Archives du séminaire Macroeconomics Seminar
Macroeconomics Seminar
Le 02/05/2024 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We study the interaction between monetary policy and labor supply decisions at the household level. We uncover evidence of heterogeneous responses and a strong countercyclicality of hours worked in the left tail of the income distribution, following a monetary policy shock in the U.S. and the U.K. That is, while aggregate hours and labor earnings decline, employed individuals at the bottom of the income distribution increase their hours worked in response to an interest rate hike. Moreover, their response is stronger in magnitude relative to other income groups. We rationalize this using a two-agent New-Keynesian (TANK) model where our empirical findings can be replicated with heterogeneity in the sensitivity of marginal utility of consumption and a stronger income effect for the Hand-to-Mouth households. This setup uncovers a novel channel of transmission of monetary policy via inequality generated by the Hand-to-Mouth substitution of leisure for consumption following a negative income shock. Using a quantitative model with both intensive and extensive margin of labor
supply that replicates our evidence, we show that this new channel reduces the amplification of monetary policy via inequality generated by the heterogeneous behavior of unemployment along the income distribution.
Cantore Cristiano () A tail of labor supply and a tale of monetary policy
Filippo Ferroni Chicago Fed, Haroon Mumtaz Queen Mary University of London and Angeliki Theophilopoulou Brunel University London
Texte intégral
Macroeconomics Seminar
Le 25/04/2024 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We document how inequality in wage and salary earnings varies with GDP per capita for a large set of countries. The mean-to-median ratio and the Gini coefficient decline as we move from poorer to richer countries. Yet, this decline masks divergent patterns: while inequality at the top of the earnings distribution falls, inequality at the bottom increases. We interpret these facts within a model economy with heterogeneous workers and firms, featuring industry dynamics, search frictions, and skill accumulation of workers through on-the-job learning and training. The benchmark economy is calibrated to the UK. We then study how the earnings distribution changes with distortions that penalize high-productivity firms and frictions that reduce match formation. Distortions and frictions reduce employment, average firm size, and GDP per capita. They also affect how much firms are willing to pay workers, how well high-skill workers are matched with high-productivity firms, and how much training workers receive. The model generates the observed cross-country relation between GDP per capita and earnings inequality and a host of cross-country facts on firm size distribution, firms’ training decisions, and workers’ life-cycle and job tenure earnings profiles.
Ruggieri Alessandro (University of Nottingham) Misallocation and Inequality
N.Guner (CEMFI)
Macroeconomics Seminar
Le 28/03/2024 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
This paper studies the macroeconomic effects of internal migration in an economy with labor market frictions and quantifies its role in mitigating asymmetric shocks. Labor mobility is viewed as a key mechanism to stabilize the economy from regional shocks in currency unions. However, this view does not take into account the equilibrium effects of worker mobility in the presence of search frictions. First, I gather new evidence connecting individual migration decisions to aggregate economic outcomes over the business cycle. I show that during the Great Recession in the United States labor flows across states strongly responded to changes in economic conditions. Moreover, I find that in economic expansions job-to-job transitions account for most of the interstate movements, whereas during downturns there is a significant increase in the relocation of unemployed workers across states. Then, I develop an equilibrium model with fluctuations in aggregate productivity in which search frictions are crucial to generating the observed patterns in the data, and in particular, to explain the procyclicality of migration. I calibrate the model to the U.S. economy during the Great Recession and study the implications of labor mobility on local and aggregate labor markets.
Gonzales-Aguado Eugenia (University of Nottingham) Labor mobility over the business cycle
Macroeconomics Seminar
Le 21/03/2024 de 00:00:00 à 00:00:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle
Storesletten kjetil (University of Nottingham) International Macroeconomics Chair Lecture
Macroeconomics Seminar
Le 14/03/2024 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We develop a perturbational technique to approximate equilibria of a wide class of discrete-time dy-
namic stochastic general equilibrium heterogeneous-agent models with complex state spaces, including
multi-dimensional distributions of endogenous variables. We show that approximating policy functions
and stochastic process that governs the distributional state to any order is equivalent to solving small
systems of linear equations that characterize values of certain directional derivatives. We analytically
derive the coefficients of these linear systems and show that they satisfy simple recursive relations,
making their numerical implementation quick and efficient. Compared to existing state-of-the-art tech-
niques, our method is faster in constructing first-order approximations and extends to higher orders,
capturing the effects of risk that are ignored by many current methods. We illustrate how to apply
our method to a broad set of questions such as impacts of first- and second-moment shocks, welfare
effect of macroeconomic risk and stabilization policies, endogenous household portfolio formation, and
transition dynamics in heterogeneous agent general equilibrium settings.
Bhandari Anmol (University of Minnesota) A Perturbational Approach for Approximating Heterogeneous-Agent Models
Thomas Bourany, David Evans, and Mikhail GolosovTexte intégral
Macroeconomics Seminar
Le 07/03/2024 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Over the last several decades, there has been a large increase in asset valuations across many asset classes. While these rising valuations had important effects on the distribution of wealth, little is known regarding their effect on the distribution of welfare. To make progress on this question, we develop a sufficient statistic for the money-metric welfare effect of deviations in asset valuations (i.e., changes in asset prices keeping cash flows fixed). This welfare effect depends on the present value of an individual’s net asset sales rather than asset holdings: higher asset valuations benefit prospective sellers and harm prospective buyers. We estimate this quantity using panel microdata covering the universe of financial transactions in Norway from 1994 to 2019. We find that the rise in asset valuations had large redistributive effects: it redistributed from the young towards the old and from the poor towards the wealthy.
B.Holm Martin (U of Oslo ) Asset-Price RedistributionTexte intégral
Macroeconomics Seminar
Le 29/02/2024 de 16:00:00 à 00:00:00
Using Zoom
By Rohan Kekre (Chicago Booth) and Moritz Lenel (Princeton).
Rancière Romain, romainranciere@gmail.com (U of Oslo ) Junior Research Prize de la Macroeconomic Risk Chair The Flight to Safety and International Risk SharingTexte intégral
Macroeconomics Seminar
Le 14/12/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We study the role of consumer bankruptcy policy in macroeconomic stabilization. Our economy features nominal rigidities, incomplete financial markets, and heterogeneous households with access to unsecured defaultable debt. We derive sufficient statistics for quantifying the contribution of automatic stabilizers to dampening output fluctuations. Bankruptcy is an automatic stabilizer if the average consumption effect of default, or "ACED" (the causal effect of default on consumption) is larger than the marginal propensity to consume of savers. Quantitatively, for the United States, we show that the current bankruptcy code reduces the amplitude of output fluctuations by 6%, and that bankruptcy rules that systematically respond to the business cycle could increase this number to 13%. By comparison, countercyclical government spending and deficits reduce output fluctuations by 19% and 11%, respectively.
Mitman Kurt (IIES) Consumer Bankruptcy as Aggregate Demand Management
Adrien Auclert
Macroeconomics Seminar
Le 07/12/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
New technologies emerge and translate into economic growth through the team effort of inventors, entrepreneurs and production workers. This paper provides a unified life-cycle framework to characterize the population split across these three groups and connects the relationship between entrepreneurs and inventors to economic growth. We proceed by inking detailed micro-data from Denmark on individual entrepreneurs, inventors, workers, and firms to a novel quantitative endogenous growth model with occupational sorting and matching between inventors and entrepreneurs. Empirically, we find that while parental exposure is a key determinant of entrepreneurship, sorting into inventing occupations is primarily determined by education and IQ. Entrepreneurs with higher ability, as proxied by IQ, hire more inventors, hire inventors of higher ability, create more innovative firms and grow faster. Further, entrepreneurs who went to a school that has more high-IQ students hire more and better R&D workers, conditional on their own talent. We build the quantitative model based on this evidence and use it to characterize how entrepreneurs and inventors stimulate economic growth. Individuals self-select into different occupations and entrepreneurship depending on their characteristics (e.g., background, talent, preferences) and entrepreneurs assemble teams in order to innovate and grow firms. The model highlights the importance of assortative matching between talented entrepreneurs and inventors for the rise of successful firms. In addition to matching the data, the model admits various counterfactuals to study the underlying mechanics of entrepreneurs and inventors. We find that the assortative matching between entrepreneurs and R&D workers explains 7% of economic growth and 14% of firm growth, indicating the importance of matching the right team early in the firm.
Pratap Sangeeta Marto (Bocconi) *Career Choice of Entrepreneurs and the Rise of Smart Firms
Ufuk Akcigit, Harun Alp, and Jeremy Pearce
Macroeconomics Seminar
Le 30/11/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-07 (côté ENS)
We measure individual bias in labor market expectations in German survey data and
find that workers on average significantly overestimate their individual probabilities
to separate from their job when employed as well to find a job when unemployed.
These biases vary significantly between population groups. Most notably, East Germans
are significantly more pessimistic than West Germans. We find a significantly
negative relationship between the pessimistic bias in job separation expectations and
wages, and a significantly positive relationship between optimistic bias in job finding
expectations and reservation incomes. We interpret and quantify the effects of (such)
expectation biases on the labor market equilibrium in a search and matching model
of the labor market. Removing the biases could substantially increase wages and expected
lifetime income in East Germany. The difference in biases in labor market
expectations explains part of the East-West German wage gap.
Balleer Almut (RWTH Aachen University) Biased expectations and labor market outcomes: Evidence from German survey data and implications for the East-West wage gap
Macroeconomics Seminar
Le 16/11/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We develop a multi-country model of endogenous growth through innovation. The key feature of the model is that some ideas are globally applicable, while others are of local use only. Each country consists of a number of locations. There are innovation spillovers across locations and therefore across country borders. We argue that this model is both inherently plausible and consistent with an important set of growth facts. For instance, by computing a transition, we show that the model is capable of replicating a protracted decline in measured research productivity in the rich part of the world.
KLEIN Paul (SU) Innovation-driven growth in a multi-country world
Macroeconomics Seminar
Le 09/11/2023 de 14:00:00 à 15:30:00
Reichlin Lucrezia (LBS) International Macroeconomics Chair Lecture
Macroeconomics Seminar
Le 19/10/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Violante Gianluca (Princeton) Job Amenity Shocks and Labor Reallocation
Sadhika Bagga, Lukas Mann and Aysegul Sahin
Macroeconomics Seminar
Le 17/10/2023 de 00:00:00 à 00:00:00
PSE- 48 boulevard Jourdan, 75014 Paris, Amphitheater
Rancière Romain, romainranciere@gmail.com (Princeton) PSE Macro Days on Oct 16-17Texte intégral
Macroeconomics Seminar
Le 16/10/2023 de 00:00:00 à 00:00:00
PSE- 48 boulevard Jourdan, 75014 Paris, Amphitheater
Rancière Romain, romainranciere@gmail.com (Princeton) PSE Macro Days on Oct 16-17Texte intégral
Macroeconomics Seminar
Le 12/10/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-01
We devise a tractable model of persistent heterogeneity in the propensity to move. The model admits analytical solutions for household values, migration flows, and the distribution of mobility types across space, a fundamental challenge posed by the environment. Equilibrium mobility is ordered: locations facing adverse (favorable) shocks shrink (grow) via population flows in order of mobility type, starting with the most mobile. Spatial gaps emerge not only in labor market outcomes, but also in the composition of mobility types. Spatial convergence involves closing both gaps, and generically takes longer. Labor market outcomes display endogenous history dependence whereby locations with greater shares of mobile types exhibit greater resilience to adverse shocks. Auspicious locations are heterogeneous and feature high population churn; inauspicious locations become increasingly homogeneous and sclerotic. Confronting the model with data on population flows dating back to the 1960s, we find support for these predictions.
Elsby Mike (University of Edinburgh) Spatial Hysteresis
Macroeconomics Seminar
Le 28/09/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Stepanchuk Serhiy (University of Edinburgh) Till the IRS Do Us Part: (Optimal) Taxation of Households
Hans A. Holter and Dirk KruegerTexte intégral
Macroeconomics Seminar
Le 21/09/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We document structural change in innovation using historical patent data starting in the 1850s, and R&D expenditure and TFP growth since 1947. Innovation moved from agricultural sectors to manufacturing, and subsequently to services. To account for this structural change in innovation, we develop a multi-sector endogenous growth model in which the direction of innovation evolves endogenously. The model provides a general equilibrium framework that incorporates the classical demand-pull and technology-push drivers of innovation. Sectors differ in their innovation technologies, and the extent to which they benefit from knowledge spillovers (technology-push). Due to nonhomotheticity in demand, relative sectors’ market sizes move towards income-elastic sectors along the growth process (demand pull). A calibrated version of our model can account for the joint structural change in innovation and sectoral output observed in the US. Our framework can also be used to assess future paths of sectoral productivity (to evaluate the potential extent of Baumol’s disease) and optimal innovation policy.
Mestieri Marti (University of Edinburgh) Structural Change in Innovation
Danial Lashkari and Diego Comin
Macroeconomics Seminar
Le 05/06/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-01
Universal basic income (UBI) is an increasingly popular policy proposal but there is no evidence
regarding its longer-term consequences. We find that UBI generates large welfare losses in a general equilibrium model with imperfect capital markets, labor market shocks, and intergenerational linkages via skill formation and transfers. This conclusion is robust to various alternative ways of financing UBI. By using observationally-equivalent models that eliminate different sources of endogenous dynamic linkages (equilibrium capital market and parental investment in child skills) we show that the latter are largely responsible for the negative welfare consequences.
Fernandez-Urbano Roger (University of Edinburgh) Universal Basic Income: A Dynamic Assessment
Diego Daruich
Macroeconomics Seminar
Le 01/06/2023 de 16:00:00 à 00:00:00
PSE- 48 boulevard Jourdan, 75014 Paris, amphithéâtre
Bomare Jeanne Olivier (John Hopkins) Macroeconomic Risk Chair Annual LectureTexte intégral
Macroeconomics Seminar
Le 25/05/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-01
We study currency devaluation episodes in a small open economy heterogeneous households model with leverage-constrained banks. Our framework captures three stylized facts about liability dollarization in emerging economies: i) banks and firms borrow in foreign currency; ii) households save in dollar-denominated local bank deposits; and iii) such deposits are mainly held by wealthier households. The resulting currency mismatch in our economy causes an erosion of banks' net worth during a devaluation. We show that the subsequent macroeconomic decline is amplified by a strong reduction of consumption among poorer households in response to rising borrowing costs and falling labor income. Richer households are partially insured, as they are holding a larger share of their wealth in foreign currency denominated assets. We show that larger currency hedging by wealthier households deepens the recession and amplifies the negative implications for poorer agents. When deposit dollarization is high welfare gains can arise if monetary policy dampens a depreciation.
Ferrante Francesco (John Hopkins) Devaluations, Deposit Dollarization and Household Heterogeneity
Nils Gornemann
Macroeconomics Seminar
Le 11/05/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We compare the performance of a carbon tax and a cap-and-trade scheme in a dynamic stochastic general equilibrium model that includes an environmental externality and agency problems associated with financial intermediation. Heterogeneous polluting firms purchase capital by combining their resources with loans from banks and are hit by idiosyncratic shocks that can lead them to default. We find that financial market distortions strongly affect the performance of climate policy throughout the business cycle. Welfare cost of business cycles are substantially lower under a cap-and-trade system than under a carbon tax if financial frictions are stringent, firm leverage is high, and agents are sufficiently risk-averse.
The difference in welfare costs shrinks significantly in the presence of simple macroprudential policy rules, which reduce financial market distortions. These policies can go a long way in smoothing business cycle fluctuations and aligning the performance of price and quantity pollution policies, reducing the uncertainty inherent to the government's chosen climate policy tool.
Annicchiarico Barbara (John Hopkins) Climate Policies, Macroprudential Regulation, and the Welfare Cost of Business Cycles
Macroeconomics Seminar
Le 20/04/2023 de 16:00:00 à 17:15:00
On Zoom.
Dew-Becker Ian (Northwestern University) Junior Research Prize Award: Tail Risk in Production NetworkTexte intégral
Macroeconomics Seminar
Le 13/04/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-09
This paper studies electoral competition over redistributive taxes between a safe incumbent and a risky opponent. With reference-dependent preferences, economi- cally disappointed voters become risk lovers, and hence are attracted by the more risky candidate. We show that, the equilibrium can display policy divergence: the intrinsically more risky candidate proposes lower taxes and is supported by a coali- tion of very rich and very disappointed voters, while the safe candidate proposes higher taxes. This can explain why new populist parties are often supported by eco- nomically dissatisfied voters and yet they run on economic policy platforms of low redistribution. We show that survey data on the German SOEP are consistent with our theoretical predictions on voters’ behavior.
