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The B.E. Journal of Macroeconomics最新文献

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Financial deepening in a two-sector endogenous growth model with productivity heterogeneity 具有生产率异质性的两部门内生增长模型中的金融深化
The B.E. Journal of Macroeconomics Pub Date : 2019-05-28 DOI: 10.1515/bejm-2019-0039
Q. Nguyen
{"title":"Financial deepening in a two-sector endogenous growth model with productivity heterogeneity","authors":"Q. Nguyen","doi":"10.1515/bejm-2019-0039","DOIUrl":"https://doi.org/10.1515/bejm-2019-0039","url":null,"abstract":"Abstract This paper studies the effects of financial deepening and fiscal policy on human capital formation, working hours and growth in a model with financial frictions and productivity heterogeneity. The paper first shows that in the range of capital tax rates that attains a balanced growth path, taxation exerts inverted U-shaped effects on growth. The paper then analytically derives and shows that the growth maximizing tax rate and the corresponding growth are increasing concave functions of the financial deepening level. Finally, it is shown that theoretical predictions of the model are in line with data from OECD countries.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132689964","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
Uncertainty, Financial Markets, and Monetary Policy over the Last Century 上个世纪的不确定性、金融市场和货币政策
The B.E. Journal of Macroeconomics Pub Date : 2019-04-30 DOI: 10.2139/ssrn.3386824
Sangyup Choi, Chansik Yoon
{"title":"Uncertainty, Financial Markets, and Monetary Policy over the Last Century","authors":"Sangyup Choi, Chansik Yoon","doi":"10.2139/ssrn.3386824","DOIUrl":"https://doi.org/10.2139/ssrn.3386824","url":null,"abstract":"Abstract What has been the effect of uncertainty shocks in the U.S. economy over the last century? What are the roles of the financial channel and monetary policy channel in propagating uncertainty shocks? Our empirical strategies enable us to distinguish between the effects of uncertainty shocks on key macroeconomic and financial variables transmitted through each channel. A hundred years of data further allow us to answer these questions from a novel historical perspective. This paper finds robust evidence that financial conditions captured by both borrowing costs and the availability of credit have played a crucial role in propagating uncertainty shocks over the last century. However, heightened uncertainty does not necessarily amplify the adverse effect of financial shocks, suggesting an asymmetric interaction between uncertainty and financial shocks. Interestingly, the monetary policy stance seems to play only a minor role in propagating uncertainty shocks, which is in sharp contrast to the recent claim that binding zero-lower-bound amplifies the negative effect of uncertainty shocks. We argue that the contribution of constrained monetary policy to amplifying uncertainty shocks is largely masked by the joint concurrence of binding zero-lower-bound and tightened financial conditions.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123902736","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
What does a relative price of investment wedge reveal about the role of investment-specific technology? 投资楔形的相对价格揭示了投资专用技术的作用?
The B.E. Journal of Macroeconomics Pub Date : 2019-04-17 DOI: 10.1515/bejm-2018-0177
Joël Wagner
{"title":"What does a relative price of investment wedge reveal about the role of investment-specific technology?","authors":"Joël Wagner","doi":"10.1515/bejm-2018-0177","DOIUrl":"https://doi.org/10.1515/bejm-2018-0177","url":null,"abstract":"Abstract In order to identify investment-specific technology (IST), most DSGE models assume a perfect inverse relationship between IST and the relative price of investment (RPI). This paper explores this relationship and provides evidence that the RPI also responds to changes in market power, which I find constitutes a third of volatility in the RPI. To corroborate this conclusion, two competing models are produced; the first is a two-sector model with a wedge separating the identification of IST with the inverse of the RPI. The RPI wedge is then estimated using Bayesian estimation techniques. A second, richer two-sector model is produced, where firms can vary markups depending on the number of competitors. This paper finds that changes in relative markups are highly correlated with the RPI wedge and help explain the sudden increase in the RPI following the Great Recession in the United States. In addition, with endogenous price markups, non-IST shocks can explain over a third of the volatility observed in the RPI, with marginal efficiency of investment contributing approximately 30 percent of the volatility in the RPI.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"142 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123278692","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 effects of monetary policy on input inventories 货币政策对投入库存的影响
The B.E. Journal of Macroeconomics Pub Date : 2019-04-08 DOI: 10.1515/bejm-2017-0251
Tiantian Dai, Xiangbo Liu, Wei Sun
