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Macroeconomics: Aggregative Models eJournal最新文献

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Information Frictions, Monetary Policy, and the Paradox of Price Flexibility 信息摩擦、货币政策与价格弹性悖论
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-10-23 DOI: 10.2139/ssrn.3717453
Shengliang Ou, Donghai Zhang, Renbin Zhang
{"title":"Information Frictions, Monetary Policy, and the Paradox of Price Flexibility","authors":"Shengliang Ou, Donghai Zhang, Renbin Zhang","doi":"10.2139/ssrn.3717453","DOIUrl":"https://doi.org/10.2139/ssrn.3717453","url":null,"abstract":"Abstract The introduction of digital price tags and e-commerce facilitates the implementation of price adjustments and thereby diminishes the degree of nominal rigidity in an economy. Is this phenomenon welfare-improving? We address this question using a multi-sector New Keynesian model with information frictions and dispersed beliefs. Increased price flexibility may decrease welfare through the dispersed belief channel and the amplified spillover effects. Dispersed beliefs create a novel channel through which the welfare cost of inflation in a sector increases with price flexibility, altering the optimal inflation index stabilization policy. A monetary policy that stabilizes the optimal inflation index mitigates this paradox.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130865273","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
Composite Absolute Value and Sign Forecasts 复合绝对值和符号预测
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-10-16 DOI: 10.2139/ssrn.3712897
André B.M. Souza
{"title":"Composite Absolute Value and Sign Forecasts","authors":"André B.M. Souza","doi":"10.2139/ssrn.3712897","DOIUrl":"https://doi.org/10.2139/ssrn.3712897","url":null,"abstract":"This paper introduces composite absolute value and sign (CAVS) forecasts, a nonlinear framework that combines forecasts of the sign and absolute value of a time series into conditional mean forecasts. In contrast to linear models, the proposed framework allows different predictors to separately impact the sign and absolute value of the target series. Among other results, I show that the conditional mean can be accurately approximated by the product of mean squared error optimal sign and absolute value forecasts. An empirical application using the FRED-MD dataset shows that CAVS forecasts substantially outperform linear forecasts for series that exhibit persistent volatility dynamics, such as output and interest rates.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130670869","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
Are Real Wages Procyclical Conditional on a Monetary Policy Shock? 实际工资是否以货币政策冲击为顺周期条件?
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-10-10 DOI: 10.2139/ssrn.3718333
Eunseong Ma
{"title":"Are Real Wages Procyclical Conditional on a Monetary Policy Shock?","authors":"Eunseong Ma","doi":"10.2139/ssrn.3718333","DOIUrl":"https://doi.org/10.2139/ssrn.3718333","url":null,"abstract":"It is well-known that real wages are procyclical conditional on a monetary policy shock. This paper challenges this conventional view by using a quantitative heterogeneous-agent New Keynesian economy with sticky wages. In the model with benchmark calibration, the wage rate per effective unit of labor decreases following a monetary expansion, while the data-consistent real wages (average hourly earnings) increase. This implies that true real wages may be countercyclical conditional on a monetary policy shock, but the data may predict the wrong direction of real wages due to the inconsistent definition. Therefore, the predictions of New Keynesian models with wage rigidities are consistent with the data.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133257014","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
Global Value Chains in General Equilibrium 一般均衡中的全球价值链
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-10-10 DOI: 10.2139/ssrn.3709028
A. Carvajal, K. Teeple
{"title":"Global Value Chains in General Equilibrium","authors":"A. Carvajal, K. Teeple","doi":"10.2139/ssrn.3709028","DOIUrl":"https://doi.org/10.2139/ssrn.3709028","url":null,"abstract":"Two additional aspects are considered beyond the standard general equilibrium setting with production under uncertainty. Firstly, sequential production forces firms to forecast future demand, produce in advance, and store inventory. Secondly, firms face a location decision, locating near customers based on logistics costs. In equilibrium a gravity-type relationship tends to hold, and markets operate efficiently aside from a coordination externality. We then study the interaction between value chains and decreasing returns technologies, as well as a tendency for downstream firms to decentralize.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"533 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132416591","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
The Tendency of the Rate of Profit to Fall: A Model of Intra-Capitalist Competition 利润率下降趋势:一个资本内部竞争模型
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-08-22 DOI: 10.2139/ssrn.3679334
John Cajas Guijarro
{"title":"The Tendency of the Rate of Profit to Fall: A Model of Intra-Capitalist Competition","authors":"John Cajas Guijarro","doi":"10.2139/ssrn.3679334","DOIUrl":"https://doi.org/10.2139/ssrn.3679334","url":null,"abstract":"The following paper presents a model that indicates the relevance of intra-capitalist competition when studying the evolution of the rate of profit. The model explains how the tendency of the rate of profit to fall may emerge in a form of competition not usually studied by previous Marxian models. This model also brings a representation of how competition between firms that produce the same commodity through different productive forces may create a potential “impossibility” of simultaneous profit maximization for individual firms and even for the entire sector they belong. Both results may provide new insights on how the “chaotic” nature of capitalist real competition create important contradictions that may increase the possibility of crisis.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127911115","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
Implications of State-Dependent Pricing for DSGE Model-Based Policy Analysis in Indonesia 国家定价对印尼基于DSGE模型的政策分析的影响
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-08-06 DOI: 10.2139/ssrn.3668089
D. Lie