Pavoni Nicola (Northwestern University) Economic Shocks and Populism: The Political Implications of Reference-Dependent Preferences
Fausto Panunzi and Guido Tabellini
Macroeconomics Seminar
Le 06/04/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We propose a joint model of the aggregate housing and rental markets in which both house prices and rents are determined endogenously. Households can choose their housing tenure status (renters, homeowners, or landlords) depending on their age, wealth, and income. We use our model to study the introduction in Ireland in 2015 of macroprudential policies that limited loan-to-value (LTV) and loan-to-income (LTI) ratios of newly originated mortgages. The introduction of stringent LTV and LTI ratios mitigates house price growth, but increases rents and reduces homeownership rates. As a result, middle-income households are negatively affected.
Paz-Pardo Gonzalo (Northwestern University) The aggregate and distributional implications of credit shocks on housing and rental markets
Juan Castellanos and Andrew Hannon
Macroeconomics Seminar
Le 30/03/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Bilbiie Florin (Cambridge) Inequality and Business Cycles
Giorgio Primiceri and Andrea TambalottiTexte intégral
Macroeconomics Seminar
Le 23/03/2023 de 00:00:00 à 00:00:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Rancière Romain, romainranciere@gmail.com (Cambridge) International Macroeconomics Chair annual workshop
Macroeconomics Seminar
Le 16/03/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Engbom Niklas (Cambridge) Misallocative GrowthTexte intégral
Macroeconomics Seminar
Le 09/03/2023 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We study optimal fiscal policy to address climate change and inequality. We theoretically characterize optimal carbon and income taxes, and quantify them for the U.S. economy with the climate model calibrated to DICE. In contrast to the representative-agent setting, we find that (i) the optimal carbon tax is on average equal to the Pigouvian level, and hardly ever deviates from it; (ii) inequality reduces the Pigouvian level, by 4% in our baseline calibration; (iii) the revenue from carbon taxes is optimally split halfway between reducing tax distortions and increasing transfers. Introducing optimal carbon taxation has progressive welfare effects and low-income households benefit even in the short run.
Douenne Thomas Thomas (Sciences Po) Optimal Fiscal Policy in a Climate-Economy Model with Heterogeneous Households
Albert Jan Hummel and Marcelo Pedroni
Macroeconomics Seminar
Le 22/02/2023 de 12:00:00 à 13:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-09
How can we evaluate the performance of a policy institution? An evaluation based on realized outcomes over time is flawed, since different time periods witness different economic environments and different economic or geopolitical shocks. In this work, we show that it is possible to quantitatively evaluate and rank policy performance using only two estimable statistics: (i) the impulse responses of the policy objectives to policy shocks, and (ii) the impulse responses of the same policy objectives to non-policy shocks, e.g., aggregate demand shocks, energy price shocks, productivity shocks, or war shocks. For a large class of models, the correlation between these two sets of impulse responses directly captures the performance of the policy institution: A correlation of zero indicates best performance ---the policy institution could not have reacted any better to the non-policy shocks that affected the economy---, while a correlation of one (in absolute value) indicates worst performance ---the institution could have (but did not) perfectly met its objectives by undoing the effects of the non-policy shocks---. We use our methodology to evaluate US monetary policy over the past 150 years; from the Gold standard period, the early Fed years and the Great Depression to the post World War II period and the post-Volcker regime.
Barnichon Régis (Sciences Po) Evaluating 150 Years of US Monetary Policy
Geert MestersTexte intégral
Macroeconomics Seminar
Le 15/12/2022 de 00:00:00 à 00:00:00
Rancière Romain, romainranciere@gmail.com (Sciences Po) Macroeconomics Risk Chair Annual Workshop: Housing
Macroeconomics Seminar
Le 08/12/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Sovereigns implement expenditure consolidation prior to debt crisis—“front-loaded”. We compile data on strategies of expenditure consolidation and restructurings in 1975–2020. We find that (i) expenditure consolidation precedes—front-loaded—preemptive restructuring, while occurs upon post-default restructurings—back-loaded—; and (ii) public investment and restructuring duration differ between preemptive and post-default restructurings. We construct a theoretical sovereign debt model that embeds endogenous choice of preemptive and post-default renegotiations, public capital accumulation, and expenditure composition. The model quantitatively shows the sovereign’s choice of front-loaded expenditure consolidation and preemptive restructuring results in quick debt settlement and public investment recovery. Data support theoretical predictions.
Tamon Asonuma (Sciences Po) Expenditure Consolidation and Sovereign Debt Restructurings: Front- or Back-loaded
Macroeconomics Seminar
Le 29/11/2022 de 00:00:00 à 00:00:00
Rancière Romain, romainranciere@gmail.com (Sciences Po) International Macroeconomics Chair Workshop: Historical Macroeconomics
Macroeconomics Seminar
Le 28/11/2022 de 00:00:00 à 00:00:00
Rancière Romain, romainranciere@gmail.com (Sciences Po) International Macroeconomics Chair Workshop: Historical Macroeconomics
Macroeconomics Seminar
Le 24/11/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-07 (côté ENS)
This paper finds that accounting for the human capital development of children has a quanti-
tatively large effect on the true costs and benefits of providing cash assistance to single mothers
in the United States. A dynamic model of work, welfare participation, and parental investment in
children introduces a formal apparatus for calculating costs and benefits when individuals respond
to incentives. The model provides a tractable outcome equation in which a policy’s effect on child
skills can be understood through its impact on two economic resources in the household – time
and money – and the share of each resource as factors in the production of skills. These key causal
parameters are cleanly identified by policy variation through the 1990s. The model also admits
simple and interpretable formulae for optimal nonlinear transfers in the style of Mirrlees (1971),
with novel features arising when child skill formation is accounted for. Using a broadly conservative
empirical strategy, estimates imply that optimal transfers are about 20% more generous than the
US benchmark, and shaped very differently. In contrast to current policies, the optimal policy dis-
courages labor supply at the bottom of the income distribution due to the costly estimated impacts
of work on child development. The finding underscores the importance of reconciling results in the
literature on the developmental effects of maternal employment. Finally, a counterfactual model
exercise suggests that changes to the welfare and tax environment after 1996 had negative average
effects both on maternal welfare and child skill outcomes, with a significant degree of redistribution
across latent dimensions.
Mullins Joseph (Sciences Po) Designing Cash Transfers in the Presence of Children’s Human Capital FormationTexte intégral
Macroeconomics Seminar
Le 17/11/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-01
How do institutions affect economic performance? We exploit a unique historical episode,the German Reunification, to investigate how this radical change transformed East Ger-many’s labor market allocation, igniting wage growth in the early years after reunification.Using matched employer-employee data constructed from the universe of German socialsecurity records, we show that the sharp growth in East German wages strongly correlateswith a rapid reallocation of workers across plantswithinEast Germany. Moreover, reallo-cation was disproportionately larger among older cohorts, suggesting that longer exposureto communist institutions led to more severe misallocation: In a competitive market, theseolder workers would have switched jobs or been fired at a younger age. By the same token,only East German plants that already existed at the time of reunification display different re-allocation patterns compared to their Western counterparts: Large plants downsize, indicat-ing that they had previously been inefficiently large, while all plants experience significantlevels of worker turnover. We find that plants with larger levels of reallocation experiencelarger wage growth. This provides rare, direct empirical evidence that the reallocation ofworkers — both within and across plants— spurred by new labor market institutions, wasconsequential for wage growth.
Porzio Tommaso (Sciences Po) Transforming Institutions: Labor Reallocation and Wage growth in a Reunified Germany
Macroeconomics Seminar
Le 10/11/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We develop a model where labor market structure affects the division of surplus between
firms and workers. In a model of random search and large employers, workers might apply
to another job controlled by the same employer in the future. This possibility endows firms
with size-based market power. The reason is that outside options are truly outside the firm:
firms do not compete with their own vacancies. Hence, a worker’s outside option is worse when
bargaining with a larger firm, and wages depend on market structure. We calibrate the model
to Austrian data and find that such size-based market power depresses wages.
Jarosch Gregor (Sciences Po) Granular Search, Market Structure, and Wages
Jan Sebastian Nimczik and Isaac Sorkin
Macroeconomics Seminar
Le 20/10/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We study the role of idiosyncratic income shocks for aggregate fluctuations within a simple heterogeneous household framework with no binding borrowing constraints. We show that the presence of idiosyncratic income shocks affects the economy’s response to an aggregate shock in a way that can be captured by a consumption weighted average of the changes in uncertainty generated by the shock. We apply this framework to two example economies —an endowment economy and a New Keynesian economy— and show that under plausible calibrations the impact of idiosyncratic income shocks on aggregate fluctuations is quantitatively small, since most of the changes in uncertainty are concentrated among poorer (low consumption) households.
Debortoli Davide (Sciences Po) Idiosyncratic Income Risk and Aggregate Fluctuations
J. Galí
Macroeconomics Seminar
Le 13/10/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-01
We study optimal exchange rate stabilization in a tractable Small Open HANK Economy with endogenous consumption risk and rich cross-sectional inequalities. Besides the closed-economy channels, aggregate demand management operates through the real exchange rate, which affects both GDP (through expenditure switching) and national income (through the relative price of foreign goods) and ultimately feeds back to domestic cross-sectional heterogeneity. We show that these open-economy channels require stabilizing the exchange rate substantially more in HANK than in RANK after aggregate productivity shocks; this is because stabilizing the exchange rate mitigates expenditure switching and the implied fluctuations in domestic inequalities. The same is true in response to capital-flow shocks, provided that agents are sufficiently risk averse.
Challe Edouard (Sciences Po) Inequality and optimal exchange-rate policy
Sushant Acharya
Macroeconomics Seminar
Le 06/10/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-14
This paper studies the tax treatment of singles and couples. We use two different approaches. One is tailored to the analysis of systems that stick to the principle that the tax base for couples is the sum of their incomes. One is tailored to the analysis of reforms towards individual taxation. We study the US federal income tax since the 1960s through the lens of this framework. We find that, for the recent past, realizing efficiency gains requires to lower marginal tax rates for secondary earners. We also find that revenue-neutral reforms towards individual taxation are in the interest of couples with high secondary earnings while couples with low secondary earnings are worse off. The support for such a reform recently passed the majority threshold. It is rejected, however, by a Rawlsian social welfare function. Thus, there is a tension between Rawlsian and Feminist notions of social welfare.
BOYER Marcel (Sciences Po) The taxation of couples
Felix Bierbrauer, Andreas Peichl, Daniel Weishaar
Macroeconomics Seminar
Le 29/09/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-14
How does increasing international financial diversification affect firm-level and aggre-
gate labor shares? We answer this question using a novel framework of firm labor choice
under uncertainty. The theory predicts that international risk sharing leads to a realloca-
tion of labor towards riskier/low labor share firms and a rise in the median (or within-firm)
labor share, matching key micro-level facts. We use firm-level and cross-country data to
document a number of empirical patterns consistent with the theory, namely: (i) riskier
firms have lower labor shares, (ii) international diversification is associated with reallo-
cation towards risky firms and declines in the aggregate labor share, and (iii) industries
with greater heterogeneity have higher sensitivity of their labor share to international diversification.
Rancière Romain (Sciences Po) International Diversification, Reallocation, and the Labor Share
Joel M. David, David ZekeTexte intégral
Macroeconomics Seminar
Le 22/09/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
The Macroeconomics of Partial Irreversibility
We investigate the macroeconomic effects of partially irreversible investment arising from a wedge between the buying and selling price of capital. We derive sufficient statistics that characterize the implications of irreversibility for three long-run macroeconomic outcomes— capital allocation, capital valuation, and capital fluctuations. Measuring these statistics with investment microdata, we find that irreversibility distorts the allocation of capital, lowers capital valuation, and increases the persistence of capital fluctuations. Corporate income tax cuts, by lowering the deductibility of capital losses due to the price wedge, effectively increase irreversibility and structurally change long-run capital behavior.
Baley Isaac (Sciences Po) Cancelled
Andrés BlancoTexte intégral
Macroeconomics Seminar
Le 30/06/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-02 (côté ENS)
Favero Carlo (Sciences Po) Creating a Safe Asset without Debt Mutualization: the Opportunity of a European Debt Agency
Massimo Amato, Everardo Belloni and Lucio GobbiTexte intégral
Macroeconomics Seminar
Le 23/06/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-15
We propose a tractable theory of the complexity of economic decisions, and validate its main features experimentally. The primitives are the complexity of basic cognitive operations, such as simple mental algebra. The complexity of richer decision tasks is determined by their composition of basic operations. We apply these notions to a few prototypical economic decisions, such as an intertemporal consumption problem and a tax optimization problem. We delineate other applications to macroeconomics.
Gabaix Xavier (Sciences Po) The Complexity of Economic Decisions: Theory and Evidence
Thomas Graeber
Macroeconomics Seminar
Le 10/06/2022 de 00:00:00 à 00:00:00
Rogoff Ken (Sciences Po) With Lecture Chaire Banque de France
Macroeconomics Seminar
Le 09/06/2022 de 11:00:00 à 12:00:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-15
When is a wealth tax preferable to a capital income tax? We study this question theoretically in an infinite-horizon model with entrepreneurs and workers, in which entrepreneurial firms are subject to idiosyncratic productivity shocks and collateral constraints. There are two types of steady-state equilibria. The first one—which emerges under a wide set of plausible parameter values—is inefficient and exhibits capital misallocation and heterogeneous returns. The second one is efficient and exhibits homogeneous returns, but requires implausibly lax borrowing limits. In the heterogeneous returns equilibrium, replacing a capital income tax with a wealth tax increases steady-state aggregate productivity and output if (and only if) entrepreneurial productivity is positively auto-correlated. The gains result from the “use-it-or-lose-it” effect, which causes a reallocation of capital from entrepreneurs with low productivity to those with high productivity. We provide necessary and sufficient conditions for a switch to wealth taxes to imply higher average welfare, which amount to a lower bound on the capital-elasticity of output,?—around 1/3 for most parameter combinations. We then study the optimal mix when both tax instruments can be used jointly to maximize welfare. Optimal policy depends on two thresholds. When ? is sufficiently high, optimal policy involves a positive wealth taxand a negative capital income tax (a subsidy); the sign flips when ? is sufficiently low, and both taxes are positive between these two thresholds. Finally, we consider extensions that introduce a corporate sector, rent-seeking behavior, and endogenous entrepreneurial effort.
Kuruscu Burhan (Sciences Po) Taxing Wealth and Capital Income when Returns are Heterogeneous
Fatih Guvenen, Gueorgui Kambourov, and Sergio Ocampo DiazTexte intégral
Macroeconomics Seminar
Le 07/06/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Pappa Evi (Sciences Po) The Sentimental Propagation of Lottery Winnings: Evidence from the Spanish Christmas Lottery
Morteza Ghomi, Isabel Micó-Millán,Texte intégral
Macroeconomics Seminar
Le 02/06/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-09
We study the aggregate effects of domestic and international supply chain disruptions similar to those in the post-Pandemic period in a two-country heterogeneous firm model with a rich set of supply chain frictions: shipping delays, fixed order costs, storage costs, uncertain delivery and uncertain demand. These frictions lead firms to hold inventories that depend on the source of supply, domestic or imported, and these inventories influence price setting. We show that transitory increases to aggregate shipping times similar to those in 2021 can be quite contractionary and raise prices, particularly for goods intensive in delayed inputs. These effects are larger when inventories are already at low levels, as in the U.S. and the World in 2021. The short-run effects on output are mitigated if they coincide with stimulus, but these lead to longer term contractions in consumption as more future production goes to rebuilding stocks. The aggregate effects on employment and production are much larger when there is an input-output structure as delays constrain production. The restocking cycle induced by these shocks is a source of endogenous persistence.
Ruhl Kim (Sciences Po) The Aggregate Effects of Supply Chain Disruptions
Macroeconomics Seminar
Le 25/05/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Teles Pedro (Sciences Po) Self Fulfilling Debt Crises with Long Stagnations
Macroeconomics Seminar
Le 19/05/2022 de 12:30:00 à 13:30:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-09
joint with Labor and Public Economics
We use de-identified tax returns to characterize entrepreneurship across the American population since the late 1990s. Our longitudinal data permit an analysis of which new firms end up being highly successful, allowing us to distinguish startups that are destined to remain as small businesses from star job creators. We develop a novel measure of the returns to founding owners using a high-dimensional matching strategy, which tracks total income in the decade following entrepreneurial entry relative to that for a similar matched worker.
In the first part of the paper, we document new facts on the lifecycle of star entrepreneurs, including their family backgrounds, where they grew up, and their labor market trajectories prior to entry. Star entrepreneurs are disproportionately white, male, and drawn from high-income families. Entrepreneurship pays at the median and mean for those who choose to enter, though under-represented groups (URGs) consistently earn lower returns than their over-represented counterparts. Higher variance in entrepreneurial returns comes primarily through the outside option in the right tail of the earnings distribution.
In the second part of the paper, we develop three research designs to evaluate the role of alternative mechanisms that might account for different entry rates and returns for URGs. First, using a sample of early employees at highly successful startups, we estimate a substantial causal effect of liquid wealth on subsequent entry. However, liquidity appears insufficient to close entry gaps. Second, using local shocks to labor demand early in a person's career, we estimate the causal effect of experience in entrepreneurial industries on subsequent entry. Finally, using a movers research design, we find that children exposed to more entrepreneurs while they are growing up are more likely to start businesses themselves.
