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Macroeconomics: Aggregative Models eJournal最新文献

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Subjective Models of the Macroeconomy: Evidence From Experts and a Representative Sample 宏观经济的主观模型:来自专家和代表性样本的证据
Macroeconomics: Aggregative Models eJournal Pub Date : 2019-03-19 DOI: 10.2139/ssrn.3490654
Johannes Wohlfart, Peter André, C. Pizzinelli, Christopher Roth
{"title":"Subjective Models of the Macroeconomy: Evidence From Experts and a Representative Sample","authors":"Johannes Wohlfart, Peter André, C. Pizzinelli, Christopher Roth","doi":"10.2139/ssrn.3490654","DOIUrl":"https://doi.org/10.2139/ssrn.3490654","url":null,"abstract":"Using a sample of 2,200 households representative of the US population and a sample of more than 1,000 experts, we measure beliefs about how aggregate unemployment and in ation respond to different macroeconomic shocks. Expert predictions are quantitatively close to standard DSGE models and VAR evidence. While households' beliefs are directionally aligned with those of experts in the case of oil supply shocks and government spending shocks, they predict an opposite reaction of in ation to monetary policy and income tax shocks. A substantial fraction of deviations of household predictions can be explained by the use of a simple affective heuristic.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130110720","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: 73
Uncertainty Shocks and Business Cycles in Brazil: A DSGE Approach 巴西的不确定性冲击和商业周期:DSGE方法
Macroeconomics: Aggregative Models eJournal Pub Date : 2019-02-27 DOI: 10.2139/ssrn.3364997
Caíque Melo, Marcelo Silva
{"title":"Uncertainty Shocks and Business Cycles in Brazil: A DSGE Approach","authors":"Caíque Melo, Marcelo Silva","doi":"10.2139/ssrn.3364997","DOIUrl":"https://doi.org/10.2139/ssrn.3364997","url":null,"abstract":"In this paper we analyze the impact of uncertainty shocks on the Brazilian economy. We use a general equilibrium model in such a way that the transmission channels of the shocks could be identified and we solve the model using a third order approximation for the policy functions since lower order approximations are not able to capture the effects of volatility shocks. Examining the channels through which shocks of uncertainty on TFP and interest rates may affect Brazilian economy, the impulse-response functions suggest that an increase in domestic and external volatility usually leads to a drop in consumption, investment, and output, and an increase in labor supply and external debt. Through the variance decomposition uncertainty shocks are relevant to explain the dynamics of economic activity in Brazil. Additionally we perform a robustness analysis and showed that the results are not maintained in response to different calibrations.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116151045","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
(Un)Competitive Devaluations and Firm Dynamics (非)竞争性贬值与企业动态
Macroeconomics: Aggregative Models eJournal Pub Date : 2019-02-24 DOI: 10.2139/ssrn.3095698
Alexander Rodnyansky
{"title":"(Un)Competitive Devaluations and Firm Dynamics","authors":"Alexander Rodnyansky","doi":"10.2139/ssrn.3095698","DOIUrl":"https://doi.org/10.2139/ssrn.3095698","url":null,"abstract":"This paper studies monetary and exchange rate policy in a world of global value chains. Using recent microdata from Japan and Russia, devaluations are shown to negatively affect exporters in terms of employment, domestic revenue and profitability relative to nonexporting firms. Given their substantial dependence on imported intermediate inputs, exporting firms are more exposed to marginal cost shocks following exchange rate movements. Standard macro models are too simplistic in their microstructure to capture these transmission channels. I propose a New Keynesian general equilibrium model with firm heterogeneity, varying intermediate import intensities, and international dollar pricing to explain the findings. Strategic complementarities improve the quantitative performance of the model without changing its qualitative properties. The new paradigm is successful in matching key firm-level moments as well as the evolution of inflation and net exports.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121768656","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
The Role of Inter Vivos Giving in General Equilibrium 人间捐赠在一般均衡中的作用
Macroeconomics: Aggregative Models eJournal Pub Date : 2019-01-29 DOI: 10.2139/ssrn.3324825
Jane Yoo
{"title":"The Role of Inter Vivos Giving in General Equilibrium","authors":"Jane Yoo","doi":"10.2139/ssrn.3324825","DOIUrl":"https://doi.org/10.2139/ssrn.3324825","url":null,"abstract":"This paper studies the welfare aspects of inter vivos giving in a dynamic general equilibrium. Although the intergenerational transfer made by a living parent to a liquidity-constrained child is easily found, the welfare aspects of this inter vivos giving have not been widely studied. An applied life-cycle model built on the observed pattern from the micro data can explain the substantial dierence in wealth between a recipient and a non-recipient. After comparing the age-wealth distribution produced in a model economy to the corresponding distribution in the US economy, this paper investigates how individual welfare is inuenced when giving is encouraged by elimination of the gift tax in the steady-state. The model shows that lowering the gift tax rate is Pareto-improving in the long run by achieving higher average consumption, a smoother lifetime consumption path and an increase in saving.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115908376","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