{"title":"Implications of State-Dependent Pricing for DSGE Model-Based Policy Analysis in Indonesia","authors":"D. Lie","doi":"10.2139/ssrn.3668089","DOIUrl":"https://doi.org/10.2139/ssrn.3668089","url":null,"abstract":"This paper studies the implications of state-dependent pricing in a small open-economy dynamic stochastic general equilibrium (DSGE) model for Indonesia. I show that variations in the timing and frequency of price adjustment inherent in a state-dependent pricing assumption could have important implications for DSGE model-based policy analysis in Indonesia. This extensive margin effect produces disparities in the conditional variance decompositions and the impulse responses to various shocks responsible for business cycle fluctuations. An investigation into the impact of COVID-19 pandemic shocks indicates that such variations non-trivially affect the analysis on the appropriate degree of monetary policy response to the shocks. A state-dependent pricing model would call for a greater degree of monetary easing in response to the COVID-19 pandemic, than that prescribed by a traditional time-dependent pricing model. The broader implication is clear. For modelling and analyzing the Indonesian economy, in which the inflation rates have historically been moderate-to-high and highly variable, state-dependent pricing is an essential model feature.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130672960","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: 5
Should Monetary Policy Be Forward-Looking? Evidence From a Developing Economy 货币政策应该具有前瞻性吗?来自发展中经济体的证据
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-07-21 DOI: 10.2139/ssrn.3657275
Awaid Yasin, S. Z. Ali
{"title":"Should Monetary Policy Be Forward-Looking? Evidence From a Developing Economy","authors":"Awaid Yasin, S. Z. Ali","doi":"10.2139/ssrn.3657275","DOIUrl":"https://doi.org/10.2139/ssrn.3657275","url":null,"abstract":"This paper has investigated the effectiveness of a forecast-based monetary policy for macroeconomic stabilization in a developing country, namely Pakistan. Using a simple New-Keynesian model and a forecast-augmented structural VAR (identified via three different strategies), we have studied the macroeconomic movements from 2009-2018 in the events of supply-side, demand-side, and monetary innovation shocks. We primarily conclude that a forecast-targeting policy demonstrates a superior stabilization performance than one which relies completely on the past information under all shock scenarios, and this advantage of the former over the latter primarily stems from its ability to better handle inflationary rather than real-output fluctuations.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116373882","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
Government Public Investment Dynamic Multiplier Effects: An Empirical Analysis for Spain 西班牙政府公共投资动态乘数效应的实证分析
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-06-23 DOI: 10.2139/ssrn.3634081
José A. Pérez-Montiel
{"title":"Government Public Investment Dynamic Multiplier Effects: An Empirical Analysis for Spain","authors":"José A. Pérez-Montiel","doi":"10.2139/ssrn.3634081","DOIUrl":"https://doi.org/10.2139/ssrn.3634081","url":null,"abstract":"We estimate the dynamic multiplier effect of public investment in Spain. To this aim, we employ annual data of the seventeen Spanish Autonomous Communities for the 1980-2016 period. We disaggregate public investment in productive infrastructure investment, INFINV, and in social investment, SOCINV. Thus, we analyze the dynamic multiplier effect of INFINV and that of SOCINV. Our findings suggest that an increase in the level of public investment generates a positive and permanent effect on the level of GDP. One year after the fiscal expansion, the dynamic fiscal multipliers of INFINV and SOCINV reach values above one, thereby confirming that government public investment expansions have Keynesian effects on the level of output. We also find that the value of the dynamic multipliers is asymmetric when we consider above-average-GDPpc and below-average-GDPpc Autonomous Communities.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124723363","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
Labor-Augmenting Technical Change and the Labor Share: New Microeconomic Foundations 劳动增长型技术变革与劳动份额:新的微观经济基础
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-04-12 DOI: 10.2139/ssrn.3527634
Daniele Tavani, L. Zamparelli
{"title":"Labor-Augmenting Technical Change and the Labor Share: New Microeconomic Foundations","authors":"Daniele Tavani, L. Zamparelli","doi":"10.2139/ssrn.3527634","DOIUrl":"https://doi.org/10.2139/ssrn.3527634","url":null,"abstract":"An important question in alternative economic theories has to do with the relationship between the functional income distribution and the growth rate of labor productivity. According to both the induced innovation hypothesis and Marx-biased technical change, labor productivity growth should be an increasing function of the labor share. In this paper, we first discuss the shortcomings of both theories and then provide a novel microeconomic foundation for a direct relationship between the labor share and labor productivity growth. The result arises because of profit-seeking behavior by capitalist firms that face a trade-off between investing in new capital stock and innovating to save on labor costs. Embedding this finding in the Goodwin (1967) growth cycle model, we show that: i) the resulting steady state is locally stable, and ii) unlike in the original Goodwin model, the long-run employment rate is sensitive to investment decisions. Finally, iii) we numerically show that growth cycles vanish for high elasticities of the innovation function to R&D spending.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116870797","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
The 8½ Equations Version of the Quantity Theory of Money 货币数量理论的8.5方程式版本
Macroeconomics: Aggregative Models eJournal Pub Date : 2020-03-10 DOI: 10.2139/ssrn.3552108
Tobias F. Rötheli
{"title":"The 8½ Equations Version of the Quantity Theory of Money","authors":"Tobias F. Rötheli","doi":"10.2139/ssrn.3552108","DOIUrl":"https://doi.org/10.2139/ssrn.3552108","url":null,"abstract":"This article addresses the low inflation rates of recent years in the light of expansionary monetary policy. Building on essential macroeconomic relationships we present a modern version of the quantity theory of money. At low rates of inflation, an expansionary monetary policy can induce an increase in the money stock not matched by a corresponding increase in prices. When money demand is very elastic – a liquidity trap effect – real money balances can increase by 100 percent or more. The key to this phenomenon is the insight that a peg of the policy interest rate at a very low level does not lead to accelerating inflation.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115296788","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
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