We use these multiple research designs to decompose the reduced form effects. For example, the effect of labor market experience can be separated into a direct effect and an effect operating through accumulated savings. Our results support the class of explanations that highlight pipeline factors as the key supply-side constraints on the number of star URG entrepreneurs. Such factors limit the number of potential entrepreneurs who might be responsive to later-stage interventions. For example, policies that target the point of entry, such as liquidity support or tax incentives, are unlikely to close entry gaps and narrow return differences.
Zidar Owen, VELDKAMP Laura () America's Missing Entrepreneurs
Raj Chetty, John Van Reenen, and Eric Zwick
Macroeconomics Seminar
Le 12/05/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Using country-to-country data, this paper documents a set of novel stylized facts about the rise of the South in global finance. The paper assembles comprehensive bilateral data on cross-border bank loans and deposits, portfolio investment in debt and equity, foreign direct investment, and international reserves. The main findings are that between 2001 and 2018 investments involving the South, and especially within the South, have grown faster than those within the North. By 2018, the South was involved in 34% of total international investments. The largest increases occurred in portfolio investment and international reserves, the smallest in banking. The growth of financial investments involving the South is often faster than that of GDP. These developments are observed across subregions of the South, beyond China and independently of offshore financial centers. The intensive margin contributed more than the extensive margin to the increasing weight of the South in international investments.
Broner Fernando () Bilateral International Investments: The Big Sur?
Macroeconomics Seminar
Le 05/05/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-09
The New Keynesian Phillips curve (NKPC) explains inflation through current and future marginal costs and inflation expectations based on a time-dependent pricing model.
I show that state-dependent menu cost pricing models give rise to a nominal demand augmented Phillips curve (NDPC), which adds nominal demand as an additional explanatory variable of inflation.
I then estimate the NDPC using cross-sectional data for U.S. states. My estimates indicate that nominal demand is a significant determinant of inflation, that nominal demand is not a proxy for real marginal costs, and that nominal demand cannot be replaced with real demand. Instead, from an empirical NKPC perspective nominal demand maps into cost-push shocks. My findings on the role of nominal demand thus offer a new perspective on explaining inflation during several historical U.S. episodes and across countries. The conclusion offers some thoughts on policy implications.
Hagedorn Marcus () A Nominal Demand Augmented Phillips Curve
Macroeconomics Seminar
Le 21/04/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
An economy plagued by a slump and in a liquidity trap has some options to exit the crisis. We discuss helicopter money and other equivalent policies that can reflate the economy and boost consumption. Traditional helicopter money, via the joint coopera- tion between the treasury and the central bank, depends critically on the central bank fully guaranteeing treasury’s debt. We show that the central bank can do helicopter money on its own, without any treasury’s involvement.
Nistico Salvatore () The Economics of Helicopter Money
Pierpaolo Benigno
Macroeconomics Seminar
Le 14/04/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Zanetti Francesco () STATE DEPENDENCE OF FISCAL MULTIPLIERS: THE SOURCE OF FLUCTUATIONS MATTERS
Mishel GhassibeTexte intégral
Macroeconomics Seminar
Le 07/04/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-14
We study the relationship between corporate taxation and carbon emissions in the U.S. We find that dirty firms pay lower profit taxes – the opposite of what optimal taxation of negative externalities prescribes. This relationship is driven by dirty firms benefiting disproportionately more from the tax shield of debt due to their higher leverage. In turn, we show that the higher leverage of dirty firms is explained by their higher asset tangibility. We embed our estimates into a general equilibrium framework and show that eliminating the tax-advantage of debt reduces carbon emissions by about 3.9%, while aggregate output falls by roughly 2.2%.
Iovino luigi () Corporate Taxation and Carbon Emissions
Thorsten Martin and Julien Sauvagnat
Macroeconomics Seminar
Le 31/03/2022 de 00:00:00 à 00:00:00
Lane Philip () With Lecture Chaire Banque de France
Macroeconomics Seminar
Le 24/03/2022 de 16:00:00 à 17:15:00
Using Zoom
A central prediction of open economy models with a pecuniary externality due to a collateral constraint is that the unregulated economy overborrows relative to what occurs under optimal capital controls. A maintained assumption in this literature is that households borrow directly from foreign lenders. This paper shows that in a more realistic setting in which foreign lending to households is intermediated by domestic banks and in which the government has access to capital controls and interest on bank reserves, the unregulated economy underborrows. Under optimal policy, the central bank injects reserves during recessions. In this way, when the collateral constraint binds, the central bank uncouples household deleveraging from economy-wide delever- aging, which results in a higher average level of external debt. The paper documents that during the 2007-2009 global financial crisis the lending spread in emerging and developed economies displayed a muted response. This fact is consistent with a decline in the demand rather than in the supply of loans and gives credence to models in which the collateral constraint is placed at the level of the nonfinancial sector as opposed to at the level of the bank.
Schmitt-Grohe Stéphanie, Edouard Schaal and Mathieu Taschereau-Dumouchel () Optimal Bank Reserve Remuneration and Capital Control Policy
Chun-Che Chi and Martin UribeTexte intégral
Macroeconomics Seminar
Le 17/03/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
We develop a multi-country multi-sector model with global value chains and informational frictions. Producers in a sector do not perfectly observe shocks to other countries and sectors, and their output decisions respond to beliefs about the productivity innovations worldwide. To discipline the agents’ information sets, we collect a novel quarterly dataset of the frequencies of industry-specific economic news reports by leading newspapers in the G7 plus Spain. Newspapers in each country publish articles on select events in both domestic and partner-country sectors, and not every event is reported worldwide. We show in reduced-form regressions that (i) greater news coverage is associated with smaller GDP forecast errors; and (ii) sectors more covered in the news exhibit greater business cycle comovement, even controlling for their trade intensity. We then use the news coverage data to discipline the key parameters in the quantitative model, namely the precision of the public signals about country-sector productivities. Noise shocks about TFP throughout the global value chain can be a quantitatively important source of international GDP comovement. Furthermore, these shocks would appear as labor wedges in standard models without dispersed information.
Levchenko Andrei () News Media and International Fluctuations
Ha Bui, University of Texas at Austin and Zhen Huo, Yale UniversityTexte intégral
Macroeconomics Seminar
Le 10/03/2022 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-01
This paper proposes a methodology to price bonds jointly issued by a group of countries—Eurobonds in the euro-area context. We consider two types of bonds: the first is backed by several and joint (SJG) guarantees, the second features several but not joint (SNJG) guarantees. The pricing of SJG and SNJG bonds reflects different assumptions regarding the pooling of debtors’ fiscal resources. We estimate fiscal limits for the four largest euro-area economies over 2008-2021 and deduce counterfactual Eurobond prices. Amid the euro-debt crisis, 5-year SNJG bond yield spreads would have been about three times larger than SJG ones. Hence, issuing SJG bonds would result in gains at the ag-gregate level. We finally show that (i) the gains stemming from the issuance of SJG bonds could be shared among countries through post-issuance redistribu-
tion schemes and that (ii) these schemes may alleviate the reduction in market discipline resulting from common bonds issuances.
Renne Jean-Paul () FISCAL LIMITS AND THE PRICING OF EUROBONDS
KEVIN PALLARA Texte intégral
Macroeconomics Seminar
Le 03/03/2022 de 00:00:00 à 00:00:00
Panizza ugo (Graduate institute geneva) With Lecture Chaire Banque de FranceTexte intégral
Macroeconomics Seminar
Le 04/11/2021 de 16:00:00 à 17:15:00
Using Zoom
Zeira Joseph (Graduate institute geneva) The Israeli Economy: Interesting Lessons from a Country Hit by Large ShocksTexte intégral
Macroeconomics Seminar
Le 07/10/2021 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R2-21
Once established, government spending programs tend to continue. Spending inertia can lead to unsustainable debt levels that require fiscal stabilization, such as “sequestration.” We develop a political economy model of debt with sticky spending by assuming that the government must maintain a fraction of past spending. We show that inertia
insures against the risk of political turnover, which may reduce politicians’ incentives to accumulate debt. However, if preexisting commitments are large, as in the current U.S. context, inertia exacerbates incentives to increase debt; faced with the prospect of stabilization, the government overspends to “dilute” the spending commitments of past administrations.
Piguillem Facundo (PSE) Sticky Spending, Sequestration, and Government Debt
Alessandro RiboniTexte intégral
Macroeconomics Seminar
Le 30/09/2021 de 16:00:00 à 17:15:00
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-14
How do the choices of individual firms contribute to the dominance of a currency in global trade? Using export transactions data from the UK over 2010-2016, we document strong evidence of two mechanisms that promote the use of a dominant currency: (1) prior experience: the probability that a firm invoices its exports to a new market in a dominant currency is increasing in the number of years the firm has used the dominant currency in its existing markets; (2) strategic complementarity: a firm is more likely to invoice its exports in the currency chosen by the majority of its competitors in a foreign destination market in order to stabilize its residual demand in that market. We show that the introduction of a fixed cost of currency management into a model of invoicing currency choice yields dynamic paths of currency choice that match our empirical findings.
Crowley Meredith (PSE) Dominant Currency Dynamics: Evidence on Dollar-invoicing from UK Exporters
Han, L. and Son, MTexte intégral
Macroeconomics Seminar
Le 10/06/2021 de 16:00:00 à 17:30:00
Using Zoom
How does market concentration affect the potency of monetary policy? To
tackle this question we build a model with oligopolistic sectors. We provide
a formula for the response of aggregate output to monetary shocks in terms of
demand elasticities, concentration, and markups. We calibrate our model to the
evidence on pass-through, and find that higher concentration significantly am-
plifies non-neutrality. To isolate the strategic effects of oligopoly, we compare
our model to one with monopolistic firms and modified consumer preferences
that ensure firms face comparable residual demands. Finally, the Phillips curve
for our model displays inflation persistence and endogenous cost-push shocks.
WANG Zheng (PSE) Dynamic Oligopoly and Price Stickiness
Iván WerningTexte intégral
Macroeconomics Seminar
Le 07/06/2021 de 16:00:00 à 17:40:00
Annual Lecture of the SCOR-PSE Chair
ZINGALES Luigi (PSE) Can Democracy Survive a Concentrated Economy?Texte intégral
Macroeconomics Seminar
Le 03/06/2021 de 16:00:00 à 17:30:00
Using Zoom
In this paper we develop and estimate a life cycle model that features pecuniary and non-pecuniary investments in health, along with a cognitive ability gradient associated with said investments, in order to rationalize the socioeconomic gradients in health and life expectancy in the United States. Agents accumulate health capital, which affects the level of utility, labor productivity, the distribution of medical spending shocks and life expectancy. We find that the cognitive ability gradient to health investments and the differences in lifetime income account for the lion's share of the observed life expectancy gap. Providing universal health insurance coverage has heterogeneous effects, depending on the progressivity of the financing mechanism, and at best results in a modest decrease in the life expectancy gap.
Wallenius Johanna (PSE) Can Wealth Buy Health? A Model of Pecuniary and Non-Pecuniary Investments in Health
Panos Margaris
Macroeconomics Seminar
Le 20/05/2021 de 16:00:00 à 17:30:00
Using Zoom
We analytically characterize the aggregate productivity loss from distortions in the presence of sectoral production linkages. We find that accounting for low input substitutability reduces the productivity loss and the impact of intermediate-input suppliers. Moreover, with elasticities below one (i.e. below Cobb-Douglas), sectoral linkages do not systematically amplify the productivity loss. We quantify these effects in the context of the distortions caused by market power, using industry- level data for 35 countries. With our benchmark calibration, the median aggregate productivity loss from industry-level markups is 1.2; assuming Cobb-Douglas elasticities would lead to overestimating the productivity loss by a factor of 1.8.
OSOTIMEHIN Sophie (Université du Quebec à Montreal) Misallocation and Intersectoral linkages
Latchezar Popov
Macroeconomics Seminar
Le 06/05/2021 de 16:00:00 à 17:30:00
Using Zoom
Half of the jobs in the U.S. feature pay-for-performance. We study nonlinear in-come taxation in a model where such labor contracts arise as a result of moral hazardfrictions within rms. We derive novel formulas for the incidence of arbitrarily nonlin-ear reforms of a given tax code on both average earnings and their sensitivity to outputrisk. We show theoretically and quantitatively that, following an increase in tax pro-gressivity, the higher sensitivity of earnings to performance caused by the crowding-outof private insurance is almost fully oset by a countervailing performance-pay eectdriven by labor supply responses. As a result, earnings risk is hardly aected by pol-icy. We then turn to the normative analysis of a government that levies taxes andtransfers to redistribute income across workers with dierent levels of uninsurable pro-ductivity. We nd that setting taxes without accounting for the endogeneity of privateinsurance is close to optimal. Thus, the common concern that standard models of tax-ation underestimate the cost of redistribution is, in the context of performance-basedcompensation, overblown.
Ndiaye Abdoulaye (Université du Quebec à Montreal) Redistribution with Performance Pay
Paweª Doligalski, Nicolas WerquinTexte intégral
Macroeconomics Seminar
Le 23/04/2021 de 17:30:00 à 19:00:00
Online
The currency of invoicing in international trade is central for the international transmissionof shocks and macroeconomic policies. Using a new dataset on currency invoicing for Belgian firms, we analyze how firms make their currency choice, for both exports and imports, and the implications of this choice for exchange rate pass-through into prices and quantities. We derive our estimating equations from a theoretical framework that features variable markups, international input sourcing, and staggered price setting with endogenous currency choice, and also allowingfor the dominant currency choice. Our structural specification provides a new test of the allocativeconsequences of nominal rigidities, by estimating the treatment effect of foreign-currency pricestickiness on the dynamic response of prices and quantities to exchange rate changes, controlling for the endogeneity of the firm’s currency choice. We show that flexible-price determinants of exchange rate pass-through are also the key firm characteristics that determine currency choice.In particular, small non-importing firms tend to price their exports in euros (producer currency) and exhibit close to complete exchange-rate pass-through into destination prices at all horizons. Incontrast, large import-intensive firms tend to denominate their exports in foreign currencies, and especially in the US dollar, exhibiting a lower pass-through of the euro-destination exchange rate and a pronounced sensitivity to the dollar-destination exchange rate. Finally, the effects of foreign-currency price stickiness are still significant beyond the one-year horizon, but gradually dissipate in the long run, consistent with sticky price models of currency choice.
Itskhoki Oleg (UCLA) Dominant currencies: How firms choose currency invoicing and why it matters. Joint with Lecture Chaire Banque de France
Mary Amiti, Jozef KoningsTexte intégral
Macroeconomics Seminar
Le 08/04/2021 de 16:00:00 à 17:30:00
Using Zoom
How does energy regulation affect production and energy use within conglomerates? We study the effects of a prominent program aimed at reducing the energy use of large Chinese companies. Difference-in-differences analyses show that regulated firms significantly reduced their energy consumption and output but did not increase their energy efficiency. Using detailed business registration data, we link regulated firms to non-regulated firms that are part of the same conglomerate. We estimate large spillovers on cross-owned non-regulated firms, which increased both output and energy use. We then specify and calibrate a model of conglomerate production that fits our setting and the estimated effects of the regulation. The model quantifies the importance of conglomerate reallocation for aggregate outcomes, the shadow cost of the regulation, and the efficiency gains from using public information on business networks to improve the design of energy regulation.
Suárez Serrato Juan Carlos (UCLA) Regulating Conglomerates: Evidence from an Energy Conservation Program in China
Macroeconomics Seminar
Le 01/04/2021 de 16:00:00 à 17:30:00
Using Zoom
PACIELLO Luigi Luigi (EIEF) Firm Adjustment in Worker Flows and Prices
Macroeconomics Seminar
Le 25/03/2021 de 17:00:00 à 18:15:00
Using Zoom
We explore the relationship between measured income and wealth inequality, income risk, and the macroeconomy in a nonlinear overlapping-generations model in which households face uncertain streams of labor income and returns on their savings. To manage those risks, households can apportion their savings to a bond, whose return is safe and identical across households, and a productive asset, whose return is uncertain and can differ persistently across households. We find that greater inequality in households' labor income and the return on their savings is generally associated with higher measured wealth inequality, a lower risk-free rate, and higher risk premiums. These findings suggest that the factors behind the observed rise in inequality over the past few decades might also have contributed to the observed fall in the risk-free rate and widening gap between the risk-free rate and the rate of return on capital. We discuss how these and other macroeconomic effects depend on the nature of income risk and portfolio choices.
