Macroeconomics: Aggregative Models eJournal最新文献

{"title":"The Source of Uncertainty and Optimal Monetary Policy","authors":"Daeha Cho, Joonseok Oh","doi":"10.2139/ssrn.3945469","DOIUrl":"https://doi.org/10.2139/ssrn.3945469","url":null,"abstract":"We study whether the source of uncertainty shocks matters for optimal monetary policy, focusing on productivity and cost-push uncertainty shocks. Although both shocks deliver similar macroeconomic dynamics under an empirical Taylor rule, they generate very different dynamics under optimal monetary policy. Following productivity uncertainty shocks, the optimal monetary policy achieves joint stabilization of output gaps and inflation. In contrast, in response to cost-push uncertainty shocks, the monetary authority faces a trade-off between the output gap and inflation stabilization. Our result shows that it is important for welfare-maximizing central banks to distinguish the source of uncertainty shocks.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127942868","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":"Economic Crises in a Model with Capital Scarcity and Self-Reflexive Confidence","authors":"F. Morelli, Karl Naumann-Woleske, M. Benzaquen, M. Tarzia, J. Bouchaud","doi":"10.2139/ssrn.3927107","DOIUrl":"https://doi.org/10.2139/ssrn.3927107","url":null,"abstract":"In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a multiple equilibria behavioural business cycle model that can account for demand or supply collapses due to abrupt drops in consumer confidence, which affect both consumption propensity and investment. We show that, depending on the model parameters, four qualitatively different outcomes can emerge, characterised by the frequency of capital scarcity and/or demand crises. In the absence of policy measures, the duration of such crises can increase by orders of magnitude when parameters are varied, as a result of the ``paradox of thrift''. Our model suggests policy recommendations that prevent the economy from getting trapped in extended stretches of low output, low investment and high unemployment.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114817319","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":"Attention Cycles","authors":"Joel P. Flynn, Karthik A. Sastry","doi":"10.2139/ssrn.3592107","DOIUrl":"https://doi.org/10.2139/ssrn.3592107","url":null,"abstract":"Using data from US public firms' regulatory filings and financial statements, we document that firms' attention to macroeconomic conditions is counter-cyclical and their propensity to make production mistakes is pro-cyclical. Attentive firms make smaller mistakes, and mistakes of the same size are punished more by financial markets during downturns. We explain these phenomena with a business cycle model in which firms, owned by risk-averse investors, rationally allocate costly attention across states. When aggregate productivity is low, there are higher rewards for delivering profits, and firms optimally pay more attention and make smaller mistakes. Endogenously counter-cyclical attention generates quantitatively significant asymmetric, state-dependent shock propagation and stochastic volatility of output growth.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123281996","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 Impact of Body Mass Index on Growth, Schooling, Productivity, and Savings: A Cross-Country Study","authors":"A. Tansel, Ceyhan Öztürk, Erkan Erdil","doi":"10.2139/ssrn.3923614","DOIUrl":"https://doi.org/10.2139/ssrn.3923614","url":null,"abstract":"We examine the relationship between wealth and health through prominent growth indicators and cognitive ability. Cognitive ability is represented by nutritional status. The proxy variable for nutritional status is BMI. We use the reduced form equation in the cubic specification of time preference rate, strongly related to cognitive ability, to estimate this relationship. The growth indicators utilized are GDP per capita, schooling, overall and manufacturing productivities, and savings. We estimate our models using the FE, GMM estimators, and long difference OLS and IV estimation through balanced panel data for the 1980-2009 period. We conclude that the relationship between all prominent growth indicators and BMI is inverse U-shaped. In other words, cognitive ability has a significant potential to progress growth and economic development only in a healthy status.