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Cautionary tales of fat tails 肥尾的警世故事
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-04-22 DOI: 10.1016/j.jmacro.2025.103679
Chetan Dave , Scott J. Dressler , Samreen Malik
{"title":"Cautionary tales of fat tails","authors":"Chetan Dave ,&nbsp;Scott J. Dressler ,&nbsp;Samreen Malik","doi":"10.1016/j.jmacro.2025.103679","DOIUrl":"10.1016/j.jmacro.2025.103679","url":null,"abstract":"<div><div>Distributions of GDP fluctuations that exhibit fat tails shed doubt on the suitability of Normal distributions in empirical and theoretical business-cycle analyses. We document: (i) fat tails in US output fluctuations are not a pervading characteristic of the entire post-war sample, and appear in subsamples exhibiting declines in cyclical and trend volatility (e.g., the Great Moderation); (ii) a DSGE environment featuring Normal shocks that match the declines in observed cyclical and trend volatility can explain almost all of the fat-tailed characteristics observed in the data, leaving little support for the role of rare, large shocks delivering fat-tailed distributions.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103679"},"PeriodicalIF":1.3,"publicationDate":"2025-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143870120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
On the costs of inflation with a general equilibrium welfare measure and alternative utility functions 用一般均衡福利测度和替代效用函数研究通货膨胀的成本
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-04-12 DOI: 10.1016/j.jmacro.2025.103678
Constantine Angyridis , Arman Mansoorian , Leo Michelis
{"title":"On the costs of inflation with a general equilibrium welfare measure and alternative utility functions","authors":"Constantine Angyridis ,&nbsp;Arman Mansoorian ,&nbsp;Leo Michelis","doi":"10.1016/j.jmacro.2025.103678","DOIUrl":"10.1016/j.jmacro.2025.103678","url":null,"abstract":"<div><div>This paper examines the costs associated with the level and variability of inflation in the context of a general equilibrium (<span><math><mrow><mi>G</mi><mi>E</mi></mrow></math></span>) welfare measure which accounts for the optimal adjustments of all the endogenous variables in the model in response to the transfers received by the households. We compare and contrast the <span><math><mrow><mi>G</mi><mi>E</mi></mrow></math></span> welfare costs with the conventional consumption equivalent (<span><math><mrow><mi>C</mi><mi>E</mi></mrow></math></span>) measure across three utility functions that have been used routinely in the macroeconomics literature.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103678"},"PeriodicalIF":1.3,"publicationDate":"2025-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143859214","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Assessing the heterogeneous impact of COVID-19 on consumption using bank transactions 评估COVID-19对使用银行交易的消费的异质性影响
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-04-05 DOI: 10.1016/j.jmacro.2025.103677
Selien De Schryder, Nikolaos Koutounidis, Koen Schoors, Johannes Weytjens
{"title":"Assessing the heterogeneous impact of COVID-19 on consumption using bank transactions","authors":"Selien De Schryder,&nbsp;Nikolaos Koutounidis,&nbsp;Koen Schoors,&nbsp;Johannes Weytjens","doi":"10.1016/j.jmacro.2025.103677","DOIUrl":"10.1016/j.jmacro.2025.103677","url":null,"abstract":"<div><div>The transmission of the pandemic shock to the macroeconomy through the prism of consumer heterogeneity is the focal point of this paper. Based on a rich bank account and transactions micro dataset, we assess the roles of local COVID-19 severity, government measures against the spread of the virus, and vaccination rates for households’ consumption behavior in Belgium. We find that households living in areas that experienced high COVID-19 positivity rates and more stringent containment measures, decreased their consumption more. The relevance of these effects, however, shifted over the course of the pandemic. Higher local vaccination rates significantly counteracted these negative impacts on household consumption. Furthermore, our study highlights that the impact of these factors on consumption varied distinctly across households with different income, liquid wealth, and age characteristics.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103677"},"PeriodicalIF":1.3,"publicationDate":"2025-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143823943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Comparing the response of different education groups to predictable changes in income 比较不同教育群体对可预测的收入变化的反应
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-04-04 DOI: 10.1016/j.jmacro.2025.103676
Charles Grant
