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Author : Hassan Molana
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (246 download)
Download or read book Consumption Smoothing, Habit Persistence, and the Optimal Consumption Path written by Hassan Molana and published by . This book was released on 1992 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christopher J. Kent
Publisher : International Monetary Fund
ISBN 13 : 1451856369
Total Pages : 50 pages
Book Rating : 4.4/5 (518 download)
Download or read book The Response of the Current Account to Terms of Trade Shocks written by Christopher J. Kent and published by International Monetary Fund. This book was released on 2003-07-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Is the relationship between the current account balance and the terms of trade affected by the persistence of terms of trade shocks? In intertemporal models of the current account that incorporate a consumption-smoothing and an investment response to shocks, the effect of the terms of trade on external balances is predicted to be dependent on the duration of terms of trade shocks. Using a median-unbiased estimator, an unbiased model-selection rule, and terms of trade data for 128 countries over the period 1960-99 we identify two groups of countries-those that typically experience temporary terms of trade shocks and those that typically experience permanent terms of trade shocks. The results from panel-data regressions of the two groups of countries support the theoretical predictions of the intertemporal approach to the current account. We find that the greater (lesser) the persistence of the terms of trade shock, the more (less) the investment effect dominates the consumption-smoothing effect on saving, so that the current account balance moves in the opposite (same) direction as that of the shock.
Author : Claire H. Hollweg
Publisher :
ISBN 13 :
Total Pages : 404 pages
Book Rating : 4.:/5 (948 download)
Download or read book Essays on the Transmission of Economic Shocks written by Claire H. Hollweg and published by . This book was released on 2014 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis explores the transmission of economic shocks. Although the thesis is structured as four stand-alone chapters, the common theme throughout is identifying the impact of economic shocks: either idiosyncratic shocks at the household-level, macroeconomic shocks emanating from foreign countries and transmitted through global markets, or countries' own macroeconomic policy changes (for example, structural reforms or trade reforms). Each chapter applies a different empirical methodology, including structural estimation, reduced form instrumental variables estimation, and growth accounting. Finally, each chapter utilizes a different dataset and country sample selection. While one chapter uses a micro dataset from household-level surveys, others use cross-country datasets at the aggregate country level. Both developed and developing countries are considered in the analyses. The thesis begins by exploring the relationship between idiosyncratic income changes and consumption changes of Australian households over the period 2001-2009. A major contribution to the literature is the use of the Household Income and Labor Dynamics of Australia dataset that includes panels on both consumption and income data. For the entire sample of Australian households, nearly full consumption smoothing exists against transitory shocks. Although less consumption smoothing exists against permanent shocks, Australian households still achieve a high degree of consumption smoothing against highly persistent shocks, particularly when compared to households in the United States. Durable purchases, female labor supply, and taxes and transfers are all found to act as consumption-smoothing mechanisms. The thesis then explores the impact of structural reforms on a comprehensive list of macro-level labor-market outcomes, including the unemployment rate, employment levels, average wage index, and labor force participation rates. After documenting the average trends across countries in the labor-market outcomes up to ten years on either side of each country's reform year, fixed-effects ordinary least squares as well as instrumental variables regressions are performed to account for likely endogeneity of structural reforms to labor-market outcomes. Overall the results suggest that structural reforms lead to positive outcomes for labor, particularly for informal workers. Redistributive effects in favor of workers, along the lines of the Stolper-Samuelson effect, may be at work. The thesis then explores the impact of trade liberalization on macroeconomic estimates of productivity using Brazil as a case study. Trade and economic reforms can affect the price of capital goods relative to other tradable and especially non-tradable goods. If the price of capital investments rises more than the price of all goods and services in the economy, mismeasurement of the price of capital caused by the divergence in these relative prices would result in an overestimated capital stock and underestimated TFP. This chapter overcomes this bias by constructing a capital price index using international trade data on capital goods' unit values then adjusts the index to reflect domestic Brazilian prices. A significant recovery between 1992 and 2006 is observed, highlighting the important role of the price deflator in growth accounting. The final chapter of this thesis proposes a methodology to measure the vulnerability of a country through exports to fluctuations in the economic activity of foreign markets. Export vulnerability depends first on the overall level of export exposure, measured as the share of exports to a foreign market in gross domestic product, and second on the sensitivity of exports to fluctuations in foreign gross domestic product. This sensitivity is captured by estimating origin-destination specific elasticities of exports with respect to changes in foreign gross domestic product using a gravity model of trade. Although the results suggest differences in elasticity estimates across regions as well as product categories, the principal source of international heterogeneity in export vulnerability results from differences in export exposure to global markets.
