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Uncertainty and Investment: Evidence from Domestic Oil Rigs 不确定性与投资:来自国内石油钻井平台的证据
Macroeconomics: Prices Pub Date : 2021-05-27 DOI: 10.2139/ssrn.3855141
Asad Dossani, J. Elder
{"title":"Uncertainty and Investment: Evidence from Domestic Oil Rigs","authors":"Asad Dossani, J. Elder","doi":"10.2139/ssrn.3855141","DOIUrl":"https://doi.org/10.2139/ssrn.3855141","url":null,"abstract":"We estimate the response of domestic oil drilling to uncertainty about oil prices. We measure domestic drilling activity by the weekly number of rigs drilling for oil, and we measure oil uncertainty by implied volatility from options on oil futures. We find that oil uncertainty has a negative and significant effect on the number of drilling rigs, with a one standard deviation increase in uncertainty reducing the number of drilling rigs by up to 4%. We also find that, in our sample, that the number of domestic rigs responds rapidly -- within four weeks -- to innovations in oil prices. Our results provide empirical support for the use of real options models in financial decision making. Our estimates are robust to structural dynamic models of oil demand and alternative measures of uncertainty based on time-series econometric models.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122061532","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
Productive Sectors Most Affected in the Region of Arica and Parinacota by the COVID-19 Pandemic 受2019冠状病毒病大流行影响最严重的非洲和巴利纳科塔地区生产部门
Macroeconomics: Prices Pub Date : 2021-05-25 DOI: 10.2139/ssrn.3853841
Rodrigo Barra Novoa
{"title":"Productive Sectors Most Affected in the Region of Arica and Parinacota by the COVID-19 Pandemic","authors":"Rodrigo Barra Novoa","doi":"10.2139/ssrn.3853841","DOIUrl":"https://doi.org/10.2139/ssrn.3853841","url":null,"abstract":"High inflation rates, deep recessions, currency devaluations and historically low interest rates: all have been frequent phenomena in Latin America and Chile and could reappear permanently if monetary and fiscal policies are not properly managed. Macro and microeconomic stability is never fully assured in any economy, as was dramatically demonstrated in Chile after the 2019 social crisis and, even less so, with the current COVID-19 pandemic, where, despite all efforts, economic stability is still not sufficiently entrenched to quickly exit the crisis (Barra, 2021). Most of the industries or sectors that suffered large declines in Chile are commerce, restaurants, hotels, artistic and cultural services, and transportation companies. Simulations and statistics suggest that the largest negative concentrations are found among entrepreneurs and small businesses. As suggested by the first National COVID-19 Survey, conducted in the Arica and Parinacota region by the Labor Observatory of SENCE (2020), in the context of the health crisis, the “hotel, restaurant and commerce” sectors are the most affected by the pandemic in the region.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116005842","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
A More Effective Stimulus 更有效的刺激措施
Macroeconomics: Prices Pub Date : 2021-05-07 DOI: 10.2139/ssrn.3841490
Toinu Reeves
{"title":"A More Effective Stimulus","authors":"Toinu Reeves","doi":"10.2139/ssrn.3841490","DOIUrl":"https://doi.org/10.2139/ssrn.3841490","url":null,"abstract":"Corporate tax cuts as well as multiple rounds of quantitative easing, while popular tools for stimulating the economy, have no effect on the profit maximizing condition, marginal revenue (MR) = marginal cost (MC), and could prove ineffectual as firms use the tax cuts, not to increase output, but to cover existing fixed costs or to save until after a recession to begin expansion. Although reductions in income taxes do affect the consumer optimality condition by reducing the shadow price of wealth, uncertainty of the future might force consumers to save rather than consume. <br><br>We propose that short duration (1 month) sales tax cuts (STCs) (or even price subsidies) would be a more effective policy tool than blanket income and corporate tax cuts as they target both producer and consumer equilibrium conditions by reducing price, increasing MR, and lowering MC. STCs have the added benefit of being class neutral and also ultra efficient as agents benefit from the tax iff (if and only if) a purchase takes place. Coupled with a post recovery blanket increase in income and corporate taxes to neutralize the loss in revenue, STCs would create a Nash equilibrium forcing economic activity as those agents who do not take advantage of the STC would finance those who do. Furthermore, policymakers can tailor STCs to surgically target specific sectors of the economy.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123365159","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
Technopopulism and Central Banks 技术民粹主义和央行
Macroeconomics: Prices Pub Date : 2021-04-09 DOI: 10.2139/ssrn.3823456
C. Binder