Peterman William (EIEF) Macroeconomic Implications of Inequality and Income Risk
Macroeconomics Seminar
Le 18/03/2021 de 10:00:00 à 11:30:00
Reis Ricardo (EIEF) The constraint on public debt when r is smaller than g but g is smaller than m: joint with Lecture Chaire Banque de FranceTexte intégral
Macroeconomics Seminar
Le 11/03/2021 de 16:00:00 à 17:30:00
Using Zoom
Lacava Chiara ( Goethe University Frankfurt) Why are some regions so much more productive than others?Texte intégral
Macroeconomics Seminar
Le 04/03/2021 de 16:00:00 à 17:30:00
Using Zoom
Consumption taxes are often used across OECD countries as fiscal stimulus tools during recessions. In this paper, I use an estimated structural life-cycle model featuring multiple consumption categories to assess the effectiveness of temporary cuts to the Value Added Tax (VAT) rates on non-durable luxuries and durables as stimulus instruments. I find a 5% increase in consumption of non-durable luxuries in response to a temporary reduction of their VAT rate by 60% and an 80% increase in purchases of durables in response to a temporary cut of their VAT rate by 30%. The larger effect on durable purchases is due to intertemporal substitution and is driven by young and wealthy households bringing forward future durable purchases. Due to the partial irreversibility feature of durables, this effect is dampened if households anticipate higher future aggregate uncertainty.
Parodi Francesca (UCL) Consumption Tax Cuts in a Recession
Macroeconomics Seminar
Le 19/11/2020 de 16:00:00 à 17:15:00
USING ZOOM
Ravn Morten (UCL) Financial Frictions: Macro vs Micro Volatility
Seungcheol Lee and Ralph LuettickeTexte intégral
Macroeconomics Seminar
Le 12/11/2020 de 16:00:00 à 17:15:00
Using Zoom
Ottonello Pablo (UCL) THE MICRO ANATOMY OF MACRO CONSUMPTION ADJUSTMENTS
Rafael Guntin and Diego PerezTexte intégral
Macroeconomics Seminar
Le 05/11/2020 de 16:00:00 à 17:15:00
USING ZOOM
We give a thorough analytic characterization of a large class of sticky-price models where the firm's price setting behavior is described by a generalized hazard function. Such a function provides a tractable description of the firm's price setting behavior and allows for a vast variety of empirical hazards to be fitted. This setup is microfounded by random menu costs as in Caballero and Engel (1993) or, alternatively, by information frictions as in Woodford (2009). We establish two main results. First, we show how to identify all the primitives of the model, including the distribution of the fundamental adjustment costs and the implied generalized hazard function, using the distribution of price changes or the distribution of spell durations. Second, we derive a sufficient statistic for the aggregate effect of a monetary shock: given an arbitrary generalized hazard function, the cumulative impulse response of output to a once-and-for-all monetary shock is proportional to the ratio of the kurtosis of the steady-state distribution of price changes over the frequency of price adjustment. We prove that Calvo's model yields the upper bound and Golosov and Lucas's model the lower bound on this measure within the class of random menu cost models.
LIPPI Francesco (UCL) The Macroeconomics of Sticky Prices with Generalized Hazard Functions
Fernando Alvarez and Aleksei OskolkovTexte intégral
Macroeconomics Seminar
Le 15/10/2020 de 16:00:00 à 17:30:00
Using zoom
We consider optimal public provision of unemployment insurance when governmentís ability to commit is imperfect. Unemployed persons privately observe arrivals of job opportunities and choose probabilities of communicating this information to the government. Imperfect commitment implies that full information revelation is generally suboptimal. We define anotion of the social value of information and show that, due to the incentive constraints, it is a convex function of the information revealed. In the optimum each person is provided with an incentive to either reveal his private information fully or not reveal any of it, but the allocation of these incentives may be stochastic. In dynamic economies unemployed persons who enter a period with higher continuation utilities reveal their private information with lower probabilities. The optimal contract can be decentralized by a joint system of unemployment and disability benefits in a way that resembles how these systems are used in practice in developed countries.
Iovino luigi (UCL) Social Insurance, Information Revelation, and Lack of Commitment
Mikhail Golosov (University of Chicago)Texte intégral
Macroeconomics Seminar
Le 08/10/2020 de 16:00:00 à 17:30:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-14
New micro-evidence shows that households’ inflation expectations are influenced by
the prices they see while shopping. This paper studies the implications of the signaling
power of prices for the optimal pricing of firms, the propagation of monetary shocks
and the effectiveness of communication policies. In our theory, consumers see the prices
posted in their local markets and then choose whether to exert effort to buy at the
cheapest price in a competitive market. Upon a rise in local prices, consumers are confused
about the aggregate or local nature of the shock, and so on whether switching is
worth. Because of this confusion, an otherwise-neutral money shock coordinates consumers’
switching away from high-markup firms and increases aggregate consumption. We demonstrate the generality of this result when consumers’ demand has standard properties and firms’ pricing is friction-less. Thus, the model is able to replicate the empirical correlation of inflation and economic activity overturning the standard New Keynesian logic based on firms’ sticky prices. We embed this mechanism in a fully micro-founded general equilibrium model to show that nominal price level stabilization has first-order impact on Welfare. For realistic calibrations, providing more precise information about aggregate inflation is more valuable when mostly consumers, rather than firms, absorb it, whereas it could even be counter-productive otherwise.
Gaballo Gaetano (HEC) Learning by Shopping: Consumers' Expectations and Monetary Shocks
Luigi Paciello (HEC, EIEF and CEPR)
Macroeconomics Seminar
Le 01/10/2020 de 16:00:00 à 17:30:00
Using Zoom
According to the received wisdom, flexible exchange rates insulate a country from foreign shocks. This notion is well grounded in theory, from the classics (Meade 1951, Friedman 1953) to the more recent dominant currency paradigm (Gopinath et al 2020). We confront it with new evidence from Europe. Specifically, we study how monetary and financial shocks that originate the euro area spill over to its neighbor countries. We exploit the variation of the exchange rate regime across time and countries to assess whether it alters the spillovers: it does not – flexible exchange rates fail to provide insulation against euro area shocks. This result is robust across a number of specifications and holds up once we control for global financial conditions. Based on standard theory, we offer a simple explanation for the lack of insulation: if central banks pursue a inflation targeting strategy based on consumer prices, the response of the exchange rate to foreign shock is muted and there is hardly any more insulation than under an exchange rate peg.
Mueller Gernot (HEC) The exchange-rate insulation puzzle
Giancarlo Corsetti, Keith Kuester and Sebastian Schmidt
Macroeconomics Seminar
Le 11/06/2020 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Wiederholt Mirko (HEC) POSTPONED
Macroeconomics Seminar
Le 04/06/2020 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Wang Olivier (NYU Stern) POSTPONED
Macroeconomics Seminar
Le 14/05/2020 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
We study labor income dynamics during large devaluations in Argentina, using a novel monthly administrative employer-employee matched dataset covering the universe of formal workers in the 1994-2019 period. After the 2002 devaluation, real labor income decreases due to a sluggish nominal income adjustment relative to a massive increase in inflation. In the recovery, inequality decreases due to slower recovery of income at the top of the income distribution. Between-firm heterogeneity is the main contributor to the heterogeneous speed of recovery. Labor market mobility and unionization are the driving mechanisms for the heterogeneous recovery. Facts are robust across other devaluations.
Blanco Julio Andres (NYU Stern) POSTPONED Devaluations, Inflation, and Labor Income Dynamics.
Andrés Drenik, Emilio ZaratieguiTexte intégral
Macroeconomics Seminar
Le 07/05/2020 de 15:45:00 à 17:00:00
PSE - Using ZOOM https://zoom.us/j/98487882758?pwd=eWxMT2NIdDBaZjNXUW4wdkVCbVBjUT09
We analyze a two-country economy with complete markets, featuring two national currencies as well as a global (crypto)currency. If the global currency is used in both countries, the national nominal interest rates must be equal and the exchange rate between the national currencies is a risk- adjusted martingale. We call this result 'Crypto-Enforced Monetary Policy Synchronization (CEMPS)'. Deviating from interest equality risks approaching the zero lower bound or the abandonment of the national currency. If the global currency is backed by interest-bearing assets, additional and tight restrictions on monetary policy arise. Thus, the classic Impossible Trinity becomes even less reconcilable.
Schilling Linda () Cryptocurrencies, Currency Competition, and the Impossible Trinity
Macroeconomics Seminar
Le 23/04/2020 de 15:45:00 à 17:00:00
PSE - using ZOOM
The unemployment rate is the most used single indicator of labor market conditions, but its measure is black and white, lacking any notion of intensity. This paper introduces a continuous unemployment rate; a measure in which people are weighted by their relative search effort. The measure of relative search effort is a monthly probability of exerting search effort, estimated from the American Time Use Survey. The paper delivers a continuous unemployment rate, as well as adjusted labor market flows, for the United States from 1980 onward. On average, the continuous unemployment rate is 4.8 percentage points higher than the standard unemployment rate and recovers slower after every recession since 1990. While the standard unemployment rate has a downward trend over time, the continuous unemployment rate does not, suggesting no decrease in the natural rate of unemployment. Further, the continuous unemployment rate accounts for more of the variation in nominal wages than standard unemployment rate or unemployment gap.
BRAUN Thomas () Revisiting Unemployment with an Intensive Margin - Using ZOOM
Macroeconomics Seminar
Le 09/04/2020 de 15:45:00 à 17:00:00
PSE - ZOOM https://zoom.us/j/270544774?pwd=ekZXTTlieDhvS3FWQ1FFOFoweHo3Zz09
We study the importance of financial frictions for markups heterogeneity. Heterogeneous credit constraints distort the decision of firms to invest in a cost-reducing technology (akin, but not limited to, intangible capital). The resulting dispersion in marginal costs interact with variable demand elasticity to generate endogenous dispersion in markups. Financial variables operate both at the extensive margin, by acting as a barrier to entry into investment, and at the intensive margin, by distorting the level of investment of individual firms. We test the model predictions in the context of a quasi-natural experiment in France, using balance-sheet data from 2002 to 2013 for a representative sample of French manufacturing firms. Our results shed light on the sources of markup heterogeneity and misallocation.
Altomonte Carlo () Markups, Intangible Capital , and Heterogeneous Financial Frictions
D. Favoino (Tinbergen Institute), M. Morlacco (USC) and T. Sonno (U. Bologna & LSE_CEP)
Macroeconomics Seminar
Le 12/03/2020 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
We consider optimal public provision of unemployment insurance when government's ability
to commit is imperfect. Unemployed persons privately observe arrivals of job opportunities
and choose probabilities of communicating this information to the government. Imperfect
commitment implies that full information revelation is generally suboptimal. We define a
notion of the social value of information and show that, due to the incentive constraints, it
is a convex function of the information revealed. In the optimum each person is provided
with an incentive to either reveal his private information fully or not reveal any of it, but the
allocation of these incentives may be stochastic. In dynamic economies unemployed persons
who enter a period with higher continuation utilities reveal their private information with lower
probabilities. The optimal contract can be decentralized by a joint system of unemployment
and disability benefits in a way that resembles how these systems are used in practice in
developed countries.
Iovino Luigi () POSTPONED
Mikhail Golosov University of ChicagoTexte intégral
Macroeconomics Seminar
Le 05/03/2020 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-09
This paper shows that the unequal incidence of recessions in the labor market amplifies aggregate
shocks. I define the Matching Multiplier as the increase in the output multiplier stemming from the
matching of high marginal propensity to consume (MPC) workers to cyclical jobs. Using administrative
data from the United States, I document a positive covariance between worker MPCs and their elasticity
of earnings to GDP. This covariance is large enough to increase shock amplification by 40 percent
over an equal exposure benchmark. I provide additional evidence for this mechanism using local labor
market variation and a dynamic incomplete-markets model.
Patterson Christina (Northwestern University) The Matching Multiplier and the Amplification of RecessionsTexte intégral
Macroeconomics Seminar
Le 12/12/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
This paper measures tax multipliers using the property tax, which is the closest real-world counterpart to a lump-sum tax. This allows us to test for Ricardian equivalence and to isolate the demand-side component of tax multipliers. For identification, we use more than 100 exogenous property tax changes in advanced economies isolated through the narrative record, as well as structural VAR approaches that include more than 1,000 tax changes. We find, using both types of methods—independently—that tax multipliers are between 2 and 3, in line with a growing consensus in the literature. This contradicts Ricardian equivalence, and questions models that predict large tax multipliers only for distortionary tax changes. The effects are persistent, which implies that aggregate demand shocks can have long-term effects.
Geerolf François (Northwestern University) The Macroeconomic Effects of Lump-Sum Taxes
Thomas Grjebine, CEPIITexte intégral
Macroeconomics Seminar
Le 21/11/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
We develop a quantitative business cycle model with search complementarities in the inter-firm matching process that entails a multiplicity of equilibria. An active static equilibrium with strong joint venture formation, large output, and low unemployment can coexist with a passive static equilibrium with low joint venture formation, low output, and high unemployment. Changes in fundamentals move the system between the two static equilibria, generating large and persistent business cycle fluctuations. The volatility of shocks is important for the selection and duration of each static equilibrium. Sufficiently adverse shocks in periods of low macroeconomic volatility trigger severe and protracted downturns. The magnitude of government intervention is critical to foster economic recovery in the passive static equilibrium, while it plays a limited role in the active static equilibrium.
Zanetti Francesco (Northwestern University) Search Complementarities, Aggregate Fluctuations, and Fiscal Policy
Jesus Fernandez-Villaverde, Federico Mandelman, and Yang YuTexte intégral
Macroeconomics Seminar
Le 14/11/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
This paper analyzes the effects of safe rates on financial intermediaries' risk-taking decisions. We consider an economy where (i) intermediaries have market power in granting loans, (ii) intermediaries monitor borrowers which lowers their probability of default, and (iii) monitoring is not observable which creates a moral hazard problem. We show that lower safe rates lead to lower intermediation margins and higher risk-taking when intermediaries have low market power, but the result reverses for high market power. We examine the robustness of this result to introducing non-monitored market finance, heterogeneity in monitoring costs, and entry and exit of intermediaries. We also consider replacing uninsured by insured deposits, market power in raising deposits, and funding with both deposits and capital.
Repullo Rafael (Northwestern University) Interest Rates, Market Power, and Financial Stability
David Martinez-Miera
Macroeconomics Seminar
Le 07/11/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Globalization radically changes income distribution and triggers intense international tax competition, and, consequently, entails the extensive restructuring of the welfare state. We analyze a parsimonious model of an open economy, in its trade and finance transactions with the rest of the world, governed by voter-majority-controlled welfare state. The paper highlights key trade-related and finance-related mechanisms, linking forces of globalization to the welfare-state fiscal structure. The Welfare state, which provides social benefit that are financed by levying labor and capital taxes, is governed by the majority of the voter population; thus reflecting their economic interests At the root cause of the interactions between the welfare state and globalization lies the world markets, which inflict intense pressures on the welfare state. Globalization pressures force significant fiscal changes for the economy to be able to compete in trade and capital markets internationally. Furthermore, they radically affect incomes from capital investments and and from labor sevices of various classes. Income-based olitical cleavages are shown to be grounded on trade-related and macro-related fundamentals, familiar from a standard open-economy model. They are: (i) The degree of trade border frictions, (ii) The degree of international finance frictions, (iii) The relative factor abundance that determines the capital intensity of the country’s exports; and, (iv) The domestic savings and productivity of domestic investment, which determines whether the country is a financial capital exporter or importer.
We find that when the country is capital-abundant relative to the rest of the world, or when it exhibits strong saving propensity, a welfare state governed by the skilled-rich magnifies the intensity of globalization. In contrast, when the country is labor abundant relative to the rest of the world, or it exhibits slow saving propensity, a welfare state governed by the unskilled-poor would tends to magnify the intensity of globalization. The welfare state boost the utility of the losers from globalization, regardless whether the skilled-rich or the unskilled poor govern its policies , or the factor supply and the saving propensity are the economy’s fundamentals.
Razin Assaf (Northwestern University) Welfare State vs. Market Forces in a Globalization Era
Efraim Sadka and Alexander SchwemmerTexte intégral
Macroeconomics Seminar
Le 24/10/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
This paper shows that stationary sunspot equilibria can exist in standard non-linear DSGE models, even when the linearized versions of those models have a unique solution. Thus, those non-linear models can exhibit stationary fluctuations, even if there are no shocks to productivity, preferences of other ‘fundamentals’. In the sunspot equilibria considered here, the economy may temporarily diverge from the no-sunspots trajectory, before abruptly reverting towards that trajectory. In contrast to rational bubbles in linear models (Blanchard (1979)), the rational bubbles considered here are stationary--their path does not explode. Numerical simulations suggest that non-linear DSGE models driven solely by stationary bubbles can generate persistent fluctuations of real activity and capture key business cycle stylized facts.
