We calibrate an overlapping-generations model with a rich demographic structure to observed and projected changes in U.S. population, family composition, life expectancy, and labor market activity. ...The model indicates that demographic factors associated with the post-war baby boom pushed up real interest rates and real gross domestic product (GDP) growth from 1960 to the 1980s. Since the 1980s, the model accounts for a little more than a 1-percentage-point decline in both real GDP growth and real interest rates—much of the permanent declines in those variables according to some estimates. Our model predicts GDP growth and interest rates will remain low by historical standards, consistent with a “new normal” for the U.S. economy.
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CEKLJ, DOBA, EMUNI, FIS, FZAB, GEOZS, GIS, IJS, IMTLJ, IZUM, KILJ, KISLJ, MFDPS, NLZOH, NUK, OBVAL, OILJ, PILJ, PNG, SAZU, SBCE, SBJE, SBMB, SBNM, SIK, UILJ, UKNU, UL, UM, UPUK, VKSCE, ZAGLJ
Controlling false discovery rate (FDR) is crucial for variable selection, multiple testing, among other signal detection problems. In literature, there is certainly no shortage of FDR control ...strategies when selecting individual features, but the relevant works for structural change detection, such as profile analysis for piecewise constant coefficients and integration analysis with multiple data sources, are limited. In this paper, we propose a generalized knockoff procedure (GKnockoff) for FDR control under such problem settings. We prove that the GKnockoff possesses pairwise exchangeability, and is capable of controlling the exact FDR under finite sample sizes. We further explore GKnockoff under high dimensionality, by first introducing a new screening method to filter the high-dimensional potential structural changes. We adopt a data splitting technique to first reduce the dimensionality via screening and then conduct GKnockoff on the refined selection set. Furthermore, the powers of proposed methods are systematically studied. Numerical comparisons with other methods show the superior performance of GKnockoff, in terms of both FDR control and power. We also implement the proposed methods to analyze a macroeconomic dataset for detecting changes of driven effects of economic development on the secondary industry.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
Green bond shocks and economic policy uncertainty are essential factors affecting macroeconomic development and green finance. In this paper, the time-varying parameter vector autoregressive ...(TVP-VAR) framework is used to analyze the monthly data of China from April 2014 to March 2022 and to investigate the dynamic impact of green bond shock and economic policy uncertainty on carbon prices. The results show that economic policy uncertainty and the impact of the green bond have significant time-varying and short-term effects on carbon price. In the short term, economic policy uncertainty has a significant positive impact on carbon price most of the time, while green bond has a significant negative impact on carbon price most of the time. Meanwhile, economic policy uncertainty and the impact of green bond on carbon price in Hubei and Guangdong are heterogeneous. In addition, we also use Bayesian VAR (BVAR) model to test the robustness of the results. Based on the research results, some policy suggestions are put forward, including improving the stability of economic policies, implementing green bond support policies, and speeding up the improvement of the national unified carbon emission trading market.
•We examine the connectedness among green bonds, economic policy uncertainty and carbon price.•We employ the time-varying parameter vector autoregression and Bayesian time-varying parameter vector autoregression.•Green bond shocks have a significantly negative impact on carbon price.•Economic policy uncertainty has significant positive impacts on carbon price most of the time.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
We present estimates of monetary non-neutrality based on evidence from high-frequency responses of real interest rates, expected inflation, and expected output growth. Our identifying assumption is ...that unexpected changes in interest rates in a 30-minute window surrounding scheduled Federal Reserve announcements arise from news about monetary policy. In response to an interest rate hike, nominal and real interest rates increase roughly one-for-one, several years out into the term structure, while the response of expected inflation is small. At the same time, forecasts about output growth also increase—the opposite of what standard models imply about a monetary tightening. To explain these facts, we build a model in which Fed announcements affect beliefs not only about monetary policy but also about other economic fundamentals. Our model implies that these information effects play an important role in the overall causal effect of monetary policy shocks on output.
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IZUM, KILJ, NUK, PILJ, SAZU, UL, UM, UPUK
Macroeconomic modelling has been under intense scrutiny since the Great Financial Crisis, when serious shortcomings were exposed in the methodology used to understand the economy as a whole. ...Criticism has been levelled at the assumptions employed in the dominant models, particularly that economic agents are homogeneous and optimizing and that the economy is equilibrating. This paper seeks to explore an interdisciplinary approach to macroeconomic modelling, with techniques drawn from other (natural and social) sciences. Specifically, it discusses agent-based modelling, which is used across a wide range of disciplines, as an example of such a technique. Agent-based models are complementary to existing approaches and are suited to answering macroeconomic questions where complexity, heterogeneity, networks, and heuristics play an important role.
