{"title":"Comment","authors":"Lucrezia Reichlin","doi":"10.1086/658320","DOIUrl":"https://doi.org/10.1086/658320","url":null,"abstract":"The objective of the paper by Aruoba et al. is to construct an index of the global business cycle, more precisely, an index tracking the cycle of Group of 7 countries. The index is computed using GDP data, which are available at a quarterly frequency, and monthly business cycle indicators. The latter are included for capturing features of the business cycle that are not summarized in the GDP series and to obtain an indicator that is available at a higher frequency than GDP. The econometric model is based on the assumption that the observable series have a factor structure representing global and countryspecific comovements across series. The model is estimated in two steps: first, for each country separately, the authors extract a common (country) factor; second, they extract the global factor by estimating a factor model on the country factors extracted in the previous step. Following standard practice, the model is written in its state space form, and the Kalman filter is used to handle the mixed-frequency data problem. The global index is defined as the estimated common factor obtained in the second step. Another exercise proposed by the paper is to use the same approach for each single country in order to extract, for each model, the seven national factors and then study the relation between the latter and the global index. Empirically, the results of the paper are not surprising. The factors are generally highly correlated with GDP. The description of depth and length of various recessions as well as the declining volatility of the cycle are well-known facts that do not require more than eyeballing econometrics to be identified. However, there are also some puzzles. For example, what is the interpretation of the fact that the U.S. country factors","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129989397","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":"Comment","authors":"Jeffrey A. Frankel","doi":"10.1086/658323","DOIUrl":"https://doi.org/10.1086/658323","url":null,"abstract":"This study, motivated by the financial crisis that began in 2007, is an impressive, comprehensive statistical analysis of the time series of major financial variables: credit, stock prices, and real estate prices. The database includes 21 advanced countries over five decades: 1960:1–2009:4. It yields more than 470 financial cycles. The large database is the big strength of the paper, although the high number of cycles (almost one every other country-year, in a sense) is an early warning that the authors may be working at an excessively high frequency. The topic and the approach are each emblematic of important megathemes. First, the topic of financial cycles. For half a century, we monetary economists have focused overwhelmingly on the inflation/ disinflation cycle. If we said that monetary policy was too easy at some point, we were thinking of the dangers of inflation. If recessions resulted frommonetary tightening, the motive was disinflation. I believe that the result of the global financial crisis will be a paradigm shift in macroeconomics, under which financial cycles will be granted as much importance as the inflation/disinflation cycle. Of course nothing is new under the sun: scribblers of the past gave us bubbles and panics (Kindleberger), the credit cycle (von Hayek), the crash (Minsky), and debt deflation (Irving Fisher), not to mention characterizations of financial markets such as casinos or beauty contests (the Keynes of the General Theory). The second megatheme is the importance of casting the data net wide with respect to time and with respect to countries. Even before the financial crisis, we were learning the importance of big data sets, welcoming the economic historians with their long time series and the econometricians with their panel study techniques. But the crisis has demonstrated the importance of a wide net for all to see. It is the reason for the great success of the recent book by Carmen Reinhart and Ken Rogoff (2009).","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126473144","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":"Comment","authors":"Veronica Guerrieri","doi":"10.1086/658317","DOIUrl":"https://doi.org/10.1086/658317","url":null,"abstract":"Aclassic theme inmonetary economics is the crucial role of the credibility of central banks for the effectiveness of monetary policy. This raises two important questions. First, can we measure the evolution of the credibility of a central bank? Second, how can a central bank establish credibility? Goldberg and Klein propose a novel empirical analysis to test the evolution in credibility of the European Central Bank (ECB) between January 1999 and mid-2005. The nice feature of their work is that they use market responses to elicit information about the ECB credibility. Their main conclusion is that over this time period, the credibility of the ECB has increased whereas the credibility of the Federal Reserve Bank has been relatively stable. Moreover, looking at the history of policies implemented by the ECB in the same time period, they argue that the ECB credibility increase was linked to its policy actions. First, they present a standard New Keynesian model, following Gürkaynak, Sack, and Swanson (2005), to analyze the effect of an increase in the central bank’s credibility on the response of the yield curve to news. Then, they use high-frequency asset price data to test the time variation in the response of European and American yield curves to inflation news. In particular, they focus on term spreads between 10-year and 2-year interest rates for German, French, Italian, and U.S. government bonds and on the euro-dollar exchange rate. They look at the change in these term spreads and in the exchange rate 30 minutes before and after each monthly release of the U.S. core consumer price index (CPI). The news component is defined as the difference between the actual release value and the markets’ prior expectation of this release. Owing to data restrictions, the authors cannot use inflation news for each specific country, but they argue that the U.S. core CPI also contains news about inflation in euro area countries.","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133303230","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":"Comment","authors":"H. Kotz","doi":"10.1086/658315","DOIUrl":"https://doi.org/10.1086/658315","url":null,"abstract":"The financial crisis hit European economies differentially. On impact, the shock was mediated by the varying structural characteristics of Euroland’s financial markets. While rules and regulations are the prerogative of the EU level, thus largely harmonized, financial systems still show a significant variety, bearing distinctive national traits. The secondround impact was about repercussions in the real economy. Here, again, the asymmetric