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Explaining the Great Moderation Exchange Rate Volatility Puzzle 解释 "大缓和 "汇率波动之谜
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-09-18 DOI: 10.1057/s41308-024-00264-9
Vania Stavrakeva, Jenny Tang
{"title":"Explaining the Great Moderation Exchange Rate Volatility Puzzle","authors":"Vania Stavrakeva, Jenny Tang","doi":"10.1057/s41308-024-00264-9","DOIUrl":"https://doi.org/10.1057/s41308-024-00264-9","url":null,"abstract":"<p>We study how macroeconomic volatility relates to trends in exchange rate volatility through the prism of the Great Moderation hypothesis. We find significant heterogeneity in exchange rate volatility trends across advanced economy currencies against the USD. Financial centers currencies became less volatile over a 50-year history, while commodity currencies became more volatile. This occurred despite decreases in the volatility of macroeconomic variables, particularly expected interest rate differentials. Instead, trends in the volatility of non-macro (currency risk premium) exchange rate components were a main driver of patterns in exchange rate volatility. However, the behavior of macroeconomic variables still mattered greatly for explaining the rise in commodity currency volatility. We document that a meaningful part of this increasing volatility can be tied to less negative co-movements over time between changes in expectations of relative interest rates and changes in expectations of excess returns – a pattern that is consistent with a weakening or even disappearance of the Fama puzzle for commodity currencies.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"15 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142248330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quantifying Risks to Sovereign Market Access 量化主权市场准入风险
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-09-06 DOI: 10.1057/s41308-024-00244-z
Diana Zigraiova, Aitor Erce
{"title":"Quantifying Risks to Sovereign Market Access","authors":"Diana Zigraiova, Aitor Erce","doi":"10.1057/s41308-024-00244-z","DOIUrl":"https://doi.org/10.1057/s41308-024-00244-z","url":null,"abstract":"<p>We use the euro area debt crisis experience to study episodes when sovereigns lose access to bond markets. We construct a detailed dataset with potential leading indicators and evaluate their ability to forecast episodes when market access is lost. We show that factors capable of foreseeing market tensions go beyond traditional metrics of the fiscal stance and of global and domestic macroeconomic conditions. Variables that describe conditions in primary and secondary sovereign bond markets are key predictors of market access tensions. We construct simple indices and multivariate models and use them to predict market access tensions. Simple indices capture worsening conditions but yield unsatisfactory out-of-sample results. Multivariate models generate better forecasts highlighting how tools to evaluate risks to sovereign market access trade off communicability and accuracy. Finally, we show the importance of accounting for different policymakers’ preferences.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"21 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180867","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal Macroeconomic Policies in a Heterogeneous World 异质世界中的最优宏观经济政策
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-09-05 DOI: 10.1057/s41308-024-00261-y
James Bullard, Aarti Singh, Jacek Suda
{"title":"Optimal Macroeconomic Policies in a Heterogeneous World","authors":"James Bullard, Aarti Singh, Jacek Suda","doi":"10.1057/s41308-024-00261-y","DOIUrl":"https://doi.org/10.1057/s41308-024-00261-y","url":null,"abstract":"<p>We study a DSGE model with “massive” heterogeneity, enough to approach Gini coefficients for income, wealth, and consumption in the U.S. data. The economy features three aggregate shocks as well as both permanent and temporary idiosyncratic risk. We introduce policymakers that can mitigate these risks for households, and a welfare theorem outlines how the proposed policies imply an optimal allocation of resources. The proposed policies include achieving the Wicksellian natural real rate of interest, social insurance, and a set of taxes and transfers designed to reduce consumption inequality. We calibrate the model to U.S. data from 1995 to 2023 assuming the optimal set of policies and argue that the model fit is promising. This suggests that, broadly speaking, U.S. macroeconomic policy has in recent decades been close to optimal. Improvements beyond this set of policies requires design of responses to very large shocks, and we suggest some directions in which such a design may proceed.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"9 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180868","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Role of Government Policies in Smoothing Borrowers’ Spending during Stress: Evidence from UK Mortgage Moratoria 政府政策在压力期间平滑借款人支出方面的作用：英国抵押贷款暂停期的证据
