Exogenous Shocks and Nonstationary Time Series: The Case of the Philippines

This paper demonstrates that the effects of the exogenous shocks experienced by the Philippine economy have been permanent rather than transitory. The finding emerges from the application of the Augmented Dickey-Fuller (ADF) model and the segmented trend model which confirm the presence of unit roots in several Philippine macroeconomic time series variables. Moreover, the use of the segmented trend model focuses some insights regarding the influence of the government’s stabilization policies on the macroeconomic variables under investigation.     

An Indonesian Economic Forecast Based on a Yearly Econometric Model

This paper presents an ex-ante medium-term forecast of the Indonesian economy (1991–97) based on a yearly macro-econometric model developed by the author at the University of Indonesia. The model uses a combined supply and demand framework and reflects a mixture of Keynesian, monetarist and classical approaches. The paper explains the model structure and the assumptions adopted in the projection, and presents the results of the forecast. Discussion of results emphasises selected variables considered important in the country's macroeconomic affairs. The short-term trend for 1991–93 is also briefly discussed.     

Evaluating the Relative Impact of Fiscal Incentives and Trade Policies on the Returns to Manufacturing in Taiwan, 1955–1995*

In the present paper, an integrated cash flow model is developed to examine the relative impact of tax incentives, financial subsidies, and macroeconomic variables on the profitability of industrial investments. It allows for the variables in the model to interact with each other. An application of the model is carried out for Taiwan, which has implemented a variety of fiscal incentives over the past 40 years. The principal policy conclusion is that trade and macroeconomic policies are much more important than income tax incentives or subsidized finance policies in determining the success of Taiwan's industrialization process. The effects of all of the fiscal incentives are found to be much smaller than those of the trade policies or the fundamental trends in macroeconomic variables such as the movement of the real exchange rate and the real wage rate.     

THE YEN‐DOLLAR EXCHANGE RATE AND MALAYSIAN MACROECONOMIC DYNAMICS

This paper empirically assesses the effect of the yen‐dollar exchange rate on selected macroeconomic variables, namely, real output, price level, and money supply, for Malaysia. The results, which are based on a vector autoregressive framework, suggest that variations in the yen‐dollar rate can have significant influences on Malaysia's macroeconomic variables. More specifically, the yen‐dollar depreciation leads to contraction in real GDP and money supply. These results are fairly robust to alternative model specifications. We believe that, apart from providing important insights into the interactions between the yen‐dollar rate and domestic macroeconomic variables, our results contribute to the debate on choice of exchange rate regimes for Malaysia.     

The Indonesian macroeconomy and the yield curve: A dynamic latent factor approach

We develop a fine representation of the term structure of interest rates in Indonesia and create a link between the yield curve and macroeconomic fundamentals. We construct a state-space representation of the yield curve as a function of three time-varying parameters: level, slope, and curvature factors. The model is then expanded to include three macroeconomic variables: real activity, inflation, and interest rates. We find that the dynamic latent factor model provides a very good fit to characterise the Indonesian yield curve in terms of the statistical properties for each maturity, and in terms of the properties of three latent yield-curve factors. With regards to the relationship to the macroeconomy, we find that there is a large amount of idiosyncratic variation in the yield curve movements. Therefore, macroeconomic variables can only explain small dynamics in the yield curve.     

Are capital inflows expansionary or contractionary in the Philippines?

This paper assesses whether gross capital inflows to the Philippines are expansionary or contractionary in view of the model predictions and multi-country empirical analysis of Blanchard, Ostry, Ghosh, and Chamon (BOGC, 2015). We make use of data for the period 1977–2017, and apply both ordinary least squares and vector autoregressive techniques. The results indicate that total gross inflows are expansionary for both output and credit growth. At a more disaggregated level, we find, consistent with BOGC (2015), that non-bond inflows are expansionary. But contrary to BOGC (2015), we find that bond inflows to the Philippines are also expansionary. Using the Philippine case illustrates the importance of country specific factors in characterizing the macroeconomic effects of capital inflows.     

Reconciling Output and Unemployment Fiscal Multipliers

ABSTRACT

This paper provides a macroeconomic model that can simultaneously explain output and unemployment multipliers which are consistent with empirical evidence. To this end, this paper has merged and investigated a model with deep habit formation in private and public consumptions and a model with a labour market friction that generates involuntary unemployment stemming from the monopolistic power of differentiated labour services. The model with a baseline calibration seems to produce quantitatively plausible responses of key macroeconomic variables in response to a government expenditure shock.     

