Archives du séminaire Macro Workshop
Macro Workshop
Le 12/10/2023 de 13:00:00 à 14:30:00
R1-13
The past 40 years have been characterized by a decrease in the rate of return on safe assets, an increase in the equity premium, an increase in the price of financial assets, and an increase in labor income and wealth inequality. Using a heterogeneous-agent model featuring permanent labor income inequality, a two-asset structure, and non-homothetic preferences, we investigate the impact of an increase in permanent labor income inequality on wealth inequality. As rich households save a higher share of their permanent income than poorer ones, a more skewed permanent labor income distribution increases aggregate savings. With imperfect competition, a higher level of savings leads to a higher valuation of firms and a limited increase in capital stock. The induced capital gains increase wealth inequality due to portfolio heterogeneity
Eustache Elina () From Labor Income to Wealth Inequality: General Equilibrium
Macro Workshop
Le 05/10/2023 de 00:00:00 à 00:00:00
R1-15
This article studies the role played by education in the decline of global poverty. In a companion paper, I estimate that the rise of government redistribution in the form of cash transfers, education, healthcare, and other public services accounts for 30% of worldwide poverty reduction since 1980 (Gethin, 2023). In this paper, I incorporate in this analysis the causal impact of schooling on pretax incomes, combining survey microdata covering 95% of the world’s population with a simple model of education and the wage structure. Private returns to schooling account for 50-60% of global economic growth, 60-70% of income gains among the world’s poorest 20% individuals, and 60-90% of the decline in global gender inequality since 1980. Combining direct redistribution and indirect investment benefits from education brings the total contribution of public policies to global poverty reduction to 50-80% or more.
Gethin Amory () Distributional Growth Accounting: Education and the Reduction of Global Poverty, 1980-2001.
Macro Workshop
Le 28/09/2023 de 12:00:00 à 14:00:00
R2-21
Why, when and how should a central bank (mis)report private information?
This paper studies the incentives and the ability of a central bank to stabilize the economy through strategically distorted announcements. Three messages stand out. First, strategic communication designed to mitigate dispersion costs from sector specific shocks complements standard policy interventions in stabilizing the economy. Second, communication is subject to a commitment tension that undermines control of private beliefs and effective stabilization. Finally, central bank reputation provides valuable incentives to support effective strategic communication.
Camous Antoine () Central Bank Strategic Communication and the Dynamics of Reputation
Macro Workshop
Le 21/09/2023 de 12:00:00 à 14:00:00
R1-15
How effective make-up strategies are depends heavily on how forward-looking agents are. Workhorse models find them suspiciously effective. Models that discount the future further find them much less effective, but imply that agents discount the very perception of future policy rates (financial markets do not notice them, or deem them non-credible). We amend one leading solution to the forward-guidance puzzle—Woodford’s finite planning horizons—to the assumption that financial markets have rational expectations on policy rates, and incorporate them into the long-term nominal interest rates faced by all. We find that make-up strategies that compensate for a past deficit of accommodation after an ELB episode have sizably better stabilization properties than inflation targeting.
Matheron Julien () Make-up Strategies with Finite Planning Horizons but Forward-Looking Asset Prices
Macro Workshop
Le 17/12/2015 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), room B. 3.1
Francesco Furlanetto (Norges Bank)
Macro Workshop
Le 10/12/2015 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), room B. 3.1
Bartal Mehdi (Paris 1 - PSE)
Macro Workshop
Le 26/11/2015 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), room B. 3.1
Pratap Sangeeta (Hunter College and Graduate Center City University of NY)
Macro Workshop
Le 19/11/2015 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), room B. 3.1
Bock Sébastien (Paris 1 - PSE) Job polarization and wage regulations : The shaping of French labor market outcomes
Macro Workshop
Le 12/11/2015 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), room B. 3.1
Global current account imbalances is, to large extent, shaped by government decisions and sovereign to sovereign transactions. This paper aims to provide a theoretical framework to investigate the impact of wage centralization on the governments’ political incentives to widen or correct external balance through managing the budget balance. An increase in budget deficit, when financed by external resources (twin deficits), leads to some symptoms of Dutch disease : real appreciation of the currency, loss in competitiveness of Tradable sector (T-sector) and, if labor market is frictional, an increase (a decline) in the real wage in N-sector (T-sector). The opposite happens when the government improves the two balances. Therefore, the workers in N-sector relatively support (oppose) more the policies which lead to widening (reforming) the two deficits. Centralization of wage bargaining moderates these evaluations by compressing the wage gap between the sectors : The more centralized is the wage determination, the less N-sector workers support (oppose) widening (reforming) the two deficits. Relying on the majority rule, it will be argued that policy makers follow the preferences of N-sector workers (who constitute the majority in developed countries). Therefore, the governments in the countries with higher degree of wage centralization will have less political incentives to widen twin deficits and more political support for improving the two balances. This prediction is confirmed by facts reported in the paper.