{"title":"Comparing the response of different education groups to predictable changes in income","authors":"Charles Grant","doi":"10.1016/j.jmacro.2025.103676","DOIUrl":"10.1016/j.jmacro.2025.103676","url":null,"abstract":"<div><div>The Permanent Income Hypothesis (PIH) can be tested using the excess-sensitivity test, which investigates whether current consumption is affected by predictable changes in income. Several studies have shown that households are overly sensitive to changes in current income, especially if they have low assets. This study shows that university educated households behave according to PIH, but that less educated households are excessively sensitive to predictable changes in income. This result is consistent with the idea that university-educated households are more patient.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103676"},"PeriodicalIF":1.3,"publicationDate":"2025-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143792578","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fiscal consolidations in developing countries with a Latin America focus: The role of inequality, informality and corruption 以拉丁美洲为重点的发展中国家财政整顿：不平等、不拘形式和腐败的作用
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-03-22 DOI: 10.1016/j.jmacro.2025.103675
João Tovar Jalles , Carola Pessino
{"title":"Fiscal consolidations in developing countries with a Latin America focus: The role of inequality, informality and corruption","authors":"João Tovar Jalles ,&nbsp;Carola Pessino","doi":"10.1016/j.jmacro.2025.103675","DOIUrl":"10.1016/j.jmacro.2025.103675","url":null,"abstract":"<div><div>Widening income disparities, higher corruption and larger informality in many emerging market and developing economies (EMDE) including Latin America, all with pressing and mounting fiscal problems, have rekindled interest in the empirical analysis of the key factors determining the occurrence of fiscal consolidations. Using discrete choice models, this paper examines the drivers of fiscal consolidation episodes in a sample of 148 EMDE between 1980 and 2019 with a focus on Latin America. Inequality does not seem to drive consolidations in Latin America, while more informality (corruption) increases (decreases) the probability of their occurrence. In turn, when examining the drivers of successful consolidations, larger income inequality (informality) seems to act as a boost (hinderance) for successful consolidations. Results are robust to several sensitivity and robustness tests.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103675"},"PeriodicalIF":1.3,"publicationDate":"2025-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143899319","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
The multifaceted effect of monetary policy on U.S. credit aggregates 货币政策对美国信贷总量的多方面影响
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-03-06 DOI: 10.1016/j.jmacro.2025.103674
Maximilien Coussin
{"title":"The multifaceted effect of monetary policy on U.S. credit aggregates","authors":"Maximilien Coussin","doi":"10.1016/j.jmacro.2025.103674","DOIUrl":"10.1016/j.jmacro.2025.103674","url":null,"abstract":"<div><div>Using a Factor-Augmented Vector Autoregressive (FAVAR) model and extensions, this paper investigates the impact of monetary policy on various credit aggregates in the United States over sixty years. The analysis reveals that monetary policy impacts different types of credit heterogeneously, with credit to the financial sector reacting particularly strongly. Bank-held credit exhibits notable sensitivity to monetary policy shocks. The effects of monetary policy are also conditional on the phases of the economic and financial cycles, showing a much stronger impact during periods of expansion. Additionally, a long-term strengthening of the transmission mechanisms suggests that substantial structural changes have occurred over the past six decades.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103674"},"PeriodicalIF":1.3,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143631994","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
External shocks and FX intervention policy in financially dollarized economies 金融美元化经济体的外部冲击与外汇干预政策
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-03-05 DOI: 10.1016/j.jmacro.2025.103672
Alex Carrasco , David Florián Hoyle
{"title":"External shocks and FX intervention policy in financially dollarized economies","authors":"Alex Carrasco ,&nbsp;David Florián Hoyle","doi":"10.1016/j.jmacro.2025.103672","DOIUrl":"10.1016/j.jmacro.2025.103672","url":null,"abstract":"<div><div>We examine the role of sterilized FX interventions as a monetary policy tool in response to external shocks for dollarized emerging market economies. Our model highlights an agency problem that limits banks’ ability to secure funds in both domestic and foreign currencies, with its intensity linked to currency mismatches in the banking sector. This leads to endogenous deviations from the standard UIP condition, resulting in a non-neutral FX intervention policy. Sterilized FX interventions stabilize financial conditions not only by stabilizing real exchange rates but also by acting as a balance sheet policy that directly influences credit supply. Our quantitative analysis shows that FX policy rules that counteract exchange rate deviations reduce volatility in interest rate spreads including UIP deviations, credit, investment, and output, leading to significant welfare improvements compared to a flexible exchange rate regime.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103672"},"PeriodicalIF":1.3,"publicationDate":"2025-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143594108","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Automation and job polarization 自动化与工作极化
