Documentos de Trabajo最新文献

筛选
英文 中文
Inflation persistence, noisy information and the Phillips curve 通货膨胀持续性,噪声信息和菲利普斯曲线
Documentos de Trabajo Pub Date : 2023-02-07 DOI: 10.53479/29569
Jose E Gallegos
{"title":"Inflation persistence, noisy information and the Phillips curve","authors":"Jose E Gallegos","doi":"10.53479/29569","DOIUrl":"https://doi.org/10.53479/29569","url":null,"abstract":"A vast literature has documented how US inflation persistence has fallen in recent decades, but this finding is difficult to explain in monetary models. Using survey data on inflation expectations, I document a positive co-movement between ex-ante average forecast errors and forecast revisions (suggesting forecast sluggishness) from 1968 to 1984, but no co-movement thereafter. I extend the New Keynesian setting to include noisy and dispersed information about the aggregate state, and show that inflation is more persistent in periods of greater forecast sluggishness. My results suggest that changes in firm forecasting behavior explain around 90% of the fall in inflation persistence since the mid-1980s. I also find that the changes in the dynamics of the Phillips curve can be explained by the change in information frictions. After controlling for changes in information frictions, I estimate only a modest decline in the slope. I find that a more significant factor in the dynamics of the Phillips curve is the shift towards greater forward-lookingness and less backward-lookingness. Finally, I find evidence of forecast underrevision in the post-COVID period, which explains the increase in the persistence of current inflation.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"12 25","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134412478","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
Debt overhang, credit demand and financial conditions 债务积压、信贷需求和金融状况
Documentos de Trabajo Pub Date : 2023-02-03 DOI: 10.53479/29530
Isabel Argimón, Irene Roibás
{"title":"Debt overhang, credit demand and financial conditions","authors":"Isabel Argimón, Irene Roibás","doi":"10.53479/29530","DOIUrl":"https://doi.org/10.53479/29530","url":null,"abstract":"The empirical literature on the debt overhang hypothesis has estimated the relationship between investment and leverage at the firm level, which does not allow to disentangle between a firm’s decision not to invest as it is highly indebted and its ability to obtain the necessary resources. Using annual Spanish credit data from the Central Credit Register and non-financial corporations’ annual accounts from the lntegrated Central Balance Sheet Data Office Survey for the period 2004-2019, we study the impact of corporate debt on non-financial firms’ demand for bank loans, as a proxy for their willingness to invest. We find a negative relationship between firms’ leverage and demand for bank credit, thus supporting the debt overhang hypothesis. We then study whether such relationship is affected by financial conditions and find that a reduction in short-term interest rates mitigates the effect of firms’ leverage on demand for credit.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127525413","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: 7
Do Renewables Create Local Jobs? 可再生能源为当地创造就业机会吗?
Documentos de Trabajo Pub Date : 2023-01-26 DOI: 10.53479/29475
Natalia Fabra, Eduardo Gutiérrez, Aitor Lacuesta, Roberto Ramos
{"title":"Do Renewables Create Local Jobs?","authors":"Natalia Fabra, Eduardo Gutiérrez, Aitor Lacuesta, Roberto Ramos","doi":"10.53479/29475","DOIUrl":"https://doi.org/10.53479/29475","url":null,"abstract":"We investigate whether investments in renewable energy – solar and wind plants – create jobs in the municipality where they are located. Using 13 years of monthly data, we exploit the variation in the timing and size of investment projects across more than 3,200 municipalities in Spain, a country with substantial investments in this area. We use a new estimator for staggered differences-in-differences analysis that extends the local projections approach with clean controls (Dube et al., 2022). We find strong heterogeneity in the magnitude and pattern of the impacts of solar and wind investments. On average, solar investments increase employment by local firms, but the effects on the unemployment of local residents are weak. The effects of wind investments on local employment and unemployment are mostly non-significant. These findings have important implications for public policy.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131858622","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: 7
Trust and accountability in times of pandemics 大流行时期的信任和问责制
Documentos de Trabajo Pub Date : 2023-01-24 DOI: 10.53479/29471
Monica Martinez-Bravo, Carlos Sanz