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BFBNIB, NMLJ, NUK, PNG, UL, UM, UPUK
We develop a model with partial insurance against idiosyncratic wage shocks to quantify risk sharing. Closed-form solutions are obtained for equilibrium allocations and for moments of the joint ...distribution of consumption, hours, and wages. We prove identification and demonstrate how labor supply data are informative about risk sharing. The model, estimated with US data over the period 1967-2006, implies that (i) 39 percent of permanent wage shocks pass through to consumption; (ii) the share of wage risk insured increased until the early 1980s; and (iii) preference heterogeneity is important in accounting for observed dispersion in consumption and hours.
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BFBNIB, CEKLJ, INZLJ, IZUM, KILJ, NMLJ, NUK, ODKLJ, PILJ, PNG, SAZU, UL, UM, UPUK, ZRSKP
A recent strand of research proposes that sudden jumps in uncertainty generate rapid drops and recoveries in real macroeconomic variables that drive the business cycle. Using an empirical model, we ...find substantial heterogeneity in reactions to these shocks across countries. In comparison to the U.S. and other developed countries, emerging economies suffer much more severe falls in investment and private consumption following an exogenous uncertainty shock, take significantly longer to recover, and do not experience a subsequent overshoot in activity. We provide evidence that the dynamics of investment and consumption are correlated with the depth of financial markets. We control for the potential role of a credit channel, and estimate that it can account for up to one-half of the increased fall in investment generated by uncertainty shocks among emerging economies with less-developed financial markets. In this context, monetary and fiscal policy actions that alleviate the impact of credit constraints facing firms may reduce the impact of uncertainty shocks in these economies.
•We investigate the impact of uncertainty shocks on a large group of countries.•We estimate a reduced-form vector auto-regression for each country.•Emerging economies suffer deeper and more prolonged impacts from uncertainty shocks.•We estimate that up to half of this difference is due to credit constraints.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK
In this article, we review the theoretical consequences of government purchases shocks for both closed and open economies, followed by a discussion of the empirical literature. Next, we provide our ...own estimates for the EU countries. We find that an increase in government purchases raises output, consumption and investment and reduces the trade balance. However, the stimulating effect is weaker and the trade balance reduction is larger for the more open EU economies, consistent with larger leakage effects. Further, we show that government purchases shocks in large EU economies have non-negligible consequences for economic activity in the main trading partners.
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BFBNIB, FZAB, GIS, IJS, INZLJ, IZUM, KILJ, NLZOH, NMLJ, NUK, OILJ, PILJ, PNG, SAZU, SBCE, SBMB, UL, UM, UPUK, ZRSKP
Information frictions play a central role in the formation of household inflation expectations, but there is no consensus about their origins. We address this question with novel evidence from survey ...experiments. We document two main findings. First, individuals in low inflation contexts have significantly weaker priors about the inflation rate. This finding suggests that rational inattention may be an important source of information frictions. Second, cognitive limitations also appear to be a source of information frictions: even when information about inflation statistics is available, individuals still place a significant weight on inaccurate sources of information, such as their memories of the price changes of the supermarket products they purchase. We discuss the implications of these findings for macroeconomic models and policymaking.
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BFBNIB, CEKLJ, NMLJ, NUK, PNG, UL, UM, UPUK
The influence of macroeconomists' on policymakers through economic expertise is usually taken for granted. Yet, the reverse proposal appears far less elusive and as significant. From the analysis of ...Malinvaud's writings, I set forth three significant feedback effects of economic expertise on macroeconomics, which has (i) become oversensitive to the results of economic policies, (ii) behaved as a tool for decision-making, and (iii) been impelled to search for internal consensus in order to guide policymaking. Taken together, these feedback effects of economic expertise draw how macroeconomics has been structurally intertwined with policymakers' needs and issues since World War II, thus providing new insights on the "Keynesian consensus" in France and the broader history of macroeconomics.
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BFBNIB, DOBA, IZUM, KILJ, NUK, PILJ, PNG, SAZU, UILJ, UKNU, UL, UM, UPUK
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