宏观经济因素对我国股票市场波动影响的实证分析

股票市场的发展与一国的宏观经济因素存在密切的联系,本文选取工业增加值增长率,居民消费价格指数、利率、汇率、货币供应量、上证综合指数这6个变量建立VAR模型,并进行脉冲响应分析,对宏观经济因素对我国股票市场价格变动的影响进行定量分析。分析得出宏观经济因素与股票价格波之间存在长期稳定的均衡关系,并且货币政策只有很微弱的影响作用。     

The driving forces of China's business cycles: Evidence from an estimated DSGE model with housing and banking

We study the approximate sources of China's business cycles in an estimated dynamic stochastic general equilibrium (DSGE) model with housing and banking. The model replicates well the volatility and cyclicality of key macroeconomic variables observed in the past two decades in China. A host of shock decomposition exercises demonstrate that, among the shocks being considered, both financial and housing shocks are driving China's business cycles, accounting for a particularly large fraction of the variance in most macroeconomic and financial variables at the business cycle frequencies. In particular, the capital quality, housing demand, and loan-to-value shocks display prominent contributions to the business cycle fluctuations. Moreover, there exists substantial interactions between the banking and housing sectors in China, where the collateral constraint and the financial constraint amplify with each other. The results shed new light in the understanding of China's business cycles, and may serve as a useful benchmark for future quantitative analyses of China's macroeconomic fluctuations using DSGE frameworks.     

中国商业银行信用风险宏观压力测试

本文用Logit模型将贷款损失率转化为金融稳定性综合指标,并以此作为被解释变量,以CPI、GDP和利率等宏观经济因素作为被解释变量进行回归分析,并做出各宏观经济因素的预测模型。在此基础上,对下一期的相应经济数据进行预测,并对下一期经济分别受各项宏观经济变量极端可信冲击下进行压力测试。研究结果显示,以上三种宏观经济因素对贷款损失率影响显著,其系数的经济意义也与现实相符。此外,根据模型的回归结果显示,关于利率的研究部分准确验证了我国利率的产出经济效应和货币政策的时滞期。本文为政府降低贷款损失率,提高金融稳定性而进行系统的宏观经济调控提供定性和定量的参考建议。     

我国要素市场扭曲与经济失衡之间的互动关系研究

文章研究了劳动力、资本、能源三种生产要素价格扭曲与经济失衡之间的互动关系.为实现研究目标,建立了超越对数生产函数,估算改革开放以来我国劳动力、资本、能源三种生产要素价格的绝对和相对扭曲程度.继而建立VAR模型,考察各内生变量之间的脉冲响应关系.研究表明:要素价格扭曲和宏观经济失衡之间存在相互强化的互动关系.应从调整供给结构、增加政府民生支出、改革要素价格形成机制、提高生产效率等多方面着手,实现宏观经济再平衡.     

Macroeconomic implications of population aging: Evidence from Japan

Population aging is an important feature of Japan’s economy, which since 2006 has become a super-aged society. Changes in the age distribution of the population have important macroeconomic implications. Using annual data for 1960–2015, this study tests whether population age shares have long run influences on domestic saving, domestic investment, real GDP, inflation, the fiscal balance, and the current account balance. Cointegration is found between each macroeconomic variable and the demographic variables, which is a key finding of the analysis. The main empirical findings from the long-run cointegrating equations are that the effects of demographic change on the macroeconomic variables are statistically significant and quite strong. Alternative variants of the United Nation’s population projections provide further evidence of the importance of the demographic changes for Japan’s macroeconomic future. This study finds that future trends of key macroeconomic variables are not monotonic, but rather that long swings in the demographic factors produce a mixture of moderate growth periods and episodes of GDP stagnation.     

MACROECONOMIC UNCERTAINTY AND AGGREGATE PRIVATE INVESTMENT IN SOUTH AFRICA

This paper investigates the effects of time varying uncertainty on aggregate private fixed investment in South Africa. The GARCH generated measures of volatility of selected macroeconomic variables indicating five measures of uncertainty are used in the analysis. These are output growth uncertainty, uncertainty about changes in the real effective exchange rate, uncertainty about changes in the real interest rate, producer inflation uncertainty, and terms of trade uncertainty. The results of the estimation by an empirical ECM model of conventional investment determinants controlling for the effects of uncertainty indicated that, over all, time varying macroeconomic uncertainty significantly reduces private fixed investment.     

The sources of unemployment in Canada, 1967-91: evidence from a panel of regions and demographic groups

We analyze the determinants of Canadian unemployment in a frameworkincorporating demand and supply-side variables: the interestrate, taxation, foreign activity, minimum wages, union density,demographic pressure, unemployment insurance, terms of trade.The model is estimated with 500 observations for five Canadianregions and four demographic groups, 1967-91. We provide a comprehensivepicture of the macroeconomic and structural causes of unemploymentwith data combining the advantages of macroeconomic time seriesand microeconomic cross sections. The long-term rise in Canadianunemployment since 1960 is attributed to higher real interestrates, the UI reform of 1972, and slightly adverse net demographicpressure.     