Kollmann Robert (Northwestern University) Stationary Rational Bubbles in Non-Linear Business Cycle Models Texte intégral
Macroeconomics Seminar
Le 17/10/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-02
Over the past 30 years, skill premiums have grown, jobs in the middle of the skill distribution have become relatively scarce, and job and worker turnover rates have declined. At the same time, the fraction of the population attending college has grown, much of the manufacturing work force has shifted into services, and employers' investments in on-the-job training have increasingly favored high-skilled workers. This paper
interprets these patterns through the lens of a dynamic structural model that explains workers' human capital accumulation, unemployment spells, and earnings trajectories over their life cycles. Offshoring and import competition shift job creation away from trade-exposed occupations, thereby changing job offer arrival rates for each worker type, increasing incentives to invest in college degrees, and shifting patterns of employers' investments in on-the-job training. A quantitative example shows the model can replicate observed changes in U.S. labor markets.
Guner Nezih (Northwestern University) Training, Offshoring and the Job Ladder
Alessandro Ruggieri and James Tybout
Macroeconomics Seminar
Le 10/10/2019 de 00:00:00 à 00:00:00
Rancière Romain, romainranciere@gmail.com () *
Macroeconomics Seminar
Le 03/10/2019 de 00:00:00 à 00:00:00
Rancière Romain, romainranciere@gmail.com () *
Macroeconomics Seminar
Le 19/09/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
A Rational expectations model is a system of dynamic equations that is used for policy experiments. For a given policy experiment, we want to answer the following question: what is the relative contribution of each equation? In this paper, I develop tools to answer this question. The method revolves around using arbitrary small auxiliary shocks. I show analytically that in the standard linear New Keynesian model GDP and inflation are mostly driven by the Aggregate Supply relationship, unless the economy is at the Zero Lower Bound. I also show that a non-linear version of the model features different relative contributions of Aggregate Supply versus Aggregate Demand relationships depending on whether the economy is in a recession/expansion.
Roulleau-Pasdeloup Jordan () Understanding (Linear) Rational Expectations Models
Macroeconomics Seminar
Le 12/09/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
This paper develops a continuous-time random-matching model of a frictional labor market with firm and worker dynamics. Multi-worker firms choose whether to shrink or expand their employment in response to productivity shocks to their decreasing returns to scale technology. Growing entails posting costly vacancies, which are filled either by the unemployed or by employees poached from other firms. Firms also choose optimally when to enter and exit the market. Tractability is obtained by proving that, under a parsimonious set of assumptions, all worker and firm decisions can be characterized by comparisons between marginal surpluses which only depend on firm’s productivity and size. As frictions vanish, the model converges to a standard competitive model of firm dynamics. A parameterized version of the model yields longitudinal and cross-sectional patterns of net poaching in response to productivity shocks that are in line with the data. The model also generates a drop in job-to-job transitions as firm entry declines, offering an interpretation to U.S. labor market dynamics around the Great Recession. All these outcomes are a reflection of the job ladder in marginal surplus that emerges in equilibrium.
Violante Gianluca () Firm and Worker Dynamics in a Frictional Labor Market
Adrien Bilal, Niklas Engbom, and Simon Mongey
Macroeconomics Seminar
Le 05/09/2019 de 00:00:00 à 00:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
We provide evidence that industries' supply curves are convex. To guide our empirical analysis we develop a putty-clay model in which the capacity utilization rate is a sufficient statistic for the slope of the supply curve. Using data on capacity utilization, we estimate the supply curve using three different instruments |foreign demand shocks, demand shocks from downstream industries, and exchange rate shocks and find robust evidence for convexity. Supply curves are essentially at low levels of capacity utilization but increasing at higher levels. Further, industries with low initial capacity utilization rates expand production more after demand shocks than industries that are producing close to their capacity limit. The nonlinearity we identify has implications for a number of applications in macro and international economics, including that responses to shocks are state-dependent and that the Phillips curve is convex.
BOEHM Christoph () Convex Supply Curves
Nitya Pandalai-NayarTexte intégral
Macroeconomics Seminar
Le 20/06/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-01
We document that the nature of business cycles evolves over the process of development and
structural change. In countries with large declining agricultural sectors, aggregate employment is
uncorrelated with GDP. During booms, employment in agriculture declines while labor productivity
increases in agriculture more than in other sectors. We construct a unified theory of business
cycles and structural change consistent with the stylized facts. The focal point of the theory is the
simultaneous decline and modernization of agriculture. As capital accumulates, agriculture becomes
increasingly capital intensive as modern agriculture crowds out traditional agriculture. Structural
change accelerates in booms and slows down in recessions. We estimate the model and show that it
accounts well for both the structural transformation and the business cycle fluctuations of China.
Storesletten Kjetil () Business Cycle during Structural Change: Arthur Lewis' Theory from a Neoclassical Perspective
Bo Zhao, Fabrizio ZilibottiTexte intégral
Macroeconomics Seminar
Le 13/06/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Do financial crises radicalize voters? We analyze a canonical case –Germanyduring the Great Depression. After a severebanking crisis in 1931, caused by foreign shocks and political inaction, radical voting increased sharply in the following year. Democracy collapsed six months later. We collect new data on pre-crisis bank-firm connections and show that banking distress led to markedly more radical voting, both through economic and non-economic channels. Firms linked totwo large banks that failed experienced a bank-driven fall in lending, which caused reductions in their wage bill and a fall in city-level incomes. This in turn increased Nazi Party support between 1930 and 1932/33, especially in cities with a history of anti-Semitism. While both failingbanks had alarge negative economic impact, only exposure to the bank led by aJewish chairman strongly predicts Nazi voting. Local exposure to the banking crisis simultaneously led to a decline in Jewish-gentile marriagesand isassociated withmore deportations and attacks on synagoguesafter 1933.
PEYDRO Jose-Luis () From Finance to Fascism:The Real Effectof Germany’s 1931 Banking Crisis
Sebastian Doerr, Stefan Gissler and Hans-Joachim VothTexte intégral
Macroeconomics Seminar
Le 06/06/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Did trade with China harm the US economy in the 2000s? A popular narrative suggests so—that the rapid rise in Chinese import penetration lead to an expanding trade deficit and negative impacts on wages and employment within narrowly defined labor markets. We provide an alternative interpretation of this evidence by developing a dynamic, standard incomplete market model with Ricardian trade and frictional labor markets and calibrated to match local-labor-market evidence. Despite being consistent with the evidence of Autor, Dorn, and Hanson (2013), a rising trade exposure induces a boom: a increase in GDP and employment, a modest increase in consumption, and an improving trade deficit. Much heterogeneity in the gains from trade underlays the aggregate effects; however, very few actually lose from trade.
Waugh Michael () Quantifying the Losses from International Trade
Spencer G. Lyon New York UniversityTexte intégral
Macroeconomics Seminar
Le 23/05/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
We embed a theory of rational herding into a business-cycle framework. In the model, technological innovations arrive randomly over time. New innovations are not immediately productive, and there is uncertainty about how productive the technology will be. Investors receive private signals about the future productivity and decide whether to invest in the technology or not. Macroeconomic variables and prices partially aggregate private information but do not reveal the true fundamentals as the agents ignore the degree of correlation in their information sets. Herd-driven boom-bust cycles may arise in this environment when the technology is unproductive but investors' initial signals are optimistic and highly correlated. When the technology appears, investors mistakenly attribute the observed high investment rates to high fundamentals, leading to a pattern of increasing optimism and investment until the economy reaches a peak, followed by a quick collapse, as agents ultimately learn their mistake. As such, the theory can shed light on bubble-like episodes in which excessive optimism about uncertain technology fueled overinvestment, and were followed by sudden recessions. We calibrate the model to the U.S. economy and show that the theory can rationalize various patterns observed during technology-driven cycles like the IT-led boom and bust of 1995-2001. Finally, we show that leaning-against-the-wind policies can be welfare improving as they can increase the amount of private information that becomes public.
Schaal Edouard () Herding Cycles
Mathieu Taschereau-Dumouchel
Macroeconomics Seminar
Le 16/05/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
The effect of coworkers on the learning and the productivity of an individual is measured combining theory and data. The theory is a frictional equilibrium model of the labor market in which production and the accumulation of human capital of an individual are allowed to depend on the human capital of coworkers. The data is a matched employer-employee dataset of US firms and workers. The measured production function is supermodular. The measured human capital function is non-linear: Workers catch-up to more knowledgeable coworkers, but are not dragged-down by less knowledgeable ones. The market equilibrium features a pattern of
sorting of coworkers across teams that is inefficiently positive. This inefficiency results in low human capital individuals having too few chances to learn from more knowledgeable coworkers and, in turn, in a stock of human capital and a ow of output that are inefficiently low.
Herkenhoff Kyle (University of Minnesota) Production and Learning in Teams
Jeremy Lise University of Minnesota and FRB Minneapolis, Guido Menzio NYU and NBER, Gordon Phillips Dartmouth College and NBERTexte intégral
Macroeconomics Seminar
Le 18/04/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
This paper embeds in a Schumpeterian endogenous growth model a previously overlooked insight that the cost of innovation to the followers increases in their technological distance to the leader. This new assumption introduces an incentive for the leader to innovate to increase his technological distance from the followers, reducing the risk of being leapfrogged and thus prevailing in the leadership game. In addition to the High Growth steady state in which only followers innovate as in Grossman and Helpman (1991), there now exist two other steady states: a Medium Growth (a source) and a Low Growth (a saddle) steady state, that feature both leaders and followers innovating. With an initial condition of the economy that sees many industries having leaders prevailing – a situation characterized by low dynamism - the economy eventually converges to a Low Growth steady state. We illustrate in the model how an increase in monopolistic rents to the leaders, depending on the initial condition, can increase or reduce aggregate growth in the long run.
Zheng Yu (University of Minnesota) Innovate to Lead or Innovate to Prevail: When do Monopolistic Rents Induce Growth?
Roberto Piazza
Macroeconomics Seminar
Le 11/04/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
I study the macroeconomic effects of the US fiscal policy response to the Great Recession,
accounting not only for standard tools such as government purchases and transfers but also for
financial sector interventions such as bank recapitalizations and credit guarantees. A global
solution to a quantitative model calibrated to the US allows me to study the state-dependent
effects of different types of fiscal policies. I combine the model with data on the US fiscal policy
response to find that the fall in aggregate consumption would have been twice as worse in
the absence of that response with a cumulative loss of 14.5%. Transfers and bank recapitalizations
yielded the largest fiscal multipliers at the height of the crisis through new transmission
channels that arise from linkages between household and bank balance sheets.
Faria-e-Castro Miguel (University of Minnesota) Fiscal Multipliers and Financial CrisesTexte intégral
Macroeconomics Seminar
Le 04/04/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Dispersion of marginal revenue products of inputs across firms are commonly thought to reflect misallocation. Consistent with that view, aggregate output monotonically declines in dispersion. We show that non-convex distortions to a firm’s problem may break this monotonicity such that dispersion and efficiency are related in an inverted U-shaped fashion. Eliminating distortions may thus increase dispersion of marginal revenue products while improving the allocation and raising output. In a quantitative model of the U.S. manufacturing sector, we find that one quarter of dispersion reflects “good” allocations while only the remaining three quarters may reflect inefficient distortions. An important implication of this insight is that the welfare effects of eliminating distortions in emerging economies are larger than previously thought.
Kehrig Matthias (University of Minnesota) Good dispersion, bad dispersion
Nicolas Vincent
Macroeconomics Seminar
Le 28/03/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-01
What are the welfare implications of labor market power? We provide an answer to this
question in two steps: (1) develop a tractable quantitative, general equilibrium, oligopsony
model of the labor market, (2) estimate key parameters using within-firm-states, acrossmarket
differences in wage and employment responses to state corporate tax changes in U.S.
Census data. We validate the model against recent evidence on productivity-wage passthrough,
and new measurements of the distribution of market concentration. The model
implies welfare losses from labor market power range from 2.9 to 8.0 percent of lifetime
consumption. However, despite large contemporaneous losses, labor market power has not
contributed to the declining labor share. Finally, we show that minimum wages can deliver
moderate welfare gains by reallocating workers from smaller to larger, more productive
firms.
Mongey Simon (University of Minnesota) Labor Market Power
David Berger, Kyle HerkenhoffTexte intégral
Macroeconomics Seminar
Le 21/03/2019 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-01
Endogenous demand composition across sectors due to income elasticity differences, or Engel’s Law for the brevity, affects i) sectoral compositions in employment and in value-added, ii) variations in innovation rates and in productivity change across sectors, iii) intersectoral patterns of trade across countries; and iv) product cycles from rich to poor countries. Using a two-country model of directed technical change with a continuum of sectors under nonhomothetic preferences, which is rich enough to capture all these effects as well as their interactions, this paper offers a unifying perspective on how economic growth and globalization affects the patterns of structural change, innovation and trade across countries and across sectors in the presence of Engel’s Law. Among the main messages is that globalization amplifies, instead of reducing, the power of endogenous domestic demand composition differences as a driver of structural change.
Matsuyama Kiminori (University of Minnesota) Engel’s Law in the Global Economy: Demand-Induced Patterns of Structural Change, Innovation, and TradeTexte intégral
Macroeconomics Seminar
Le 14/03/2019 de 09:30:00 à 10:45:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Broer Tobias (University of Minnesota) Heterogenous Information Choice in General Equilibrium
Alexandre Kohlhas, Kurt Mitman, Kathrin Schlafmann
Macroeconomics Seminar
Le 12/02/2019 de 14:00:00 à 15:15:00
PSE - 48 boulevard Jourdan, 75014 Paris - Room R2-21
Benigno Pierpaolo (University of Minnesota) Private Money Creation, Liquidity Crises, and Government Interventions
Roberto Robatto University of Wisconsin-MadisonTexte intégral
Macroeconomics Seminar
Le 17/12/2018 de 00:00:00 à 00:00:00
Rancière Romain, romainranciere@gmail.com (University of Minnesota) Joint French Macro WorkshopTexte intégral
Macroeconomics Seminar
Le 06/12/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Giovanni Ricco (University of Minnesota) A Model of the Fed’s View on Inflation
Thomas Hasenzagl, Filippo Pellegrino, Lucrezia Reichlin,Texte intégral
Macroeconomics Seminar
Le 29/11/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-14
Barany Zsofia (University of Minnesota) The engines of sectoral labor productivity growth
Christian Siegel
Macroeconomics Seminar
Le 22/11/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Malherbe Frederic (University of Minnesota) Financial sector origins of economic growth delusion
Michael McMahonTexte intégral
Macroeconomics Seminar
Le 15/11/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
We develop a new framework to analyze the aggregate implications of lumpiness in microeconomic
adjustment, which is pervasive in many economic environments. We derive structural relationships
between the steady state moments and the business cycle dynamics of lumpy economies, and we show
how to discipline these relationships using panel microdata. As an application, we study capital
misallocation and investment dynamics by implementing our tools on establishment-level data from
Chile and Colombia. Our framework is very flexible and can accommodate a large set of inaction
models, stochastic processes, and higher order dynamics.
Baley Isaac (University of Minnesota) Aggregate Dynamics in Lumpy Economies
Andres BlancoTexte intégral
Macroeconomics Seminar
Le 25/10/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Building upon a behavioural equilibrium exchange rate (BEER) model, estimated at a quarterly frequency since 1999 on a broad sample of 57 countries, this paper assesses whether both the size and persistence of real effective exchange rate misalignments from the levels implied by economic fundamentals have been affected by the adoption of a single currency. A comparison of real misalignments across different country groupings (euro area, non-euro area advanced and emerging economies) in the post-1999 period shows they are smaller in the euro area than in its main trading partners. However, in the euro area real disequilibria are more persistent, although not anymore after the global financial crisis. An improvement in the quality of regulation and institutions is found to reduce the persistence of real exchange rate misalignments, plausibly by removing real rigidities.
Giordano Claire (University of Minnesota) *Real exchange rate misalignments in the euro area
Michael Fidora and Martin Schmitz (ECB)Texte intégral
Macroeconomics Seminar
Le 18/10/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Households in the UK spent over £1,000 per worker on commuting in 2017. The total cost of commuting may greatly exceed the monetary cost because commuting and the associated congestion affect workers’ incentives for job search and acceptance. At the same time, workers’ decisions about where to work determine congestion. Policies targeting congestion can thus affect employment and inequality through their interaction with workers’ process of job search. Using UK data on commuting and employment outcomes, I find a strong positive relationship between commuting time and job mobility. To understand the empirical patterns and quantify the aggregate implications, I build a novel model featuring a frictional labor market in which commuting gives rise to congestion as workers travel similar paths to work. I consider the previously unexplored interaction between congestion, employment, aggregate productivity, and housing rents as workers move from job to job and across space. Since it takes time to find a close and productive job, and because moving house is costly, many workers commute to distant jobs. In doing so, they contribute to congestion and affect the incentives of other workers to accept job offers. The quantitative model suggests that a significant share of the welfare gains from remote working policies are due to decreases in congestion.