Arabzadeh Hamze (Paris 1 - PSE) The political economy of twin deficits and wage setting centralization
Macro Workshop
Le 05/11/2015 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), room B. 3.1
Balance sheet recessions result from concentration of macroeconomic risks on the balance sheets of leveraged agents. In this paper, I argue that information dispersion about the future states of the economy combined with trading frictions in financial markets can explain why such concentration of risk may be privately but not socially optimal. I show that borrowers face a trade off between the insurance benefits of financing with macro contingent contracts and the illiquidity premia they need to pay creditors for holding such contracts. In aggregate, as borrowers sacrifice contingency in order to provide liquidity, the severity of macroeconomic fluctuations becomes endogenously linked to the magnitudes of information dispersion and trading frictions. In this setting, I study the policy implications of the theory and I find that imposing (or subsidizing) contingencies in private contracts is welfare improving.
Asriyan Vladimir (CREI, Barcelona GSE) Balance Sheet Recessions with Informational and Trading Frictions
Texte intégral
Macro Workshop
Le 15/10/2015 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), room B. 3.1
In addition to revamping existing rules for bank capital, Basel III introduces a new global framework for liquidity regulation. One part of this framework is the liquidity coverage ratio (LCR), which requires banks to hold ssufficient high-quality liquid assets to survive a 30-day period of market stress. As monetary policy typically involves targeting the interest rate on loans of one of these assets central bank reserves it is important to understand how this regulation may impact the e-fficacy of central banks’ current operational frameworks. We introduce term funding and an LCR requirement into an otherwise standard model of monetary policy implementation. We show that when banks face the possibility of an LCR shortfall, it becomes more challenging for a central bank to control the overnight interest rate and the short end of the yield curve becomes steeper. Our results suggest that central banks may want to adjust their operational frameworks as the new regulation is implemented.
Keister Todd (Rutgers University) Liquidity regulation and the implementation of monetary policy », co-written with Morten L. Bech
Macro Workshop
Le 29/09/2014 de 17:00:00 à 18:15:00
MSE (106-112, boulevard de l'Hôpital - Salle du 6ème étage ) 75013 Paris
We study a principal-agent model with moral hazard and adverse selection. Agents have private information about the distribution of outputs conditional on each effort and, possibly, the cost of effort. We prove existence, characterize the solution, and establish several general properties of the resulting multidimensional screening problem. A positive mass of types with low conditional probabilities of success gets a constant payment and zero rents. Exclusion is desirable if and only if it is first-best efficient. Unlike in pure adverse selection models, there is distortion everywhere: the region of types who exert high effort is contained in the interior of the first-best high-effort region. Under additional conditions, the optimal mechanism offers only finitely many contracts. For example, if the agent is risk neutral and has limited liability, all agents are offered a single contract. Our model, therefore, provides a multidimensional screening rationale for the lack of rich menus of contracts observed in certain environments. We apply our framework to multidimensional generalizations of canonical models in insurance, regulation, and optimal taxation and show that it generates novel results.
MOREIRA Humberto (FGV/EPGE-Fundation Getulio Vargas- Escola Brasileira de Economia ) Simultaneous Adverse Selection and Moral Hazard
Co-author : Daniel GottliebTexte intégral
Macro Workshop
Le 15/11/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), B.
