Macroeconomics: Aggregative Models eJournal最新文献

{"title":"Downward Nominal Wage Rigidity and Inflation Dynamics During and After the Great Recession","authors":"Tomohide Mineyama","doi":"10.2139/ssrn.3157995","DOIUrl":"https://doi.org/10.2139/ssrn.3157995","url":null,"abstract":"I develop a New Keynesian model that embeds heterogeneous workers with asymmetric wage adjustment costs in order to address two inflation puzzles: missing deflation during the Great Recession and the subsequent missing inflation. Downward nominal wage rigidity endogenously arises when the wage adjustment costs are estimated according to U.S. micro wage data, generating the flattening of the observed price Phillips curve during and after recessions. Endogenous evolution of the cross-sectional wage distribution generates nonlinear dynamics such as the sign-, size-, and state-dependence. These nonlinearities help the model address the inflation puzzles as well as matching micro evidence on wage adjustments.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"23 10","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132606020","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":"Can a Wage Subsidy Be Used to Improve Women's Formal Employment in Zambia","authors":"Bupe Simuchimba, F. Chansa, C. Banda, Wapakulukwela Simuchimba, Lulit Mitik Beyene","doi":"10.2139/ssrn.3673274","DOIUrl":"https://doi.org/10.2139/ssrn.3673274","url":null,"abstract":"The number of women employed in the Zambian formal sector is small, which has likely played a role in the low level of women’s empowerment in the country. As a result, the government of Zambia is willing to adopt policies that can positively contribute to women’s formal employment. Based on this policy objective, we propose a wage-subsidy program that considers the best design in implementation and financing. To achieve our research objectives, we calibrated a Computable General Equilibrium (CGE) methodology to a gendered Social Accounting Matrix (SAM) that disaggregated labour into skills and type of employment. Our findings suggest that a wage-subsidy program that targeted women would increase their participation in the formal sector, potentially leading to an increase in household income as well as in women’s contribution to this income. Under our simulations, government revenue fell slightly when an appropriate financing option was applied, but potential benefits to the empowerment of women ultimately outweigh costs. Alternatively, to ensure that the most is obtained from a wage subsidy, corporate taxes could be raised to finance this program. The overall effect of this option would be an improvement in the performance of the economy as well as in household welfare.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115131009","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 Forecasting with an Agent-Based Model","authors":"S. Poledna, M. Miess, C. Hommes, K. Rabitsch","doi":"10.2139/ssrn.3484768","DOIUrl":"https://doi.org/10.2139/ssrn.3484768","url":null,"abstract":"We develop the first agent-based model (ABM) that can compete with benchmark VAR and DSGE models in out-of-sample forecasting of macro variables. Our ABM for a small open economy uses micro and macro data from national and sector accounts, input-output tables, government statistics, census and business demography data. The model incorporates all economic activities as classified by the European System of Accounts as heterogeneous agents. The detailed structure of the ABM allows for a breakdown into sector level forecasts. Potential applications of the model include stress-testing and predicting the effects of changes in monetary, fiscal, or other macroeconomic policies.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"46 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131369846","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":"Oil Price Shocks, Fuel Subsidies and Macroeconomic (In)stability in Nigeria","authors":"Babatunde S. Omotosho","doi":"10.2139/ssrn.3771007","DOIUrl":"https://doi.org/10.2139/ssrn.3771007","url":null,"abstract":"This paper studies the macroeconomic implications of oil price shocks and the extant fuel subsidy regime for Nigeria. To do this, we develop and estimate a New-Keynesian DSGE model that accounts for pass-through effect of international oil price into the retail price of fuel. Our results show that oil price shocks generate significant and persistent impacts on output, accounting for about 22 percent of its variations up to the fourth year. Under our benchmark model (i.e. with fuel subsidies), we show that a negative oil price shock contracts aggregate GDP, boosts non-oil GDP, increases headline inflation, and depreciates the exchange rate. However, results generated under the model without fuel subsidies indicate that the contractionary effect of a negative oil price shock on aggregate GDP is moderated, headline inflation decreases, while the exchange rate depreciates more in the short-run. Counterfactual simulations also reveal that fuel subsidy removal leads to higher macroeconomic instabilities and generates non-trivial implications for the response of monetary policy to an oil price shock. Thus, this study cautions that a successful fuel subsidy reform must necessarily encompass the deployment of well-targeted safety nets as well as the evolution of sustainable adjustment mechanisms.