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-03-01 DOI: 10.1016/j.jmacro.2025.103673
Chia-Hui Lu
{"title":"Automation and job polarization","authors":"Chia-Hui Lu","doi":"10.1016/j.jmacro.2025.103673","DOIUrl":"10.1016/j.jmacro.2025.103673","url":null,"abstract":"<div><div>By introducing the development of automation into a labor search model with differently skilled workers, this paper finds that increased automation of production processes leads to job polarization. When there is an increase in the degree to which automation and middle-skilled labor can replace each other, firms producing final goods will use automation in place of human labor rather than the other way around. In economies where people can acquire skills and make endogenous occupational choices, government subsidies to cover the learning costs of high-skilled labor enhance output production and household welfare, but increase the degree of job polarization. Furthermore, we find that reducing job polarization is not necessarily beneficial for macroeconomic performance when the government subsidizes the cost of learning for household members to become middle-skilled workers.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103673"},"PeriodicalIF":1.3,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143552926","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Bilateral output synchronization in a globalized world: A macroeconomic evaluation of the third-country effect 全球化世界中的双边产出同步：第三国效应的宏观经济评价
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-02-22 DOI: 10.1016/j.jmacro.2025.103665
Jean-Sébastien Pentecôte , Jean-Christophe Poutineau , Tovonony Razafindrabe , Fabien Rondeau
{"title":"Bilateral output synchronization in a globalized world: A macroeconomic evaluation of the third-country effect","authors":"Jean-Sébastien Pentecôte ,&nbsp;Jean-Christophe Poutineau ,&nbsp;Tovonony Razafindrabe ,&nbsp;Fabien Rondeau","doi":"10.1016/j.jmacro.2025.103665","DOIUrl":"10.1016/j.jmacro.2025.103665","url":null,"abstract":"<div><div>This paper examines the influence of third countries on the output synchronization between two trading partners. We first address this issue in a three-country Dynamic Stochastic General Equilibrium model, where trade in intermediate goods operates at the intensive and extensive margins. We find that adding a third trading partner strengthens the output co-movement between two countries through two channels: a trade channel, driven by a higher total number of varieties traded that makes production processes more homogeneous across countries, and a macroeconomic channel where the third country exerts a stabilizing effect on the intensive and extensive margins of production in the other two countries. Applying Jordà’s local projections to 34 countries from 1979Q2 to 2019Q4, we find that the inclusion of a third partner raises the output co-movement in 75% of cases on average, with a median rise of 54% on average compared to the two-country case. Our results are robust to (i) an alternative identification of productivity shocks and (ii) the inclusion of extensive trade margins as control variables. Those stylized facts of upward output synchronization resulting from the explicit inclusion of a third trading partner are consistent with our theoretical predictions.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103665"},"PeriodicalIF":1.3,"publicationDate":"2025-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143474724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Do commitment and enforcement of fiscal rules enhance fiscal stability? Evidence from European Union countries 财政规则的承诺和执行是否能增强财政稳定？来自欧盟国家的证据
IF 1.3 3区 经济学
Journal of Macroeconomics Pub Date : 2025-02-10 DOI: 10.1016/j.jmacro.2025.103664
Antonia López-Villavicencio, Jocelyne Zoumenou
{"title":"Do commitment and enforcement of fiscal rules enhance fiscal stability? Evidence from European Union countries","authors":"Antonia López-Villavicencio,&nbsp;Jocelyne Zoumenou","doi":"10.1016/j.jmacro.2025.103664","DOIUrl":"10.1016/j.jmacro.2025.103664","url":null,"abstract":"<div><div>We study the impact of fiscal rules on EU countries’ fiscal stability, particularly within the Stability and Growth Pact (SGP) framework. By rigorously addressing endogeneity concerns, we show that, among all the rules imposed by the SGP, compliance with budget balance rules (BBR) and to a lesser extent, deficit rules, are the only ones that contribute to fiscal stability. However, countries that comply with other targets – either individually, simultaneously, or by adopting a constitutional BBR – do not perform better than those that comply exclusively with the budget balance rule. Finally, our results suggest that strong fiscal rules are not necessary to achieve better fiscal discipline.</div></div>","PeriodicalId":47863,"journal":{"name":"Journal of Macroeconomics","volume":"84 ","pages":"Article 103664"},"PeriodicalIF":1.3,"publicationDate":"2025-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386807","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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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