De Vraag Naar Liquiditeiten in Nederland, 1952–1971

Summary This study examines the demand for money (broadly defined) in the Netherlands. The basic model assumes the long run demand for money to depend upon expected real income and prices, the rate of interest and a cyclical indicator. The actual money balances approach equilibrium with an exponentially distributed lag. The model is estimated with seasonally adjusted quarterly data covering the period 1952: I-1971:IV. We found an income elasticity of 0.85 and an interest elasticity of –0.20, a price elasticity close to 1 and a negative correlation between the demand for money and the cyclical indicator. We also found some statistical evidence for the hypothesis that the demand function is stable over time.

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De auteurs zijn hoofd resp. medewerker van de sectie wetenschappelijk onderzoek en econometrie op De Nederlandsche Bank N.V. Ze zijn de heer N. J. A. van der Hoeven veel dank verschuldigd voor zijn hulp bij de uitvoering van de berekeningen.     

漏损、FDI外溢效应弹性和东道国福利

FDI对东道国福利负的外溢效应源于其漏损的存在,然而目前的文献少有对漏损的分析。本文的两部门模型在Ramsey的框架下考虑FDI带来的漏损,说明外资企业技术水平对内资企业技术水平的影响弹性影响均衡消费增长率。忽略其他因素,促进外溢效应弹性大于1有利于东道国福利的提升。运用1999年到2004年省区面板数据的实证分析说明,总体而言FDI外溢效应缺乏弹性,因此理顺外溢效应发挥的渠道成为当务之急。     

Implications of Exchange Rate Pass-Through and Nontradable Goods for International Policy Cooperation

This paper investigates the welfare consequences of international policy cooperation by simultaneously introducing the following three elements in a standard two-country general equilibrium model: (i) general degrees of exchange rate pass-through, (ii) nontradable goods and their sector-specific productivity shocks, and (iii) general weights on goods in Cobb–Douglas consumption indices. There are two channels for possible mutual welfare gains from policy cooperation: First, cooperation can compensate for insufficient changes in the terms of trade when the degree of exchange rate pass-through is intermediate. Second, countries can cooperate in reaction to shocks in the nontradable goods sectors. This second channel is revealed by deriving an analytical condition for welfare gains under full pass-through and this condition is characterized by the weights in the consumption indices and the variances of sector-specific productivity shocks. Numerical evaluation demonstrates that when the two countries are symmetric and equal weights on consumption goods are assumed, welfare gains from cooperation increase as symmetric pass-through elasticity increases, which implies that the second channel dominates the first, whose effect on welfare gains is nonmonotonic in pass-through elasticity.     

On the comparison of tariffs and quotas in oligopolistic intermediate goods markets

This paper examines and compares the effects of tariffs and quotas imposed on oligopolistic intermediate input markets. We introduce tariff and quota revenues and the substitutability of all inputs including two intermediate inputs. We focus on Cournot–Nash equilibrium and show that if the price elasticity of demand for the final good is smaller (respectively greater) than the elasticity of substitution between the intermediate inputs, the output of the duopolist in the protected country is smaller (respectively greater) under a quota than under a tariff.     

Variety,Globalization, and Social Efficiency

The standard formal presentation of the Dixit‐Stiglitz‐Krugman (DSK) model of monopolistic competition with a constant‐elasticity‐of‐substitution (CES) utility function supposes a sufficient number of firms so that the elasticity of demand facing each variety is approximated by a constant elasticity of substitution. Such a formulation forces economies of scale to be frozen so that firm size never changes. We use a Bertrand‐Nash interpretation of the equilibrium that allows the elasticity of demand facing each variety to depend on the number of varieties, thus allowing the gains from globalization to reflect both the increase in variety and the exploitation of economies of scale. We also develop a precise expression for per capita real income with any number of sectors and examine the age‐old question of the socially optimal number of varieties.     

The productivity–wage relationship in South Africa: an empirical investigation

This article investigates the relationship between labour productivity, average real wages and the unemployment rate in South Africa at the macroeconomic level, using time‐series econometric techniques. There is strong evidence of a structural break in 1990, after which time all three variables rose rapidly. The break appears to have negatively affected the level of employment in the first instance, and subsequently fed through into per worker wages and productivity. A long‐term equilibrium (cointegrating) relationship was found between real wages and productivity, but unemployment was apparently unconnected to the system, which lends support to the insider–outsider theory. A long‐term wage–productivity elasticity of 0,58 indicates that productivity has grown more rapidly than wages, which is consistent with the finding that labour's share of gross output has been shrinking over the past decade. These trends may be explained plausibly by the adoption of job‐shedding technology and capital intensification.     

SHORT‐RUN AND LONG‐RUN DETERMINANTS OF THE REAL EXCHANGE RATE IN MEXICO

This paper explores the real exchange rate behavior in Mexico from 1960 until 2005. Since the empirical analysis reveals that the real exchange rate is not mean reverting, we propose that economic fundamental variables affect its evolution in the long run. Therefore, based on equilibrium exchange rate paradigms, we propose a simple model of real exchange rate determination, which includes the relative GDP per capita, the real interest rates, and the net foreign assets over a long period of time. Our analysis also considers the dynamic adjustment in response to shocks through impulse response functions derived from the multivariate vector autoregressive (VAR) model.     