Monetary Policy Options at the Effective Lower Bound: Assessing the Federal Reserve's Current Policy Toolkit 有效下限下的货币政策选择:评估美联储当前的政策工具
Macroeconomics: Aggregative Models eJournal Pub Date : 2019-01-01 DOI: 10.17016/FEDS.2019.003
{"title":"Monetary Policy Options at the Effective Lower Bound: Assessing the Federal Reserve's Current Policy Toolkit","authors":"","doi":"10.17016/FEDS.2019.003","DOIUrl":"https://doi.org/10.17016/FEDS.2019.003","url":null,"abstract":"We simulate the FRB/US model and a number of statistical models to quantify some of the risks stemming from the effective lower bound (ELB) on the federal funds rate and to assess the efficacy of adjustments to the federal funds rate target, balance sheet policies, and forward guidance to provide monetary policy accommodation in the event of a recession. Over the next decade, our simulations imply a roughly 20 to 50 percent probability that the federal funds rate will be constrained by the ELB at some point. We also find that forward guidance and balance sheet polices of the kinds used in response to the Global Financial Crisis are modestly effective in speeding up the labor market recovery and return of inflation to 2 percent following an economic slump. However, these policies have only small effects in limiting the initial rise in the unemployment rate during a recession because of transmission lags. As with any model-based analysis, we also discuss a number of c aveats regarding our results.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"371 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127188712","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: 9
Structural Changes and Sustainability. A Selected Review of the Empirical Evidence 结构变化和可持续性。经验证据的精选综述
Macroeconomics: Aggregative Models eJournal Pub Date : 2019-01-01 DOI: 10.2139/ssrn.3324241
M. Savona, Tommaso Ciarli
{"title":"Structural Changes and Sustainability. A Selected Review of the Empirical Evidence","authors":"M. Savona, Tommaso Ciarli","doi":"10.2139/ssrn.3324241","DOIUrl":"https://doi.org/10.2139/ssrn.3324241","url":null,"abstract":"The paper offers a review of selected topics in the empirical literature on structural change and sustainability. We focus on aspects of structural change that directly affect emissions and energy intensity: changes of the sectoral composition of economies, trade and international fragmentation of production, technological change and innovation, and demand. We identify several empirical facts. First, only a few countries have experienced a decoupling between growth and emissions, due to proportionately faster growth rather than greater energy efficiency. Second, the long-term shift from manufacturing to services has not led, in all cases, to the de-materialisation of economies and a lower environmental burden. Exploitation of energy efficiency increases depends on the ability of the service sectors to incorporate technical changes to reduce energy intensity. Third, global trade and energy and emissions intensity trends support the ‘pollution haven’ hypothesis, which predicts displacement of the environmental burden from developed to emerging countries. The pursuit by developing countries of a long-term strategy of ‘trading jobs for emissions' is likely to exacerbate the asymmetry related to emissions intensities between developed and less developed economies. The review should inform debate on environmental policy within the broader context of innovation and development policies.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128621081","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: 37
On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood 用模拟最大似然法估计行为宏观经济模型
Macroeconomics: Aggregative Models eJournal Pub Date : 2018-12-08 DOI: 10.2139/ssrn.3299450
J. Kukacka, Tae-Seok Jang, Stephen Sacht
{"title":"On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood","authors":"J. Kukacka, Tae-Seok Jang, Stephen Sacht","doi":"10.2139/ssrn.3299450","DOIUrl":"https://doi.org/10.2139/ssrn.3299450","url":null,"abstract":"In this paper, we introduce the simulated maximum likelihood method for identifying behavioral heuristics of heterogeneous agents in the baseline three-equation New Keynesian model. The method is extended to multivariate macroeconomic optimization problems, and the estimation pro-cedure is applied to empirical data sets. This approach considerably relaxes restrictive theoretical assumptions and enables a novel estimation of the intensity of choice parameter in discrete choice. In Monte Carlo simulations, we analyze the properties and behavior of the estimation method, which provides important information on the behavioral parameters of the New Keynesian model. However, the curse of dimensionality arises via a consistent downward bias for idiosyncratic shocks. Our empirical results show that the forward-looking version of both the behavioral and the rational model specifications exhibits good performance. We identify potential sources of misspecification for the hybrid version. A novel feature of our analysis is that we pin down the switching parameter for the intensity of choice for the Euro Area and US economy.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126631578","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
Capital–Skill Complementarity: Does Capital Composition Matter? 资本-技能互补性:资本构成重要吗?