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-08-30 DOI: 10.1057/s41308-024-00249-8
Bruno Albuquerque, Alexandra Varadi
{"title":"Role of Government Policies in Smoothing Borrowers’ Spending during Stress: Evidence from UK Mortgage Moratoria","authors":"Bruno Albuquerque, Alexandra Varadi","doi":"10.1057/s41308-024-00249-8","DOIUrl":"https://doi.org/10.1057/s41308-024-00249-8","url":null,"abstract":"<p>We use UK transaction-level data to study whether nationwide mortgage moratoria, or payment holidays (PH), can act as a mechanism for smoothing mortgagors’ consumption following negative aggregate shocks. We find that both borrowers with pre-existing financial vulnerabilities and with stronger balance sheets, including buy-to-let investors, had an incentive to access the policy. This is not surprising since PH were available to all mortgagors and without affecting households’ credit risk scores. Using a quasi-experimental DiD research design based on eligibility, we find that the PH allowed liquidity-constrained households to smooth consumption during the pandemic relative to the control group. By contrast, other mortgagors did not seem to increase consumption relative to the control group, preferring to save the liquidity relief provided by PH. Overall, we find evidence that PH were able to support consumption of more vulnerable households, who are more likely to pull away from consumption during stress periods.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"17 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180880","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate Debt Structure with Home and International Currency Bias 带有本币和国际货币偏见的公司债务结构
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-08-30 DOI: 10.1057/s41308-024-00254-x
Matteo Maggiori, Brent Neiman, Jesse Schreger
{"title":"Corporate Debt Structure with Home and International Currency Bias","authors":"Matteo Maggiori, Brent Neiman, Jesse Schreger","doi":"10.1057/s41308-024-00254-x","DOIUrl":"https://doi.org/10.1057/s41308-024-00254-x","url":null,"abstract":"<p>We explore the consequences of global capital market segmentation by currency for the optimal currency composition of borrowing by firms. Global bond portfolios are driven by the currency of denomination of assets as investors prefer to lend in their home currency or the international currency, the US Dollar. Larger and more productive firms select into foreign currency issuance. International segmentation results in a quantity dimension of the exorbitant privilege whereby US firms that only issue in the domestic currency benefit from being able to more easily borrow from global investors.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"38 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180886","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Changing Global Input-Output Linkages and Demand Spillover 不断变化的全球投入产出联系和需求外溢
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-08-23 DOI: 10.1057/s41308-024-00259-6
Wataru Miyamoto, Thuy Lan Nguyen
{"title":"Changing Global Input-Output Linkages and Demand Spillover","authors":"Wataru Miyamoto, Thuy Lan Nguyen","doi":"10.1057/s41308-024-00259-6","DOIUrl":"https://doi.org/10.1057/s41308-024-00259-6","url":null,"abstract":"<p>This paper examines the effects of changing input-output linkages within and across countries in transmitting shocks across countries between 1965 and 2011. We apply the global input-output framework with the time series for the world input-output tables to examine the spillover of shocks to final demand in 23 countries over the last 47 years. We document that the spillover to foreign countries associated with exogenous changes in final demand in domestic economy is about twice as large now as that in 1965. Moreover, demand spillover is even larger when final demand for more open sectors or foreign goods increases, suggesting the importance of sectoral demand composition. Finally, the foreign spillover in the 2008–2009 Great Recession is large due to both input-output structure changes and sectoral composition of demand.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"113 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180881","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Will the Green Transition be Inflationary? Expectations Matter 绿色转型会带来通货膨胀吗？预期很重要
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-08-20 DOI: 10.1057/s41308-024-00262-x
Alessandro Ferrari, Valerio LandiNispi Landi