response reflected substantial differences in the sectoral composition of European Monetary Union (EMU) member economies. Vulnerable in particular were those sectors that had, on the back of low interest rates, generated capacities (especially in the construction sector), which were (ex post) seen as economically nonviable. In an older vocabulary this would have been called “overaccumulation,” all of this calling for a deep, structural adjustment process, having essentially to do with the supply side. This is, in a broad-brushway, the scenario onwhich Christopher Erceg and Jesper Lindé want to shed light. Presenting a very well-written and convincingly structured paper, which was definitely a pleasure to read, theymake at the same time a policy proposition that flies flatly in the face of at least prevailing European perceptions. Namely, they suggest that bigger countries with a more sustainable debt position should use their “fiscal space” to give their peripheral brethren a helping hand via a strongly discretionary budgetary impulse. In fact, this was an argument also frequently referred to in the debates (and deliberations) in the Group","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114833442","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":"Copyright","authors":"","doi":"10.1086/662325","DOIUrl":"https://doi.org/10.1086/662325","url":null,"abstract":"","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122573602","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}
M. Kose, Stijn Claessens, M. Kose, Marco E. Terrones
{"title":"Financial Cycles: What? How? When?","authors":"M. Kose, Stijn Claessens, M. Kose, Marco E. Terrones","doi":"10.1086/658308","DOIUrl":"https://doi.org/10.1086/658308","url":null,"abstract":"This paper provides a comprehensive analysis of financial cycles using a large database covering 21 advanced countries over the period 1960:1-2007:4. Specifically, we analyze cycles in credit, house prices, and equity prices. We report three main results. First, financial cycles tend to be long and severe, especially those in housing and equity markets. Second, they are highly synchronized within countries, particularly credit and house price cycles. The extent of synchronization of financial cycles across countries is high as well, mainly for credit and equity cycles, and has been increasing over time. Third financial cycles accentuate each other and become magnified, especially during coincident downturns in credit and housing markets. Moreover, globally synchronized downturns tend to be associated with more prolonged and costly episodes, especially for credit and equity cycles. We discuss how these findings can guide future research on various aspects of financial market developments.","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125476359","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":"Fiscal Policy and Interest Rates: The Role of Sovereign Default Risk","authors":"Thomas Laubach","doi":"10.1086/658302","DOIUrl":"https://doi.org/10.1086/658302","url":null,"abstract":"Recent events have highlighted the potential importance of nonlinear efiects of flscal variables (notably debt and deflcits) on interest rates: While in times when government solvency is not a concern the standard crowding-out efiects are of moderate magnitude, in times when default risk becomes an issue the interest rate efiects can become very large. This paper provides new evidence on the magnitude of these efiects. For the case when default risk is not a concern, it uses an arbitrage-free term structure model to estimate the dynamic efiects of flscal policy shocks on interest rates along the entire maturity spectrum. For the case when default risk becomes a concern (thereby violating a central assumption of the term structure model), I present evidence based on EMU government bond spread regressions on time-varying efiects of national flscal policies on spreads as well as the time-varying sensitivity of yield spreads to international risk aversion as a function of the state of flscal policy. JEL classiflcation: E6, H6.","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127825152","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":"Technology-Hours Redux: Tax Changes and the Measurement of Technology Shocks","authors":"Karel Mertens, M. Ravn","doi":"10.1086/658303","DOIUrl":"https://doi.org/10.1086/658303","url":null,"abstract":"A number of empirical studies find that permanent technological improvements give rise to a temporary drop in hours worked. This finding seriously questions the technology-driven business cycle hypothesis. In this paper we argue that it is important to control for permanent changes in taxes, which invalidate the standard long run identifying assumptions for technology shocks and induce low frequency fluctuations in hours worked. Using the narrative data of Romer and Romer (2010), we find that tax shocks have significant long run effects on aggregate hours, output and labor productivity. We also find that, after controlling for tax shocks, permanent shocks to labor productivity generate short run increases in hours worked and are an important source of fluctuations in US output.","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123004399","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}
M. A. Kose, S. B. Aruoba, Marco E. Terrones, Francis X. Diebold
{"title":"Globalization, the Business Cycle, and Macroeconomic Monitoring","authors":"M. A. Kose, S. B. Aruoba, Marco E. Terrones, Francis X. Diebold","doi":"10.1086/658307","DOIUrl":"https://doi.org/10.1086/658307","url":null,"abstract":"We propose and implement a framework for characterizing and monitoring the global business cycle. Our framework utilizes high-frequency data, allows us to account for a potentially large amount of missing observations, and is designed to facilitate the updating of global activity estimates as data are released and revisions become available. We apply the framework to the G-7 countries and study various aspects of national and global business cycles, obtaining three main results. First, our measure of the global business cycle, the common G-7 real activity factor, explains a significant amount of cross-country variation and tracks the major global cyclical events of the past forty years. Second, the common G-7 factor and the idiosyncratic country factors play different roles at different times in shaping national economic activity. Finally, the degree of G-7 business cycle synchronization among country factors has changed over time.","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128023478","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":"Comment","authors":"Nicolas Coeurdacier","doi":"10.1086/648711","DOIUrl":"https://doi.org/10.1086/648711","url":null,"abstract":"","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114951667","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}
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