Macroeconomics: Aggregative Models eJournal Pub Date : 2018-12-03 DOI: 10.1111/sjoe.12267
Juan A. Correa, Miguel Lorca, Francisco Parro
{"title":"Capital–Skill Complementarity: Does Capital Composition Matter?","authors":"Juan A. Correa, Miguel Lorca, Francisco Parro","doi":"10.1111/sjoe.12267","DOIUrl":"https://doi.org/10.1111/sjoe.12267","url":null,"abstract":"We estimate the effect of capital composition on the size of capital–skill complementarity and the skill wage premium. Disaggregating the capital stock into different types according to technological content, we find that: capital is more of a q‐complement to skilled labor than to unskilled labor; the higher the technological component of capital, the larger the size of the relative q‐complementarity between capital and skilled labor; and replacing non‐technological with technological capital might increase the skill wage premium by about 9 percent. Our results highlight that changes in capital composition matter for understanding changes in the skill wage premium.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121614816","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
The Optimal Inflation Rate with Discount Factor Heterogeneity 具有贴现因子异质性的最优通货膨胀率
Macroeconomics: Aggregative Models eJournal Pub Date : 2018-12-01 DOI: 10.17016/FEDS.2018.086
Antoine Lepetit
{"title":"The Optimal Inflation Rate with Discount Factor Heterogeneity","authors":"Antoine Lepetit","doi":"10.17016/FEDS.2018.086","DOIUrl":"https://doi.org/10.17016/FEDS.2018.086","url":null,"abstract":"This paper shows that deviations from long-run price stability are optimal in the presence of price stickiness whenever profit and utility flows are discounted at a different rate. In that case, a monetary authority acting under commitment will choose a path for the inflation rate that ends with a non-zero value. Such a property is relevant in a wide range of macroeconomic environments. I first illustrate this by studying optimal monetary policy in a New Keynesian model with a perpetual youth structure. In this setting, profit flows are discounted more heavily than utility flows and the optimal inflation target is equal to 3.2 percent in a baseline calibration of the model. I also show that this property leads to a positive long-run inflation rate in models with firm entry and exit and in environments with search and matching frictions in the labor market and another form of nominal rigidity, wage stickiness.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123414370","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: 10
Economic Growth With Locked-In Fertility: Under- and Over-Investment in Education 生育率锁定的经济增长:教育投资不足与过度
Macroeconomics: Aggregative Models eJournal Pub Date : 2018-10-20 DOI: 10.2139/ssrn.3270365
M. Nakagawa, A. Oura, Y. Sugimoto
{"title":"Economic Growth With Locked-In Fertility: Under- and Over-Investment in Education","authors":"M. Nakagawa, A. Oura, Y. Sugimoto","doi":"10.2139/ssrn.3270365","DOIUrl":"https://doi.org/10.2139/ssrn.3270365","url":null,"abstract":"This research theoretically analyzes the role of irreversible fertility decisions in economic growth in the presence of idiosyncratic ability shocks after childbirth. It argues that the irreversibility constraint delays the growth process by distorting the resource allocation between the quantity and quality of children. In underdeveloped stages, where family size is locked into large levels, education investment places a heavy financial burden on households. The impossibility of ex post fertility adjustment then deprives some competent children of learning opportunities. In more developed stages, by contrast, family size locked into smaller levels facilitates education investment even in some incompetent children. A redistributive policy to enhance aggregate human capital and the growth performance is proposed for each stage.","PeriodicalId":330048,"journal":{"name":"Macroeconomics: Aggregative Models eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121309777","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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