The macroeconomics outcome of oil shocks in the small Eurozone economies

In this work, we provide an analysis over the period 1999–2015 of the effects of oil shocks on prices and GDP in a group of small Euro-area economies. The group includes Austria, Belgium, Finland, Greece, Ireland, Italy, Netherlands, Portugal and Spain. In order to characterise the macroeconomic outcomes of movements in oil prices, we adopt the structural vector autoregression (VAR) methodology. We find that under the European Monetary Union (EMU), oil price shocks have been important drivers of business cycle fluctuations in almost all these countries. Moreover, an increase in oil prices produces significant recessionary effects in all the countries included in the investigation. Thus, although there are different sizes in the responses of output in the investigated countries, our main conclusion is that despite the structural changes experienced by the European economies in the last decades, oil prices still matter for these countries. In the light of these results, we also stress some important challenges for the conduct of monetary policy in the Euro area.     

Has Japan entered a new era of financial constraints?

The collapse of Japanese asset prices in the early 1990s-which weakened the balance-sheet positions of banks, firms, and households-has led some observers to suggest that “balance-sheet problems” may have contributed to the recent economic downturn and may impede a recovery. In this article, we conclude that balance-sheet problems did not and will not play a significant role in depressing the Japanese economy. First, while asset prices appear to have some explanatory power in loan demand and supply relationships, we find that asset price shocks in the 1990s had little effect on borrowing and lending, other than through traditional wealth effects on aggregate demand. Second, we find little evidence that bank lending was tighter than usual compared to downturns of the 1990–1993 magnitude. Finally, we find some puzzling evidence that borrowers lowered their appetite for loans, even after accounting for sharp declines in aggregate demand and asset prices.     

A macroeconomic model of international price discrimination

This paper builds a baseline two-country model of real and monetary transmission in the presence of optimal international price discrimination by firms. Distributing traded goods to consumers requires nontradables, making the price elasticity of demand country-specific and a function of the exchange rate. Profit-maximizing monopolistic firms drive a wedge between prices across countries, optimally dampening the response of import and consumer prices to exchange-rate movements. We derive general equilibrium expressions for the pass-through into import and consumer prices, tracing the differential impact of real and monetary shocks on marginal cost and markup fluctuations through the exchange rate.     

Oil and the economy: evolution not revolution

Oil price shocks have had significant effects on the U.S. economy, keeping energy supply, energy policy, and energy security always in focus. The U.S. energy industry has become more efficient and productive, with increased output despite a smaller energy sector. Since the oil price shocks of the 70s, both the impact of oil price shocks and the way we think about them have changed. The impact of an oil price shock on GDP and core inflation is much smaller in magnitude than in the past and depends on the source of the price shock. The recent shale boom in the U.S. has significantly increased oil production to a record high. The short-cycle supply response of shale producers to price changes have trimmed the peaks and troughs of oil prices in the medium term. The shale boom has lowered our dependence on foreign oil and made us less vulnerable to a classic oil supply shock, but we need to contemplate the vulnerabilities that arise from the externalities of our energy use, which will become more critical as we go forward.     

Human development effects of large changes in food prices: Does openness policy matter?

This paper analyses the effects of food price shocks on selected disaggregated human development indicators and investigates the role of openness policy in mitigating the adverse effects of large changes in food prices. Using a panel of 74 developing countries from 1980 to 2012, I find that positive food price shocks reduce life expectancy at birth both in the fixed-effect model and in the dynamic panel model while negative food price shocks do not seem to matter for this human development indicator in the static model but adversely affect it in the dynamic model. I also find that both positive and negative shocks have no effect on youth literacy rate; this probably means that households do not react to food price shocks by taking children out of school. Analysing the role of commercial openness, I find that openness policy enhances countries’ capacity to manage the adverse effects of food price shocks on life expectancy at birth. This suggests that the tempting policy option of reducing openness to trade during food price shocks is not an efficient choice as regards the human development. Countries must therefore set institutional arrangements that could prevent policy-makers from taking this inefficient policy option.     

银行信贷与宏观经济波动:2003—2009

基于中国宏观经济金融的现实环境,通过构建反映宏观经济变量之间内在联系的结构向量自回归(SVAR)模型,实证检验2003年以来银行信贷投放对中国宏观经济波动的影响。结果表明:一方面,中国信贷规模资金的投放对宏观经济的稳定发展产生了重要的推动作用,但是信贷投放对经济增长的冲击效应会随着时间的变化逐渐趋弱;另一方面,短期来看,信贷资金的大规模投放不会对物价水平的攀升产生影响,但由于其是物价变动的主要因素,在长期内,必须合理估计中国将来在物价水平调控方面可能面临的较大压力。     

The Effects of Oil Price Shocks on Output

This analysis explores the effects of oil price shocks on U.S. economic growth. We begin with a well-known model developed by James Hamilton, consider refinements to his definition of an oil price “shock,” and then explore alternatives to his basic reduced-form model. We find that a structurally inspired error-correction model for non-farm business output, which allows for oil price changes to have both long-run and short-run effects, performs better than the basic reduced-form model and also shows significantly smaller adverse effects of rising oil prices. Our preferred model suggests that oil prices reduced GDP growth by about 0.4 percentage point on average through the first three quarters of 2008, before contributing 1.7 percentage points in the fourth quarter as prices plummeted.     