Download or read book Productivity Shocks and Consumption Smoothing in the International Economy written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Georg Kaltenbrunner
Publisher :
ISBN 13 :
Total Pages : 67 pages
Book Rating : 4.:/5 (129 download)
Download or read book Long-Run Risk Through Consumption Smoothing written by Georg Kaltenbrunner and published by . This book was released on 2011 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein-Zin preferences. Even when technology growth is i.i.d., optimal consumption smoothing induces highly persistent time-variation in expected consumption growth (long-run risk). This increases the price of risk when investors prefer early resolution of uncertainty, and the model can then account for the low volatility of consumption growth and the high price of risk with a low coefficient of relative risk aversion. The asset price implications of endogenous long-run risk depends crucially on the persistence of technology shocks and investors preference for the timing of resolution of uncertainty. We use the time-series of consumption growth and the cross-section of stock returns to evaluate different parameterizations of the model.
Author : Arthur Mendes
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (993 download)
Download or read book Consumption Smoothing and Shock Persistence written by Arthur Mendes and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: A common criticism of balanced budget fiscal rules is that they increase the consumption volatility of financially constrained households who are unable to smooth consumption. This paper evaluates the welfare consequences of simple fiscal rules in a model of a small commodity-exporting country with a share of financially constrained households, where fiscal policy takes the form of transfers. A main finding is that balanced budget rules for commodity revenues often outperform more sophisticated fiscal rules where commodity revenues are saved in a Sovereign Wealth Fund (SWF). Because commodity price shocks are typically highly persistent, the households' current income is close to their permanent income, making balanced budget rules close to optimal. For commodities like oil, where price shocks are highly persistent, it is optimal to spend more than two-thirds of windfall revenues in times of high prices, and in some cases even spend the entire windfall. But for commodities where price shocks are less persistent, like bananas or sugar, the optimal rule involves spending less than half of above-average commodity revenues (with the rest saved in a SWF). It is also best to respond counter-cyclically to non-resource GDP shocks, because those shocks are less persistent (and also affect households other income). The government does not have the ability to perfectly smooth constrained households' consumption without adversely affecting unconstrained households.
Author : Mr.Paul Cashin
Publisher : International Monetary Fund
ISBN 13 : 145185028X
Total Pages : 55 pages
Book Rating : 4.4/5 (518 download)
Download or read book How Persistent Are Shocks to World Commodity Prices? written by Mr.Paul Cashin and published by International Monetary Fund. This book was released on 1999-06-01 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the persistence of shocks to world commodity prices, using monthly IMF data on primary commodities between 1957–98. We find that shocks to commodity prices are typically long–lasting and the variability of the persistence of price shocks is quite wide. The paper also discusses the implications of these findings for national and international schemes to stabilize earnings from commodity exports and finds that if price shocks are long–lived, then the cost of stabilization schemes will likely exceed any associated smoothing benefits.
Author : Christopher Kent
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (389 download)
Download or read book The Response of the Current Account to Terms of Trade Shocks written by Christopher Kent and published by . This book was released on 1997 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper demonstrates that the response of the current account to shocks depends on the degree of persistence of these shocks. This result is in accordance with standard intertemporal models that incorporate both consumption smoothing and an investment response to shocks. The estimation procedure used to test this result takes advantage of the fact that the persistence of the terms of trade varies greatly across countries. Countries with the least persistent terms of trade shocks are shown to exhibit a positive relationship between these shocks and the current account; countries with the most persistent terms of trade shocks are shown to exhibit a negative relationship.