{"title":"Will the Green Transition be Inflationary? Expectations Matter","authors":"Alessandro Ferrari, Valerio LandiNispi Landi","doi":"10.1057/s41308-024-00262-x","DOIUrl":"https://doi.org/10.1057/s41308-024-00262-x","url":null,"abstract":"<p>We analyze the inflationary effects of a gradual increase in a carbon tax in the textbook New Keynesian model. The policy gradually reduces emissions, a key feature of the green transition. We find that the increase in the tax today exerts inflationary pressures, but the expected further increase in the tax tomorrow depresses current demand, putting downward pressure on prices: We show that the second effect is larger. If households do not anticipate a future fall in income (because they are not rational or the government is not credible), the overall effect may be inflationary. We extend the analysis in a medium-scale DSGE model, and we find again that the green transition is deflationary. Also in this larger model, by relaxing the rational expectations assumption, we show that the transition may initially be inflationary.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"2016 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","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 with Preferences over Safe Assets 偏好安全资产的前瞻性指导
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-08-19 DOI: 10.1057/s41308-024-00242-1
Ansgar Rannenberg
{"title":"Forward Guidance with Preferences over Safe Assets","authors":"Ansgar Rannenberg","doi":"10.1057/s41308-024-00242-1","DOIUrl":"https://doi.org/10.1057/s41308-024-00242-1","url":null,"abstract":"<p>I show that preferences over safe assets (POSA), calibrated by targeting estimates of the wedge between household discount and market interest rates and the effect of the supply of government bonds on their yields, attenuate the of effect forward guidance in a New Keynesian model, by reducing consumption’s responsiveness to future interest rates and generating a wealth effect from real government bond holdings. The attenuation carries over to a medium-scale model with POSA estimated on Euro Area macroeconomic, fiscal and interest-rate expectation data. The empirical fit of the POSA model strongly outperforms an otherwise identical model without POSA.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"9 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sovereign Debt Tolerance with Potentially Permanent Costs of Default 主权债务容忍度与潜在的永久违约成本
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-08-13 DOI: 10.1057/s41308-024-00260-z
Marcos Chamon, Francisco Roldán
{"title":"Sovereign Debt Tolerance with Potentially Permanent Costs of Default","authors":"Marcos Chamon, Francisco Roldán","doi":"10.1057/s41308-024-00260-z","DOIUrl":"https://doi.org/10.1057/s41308-024-00260-z","url":null,"abstract":"<p>We investigate the effect of uncertainty about the nature of output costs of sovereign default on debt tolerance. While the theoretical literature assumes output losses lasting until market access is restored, the empirical evidence points to persistent effects, and output may not return to its pre-default trend. We include such uncertainty in a model of sovereign default and find that it can significantly boost equilibrium debt levels. We also consider a government which is averse to this type of uncertainty and seeks robust decision rules. We calibrate the model to match evidence on the output trajectory around debt restructuring episodes and infer output costs of about the size found in the empirical literature, alongside significant uncertainty about their permanence and a strong desire for robustness. Uncertainty and robustness contribute about a quarter of observed debt tolerance.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"17 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180884","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Tail of Three Occasionally Binding Constraints: A Modelling Approach to GDP-at-Risk 三个偶然约束的尾巴：国内生产总值风险建模方法
IF 4.3 2区 经济学
Imf Economic Review Pub Date : 2024-08-09 DOI: 10.1057/s41308-024-00253-y
David Aikman, Kristina Bluwstein, Sudipto Karmakar
{"title":"A Tail of Three Occasionally Binding Constraints: A Modelling Approach to GDP-at-Risk","authors":"David Aikman, Kristina Bluwstein, Sudipto Karmakar","doi":"10.1057/s41308-024-00253-y","DOIUrl":"https://doi.org/10.1057/s41308-024-00253-y","url":null,"abstract":"<p>We build a semi-structural New Keynesian model to study the drivers of macroeconomic tail risk (‘GDP-at-Risk’). Our model features three key nonlinearities: an effective lower bound on nominal interest rates; a credit crunch in bank loan supply when bank capital depletes; and deleveraging by borrowers when debt service burdens become excessive. These nonlinearities can interact to amplify GDP-at-Risk: for example, when debt burdens rise sufficiently, this increases the risk of debt deleveraging but also that of a credit crunch and hitting the effective lower bound. We use the model to study various UK recessions and document the amplification potential driven by the prevailing levels of headroom vis-a-vis the effective lower bound, the bank capital constraint, and the debt service burden threshold. Furthermore, we simulate a persistent inflation shock to analyse how these interactions might operate at this juncture.</p>","PeriodicalId":47177,"journal":{"name":"Imf Economic Review","volume":"58 1","pages":""},"PeriodicalIF":4.3,"publicationDate":"2024-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141944144","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","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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