中国经济周期特征与太阳黑子均衡

本文在Benhabib、Farmer（1994）、Farmar、Guo（1994,1995）的不确定性均衡模型框架上,构建了一个考虑了信念偏差所代表的不确定因素和政府支出冲击的太阳黑子RBC模型来解释宏观经济的周期波动;并利用中国改革开放以来的经济数据,对该模型进行了实证检验。我们发现,该模型能够解释80%以上的中国经济波动特征;可以合理预测各宏观经济变量与产出之间的协动关系,合理预测各变量与劳动生产率之间的相关关系;对中国经济的解释力远远高于标准RBC模型,说明这一模型比较适合解释中国经济波动。另外,还发现信念冲击与政府支出冲击均是中国宏观经济波动的重要冲击来源,分别可以解释约30%、60%的经济波动,表明二者均是中国经济波动不可忽略的重要影响因素。我们的发现从不确定均衡和财政政策变动角度对宏观经济波动(比如,消费、就业、投资)的一些现象提供了合理解释。     

Fiscal news and macroeconomic volatility

This paper analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an estimated New Keynesian business cycle model. While fiscal policy accounts for about 15% of output variance at business cycle frequencies, this mostly derives from anticipated government spending shocks. Tax shocks, both anticipated and unanticipated, contribute little to the fluctuations of real variables. However, anticipated capital tax shocks do explain a sizable part of inflation fluctuations, accounting for up to 12% of its variance. In line with earlier studies, news shocks in total account for about 50% of output variance. Further decomposing this news effect, we find permanent total factor productivity news shocks to be most important. When looking at the federal level instead of total government, the importance of anticipated tax and spending shocks significantly increases, suggesting that fiscal policy at the subnational level typically counteracts the effects of federal fiscal policy shocks.     

社会倾销对我国对外贸易的影响及策略

经济全球化在促进生产力增长的同时,产生了负面的影响。尤其是发达国家以反"社会倾销"为理由,提出将贸易与劳工标准挂钩,实施贸易制裁。这必将对中国的对外贸易发起挑战。我们应从中国的实情出发,找出我国劳工标准现状与国际标准的差距。在国际国内层面采取加强与国际组织的互动;加强职业安全管理及逆向采购等措施。     

Riskiness,endogenous productivity dispersion and business cycles

In the data, cross-sectional productivity dispersion is countercyclical at both the plant level and the firm level, see e.g. Bloom (2009). I incorporate a firm׳s choice of risk level into a model of firm dynamics with real business cycle features to explain this empirical finding both qualitatively and quantitatively. In the model, in every period, each firm chooses the investment amount and the risk level associated with a production project every period. All projects available to each firm have the same expected flow return, determined by the aggregate and idiosyncratic shocks to the firm׳s productivity, and differ from one another only in their risk. The endogenous option of exiting the market and the limited funding for new investment jointly play an important role in motivating firms׳ risk-taking behavior. The model predicts that, in each period, relatively small firms are more likely to take risk and hence exhibit a higher exit rate, and that the cross-sectional productivity dispersion, measured as the standard deviation of the realized individual component of productivity, is larger in recessions.     

Labor and investment frictions in a real business cycle model

This paper develops a prototype real business cycle model in which labor and investment frictions may compete directly with technology shocks in accounting for fluctuations in the postwar US economy. Using Ireland's [2004a. A method for taking models to the data. Journal of Economic Dynamics and Control 28, 1205–1226] methodology, we establish that both types of friction are quantitatively important. Technology shocks still explain a substantial fraction of the fluctuations in aggregate output, as the baseline real business cycle model predicts. Formal hypothesis tests suggest that changes in the recurrence of shocks, frictions, and structural parameters all play a role in accounting for the shift in the time series properties of the data between the periods before and after 1980.     

International synchronization of the Mexican states business cycles: Explaining factors

The aim of this paper is to identify the explaining factors of the synchronization of the business cycles of the Mexican states and those of the US economy. The cycle indicator is obtained by de-trending the series of total formal employment (Mexican states) and nonfarm employment and industrial production (US). In general, our panel data model estimations suggest the existence of spatial autocorrelation and significant time-period fixed effects. Also, the estimates indicate a significant and positive effect of the ratio of foreign direct investment to gross domestic product (GDP), which may be supplementing the impact of international trade (driven by the most internationally integrated states) and a negative effect of the ratio of remittances to GDP (driven by less integrated states). Finally, the evidence suggests that more similar productive structures yield more synchronized business cycles.     

Effect of Trade on the Demand for Skilled and Unskilled Workers

We use an input–output model to examine the effects of trade and domestic consumption, technology and labor productivity on skilled and unskilled worker demand. We found that trade was not the major contributor to changes in demand for skilled and unskilled labor during 1972–92, counter to the continuing debate on the trade-widening wage gap linkage. We found that skill intensity, i.e. the ratio of high-skilled to low-skilled workers for exports compared with imports, exceeded one during 1972–92, but did not increase. We explore alternative definitions of skilled and unskilled, and find our results to be robust to these alternative definitions.     