Author : Cinzia Alcidi
Publisher :
ISBN 13 : 9789461386021
Total Pages : 27 pages
Book Rating : 4.3/5 (86 download)
Download or read book Risk-sharing and Consumption-smoothing Patterns in the US and the Euro Area written by Cinzia Alcidi and published by . This book was released on 2017 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the capacity to smooth the impact of asymmetric shocks in the US and in the euro area (EA) and examines the various mechanisms through which the shock absorption occurs. It first notes that comparable data for the US and the EA are not readily available, and that in the US, state accounting is such that what the literature commonly calls international risk-sharing in reality embeds inter-temporal consumption-smoothing through retained corporate earnings. With this in mind, we build euro area aggregates suitable for comparison. Our findings confirm that international capital markets in the US are a more powerful tool for risk-sharing than in the EA, but less so than previously reported. The better performance of the US is explained by very poor shock-absorption dynamics in the peripheral euro area countries, especially after 2010, as well as by a higher persistence of shocks in the euro area relative to the US.
Author : Ms.Valerie Cerra
Publisher : International Monetary Fund
ISBN 13 : 1513536990
Total Pages : 50 pages
Book Rating : 4.5/5 (135 download)
Download or read book Hysteresis and Business Cycles written by Ms.Valerie Cerra and published by International Monetary Fund. This book was released on 2020-05-29 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditionally, economic growth and business cycles have been treated independently. However, the dependence of GDP levels on its history of shocks, what economists refer to as “hysteresis,” argues for unifying the analysis of growth and cycles. In this paper, we review the recent empirical and theoretical literature that motivate this paradigm shift. The renewed interest in hysteresis has been sparked by the persistence of the Global Financial Crisis and fears of a slow recovery from the Covid-19 crisis. The findings of the recent literature have far-reaching conceptual and policy implications. In recessions, monetary and fiscal policies need to be more active to avoid the permanent scars of a downturn. And in good times, running a high-pressure economy could have permanent positive effects.
Author : Barbara Robles
Publisher : The New Press
ISBN 13 : 1595585621
Total Pages : 337 pages
Book Rating : 4.5/5 (955 download)
Download or read book The Color of Wealth written by Barbara Robles and published by The New Press. This book was released on 2006-06-05 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: For every dollar owned by the average white family in the United States, the average family of color has less than a dime. Why do people of color have so little wealth? The Color of Wealth lays bare a dirty secret: for centuries, people of color have been barred by laws and by discrimination from participating in government wealth-building programs that benefit white Americans. This accessible book—published in conjunction with one of the country's leading economics education organizations—makes the case that until government policy tackles disparities in wealth, not just income, the United States will never have racial or economic justice. Written by five leading experts on the racial wealth divide who recount the asset-building histories of Native Americans, Latinos, African Americans, Asian Americans, and European Americans, this book is a uniquely comprehensive multicultural history of American wealth. With its focus on public policies—how, for example, many post–World War II GI Bill programs helped whites only—The Color of Wealth is the first book to demonstrate the decisive influence of government on Americans' net worth.
Author : Andreas Fagereng
Publisher : International Monetary Fund
ISBN 13 : 1484370066
Total Pages : 69 pages
Book Rating : 4.4/5 (843 download)
Download or read book Heterogeneity and Persistence in Returns to Wealth written by Andreas Fagereng and published by International Monetary Fund. This book was released on 2018-07-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
Author : Leonardo Leiderman
Publisher : Cambridge University Press
ISBN 13 : 9780521454384
Total Pages : 400 pages
Book Rating : 4.4/5 (543 download)
Download or read book Capital Mobility written by Leonardo Leiderman and published by Cambridge University Press. This book was released on 1994-07-14 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume examines capital mobility in both industrialised and developing countries.
Author : Peter B. Kenen
Publisher : Princeton University Press
ISBN 13 : 0691231133
Total Pages : 566 pages
Book Rating : 4.6/5 (912 download)
Download or read book Understanding Interdependence written by Peter B. Kenen and published by Princeton University Press. This book was released on 2021-06-08 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing together new papers by some of today's leading figures in international economics and finance, Understanding Interdependence surveys the current state of knowledge on the international monetary system and, by implication, defines the research horizon for the future. Covering topics including the behavior of exchange rates, the choice of exchange-rate regime, current-account adjustment in classical and Keynesian models, the extent and effects of capital mobility, international debt, the stabilization and reform of the formerly planned economies, European monetary union, and international policy coordination, the book underscores the importance of these subjects and identifies lessons for policymakers. The contributors to the volume are Michael Bruno, Ralph C. Bryant, Richard N. Cooper, Michael P. Dooley, Barry Eichengreen, Stanley Fischer, Charles A. E. Goodhart, Peter Hooper, Peter B. Kenen, Paul R. Krugman, Henri Lorie, Jaime Marquez, Ronald I. McKinnon, Michael Mussa, Maurice Obstfeld, John Odling-Smee, Assaf Razin, Dani Rodrik, Mark P. Taylor, and John Williamson.