ZUCMAN Gabriel (PSE) Capital is Back : Wealth-Income Ratios in Rich Countries, 1810-2010
Co-author(s): Thomas Piketty
Macro Workshop
Le 25/10/2012 de 15:00:00 à 16:00:00
ROULLEAU-PASDELOUP Jordan (Université Paris 1 and CREST ) *
Macro Workshop
Le 18/10/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), B.
MOLTENI Francesco (Université Paris 1) Discretionary versus Automatic Public Expenditure
Macro Workshop
Le 11/10/2012 de 15:00:00 à 16:00:00
VARELA Liliana (PSE) Financial Liberalization, Competition and Growth
Macro Workshop
Le 04/10/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
This paper presents a recursive model in which a bank with market power intermediates funds between heterogeneous agents. Depending on their circumstances, agents self-select to be depositors, with funds at call, or long-term borrowers, who invest to produce output. The profits of individual projects are private knowledge and subject to persistent stochastic shocks. Agents use this information to make endogenous entry and exit decisions similar to the framework of Hopenhayn (1992) where exit can be orderly or through bankruptcy and default. The bank loan contract specifies the interest rate, a monitoring intensity and a profitability covenant. For any given contract, there is a steady-state distribution of profitability states. The bank chooses the contract terms in order to maximise steady-state profits net of default risk subject to the constraint that it must have as many deposits as loans. The bank will need to monitor because of asymmetric information about the state of the loan and the risk of default. This results in a misalignment of interests between the bank and the borrower over the states for which production should continue and thus the bank cannot always rely on the voluntary actions of the borrower to protect its interests.
PENALVER Adrian (PSE) A model of endogenous bank credit risk
Macro Workshop
Le 28/06/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
VANASCO Victoria (University of California) *
Macro Workshop
Le 21/06/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
BAS Maria (CEPII) *
Macro Workshop
Le 14/06/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
DROMEL Nicolas (CNRS & PSE) *
Macro Workshop
Le 07/06/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
RANCIERE Romain (PSE) *
Macro Workshop
Le 31/05/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
KAPP Daniel (Université Paris 1 & PSE) Real Output Costs of Financial Crises: A Loss Distribution Approach
Macro Workshop
Le 10/05/2012 de 15:15:00 à 16:15:00
FORNARO Luca (LSE) Financial Crises and Exchange Rate Policy
Macro Workshop
Le 12/04/2012 de 15:15:00 à 16:15:00
CHEVALIER Charles-Marie (PSE) *
Macro Workshop
Le 05/04/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
ASRIYAN Vladimir (University of California) Housing Markets and Liquidity Crises
Macro Workshop
Le 29/03/2012 de 15:15:00 à 16:15:00
BI Sheng (Université Paris 1 & PSE) Revisiting the life cycle profile of wages
Macro Workshop
Le 22/03/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
ARQUIE Axelle (Université Paris 1 & PSE) Can Basel III liquidity ratios endanger overall financial stability ?
Macro Workshop
Le 15/03/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
WINANT Pablo (PSE) Portfolio choice by a small open economy
Macro Workshop
Le 08/03/2012 de 15:15:00 à 16:15:00
RAGOT Xavier (PSE) Default and credit contraint
Macro Workshop
Le 16/02/2012 de 15:15:00 à 16:15:00
VARELA Liliana (PSE) Financial Liberalization and Growth: the Case of Hungary
Macro Workshop
Le 09/02/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
LE Mathias (PSE) Deposit Insurance Adoption and Bank Risk-Taking : an Empirical Investigation
Macro Workshop
Le 02/02/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
IMBS Jean (CNRS & PSE) Economic Integration and Structural Change
Macro Workshop
Le 26/01/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
CHATELAIN Jean-Bernard (Université Paris 1 & PSE) The Failure of Financial Macroeconomics and What to Do About It
Macro Workshop
Le 19/01/2012 de 15:15:00 à 16:15:00
LEPETIT Antoine (Université Paris 1 & PSE) Near rationality, fair wages and the long run Phillips Curve
Macro Workshop
Le 12/01/2012 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
BOITIER Vincent (Université Paris 1 & PSE) Local interactions in macroeconomics: the case of urban search models
Macro Workshop
Le 05/01/2012 de 15:15:00 à 16:15:00
Eleni ILIOPOULOS, Eleni.Iliopulos@univ-paris1.fr (Université Paris 1 & PSE) *; () ;
La séance est annulée
Macro Workshop
Le 15/12/2011 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
This paper analyzes the consequences of changes in the allocation of resources between incumbent, entering and exiting firms for the dynamics of aggregate productivity. I propose a novel decomposition of aggregate productivity growth which accounts for changes in allocative efficiency. By deriving aggregate productivity from the aggregation of firm-level production functions, this approach extends Solow (1957)’s growth accounting exercise to a framework with firm heterogeneity and frictions in the allocation of resources across firms. Using firm-level data from the French manufacturing industry, I find that the allocation of resources between incumbent firms improves during recessions, thereby reducing the volatility of aggregate productivity. In contrast with the theoretical literature on the cleansing effect of recessions, my results indicate that entry and exit flows play a negligible role for the cyclical dynamics of aggregate productivity.
