Uncertainty shocks,precautionary pricing,and optimal monetary policy

Existing studies show that, in standard New Keynesian models, uncertainty shocks manifest as cost-push shocks due to the precautionary pricing channel. We study optimal monetary policy in response to uncertainty shocks when the precautionary pricing channel is operative. We show that, in the absence of real imperfections, the optimal monetary policy fully stabilizes the output gap and inflation, implying no policy trade-offs. Our result suggests that precautionary pricing matters only insofar as expected inflation is volatile. Thus, a simple Taylor rule that places high weight on inflation leads to a stabilized output gap, thereby attaining the “divine coincidence”.     

Learning and international transmission of shocks

This paper studies the implications of adaptive learning in the modelling of inter-country linkages in a two-region MSG G-cubed model built on micro-founded behaviors of firms and households. The nature of the transmission process under rational expectations versus adaptive learning is explored. We investigate the propagation mechanism within and across borders for various shocks and policy changes within the United States: change in inflation target, fiscal policy, productivity shock, and rise in equity risk. Adaptive learning is found to change the short run sign of transmission in most cases but this also depends on the fraction of forward-looking agents in the economy.     

Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?

While the oil currency property is clearly established from a theoretical viewpoint, its existence is less clear-cut in the empirical literature. We investigate the reasons for this apparent puzzle by studying the time-varying nature of the relationship between real effective exchange rates of five oil exporters and the real price of oil in the aftermath of the oil price shocks of the last two decades. Accordingly, we rely on a time-varying parameter VAR specification, which allows the responses of real exchange rates to different oil price shocks to evolve over time. We find that the reason of the mixed results obtained in the empirical literature is that oil currencies follow different hybrid models in the sense that oil countries’ real exchange rates may be driven by one or several sources of oil price shocks that furthermore can vary over time. In addition to structural changes affecting oil countries, structural changes arising from the oil market itself through the various, time-varying sources of oil price shocks are found to be crucial.     

Oil prices and economic downturns: the case of Spain

We address the macroeconomic effects of an oil price shock in Spain. We apply a vector autoregression model (VAR) analysis to quarterly data for the Spanish economy since 1986, to elucidate the effects of variations in the oil price on the economy, considering the three main causes of disruptions in the oil markets: oil supply shocks, oil demand shocks and oil-specific (precautionary) demand shocks. We conclude that the effects in Spain strongly depend on the type of shock: the consumer price index (CPI) has mainly been influenced by oil demand shocks; output has only reacted to oil supply shocks; and monetary policy has mainly reacted after precautionary shocks. Second-round effects caused by the behaviour of nominal wages have not been found. Additionally, we discuss two facts: the ability of firms to increase markups in a context of rising demand and the procyclical role of monetary policy when faced with oil demand shocks.     

Behavioral and Welfare Effects of Tournaments and Fixed Performance Contracts: Some Experimental Evidence

Using experimental economics, we compare the efficiency and welfare effects of tournaments and fixed performance contracts. Our subjects (agents) were generally better off under fixed performance contracts, but the advantage of the fixed performance contract disappears if the relative magnitude of the standard deviation of the common shock exceeds a critical value. Efficiency wise, agents tend to exert higher effort under fixed performance contracts, on average. Additionally, an increase in the common shock standard deviation appeared to be associated with lower effort under tournaments. Our results shed light on the potential impact of legislative proposals to ban tournament contracts.     

On measuring serial correlation: Implications for finance and accounting research studies

Accounting and finance studies that measure serial correlation implicitly make two assumptions. One, the studies assume that the sample estimate of the autocorrelation coefficient is unbiased. The assumption is intuitively appealing, but incorrect. This article provides a measure of the size of the bias. Two, the studies assume that the target of the time series is constant over time. However, over a long period target values may change. This article models the general case in which not only do random shocks affect actual values, but also random changes affect target values.     

互联网支付发展与金融风险防范——基于支付经济学视角的研究

基于支付经济学的视角,从互联网支付系统、商业银行互联网支付、第三方互联网支付和非法定数字货币四条传导路径,研究了互联网支付发展与金融风险防范之间的关系。基于指数构建的两阶段实证结果表明,互联网支付对金融风险具有显著的正向效应,且不同传导路径间存在差异性。互联网支付在为金融市场和实体经济服务的同时,客观上也产生了相应的金融风险,并为金融风险传播提供了通道。为更好地防范金融风险,应优化支付结算机制设计、建立应对系统故障和流行病冲击等的压力测试框架,以及加强对非法定数字货币的金融风险监管。     

Intersectoral Labor Immobility,Sectoral Comovement,and News Shocks

Sectoral comovement of output and hours worked is a prominent feature of business cycle data. However, most two‐sector neoclassical models fail to generate this sectoral comovement. We construct and estimate a two‐sector neoclassical Dynamic Stochastic General Equilibrium (DGSE) model generating sectoral comovement in response to both anticipated and unanticipated shocks. The key to our model's success is a significant degree of intersectoral labor immobility, which we estimate using data on sectoral hours worked. Furthermore, we demonstrate that imperfect intersectoral labor mobility provides a better explanation for the sectoral comovement than an alternative model emphasizing the role of labor‐supply wealth effects.     

The Effects of Oil Supply and Demand Shocks on U.S. Consumer Sentiment

This paper investigates how the University of Michigan's Index of Consumer Sentiment responds to oil price shocks. While oil supply shocks play only a limited role, the effect of aggregate demand shocks is positive for the first few months and negative thereafter. A typical other oil demand shock has a significant negative impact for up to 2 years. By studying the responses of individual survey questions, we find that expectations of future inflation and a change in real household income as well as perceived vehicle and house buying conditions are the main transmission channels of oil supply and demand shocks.     

Flexibility of Adjustment to Shocks: Economic Growth and Volatility of Middle-Income Countries Before and After the Global Financial Crisis of 2008

Our analysis shows that the associations of growth level, growth volatility, shocks, institutions, and macroeconomic fundamentals have changed in important ways after the 2008 global financial crisis. Economic growth across countries has become more dependent on external factors, including global growth, global oil prices, and global financial volatility. After accounting for the effects global shocks, we find that several factors facilitate adjustment to shocks in middle-income countries. Educational attainment, share of manufacturing output in gross domestic product, and exchange rate stability increase the level of economic growth; although, exchange rate flexibility, education attainment, and lack of political polarization reduce the volatility of economic growth.