石油价格冲击与宏观经济

本文首先讨论石油价格冲击的传导机制,然后考察石油价格冲击对经济增长和通货膨胀的非对称性影响,并分析石油价格上升的货币政策含义,最后提出了政策建议。     

Mortality Shocks and Survivors’ Consumption Growth*

In contrast to health shocks, mortality shocks do not only induce direct costs such as medical and funeral expenses and possibly income loss, but also reduce the number of consumption units in the household. Using data from Indonesia, it is shown that the economic costs related to the death of children and older persons seem to be fully compensated for by the decrease in consumption units. In contrast, when prime‐age adults die, survivors face additional costs and, in consequence, use coping strategies. These strategies seem to be quite effective, although households may face higher long‐term vulnerability.     

House Price Shocks,Windfall Gains and Hours of Work: British Evidence*

Do workers adjust hours of work in response to capital gains and losses? This paper investigates this question using British panel data on individual employees from 1992 to 2001. It investigates hours of work adjustments to two sources of capital gain: financial windfalls and real housing wealth gains. Significant reductions in hours are found for both men and women in response, in particular, to housing gains. Men appear to increase hours in response to real housing losses, whereas women reduce hours in response to real housing gains. Evidence on hours of work preferences suggests that observed adjustments are only partial responses.     

Modelling Regime‐Specific Stock Price Volatility*

Single‐state generalized autoregressive conditional heteroscedasticity (GARCH) models identify only one mechanism governing the response of volatility to market shocks, and the conditional higher moments are constant, unless modelled explicitly. So they neither capture state‐dependent behaviour of volatility nor explain why the equity index skew persists into long‐dated options. Markov switching (MS) GARCH models specify several volatility states with endogenous conditional skewness and kurtosis; of these the simplest to estimate is normal mixture (NM) GARCH, which has constant state probabilities. We introduce a state‐dependent leverage effect to NM‐GARCH and thereby explain the observed characteristics of equity index returns and implied volatility skews, without resorting to time‐varying volatility risk premia. An empirical study on European equity indices identifies two‐state asymmetric NM‐GARCH as the best fit of the 15 models considered. During stable markets volatility behaviour is broadly similar across all indices, but the crash probability and the behaviour of returns and volatility during a crash depends on the index. The volatility mean‐reversion and leverage effects during crash markets are quite different from those in the stable regime.     

Measuring Financial Contagion Using Time‐Aligned Data: The Importance of the Speed of Transmission of Shocks*

This paper presents a new empirical approach to address the problem of trading time differences between markets in studies of financial contagion. In contrast to end‐of‐business‐day data common to most contagion studies, we employ price observations, which are exactly aligned in time to correct for time‐zone and end‐of‐business‐day differences between markets. Additionally, we allow for time lags between price observations in order to test the assumption that the shock is not immediately transmitted from one market to the other. Our analysis of the financial turmoil surrounding the Asian crisis reveals that such corrections have an important bearing on the evidence for contagion, independent of the methodology employed. Using a correlation‐based test, we find more contagion the faster we assume the shock to be transmitted.     

Spatial Price Adjustment with and without Trade*

We investigate the possibility that price transmission between spatially distinct markets might vary during periods with and without physical trade flows. We test for differences between trade and non‐trade regimes by using generalized reduced rank regression (GRRR) techniques suggested by Hansen (2003) . We apply these techniques to semi‐weekly price and trade flow data for tomato markets in Zimbabwe and find that intermarket price adjustment occurs in both trade and non‐trade periods. Indeed, the adjustments are generally larger and more rapid in periods without physical trade flows. This finding underscores the importance of information flow for market performance.     

Women caring for pre-school children in the USA*

Les mesures prises aux USA pour les enfants d'âge préscolaire et leurs parents, surtout les mères, font l'objet de cette étude. Les mesures sociales, pédagogiques et fiscales qui ont été, soit débattues, soit développées par le gouvernement fédéral dans les deux dernières décennies, y sont discutées. Elles montrent les présomptions qui étayent la politique de l'état vis-à-vis des femmes dans une société capitaliste avancée. La division sexuelle et sociale du travail, qui est une des clefs de l'économie capitaliste, se voit renforcée par des mesures en faveur de la ‘famille’ et en particulier des femmes qui doivent s'occuper d'enfants d'âge préscolaire. Néanmoins, à tout moment, les femmes peuvent se voir attribuer différents rôles, à la fois au sein du système économique et â la maison, selon les besoins en main-d'?uvre de l'économie. Elles peuvent donc être encouragées à prendre un travail rémunéré, ou au contraire sanctionnées. Durant la période étudiée, les femmes des classes moyennes étaient pourvues, mais celles de la classe ouvrière, et surtout les mères seules, sans source de support financier, ont été forcées de trouver du travail. En même temps, les femmes sont restées les gardiennes principales des enfants d'âge préscolaire.     