Jean Flemming () *Costly Commuting and the Job Ladder
Macroeconomics Seminar
Le 11/10/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
This paper starts by documenting a new fact that consumer price index (CPI) and producer price index (PPI) used to move in tandem within a given country around the world, but start to diverge after 2000. Understanding the source of divergence is important as it potentially affects optimal monetary policies. We propose an explanation via the lens of global value chains. With increased length of production chains, the baskets of CPI and PPI have become more different. We build a model with multi-stage production, and derive tractable analytical solutions to show this point. Moreover, in the model, as production becomes longer, both CPI and PPI become less responsive to a given shock to the first stage of production, and the reduction in responsiveness is greater for CPI. We show that the key predictions of the model are confirmed in the data. Furthermore, we compare model predictions at the country level using calibrations and empirical patterns, and find that the two line up well as well.
Wei Shang-Jin () *Understanding the divergence between PPI and CPI: the role of global value chains.Texte intégral
Macroeconomics Seminar
Le 12/07/2018 de 11:00:00 à 00:00:00
PSE, 48 boulevard Jourdan, 75014 Paris, salle R2-21
Piguillem Facundo () *
Macroeconomics Seminar
Le 28/06/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-09
Berka Martin () *
Macroeconomics Seminar
Le 14/06/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R2-21
Violante Gianluca () *
Macroeconomics Seminar
Le 17/05/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-09
Iovino Luigi () Central Bank Balance Sheet Policies without Rational Expectations
Dmitriy Sergeyev
Macroeconomics Seminar
Le 12/04/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-09
Karadi Peter () *
Macroeconomics Seminar
Le 05/04/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-09
Del Negro Marco () *The conquest of Inflation credibility - Bayesian inference for probabilistic surveysTexte intégral
Macroeconomics Seminar
Le 29/03/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-09
Michelacci Claudio () *
Macroeconomics Seminar
Le 22/03/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-13
Jaimovich Nir () *; () ;
La séance est annulée
Macroeconomics Seminar
Le 08/03/2018 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris, salle R1-09
Delacroix David () *
Macroeconomics Seminar
Le 07/12/2017 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris - salle R2-21
BANERJEE Abhijit () *Trade, Capital Markets and Inequality
Macroeconomics Seminar
Le 30/11/2017 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris - salle R2-21.
Bilbiie Florin () The New Keynesian Cross: Understanding Macro Policies with Hand-to-Mouth Households
Macroeconomics Seminar
Le 23/11/2017 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris - salle R1-09
Keister Todd () Bailouts, Bail-ins and Banking Crises
Yuliyan Mitkov (Rutgers University)Texte intégral
Macroeconomics Seminar
Le 16/11/2017 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris - salle R2-21
Oikonomou Rigas () *
Macroeconomics Seminar
Le 09/11/2017 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris - salle R2-21
Challe Edouard () *
Macroeconomics Seminar
Le 26/10/2017 de 15:30:00 à 16:45:00
PSE - 48 boulevard Jourdan, 75014 Paris - salle R2-21
Aghion Philippe () *Missing Growth from Creative Destruction
Antonin Bergeaud, Timo Boppar,t Peter J. Klenow, Huiyu LiTexte intégral
Macroeconomics Seminar
Le 12/10/2017 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris - salle R1-09
Debortoli Davide () Monetary Policy with Heterogeneous Agents: Insights from TANK models
Jordi GaliTexte intégral
Macroeconomics Seminar
Le 05/10/2017 de 15:45:00 à 17:00:00
PSE - 48 boulevard Jourdan, 75014 Paris - Amphithéâtre
Giavazzi Francesco () The macroeconomic effects of fiscal adjustment plansTexte intégral
Macroeconomics Seminar
Le 18/05/2017 de 15:45:00 à 17:00:00
Salle R2-21, Campus Jourdan, 48 boulevard Jourdan 75014 Paris
Galo Nuno () “Optimal Monetary Policy with Heterogeneous Agents.”Texte intégral
Macroeconomics Seminar
Le 20/04/2017 de 15:45:00 à 17:00:00
Campus Jourdan, 48 boulevard Jourdan 75014 Paris, salle R2-21
Geerolf François () *; () ;
La séance est annulée
Macroeconomics Seminar
Le 06/04/2017 de 15:45:00 à 17:00:00
Campus Jourdan, 48 boulevard Jourdan 75014 Paris, salle A2
Farmer Roger () *Animal Spirits in a Monetary ModelTexte intégral
Macroeconomics Seminar
Le 16/03/2017 de 15:45:00 à 17:00:00
Campus Jourdan, 48 boulevard Jourdan 75014 Paris, salle R2-20
Karadi Peter () *Rescheduled to a date yet to be confirmed
Macroeconomics Seminar
Le 09/03/2017 de 16:30:00 à 17:45:00
Campus Jourdan, 48 boulevard Jourdan 75014 Paris, salle R1-09
Reis Ricardo () *
Macroeconomics Seminar
Le 02/03/2017 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, 6th floor conference room
Bocola Luigi () *A Model of Financial Crises in Open EconomiesTexte intégral
Macroeconomics Seminar
Le 15/12/2016 de 16:30:00 à 17:45:00
Maison des Sciences Économiques106-112 Boulevard de l'Hôpital75013 Paris --Salle 116
Pintus Patrick () *The Inverted Leading Indicator Property and Redistribution Effect of the Interest Rate
Yi Wen (Federal Reserve Bank of St. Louis & Tsinghua University) and Xiaochuan Xing (Yale University) Texte intégral
Macroeconomics Seminar
Le 01/12/2016 de 16:30:00 à 17:45:00
MSE(106, Blv de l'Hôpital) 75013 Paris, salle du 6ème étage
Fornaro Luca () *Aggregate Demand Externalities in a Global Liquidity Trap
Federica Romei
Macroeconomics Seminar
Le 13/10/2016 de 16:30:00 à 17:45:00
Maison des Sciences Économiques106-112 Boulevard de l'Hôpital75013 Paris --Salle du 6ème
LIPPI Francesco () Price plans and the real effects of monetary policyTexte intégral
Macroeconomics Seminar
Le 06/10/2016 de 16:30:00 à 17:45:00
Maison des Sciences Économiques106-112 Boulevard de l'Hôpital75013 Paris ---Salle du 6ème
Rancière Romain, romainranciere@gmail.com () *Séance annulée; () ;
La séance est annulée
Macroeconomics Seminar
Le 22/09/2016 de 16:30:00 à 17:45:00
Maison des Sciences Économiques 106-112 Boulevard de l'Hôpital 75013 Paris -- Salle 116
PANIZZA Ugo () *Texte intégral
Macroeconomics Seminar
Le 10/12/2015 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, 6th floor conference room
MERTENS Karel (Cornell)
Macroeconomics Seminar
Le 26/11/2015 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, 6th floor conference room
BOPPART Timo (IIES)
Macroeconomics Seminar
Le 19/11/2015 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, 6th floor conference room
PACIELLO Luigi (EIEF)
Macroeconomics Seminar
Le 12/11/2015 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, 6th floor conference room
VELDKAMP Laura (NYU Stern) Texte intégral
Macroeconomics Seminar
Le 05/11/2015 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, 6th floor conference room
BACCHETTA Philippe (HEC Lausanne) Texte intégral
Macroeconomics Seminar
Le 15/10/2015 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, 6th floor conference room
TELES Pedro (Banco de Portugal and UCP)
Macroeconomics Seminar
Le 01/10/2015 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, 6th floor conference room
VENTURA Jaume (CREi) Taxing Capital in Representative Agent Economies
Macroeconomics Seminar
Le 19/12/2013 de 17:45:00 à 16:30:00
Maison des Sciences Economiques, Salle S17
FARHI Emmanuel (Harvard) TBA
Macroeconomics Seminar
Le 12/12/2013 de 17:45:00 à 16:30:00
Maison des Sciences Economiques
GALI Jordi (CREI, Pompeu Fabra University) TBA
Macroeconomics Seminar
Le 05/12/2013 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, Salle S17
Two separate narratives have emerged in the wake of the Global Financial Crisis. One speaks of private financial excess and the key role of the banking system in leveraging and deleveraging the economy. The other emphasizes the public sector balance sheet over the private and worries about the risks of lax fiscal policies. However, the two may interact in important and understudied ways. This paper studies the co-evolution of public and private sector debt in advanced countries since 1870. We find that in advanced economies financial stability risks have come from private sector credit booms and not from the expansion of public debt. However, we find evidence that high levels of public debt have tended to exacerbate the effects of private sector deleveraging after crises, leading to more prolonged periods of economic depression. Fiscal space appears to be a constraint in the aftermath of a crisis, then and now.
SCHULARICK Moritz (University of Bonn) Sovereigns Versus Banks: Credit, Crises, and Consequences
Co-author(s) : Òscar Jordà & Alan M. TaylorTexte intégral
Macroeconomics Seminar
Le 28/11/2013 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, Salle S17
ENGEL Eduardo (Yale University & Universidad de Chile) *
Macroeconomics Seminar
Le 21/11/2013 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, Salle 114
DEN HAAN Wouter (London School of Econmics) Inventories and the Role of Goods-Market Frictions for Business Cycles Texte intégral
Macroeconomics Seminar
Le 14/11/2013 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, Salle S17
KUBLER Felix (University of Zurich) TBA
Macroeconomics Seminar
Le 17/10/2013 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, Salle S17
This paper shows that the introduction of an arbitrarily small degree of price dispersion, in an otherwise fully-revealing system of prices, can originate large departures from the perfect-information benchmark. The main result is presented within a fully microfounded model where agents learn from prices and all disturbances are fundamental in nature. When the system of prices is fully revealing the economy has a unique equilibrium. Nevertheless, the introduction of vanishing idiosyncratic disturbances, which blur the informativeness of local prices, generates two equilibrium outcomes. Only one inherits by continuity the properties of the perfect-information benchmark, whereas the other features sizeable heterogeneity of beliefs due to the amplification of private uncertainty through price feedbacks. The two dramatically differ in the impact of shocks at both aggregate and cross-sectional levels. Moreover, when higher-order belief dynamics is used as a selection criterion, the perfectinformation limit scenario is discarded whereas the dispersed-information limit outcome prevails.
GABALLO Gaetano (Banque de France) Price Dispersion and Private UncertaintyTexte intégral
Macroeconomics Seminar
Le 10/10/2013 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, Salle de Conférences (6e ét
McGRATTAN Ellen (University of Minnesota, Minneapolis Fed) On Financing Retirement with an Aging Population
Co-author(s) : Edward C. Prescott (Arizona State University and Federal Reserve Bank of Minneapolis)
Macroeconomics Seminar
Le 03/10/2013 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, Salle 114
We ask how much the advent of the `one-child policy' can explain the sharp rise in China's household saving rate. In a life-cycle model with endogenous fertility, intergenerational transfers and human capital accumulation, we show a macroeconomic and a microeconomic channel through which restrictions in fertility raise aggregate saving. The macro-channel operates through a shift in the composition of demographics and income across generations. The micro-channel alters saving behavior and education decisions at the individual level. A main objective is to quantify these various channels in the data. Exploiting the birth of twins as an identi cation strategy, we provide direct empirical evidence on the micro-channel and show its importance in accounting for the rise in the household saving rate since the enforcement of the policy in the early eighties. Our quantitative OLG model can explain from a third to at most 60% of the rise in aggregate saving rate; equally important is its implied shift in the level and shape of the age-saving pro le consistent with micro-level estimates from the data.
JIN Keyu (LSE) The One-Child Policy and Household Savings
Co-auteur(s) : Taha Choukhmane (SciencesPo Paris) and Nicolas Coeurdacier (SciencesPo Paris and CEPR)
Macroeconomics Seminar
Le 26/09/2013 de 16:30:00 à 17:45:00
Maison des Sciences Economiques, Salle de Conférences (6e ét
We develop a model of equilibrium entry, trade, and price formation in over-the-counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a xed entry cost, and they must limit the size of the positions taken by their traders because of risk-management concerns. Although all banks in our model are endowed with access to the same trading technology, some large banks endogenously arise as dealers," trading mainly to provide intermediation services, while medium sized banks endogenously participate as customers" mainly to share risks. We use the model to address positive questions regarding the growth in OTC markets as trading frictions decline, and normative questions of how regulation of entry impacts welfare.
WEILL Pierre-Olivier (UCLA) The Market for OTC Derivatives
Co-auteur(s) : Andrew G. Atkeson and Andrea L. Eisfeldt
Macroeconomics Seminar
Le 06/06/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
BEAUDRY Paul (University of British Columbia) Understanding Non-In ationary Demand Driven Business Cycles
Co-author(s): Franck PortierTexte intégral
Macroeconomics Seminar
Le 30/05/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
UHLIG Harald (The University of Chicago) The Dynamics of Sovereign Debt Crises and Bailouts
Co-author(s): Francisco RochTexte intégral
Macroeconomics Seminar
Le 23/05/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), Ro
MICHAILLAT Pascal (London School of Economics) A Theory of Aggregate Supply and Aggregate Demand as Functions of Market Tightness with Prices as ParametersTexte intégral
Macroeconomics Seminar
Le 16/05/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
CHRISTIANO Lawrence (Northwestern University) Unemployment and Business Cycles
Co-author(s): Martin S. Eichenbaum & Mathias Trabandt
EXCEPTIONAL SEMINAR: BANQUE DE FRANCE CHAIR AT PARIS SCHOOL OF ECONOMICS LECTURETexte intégral
Macroeconomics Seminar
Le 25/04/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
LOPEZ Jose Ignacio (HEC Paris) Financial Shocks and the Cyclical Behavior of Skilled and Unskilled Unemployment
Co-author(s): Virginia OlivellaTexte intégral
Macroeconomics Seminar
Le 18/04/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
BARNICHON Régis (CREi & Universitat Pompeu Fabra) Why did the U.S. unemployment rate used to be so low? (and why it can be very low again)
Co-author(s): Andrew FiguraTexte intégral
Macroeconomics Seminar
Le 04/04/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
MACKOWIAK Bartosz (European Central Bank) Business Cycle Dynamics under Rational Inattention
Co-author(s): Mirko WiederholtTexte intégral
Macroeconomics Seminar
Le 28/03/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), Ro
BROER Tobias (IIES) Great Moderation or Great Mistake: Can rising confi dence in low macro-risk explain the boom in asset prices?
Co-author(s): Afroditi KeroTexte intégral
Macroeconomics Seminar
Le 21/03/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
BENHABIB Jess (New York University) Uncertainty and Sentiment-Driven Equilibria
Co-author(s): Pengfei Wang & Yi Wen Texte intégral
Macroeconomics Seminar
Le 17/01/2013 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
COLLARD Fabrice (University of Bern) Booms and Systematic Banking Crisis
Co-author(s): F. Boissay & F. SmetsTexte intégral
Macroeconomics Seminar
Le 10/01/2013 de 16:30:00 à 18:00:00
SAINT-PAUL Gilles (TSE & PSE) How Darwinian should an economy be?
Macroeconomics Seminar
Le 13/12/2012 de 16:30:00 à 18:00:00
LUBIK Thomas (Federal Reserve Bank of Richmond) Sales, Inventories, and Real Interest Rates: A Century of Stylized Facts
Co-author(s): Luca BenatiTexte intégral
Macroeconomics Seminar
Le 06/12/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
DEDOLA Luca (European Central Bank) The Mystery of the Printing Press: Self-fulfilling debt crises and monetary sovereignty
Co-author(s): Giancarlo CorsettiTexte intégral
Macroeconomics Seminar
Le 22/11/2012 de 16:30:00 à 18:00:00
PINTUS Patrick (Aix-Marseille School of Economics) Learning Leverage Shocks and the Great Recession
Co-author(s): Jacek SudaTexte intégral
Macroeconomics Seminar
Le 15/11/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
RAVN Morten O. (University College London) Job Uncertainty and Deep Recessions
Co-author(s): Vincent SterkTexte intégral
Macroeconomics Seminar
Le 25/10/2012 de 16:30:00 à 18:00:00
OBSTFELD Maurice (University of California) Rethinking the Euro
Exceptional Seminar: Banque de France Chair at Paris School of Economics Lecture.