我国西南地区支线机场旅客吞吐量与地区GDP的关系分析

基于协整理论中的平稳性检验、协整检验、误差修正模型,利用1998-2018年的相关数据,从长期弹性和短期弹性的视角,分析西南地区支线机场旅客吞吐量与西南地区GDP的关系。结果表明,西南地区支线机场旅客吞吐量和地区GDP之间呈现长期均衡和协同发展关系,当短期波动偏离长期均衡时,会通过反馈机制调整至均衡状态,并且支线机场旅客吞吐量和地区GDP的长期相关性比短期相关性更为明显。     

PPP: <Emphasis Type="Italic">Delusion</Emphasis> or <Emphasis Type="Italic">Reality</Emphasis>? Evidence from a Nonlinear Analysis

In this paper we analyze the validity of the purchasing power parity (PPP) in a nonlinear framework using data for 18 bilateral US dollar exchange rates. Following Enders and Ludlow (2002), we use unit root and cointegration tests that do not assume a specific nonlinear adjustment. We find evidence of non-linear mean reversion in deviations from the PPP equilibrium in 11 out of 18 currencies. Additionally, to disentangle the respective contribution of exchange rate and prices to the adjustment toward the long run equilibrium, we estimate a Vector Error Correction Model. According to our empirical analysis, there exists a nonlinear mechanism to correct for deviation from the PPP equilibrium that comes mainly from the exchange rates. This is consistent with theoretical arguments on international goods markets under transaction costs as well as with an emerging strand of empirical literature. These results highlight the importance of neglecting the possibility of nonlinearity in the debate about the PPP and provide empirical evidence that supports the scenario of the PPP hypothesis as a reality.     

An empirical analysis of China's equilibrium exchange rate: A co-integration approach

This paper estimates time specific values for China's long-run equilibrium exchange rate and develops measures of the direction and extent of misalignment based on a reduced-form real effective exchange rate (REER) model. An appropriately specified long-run equilibrium model is estimated and tested following Johansen and Juselius (1990) procedures, which is then used to construct an estimated time path for long-run equilibrium exchange rate values.Unit root tests indicated that each series can be considered as I(1) and that there was one cointegrating relationship linking the RMB series with its “fundamentals” – openness, money supply, productivity and government spending – with long-run elasticities of (0.41), (0.97), (0.51) and (0.75), respectively. The estimated error-correction model of REER determination showed that during China's latest exchange rate regime (from 2005:Q3) the RMB was undervalued by an average of 6.7 percent, which is modest compared to related studies.Estimation of the associated short-run error correction model shows that the error correction term has a statistically significant value of 0.85, implying that the actual real effective exchange rates would converge relatively quickly (just over one quarter, on average) towards their long-run equilibrium level in the absence of central bank intervention.     

Training,Job Upgrading,Job Creation and Job Destruction

We extend the Mortensen and Pissarides (1999a, b) model to feature an endogenous upgrading or training rate, to gain a novel, general equilibrium, approach to training and labour market policy to gain a distinct model from the traditional partial equilibrium approach (e.g. Acemoglu and Pischke 1998). Among other results, we show training subsidies decrease equilibrium unemployment incidence, duration and level and less generous unemployment benefits increase the occurance of training. We also show the high elasticity of job destruction to aggregate conditions causes the frequency of training to be procyclical. A calibrated version of our model rationalizes cross-country differences in labour and training equilibrium outcomes.      

Nonlinear Purchasing Power Parity under the Gold Standard

Hegwood and Papell (2002) conclude on the basis of analysis in a linear framework that long-run purchasing power parity (PPP) does not hold for 16 real exchange rate series, which were analyzed in Diebold. I lusted, and Rush (1991) for the period 1792-1913 under the Gold Standard. Rather, PPP deviations are mean-reverting to a changing equilibrium—a quasi PPP (QPPP) theory. We analyze the real exchange rate adjustment mechanism for their data set assuming a nonlinear adjustment process allowing for both a constant and a mean shifting equilibrium. Our results confirm that real exchange rates at that time were stationary, symmetric, nonlinear processes that revert to a nonconstant equilibrium rate. Speeds of adjustment were much quicker when breaks were allowed.     

Intertemporal substitution in consumption, labor supply elasticity and sunspot fluctuations in continuous-time models

The aim of this paper is to discuss the roles of the elasticity of intertemporal substitution in consumption and the elasticity of the labor supply on the local determinacy properties of the steady state in a two-sector economy with constant elasticity of substitution technologies and sector-specific externalities. Our main results provide necessary and sufficient conditions for local indeterminacy. First, we show that the consumption good sector needs to be capital intensive at the private level and labor intensive at the social level. Second, we prove that under this capital intensity configuration, the existence of sunspot fluctuations is obtained if and only if the elasticity of intertemporal substitution in consumption is large enough but the elasticity of the labor supply is low enough. In particular, we will show on the one hand that when the labor supply is infinitely elastic, the steady state is always saddle-point stable, and on the other hand that when the elasticity of intertemporal substitution in consumption is infinite, labor does not have any influence on the local stability properties of the equilibrium path.     

