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Monetary Policy and the Maturity Structure of Public Debt 货币政策与国债期限结构
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-09-10 DOI: 10.2139/ssrn.3921429
Michele Andreolli
{"title":"Monetary Policy and the Maturity Structure of Public Debt","authors":"Michele Andreolli","doi":"10.2139/ssrn.3921429","DOIUrl":"https://doi.org/10.2139/ssrn.3921429","url":null,"abstract":"This paper studies the mediating impact of the maturity of public debt in the transmission of monetary policy shocks to economic activity. A longer debt maturity attenuates greatly the effect of monetary policy: going from the average historical duration of US debt to very short term debt doubles the impact of a rise of the policy rate on output. A similar result holds in UK data. Using data on corporate debt, spreads, investment, and fiscal variables, I show that these effects can be traced back to a quantitatively important financing channel. A model featuring an interaction between an empirically estimated primary market friction and a standard financial accelerator is able to account for these facts.","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132746931","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
Measuring Fiscal Vulnerability and Fiscal Stress via Fiscal Fragility Index 用财政脆弱性指数衡量财政脆弱性和财政压力
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-09-08 DOI: 10.2139/ssrn.3919396
Yusuf Yildirim
{"title":"Measuring Fiscal Vulnerability and Fiscal Stress via Fiscal Fragility Index","authors":"Yusuf Yildirim","doi":"10.2139/ssrn.3919396","DOIUrl":"https://doi.org/10.2139/ssrn.3919396","url":null,"abstract":"In Turkey, particularly since the 1990s, unavoidable increases have begun to emerge in the debt burden and the public sector borrowing requirement. This situation has been a significant factor in the occurrence of the economic crisis. The 1994 and 2001 economic crises in the country after 1990 caused an increase in the public debt burden. The measures taken against these two crises and the stabilization measures implemented were primarily unsuccessful. Therefore, the early recognition of crises and increasing predictability of fiscal fragilities are crucial issue in order to minimize the negative effects of crises. In this context, \"public sector financial fragility index\" which gives early warning signals of financial sustainability problems for Turkey's economy has been developed by using the latest method which is called \"composite indicator of systemic risk \".","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134115829","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
Supply and Demand Trends of World Gold Reserves 世界黄金储备供求趋势
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-09-06 DOI: 10.2139/ssrn.3918424
D. Amutha, Muthu Maha Laxmi
{"title":"Supply and Demand Trends of World Gold Reserves","authors":"D. Amutha, Muthu Maha Laxmi","doi":"10.2139/ssrn.3918424","DOIUrl":"https://doi.org/10.2139/ssrn.3918424","url":null,"abstract":"Gold is a deliberate metal whose monetary history has been important across the globe. In this case, the gold-exchange system served as a means of limiting inflation and providing currency stability. India and China have emerged as huge and crucial markets, and as a result, the global market for gold has undergone a fundamental and profound change. This paper provides insight into the growth and demand and supply of gold worldwide. The study's main objectives are: 1. To discover how much official gold World government possesses 2. An endeavour to understand the demand and supply of gold by studying the global market 3. The aim of this study is to explore the evolution of Indian jewellery production. 4. To study the growth and behaviour of global gold reserves and the growth and behaviour of global gold demand and supply. This is an empirical study. Co-efficient of variation, percentage method, linear trend, and compound growth rate are statistical tools that are used. Secondary data collected from books, newspapers, journals, the internet, and recordings is all considered secondary. Because it was found that the two trend coefficients were statistically significant at the 5% level, it has been assumed that the trend in the two components is upward. The annual growth rate of the world gold reserves, global demand, and global supply of gold is 6.83% and 8.42%, respectively. Growth in global demand and supply of gold was found to be greater than in the world's gold reserves. In terms of the compound growth rates, world gold reserves are increasing at 0.84% per year, while global demand and supply of gold are both increasing at 8.91% per year. It is important to concentrate on the question of whether gold is a significant asset in India in terms of ongoing research.","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124809715","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
Generalizing Determinacy under Monetary and Fiscal Policy Switches: The Case of the Zero Lower Bound 货币和财政政策转换下的广义确定性:零下限的情况
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-09-01 DOI: 10.2139/ssrn.3447189