{"title":"Trust and accountability in times of pandemics","authors":"Monica Martinez-Bravo, Carlos Sanz","doi":"10.53479/29471","DOIUrl":"https://doi.org/10.53479/29471","url":null,"abstract":"The COVID-19 pandemic took place against the backdrop of growing political polarization and distrust in political institutions in many countries. Did deficiencies in government performance further erode trust in public institutions? Did citizens’ ideology interfere with the way they processed information on government performance? To investigate these two questions, we conducted a pre-registered online experiment in Spain in November 2020. Respondents in the treatment group were provided information on the number of contact tracers in their region, a key policy variable under the control of regional governments. We find that individuals greatly over-estimate the number of contact tracers in their region. When we provide the actual number of contact tracers, we find a decline in trust in governments, a reduction in willingness to fund public institutions and a decrease in COVID-19 vaccine acceptance. We also find that individuals endogenously change their attribution of responsibilities when receiving the treatment. In regions where the regional and central governments are controlled by different parties, sympathizers of the regional incumbent react to the negative news on performance by attributing greater responsibility for it to the central government. We call this the blame shifting effect. In those regions, the negative information does not translate into lower voting intentions for the regional incumbent government. These results suggest that the exercise of political accountability may be particularly difficult in settings with high political polarization and areas of responsibility that are not clearly delineated.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116002404","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
A house price-at-risk model to monitor the downside risk for the Spanish housing market 一个监控西班牙房地产市场下行风险的房价风险模型
Documentos de Trabajo Pub Date : 2023-01-23 DOI: 10.53479/29472
G. Gánics, María Rodríguez-Moreno
{"title":"A house price-at-risk model to monitor the downside risk for the Spanish housing market","authors":"G. Gánics, María Rodríguez-Moreno","doi":"10.53479/29472","DOIUrl":"https://doi.org/10.53479/29472","url":null,"abstract":"We present a house price-at-risk (HaR) model that fits the historical developments in the Spanish housing market. By means of quantile regressions we show that a model including quarterly house price growth, a misalignment measure and a consumer confidence index is able to accurately forecast the developments in the Spanish housing market up to two years ahead. We also show how the HaR model can be used to monitor the downside risk.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"8 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132736925","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
A production network model for the Spanish economy with an application to the impact of NGEU funds 西班牙经济的生产网络模型及其对NGEU基金影响的应用
Documentos de Trabajo Pub Date : 2023-01-20 DOI: 10.53479/27333
Alejandro Fernández-Cerezo, Enrique Moral-Benito, J. Quintana
{"title":"A production network model for the Spanish economy with an application to the impact of NGEU funds","authors":"Alejandro Fernández-Cerezo, Enrique Moral-Benito, J. Quintana","doi":"10.53479/27333","DOIUrl":"https://doi.org/10.53479/27333","url":null,"abstract":"This paper introduces a sectoral model for the Spanish economy that allows a better understanding of the propagation of sector-specific shocks taking into account different network interdependencies. In particular, the model features sector interactions along several dimensions in an open economy setting, either in the provision of intermediate inputs and capital goods or competing in the labour market. This framework is flexible enough to provide insights into the effect of several policy-relevant shocks, such as global value chain bottlenecks, increases in production costs in energy-intensive sectors or large public investment programmes. In order to illustrate the role of such sectoral interactions, we consider a sectorisation of Next Generation EU (NGEU) funds based on Spain’s Recovery, Transformation and Resilience Plan (RTRP) which will mobilize €69.5 bn in grants. According to our findings, the average impact over a 5-year horizon is 1.15% of GDP if we consider only the direct effect of the investment programmes and expenditure plans, but it increases to 1.75% if we take into account the increase in the productive capacity of certain sectors and its propagation through the production network. Moreover, the resulting expansion is particularly strong in sectors highly dependent on high-skilled labour, such as IT and professional services, which might lead to shortages of high-skilled workers, reducing the aggregate impact on GDP by 25%.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"179 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113988607","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
A tale of two margins: monetary policy and capital misallocation 这是一个关于两个边际的故事:货币政策和资本错配
Documentos de Trabajo Pub Date : 2023-01-05 DOI: 10.53479/25027
Silvia Albrizio, Beatriz González, Dmitry Khametshin