{"title":"Technopopulism and Central Banks","authors":"C. Binder","doi":"10.2139/ssrn.3823456","DOIUrl":"https://doi.org/10.2139/ssrn.3823456","url":null,"abstract":"In recent years, warnings of a populist threat to central bank independence have proliferated. These warnings are based on a deep-seated antagonism between technocracy and populism.<br><br>I argue that to understand current challenges for central banks, we should question the assumed antagonism between populism and technocracy. Political scientists Chris Bickerton and Carlo Accetti (2021) claim that advanced democratic states today are in a technopopulist age, “increasingly ordered around the combination of appeals to the people and to expertise and competence” (pg. 157). This paper discusses central bank independence in the technopopulist age. First, I describe the inherent tension around the role of expertise in a democracy, and how this tension has been approached in the delegation of monetary policymaking to independent central banks. Next, I discuss the transition from an era of ideological political logic to the current era of technopopulism. Then I explain how the technopopulist influence is especially evident in recent pressures on central banks, changes in central bank communication, and recent amendments to the Federal Reserve’s longer-run strategy. An important point is that under technopopulism, populists do not reject technocratic expertise, but instead rely on it to translate their causes into policy. Central banks thus face pressure to use their technocratic discretion to do more to serve the people, and to be directly accountability to the people rather than to elected representatives. In return for greater responsiveness, they gain even greater power and discretion.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133414751","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
Imperfect Information, Heterogeneous Demand Shocks, and Inflation Dynamics 不完全信息、异质需求冲击与通胀动态
Macroeconomics: Prices Pub Date : 2021-03-09 DOI: 10.2139/ssrn.3801271
Tatsushi Okuda, Tomohiro Tsuruga, Francesco Zanetti
{"title":"Imperfect Information, Heterogeneous Demand Shocks, and Inflation Dynamics","authors":"Tatsushi Okuda, Tomohiro Tsuruga, Francesco Zanetti","doi":"10.2139/ssrn.3801271","DOIUrl":"https://doi.org/10.2139/ssrn.3801271","url":null,"abstract":"Using sector-level survey data for the universe of Japanese firms, we establish the positive co-movement in the firm’s expectations about aggregate and sector-specific demand shocks. We show that a simple model with imperfect information on the current aggregate and sector-specific components of demand explains the positive co-movement of expectations in the data. The model predicts that an increase in the relative volatility of sector-specific demand shocks compared to aggregate demand shocks reduces the sensitivity of inflation to changes in aggregate demand. We test and corroborate the theoretical prediction on Japanese data and find that the observed decrease in the relative volatility of sector-specific demand has played a significant role for the decline in the sensitivity of inflation to movements in aggregate demand from mid-1980s to mid-2000s.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"6 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131533419","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: 4
Real Business Cycles in Emerging Countries: The Role of Nonlinearity 新兴国家的真实商业周期:非线性的作用
Macroeconomics: Prices Pub Date : 2021-02-27 DOI: 10.2139/ssrn.3624597
Sanha Noh, In-hong Baek
{"title":"Real Business Cycles in Emerging Countries: The Role of Nonlinearity","authors":"Sanha Noh, In-hong Baek","doi":"10.2139/ssrn.3624597","DOIUrl":"https://doi.org/10.2139/ssrn.3624597","url":null,"abstract":"We quantify the relative importance of trend productivity shocks and financial frictions in a standard small open economy solved up to the second order and estimated with Bayesian methods based on data for emerging countries. We find that trend productivity shocks play an important role in explaining business cycles in emerging economies. In the second order solution, debt is riskier and precautionary saving is higher, which weakens the role of financial frictions and transitory productivity shocks. Although financial frictions in the quadratic model do not amplify transitory productivity shocks as much as they do in the linear model, they are still important to capture the downward-sloping autocorrelation function of the trade balance-to-output ratio.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"280 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124496695","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 High Frequency Impact of Economic Policy Narratives on Stock Market Uncertainty 经济政策叙事对股市不确定性的高频影响
Macroeconomics: Prices Pub Date : 2021-02-22 DOI: 10.2139/ssrn.3790532
Daniel Perico Ortiz
