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The New Keynesian Phillips Curve and Imperfect Exchange Rate Pass-Through 新凯恩斯菲利普斯曲线与不完全汇率传递
The B.E. Journal of Macroeconomics Pub Date : 2022-12-02 DOI: 10.1515/bejm-2022-0032
Syed Kanwar Abbas
{"title":"The New Keynesian Phillips Curve and Imperfect Exchange Rate Pass-Through","authors":"Syed Kanwar Abbas","doi":"10.1515/bejm-2022-0032","DOIUrl":"https://doi.org/10.1515/bejm-2022-0032","url":null,"abstract":"Abstract This paper estimates the New Keynesian Phillips Curve (NKPC) with imperfect exchange rate pass-through (alternatively, deviations from the law of one price). Our results describe the nature of inflation dynamics and business cycles under imperfect pass-through, with importance of both domestic price rigidity and import price rigidity for the US and other four open economies. The estimates of structural parameters of the import price and domestic price rigidities are not same and affect inflation-output gap elasticity and inflation-law of one price gap elasticity. The results yield implications for the stabilisation of real activity (also domestic inflation) compared to the deviations from the law of one price.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130213893","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 Welfare Effects of Social Insurance Reform in the Presence of Intergenerational Transfers 代际转移存在下社会保险改革的福利效应
The B.E. Journal of Macroeconomics Pub Date : 2022-11-18 DOI: 10.2139/ssrn.3890572
Jingjing Xu
{"title":"The Welfare Effects of Social Insurance Reform in the Presence of Intergenerational Transfers","authors":"Jingjing Xu","doi":"10.2139/ssrn.3890572","DOIUrl":"https://doi.org/10.2139/ssrn.3890572","url":null,"abstract":"Abstract Family support in the form of intergenerational transfers could serve as a substitute for the public transfer system, especially when the public safety net is weak. These intergenerational transfers could be impacted by changes in public insurance. Conversely, induced changes in family transfers could also impact the effectiveness of a public insurance program. What is the impact of social insurance reform on household welfare in the context of intergenerational transfers? This paper investigates this question by using an overlapping generations general equilibrium model where parents and their children are linked by intergenerational transfers. In the model, individuals differ in earnings ability and face idiosyncratic uninsurable income risk, health risk, and mortality risk. This paper calibrates the model to key features in the urban Chinese economy. Using this calibrated model, this paper finds that households on average experience a welfare gain from an increase in the social insurance benefits but that this effect differs across households conditional on their economic status. This paper then provides a decomposition of these welfare changes into three channels: a direct policy channel, an intergenerational-transfers channel, and a general equilibrium channel.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131802207","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
Intergenerational Linkages, Uncertain Lifetime and Educational and Health Expenditures 代际联系、不确定的寿命以及教育和卫生支出
The B.E. Journal of Macroeconomics Pub Date : 2022-11-17 DOI: 10.1515/bejm-2021-0095
S. Gamlath, Radhika Lahiri
{"title":"Intergenerational Linkages, Uncertain Lifetime and Educational and Health Expenditures","authors":"S. Gamlath, Radhika Lahiri","doi":"10.1515/bejm-2021-0095","DOIUrl":"https://doi.org/10.1515/bejm-2021-0095","url":null,"abstract":"Abstract Empirical evidence suggests a positive correlation between health and educational outcomes at the aggregate level. However, both inter and intra-country data suggest that these variables may not always be monotonically increasing in income, pointing towards household income as a possible mitigating factor in the relationship between health and education expenditures and outcomes. We develop an overlapping generations model where agents spend their childhood studying, undertake expenditures to educate their offspring and health expenditures to improve their own longevity in adult age, and spend old age in retirement. Our model is characterised by two equilibria. In one equilibrium, longevity enhancing health expenditure is an inferior good, resulting in agents substituting health expenditures in favour of education expenditures on offspring as their income increases. In the other equilibrium, health expenditure is a normal good, but for incomes below a certain level, an increase in income causes agents to raise health expenditures whilst lowering education expenditures on offspring, while for incomes above this level all expenditures are increasing in income. These results suggest that the relationship between parental longevity and offspring’s human capital depends on income and whether agents consider longevity enhancing health expenditure to be an inferior or normal good. Dynamics of the model show that the economy could either achieve unbounded growth or converge towards a lower bound of income in the long run.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115529115","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
