Cointegration as an explanation for the Meese–Rogoff puzzle

Some economists suggest that the failure of exchange-rate models to outperform the random walk in exchange rate forecasting out of sample can be attributed to failure to take into account cointegration when it is present. We attempt to find out if cointegration matters for forecasting accuracy by examining the relation between the stationarity and size of the forecasting error. Results based on three macroeconomic models of exchange rates do not provide strong support for the proposition that cointegration matters for forecasting accuracy. The simulation results show that while stationary errors tend to be smaller than non-stationary errors, this is not a universal rule. Irrespective of the presence or absence of cointegration, none of the three models can outperform the random walk in out-of-sample forecasting, which means that cointegration cannot solve the Meese–Rogoff puzzle.     

Land prices and unemployment

We integrate the housing market and the labor market in a dynamic general equilibrium model with credit and search frictions. We argue that the labor channel, combined with the standard credit channel, provides a strong transmission mechanism that can deliver a potential solution to the Shimer (2005) puzzle. The model is confronted with U.S. macroeconomic time series. The estimation results account for two prominent facts observed in the data. First, land prices and unemployment move in opposite directions over the business cycle. Second, a shock that moves land prices also generates the observed large volatility of unemployment.     

Labor Unemployment Concern and Corporate Discretionary Disclosure

We investigate how firms strategically vary their disclosure policies in response to labor unemployment concern. Using changes in state unemployment insurance laws as exogenous variations of labor unemployment concern, we show that firms provide more bad news forecasts when unemployment concern is low. This relation is stronger when firms are financially constrained, when CEOs and CFOs have higher equity incentives, and when workers are likely to be affected more by unemployment. Our findings are not driven by earnings management reversal or underlying performance changes, and are robust to a battery of identification tests. Finally, we find a similar effect of unemployment concern on disclosure using the tone of 10‐K and 10‐Q filings as an alternative proxy for corporate disclosure. Overall, our findings suggest that labor unemployment concern is an important consideration for corporate discretionary disclosure.     

CORRUPTION AND MICROCREDIT INTEREST RATES: DOES REGULATION HELP?

Misunderstandings about the structure of microcredit interest rates continue to generate rich criticism of the industry's high interest rates. Research has focused attention on the cost structure of interest rates and, more recently, on macroeconomic and macro‐institutional factors. While the cost structure is probably the most important determinant of interest rates, other factors also matter. In addition to other important results that usually validate the empirical literature, this paper finds that microcredit interest rates respond positively to corruption. The analysis shows that there is asymmetry between the effects of corruption, depending on whether or not the MFIs are regulated. While corruption has a positive and significant impact on interest rates of unregulated MFIs, it has a negligible impact on interest rates of regulated MFIs.     

国有部门与非国有部门的工资差异及影响因素研究

基于CGSS数据，利用Heckman样本选择模型对中国国有部门与非国有部门的工资差异和影响因素进行系统研究。回归结果显示，国有部门员工的教育收益率高于非国有部门，教育收益率与学历水平呈现正相关关系，与非国有部门相比，国有部门中大学本科及以上学历员工的教育收益率更高。工资差异分解结果表明，两部门全样本工资差异中市场歧视占比高于特征差异占比，与全样本相比，大学本科及以上学历员工的工资总差异和特征差异占比更高，系数差异占比更低，说明高学历群体中部门间工资差异更为明显，而且两部门中仍存在较严重的劳动力市场分割和就业歧视问题。因此，政府应努力消除劳动力的流动性障碍，深化国有部门市场化改革，制定更为合理的工资机制，以促进中国经济的持续健康稳定增长。     

Unconventional Monetary Policy in the Eurozone: A Lack of Forward Guidance?

From July to December 2011, the three-month EURIBOR-OIS and EURIBOR-Repo spreads quadrupled and reached 100 basis points due to a stabilization of the EURIBOR and a decrease in the overnight index swap (OIS) and Repo. Using a specific monetary policy announcements and financial indicators database, we find that the European Central Bank’s (ECB’s) unconventional measures did not systematically have a calming effect: Asset buyout announcements decreased market strains, whereas interest rates and liquidity provision announcements did not. Moreover, liquidity provision seems to have a stressing effect. Our findings are consistent with the theoretical underpinnings according to which forward guidance crucially determines the effectiveness of unconventional monetary policies.     