Author : Paul Anthony Cashin
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Intertemporal Consumption Smoothing and Capital Mobility written by Paul Anthony Cashin and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the optimality of international capital flows to Australia, a persistent net importer of capital, during its post-capital controls period 1984-99. The evolution of Australia's current account balance is compared against a benchmark derived from an optimising model of intertemporal consumption smoothing. The consumption-smoothing approach to the determination of the current account implies that international capital flows act as a buffer to smooth aggregate consumption in the face of temporary shocks to the economic fundamentals: changes in national cash flow (that is, changes in the level of output, investment or government spending). It is found that in the early 1990s a structural break occurred in the relationship between consumption and national cash flow, which coincides with a switch from debt-financing to equity-financing of the current account deficit. In the decade of the 1990s following this structural break (and unlike the decade of the 1980s which preceded this break), international capital flows to Australia implied a path for consumption which was broadly consistent with expected-utility maximisation under the consumption-smoothing model of the current account.
Author : Herrera
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4./5 ( download)
Download or read book public expenditure and consumption volatility written by Herrera and published by World Bank Publications. This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Recent estimates of the welfare cost of consumption volatility find that it is significant in developing nations, where it may reach an equivalent of reducing consumption by 10 percent per year. Hence, examining the determinants of consumption volatility is of utmost relevance. Based on cross-country data for the period 1960-2005, the paper explains consumption volatility using three sets of variables: one refers to the volatility of income and the persistence of income shocks; the second set of variables refers to policy volatility, considering the volatility of public spending and the size of government; while the third set captures the ability of agents to smooth shocks, and includes the depth of the domestic financial markets as well as the degree of integration to international capital markets. To allow for potential endogenous regressors, in particular the volatility of fiscal policy and the size of government, the system is estimated using the instrumental variables method. The results indicate that, besides income volatility, the variables with the largest and most robust impact on consumption volatility are government size and the volatility of public spending. Results also show that deeper and more stable domestic financial markets reduce the volatility of consumption, and that more integrated financial markets to the international capital markets are associated with lower volatility of consumption.
Author : Jerome Adda
Publisher : MIT Press
ISBN 13 : 0262547880
Total Pages : 297 pages
Book Rating : 4.2/5 (625 download)
Download or read book Dynamic Economics written by Jerome Adda and published by MIT Press. This book was released on 2023-05-09 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: An integrated approach to the empirical application of dynamic optimization programming models, for students and researchers. This book is an effective, concise text for students and researchers that combines the tools of dynamic programming with numerical techniques and simulation-based econometric methods. Doing so, it bridges the traditional gap between theoretical and empirical research and offers an integrated framework for studying applied problems in macroeconomics and microeconomics. In part I the authors first review the formal theory of dynamic optimization; they then present the numerical tools and econometric techniques necessary to evaluate the theoretical models. In language accessible to a reader with a limited background in econometrics, they explain most of the methods used in applied dynamic research today, from the estimation of probability in a coin flip to a complicated nonlinear stochastic structural model. These econometric techniques provide the final link between the dynamic programming problem and data. Part II is devoted to the application of dynamic programming to specific areas of applied economics, including the study of business cycles, consumption, and investment behavior. In each instance the authors present the specific optimization problem as a dynamic programming problem, characterize the optimal policy functions, estimate the parameters, and use models for policy evaluation. The original contribution of Dynamic Economics: Quantitative Methods and Applications lies in the integrated approach to the empirical application of dynamic optimization programming models. This integration shows that empirical applications actually complement the underlying theory of optimization, while dynamic programming problems provide needed structure for estimation and policy evaluation.