Testing the Structural Interpretation of the Price Puzzle with a Cost‐Channel Model*

We estimate a variety of small‐scale new‐Keynesian DSGE models with the cost channel to assess their ability to replicate the ‘price puzzle’, i.e. the inflationary impact of a monetary policy shock typically arising in vector autoregression (VAR) analysis. To correctly identify the monetary policy shock, we distinguish between a standard policy rate shifter and a shock to ‘trend inflation’, i.e. the time‐varying inflation target set by the Fed. Our estimated models predict a negative inflation reaction to a monetary policy tightening. We offer a discussion of the possible sources of mismatch between the VAR evidence and our own.     

The Relative Price of Non‐traded Goods under Imperfect Competition*

We consider the role of imperfect competition in explaining the relative price of non‐traded to traded goods within the Balassa–Samuelson framework. Under imperfect competition in these two sectors, relative prices depend on both productivity and mark‐up differentials. We test this hypothesis using a panel of sectors for 12 OECD countries. The empirical evidence suggests that relative price movements are well explained by productivity and mark‐up differentials.     

A comparative analysis of moonlighting in Great Britain and the USA*

There has been recent considerable interest in Britain and other countries in the practice of holding two paid jobs. This article provides the first comparative analysis of the nature and extent of ‘moonlighting’ in Britain and the USA.     

Regional Asymmetries in the Impact of Monetary Policy Shocks on Prices: Evidence from US Cities*

Variations in real exchange rates across US cities are smaller than corresponding international variations, but nevertheless substantial. We find that a proportion of these variations can be explained by asymmetric responses to federal monetary policy shocks, and that a large part of the asymmetry can be explained by city‐specific economic characteristics including the composition of local industry, bank size, house prices and the age distribution of the population.     

On the Importance of Sectoral and Regional Shocks for Price‐Setting

We use novel disaggregate sectoral‐regional euro‐area data to investigate the sources of price changes, introducing a new method to extract factors from overlapping data blocks that allows for estimation of aggregate, sectoral, country‐specific and regional components of price changes. Our sectoral component explains much less variation in disaggregate inflation rates and exhibits much less volatility and more persistence than previous findings for the US indicate. Country‐ and region‐specific factors play an important role, emphasizing heterogeneity of inflation dynamics along both sectoral and geographical dimensions. Our results are incompatible with basic sticky‐information or Calvo‐type price‐setting models, but require multi‐sector, multi‐country models. Copyright © 2015 John Wiley & Sons, Ltd.     

The Relative Importance of Symmetric and Asymmetric Shocks: The Case of United Kingdom and Euro Area*

We show how a simple model with sign restrictions can be used to identify symmetric and asymmetric supply, demand and monetary policy shocks in an estimated two‐country structural VAR for the UK and Euro area. The results can be used to deal with several issues that are relevant in the optimal currency area literature. We find an important role for symmetric shocks in explaining the variability of the business cycle in both economies. However, the relative importance of asymmetric shocks, being around 20% in the long run, cannot be ignored. Moreover, when we estimate the model for the UK and US, the degree of business cycle synchronization seems to be higher. Finally, we confirm existing evidence of the exchange rate being an independent source of shocks in the economy.     

Loan Supply Shocks and the Business Cycle

This paper provides empirical evidence on the role played by loan supply shocks over the business cycle in the euro area, the UK and the USA from 1980 to 2011 by estimating time‐varying parameter vector autoregression models with stochastic volatility and identifying these shocks with sign restrictions consistent with the recent macroeconomic literature. The evidence suggests that in all three economic areas loan supply shocks appear to have a significant effect, with clear signs of an increasing impact over the past few years. Moreover, the role of loan supply shocks is estimated to be particularly important during recessions. Copyright © 2016 John Wiley & Sons, Ltd.     

Price Stickiness in the US and Europe Revisited: Evidence from Internet Prices*

This paper compares price stickiness on the Internet and in traditional brick‐and‐mortar stores and examines differences across five countries: France, Germany, Italy, the UK and the US. Contrary to conventional retail prices, we find that Internet prices change less often in the US than in EU countries. However, this does not hold for all product categories. Second, prices on the Internet are not necessarily more flexible than prices in brick‐and‐mortar stores. Third, our dataset reveals substantial heterogeneity in the frequency of price changes across Internet shops. Finally, panel logit estimates suggest that the likelihood of observing a price change is a function of both state‐dependent and time‐dependent factors.