东亚消费风险分担的度量及潜在福利分析

文章利用1970-2004年的相关数据,度量了东亚13个经济体的消费风险分担的程度以及东亚地区在实现完全风险分担后带来的潜在福利收益.实证结果表明:东亚区域资本市场在平滑GDP冲击方面的作用非常小,对区域借贷市场虽有一定的作用,但较为有限,这说明东亚的消费风险分担程度还相当低;相比OECD国家和欧盟国家,东亚各经济体风险分担的福利收益是比较高的.     

Changes in the second-moment properties of disaggregated capital flows

Using formal statistical tests, we detect (i) significant volatility increases for various types of capital flows for a period of changes in business cycle comovement among the G7 countries, and (ii) mixed evidence of changes in covariances and correlations with a set of macroeconomic variables.     

Financial Globalization,International Business Cycles and Consumption Risk Sharing*

In spite of two decades of financial globalization, consumption‐based indicators do not seem to signal more international risk sharing. We argue that the fraction of idiosyncratic consumption risk that gets shared among industrialized countries has actually increased considerably over the period 1980–2000 and, in particular, during the 1990s—from around 30 to more than 60 percent. However, standard consumption‐based measures of risk sharing—such as the volatility of consumption conditional on output or international consumption correlations—have been unable to detect this increase because consumption has also been affected by the concurrent decline in the volatility of output growth in most industrialized countries since the 1980s. First, the volatility of output at business‐cycle frequencies has declined by more than has the volatility of permanent fluctuations. Since consumption reacts mainly to permanent shocks, it appears more volatile in relation to current changes in output. This effect seems to have offset the tendency of financial globalization to lower the volatility of consumption conditional on output. Second, because the variability of permanent global shocks has also fallen, international consumption correlations have also generally not increased as financial markets have become more integrated.     

Reserves,Sovereign Wealth Funds and the Resilience of Global Imbalances

Reserves and sovereign wealth funds (SWFs) assets should be jointly considered for the assessment of global imbalances, hence their denomination as sovereign external assets (SEAs): both are public capital outflows from developing to developed countries, both hinder adjustment in current account surplus and deficit countries and, therefore, both contribute to sustain global imbalances. They represented 135 per cent and 50 per cent of net and gross US financing needs, respectively, in 2007. Reserves contribute 80 per cent and SWFs 20 per cent. They will go on providing resilience to the global imbalances, and the relative importance of SWFs is set to increase if commodity prices stay high.     

Marriage,Divorce, and Interstate Risk Sharing*

In this paper, we study the importance of marriage for interstate risk sharing in the US. We find that US federal states in which married couples account for a higher share of the population are less exposed to state‐specific output shocks. Thus, in addition to improving the allocation of risk at the individual level, marriage also has implications for risk sharing at the more aggregated state level. Quantitatively, the impact of marriage on interstate risk sharing varies over divorce regimes.     

Fertility and the puzzle of female employment in the Middle East and North Africa

Female labour force participation rates across the Middle East and North Africa (MENA) region have remained low for over four decades even though, in the same period, women's education rapidly increased and fertility rates substantially decreased. This study provides a better understanding of this surprising phenomenon by testing whether the number of children affects the mother's labour supply (using twins at first birth as an instrumental variable.) Despite a strong first stage, it does not find statistically significant effects in the second stage, even in the combined sample of over 100,000 observations. This non‐result, however, does not rule out that fertility affects women's employment in these countries. But it rejects impacts larger than 0.09. Similar twin‐studies in the United States found effects between 0.12 and 0.31. The paper discusses the implications of this result in understanding the puzzle of female participation in MENA and in designing policies to increase women's employment.     

Status Preference, Wealth and Dynamics in the Open Economy

Abstract. The implications of status preference in a simple open economy model are investigated in this paper. The open economy is modeled as a continuum of identical representative agents who have preferences over consumption and status. In the paper status is identified as relative wealth, which takes the form of relative holdings international financial assets. A symmetric macroeconomic equilibrium is derived in which status is the source of transitional dynamics for domestic consumption and the current account balance. This result illustrates another way to combine transitional dynamics with interior equilibria in the small open economy Ramsey model with perfect capital mobility. We also show that status preference plays a critical role in influencing the open economy's adjustment to government expenditure and world interest rate shocks.     