Introduced by Pierre Jaillet (Banque de France, Special Adviser to the Governor) and Romain Ranciere (Paris School of Economics, Scientific Coordinator of the Chair Banque de France)
Macroeconomics Seminar
Le 18/10/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
PASTEN Ernesto (Central Bank of Chile) Rational Inattention, Multi-Product Firms and the Neutrality of Money
Co-author(s): Raphael SchoenleTexte intégral
Macroeconomics Seminar
Le 11/10/2012 de 16:30:00 à 18:00:00
MURTIN Fabrice (OECD) Labor Market Reforms and Unemployment Dynamics
Co-author(s): Jean-Marc RobinTexte intégral
Macroeconomics Seminar
Le 04/10/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
KUMHOF Michael (International Monetary Fund) The Future of Oil: Geology versus Technology
Co-author(s): Jaromir Benes, Marcelle Chauvet, Ondra Kamenik, Douglas Laxton, Susanna Mursula, Jack Selody,
Discutant(s): Jean-Charles HOURCADE
Text1
Text2
Seminar organized by CIRED and PSE, with support of Chaire PSE - Ministère du développement durableTexte intégral
Macroeconomics Seminar
Le 28/06/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
This paper studies a simple monetary model with a Ricardian fiscal policy in which equilibria are indeterminate if monetary policy consists solely of a rule for fixing the short-term interest rate. We introduce explicitly into the model the agents’ expectations of inflation which create the indeterminacy and show that there are two types of policies—a term-structure rule or a forward-guidance rule for the short rate—which can lead to determinacy. The first consists in fixing the interest rates on a family of bonds of different maturities as function of realized inflation; the second consists in fixing the short-term interest rate and the expected values of the short term interest rate for a sequence of periods into the future as a function of realized inflation. If the monetary authority chooses an inflation process which satisfies conditions derived in the paper and applies one of these rules, it can anchor agents’ expectations to this process, in the sense that it is the unique inflation process compatible with equilibrium when the interest rates or expected future values of the short rate are those specified by the term-structure or forward-guidance rule.
MAGILL Michael (University of Southern California) Interest Rate Policy and Expectations of Inflation
Co-author(s): Martine QuinziiTexte intégral
Macroeconomics Seminar
Le 27/06/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
Rancière Romain, romainranciere@gmail.com (University of Southern California) *
Macroeconomics Seminar
Le 21/06/2012 de 14:30:00 à 16:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), Ro
KRUEGER Dirk (University of Pennsylvania) Intergenerational Redistribution in the Great RecessionTexte intégral
Macroeconomics Seminar
Le 19/06/2012 de 16:30:00 à 17:30:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), Ro
UEDA Kenichi (International Monetary Fund) Tail-Risk Dumping: Bank Bailouts as Optimal Fiscal OperationTexte intégral
Macroeconomics Seminar
Le 14/06/2012 de 17:00:00 à 18:30:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
RAPPOPORT Veronica (Columbia Business School) Dissecting the E ect of Credit Supply on Trade: Evidence from Matched Credit-Export Data
Co-author(s): Daniel PARAVISINI (Columbia GSB), Philip SCHNABL (NYU Stern) and Daniel WOLFENZON (Columbia GSB)Texte intégral
Macroeconomics Seminar
Le 11/06/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
JUSTINIANO Alejandro (Federal Reserve Bank of Chicago) Macroeconomic Effects of Monetary Policy Forward GuidanceTexte intégral
Macroeconomics Seminar
Le 07/06/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), Ro
VENTURA Jaume (CREI) Bubbly Collateral and Economic Activity
Co-author: Alberto MARTIN (CREI)
Macroeconomics Seminar
Le 05/06/2012 de 11:30:00 à 12:30:00
Banque de France-New Auditorium, entrance via 31 rue Croix-d
WOODFORD Michael (Columbia University) Robustly Optimal Monetary Policy in a Microfounded New Keynesian model
Co-auteurs : Klaus ADAM (Mannheim U)
Exceptional Seminar: Chair Banque de France at Paris School of Economics LectureTexte intégral
Macroeconomics Seminar
Le 31/05/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
KHARROUBI Enisse (Banque de France) MONETARY POLICY, LIQUIDITY, AND GROWTH
Co-author(s): Philippe Aghion & Emmanuel FarhiTexte intégral
Macroeconomics Seminar
Le 24/05/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
JEANNE Olivier (Johns Hopkins University) Monetary Dominance and Government DefaultTexte intégral
Macroeconomics Seminar
Le 15/05/2012 de 14:30:00 à 16:00:00
Sciences-Po - 56 rue des saints Pères – 7ème (Salle Goguel)
The interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macro-prudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned over time. Beliefs about transition probabilities across states with high and low ability to borrow change as agents learn from observed realizations of financial conditions. At the same time, the collateral constraint introduces a pecuniary externality, because agents fail to internalize the effect of their borrowing decisions on asset prices. Quantitative analysis shows that the effectiveness of macro-prudential policy in this environment depends on the government's information set, the tightness of credit constraints and the pace at which optimism surges in the early stages of financial innovation. The policy is least effective when the government is as uninformed as private agents, credit constraints are tight, and optimism builds quickly.
Keywords: Financial crises, financial innovation, macro-prudential regulation, Bayesian learning
JEL Codes: D62, D82, E32, E44, F32, F41
MENDOZA Enrique (University of Maryland) Macro-prudential Policy in a Fisherian Model of Financial Innovation
Co-author(s): Javier Bianchi & Emine Boz
Seminar exceptionally joint with Paris Trade SeminarTexte intégral
Macroeconomics Seminar
Le 10/05/2012 de 16:30:00 à 18:00:00
This paper analyzes the behavior of international capital flows by foreign and domestic agents, dubbed gross capital flows, over the business cycle and during financial crises. We show that gross capital flows are very large and volatile, especially relative to net capital flows. When foreigners invest in a country, domestic agents tend to invest abroad, and vice versa. Gross capital flows are also pro-cyclical, with foreigners investing more in the country and domestic agents investing more abroad during expansions. During crises, especially during severe ones, there is a collapse in total gross flows and retrenchment, that is, a reduction in both capital inflows by foreigners and capital outflows by domestic agents. This evidence sheds light on the nature of shocks driving capital flows and helps discriminate among existing theories. Our findings seem consistent with shocks that affect foreign and domestic agents asymmetrically, such as sovereign risk and asymmetric information.
Keywords: gross capital flows, net capital flows, domestic investors, foreign investors, crises
JEL Classification: F21, F30, F32, G01
BRONER Fernando (CREI and Universitat Pompeu Fabra) Gross Capital Flows: Dynamics and Crises
Co-author(s): Tatiana Didier, Aitor Erce & Sergio L. SchmuklerTexte intégral
Macroeconomics Seminar
Le 03/05/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 1s
This paper studies the geography of wealth transfers between 2007Q4 and 2008Q4, at the height of the global financial crisis. We construct valuation changes on bilateral external positions in equity, direct investment and portfolio debt to measure who benefited and who lost on their external exposure. We find a very diverse set of fortunes governed by the structure of countries' external portfolios. In particular, we are able to relate the gains and losses on debt portfolios to the country's exposure to ABS, ABCP conduits and the extent of dollar shortage.
GOURINCHAS Pierre-Olivier (University of California) The Financial Crisis and The Geography of Wealth Transfers
Co-author(s): Hélène Rey & Kai TruemplerTexte intégral
Macroeconomics Seminar
Le 12/04/2012 de 17:00:00 à 18:30:00
We introduce liquidity frictions into an otherwise standard DSGE model with nominal and real rigidities, explicitly incorporating the zero bound on the shortterm nominal interest rate. Within this framework we ask: Can a shock to the liquidity of private paper lead to a collapse in short-term nominal interest rates and a recession like the one associated with the 2008 U.S. financial crisis? Once the nominal interest rate reaches the zero bound, what are the e ffects of interventions in which the government exchanges liquid government assets for illiquid private paper? We find that the eff ects of the liquidity shock can be large, and show some numerical examples in which the liquidity facilities prevented a repeat of the Great Depression in 2008-2009.
JEL Classifi cation: E44, E58 Key Words: Financial crisis, liquidity shocks, financing constraints, liquidity facilities, zero lower bound
DEL NEGRO Marco (Federal Reserve Bank of New York) The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities
Co-author(s): Andrea Ferrero, Gauti Eggertsson & Nobuhiro KiyotakiTexte intégral
Macroeconomics Seminar
Le 05/04/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
Four policy options to make the social security sustainable under the coming demographic shift are presented; increase payroll taxes by 6 percentage points, reduce replacement rates by one-third, raise the normal retirement age to 73, or means-test the benefits and reduce them in income. While the four policies all achieve the same goal, economic outcomes differ significantly. Options to curtail benefits encourage own savings and capital accumulation. The payroll tax increase discourages work effort, but the means-test gives the worst labor disincentives. Future generations prefer options to reduce benefits, but current generations prefer to finance the transition with payroll taxes.
Keywords: Social security reform and sustainability, general equilibrium, labor force participation, retirement age, demographic shift, overlapping generations, transition and welfare effects
J.E.L. classi cation codes: E2, E6, H55, J2
KITAO Sagiri (City University of New York) Sustainable Social Security: Four OptionsTexte intégral
Macroeconomics Seminar
Le 29/03/2012 de 16:30:00 à 18:00:00
We build a general equilibrium model that features uninsurable idiosyncratic shocks, search frictions and an operative labor supply choice along the extensive margin. The model is calibrated to match the average levels of gross flows across the three labor market states: employment, unemployment, and non-participation. We use it to study the implications of two kinds of aggregate shocks for the cyclical behavior of labor market aggregates and flows: shocks to search frictions (the rates of job finding and job loss) and shocks to the return on the market activity (any factors affecting aggregate productivity). We find that both kinds of shocks are needed to explain the labor market data, and that an active labor supply channel is key. A model with friction shocks only, calibrated to match unemployment fluctuations, accounts for only a small fraction of employment fluctuations and has counterfactual cyclical predictions for participation.
Keywords: Labor Supply, Labor Market Frictions, Business Cycles
JEL Classifications: E24, J22, J64
KRUSELL Per (IIES) Is Labor Supply Important for Business Cycles?
Co-author(s): Toshihiko Mukoyama, Richard Rogerson & Aysegül SahinTexte intégral
Macroeconomics Seminar
Le 26/03/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), Ro
If a policymaker learns today that there will be a regime change in the future that affects everyone, at what time between now and then should he/she announce it to the public? This paper presents a dynamic model where agents have a limited amount of attention to allocate between learning about the new regime and everything else. They trade off the benefit of being better informed and making better decisions when the new regime arrives against the cost of paying less attention to current events and making worse decisions now. By choosing when to make the announcement, the policymaker can affect this decision. The policymaker also takes into account that later announcements are more precise, and that agents may inefficiently put too much weight on public signals due to strategic complementarities. I solve for the optimal timing of announcements and the conditions under which it is preferable to keep mum in spite of public interest. As a by-product, I characterize the life-cycle of attention following an announcement, before and after the regime changes.
REIS Ricardo (Columbia University) when should policymakers make announcements?Texte intégral
Macroeconomics Seminar
Le 15/03/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
LEVCHENKO Andrei (University of Michigan) The Evolution of Comparative Advantage: Measurement and Welfare Implications
Co-author(s): Jing Zhang
Le Macroeconomics seminar & Paris trade seminar seront exceptionnellement joints. Texte intégral
Macroeconomics Seminar
Le 08/03/2012 de 16:30:00 à 18:00:00
This paper studies export dynamics in emerging markets following large devaluations. We document two main features of exports that are puzzling for standard trade models. First, given the change in relative prices, exports tend to grow gradually following a devaluation. Second, high interest rates tend to suppress exports. To address these features of export dynamics, we embed a model of endogenous export participation due to sunk and per period export costs into an otherwise standard small open economy. In response to shocks to productivity, interest rates, and the terms of trade, we find the model can capture the salient features of export dynamics documented. At the aggregate level, these features of export dynamics affect the net export and debt dynamics and thus have an impact on intertemporal borrowing and lending.
JEL classifications: E31, F12.
Keywords: Export Dynamics, Devaluation, Net Exports.
YUE Vivian (Federal Reserve Board) Export Dynamics in Large Devaluations
Co-author(s): George Alessandria & Sangeeta PratapTexte intégral
Macroeconomics Seminar
Le 16/02/2012 de 16:30:00 à 18:00:00
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we ?find little systematic relation between oil prices and the exchange rate at the monthly and quarterly frequencies. In contrast, the main contribution is to show the existence of a very short-term relationship at the daily frequency, which is rather robust and holds no matter whether we use contemporaneous (realized) or lagged oil prices in our regression. However, in the latter case the predictive ability is ephemeral, mostly appearing after instabilities have been appropriately taken into account.
J.E.L. Codes: F31, F37, C22, C53.
ROSSI Barbara (Duke University) Can Oil Prices Forecast Exchange Rates?
Co-author(s): Domenico Ferraro & Ken RogoffTexte intégral
Macroeconomics Seminar
Le 19/01/2012 de 16:30:00 à 18:00:00
BENIGNO Gianluca (LSE) Reserve Accumulation, Growth and Crises
Co-author(s): Luca Fornaro
Macroeconomics Seminar
Le 12/01/2012 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use ?fire sales by distressed equity funds during the 2007-2009 ?financial crisis to identify substantial exogenous underpricing. Firms whose stocks are most underpriced have considerably lower investment and employment than industry peers not subject to any ?fire sale discount. The causal effect of underpricing on investment is found to be largely concentrated on the most ?financially constrained ?firms.
JEL Classi?fication: G11, G14, G23
Keywords: Market Inefficiency, Fire Sales, Mutual Funds, Investment, Employment
HAU Harald (University of Geneva & Swiss Finance Institute) Real Effects of Stock Underpricing
Co-author(s) : Sandy LAITexte intégral
Macroeconomics Seminar
Le 15/12/2011 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 1s
GARETTO Stefania (Boston University) Risk, Returns, and Multinational Production
Co-author(s) : Jose L. Fillat
Macroeconomics Seminar
Le 01/12/2011 de 16:30:00 à 18:00:00
We augment a standard macroeconomic model to analyze the effects and limitations of balance sheet policies. We show that the central bank can stimulate real activity by changing the size or the composition of its balance sheet, when interest rate policy reaches its limits. Increased lending against eligible collateral allows implementing optimal discretionary policy at the zero lower bound, while changing the balance sheet composition can neutralize increases in firms’ borrowing costs. These policies are non-neutral if collateral is scarce, which is reflected by a liquidity premium. We further examine long-term bond purchases and quantify limits of balance sheet policies.
JEL classification: E32; E52; E58.
Keywords: Unconventional monetary policy, collateralized lending, quantitative easing, liquidity premium, zero lower bound.
SCHABERT Andreas (University of Dortmund) A Monetary Analysis of Balance Sheet Policies
Co-author(s) : Markus HörmannTexte intégral
Macroeconomics Seminar
Le 17/11/2011 de 16:30:00 à 18:00:00
We construct a model in which screening of heterogeneous workers by employers plays a central role in determining both the flows into and out of unemployment. Following a negative productivity shock, the share of low-skill workers in the pool of unemployed rises, and this composition effect reduces the incentive of firms to post vacancy falls, lowering job opportunities for all workers. Skill heterogeneity amplifies unemployment fluctuations in economies with small gross labor flows, or during a persistent fall in demand. The model provides a rich environment to study the implications of labor market structure for real and monetary disturbances.
JEL: E52, E58, J64
RAVENNA Federico (HEC Montréal) Business Cycles and Labor Market Flows with Skill Heterogeneity in a Monetary Policy Model
Co-auteur(s) : Carl E. WalshTexte intégral
Macroeconomics Seminar
Le 10/11/2011 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
Schumpeter stated that “wave-like fluctuations in business...are the form economic development takes in the era of capitalism.” This paper argues that observed long lags in the implementation of innovations make modern economies to behave consistently with Schumpeter’s statement. In a simple endogenous growth model with implementation delays, the paper finds that: First, the equilibrium path admits a Hopf bifurcation where consumption, R&D and output permanently fluctuate. Innovations arrive en masse, moving the economy to a boom; the associated increase in purchasing power all over the business sphere induces research activities to flourish again; but, innovations will take a while to develop; when the new wave of innovations is eventually implemented, new products enter the market producing a second boom; a third will follow, then a forth and so on and so for. Second, this mechanism is quantitatively consistent with US aggregate data. Finally, a procyclical R&D subsidy rate moving around 10% and designed to half consumption fluctuations increases the growth rate from 2.4% to 3.4% with a 9.6% increase in welfare, 6.3% of the welfare gains due to consumption smoothing.
JEL Classification O3, E32
Keywords Endogenous growth; endogenous fluctuations; innovation implementation; time delays; medium term cycles; Hopf bifurcation
LICANDRO Omar (Institut d'Anàlisi Econòmica) Endogenous Growth and Wave-Like Business Fluctuations
Co-auteur(s) : Mauro BambiTexte intégral
Macroeconomics Seminar
Le 20/10/2011 de 16:30:00 à 18:00:00
When the zero lower bound on nominal interest rates binds, monetary policy cannot provide appropriate stimulus. We show that in the standard New Keynesian model, tax policy can deliver such stimulus at no cost and in a time-consistent manner. There is no need to use inefficient policies such as wasteful public spending or future commitments to low interest rates.
Key words: Zero Bound; Fiscal policy; Monetary policy; Sticky prices.
JEL classification: E31; E40; E52; E58; E62; E63.