The effect of oil price shocks on asset markets: Evidence from oil inventory news

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/2008 crisis but increase after it. Positive oil price shocks cause a depreciation of the U.S. dollar against a broad range of currencies but have only a modest effect on bond futures returns. The evidence suggests that changes in risk premia help to explain the time-varying effect of oil price shocks on U.S. equity returns.     

The Importance of Global Shocks for National Policymakers – Rising Challenges for Sustainable Monetary Policies

This paper analyses the importance of global shocks for the global economic developments and national policymakers from a novel perspective. On the one hand, we examine whether global factors convey additional information about monetary conditions not summarised by national aggregates. More specifically, we keep an eye on the question whether domestic monetary policies have become less effective in the wake of financial globalisation. We adopt a FAVAR framework to derive structural shocks on a worldwide level and their impact on other global and also national variables. We estimate our macromodel using quarterly data from Q1 1984 to Q4 2012 for the G7 countries plus the euro area. According to our results, global liquidity shocks significantly influence the global economy at the commodity price level. However, some other common shocks originating from house prices and GDP play a role at the global level as well.     

Explaining business cycles in small open economies: ‘How much do world prices matter?’

This paper analyzes the role of world price shocks - fluctuations in the prices of capital, intermediate, and primary goods, and in the world real interest rate - in the generation and propagation of business cycles in small open developing countries. I construct a stochastic dynamic multi-sector small open economy model. The model is a variant of the specific-factors model and reflects the major structural characteristics of developing economies. I utilize variance decomposition methods to quantitatively evaluate the impact of world price shocks. The results indicate that world price shocks account for a significant fraction of business cycle variability in developing countries.     

Valuation effects with transitory and trend productivity shocks

Changes in asset prices of a country's foreign assets and liabilities (“valuation effects”) are commonly thought of as stabilizing: they counteract current account movements and mitigate the impact of the current account on the country's net foreign asset (NFA) position. This paper shows that whether valuation effects are stabilizing or not depends critically on the nature of the underlying productivity shocks. In response to transitory shocks, valuation effects are stabilizing; but in response to trend shocks, such effects amplify the impact of the current account on NFA position. These contrasting effects arise because optimally smoothing consumers respond differently to a transitory shock than to a trend shock to income. This theoretical result finds empirical support with G7 countries' data, and is illustrated by the pattern of external imbalances between the U.S. and other G7 countries since the 1990s.     

The costs of lead bank–distressed borrower relationships: evidence from commercial lending in Taiwan

This is the first study to investigate the impact of the adjudication of a borrower's reorganisation filing on the shareholder wealth of the lead bank. The results reveal that the market is acutely sensitive to adverse information and the reorganisation adjudication of a borrower's plan has a detrimental effect on the reputation and wealth of the lead bank. Further, while both are positively associated with wealth effects, the RATE of the loan-level variable is more highly related than the LEVERAGE of the borrower-level variable to wealth loss. Additionally, large lenders experience less wealth loss. The higher the bank debt of a firm, the higher the adverse abnormal returns to the lead bank. Higher collateral and rates on loans are used to compensate for the greater risk of the loan portfolio. Likewise, the market may view lead banks with high loan loss reserves as banks that are not particularly adept at identifying creditworthy borrowers.     

The role of expenditure switching in the global imbalance adjustment

In theory, nominal exchange rate movements can lead to “expenditure switching” when they generate changes in the relative prices of goods across countries. This paper explores whether the expenditure-switching role of exchange rates has changed in the current episode of significant global imbalances. We develop a multi-sector two-country model for the United States and the G6 countries, with the rest of the world captured by exogenous price and demand shocks, and estimate the model over two sub-samples, which cover the periods before and after the early 1990s. Our results indicate that both U.S. imports and exports have become much less responsive to exchange rate movements in recent years, mainly due to changes in firms' pricing behavior and global trade pattern. These findings suggest that the exchange rate would have to move by a much larger amount now than in the 1970s and 1980s to reduce the U.S. trade deficit by a given amount.     

