Monetary Policy Transmission with Interbank Market Fragmentation

This paper shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location, have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard theoretical models of monetary policy implementation, excess liquidity arises endogenously. This leads short-term interest rates to depart from the central bank policy rates. Using data on monetary policy operations, I show that this mechanism has been at work in the euro area since 2008. The model is used to analyze conventional and unconventional monetary policy measures.     

Sources of business fluctuations: Financial or technology shocks?

Despite the widespread belief that technology shocks are the main source of business fluctuations, recent empirical studies indicate that in the absence of financial frictions, a shock to the marginal efficiency of investment is the main source and is closely related to financial conditions for investment. We incorporate a financial accelerator mechanism and two types of financial shocks to the external finance premium and net worth in a dynamic stochastic general equilibrium model with shocks to the marginal efficiency of investment, the investment-good price markup, and the rates of neutral and investment-specific technological changes. This model is estimated using eleven US time series that include data on loan, net worth, the loan rate, and the relative price of investment. Our estimation results show that the (non-stationary) neutral and investment-specific technology shocks primarily drive output and investment fluctuations, while the external finance premium shock plays an important role for investment fluctuations. This financial shock induced substantial falls and subsequent sharp hikes in the external finance premium and caused boom–bust cycles over the past two decades.     

Can interest rate spreads stabilize the euro area?

Since the onset of the financial crisis significant interest rate spreads have arisen between euro area countries, both for public and private debt. We check whether these spreads could be made to work towards the goal of providing more stability to the euro area. In particular, we focus on reducing the imbalances that arose between the core and peripheral members of the euro area in the first decade of its existence. The idea is that stable positive spreads in peripheral countries could have decreased domestic demand, preventing the boom–bust cycles that plagued these economies. They could also prevent such developments in the future. We construct a panel model for euro area countries and estimate the relationship between real interest rates and the current account balance. Next, we use the estimated parameters to perform simulations. We find that spreads on real interest rates of 0.6–5.5 percentage points would have been necessary to stabilize external positions of the four peripheral euro area member countries.     

Volatility in the knowledge economy

Summary. We seek to explain the economic volatility of the last 6 years, in particular the rapid expansion and contraction of the knowledge sectors. Our hypothesis is that these sectors amplify the business cycle due to their increasing returns to scale, growing faster than others in an upswing and contracting faster in a downswing. To test this hypothesis we postulate a general equilibrium model with two sectors: one with increasing returns that are external to the firm and endogenously determined - the knowledge sector - and the other with constant returns to scale. We introduce a new measure of volatility of output, a real beta, and derive a resolving equation, from which we prove that the increasing return sectors exhibit more volatility then other sectors. We validate the main results on US macro economic data of real GDP by industry (2-3 digits SIC codes) of the 1977-2001 period, and provide policy conclusions.Received: 18 March 2002, Revised: 16 February 2004, JEL Classification Numbers: D5, D58, E10, L50, L52, O38, O51.Correspondence to: Graciela Chichilnisky     

全球经济失衡问题研究的新进展

归纳梳理了国内外对全球经济失衡问题的研究成果.其中美国经常账户赤字最先引起广泛的关注,实体经济和金融制度层面均存在导致本轮全球经济失衡的因素.美国经济的调整将对世界经济产生重要影响,多国协调行动有利于失衡的有序调整.进一步的研究方向包括亚洲地区盈余的可持续性、失衡政策原因的考察等等.     

论我国按揭贷款市场风控体系的协调性

按揭贷款发展至今已经基本形成了风险控制体系.按揭贷款的风险控制体系包括外部监管与内部风控,具体又可分为三个层面：基础业务制度、表外业务制度与系统性风控制度,两者之间的联系在于信息不对称性,而最终的目标是确定政府与企业在各自市场中的职能.     

External organizational commitment among organizational implants: The case of logistics service providers

Using the concept of external organizational commitment (EOC), survey data from 312 logistics service provider (LSP) implants are used to test a model of the determinants of implant level of commitment to their host firm and the consequences of such commitment to the LSP. The results show that both inter-organizational outcome and task interdependence affect implant perceptions of the degree to which they are supported by their host organization. Perceived organizational support by the host organization, in turn, was found to be positively related to implant commitment to their host organization, which was positively related to LSP operation-level performance.     

中国经济改革与增长中的金融支持

中国的金融制度变迁也服从了渐进改革的“过渡性”逻辑 ,渐进战略较好地支持了中国 2 0年的经济增长。但是 ,由于“双轨”体制的固有矛盾 ,使中国的金融改革在今天聚集到了深层次的金融改革上 ,而这一问题的核心是多元化的金融产权关系。中国加入WTO成为中国金融深化改革的契机。摆在面前的来自外部世界的竞争 ,成为推进中国金融业“对内开放”的巨大的外部冲击     

Sustainability of macroeconomic policies in selected MENA countries: Post financial and debt crises

In the wake of the recent financial and debt crises, the conduct of macroeconomic policies in the emerging MENA economies has recently become critical in determining those countries future economic situation, due to the accumulation since the early 1990s of a sizable level of external debt, and the pursuit by some countries of a fixed exchange rate regime. Using time series econometric models, this study assesses the sustainability of macroeconomic policies in a selected sample of 4 MENA countries. The empirical results point to sustainable fiscal and exchange rate policies in Tunisia and Morocco, and unsustainable external debt and exchange rate policies in Egypt and Jordan. While Egypt has recently moved to a flexible exchange rate regime, if Jordan still opts for maintaining a fixed exchange rate arrangement, it will have to implement crisis-prevention measures, namely by exercising fiscal discipline, and managing properly its external debt and foreign reserves.