Durable Goods,Investment Shocks,and the Comovement Problem

Sticky‐price models suggest that capital investment shocks are an important driver of business cycle fluctuations. Despite quantitative importance in explaining business cycles, a comovement problem emerges because the shocks generate intertemporal substitution effects away from consumption toward investment. This paper resolves the problem by extending the standard sticky‐price model to a two‐sector model with consumer durable services. When durable goods are used as investment in capital and consumer durables, positive capital investment shocks also generate intratemporal substitution effects away from consumer durable services toward nondurable consumption that dominates intertemporal effects. Consequently, consumption increases, and the comovement problem is resolved.     

On the Comovement of Commodity Prices

We present strong evidence against the excess-comovement hypothesis—that the prices of commodities move together beyond what can be explained by fundamentals. Prior studies employ broad macroeconomic indicators to explain common price movements, and potentially correlated fundamentals are not controlled for. We use inventory and harvest data to fit a partial equilibrium model that more effectively captures the variation in individual prices. The model explains the majority of the comovements among commodities with high price correlation, and all of the comovements among those with marginal price correlation. Common movements in supply factors appear to play an important role in the observed comovements in commodity prices.     

通货膨胀全球联动效应及其影响因素——基于经济体内部实现环境的视角

基于贝叶斯动态潜在因子模型,探讨全球65个经济体通货膨胀周期的联动性,从国内实现环境角度探究联动效应的影响因素,并重点分析全球和地区因素对中国通胀周期的影响。研究表明：全球通胀周期波动存在较强的联动性、地区性和国家异质性,其中主要工业国受全球通胀周期因素主导,新兴经济体通胀周期多与地区和国家因素有关;内源性通胀一直是中国通胀周期的主要来源,但国家因素在解释中国通胀周期中的作用逐渐被全球因素取代;对于联动程度的影响因素,一国开放程度和金融发展程度的提高有助于增强一国通胀与全球通胀周期的联动程度,制度质量和技术水平的提升又使得一国通胀周期与全球通胀周期脱钩。研究结果侧面反映了中国输入型通胀的形成原因,为国内国际双循环下的通胀政策制定及输入型通胀治理提供了借鉴和参考。     

Can structural small open-economy models account for the influence of foreign disturbances?

This paper demonstrates that an estimated, structural, small open-economy model of the Canadian economy cannot account for the substantial influence of foreign-sourced disturbances identified in numerous reduced-form studies. The benchmark model assumes uncorrelated shocks across countries and implies that U.S. shocks account for less than 3% of the variability observed in several Canadian series, at all forecast horizons. Accordingly, model-implied cross-correlation functions between Canada and U.S. are essentially zero. Both findings are at odds with the data. A specification that assumes correlated cross-country shocks partially resolves this discrepancy, but still falls well short of matching reduced-form evidence. One central difficulty resides in the model's inability to account for comovement without generating counter factual implications for the real exchange rate, the terms of trade and Canadian inflation.     

Administrative division adjustments and stock price comovement: Evidence from the city–county mergers in China

Under the background of Chinese market segmentation, whether government-led administrative division adjustments can promote regional economic integration is a practical issue. Taking interregional firms’ stock price comovement as a micro measurement of regional integration, this paper investigates the regional integration effect of administrative division adjustments, i.e., city–county mergers. We find that stock price comovement between county-level and municipal district-level firms in the merged counties and municipal districts significantly improve after city–county mergers, particularly in regions with a higher degree of market segmentation and lower degree of marketization. We further find that the increase in stock price comovement caused by city–county mergers emerges from the increase in comovement of real activities between firms in the merged counties and municipal districts. Taken together, our results suggest that government-led administrative division adjustments effectively promote regional integration.     

Tax Evasion,Investment Shocks,and the Consumption Puzzle: A DSGE Analysis with Financial Frictions

Recent studies identify Marginal Efficiency of Investment (MEI) shocks as important drivers of the business cycle. However, Dynamic Stochastic General Equilibrium (DSGE) models struggle to explain macroeconomic comovements between consumption and the key real variables after a MEI shock. Moreover, engaging in tax evasion practices is often an answer to financial constraints, which have been recognized as important determinants of cyclical fluctuations as well. We use a medium-scale New Keynesian DSGE model, that combines tax evasion with financial frictions, to simulate a MEI shock. We show that entrepreneurial tax evasion can solve the comovement problem to a fair extent.