From Financial Repression to External Distress: The Case of Venezuela

Recent work suggests a connection between domestic debt and external default. We examine potential linkages for Venezuela, where the evidence reveals a nexus among domestic debt, financial repression, and external vulnerability. The financial repression tax (as a share of GDP) is similar to OECD economies, in spite of higher debt ratios in the latter. The financial repression “tax rate” is higher in years of exchange controls and legislated interest rate ceilings. We document a link between domestic disequilibrium and a weakening of the net foreign asset position via private capital flight. We suggest these findings are not unique to Venezuela.     

Optimal investment strategies in an international economy with stochastic interest rates

We investigate how investors should optimally choose to invest in a dynamically complete international market. We find closed-form solutions for the optimal investment strategy and for the wealth loss an investor suffers from not investing internationally. Theoretically, we show that the gain from international investment is due to the speculative investment only, and why it is important for an investor from a large economy to invest in a small economy. In a numerical example we compare the wealth losses investors from Denmark and the U.S. suffer due to home bias.     

Minimum Wage Compliance and the Labor Demand Curve

Contrary to the traditional analysis of the employment effects of the minimum wage setting, the author shows that if compliance is contingent upon enforcement, complying with the minimum wage law involves a leftward shift of the labor demand curve rather than an upward movement along the curve. Furthermore, the labor demand curve will shift leftward with enforcement even if enforcement is insufficient to ensure compliance, becoming vertical when the options of compliance and noncompliance are equally attractive. Hence, it is not paying the statutory minimum wage that brings about a reduction in employment down to the full-compliance level but enforcement that, if sufficiently high, induces that same reduction in employment, even if the employer is still noncomplying with the minimum wage law.     

The Role of Human Capital,Market Potential and Natural Amenities in Understanding Spatial Wage Disparities in Chile

Abstract

This paper presents an empirical framework for analysing spatial wage inequality in Chile. Chile is primarily characterized by two stylized facts: the high spatial concentration around the metropolitan area and the key role of natural resources in the country. The paper considers both elements in a competition between NEG (new economic geography) and a theory based on natural resource endowment, with both theories incorporating human capital via a multilevel analysis. The results show the poor performance of NEG for Chile and indicate that natural resources are the principal cause of spatial wage variability in Chile.

RÉSUMÉ La présente communication illustre un cadre d'analyse empirique de l'inégalité spatiale entre les salaires, au Chili. Le Chili est caractérisé principalement par les deux faits stylisés suivants : une concentration spatiale élevée autour de la zone métropolitaine, et le rôle essentiel que jouent les ressources naturelles dans ce pays. Cette communication se penche sur ces deux éléments dans le cadre d'une compétition entre deux théories : d'une part la nouvelle géographie économique (« NEG »), de l'autre une théorie fondée sur la dotation en ressources naturelles, ces deux théories incorporant le capital humain par le biais d'une analyse à multiples niveaux. Les résultats démontrent les mauvais résultats de NEG pour le Chili, et indiquent que les ressources naturelles sont la principale cause de la variabilité spatiale des salaires au Chili.

EXTRACTO Este estudio presenta un marco empírico para analizar la desigualdad espacial de los salarios en Chile. Chile se caracteriza principalmente por dos hechos estilizados: la alta concentración espacial alrededor del área metropolitana y la función clave de los recursos naturales del país. El estudio considera ambos elementos en una competición entre la NEG (Nueva Geografía Económica) y una teoría basada en el legado de recursos naturales, donde ambas teorías incorporan el capital humano a través de un análisis de múltiples niveles. Los resultados muestran un bajo rendimiento de la NEG en relación con Chile e indican que los recursos naturales son la causa principal de la variabilidad espacial de los salarios en Chile.

摘要: 本文提出了一种分析智利区域工资不均的经验框架。智利主要有两大特点: 大城市地区高度空间聚集和农村地区自然资源作用巨大。本文在对NEG (新经济地理学) 和基于自然资源储藏量的理论进行比较时, 考虑了这两个因素, 同时还通过多层次分析纳入了人力资源因素。结果显示智利NEG性能很差, 表明智利区域工资差异的主要原因是自然资源。