晴天送伞,雨天收伞——对金融摩擦、信贷周期和企业融资难问题的分析

微观层面上,商业银行有着“晴天送伞,雨天收伞”的行为特征;而在宏观层面上,银行信贷也存在明显的顺周期性特征。本文构建了一个带有金融摩擦的新凯恩斯主义DSGE模型,把对宏观经济现象的分析建立在坚实的微观基础之上,从而将上述两者纳入到一个统一的分析框架之内。此外,本文还运用我国的实际经济数据对模型中的结构参数进行贝叶斯估计,并对模型中的主要经济变量和外生冲击做了脉冲响应函数分析。研究发现：微观层面上,商业银行的信贷紧缩和扩张行为是其在金融市场存在信息不对称问题下的理性决策;宏观层面上,银行信贷的顺周期性是由于存在金融摩擦所导致的;在如今经济增速下行阶段,风险冲击增强了银行的惜贷慎贷情绪,加剧了企业融资难问题。最后,本文根据模型模拟为如何缓解企业融资难问题提出了一些实际的可操作的政策建议。     

The common trend and common cycle of exports and the real exchange rate: Empirical results from Swiss data

Conclusion This paper contains an empirical analysis of the relationship of Swiss goods exports, the real exchange rate and world trade, using the common-trend-common-cycle methodology. This exercise shows that the trend and cyclical dependence of these variables are strongly different: exports and the real exchange rate exhibit a positive long-run or trend dependence of world trade whereas the short-run or cyclical relationship of exports to the real exchange rate is strongly negative with approximately a unit elasticity. These results, which differ strongly from standard dynamic regression or error correction estimates, can be interpreted as follows. In the short run we observe the strong negative cyclical relationship between exports and the real exchange rate, which we expect from short-run macroeconomic models with sticky prices. If we make the reasonable assumption that short-run real exchange rate movements are exogenous to exports and, for instance, caused by monetary policy then we come to the conclusion that cyclical real exchange rate variations lead to strong export cycles. However, in the long run, there is a completely different positive comovement of these two variables, which are both driven by the world trade trend. This common trend of exports and the real exchange rate can be understood as an equilibrium reaction of both variables, price and quantity of the exported goods, to exogenous changes in world trade given a production technology available for the country.     

房地产投资与宏观经济波动的相互影响关系——基于格兰杰因果检验模型的研究

房地产投资是固定资产投资的重要组成部分,是影响宏观经济走势的重要因素之一。研究房地产投资与经济发展之间是否存在波动的相互影响关系对协调房地产投资与国民经济发展有着重要的意义。文章利用协整理论、误差修正模型和格兰杰因果等计量理论方法对房地产投资的波动与GDP波动之间的关系进行实证分析,发现两者之间呈现一定的显著关系,进而对房地产调控进行了探讨。     

煤炭价格下降对我国宏观经济的影响

煤炭在我国能源结构中居于主体地位,由于产能过剩和进口煤大量冲击,煤炭价格下降幅度较大。而煤炭价格已经接近完全市场化,电力价格仍然受政府管制,中央财经领导小组已经定调推动能源体制革命,电价市场化将是我国全面深化改革的重要内容,因此研究电价市场化和受政府管控下煤炭价格下降对宏观经济的影响具有重要的意义。论文利用CGE模型研究了两种情境下我国煤炭价格波动对我国宏观经济的影响,对不同的煤炭价格冲击进行情景模拟并进行了分析,结论表明两种情境下煤炭价格波动对宏观经济变量和21个产业影响是不同的,并据此提供一些政策建议。     

Foreign and Domestic Shocks: Macroeconomic Responses of ASEAN-3 Countries

Abstract

The study provides new empirical evidence on the relative importance of foreign and domestic shocks on selected ASEAN-3 (Malaysia, Indonesia, and Thailand) macroeconomic variables. Three structural vector auto regression models are estimated for each country. The focal point is given on the formulation of the sources of foreign factors. The first model uses trade-weighted foreign variables of both US and Japan to represent the foreign factors. The other two models use US and Japan by themselves, respectively, to represent the foreign factors. Two important results are emerged. First, foreign sectors play an important role in influencing macroeconomic variables of each of the ASEAN-3 country, especially in the medium and the long-run horizon. Second, most of the time, the Japanese factors are more dominant than the US factors in influencing domestic output and inflation for each of the ASEAN-3 countries.     

二胎政策对宏观经济的影响研究——基于劳动力供给视角

中国已经成为世界上老年人口最多的国家且老龄化程度正在加速深化。随着中国人口老龄化形势的不断严峻，科学合理地制定应对老龄化的政策已是大势所趋。文章通过理论分析，揭示"全面二孩"政策和宏观经济各变量之间的内在联系，并且利用嵌入"全面二孩"政策的动态随机一般均衡模型进行模拟分析。研究发现，当人口老龄化的程度比较严重的时候，"全面二孩"政策会使得产出和劳动时间一直处于增加的状态，而消费的正向波动有所减小，反向波动有所增加。政策制定者可以根据不同的人口老龄化形势来做出不同的决策，促进人口老龄化向人口素质红利转变，把中国从一个富起来的中国变成一个强起来的中国，进一步实现两步走的伟大目标。