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"190 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120924892","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":"J M Keynes’s IS-LM Model in Chapter 21 in Part IV of the General Theory on Pages 298–299: Some Examples of Cognitive Dissonance Among Economists Attempting to Deal With Keynes’s Innovation in 1936 in 2018–2019","authors":"M. E. Brady","doi":"10.2139/ssrn.3534905","DOIUrl":"https://doi.org/10.2139/ssrn.3534905","url":null,"abstract":"No macroeconomist in the 20th or 21st century has been able to deal effectively with Keynes’s original work done on his IS-LM model that he carried out between December ,1933 and February ,1936,where the final version appeared in the General Theory or in his deployment of that model in his reply to Jacob Viner in his February,1937 Quarterly Journal of Economics article. \u0000 \u0000The major impediment to the grasping and understanding of Keynes’s IS-LM model for economists appears to be the claim, made by the astonishingly mathematically illiterate economist ,Joan Robinson, about having collaborated with Keynes on the writing of the General Theory. This belief is easily demonstrated to be false for any economist who reads pages 134-148 of Volume 14 of the Collected Writings of John Maynard Keynes, where Keynes, in letters to J. Robinson, categorizes Joan Robinson’s understanding of his liquidity preference theory of the rate of interest as being ”nonsense”. \u0000 \u0000These important pages of correspondence , especially the letters from Keynes to J. Robinson of November 4th,November 8th ,and November 9th, 1936,completely demolish any claims made by J. Robinson about assisting Keynes or collaborating with Keynes or helping Keynes in the writing of the General Theory .Keynes’s mention of help received from J. Robinson in his Preface to the General Theory was clearly withdrawn in these exchanges between September,1936 and November ,1936. \u0000 \u0000What Keynes discovered in this correspondence in 1936 was that J. Robinson was completely ignorant of the basic concepts used by him in the construction of his liquidity preference theory of the rate of interest in chapters 13,14,15,16,17 and 21 of the General Theory. J. Robinson’s comments on Keynes’s General Theory relied completely on her being coached, assisted and supported by her husband ,Austin Robinson, and her lover,Richard Kahn.There are a number of similarities between Joan Robinson and Elizabeth Holmes ,who was able to successfully escape being exposed as an intellectual fraud from 2003-2018.Joan Robinson continues to be accepted as a researcher who worked closely with Keynes,despite massive evidence to the contrary. \u0000 \u0000Joan Robinson claimed in 1962 that the IS-LM model was the work of Bastard Keynesians ,who did not understand what Keynes was doing in his analysis in the General Theory. It is Joan Robinson, and not the Bastard Keynesians, who ,unfortunately, only got it half right, who did not understand what Keynes was doing in both the General Theory and the 1937 Quarterly Journal of Economics article. \u0000 \u0000The continuing impact of Joan Robinson in misleading the entire economics profession for 84 years can be traced simply by examining the recent literature written about the General Theory and /or the IS-LM model. Keynes’s total contribution in the General Theory in 1936, which was the IS-LM model ,combined with the D-Z model that incorporated expectations and uncertainty, will never be recovered until the many myt","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"44 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116645309","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":"Forecasting Macroeconomic Risks","authors":"Patrick Adams, T. Adrian, Nina Boyarchenko, D. Giannone","doi":"10.2139/ssrn.3541286","DOIUrl":"https://doi.org/10.2139/ssrn.3541286","url":null,"abstract":"We construct risks around consensus forecasts of real GDP growth, unemployment and inflation. We find that risks are time-varying, asymmetric and partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment risk and increased uncertainty around the inflation forecast. Growth vulnerability arises as the conditional mean and conditional variance of GDP growth are negatively correlated: downside risks are driven by lower mean and higher variance when financial conditions tighten. Similarly, employment vulnerability arises as the conditional mean and conditional variance of unemployment are positively correlated, with tighter financial conditions corresponding to higher forecasted unemployment and higher variance around the consensus forecast.