Seonghoon Cho, Antonio Moreno
{"title":"Generalizing Determinacy under Monetary and Fiscal Policy Switches: The Case of the Zero Lower Bound","authors":"Seonghoon Cho, Antonio Moreno","doi":"10.2139/ssrn.3447189","DOIUrl":"https://doi.org/10.2139/ssrn.3447189","url":null,"abstract":"In a fixed-regime setting, it is known since Leeper (1991) that both monetary dominance (mix of active monetary and passive fiscal policies) and fiscal dominance (mix of active fiscal and passive monetary policies) regimes yield a determinate unique equilibrium. This paper shows that in a regime-switching context, switches from monetary dominance to fiscal dominance regimes (and vice-versa) render the overall economy indeterminate for standard parameter values. We apply our results to the important case of the exit from the zero lower bound (ZLB), where monetary policy is inherently passive. Contrary to the fixed regime prediction, the economy switching between the ZLB in a fiscally led regime and a monetary dominance regime is robustly indeterminate, making the coordination of agents' beliefs hard because both monetary and fiscal policies are overall strongly passive.","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"228 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122151140","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
The Dynamics of Investors’ Reactions to Informal Central Bank Communications 投资者对央行非正式沟通的反应动态
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-08-26 DOI: 10.2139/ssrn.3912061
G. Galloppo, S. Caiazza, Franco Fiordelisi, Ornella Ricci, Manfred K. Kremer
{"title":"The Dynamics of Investors’ Reactions to Informal Central Bank Communications","authors":"G. Galloppo, S. Caiazza, Franco Fiordelisi, Ornella Ricci, Manfred K. Kremer","doi":"10.2139/ssrn.3912061","DOIUrl":"https://doi.org/10.2139/ssrn.3912061","url":null,"abstract":"Central bank informal communications became more frequent and acquired more mass media attention after the global financial crisis. Do investors react to the content (e.g., future expansionary or restrictive policy) of informal central bank communications? And especially, do investors have a memory of past “similar” speeches? Focusing on informal Central Bank communications in the United States, we show that speeches with an expansionary content positively influence cumulative abnormal stock returns. However, this effect is lower when there is more intense past informal communication with the same expansionary tone. This weakening effect is stronger when the previous expansionary speech is further back in time, suggesting a lack-of-confidence in the monetary policy’s effectiveness (skepticism hypothesis).","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130371970","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
Incorporating Diagnostic Expectations into the New Keynesian Framework 将诊断性预期纳入新凯恩斯主义框架
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-08-23 DOI: 10.2139/ssrn.3910318
Jean-Paul L’Huillier, Sanjay R. Singh, Donghoon Yoo
{"title":"Incorporating Diagnostic Expectations into the New Keynesian Framework","authors":"Jean-Paul L’Huillier, Sanjay R. Singh, Donghoon Yoo","doi":"10.2139/ssrn.3910318","DOIUrl":"https://doi.org/10.2139/ssrn.3910318","url":null,"abstract":"Diagnostic expectations constitute a realistic behavioral model of inference. This paper shows that this approach to expectation formation can be productively integrated into the New Keynesian framework. Diagnostic expectations generate endogenous extrapolation in general equilibrium. We show that diagnostic expectations generate extra amplification in the presence of nominal frictions; a fall in aggregate supply generates a Keynesian recession; fiscal policy is more effective at stimulating the economy. We perform Bayesian estimation of a rich medium-scale model that incorporates consensus forecast data. Our estimate of the diagnosticity parameter is in line with previous studies. Moreover, we find empirical evidence in favor of the diagnostic model. Diagnostic expectations offer new propagation mechanisms to explain fluctuations.","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132346132","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
Monetary Policy Interactions: The Policy Rate, Asset Purchases, and Optimal Policy with an Interest Rate Peg 货币政策的相互作用:政策利率、资产购买和利率挂钩下的最优政策
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-08-06 DOI: 10.2139/ssrn.3900745
Isabel Gödl-Hanisch, Ronald R. Mau, J. Rawls