Forward Guidance Effectiveness in a New Keynesian Model with Housing Frictions 考虑住房摩擦的新凯恩斯模型的前瞻指导有效性
The B.E. Journal of Macroeconomics Pub Date : 2022-11-09 DOI: 10.1515/bejm-2021-0197
Stephen J. Cole, Sungjun Huh
{"title":"Forward Guidance Effectiveness in a New Keynesian Model with Housing Frictions","authors":"Stephen J. Cole, Sungjun Huh","doi":"10.1515/bejm-2021-0197","DOIUrl":"https://doi.org/10.1515/bejm-2021-0197","url":null,"abstract":"Abstract Housing markets are closely related to monetary policy. This paper studies the link between housing frictions and the effectiveness of forward guidance. A housing collateral constraint and forward guidance shocks are incorporated into a standard medium-scale New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model. Our main results produce a number of important implications. First, financial frictions emanating from the housing market dampen the effectiveness of forward guidance on the economy. Second, forward guidance shocks generate welfare gains, though the magnitude of these gains declines when housing frictions increase. Housing frictions also attenuate the effect of forward guidance at the zero lower bound. Finally, this article provides a solution to “forward guidance puzzle” of Del Negro, M., M. P. Giannoni, and C. Patterson (2012. “The Forward Guidance Puzzle.” In FRB of New York Staff Report, 574). Thus, policymakers should consider housing frictions when examining the effects of forward guidance on the economy.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132572582","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
News-Driven Housing Booms: Spain Versus Germany 新闻驱动的房地产繁荣:西班牙与德国
The B.E. Journal of Macroeconomics Pub Date : 2022-10-18 DOI: 10.1515/bejm-2021-0116
Laurentiu Guinea, L. Puch, J. Ruiz
{"title":"News-Driven Housing Booms: Spain Versus Germany","authors":"Laurentiu Guinea, L. Puch, J. Ruiz","doi":"10.1515/bejm-2021-0116","DOIUrl":"https://doi.org/10.1515/bejm-2021-0116","url":null,"abstract":"Abstract We investigate how the economy responds to anticipated (news) shocks to future investment decisions. Using structural vector autoregressions (SVARs), we show that news about the future relative price of residential investment explains a high fraction of the variance of output, aggregate investment and residential investment for Spain. In contrast, for Germany it is the news shocks on business structures and equipment that explain a higher fraction of the variance of output, consumption and non-residential investment. We confront the identified shock with other shocks to provide evidence that our structural interpretation is valid. Then, to address our empirical findings, we propose a stylized two-sector model of the willingness to substitute current consumption for future investment in housing, structures or equipment. The model combines a wealth effect driven by the expectation of rising house prices, with a reduced-form friction in labor reallocation. We find that the model calibrated for Spain displays a response to anticipated house price shocks that stimulate residential investment, whereas for Germany those shocks enhance investment in equipment and structures. The results highlight the propagation mechanism of anticipated shocks to future investment, which is consistent with the housing booms in Spain and their absence in Germany. Such a mechanism complements a view relying on a combination of monetary, financial or housing supply and demand, surprise shocks.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":" 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114053103","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
Housing Taxation and Economic Growth: Analysis of a Balanced-Growth Model with Residential Capital 住房税收与经济增长:一个包含住宅资本的平衡增长模型分析
The B.E. Journal of Macroeconomics Pub Date : 2022-09-29 DOI: 10.1515/bejm-2021-0159
P. Vinson
{"title":"Housing Taxation and Economic Growth: Analysis of a Balanced-Growth Model with Residential Capital","authors":"P. Vinson","doi":"10.1515/bejm-2021-0159","DOIUrl":"https://doi.org/10.1515/bejm-2021-0159","url":null,"abstract":"Abstract Using a neoclassical model with endogenous growth, this study examines the effects of increasing housing taxation and eliminating the mortgage interest tax deduction on economic growth and household welfare in the United States. The optimal tax policy reduces taxation of income in favor of increased taxation of housing and consumption. This policy increases the growth rate by 0.49 percentage points. In addition, simply shifting the tax burden by reducing the tax rates on productive forms of capital toward housing can increase the growth rate up to 0.18 percentage points. This study also find that eliminating the income tax deduction on mortgage interest and lowering income taxes would increase growth by about 0.016 percentage points. Each of these proposed policies improves household welfare.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114393737","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
Sovereign Debt Crisis, Fiscal Consolidation, and Active Central Bankers in a Monetary Union 主权债务危机、财政整顿和货币联盟中活跃的中央银行家
