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Innovation Accounting with Incomplete Identification of a Structural VAR – An Application to Exchange Rates 结构VAR不完全识别的创新会计——在汇率上的应用
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2012-09-30 DOI: 10.2139/ssrn.2154775
V. K. Rao
{"title":"Innovation Accounting with Incomplete Identification of a Structural VAR – An Application to Exchange Rates","authors":"V. K. Rao","doi":"10.2139/ssrn.2154775","DOIUrl":"https://doi.org/10.2139/ssrn.2154775","url":null,"abstract":"Two main objectives of Structural Vector AutoRegression (SVAR) modeling are recovering structural shocks from reduced form shocks and Impulse-Response Analysis and Forecast error variance decomposition. As is well known, the first of these is possible only if the number of structural shocks is less than or equal to the number of endogenous VAR variables. The main goal of this paper is to highlight that the second objective can be accomplished even if the number of structural shocks is greater than the number of VAR variables. As an illustration, a bivariate SVAR is developed to relate the joint dynamics of real and nominal exchange rates to three structural shocks, namely, demand, supply and nominal shocks. Variance decomposition results suggest that demand shocks are the dominant source of movements in both the real and nominal exchange rates. However, nominal shocks also appear to play a smaller but still important role. Interestingly, the persistence of exchange rates appears to be related mainly to nominal and supply shocks.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125523669","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
Endogenous Risk in a DSGE Model with Capital-Constrained Financial Intermediaries 资本约束下金融中介机构DSGE模型的内生风险
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2012-09-01 DOI: 10.2139/ssrn.2160875
H. Dewachter, R. Wouters
{"title":"Endogenous Risk in a DSGE Model with Capital-Constrained Financial Intermediaries","authors":"H. Dewachter, R. Wouters","doi":"10.2139/ssrn.2160875","DOIUrl":"https://doi.org/10.2139/ssrn.2160875","url":null,"abstract":"This paper proposes a perturbation-based approach to implement the idea of endogenous financial risk in a standard DSGE macro-model. Recent papers, such as Mendoza (2010), Brunnermeier and Sannikov (2012) and He and Krishnamurthy (2012), that have stimulated the research field on endogenous risk in a macroeconomic context, are based on sophisticated solution methods that are not easily applicable in larger models. We propose an approximation method that allows us to capture some of the basic insights of this literature in a standard macro-model. We are able to identify an important risk-channel that derives from the risk aversion of constrained intermediaries and that contributes significantly to the overall financial and macro volatility. With this procedure, we obtain a consistent and computationally-efficient modelling device that can be used for integrating financial stability concerns within the traditional monetary policy analysis.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"2014 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114452065","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: 72
Credit in Times of Stress: Lessons from Latin America During the Global Financial Crisis 压力时期的信贷:全球金融危机期间拉丁美洲的教训
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2012-09-01 DOI: 10.1111/rode.12144
Carlos Montoro, L. Rojas-Suárez
{"title":"Credit in Times of Stress: Lessons from Latin America During the Global Financial Crisis","authors":"Carlos Montoro, L. Rojas-Suárez","doi":"10.1111/rode.12144","DOIUrl":"https://doi.org/10.1111/rode.12144","url":null,"abstract":"The 2008–2009 global financial crisis disrupted the provision of credit in Latin America less than in previous crises. This paper tests whether specific characteristics at both the bank and country levels at the onset of the global crisis contributed to the behavior of real credit growth in this region during the crisis. As shown, financial soundness characteristics of Latin American banks, such as capitalization, liquidity, and bank efficiency in the pre-crisis period, played a role in explaining the dynamics of real credit during the crisis. We also found that foreign banks and banks that had expanded credit growth more before the crisis were also those that cut credit the most. Among country-specific characteristics, we found evidence that balance sheet measures such as the economy's overall currency mismatches and external debt ratios (measuring either total debt or short-term debt) were key variables in explaining credit growth resilience.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"387 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123515208","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
Aggregate Structural Macroeconomic Modelling: A Reconsideration and Defence 总体结构宏观经济模型:反思与辩护
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2012-08-18 DOI: 10.2139/ssrn.2131750
M. Setterfield, Shyam Gouri Suresh