人民币汇率变动的进口价格传递效应——基于贸易方式的实证研究

汇率传递是汇率变动与其经济影响的中间环节,进口价格传递弹性在很大程度上决定了汇率变动对进口的影响大小。本文利用分布滞后模型、协整、向量自回归等方法,研究了三种主要贸易方式的进口价格对人民币汇率变动的传递。结果显示,进料加工进口价格的传递弹性要大于一般贸易。在其他条件不变的情形下,人民币升值对进料加工进口的促进作用明显大于一般贸易;而来料加工装配进口受人民币升值影响比较有限,更主要受世界需求、国内劳动力成本等影响。     

On the comparison of alternative specifications for money demand: The case of extremely low interest rate regimes in Japan

Using Japanese money market data, this paper compares the predictive ability of the log–log specification with infinite elasticity at a zero interest rate and the semilog specification with a one time switch from moderate to relatively high semielasticity at annual interest rates less than 0.5%. We find that the latter specification dominates the former in terms of predictive ability for the extremely low interest rate regime (the period between 1999 and 2006) because under the former the semielasticity is excessively sensitive to slight changes in interest rates. We find that interest rate semielasticity has remained stable at a high level since the mid-1990s.     

Dynamics of U.S. State Cigarette Consumption: Evidence from Panel Error Correction Modeling

This study uses state-level data for nearly four decades to study the dynamic demand for cigarettes, focusing especially on the long-run equilibrium relationship between cigarette consumption and its determinants as well as the short-run and long-run causal dynamics. We find the presence of cointegration with the long-run equilibrium, indicating the price elasticity of cigarette demand to be negative and inelastic, the income elasticity is positive and the border smuggling effects are significant, with substantial variations across individual states. Of the various smoking control policies considered, questions remain as to the effectiveness of aggregate anti-smoking initiatives that treat all states alike. Furthermore, the causal dynamics reveal bi-directional causality between cigarette consumption and its determinants. Some policy implications are discussed.     

Measuring China's monetary sterilization and autonomy in the era of globalization: 1995–2005

This paper provides a cointegration analysis of incomplete monetary sterilization and autonomy in China when both financial controls and the exchange rate peg exist. According to an estimated long-run equilibrium relation, only 35 cents are sterilized for a yuan of foreign-exchange reserve that flows into China. In response to the movement in foreign-exchange reserves, M2 proves more endogenous than M1; and in the M2 elasticity model, as the forecast horizon extends, the domestic-credit component of the monetary base exhibits its significant endogeneity with respect to the foreign-asset component, whereas the endogeneity of the foreign-asset component also rises with respect to M2.     

An aggregate import demand function for greece

This study estimates the aggregate import demand function for Greece using annual data for the period 1951–92. There are two methodological novelties in this paper. The authors find that the variables used in the aggregate import demand function are not stationary but are cointegrated. Thus, a long-run equilibrium relationship exists among these variables during the period under study. The price elasticity is found to be close to unity in the long run. The cross-price elasticity is also found to be close to unity. Import demand is found to be highly income elastic in the long run. This implies that with economic growth, ceteris paribus, the trade deficit for Greece is likely to get worse.     

The Wage Elasticity of Labour Supply: A Synthesis of Empirical Estimates

Summary This paper performs a meta-analysis of empirical estimates of uncompensated labour supply elasticities. For the Netherlands, we find that an elasticity of 0.5 for women and 0.1 for men is a good reflection of what the literature reveals. The elasticity for men hardly differs between countries, but for women some cross-country variation is found. The increasing participation rate of women may lead to a somewhat lower elasticity in the future. Both the specification of the hours function and the estimation method are found to affect elasticity estimates.      

A PANEL DATA APPROACH TO THE BEHAVIOURAL EQUILIBRIUM EXCHANGE RATE OF THE ZAR

The question of currency over- or undervaluation is often asked and implies the existence of an equilibrium exchange rate (EER). The aim of this research was to determine the long-term EER of the South African rand using the behavioural equilibrium exchange rate (BEER) methodology. This paper used a panel of data from South Africa's main trading partners to estimate the relationship between the EER and its fundamental determinants using dynamic ordinary least squares (OLS) and fully modified OLS. The average coefficients obtained describe the long-term behaviour of the individual countries' real exchange rates. Substituting the observed fundamental time series into the estimated equation derives the EER for each country and over- and undervaluation can be determined. The results indicated that the fundamental value of the exchange rate was driven by economic growth, the openness of the economy, its foreign reserves, the real gold price and capital expenditure. The exchange rate also fluctuated considerably around its equilibrium level but there is not long sustained periods of over- and undervaluation.