The B.E. Journal of Macroeconomics Pub Date : 2022-09-21 DOI: 10.1515/bejm-2022-0038
Paolo Canofari, Giovanni Di Bartolomeo, M. Messori
{"title":"Sovereign Debt Crisis, Fiscal Consolidation, and Active Central Bankers in a Monetary Union","authors":"Paolo Canofari, Giovanni Di Bartolomeo, M. Messori","doi":"10.1515/bejm-2022-0038","DOIUrl":"https://doi.org/10.1515/bejm-2022-0038","url":null,"abstract":"Abstract This paper examines the impact of exogenous shocks on sovereign debts in an incomplete monetary union. We assume that financial stability is a public good that sovereign debt shocks can undermine in fragile (peripheral) members. Our model shows that, unlike the common misconception, active monetary policies do not induce the peripheral government to relax its fiscal constraints; on the contrary, these policies tend to incentivize fiscal discipline by reducing the cost of balance consolidation. Active monetary policies, in fact, partially reallocate the stabilization costs from the periphery to the core of the union, preserving the common good and facilitating fiscal discipline in the periphery.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129363286","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: 3
Robustly Optimal Monetary Policy in a Behavioral Environment 行为环境下稳健最优货币政策
The B.E. Journal of Macroeconomics Pub Date : 2022-09-13 DOI: 10.2139/ssrn.4011146
Lahcen Bounader, Guido Traficante
{"title":"Robustly Optimal Monetary Policy in a Behavioral Environment","authors":"Lahcen Bounader, Guido Traficante","doi":"10.2139/ssrn.4011146","DOIUrl":"https://doi.org/10.2139/ssrn.4011146","url":null,"abstract":"Abstract This paper studies robustly optimal monetary policy with myopic agents in a behavioral New Keynesian model. The central bank is assumed to have Knightian uncertainty about the degree of myopia and the degree of price stickiness. We show that, under uncertainty about myopia, the Brainard’s attenuation principle holds under commitment and discretion, while, under uncertainty on price stickiness, alone or in addition to myopia, monetary policy becomes more aggressive. Welfare evaluation shows significant gains from a robust conduct of monetary policy when the model is distorted.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"61 10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121837973","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
Population Aging and Convergence of Household Credit 人口老龄化与家庭信贷趋同
The B.E. Journal of Macroeconomics Pub Date : 2022-09-09 DOI: 10.1515/bejm-2022-0048
Can Sever
{"title":"Population Aging and Convergence of Household Credit","authors":"Can Sever","doi":"10.1515/bejm-2022-0048","DOIUrl":"https://doi.org/10.1515/bejm-2022-0048","url":null,"abstract":"Abstract This paper sheds light on the role of population aging in convergence of household credit. Using data from 32 economies over the period of 1995–2015, it shows that household credit tends to converge across countries over time, but aging populations hinder this convergence process. The result is also robust to controlling for various country-specific factors. Focusing on a further breakdown of credit to households, population aging weakens the convergence process in the case of housing loans, while it does not have a pronounced role in convergence of consumer credit. These findings can have implications for macroeconomic and financial policies, given the potential effects of household credit on economic growth and stability.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126281491","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
Filtering Persistent and Asymmetric Cycles 过滤持久和非对称循环
The B.E. Journal of Macroeconomics Pub Date : 2022-08-15 DOI: 10.1515/bejm-2022-0091
Luiggi Donayre
{"title":"Filtering Persistent and Asymmetric Cycles","authors":"Luiggi Donayre","doi":"10.1515/bejm-2022-0091","DOIUrl":"https://doi.org/10.1515/bejm-2022-0091","url":null,"abstract":"Abstract This paper evaluates the ability of the trend-cycle decomposition approach of Hamilton (2018. “Why You Should Never Use the Hodrick-Prescott Filter.” The Review of Economics and Statistics 100 (5): 831–43) to adequately characterize linear and (a)symmetric nonlinear business cycles fluctuations that are known to be persistent. This ability is contrasted to that of the Hodrick–Prescott filter. By means of Monte Carlo simulations, the results indicate that neither filter is able to preserve the cyclical properties of the data-generating process nor reproduce U.S. business cycles features, although this inability is exacerbated for the decomposition of Hamilton (2018. “Why You Should Never Use the Hodrick–Prescott Filter.” The Review of Economics and Statistics 100 (5): 831–43). Based on these findings, caution is called into question when this approach is applied to linear or nonlinear processes that are thought to exhibit persistence.","PeriodicalId":431854,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"110 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131647223","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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