Crude oil prices and the balance of trade: Asymmetric evidence from selected OPEC member countries

The contribution of this article is to assess whether the effects of crude oil price fluctuations on the trade balance are symmetric or asymmetric in the context of an individual oil-exporting country, specifically four OPEC member countries – Iran, Nigeria, Saudi Arabia, and Venezuela. To examine this subject thoroughly, we use three different measures of trade balances such as oil trade balance, non-oil trade balance, and total trade balance, and examine whether oil prices are asymmetrically passed on to the trade balances for those OPEC countries in the long- and short-run. After implementation of the nonlinear autoregressive distributed lag (ARDL) model, we find that changes in oil prices indeed have asymmetric effects on the oil trade balance for all four OPEC countries in the long-run, though not in the short-run. In the case of the non-oil and total trade balance, however, the asymmetry of oil price changes is not detected in both the long- and short-run.     

大银行信贷与中小企业融资的适配性问题研究

传统意义上,人们认为大银行信贷不适合中小企业融资,文章研究认为大银行是否适合中小企业,要考虑两个关键问题：首先是企业本身处于哪个阶段,由于风险和收益的影响,大银行不适合向初创期和衰退期的企业放贷,而处于成长期或成熟期且具有发展潜力的企业应该成为银行的主要服务对象;其次是银企之间的信息不对称,阻碍了大银行向中小企业贷款。在中小企业信用系统不健全,银行欠缺高效的贷款技术之前,大银行不适合直接面向中小企业贷款,而应该借助信息中介,例如民间金融、中小银行、电子商务平台等,才能提高银行的贷款效率,缓解中小企业融资难和融资贵的问题。     

Forecasting oil price movements: Exploiting the information in the futures market

Relying on the cost of carry model, the long‐run relationship between spot and futures prices is investigated and the information implied in these cointegrating relationships is used to forecast out of sample oil spot and futures price movements. To forecast oil price movements, a vector error correction model (VECM) is employed, where the deviations from the long‐run relationships between spot and futures prices constitute the equilibrium error. To evaluate forecasting performance, the random walk model (RWM) is used as a benchmark. It was found that (a) in‐sample, the information in the futures market can explain a sizable portion of oil price movements; and (b) out‐of‐sample, the VECM outperforms the RWM in forecasting price movements of 1‐month futures contracts. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:34–56, 2008     

Lending technologies,lending specialization,and minority access to small-business loans

We investigate minority access to small-business loans using a probit model of loan application denial that recognizes two loan types (line-of-credit loans and non-line-of-credit loans) made by two lender types (commercial banks and nonbank financial institutions). We estimate our model on data from the 1998 Survey of Small Business Finances. We find evidence consistent with minority equal access to bank credit lines and nonbank non-line-of-credit loans in highly competitive loan markets; in less competitive markets we find evidence consistent with unequal access to these loans. We also find evidence consistent with unequal minority access to bank non-line-of-credit loans, regardless of loan market competitiveness. Our findings differ from previous research which treats small-business loans as a homogenous product and finds evidence consistent with unequal minority access to small-business loans generally. We argue that the existence of multiple small-business lending technologies and loan specialization by lenders account for our findings and demonstrate the need to treat small-business loans as a heterogeneous product when investigating equal access to small-business credit.     

Business Cycles Synchronicity and Income Levels: Has Globalisation Brought us Closer Than Ever?

Research on business cycle linkages shows a tendency to model countries of relatively the same income levels jointly. However, the issue of whether these countries move along the same business cycles has not been formally investigated in the literature. In this paper, we take this approach and investigate whether each group of countries follows its own dynamics and is therefore subjected to the same business cycle and whether these cycles are independent of each other across income groups. Results indicate that high income per capita countries (HICs) tend to be guided by stronger similarity in business cycles than countries in the middle (MICs) and low income (LICs) groups. In search for an explanation of the business cycles synchronicity observed, panel data analysis was explored. The results from the robust fixed effects estimation show neither trade openness nor shocks to consumption underlie international business cycle synchronization, but rather shocks to oil prices.     

国际油价与人民币汇率传导效应研究

随着全球经济一体化进程加速,国际油价波幅加大,国际油价冲击对汇率的传导作用问题为国际社会所关注。通过实证研究证明国际油价冲击对人民币兑美元实际双边汇率存在传导效应,当国际油价上涨时,人民币实际汇率先贬值再升值。在国际油价波动日益剧烈的今天,人民币名义汇率保持稳定将有利于中国经济的发展。     

Monetary policy and commodity price shocks

Against the background of the dramatic changes in the prices of oil and other raw materials in the recent past, this paper analyses the effects of commodity price shocks in a New Keynesian model. The focus is on the central bank’s choice of inflation target and the degree of real wage rigidity. It turns out that using core inflation rather than headline inflation is the superior strategy. Targeting expected headline inflation, as practised by most central banks, is a viable practical alternative to the core inflation target.