{"title":"Monetary Policy Interactions: The Policy Rate, Asset Purchases, and Optimal Policy with an Interest Rate Peg","authors":"Isabel Gödl-Hanisch, Ronald R. Mau, J. Rawls","doi":"10.2139/ssrn.3900745","DOIUrl":"https://doi.org/10.2139/ssrn.3900745","url":null,"abstract":"We consider a New Keynesian model with a variable term premium and scope for central bank asset purchases to matter. Current and future asset purchase policies have varying effects on output. We derive an analytic expression for the central bank's loss function, which directly penalizes term premium fluctuations. We then analyze optimal monetary policy. A version of the Divine Coincidence holds with both the short-term rate and balance sheet as available tools. In response to credit market shocks, the balance sheet neutralizes them, and the policy rate is unchanged. In response to natural rate shocks, both the policy rate and balance sheet react, moving opposite. The balance sheet expands as the policy rate falls, or vice versa. Active balance sheet management can support a determinate rational expectations equilibrium even under a permanent interest rate peg. We explore the costs of fixing either the policy rate or the balance sheet.","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121686974","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
Optimal Fiscal Policy in a Model with Uninsurable Idiosyncratic Income Risk 不可保险特殊收益风险模型下的最优财政政策
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-08-05 DOI: 10.2139/ssrn.3289306
S. Dyrda, Marcelo Pedroni
{"title":"Optimal Fiscal Policy in a Model with Uninsurable Idiosyncratic Income Risk","authors":"S. Dyrda, Marcelo Pedroni","doi":"10.2139/ssrn.3289306","DOIUrl":"https://doi.org/10.2139/ssrn.3289306","url":null,"abstract":"\u0000 We study optimal fiscal policy in a standard incomplete-markets model with uninsurable idiosyncratic income risk, where a Ramsey planner chooses time-varying paths of proportional capital and labor income taxes, lump-sum transfers (or taxes), and government debt. We find that: (1) short-run capital income taxes are effective in providing redistribution since the tax base is relatively unequal and inelastic; (2) an increasing pattern of labor income taxes over time mitigates intertemporal distortions from capital income taxes; (3) the optimal policy increases overall transfers, calibrated initially to the US welfare system, by roughly 50 percent; (4) two-thirds of the welfare gains come from redistribution and the remaining third come mostly from insurance; and (5) redistribution also leads to a more efficient allocation of labor via wealth effects on labor supply—lower productivity households can afford to work relatively less.","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117240250","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: 4
Climate Actions, Market Beliefs, and Monetary Policy 气候行动、市场信念和货币政策
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3895754
Barbara Annicchiarico, F. Di Dio, Francesca Diluiso
{"title":"Climate Actions, Market Beliefs, and Monetary Policy","authors":"Barbara Annicchiarico, F. Di Dio, Francesca Diluiso","doi":"10.2139/ssrn.3895754","DOIUrl":"https://doi.org/10.2139/ssrn.3895754","url":null,"abstract":"This paper studies the role of expectations and monetary policy in shaping the response of the economy to climate actions. We show that in a stochastic environment and without the standard assumption of perfect rationality of agents, there is more uncertainty regarding the time-path and the impact of a climate policy on the economy. The state of the economy and market beliefs determine the effectiveness of a mitigation plan implemented through carbon pricing. Climate actions may be frustrated by the presence of agents lacking the cognitive abilities necessary to form rational expectations. Monetary policy may reduce the uncertainty surrounding the impact of climate policies and may support the greening process.","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133510097","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: 4
Impulse-Based Computation of Policy Counterfactuals 基于脉冲的政策反事实计算
ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic) Pub Date : 2021-07-01 DOI: 10.17016/FEDS.2021.042
J. Hebden, Fabian Winkler
{"title":"Impulse-Based Computation of Policy Counterfactuals","authors":"J. Hebden, Fabian Winkler","doi":"10.17016/FEDS.2021.042","DOIUrl":"https://doi.org/10.17016/FEDS.2021.042","url":null,"abstract":"We propose an efficient procedure to solve for policy counterfactuals in linear models with occasionally binding constraints. The procedure does not require knowledge of the structural or reduced-form equations of the model, its state variables, or its shock processes. Forecasts of the variables entering the policy problem, and impulse response functions of these variables to anticipated policy shocks under an arbitrary policy, constitute sufficient information to construct valid counterfactuals. We show how to compute solutions for instrument rules and optimal discretionary and commitment policies with multiple policy instruments, and discuss various extensions, including imperfect information, asymmetric objectives, and limited commitment. Our procedure facilitates the comparison of the effects of policy regimes across models. As an application, we compute counterfactual paths of the U.S. economy around 2015 for several monetary policy regimes.","PeriodicalId":382093,"journal":{"name":"ERN: Other Macroeconomics: Monetary & Fiscal Policies (Topic)","volume":"10 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":"124779419","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
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