Keywords: aggregate productivity, resource allocation, entry and exit, cleansing.
JEL codes: E32, O47, D24.
OSOTIMEHIN Sophie (CREST & PSE) Aggregate productivity and the allocation of resources over the business cycle
Macro Workshop
Le 01/12/2011 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
DIAS SANCHEZ Jose Luis (Université Paris 1 & PSE) Deleveraging and Private Consumption in Spain
Macro Workshop
Le 24/11/2011 de 00:00:00 à 00:00:00
Eleni ILIOPOULOS, Eleni.Iliopulos@univ-paris1.fr (Université Paris 1 & PSE) *; () ;
La séance est annulée
Macro Workshop
Le 17/11/2011 de 15:15:00 à 16:15:00
RISTINIEMI Annukka (PSE) Credit ratings and debt crises
Macro Workshop
Le 10/11/2011 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
GRASSI Basile (Université Paris 1 & PSE) Do banks lend to each other ? How asymmetry of information shapes the lending channel
Macro Workshop
Le 20/10/2011 de 15:00:00 à 16:00:00
SENOUCI Mehdi (PSE) Technical change in a two-sector model of optimal growth
Macro Workshop
Le 13/10/2011 de 15:00:00 à 16:00:00
MSE Campus (106-112 boulevard de l’Hôpital, 75013 Paris), Ro
This paper develops a model of price rigidities and information di usion in decentralized markets with private information. First, I provide a strategic microfoundation for price rigidities, by showing that rms are better o delaying the adjustment of prices when they face a high number of uninformed consumers. Second, in an environment where consumers learn from rms' prices, the di usion of information follows a Bernoulli di erential equation. Therefore, learning follows nonlinear dynamics. Third, the price rigidity produces an informational externality that a ects welfare. Fourth, the dynamics of output are hump-shaped due to consumer learning.
Keywords: signaling, logistic curve, distortion.
L'HUILLIER Jean-Paul (Einaudi Institute for Economics and Finance) Consumers’ Imperfect Information and Price Rigidities
Texte intégral
Macro Workshop
Le 06/10/2011 de 15:00:00 à 16:00:00
Why do central banks sometimes choose to control directly the quantity of credit, rather than to in uence indirectly interest rates through market operations ? This paper states that the choice of monetary policy instrument is determined not primarily by the nature of the macroeconomic disturbances but by the nature of the interaction between the central bank and the banks. The dilemma prices vs. quantities arises only in a second-best equilibrium. I build a simple model that derives under which conditions it is optimal for a central bank to ration directly credit at an interest rates below the market clearing rate. Asymmetries of information between banks and rms (imperfect nancial markets) and a monopoly of the central bank on banks re nancing are crucial to this result. The model also oers a new interpretation of expansive policy when the interest rate does not play any role (with the zero lower bound interest rate as a particular case). The opposite case is when the interest rate is used as a screening device. It corresponds to the real bills doctrine. Finally, this theoretical framework makes clear that, in a imperfect information context, quantitative (second-best) monetary policy always creates rents. The model helps to explain why central banks in developing countries still use many quantitative instruments. It also provides a new account for the reaction of central banks during crisis.
MONNET Eric (PSE) The prices vs. quantities tradeoff in monetary policyTexte intégral