Modeling the macroeconomic effects of AIDS, with an application to Tanzania.

The 1956 Solow growth model is expanded to study the effects of the AIDS epidemic on the growth path of the economy and per capita GDP (gross domestic product). AIDS and no-AIDS scenarios are compared analytically and via simulations based upon Tanzanian demographic and macroeconomic data. The 1st section discusses various channels through which AIDS might affect the macroeconomy and describes its expected demographic impact in Tanzania. The model incorporating these key channels is then developed in the 2nd section. It is employed specifically to discuss the likely effect on the ratio of capital to labor and on output per capita as the economy moves from a no-AIDS situation toward a new steady state in which AIDS is assumed to be endemic. A simple simulation model in the 3rd section forecasts the time paths of macro aggregates in Tanzania as the prevalence of AIDS increases. These time paths are then compared with simulated results for a no-AIDS situation to determine the severity of the impact of the disease on the growth path of the Tanzanian economy, Bulatao's 1990 demographic scenarios are input in the simulated version of the model. The 4th section concludes by considering the policy implications of the analysis. The analysis indicates that without decisive policy action AIDS may reduce the GDP of Tanzania in the year 2010 by 15-25% over what it would be if AIDS did not exist. Per capita income levels are expected to fall by 0-10% by the year 2010.     

The effects of wage indexation on macroeconomic fluctuations: A generalization

This paper investigates the effects of wage indexation on fluctuations in employment, output, investment and the price level within a more general framework than that used in recent literature. The generalization involves: (a) a more general labor contract which allows labor supply as well as labor demand to affect actual employment in disequilibrium, and (b) a regular IS-LM framework which includes the previously used monetarist framework as a particular case. It is found that the effects of wage indexation on fluctuations in various economic variables depend in many cases on whether demand or supply dominates the labor market in disequilibrium. The exact dependence is characterized and used to reappraise recent results and develop new results.     

Bursting bubbles: Further results

It is widely recognized that simple perfect foresight maximizing models often allow a continuum of hyperinflationary equilibria in the presence of a fixed money supply. Various attempts have been made to restrict the number of equilibria in such models. This paper illustrates some new aspects of a recent proposal.     

Some macroeconomic effects of nationalizing private sector foreign debt

In the recent debt crisis years, many governments have adopted foreign debts of their domestic private sectors. This paper uses a simple small open economy version of Blanchard's (1985) overlapping generations model to demonstrate that such a policy encourages the accumulation of national foreign debt and can contribute to higher inflation. Because individuals have finite lives they fail to fully internalize the government's intertemporal budget constraint. Current generations therefore regard the debt relief as an increase in wealth. They raise consumption which causes current account deficits. Future generations have to lower consumption to service the additional debt. The debt service takes the form of a higher inflation tax. If the government tries to stabilize exchange rates while nationalizing debt, both the debt and inflation problems are exacerbated.     

Some dynamic theory of macroeconomic policy effects on income and prices under the government budget restraint

Consider a macroeconomic model with constant capacity, an inflation adjustment process depending on excess demand, a government budget restraint, and plausible assumptions. Steady-state equilibrium paths have constant (possibly zero) inflation rates. Stability is assured if the endogenous policy variable is money, government purchase, or the tax rate; if it is government debt instability is assured (contrary to Blinder-Solow). Exogenous increases in money or government purchases raise prices in the short and long run. An open market purchase raises prices in the short run, but if money is endogenous it reduces money and prices in the long run.     

Structural change and the macroeconomic effects of oil shocks: empirical evidence from the United States and Japan

This paper investigates whether the USA and Japan have become better insulated from oil price disturbances due to more favorable structural conditions: new production technologies allowing greater energy substitution, the development of energy commodity markets, reduced energy-intensity of production, more market-oriented energy policies, and so on. We decompose the influences of oil shocks on real GNP growth and inflation movements in the context of a simultaneous equation model where identification is partly achieved by restricting the long-run dynamics. We find that oil shocks accounted for a greatly reduced fraction of real GNP growth and inflation variance in both countries primarily because of superior insulation characteristics rather than reduced importance of oil disturbances. Our estimates suggest that a similar percentage oil price hike would have exerted about one-quarter the contractionary effect on real GNP and upward push in inflation in the 1980s compared with the previous two decades. (JEL: E31, E32, F30).     