{"title":"The High Frequency Impact of Economic Policy Narratives on Stock Market Uncertainty","authors":"Daniel Perico Ortiz","doi":"10.2139/ssrn.3790532","DOIUrl":"https://doi.org/10.2139/ssrn.3790532","url":null,"abstract":"This paper investigates the causal relationship between economic policy narratives, derived from President Trump's tweets and tweeting behavior, and stock market uncertainty. To this end, I define different event types based on the occurrence probability of identified narratives or unusual tweet behaviors. High-frequency market uncertainty responses to different events are recovered using time-series regressions. Events regarding foreign policy, trade, monetary policy, and immigration policy exhibit a significant effect on market uncertainty. Impulse responses become significant between one and three hours after the event occurs, for most of the events. Furthermore, behavior events, such as increases in the tweet or retweeted counts above their average, matter for stock market uncertainty.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127333134","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
Inflation Gap Persistence, Indeterminacy, and Monetary Policy 通货膨胀缺口持续性、不确定性与货币政策
Macroeconomics: Prices Pub Date : 2021-02-22 DOI: 10.2139/ssrn.3790939
Yasuo Hirosey, Takushi Kurozumiz, Willem Van Zandweghe
{"title":"Inflation Gap Persistence, Indeterminacy, and Monetary Policy","authors":"Yasuo Hirosey, Takushi Kurozumiz, Willem Van Zandweghe","doi":"10.2139/ssrn.3790939","DOIUrl":"https://doi.org/10.2139/ssrn.3790939","url":null,"abstract":"Empirical studies have documented that the persistence of the gap between inflation and its trend declined after the Volcker disinflation. Previous research into the source of the decline has offered competing views while sidestepping the possibility of equilibrium indeterminacy. This paper examines the source by estimating a medium-scale DSGE model using a Bayesian method that allows for indeterminacy. The estimated model shows that the Fed's change from a passive to an active policy response to the inflation gap or a decrease in firms' probability of price change can fully account for the decline in inflation gap persistence by ruling out indeterminacy that induces persistent dynamics of the economy.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134183333","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
Can We Measure Inflation Expectations Using Twitter? 我们可以用Twitter衡量通胀预期吗?
Macroeconomics: Prices Pub Date : 2021-02-15 DOI: 10.2139/ssrn.3827489
Cristina Angelico, Juri Marcucci, M. Miccoli, Filippo Quarta
{"title":"Can We Measure Inflation Expectations Using Twitter?","authors":"Cristina Angelico, Juri Marcucci, M. Miccoli, Filippo Quarta","doi":"10.2139/ssrn.3827489","DOIUrl":"https://doi.org/10.2139/ssrn.3827489","url":null,"abstract":"Using Italian data from Twitter, we employ textual data and machine learning techniques to build new real-time measures of consumers' inflation expectations. First, we select some relevant keywords to identify tweets related to prices and expectations thereof. Second, we build a set of daily measures of inflation expectations on the selected tweets combining the Latent Dirichlet Allocation (LDA) with a dictionary-based approach, using manually labelled bi-grams and tri-grams. Finally, we show that the Twitter-based indicators are highly correlated with both monthly survey-based and daily market-based inflation expectations.<br>Our new indicators provide additional information beyond the market-based expectations, the professional forecasts, and the realized inflation, and anticipate consumers' expectations proving to be a good real-time proxy. Results suggest that Twitter can be a new timely source to elicit beliefs.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133666664","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: 40
Is Broader Better? A Monetary Approach to Forecasting Economic Activity 越广越好?预测经济活动的货币方法
Macroeconomics: Prices Pub Date : 2021-02-04 DOI: 10.2139/ssrn.3779134
M. Ellington, Marcin Michalski
{"title":"Is Broader Better? A Monetary Approach to Forecasting Economic Activity","authors":"M. Ellington, Marcin Michalski","doi":"10.2139/ssrn.3779134","DOIUrl":"https://doi.org/10.2139/ssrn.3779134","url":null,"abstract":"This paper investigates whether the use of broader Divisia monetary aggregates improves money’s performance in forecasting economic activity within a time-varying parameter vector autoregressive (TVP-VAR) framework. We evaluate entire predictive densities from several alternative models of US output growth and inflation, each using eight different Divisia monetary aggregates. Using the broadest, M4 aggregate produces out-of-sample forecasts which consistently outperform those based on narrower measures of money, pooling of forecasts from several models, and a large-scale, 143-variable model. Our results show that TVP-VARs with Divisia M4 forecast economic activity more accurately than constant-parameter models with alternative or no measures of money.","PeriodicalId":289078,"journal":{"name":"Macroeconomics: Prices","volume":"68 7","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113967730","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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