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114339979","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":"Economy works differently Episode 1: The indisputable proof that Keynes' Investment Multiplier is a Wrong Theory","authors":"Didier Vanoverberghe","doi":"10.2139/ssrn.3915118","DOIUrl":"https://doi.org/10.2139/ssrn.3915118","url":null,"abstract":"From its publication in The Times in 1933, John Maynard Keynes’s investment multiplier sparked much debate and controversy. Can an investment generate 3 or 4 times its value in income within one year? To date, no one has questioned the theoretical merits of this multiplier. Even the biggest opponents like Friedman have only questioned the multiplier value, judged to be closed from 1 in the permanent income that competes with it. We will show in this first article that the multiplier is based on a faulty theory and must be abandoned. An upcoming article will challenge the permanent income hypothesis and provide a definitive conclusion to how the economy works.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128176879","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":"Working for References","authors":"Samuel Häfner, Curtis R. Taylor","doi":"10.2139/ssrn.3746426","DOIUrl":"https://doi.org/10.2139/ssrn.3746426","url":null,"abstract":"We analyze the incentive and welfare consequences of job references in a large economy marked by moral hazard, limited liability, exogenous job separation, and structural unemployment. In the firm-optimal equilibrium, employers provide references whenever production is successful, and workers holding references are hired with certainty in the ensuing period. Compared to a setting without references: the bonus-contract offers are lower, yet the workers’ equilibrium effort is higher. Profits and welfare are higher, yet aggregate worker welfare is lower. Also, firms do not fully internalize the incentive effect of references and could typically increase profits and welfare by jointly raising bonuses. (JEL D82, D86, E24, J33, J41, L25, M51)","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"160 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131969379","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 Macroeconomic Effects of Tax Shocks: The Cost Channel","authors":"He Nie","doi":"10.2139/ssrn.3905695","DOIUrl":"https://doi.org/10.2139/ssrn.3905695","url":null,"abstract":"I develop a simple analytical New Keynesian model with a cost channel to gain new insights into the general properties of tax shocks. In this paper, I formally show that the cost channel itself can rule out the sunspot liquidity traps and secure a unique equilibrium with tax shocks. I also contribute to the tax-related literature that the absolute magnitudes of output gap and inflation multipliers due to a cost channel with/without the zero lower bound binding are heterogeneous compared with the standard model and the multipliers can be reproduced with a wide range of estimates. Finally, the multipliers are robust with the medium run tax cut policy except the consumption tax.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114437456","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":"Real Business Cycles in Emerging Countries: Are Asian Business Cycles Different from Latin American Business Cycles?","authors":"Soyoung Kim","doi":"10.2139/ssrn.3904490","DOIUrl":"https://doi.org/10.2139/ssrn.3904490","url":null,"abstract":"English Abstract: Most previous studies on business cycles in emerging markets have focused on elucidating the differences between advanced and emerging countries. However, the present study investigates the differences in two groups of emerging countries, namely, those in Asia and Latin America. This study first documents that Asian economies are characterized by a higher trade balance share volatility, higher autocorrelations in key macroeconomic variables, higher contributions of trend productivity shocks to fluctuations in key macroeconomic variables, and lower consumption volatility, than Latin American economies. By estimating dynamic stochastic general equilibrium (DSGE) models buffeted with various structural shocks and frictions and performing a counterfactual analysis, this study further suggests the key sources of the differences. First, the first three differences are mainly explained by a higher persistence of trend productivity shocks in Asia than in Latin America. Second, the differences in consumption volatility appear to arise from a higher labor supply elasticity in Asia than in Latin America. We further provide data on policy regime changes and labor markets in both regions to explain the differences in their economic structure. The differences in the contribution of trend productivity shocks in economic fluctuations of the two groups also provide a partial explanation of the discrepancy in the role of trend shocks in past studies.