Reconciling conflicting evidence on the elasticity of intertemporal substitution: A macroeconomic perspective

In this paper we reconcile two opposing views about the elasticity of intertemporal substitution (EIS). Empirical studies using aggregate consumption data typically find the EIS to be close to zero, whereas calibrated models designed to match growth and fluctuations facts typically require it to be close to one. This contradiction is resolved when two kinds of heterogeneity are acknowledged: one, the majority of households do not participate in stock markets; and two, the EIS increases with wealth. We introduce these two features into a standard real business cycle model. First, limited participation creates substantial wealth inequality as in the U.S. data. Consequently, the properties of aggregates directly linked to wealth (e.g., investment and output) are mainly determined by the (high-EIS) stockholders. Since consumption is much more evenly distributed than is wealth, estimation from aggregate consumption uncovers the low EIS of the majority (i.e., the poor).     

Growth options,macroeconomic conditions,and the cross section of credit risk

This paper develops a structural equilibrium model with intertemporal macroeconomic risk, incorporating the fact that firms are heterogeneous in their asset composition. Compared with firms that are mainly composed of invested assets, firms with growth options have higher costs of debt because they are more volatile and have a greater tendency to default during recession when marginal utility is high and recovery rates are low. Our model matches empirical facts regarding credit spreads, default probabilities, leverage ratios, equity premiums, and investment clustering. Importantly, it also makes predictions about the cross section of all these features.     

Central banks and macroeconomic policy choices: Relaxing the trilemma

Macroeconomic policy choices in open economies are constrained by the trilemma according to which the objectives of exchange rate stability, monetary independence and capital mobility cannot be attained jointly. This paper shows that foreign exchange interventions provide an effective instrument to relax the trilemma. An active reserve policy allows central banks to pursue independent monetary and exchange rate policies when the capital account is liberalised.We use the framework of the portfolio balance model to show that exchange market interventions may substitute for capital controls. Both allow a country to achieve the other two objectives of the trilemma. Our empirical analysis of a large country panel data set covering the period 1970–2010 confirms this theoretical insight: the weighted sum of the three trilemma objectives increases in the degree of foreign exchange market intervention. The capacity to relax the trilemma constraint has increased over time and has been most effective in emerging markets.     

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. We decompose bid and ask returns into a common (“efficient return”) factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances.     

External shocks, U.S. monetary policy and macroeconomic fluctuations in emerging markets

Estimated structural VARs show that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect interest rates and the exchange rate in a typical emerging market quickly and strongly. The price level and real output in a typical emerging market respond to U.S. monetary policy shocks by more than the price level and real output in the U.S. itself. These findings are consistent with the idea that “when the U.S. sneezes, emerging markets catch a cold.” At the same time, U.S. monetary policy shocks are not important for emerging markets relative to other kinds of external shocks.     

宏观经济形势对信用卡行业的影响

自2007年下半年以来,国内外经济形势产生了明显的周期性变化趋势,通货膨胀率提高,经济增长势头放缓.国内飞速发展的信用卡行业是否受宏观经济变化的影响及其影响程度如何,本文试图对此加以详细阐述.     

On the impact of macroeconomic news surprises on Treasury-bond returns

This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (1) the main bond market movers are based on economic activity and inflation indicators, (2) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (3) the bond market is more sensitive to negative surprises than to positive ones. Finally, we find evidence of an empirical monotonic relationship between the surprises’ impact and their corresponding news’ publication date and/or their sign.     

马骏：我对中国经济的几点看法

2010年中国经济走势如何？股市还会有进一步上升的空间吗？出口还会有反弹吗？会出现通胀吗？投资呈现什么态势？德意志银行大中华区首席经济学家马骏对这些问题做出分析.     

Asset pricing and the role of macroeconomic volatility

Standard Real Business Cycle (RBC) models are well known to generate counter-factual asset pricing implications. This study provides a simple extension to the prior literature by studying an economy that follows a regime-switching process in conjunction with Epstein–Zin preferences for consumers. We provide a detailed theoretical and numerical analysis of the model’s predictions. We also show that a reasonable parameterization of our model conveys financial figures in line with US postwar data. Furthermore, we provide evidence in support of modeling a regime-dependent macroeconomic risk.     

The effect of macroeconomic news on beliefs and preferences: Evidence from the options market

We examine the effect of regularly scheduled macroeconomic announcements on the beliefs and preferences of participants in the U.S. Treasury market by comparing the option-implied state-price densities (SPDs) of bond prices shortly before and after the announcements. We find that the announcements reduce the uncertainty implicit in the second moment of the SPD regardless of the content of the news. The changes in the higher-order moments, in contrast, depend on whether the news is good or bad for economic prospects. We explore three alternative explanations for our empirical findings: relative mispricing, changes in beliefs, and changes in preferences. We find that our results are consistent with time-varying risk aversion.