{"title":"The effects of monetary policy on input inventories","authors":"Tiantian Dai, Xiangbo Liu, Wei Sun","doi":"10.1515/bejm-2017-0251","DOIUrl":"https://doi.org/10.1515/bejm-2017-0251","url":null,"abstract":"Abstract This paper explores both the long-run and short-run effects of monetary policy on input inventories in a search model with monetary propagation and two-stage production. Inventories arise endogenously due to search frictions. In the long run, we analytically show that an increase in the money growth rate has hump-shaped real effects on steady-state input inventory investment, input inventory-to-sales ratio as well as sales. These effects are driven by both the extensive and intensive margins in the finished goods market. We then calibrate the model to the US data to study the short-run effects of monetary policy. We first show that our model can reproduce the stylized facts of input inventories quite well and then find that input inventories amplify aggregate fluctuations over business cycles.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127177736","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 macroeconomic impact of shocks to bank capital buffers in the Euro Area 冲击对欧元区银行资本缓冲的宏观经济影响
The B.E. Journal of Macroeconomics Pub Date : 2019-04-05 DOI: 10.1515/bejm-2018-0009
Derrick Kanngiesser, Reiner Martin, L. Maurin, Diego Moccero
{"title":"The macroeconomic impact of shocks to bank capital buffers in the Euro Area","authors":"Derrick Kanngiesser, Reiner Martin, L. Maurin, Diego Moccero","doi":"10.1515/bejm-2018-0009","DOIUrl":"https://doi.org/10.1515/bejm-2018-0009","url":null,"abstract":"Abstract While the global financial crisis revealed a need for macroprudential policy tools to mitigate the build-up of risk in the financial system, the impact of such policies on the banking sector and the macroeconomy remains largely uncertain. We contribute to the empirical literature that estimates the impact of shocks to bank capital buffers on bank lending and the macroeconomy by estimating a Bayesian VAR model identified with sign restrictions. We use bank-level data for large euro area listed banks to construct an aggregate bank capital buffer for the euro area, which is included as another variable in the model. We estimate three shocks affecting the euro area economy, namely a demand shock, a monetary policy shock and a shock to bank capital buffers. We find that banks curtail lending and reduce their relative exposure to riskier assets in response to a shock to the bank capital buffer. Historical shock decomposition analysis shows that shocks to bank capital buffers have contributed to impair bank lending growth and to widen bank lending spreads, hence depressing economic activity.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123350635","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
Should individuals migrate before acquiring education or after? A new model of Brain Waste vs. Brain Drain 个人应该在接受教育之前还是之后移民?人才浪费与人才流失的新模式
The B.E. Journal of Macroeconomics Pub Date : 2019-03-26 DOI: 10.1515/bejm-2019-0015
Elise S. Brezis
{"title":"Should individuals migrate before acquiring education or after? A new model of Brain Waste vs. Brain Drain","authors":"Elise S. Brezis","doi":"10.1515/bejm-2019-0015","DOIUrl":"https://doi.org/10.1515/bejm-2019-0015","url":null,"abstract":"Abstract Should individuals migrate before acquiring education or after? In order to analyze the optimality of the timing of migration, I develop a model of migration, which combines the two migration decisions into a unique model – the decisions about where to get an education and about where to work. The main reason for having a unified model is that investment in human capital cannot be disjoined from the decision about work. This paper shows that brain drain is usually an optimal solution. But, when we incorporate “brain waste” and “return migration”, then it is optimal to migrate when young.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125791270","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
Household borrowing constraints and monetary policy in emerging economies 新兴经济体的家庭借贷限制和货币政策
The B.E. Journal of Macroeconomics Pub Date : 2019-02-11 DOI: 10.1515/bejm-2017-0121
G. Arruda, D. C. D. Lima, V. Teles
{"title":"Household borrowing constraints and monetary policy in emerging economies","authors":"G. Arruda, D. C. D. Lima, V. Teles","doi":"10.1515/bejm-2017-0121","DOIUrl":"https://doi.org/10.1515/bejm-2017-0121","url":null,"abstract":"Abstract Credit markets in emerging economies can be distinguished from those in advanced economies in many respects, including the collateral required for households to borrow. This work proposes a DSGE framework to analyze one peculiarity that characterizes the credit markets of some emerging markets: payroll-deducted personal loans. We add the possibility for households to contract long-term debt and compare two different types of credit constraints with one another, one based on housing and the other based on future income. We estimate the model for Brazil using a Bayesian technique. The model is able to solve a puzzle of the Brazilian economy: responses to monetary shocks at first appear to be strong but dissipate quickly. This occurs because income – and the amount available for loans – responds more rapidly to monetary shocks than housing prices. To smooth consumption, agents (borrowers) compensate for lower income and for borrowing by working more hours to repay loans and erase debt in a shorter time. Therefore, in addition to the income and substitution effects, workers consider the effects on their credit constraints when deciding how much labor to supply, which becomes an additional channel through which financial frictions affect the economy.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122016306","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
Is risk shock a key factor driving business cycles in China? 风险冲击是驱动中国经济周期的关键因素吗?