{"title":"Aggregate Structural Macroeconomic Modelling: A Reconsideration and Defence","authors":"M. Setterfield, Shyam Gouri Suresh","doi":"10.2139/ssrn.2131750","DOIUrl":"https://doi.org/10.2139/ssrn.2131750","url":null,"abstract":"Aggregate structural macroeconomic modelling (ASMM) is frequently criticized for being ad hoc and justified (if at all) only as a pragmatic expedient. This paper argues instead that ASMM is consistent with the principles of well-established bodies of social theory. Appeal to these principles reveals that aggregate-level analysis of the type exemplified by ASMM is likely necessary and (in some circumstances) certainly sufficient for the successful prosecution of macroeconomic enquiry.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127972790","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
The Relative Effectiveness of Monetary and Fiscal Policies on Economic Activity in Zimbabwe (1981:4-1998:3) 'An Error Correction Approach' 津巴布韦货币和财政政策对经济活动的相对有效性(1981:4-1998:3)“一种纠错方法”
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2012-05-10 DOI: 10.2139/ssrn.2701673
Anna Chingarande
{"title":"The Relative Effectiveness of Monetary and Fiscal Policies on Economic Activity in Zimbabwe (1981:4-1998:3) 'An Error Correction Approach'","authors":"Anna Chingarande","doi":"10.2139/ssrn.2701673","DOIUrl":"https://doi.org/10.2139/ssrn.2701673","url":null,"abstract":"This paper examines the impact of monetary and fiscal policies on economic activity in Zimbabwe by employing a modified St Louis equation for the period 1981:4 to 1998:3. The main objective is to determine the relative effectiveness of monetary and fiscal policies on the economic growth process in Zimbabwe using the new econometric techniques of time series, cointegration and error correction approach. Secondary data was collected from various publications like, Government of Zimbabwe (1987): Annual Economic Review of Zimbabwe, Central Statistical Office (1998) National Accounts 1985-97 and Reserve Bank of Zimbabwe (various issues) monthly and quarterly bulletins. Quarterly data was used to make a total of 68 observations. LIMDEP Version 6.0 and PC GIVE Version 8 packages were used for data analysis. The regression results suggest that the monetary influence is relatively stronger and more predictable than fiscal policy in determining economic activity. These results suggest that monetary policy can be relied on as a successful macroeconomic stabilization tool in Zimbabwe. Fiscal policy should be streamlined as it is found to have an insignificant impact on economic activity in Zimbabwe. The impulse dummies which are included in the model in order to reduce the impact of outliers in the scaled residuals were also found to be significant. These impulse dummies are for the period when Zimbabwe experienced severe drought and also a bumper harvest. Exports had an insignificant impact on economic activity.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125551983","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: 13
The Efficiency of Education Spending: Employment-Wise vs Economic Growth (2000–2006) 教育支出的效率:就业与经济增长(2000-2006)
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2011-12-20 DOI: 10.2139/ssrn.1974897
M. Georgiou
{"title":"The Efficiency of Education Spending: Employment-Wise vs Economic Growth (2000–2006)","authors":"M. Georgiou","doi":"10.2139/ssrn.1974897","DOIUrl":"https://doi.org/10.2139/ssrn.1974897","url":null,"abstract":"In the present paper author through an empirical analysis with panel data will estimate the impact of government education spending (all levels of education) on unemployment rate reduction (all levels of training) vs the impact of real GDP growth. It will be pointed out that government education spending always reduces unemployment, while economic growth does so only under certain conditions. The sample covers most European countries during the period (2000–2006). Data are taken from Eurostat. The elaboration of these panel data is made feasible by means of the Eviews software package.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126685321","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
Bank Leverage Regulation and Macroeconomic Dynamic 银行杠杆监管与宏观经济动态
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2011-12-03 DOI: 10.2139/ssrn.1999002
I. Christensen, Césaire Meh, Kevin Moran
{"title":"Bank Leverage Regulation and Macroeconomic Dynamic","authors":"I. Christensen, Césaire Meh, Kevin Moran","doi":"10.2139/ssrn.1999002","DOIUrl":"https://doi.org/10.2139/ssrn.1999002","url":null,"abstract":"This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy. The framework used is a dynamic stochastic general equilibrium modelwith banks and bank capital, in which bank capital solves an asymmetric information problem between banks and their creditors. In this economy, the lending decisions of individual banks affect the riskiness of the whole banking sector, though banks do not internalize this impact. Regulation, in the form of a constraint on bank leverage, can mitigate the impact of this externality by inducing banks to alter the intensity of their monitoring efforts. We find that countercyclical bank leverage regulation can have desirable stabilization properties, particularly when financial shocks are an important source of economic fluctuations. However, the appropriate contribution of countercyclical capital requirements to stabilization after a technology shock depends on the size of the externality and on the conduct of the monetary authority.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"134 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124379824","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: 59