A non-Walrasian labor market in a monetary model of the business cycle

This paper investigates to what extent a new Keynesian, monetary model with the addition of a microfounded, non-Walrasian labor market solely based on union bargaining is able to replicate key aspects of the business cycle. The presence of a representative union offers an explanation for two features of the cycle. First, it generates an endogenous mechanism which produces persistent responses to both supply and demand shocks. Second, labor unionization reduces the elasticity of marginal costs to output. This leads to lower inflation volatility. Model simulations show that the unionized framework can better reproduce European business cycle data than can a model with a competitive labor market.     

Gasoline prices,transport costs,and the U.S. business cycles

The effects of gasoline prices on the U.S. business cycles are investigated. In order to distinguish between gasoline supply and gasoline demand shocks, the price of gasoline is endogenously determined through a transportation sector that uses gasoline as an input of production. The model is estimated for the U.S. economy using five macroeconomic time series, including data on transport costs and gasoline prices. The results show that although standard shocks in the literature (e.g., technology shocks, monetary policy shocks) have significant effects on the U.S. business cycles in the long run, gasoline supply and demand shocks play an important role in the short run.     

Risk shocks and housing supply: A quantitative analysis

This paper analyzes the role of stochastic uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production and provide estimates of the time-series properties of risk shocks by using firm level productivity data. The analysis demonstrates that risk shocks to the housing production sector are a quantitatively important impulse mechanism for understanding housing price movements. Specifically, the model can match the volatility of housing prices observed in the data. It is also demonstrated that adjustment costs are important in replicating the contemporaneous correlation of housing prices with GDP and residential investment. Critically, bankruptcy costs act as an endogenous markup factor in housing prices and are an important determinant of house price volatility. However, in comparison to housing demand shocks, risk shocks have low explanatory power for real quantities.     

What are the effects of fiscal policy shocks?

We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Specifically, we use sign restrictions to identify a government revenue shock as well as a government spending shock, while controlling for a generic business cycle shock and a monetary policy shock. We explicitly allow for the possibility of announcement effects, i.e., that a current fiscal policy shock changes fiscal policy variables in the future, but not at present. We construct the impulse responses to three linear combinations of these fiscal shocks, corresponding to the three scenarios of deficit‐spending, deficit‐financed tax cuts and a balanced budget spending expansion. We apply the method to US quarterly data from 1955 to 2000. We find that deficit‐financed tax cuts work best among these three scenarios to improve GDP, with a maximal present value multiplier of five dollars of total additional GDP per each dollar of the total cut in government revenue 5 years after the shock. Copyright © 2009 John Wiley & Sons, Ltd.     

On the cyclicality of unemployment: Resurrecting the participation margin

This paper considers a real business cycle model with search frictions in the labor market and labor supply which is elastic along the participation margin. Previous authors have found that such models generate counterfactually procyclical unemployment and a positively sloped Beveridge curve. This paper presents a calibrated model which succeeds at generating countercyclical unemployment and a negatively sloped Beveridge curve, despite the presence of a participation margin.     

Keynesian impulses versus Solow residuals: identifying sources of business cycle fluctuations

We employ a neoclassical business‐cycle model to study two sources of business‐cycle fluctuations: marginal efficiency of investment shocks, and total factor productivity shocks. The parameters of the model are estimated using a Bayesian procedure that accommodates prior uncertainty about their magnitudes; from these estimates, posterior distributions of the two shocks are obtained. The postwar US experience suggests that both shocks are important in understanding fluctuations, but that total factor productivity shocks are primarily responsible for beginning and ending recessions. Copyright © 2000 John Wiley & Sons, Ltd.     

Financial Intermediaries,Credit Shocks and Business Cycles

We document the cyclical properties of aggregate balance sheet variables of the US commercial banks: (i) Bank credits and deposits are less volatile than output, while net worth and leverage ratio are several times more volatile, (ii) bank credits and net worth are procyclical, while deposits, leverage ratio and loan spread are countercyclical. We then present a real business cycle model with a financial sector to investigate how the dynamics of macroeconomic aggregates and balance sheet variables of the US banks are influenced by empirically disciplined shocks to bank net worth. Both calibrated and estimated versions of the model show that these financial shocks are important not only for explaining the dynamics of financial flows but also for the dynamics of macroeconomic variables. We find that the recent deterioration in aggregate net worth of the US banking sector contributed significantly to the 2007–09 recession.     

