{"title":"Carbon Tax with Macroeconomic Stimulus: GDP as an Inferior Good","authors":"J. Stodder, I. Julio","doi":"10.2139/ssrn.3885998","DOIUrl":"https://doi.org/10.2139/ssrn.3885998","url":null,"abstract":"Structural vector auto-regressions (SVARs) are used to simulate US carbon taxes, treating price plus tax as exogenous. These reduce CO2 and GDP. If this fall in GDP is compensated to leave Disposable Income unchanged, the added income drives further declines in CO2, but also lower GDP. Carbon-heavy GDP is thus seen to be an inferior good for the US, falling as Disposable Income increases.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133272088","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 Real Explanation of Nominal Bond-Stock Puzzles","authors":"Mikhail Chernov, Lars Lochstoer, Dongho Song","doi":"10.2139/ssrn.3890345","DOIUrl":"https://doi.org/10.2139/ssrn.3890345","url":null,"abstract":"We present evidence that the mix of transitory and permanent shocks to consumption is changing over time. We study the implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and equity curves, upward sloping nominal yield curve, and sign-switching correlation between equities and bonds consistent with the stylized facts. This is achieved without relying on the nominal channel too much. That is, as in the data, the variation of inflation in the model is under 40% as a fraction of variation in nominal yields. \u0000 \u0000Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121979232","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":"Monetary Policy, Redistribution, and Risk Premia","authors":"Rohan Kekre, Moritz Lenel","doi":"10.2139/ssrn.3520925","DOIUrl":"https://doi.org/10.2139/ssrn.3520925","url":null,"abstract":"We study the transmission of monetary policy through risk premia in a heterogeneous agent New Keynesian environment. Heterogeneity in households' marginal propensity to take risk (MPR) summarizes differences in portfolio choice on the margin. An unexpected reduction in the nominal interest rate redistributes to households with high MPRs, lowering risk premia and amplifying the stimulus to the real economy. Quantitatively, this mechanism rationalizes the role of news about future excess returns in driving the stock market response to monetary policy shocks and amplifies their real effects by 1.3–1.4 times.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123852224","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":"(In)efficient Separations, Firing Costs and Temporary Contracts","authors":"A. Gerali, Elisa Guglielminetti, Danilo Liberati","doi":"10.2139/ssrn.3852388","DOIUrl":"https://doi.org/10.2139/ssrn.3852388","url":null,"abstract":"In this paper we study the allocative (in)efficiency of employment protection in relation to firing costs, in a general equilibrium model with labor market frictions. The optimal firing costs depend on the level of unemployment benefits and the degree of centralized wage bargaining, two features of the labor market that induce downward wage rigidity and trigger inefficient employment separations. When restrictions on firing employees with permanent contracts are inefficiently high, the introduction of temporary contracts improves welfare but does not fully restore efficiency. A quantitative analysis for the Italian economy shows that the firing costs before the recent labor market reforms were 30% higher than the optimal level, implying a consumption loss of almost 2% in the steady state. The introduction of fixed-term jobs in the early 2000’s closed one fourth of the gap between inefficient and efficient allocation, although it led to higher unemployment rates and turnover.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131372904","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":"Sunspots and Animal Spirits: The Origin of Keynes's Cycle Theory","authors":"John Newman","doi":"10.2139/ssrn.3810069","DOIUrl":"https://doi.org/10.2139/ssrn.3810069","url":null,"abstract":"William Stanley Jevons’s “Sunspot Theory” of business cycles related the number of spots on the sun to economic activity, primarily through the weather and agriculture, but also through psychological components like optimism and uncertainty. The theory is widely discredited, but John Maynard Keynes agreed with Jevons’s underlying use of market participants’ moods to explain the transmission and magnification of the boom and bust phases of the cycle. Jevons’s use of psychology to explain business cycles originated in John Mills’s 1867 “On Credit Cycles and the Origin of Commercial Panics.” This paper establishes this connection between Mills, Jevons, and Keynes, which is not recorded in the literature that explores the origin of Keynes’s psychological “animal spirits” concept. John Mills’s “On Credit Cycles” is not well-known, so it is reviewed at length, noting points of comparison to the business cycle theories of both Keynes and the Austrian school. Another reason for the extensive treatment of Mills’s “On Credit Cycles” is that Jevons regarded it as an accurate description of the business cycle, even if he was unsatisfied with the unexplained fluctuations in “commercial moods.” If it is true that Jevons essentially founded the idea of market psychology and attitude determinants of the business cycle, then his impact on modern economic theory and policy via Keynes has been underestimated.