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128477209","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":"Loanable Funds theory vs Liquidity Preference theory: The Validity of Walras’ Law in a Monetary Productive Economy with Bonds","authors":"Narciso Túñez Area","doi":"10.2139/ssrn.3898040","DOIUrl":"https://doi.org/10.2139/ssrn.3898040","url":null,"abstract":"[enter AbsIn a recent paper Túñez (2016) has reviewed the validity of Walras’Law for a Monetary Exchange Economy using a Non-Compensatory Disequilibrium Framework (NCDF). This paper will apply the same theoretical Framework to a Monetary Productive Economy with Bonds to demonstrate that, conflicting with Maurer’s (2009) and Patinkin’s (1965) models, general excess supplies might exist, i.e., Keynes’ thesis of Unemployment Equilibrium is hence a valid theoretical possibility as Walras’ Law does not always hold. The paper will also examine the debate between the loanable funds vs liquidity preference theories using the NCDFtract Body]","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130198325","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":"Анализ Пространственно-Временной Мезодинамики: Окрестность «Тяжелых Хвостов Распределения» Помехи, Медианный Подход, Пакет Вейвлет-Преобразований (Analysis of Time and Spatial Meso-Dynamics: Neighborhood of the Residuals Heavy-Tailed Distribution, Median Approach, Wavelet Transformation Package)","authors":"V. Semenychev, Anastasiya Korobetskaya, G. Khmeleva","doi":"10.2139/ssrn.3894458","DOIUrl":"https://doi.org/10.2139/ssrn.3894458","url":null,"abstract":"Russian Abstract: Препринт представляет новые результаты анализа мезодинамики показателей 12 основных отраслей динамики на данных ежемесячной статистики по 82 российским регионам с января 2005 по декабрь 2020 гг. Решение задачи сбалансированного и устойчивого пространственного развития регионов и России в целом требует отказа от постулирования нормального распределения помехи в нелинейной мезодинамике. Следует обеспечить адекватность моделей, увеличить точность моделирования и, главное, прогнозирования оценок трендов и отраслевых циклов мезодинамики, рассматривая окрестность помехи с распределением «с тяжелыми хвостами», а также обосновать преимущество предложенного инструментария по сравнению с известными. Исследование выполнено в методологии эконофизики. Увеличена сложность моделей объектов анализа за счет рассмотрения новых структур взаимодействия регулярных компонент траекторий (в том числе комплекса логистических трендов) между собой и с помехой. Для помехи рассмотрено применение мод, медиан при реконструкции регулярных компонент траекторий, обеспечивающих свойство робастности, не требующее знания параметров моделей помехи и стационарности законов распределения. Предложено моделирование отраслевых циклов авторским пакетом вейвлет-преобразований, позволяющим учесть нестационарность временной и частотной неоднородности пространственных траекторий мезодинамики. Разработанный инструментарий реализован в виде программного кода в открытой бесплатной среде R, с использованием как общедоступных пакетов и функций, так и авторских решений. Получены репрезентативные, устойчивые и синхронизированные во времени аналитические оценки компонент динамики отраслей мезо- и макропоказателей экономики России. Превышены известные результаты по точности моделирования и, главное, прогнозирования оценок нестационарной и неоднородной мезодинамики при помехе с «тяжелыми хвостами» распределения. Принятая методология и предложенный инструментарий позволили обеспечить возможность формирования базы знаний для экономической практики и теории нелинейной динамики, сбалансированности и устойчивости регионального развития в среднесрочной перспективе, перейти к формированию атласа отраслевых циклов экономики России, к анализу бифуркаций и «детерминированного хаоса». English abstract: English Abstract: The Preprint provides new results on meso-dynamics analysis of 12 main economic branches in 82 Russian regions from January 2005 till December 2020. The problem of balanced and sustainable spatial development of the Russian regions and Russia as a whole leads to rejection of normal distribution of the non-linear models' residuals. The models should be adequate and have high fitting and forecasting accuracy for both the trend and cycles. For this purpose the authors consider neighborhood of the residuals' heavy-tailed distribution, increased the models' complexity using new structures (including a set of logistic trends). For the residuals there is considered usage of mods, medians","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123524181","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}