Long‐run neutrality of demand shocks: Revisiting Blanchard and Quah (1989) with independent structural shocks

With reference to a stylized theoretical macromodel, Blanchard and Quah (American Economic Review, 1989, 79, 655–673) identify empirical aggregate supply (e.g., productivity) and demand shocks by assuming that the latter are neutral for economic activity in the long run. Taking advantage of recent contributions to the structural VAR literature and data‐based identification, we find that effects of unique independent non‐Gaussian structural shocks support this assumption. Moreover, unlike the results in Blanchard and Quah, statistically identified supply shocks exhibit (insignificantly) opposite impacts on gross domestic product and unemployment in the short run. In comparison with benchmark results obtained under assumed long‐run neutrality, statistical identification points to a stronger role of aggregate supply shocks for shaping temporary profiles of US unemployment during the recessionary period 1973:Q3–1975:Q1.     

Growth and real business cycles in Vietnam and the Asean-5. Does the trend shock matter?

We examine Vietnam’s economy in comparison with its closest trade partners. We show that capital accumulation has been the primary growth engine since the start of its transition to the pro-market economy in 1986 – the Doi Moi. We also show that the cyclical behavior of its macro aggregates is similar to that of its ASEAN-5 peers and other developing countries. We extend the standard small open economy RBC model by considering habit persistence and government consumption, which allows a close match of the moments of the growth variables. At the business cycle frequency, transitory productivity shocks account for approximately one-half of Vietnam’s output variance, while country risk and non-transitory productivity shocks account to close to one-fifth each. Regarding the Solow residual’s volatility, we find that the trend component merely accounts for 12 % of this variance in Vietnam, while in Thailand it is only 6 %. These findings refute the “the cycle is the trend” hypothesis in Aguiar and Gopinath (2007) and align with the hypotheses in García-Cicco et al. (2010) and Rhee (2017), where the stationary component is overwhelmingly dominant. We claim that technological progress and productivity-enhancing measures are fundamental for Vietnam’s economy to sustain high growth.     

The federal funds market,excess reserves,and unconventional monetary policy

Following the bankruptcy of Lehman Brothers, interbank borrowing and lending dropped, whereas reserve holdings of depository institutions skyrocketed, as the Fed injected liquidity into the U.S. banking sector. This paper introduces bank liquidity risk and limited market participation into a real business cycle model with ex ante identical financial intermediaries and shows, in an analytically tractable way, how interbank trade and excess reserves emerge in general equilibrium. Investigating the role of the federal funds market and unconventional monetary policy for the propagation of aggregate real and financial shocks, I find that federal funds market participation is irrelevant in response to standard supply and demand shocks, whereas it matters for “uncertainty shocks”, i.e. mean-preserving spreads in the cross-section of liquidity risk. Liquidity injections by the central bank can absorb the effects of financial shocks on the real economy, although excess reserves might increase and federal funds might be crowded out, as a side effect.     

Endogenous business cycle propagation and the persistence problem: The role of labor-market frictions

Contrasting sharply with a recent trend in DSGE modeling, we propose a business cycle model where frictions and shocks are chosen with parsimony. The model emphasizes a few labor-market frictions and shocks to monetary policy and technology. The model, estimated from U.S. quarterly postwar data, accounts well for important differences in the serial correlation of the growth rates of aggregate quantities, the size of aggregate fluctuations and key comovements, including the correlation between hours and labor productivity. Despite its simplicity, the model offers an answer to the persistence problem (Chari et al., 2000) that does not rely on multiple frictions and adjustment lags or ad hoc backward-looking components. We conclude modern DSGE models need not embed large batteries of frictions and shocks to account for the salient features of postwar business cycles.     

Revisiting the matching function

There is strong empirical evidence for Cobb–Douglas matching functions. We show in this paper that this widely found relation between matches on the one hand and unemployment and vacancies on the other hand can be the result of different underlying mechanisms. Obviously, it can be generated by assuming a Cobb–Douglas matching function. Less obvious, the same relationship results from a vacancy free-entry condition and idiosyncratic productivity shocks. A positive aggregate productivity shock leads to more vacancy posting, a shift of the idiosyncratic selection cutoff and thereby more hiring. We calibrate a model with both mechanisms to administrative German labor market data and show that idiosyncratic productivity for new contacts is an important driver of the elasticity of the job-finding rate with respect to the market tightness. Accounting for idiosyncratic productivity can explain the observed negative time trend in estimated matching efficiency and asymmetric business cycle responses to large aggregate shocks.     

Asset markets,relative price shocks and trade anomalies in international real business cycle models

Both relative prices and the flow of goods between countries are significantly smoother in international real business cycle models than in the data. Also, in these models, increases in output cause a worsening of the terms of trade, while in the data, these variables are roughly uncorrelated. Because the imperfect substitutability of goods already limits the ability to pool country-specific risk, restricting access to asset markets has little impact on these anomalies. However, introducing exogenous terms of trade shocks allows the model to explain these trade and price anomalies while retaining the ability to replicate other aspects of the data.