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125492420","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 Role of Normal Goods in Global Stability","authors":"Donald C. Keenan, Taewon Kim","doi":"10.2139/ssrn.3779333","DOIUrl":"https://doi.org/10.2139/ssrn.3779333","url":null,"abstract":"It is argued that results for global stability of classical tatonnement dynamics do not depend on goods being normal.<br>","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117074114","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":"Production, Consumption, and Time Varying Expected Returns","authors":"R. Priestley","doi":"10.2139/ssrn.3741925","DOIUrl":"https://doi.org/10.2139/ssrn.3741925","url":null,"abstract":"This paper develops an empirical test of the q-theory production based asset pricing model. In general equilibrium, with habit utility and adjustment costs of investment, it must be the case that when the consumption surplus predicts stock returns corresponding investment patterns must predict investment returns to the same extent. The no arbitrage condition also implies investment patterns must predict stock returns in the same way as the consumption surplus. Using this insight, we find strong empirical support for the production based model without encountering the difficulties of calculating investment returns. Consequently, previous rejections of the model most likely stem from the failure of one or more of the many assumptions that are needed to construct investment returns.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130841396","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}
Elizabeth Demers, Fabio B. Gaertner, Asad Kausar, Logan B. Steele
{"title":"Aggregate Tone and Gross Domestic Product","authors":"Elizabeth Demers, Fabio B. Gaertner, Asad Kausar, Logan B. Steele","doi":"10.2139/ssrn.3779725","DOIUrl":"https://doi.org/10.2139/ssrn.3779725","url":null,"abstract":"We examine whether earnings announcement textual tone, aggregated across individual publicly traded firms, helps to predict future GDP growth. Prior literature shows changes in aggregate accounting earnings are useful in predicting future economic growth, but only when aggregate earnings changes are negative. Because conservative accounting rules limit managers’ ability to communicate positive news in a timely manner, we look to corporate narrative tone as a possible source of timely positive information disseminated by publicly traded firms. Our results show that aggregate tone is useful in predicting future economic growth, but only when the change in aggregate tone is positive. Our study contributes to prior literature by providing initial evidence on the link between qualitative accounting disclosure, accounting timeliness, and macroeconomic outcomes.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124260256","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":"A Model of Financial Constraint on Investment","authors":"Hans DG Hyun","doi":"10.2139/ssrn.3825989","DOIUrl":"https://doi.org/10.2139/ssrn.3825989","url":null,"abstract":"This article aims to contribute to the Post Keynesian theory of the firm by refining the long run financial frontier models with three key elaborations reflecting (1) banking convention, such as debt service coverage ratio and the maximum gearing ratio, (2) portfolio approach in firm’s allocation of liquid financial resources, and (3) the role of uncertainty. The refined model provides a medium run perspective of the financial frontier. It also develops a microeconomic foundation to account for investment volatilities, leading to Minsky’s insight into financial instability.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125624447","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":"Prudence and Information Rigidity of EBRD’s Growth Forecast: Quarter-Century Assessment","authors":"Y. Tsuchiya","doi":"10.2139/ssrn.3762946","DOIUrl":"https://doi.org/10.2139/ssrn.3762946","url":null,"abstract":"This study assesses the performance of the GDP growth forecasts by European Bank for Reconstruction and Development (EBRD) for 38 countries between 1994 and 2019. It presents the following results. First, forecast performances improve over time. Second, the projections are mostly conservative, except for some countries with optimistic next-year forecasts. Third, these forecasts are broadly rational once asymmetric loss is assumed. Fourth, the magnitude of improvement in forecast performance, conservativeness, and optimism, are likely to differ across regions, common wealth status, and income levels. Fifth, information rigidity is mostly found to be present. Sixth, there is less information rigidity in the short-term horizon in more recent years, suggesting that an improvement of the EBRD’s forecasting practice and expanded information availability in the transition economies enhance its efficiency.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117098372","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}
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