors":"Yener Altunbaş, S. Manganelli, David Marqués-Ibáñez","doi":"10.2139/ssrn.1945143","DOIUrl":"https://doi.org/10.2139/ssrn.1945143","url":null,"abstract":"We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher risk exposure had less capital, larger size, greater reliance on short-term market funding, and aggressive credit growth. Business models related to significantly reduced bank risk were characterized by a strong deposit base and greater income diversification. The effect of business models is non-linear: it has a different impact on riskier banks. Finally, it is difficult to establish in real time whether greater stock market capitalization involves real value creation or the accumulation of latent risk.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"265 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122081087","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: 267
Determinants of Credit to Households in a Life-Cycle Model 生命周期模型中家庭信贷的决定因素
ECB: Working Paper Series (Topic) Pub Date : 2011-07-01 DOI: 10.2139/ssrn.1904891
Michał Rubaszek, Dobromił Serwa
{"title":"Determinants of Credit to Households in a Life-Cycle Model","authors":"Michał Rubaszek, Dobromił Serwa","doi":"10.2139/ssrn.1904891","DOIUrl":"https://doi.org/10.2139/ssrn.1904891","url":null,"abstract":"This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit to households. We show that the value of household credit to GDP ratio depends on (i) the lending-deposit interest rate spread, (ii) individual income uncertainty, (iii) individual productivity persistence, and (iv) the generosity of the pension system. Subsequently, we provide empirical evidence for the predictions of the theoretical model on the basis of data for OECD and EU countries.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129718709","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: 12
Have Euro Area and EU Economic Governance Worked? Just the Facts 欧元区和欧盟经济治理有效吗?真相大白
ECB: Working Paper Series (Topic) Pub Date : 2011-05-19 DOI: 10.2139/ssrn.1846328
Demosthenes Ioannou, Livio Stracca
{"title":"Have Euro Area and EU Economic Governance Worked? Just the Facts","authors":"Demosthenes Ioannou, Livio Stracca","doi":"10.2139/ssrn.1846328","DOIUrl":"https://doi.org/10.2139/ssrn.1846328","url":null,"abstract":"We test whether two key elements of the EU and euro area economic governance framework, the Stability and Growth Pact and the Lisbon Strategy, have had any impact on macroeconomic outcomes. We test this proposition using a difference-in-difference approach on a panel of over 30 countries, some of which are non-EU (control group). Hence, the impact of the EU economic governance pillars is evaluated based on both the performance before and after their application as well as against the control group. We find strong and robust evidence that neither the Stability and Growth Pact nor the Lisbon Strategy have had a significant beneficial impact on fiscal and economic performance outcomes. We conclude that a profound reform of these pillars is needed to make them work in the next decade. JEL Classification: E62, E63, H63, O43","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117274844","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: 31
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