Structural breaks in the lending interest rate pass-through and the euro

This paper investigates whether size and speed of the pass-through of market rates into short term business lending rates have increased in the wake of the introduction of the euro. Allowing for multiple unknown structural breaks we find two in four EMU countries, and in the UK as well, and a single one in five other countries. The pattern of dates fits national banking systems adjusting slowly to the new monetary regime and suggests caution in associating structural changes to the introduction of the euro. The estimated equilibrium pass-through in the last break-free period is on average more incomplete, hinting at a reduced effectiveness of the single monetary policy. These results run against the economic intuition that a reduced volatility in money market rates is bound to mitigate uncertainty and to ease therefore the transfer of policy rate changes to retail rates; the run-up to Basel 2 and a deterioration of competition in loan markets could be the motivations. Caution in extrapolating these findings to recent periods is suggested by the differences between the unharmonized and the new harmonized retail rates.     

Money Illusion and the Double Dividend in the Short Run

Abstract. In their seminal paper, Bovenberg and de Mooij (1994) elucidate why an ecological tax reform will not yield a double dividend, i.e. fails to increase the efficiency of the tax system. The present paper slightly modifies the Bovenberg and de Mooij model by introducing money illusion. With this modification, an environmental tax reform that raises the price level may generate a double dividend, since the additional tax on the dirty good does not reduce labor supply. A prerequisite for the double dividend to occur is a sufficiently small elasticity of substitution between clean and dirty consumption. Moreover, accounting for money illusion always reduces the intertemporal gross cost of the tax reform.     

A comparison of national saving rates in the UK, US and Italy

We develop the approach of Gokhale, Kotlikoff and Sabelhaus [1996. Understanding the postwar decline in US saving: A cohort analysis. Brookings Papers on Economic Activity 0, 315-390], based on the life-cycle model of savings, to decompose the differences in the national saving rates between the UK, US and Italy. Our work suggests that the US saving rate is lower principally because Americans on average retire later. In contrast, the Italian saving rate is higher predominantly because Italians are credit constrained, particularly when young. We also found that demography and the different tax and benefit systems are able to explain little of the cross-sectional differences in saving rates. The study accounts for the possible importance of inter-generational private transfers in determining saving rates.     

How does the flow of remittances affect the trade balance of the Middle East and North Africa?

ABSTRACT

The Middle Eastern and North African (MENA) economies have one of the highest degrees of dependency on received remittances worldwide. In this study, we have examined the role of remittances in the trade balance of 11 labour abundant MENA countries. Our panel regression analysis showed that the inflow of remittances has fostered the trade deficit. We also found that the final effect of remittances depends on the level of domestic capital formation. The results are robust after controlling for other drivers of trade deficit such as income, inflation, exchange rate and institutions as well as country and year fixed effects.     

Unilateral Divorce for Women and Labor Supply in the Middle East and North Africa: The Effect of Khul Reform

ABSTRACT

This contribution investigates whether the introduction of Khul, Islamic unilateral divorce rights for women, helps to explain recent dramatic increases in women's labor supply in Middle Eastern and North African (MENA) countries over the 1980–2008 period. It shows, using data for eighteen countries, that Khul reform increased the labor force participation of women relative to men. Furthermore, we find evidence that the effect of Khul is larger for younger women (ages 24–34) compared to older women (ages 35–55). Younger women increased their labor force participation by 6 percent, which accounts for about 10 percent of the increase in their labor force participation from 1980 to 2008.     

The changing role of education in the distribution of earnings and household income

This article draws on income surveys from the last two decades to report on trends in earnings disparities and household income inequality in the Czech Republic. Education has been the main axis of change in this area, having acquired a much greater role in the entire process of collecting and distributing income. First, an increasing influence of education is evident in the personal earnings of employees, returns to education having doubled. Second, in couples, education has an important impact on both women’s employment and their earnings. Third, the importance of marital partners’ education levels on household income grew even more than its effect on earnings.     