The B.E. Journal of Macroeconomics Pub Date : 2019-01-28 DOI: 10.1515/bejm-2017-0010
Zhe Li, Shuixing Luo
{"title":"Is risk shock a key factor driving business cycles in China?","authors":"Zhe Li, Shuixing Luo","doi":"10.1515/bejm-2017-0010","DOIUrl":"https://doi.org/10.1515/bejm-2017-0010","url":null,"abstract":"Abstract This paper studies the impact of risk shock on the Chinese economy using a New-Keynesian model with financial frictions. The study shows that risk shock is an important driving force for the fluctuations of GDP, investment, capital, credit, and credit spread in China. However, the role of risk shock in driving China’s business cycles is not as crucial as in the US economy (see Christiano, Motto, and Rostagno 2014). There are three main reasons that explain the different performance of risk shocks in China and the US: the volatility of risk shock, the effect of equity shock, and the influence of macroeconomic policies are all different in China and in the US. Our paper contributes to an understanding of the business cycles in China during the period from 1999 to 2015, particularly in comparison with business cycles in the US.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132009485","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
Redistributive policies and technology diffusion 再分配政策和技术扩散
The B.E. Journal of Macroeconomics Pub Date : 2019-01-28 DOI: 10.1515/bejm-2017-0227
Manuela Magalhães, T. Sequeira
{"title":"Redistributive policies and technology diffusion","authors":"Manuela Magalhães, T. Sequeira","doi":"10.1515/bejm-2017-0227","DOIUrl":"https://doi.org/10.1515/bejm-2017-0227","url":null,"abstract":"Abstract In this paper we examine the effects of redistributive policies in a transition economy in the presence of technology diffusion on labor and education decisions, and skill-premium. We set a micro-founded dynamic general equilibrium model with a skill-biased technology diffusion, elastic leisure/labor decisions, and investments in education. The economy is populated by two types of households – skilled and unskilled, which become skilled through investments in education. We highlight the importance of the general equilibrium effects of redistributive policies over the leisure/labor and education decisions and wages. Lump-sum transfers reduce investments in education, raising the share of unskilled individuals, decreasing their wage and, raising the skill-premium. Education subsidies raise investments in education, the skills supply, and unskilled wages and reduce the skill-premium during the slowdown of the technology diffusion.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123124537","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 role of IPRs on prices, wages and growth in a two country directed technical change model 在两国导向的技术变革模型中，知识产权对价格、工资和增长的作用
The B.E. Journal of Macroeconomics Pub Date : 2019-01-28 DOI: 10.1515/bejm-2017-0070
Óscar Afonso
{"title":"The role of IPRs on prices, wages and growth in a two country directed technical change model","authors":"Óscar Afonso","doi":"10.1515/bejm-2017-0070","DOIUrl":"https://doi.org/10.1515/bejm-2017-0070","url":null,"abstract":"Abstract We develop a two country, Innovator and Follower, directed technical change model between tradable and nontradable sectors. The Innovator performs innovative R&D. The Follower imitates, in a pre-trade context, and adopts, in a trade scenario, the available technological knowledge. We start by considering the pre-trade context and then we analyze the trade scenario. In both regimes – imitation and adoption – and in BGP, international IPRs protection, R&D productivity, scale-effects intensity and substitutability between sectors determine the stable and unique worldwide economic growth rate and the technological-knowledge bias, which, in turn, affects relative prices and wages. Depending on IPRs protection, imitation and adoption can either amplify or slow down the technological-knowledge bias and thus the real exchange rate, the wage inequality and the worldwide growth rate. For example, under technological-knowledge adoption with positive international IPRs protection and substitutability, wages tend to be higher in the Innovator, technological knowledge and intra-country wage inequality are biased towards the tradable sector, and the real exchange rate accommodates the Balassa-Samuelson proposal.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122322078","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
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