The Export Promoting Effect of Emigration: Evidence from Denmark 移民对出口的促进作用:来自丹麦的证据
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2011-06-01 DOI: 10.1111/rode.12112
Sanne Hiller
{"title":"The Export Promoting Effect of Emigration: Evidence from Denmark","authors":"Sanne Hiller","doi":"10.1111/rode.12112","DOIUrl":"https://doi.org/10.1111/rode.12112","url":null,"abstract":"The theoretical claim that ethnic networks encourage trade has found broad empirical support in the literature on migration, business networks and international trade. Ethnic networks matter for the exporting firm, as they exhibit the potential to lower fixed and variable cost of exporting. This paper provides a first attempt to identify the export-promoting effect of emigration on the firm level. Using detailed Danish firm-level data, we can parsimoniously control for export determinants other than emigration, unobserved heterogeneity at the firm level, as well as for self-selection of firms into exporting. Additionally accounting for taste similarity between Denmark and its trade partners, our findings suggest a positive effect of emigration on Danish manufacturing trade within Europe, thereby corroborating preceding studies on aggregate data. Nevertheless, as a novel insight, our analysis reveals that the only beneficiaries of emigration are small enterprises.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127602129","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: 55
Parameter Identification in an Estimated New Keynesian Open Economy Model 估计的新凯恩斯主义开放经济模型中的参数识别
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2011-04-01 DOI: 10.2139/ssrn.1946259
Malin Adolfson, J. Lindé
{"title":"Parameter Identification in an Estimated New Keynesian Open Economy Model","authors":"Malin Adolfson, J. Lindé","doi":"10.2139/ssrn.1946259","DOIUrl":"https://doi.org/10.2139/ssrn.1946259","url":null,"abstract":"In this paper, we use Monte Carlo methods to study the small sample properties of the classical maximum likelihood (ML) estimator in artificial samples generated by the New- Keynesian open economy DSGE model estimated by Adolfson et al. (2008) with Bayesian techniques. While asymptotic identification tests show that some of the parameters are weakly identified in the model and by the set of observable variables we consider, we document that ML is unbiased and has low MSE for many key parameters if a suitable set of observable variables are included in the estimation. These findings suggest that we can learn a lot about many of the parameters by confronting the model with data, and hence stand in sharp contrast to the conclusions drawn by Canova and Sala (2009) and Iskrev (2008). Encouraged by our results, we estimate the model using classical techniques on actual data, where we use a new simulation based approach to compute the uncertainty bands for the parameters. From a classical viewpoint, ML estimation leads to a significant improvement in fit relative to the log-likelihood computed with the Bayesian posterior median parameters, but at the expense of some the ML estimates being implausible from a microeconomic viewpoint. We interpret these results to imply that the model at hand suffers from a substantial degree of model misspecification. This interpretation is supported by the DSGE-VAR( ) analysis in Adolfson et al. (2008). Accordingly, we conclude that problems with model misspecification, and not primarily weak identification, is the main challenge ahead in developing quantitative macromodels for policy analysis.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"1 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":"129113650","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: 6
Occupational Choice, Aggregate Productivity, and Trade 职业选择、总生产率与贸易
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2011-02-01 DOI: 10.1111/rode.12049
J. Meckl, Benjamin Weigert
{"title":"Occupational Choice, Aggregate Productivity, and Trade","authors":"J. Meckl, Benjamin Weigert","doi":"10.1111/rode.12049","DOIUrl":"https://doi.org/10.1111/rode.12049","url":null,"abstract":"We propose occupational decisions of heterogeneous individuals as an alternative mechanism of explaining the distribution of firm productivities emphasized by empirical studies. Thus, we integrate the frameworks of Melitz (2003), and of Manasse and Turrini (2001) that establish the theoretical base of trade models with heterogeneous firms. Our model is technically much simpler than the Melitz approach while preserving the main results on firm-selection effects due to international market integration. Our approach paves the way for detailed analysis of institutions in a heterogeneous firm model to better understand the link between institutions and an economy’s productivity distribution.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"48 7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116305752","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
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