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127535224","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":"Optimal Monetary Policy According to Hank","authors":"Sushant Acharya, E. Challe, Keshav Dogra","doi":"10.1257/aer.20200239","DOIUrl":"https://doi.org/10.1257/aer.20200239","url":null,"abstract":"We study optimal monetary policy in an analytically tractable heterogeneous agent New Keynesian model with rich cross-sectional heterogeneity. Optimal policy differs from a representative agent benchmark because monetary policy can affect consumption inequality, by stabilizing consumption risk arising from both idiosyncratic shocks and unequal exposures to aggregate shocks. The trade-off between consumption inequality, productive efficiency, and price stability is summarized in a simple linear-quadratic problem yielding interpretable target criteria. Stabilizing consumption inequality requires putting some weight on stabilizing the level of output, and correspondingly reducing the weights on the output gap and price level relative to the representative agent benchmark. (JEL E12, E23, E31, E32, E52, E62)","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122168466","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":"Robustly Optimal Monetary Policy in a New Keynesian Model with Housing","authors":"Klaus Adam, M. Woodford","doi":"10.3386/w26833","DOIUrl":"https://doi.org/10.3386/w26833","url":null,"abstract":"Abstract We analytically characterize optimal monetary policy for an augmented New Keynesian model with a housing sector. With rational private sector expectations about housing prices and inflation, optimal monetary policy can be characterized by a standard ‘target criterion’ that refers to inflation and the output gap, without making reference to housing prices. When the policymaker is concerned with potential departures of private sector expectations from rational ones and seeks a policy that is robust against such possible departures, then the optimal target criterion must also depend on housing prices. For empirically realistic cases, the central bank should then ‘lean against’ housing prices, i.e., following unexpected housing price increases (decreases), policy should adopt a stance that is projected to undershoot (overshoot) its normal targets for inflation and the output gap. Robustly optimal policy does not require that the central bank distinguishes between ‘fundamental’ and ‘non-fundamental’ movements in housing prices.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"337 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127577897","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":"Recursive Utility and Turnpike Theory for GMM Thompson Aggregators","authors":"R. Becker, J. P. Rincón-Zapatero","doi":"10.2139/ssrn.3521498","DOIUrl":"https://doi.org/10.2139/ssrn.3521498","url":null,"abstract":"The existence of a unique optimum, a unique optimal stationary program, and a turnpike theorem are demonstrated for a neoclassical one sector optimal growth model. The planneris allocation problem is formulated as a discrete time deterministic, infinite horizon programming model. The production sector is subject to diminishing marginal returns to capital. The planneris objective function is derived from a Generalized Marinacci and Montrucchio (GMM) Thompson aggregator preference. A given Thompson aggregator may be associated with many intertemporal utility functions (which may not be ordinally equivalent). The choice of one of these representations over another is shown to be a matter of mathematical tractability. There is an observational equivalence between those alternative objective functions: the qualitative features of the optimal solution do not depend on the particular utility function representation of the underlying Thompson aggregator preference structure.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"162 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116418158","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":"An Empirical Stock-Flow Consistent Macroeconomic Model for Denmark","authors":"M. Byrialsen, H. Raza","doi":"10.2139/ssrn.3515450","DOIUrl":"https://doi.org/10.2139/ssrn.3515450","url":null,"abstract":"This paper emphasizes the need for understanding the interdependencies between the real and financial sides of the economy in macroeconomic models. While the real side of the economy is generally well explained in macroeconomic models, the financial side and its interaction with the real economy remains poorly understood. This paper makes an attempt to model the interdependencies between the real and financial sides of the economy in Denmark while adopting a stock-flow consistent approach. The model is estimated using Danish data for the period 1995–2016. The model is simulated to create a baseline scenario for the period 2017– 30, against which the effects of two standard shocks (fiscal shocks and interest rate shocks) are analyzed. Overall, our model is able to replicate the stylized facts, as will be discussed. While the model structure is fairly simple due to different constraints, the use of the stockflow approach makes it possible to explain several transmission mechanisms through which real economic behavior can affect the balance sheets, and at the same time capture the feedback effects from the balance sheets to the real economy. Finally, we discuss certain limitations of our model.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116264011","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}