{"title":"A tale of two margins: monetary policy and capital misallocation","authors":"Silvia Albrizio, Beatriz González, Dmitry Khametshin","doi":"10.53479/25027","DOIUrl":"https://doi.org/10.53479/25027","url":null,"abstract":"This paper explores the impact of monetary policy on capital misallocation through its heterogeneous effects on firms. Using Spanish firm-level data covering the period 1999-2019, we show that an expansionary monetary policy shock leads to a decrease in capital misallocation, as measured by the within-industry dispersion of firms’ marginal revenue product of capital (MRPK). To analyse the mechanism behind this finding, we first explore the intensive margin and show that high-MRPK firms increase their investment and their debt financing relatively more than low-MRPK firms after monetary policy easing. We also document that a firm’s MRPK is a much stronger driver of its investment sensitivity to monetary policy than its age, leverage or cash. These findings suggest that MRPK is a good proxy for financial frictions. Second, we explore the extensive margin and show that monetary policy easing increases entry and decreases exit, although the effect is quantitatively small, and it does not lead to significant changes in the composition of high- and low-MRPK entrants or exiters. Overall, the evidence points to expansionary monetary policy decreasing capital misallocation mainly through the relaxation of financial frictions of incumbent, productive, constrained firms.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121748673","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
Evaluating central bank asset purchases in a term structure model with a forward-looking supply factor 在具有前瞻性供给因素的期限结构模型中评估央行资产购买
Documentos de Trabajo Pub Date : 2023-01-05 DOI: 10.53479/25046
Juan Equiza, R. Gimeno, Antonio Moreno, Carlos Thomas
{"title":"Evaluating central bank asset purchases in a term structure model with a forward-looking supply factor","authors":"Juan Equiza, R. Gimeno, Antonio Moreno, Carlos Thomas","doi":"10.53479/25046","DOIUrl":"https://doi.org/10.53479/25046","url":null,"abstract":"The theoretical literature on term structure models emphasises the importance of the expected absorption of duration risk during the residual life of term bonds in order to understand the yield curve effect of central banks’ government bond purchases. Motivated by this, we develop a forward-looking, long-horizon measure of euro area government bond supply net of Eurosystem holdings, and use it to estimate the impact of the ECB’s asset purchase programmes in the context of a no-arbitrage affine term structure model. We find that an asset purchase shock equivalent to 10% of euro area GDP lowers the 10-year average yield of the euro area big four by 59 basis points (bp) and the associated term premium by 50 bp. Applying the model to the risk-free (OIS) yield curve, the same shock lowers the 10-year rate and term premium by 35 and 26 bp, respectively.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128362432","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: 11
Credit line runs and bank risk management: evidence from the disclosure of stress test results. 信贷额度挤兑与银行风险管理:来自压力测试结果披露的证据。
Documentos de Trabajo Pub Date : 2022-12-30 DOI: 10.53479/25006
J. E. Gutiérrez, Luis Gonzalo Fernandez Lafuerza
{"title":"Credit line runs and bank risk management: evidence from the disclosure of stress test results.","authors":"J. E. Gutiérrez, Luis Gonzalo Fernandez Lafuerza","doi":"10.53479/25006","DOIUrl":"https://doi.org/10.53479/25006","url":null,"abstract":"As noted in recent literature, firms can run on credit lines due to fear of future credit restrictions. We exploit the 2011 stress test supervised by the European Banking Authority (EBA) and the Spanish Central Credit Register to explore: 1) the occurrence and magnitude of these runs after the release of negative stress test results; and 2) banks’ behaviour before and after the release of this information. We find that, following the release of the results, firms drew down approximately 10 pp more available funds from lines granted by banks that had a worse performance in the stress test. Moreover, before the release date, poorer performing banks were more likely to reduce the size of credit lines, while those with more significant balances of undrawn credit lines were more likely to cut term lending.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121096858","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
Do buffer requirements for European systemically important banks make them less systemic? 对欧洲具有系统重要性的银行提出的缓冲要求是否会降低它们的系统性?
Documentos de Trabajo Pub Date : 2022-12-16 DOI: 10.53479/24876
Carmen Broto, Luis Gonzalo Fernandez Lafuerza, Mariya Melnychuk
{"title":"Do buffer requirements for European systemically important banks make them less systemic?","authors":"Carmen Broto, Luis Gonzalo Fernandez Lafuerza, Mariya Melnychuk","doi":"10.53479/24876","DOIUrl":"https://doi.org/10.53479/24876","url":null,"abstract":"Buffers for systemically important institutions (SIIs) were designed to mitigate the risks posed by these large and complex banks. With a panel data model for a sample of listed European banks, we demonstrate that capital requirements for SIIs effectively reduce the perceived systemic risk of these institutions, which we proxy with the SRISK indicator in Brownlees and Engle (2017). We also study the impact of the adjustment mechanisms that banks use to comply with SII buffer requirements and their contribution to systemic risk. The results show that banks mainly respond to higher SII buffers by increasing their equity, as intended by the regulators. Once we control for the options SIIs employ to fulfil these requirements and SII characteristics (e.g. total asset size), we find a residual effect of having SII status. This result suggests that being an SII provides a positive signal to markets by further decreasing its contribution to systemic risk.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129078893","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
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信