Exit strategies,capital flight and speculative attacks: Europe's version of the trilemma

In the winter 2011/12, a wave of internal capital flight prompted the ECB to abandon its exit strategy and announce an unprecedented monetary expansion. We analyze this episode in several dimensions: (i) we provide an event-study analysis, covering key variables from national central banks' balance sheets, (ii) we rationalize the empirical patterns in a formal discussion of the constraints in a monetary union and (iii) we analyze different indicators of redenomination risk in the euro area. Finally, we argue that the euro area entails an inherent policy trilemma that makes it prone to speculative attacks.     

Risk aversion and risk loving in the small: a decomposition of the multivariate risk premium

This note proposes a decomposition of the familiar scalar multivariate risk premium into components which can be easily interpreted in the context of consumer theory. The premium under consideration is the standard one used to ascertain the impact of price and income risk on consumer welfare. This proposed premium decomposition allows for a more intuitive identification of the detrimental and beneficial effects that arise from income and price risk. As an illustrative example, this decomposition is used to ascertain the welfare effects arising from the price fluctuations experienced by UK households over the period 1963–97.     

The effects of prudential policies on bank leverage and insolvency risk in Central and Eastern Europe

This paper analyses the effects of prudential policies on leverage and insolvency risk in eleven Central and Eastern Europe banking systems in the 2005–2014 period. It explores the relationship between leverage, insolvency risk and regulation variables, and the temporal patterns of this relationship. It also examines whether the effects of prudential policies on leverage and insolvency risk are influenced by bank ownership structure and financial cycle. The paper finds a consistent link between prudential regulation and leverage, which varies over the sample period. Conversely, the insolvency risk shows a stronger relationship with macroprudential policies. The estimates reveal that prudential policies work better on leverage and z-score for foreign banks. Both leverage and insolvency risk are better mitigated over booms. Finally, prudential policies have similar effects on both domestic and foreign banks' stability in normal times, while the effects are opposite during turbulences. These dissimilarities are raising challenges to the conduct of prudential policies.     

Pension Plan Funding,Technology Choice,and the Equity Risk Premium

In this paper, the impact of Lazear contracts with defined‐benefit pensions on aggregate technology composition and the aggregate risk premium is examined. In the presence of capital market constraints affecting workers, defined‐benefit pensions bias the economy towards risk‐free production. Leveraging the risky technology relaxes the constraints and results in more risky production and a fall in the aggregate risk premium. This effect holds with risky debt and low pension shortfall risk but breaks down with high pension shortfall risk. A key prediction is that as Lazear contracts become less common, risky production will increase and the aggregate risk premium will fall.     

The Boom and Bust of the RMB's Internationalization: A Perspective from Cross‐Border Arbitrage

The RMB's internationalization developed very quickly from 2010 to 2015H1, but it slowed down significantly since 2015H2. This paper argues that cross‐border arbitraging activities played a significant role in both the boom and the bust of the RMB's internationalization. A slower pace of the RMB's internationalization based more on real demand might become a new norm in the future. To pursue a more sustainable RMB internationalization in the next decade, the Chinese government should maintain a relatively high economic growth rate, avoid the burst of systemic financial crisis, continue to liberalize the capital account in a gradual and cautious way, accelerate the reform and opening up of the domestic financial market, and integrate the RMB's internationalization with Asian monetary cooperation.     

Employment fluctuations and dynamics of the aggregate average wage in Poland, 1996–20031

The aggregate average wage is often used as an indicator of economic performance and welfare, and as such often serves as a benchmark for changes in the generosity of public transfers and for wage negotiations. Yet if economies experience a high degree of (non‐random) fluctuation in employment, the composition of the employed population will have a considerable effect on the computed average. In this paper we demonstrate the extent of this problem using data for Poland for the period 1996–2003. During these years the employment rate in Poland fell from 51.2 percent to 44.2 percent and most of this fall occurred between the end of 1998 and the end of 2002. We show that about a quarter of the growth in the average wage during this period could be attributed purely to changes in employment.