TELES Pedro (Universidade Catolica Portuguesa, Banco de Portugal) Unconventional Fiscal Policy at the Zero Bound
Co-auteur(s) : Isabel Correia, Emmanuel Farhi & Juan Pablo NicoliniTexte intégral
Macroeconomics Seminar
Le 13/10/2011 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), 6t
This paper shows how the rise in individual income risk in the US since the 1980s could help explain the fall in its foreign asset position. The key to this result is endogenous - nancial deepening in an open economy where individuals can default on contracts, at the price of exclusion from nancial trade. More volatile income makes default less attractive, and thus allows higher borrowing against future income. In a closed economy, this im- proves consumption smoothing across volatile income realisations (Krueger and Perri 2006). I show analytically how, in an open economy, relaxed default constraints from higher risk can decrease stationary asset demand with potentially no e ect on consumption insurance, determined by world interest rates. In a quantitative two country general equilibrium anal- ysis, the observed rise in individual risk in the US strongly lowers its foreign asset demand. This is reinforced by a precautionary savings glut" from increased income volatility in an emerging economy, calibrated to the evolution of individual inequality in China, where the absence of insurance markets leaves no room for nancial deepening.
JEL Classi cation Codes: D31, D52, E21, F21, F41
Keywords: Current Account, Global Imbalances, Heterogeneous Agents, Inequality, Incom- plete Markets, Participation Constraints, Default
BROER Tobias (Institute for International Economic Studies) Domestic or global imbalances? Rising inequality and the fall in the US current accountTexte intégral
Macroeconomics Seminar
Le 06/10/2011 de 16:30:00 à 18:00:00
How important is the role of credit availability in inflating asset prices? And does greater credit availability make the economy more sensitive to changes in sentiment or fundamentals? In this paper we address these questions by examining the rise (and fall) of farm land prices in the United States in the early twentieth century, attempting to identify the separate effects of changes in fundamentals and changes in the availability of credit on land prices. We find that credit availability likely had a direct effect on inflating land prices. Credit availability may have also amplified the relationship between the perceived improvement in fundamentals and land prices. When fundamentals turned down, however, areas with higher ex ante credit availability suffered a greater fall in land prices, and experienced higher bank failure rates. We draw lessons for regulatory policy.
RAMCHARAN Rodney (Federal Reserve Board) The Anatomy of a Credit Crisis: The Boom and Bust in Farm Land Prices in the United States in the 1920s
Co-auteur(s) : Raghuram RajanTexte intégral
Macroeconomics Seminar
Le 19/09/2011 de 16:30:00 à 18:00:00
MSE Campus (106-112 boulevard de l'Hôpital, 75013 Paris), Ro
VIOLANTE Gianluca (New York University) Measuring Mismatch in the US Labor Market
Co-auteur(s) : Aysegül Sahin, Joseph Song & Giorgio TopaTexte intégral
Macroeconomics Seminar
Le 08/09/2011 de 16:30:00 à 18:00:00
HOPENHAYN Hugo (UCLA) Equilibrium Default
Co-auteur(s) : Ivan WERNINGTexte intégral
Macroeconomics Seminar
Le 30/06/2011 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
WOODFORD Michael (Columbia University) Monetary Policy and Financial Stability
Macroeconomics Seminar
Le 27/06/2011 de 12:30:00 à 13:30:00
MSE - Salle 115 - 106 boulevard de l'Hôpital 75013 Paris
LOUNGANI Prakash (FMI) New Evidence on Cyclical and Structural Sources of Unemployment
Co-auteur(s) : Jinzhu Chen, Prakash Kannan & Bharat Trehan
Macro Seminar & Macro Workshop jointsTexte intégral
Macroeconomics Seminar
Le 23/06/2011 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
Business cycles reflect changes over time in the amount of trade between individuals. In this paper we illustrate how incorporating explicitly intra-temporal gains from trade between individuals into a macroeconomic model can provide new insight into the potential mechanisms driving economic fluctuations as well as modify key policy implications. In particular, we show how a "gains from trade" approach can easily explain why changes in perceptions about the future can cause booms and bust, and we discuss under what conditions government spending can have a similar effect. While much of our analysis is conducted in a flexible price environment,we also present implications of our model for a sticky price environments. The source of the explicit gains from trade in our setup derive from assuming that in the short run workers are not perfectly mobile across all sectors of the economy. We provide evidence from the PSID in support of this modeling assumption.
PORTIER Franck (Toulouse School of Economics) Explicit Gains from Trade and Macroeconomic Fluctuations
Co-auteur(s) : Paul Beaudry
Macroeconomics Seminar
Le 16/06/2011 de 16:30:00 à 18:00:00
MSE - Salle 117 (1er étage) - 106 boulevard de l'Hôpital 750
HELLERSTEIN Rebecca (Federal Reserve Bank of New York) Global Bond Risk PremiumsTexte intégral
Macroeconomics Seminar
Le 09/06/2011 de 16:30:00 à 18:00:00
MSE - Salle 117 - 106 boulevard de l'Hôpital 75013 Paris
PAPELL David (University of Houston) Phoenix Taylor Rule Exchange Rate Forecasting During the Financial Crisis
Co-auteur(s) : Tanya MolodtsovaTexte intégral
Macroeconomics Seminar
Le 26/05/2011 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
LAGOS Ricardo (New York University) Trade Dynamics in the Market for Federal Funds
Co-auteur(s) : Gara M. AfonsoTexte intégral
Macroeconomics Seminar
Le 12/05/2011 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
EICHENBAUM Marty (Northwestern University) Understanding Booms and Busts in Housing Markets
Co-auteur(s) : Craig Burnside & Sergio RebeloTexte intégral
Macroeconomics Seminar
Le 05/05/2011 de 16:30:00 à 18:00:00
GALI Jordi (CREI) Unemployment in an Estimated New Keynesian Model
Co-auteur(s) : Frank Smets & Rafael WoutersTexte intégral
Macroeconomics Seminar
Le 28/04/2011 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
KIYOTAKI Nobuhiro (LSE) Financial Crises, Bank Risk Exposure and Government Financial Policy
Co-auteur(s) : Mark Gertler & Albert QueraltoTexte intégral
Macroeconomics Seminar
Le 07/04/2011 de 16:30:00 à 18:00:00
BOUAKEZ Hafedh (HEC Montréal) Measuring the Effects of Fiscal Policy
Co-auteur(s) : Foued Chihi & Michel NormandinTexte intégral
Macroeconomics Seminar
Le 31/03/2011 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
ADAM Klaus (University of Mannheim) House Price Booms and the Current Account
Co-auteur(s) : Albert Marcet & Pei KuangTexte intégral
Macroeconomics Seminar
Le 24/03/2011 de 10:30:00 à 12:00:00
POUZO Demian (University of California) Sovereign Default Risk and Uncertainty Premia
Co-auteur(s) : Ignacio PresnoTexte intégral
Macroeconomics Seminar
Le 17/03/2011 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
DEN HAAN Wouter (University of Amsterdam) The Role of Debt and Equity Finance over the Business Cycle
Co-auteur(s) : Francisco CovasTexte intégral
Macroeconomics Seminar
Le 03/03/2011 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
SCHMID Lukas (Duke University) Innovation, Growth and Asset Pricing
Co-auteur(s) : Howard KungTexte intégral
Macroeconomics Seminar
Le 10/02/2011 de 16:30:00 à 18:00:00
SHIMER Robert (University of Chicago) Wage Rigidities and Jobless RecoveriesTexte intégral
Macroeconomics Seminar
Le 27/01/2011 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
RIBONI Alessandro (University de Montréal) Legal Institutions, Innovation and Growth
Co-auteur(s) : Luca Anderlini, Leonardo Felli & Giovanni ImmordinoTexte intégral
Macroeconomics Seminar
Le 20/01/2011 de 11:00:00 à 12:00:00
MSE - Salle 114 - 106 boulevard de l'Hôpital 75013 Paris
LOISEL Olivier (Banque de France) Monetary policy and herd behavior in new-tech investment
Co-auteur(s) : Aude Pommeret & Franck Portier
Joint with a CNRS RECRUITMENT SEMINARTexte intégral
Macroeconomics Seminar
Le 13/01/2011 de 11:00:00 à 12:30:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
BENATI Luca (Banque de France) Are Policy Counterfactuals Based on Structural VARs Reliable?Texte intégral
Macroeconomics Seminar
Le 17/12/2010 de 10:30:00 à 12:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
GOURIO François (Boston University) Credit Risk and Disaster Risk
SEANCE EXCEPTIONNELLETexte intégral
Macroeconomics Seminar
Le 16/12/2010 de 16:30:00 à 18:00:00
LEON-LEDESMA Miguel (University of Kent) Shocking Stuff: Technology, Hours, and Factor Substitution
Co-auteur(s) : Cristiano Cantore, Peter McAdam & Alpo WillmanTexte intégral
Macroeconomics Seminar
Le 10/12/2010 de 10:30:00 à 12:00:00
FARMER Roger (University of California) Animal Spirits, Persistent Unemployment and the Belief Function
SEANCE EXCEPTIONNELLETexte intégral
Macroeconomics Seminar
Le 09/12/2010 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
KARADI Peter (Central Bank of Hungary) A Model of Unconventional Monetary Policy
Co-auteur(s) : Mark GertlerTexte intégral
Macroeconomics Seminar
Le 07/12/2010 de 12:00:00 à 13:00:00
MSE - Salle 19 - 106 boulevard de l'Hôpital 75013 Paris
VAN RENS Thijs (CREI and Universitat Pompeu Fabra) The Vanishing Procyclicality of Labor Productivity
Co-auteur(s) : Jordi Galí Texte intégral
Macroeconomics Seminar
Le 02/12/2010 de 16:30:00 à 18:00:00
THOENIG Mathias (HEC Lausanne) War Signals: A Theory of Trade, Trust and Conflict
Co-auteur(s) : Dominic Rohnery & Fabrizio ZilibottixTexte intégral
Macroeconomics Seminar
Le 25/11/2010 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
NIMARK Kristoffer (CREI) Speculative Dynamics in the Term Structure of Interest Rates
JOINT WITH INSEADTexte intégral
Macroeconomics Seminar
Le 18/11/2010 de 16:30:00 à 18:00:00
GIANNONI Marc (Columbia University) Optimal Target Criteria for Stabilization Policy
Co-auteur(s) : Mike Woodford Texte intégral
Macroeconomics Seminar
Le 21/10/2010 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
POILLY Céline (Université Catholique de Louvain, IRES) On the Recovery Path during a Liquidity Trap: Do Financial Frictions Matter for Fiscal Multipliers?
Co-auteur(s) : Julio CarrilloTexte intégral
Macroeconomics Seminar
Le 14/10/2010 de 16:30:00 à 18:00:00
GÜRKAYNAK Refet S. (Bilkent University) How Useful are Estimated DSGE Model Forecasts for Central Bankers?
Co-auteur(s) : Rochelle EdgeTexte intégral
Macroeconomics Seminar
Le 07/10/2010 de 16:30:00 à 18:00:00
MSE - Salle du 6ème - 106 boulevard de l'Hôpital 75013 Paris
MOJON Benoît (Banque de France) Fuzzy Capital Requirements, Risk-Shifting and the Risk Taking Channel of Monetary Policy
Co-auteur(s) : Xavier Ragot & Simon Dubecq Texte intégral
Macroeconomics Seminar
Le 08/07/2010 de 16:30:00 à 18:00:00
CHAMPONNOIS Sylvain (University of California) What determines the distibution of firm sizes?
Macroeconomics Seminar
Le 01/07/2010 de 16:30:00 à 18:00:00
GOURINCHAS Pierre-Olivier (University of California) *
SEMINAIRE REPORTE AU 30 JUIN
(joint avec le lunch séminaire d'économie appliquée)
Macroeconomics Seminar
Le 25/06/2010 de 12:30:00 à 14:00:00
MSE - 6th Floor Conference Room
GOPINATH Gita (Harvard University) Trade Adjustment in Large Crises
Joint Seminar PSE/Sc Po
Co-autheur(s) : Brent NeimanTexte intégral
Macroeconomics Seminar
Le 17/06/2010 de 16:30:00 à 18:00:00
FARHI Emmanuel (Harvard University) The Political Economy of Nonlinear Capital Taxation
Co-auteur(s) : Ivan WerningTexte intégral
Macroeconomics Seminar
Le 03/06/2010 de 15:30:00 à 17:00:00
CARVALHO Vasco (CREI) The Great Diversification and its Undoing
Co-auteur (s) : Xavier Gabaix
Macroeconomics Seminar
Le 27/05/2010 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris - salle 114
VERDELHAN Adrien (Boston University ) *; () ;
La séance est annulée
Macroeconomics Seminar
Le 20/05/2010 de 16:30:00 à 18:00:00
GUIMARAES Bernardo (London School of Economics) A model of equilibrium institutions
Macroeconomics Seminar
Le 06/05/2010 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
TRIGARI Antonella (Bocconi University) *
Macroeconomics Seminar
Le 29/04/2010 de 16:30:00 à 18:00:00
CICCONE Antonio (Universitat Pompeu Fabra) Rain and the Democratic Window of Opportunity
Co-auteur(s) : Markus BrücknerTexte intégral
Macroeconomics Seminar
Le 22/04/2010 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
LAUBACH Thomas (Federal Reserve Board) Fiscal policy and interest rates in normal times and times of stress
Macroeconomics Seminar
Le 15/04/2010 de 16:30:00 à 18:00:00
COIBION Olivier (College of William & Mary) What Can Survey Forecasts Tell Us About Informational Rigidities?
Co-auteur(s) : Yuriy GorodnichenkeTexte intégral
Macroeconomics Seminar
Le 13/04/2010 de 17:00:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris - salle S18
HALE Galina (Federal Reserve Bank of San Francisco) Do banks propagate debt market shocks?
Co-auteur(s) : Joao A. C. Santos
MACRO WORKSHOPTexte intégral
Macroeconomics Seminar
Le 08/04/2010 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris - salle 114
PANAGEAS Stavros (The University of Chicago) Optimal retirement benefit guaranteesTexte intégral
Macroeconomics Seminar
Le 02/04/2010 de 14:30:00 à 16:00:00
HALL Robert (Stanford University) *
Joint Seminar PSE/Sc Po
Macroeconomics Seminar
Le 01/04/2010 de 16:30:00 à 18:00:00
HALL Robert (Stanford University) Diagnosing Consumer Confusion and Sub-Optimal Shopping Effort: Theory and Mortgage-Market Evidence
Co-auteur(s) : Susan E. WoodwardTexte intégral
Macroeconomics Seminar
Le 29/03/2010 de 17:30:00 à 19:00:00
Sciences Po - Salle H402, 28 rue des Saints Pères
LORENZONI Guido (MIT) Beauty Contests and Irrational Exuberance: A Neoclassical Approach
Co-auteur(s) : George-Marios Angeletos & Alessandro Pavan
Joint Seminar PSE/Sc PoTexte intégral
Macroeconomics Seminar
Le 18/03/2010 de 16:30:00 à 18:00:00
ORDONEZ Guillermo (Yale University) Optimal Regulation in the Presence of Reputation Concerns
Co-auteur(s) : Andrew Atkesony & Christian HellwigTexte intégral
Macroeconomics Seminar
Le 11/03/2010 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
This paper aim at creating a bridge between the classical Ramsey capital taxation literature and the more recent Mirrleesian approach to optimal wealth or asset taxation in general equilibrium. We consider environments with competitive markets for insurance in the presence of asymmetric information of the moral hazard (hidden effort) type. Insurance firms are able to observe the realization of the idiosyncratic shocks affecting agents' income but cannot observe the effort level undertaken by agents, which affects the likelihood of the individual shocks, nor the trades made by agents in the market; the contracts traded in the insurance markets are thus non exclusive. In such environments we may still have state contingent claims been traded (e.g. Arrow securities), provided only there is a different price for buying and selling such claims (i.e. a bid ask spread is allowed), and prices are otherwise linear in trades. Markets can hence potentially provide insurance and we consider the case where a complete set of Arrow securities contingent on each individual shocks are available for trade. In this set-up the market outcome is typically inefficient, even when the incentive constraints are taken into account. We study the optimal taxation in this environment. The limited information over agents' trades - in particular the anonymity of trades in the markets implies the government can only resort to linear taxes on asset trades (purchases). The government can also impose lump sum taxes or transfers. The specific form of these taxes depends in turn on the information available over agents' income shock realizations. In this regard we consider both the case where the government has the same information as insurance firms have and the case where the government can only impose deterministic lump-sum taxes. In all cases, taxes on asset trades are linear and - unlike Kocherlakota (2005) - they cannot be contingent on the ex-post realization of the individual shock. This is in accordance to the anonymity of the insurance and credit markets. The main finding is that tax on capital is typically positive and that the second best can be achieved if and only if agent's joint deviations are irrelevant (i.e., if and only if the so called 'first order approach' is valid). The idea is simple. Ex-ante taxes can be used to make the agent indifferent between not deviating and deviating only in the level of his trades (not effort). The lump-sum taxes are designed so as to induce the efficient allocation where the agent is indifferent between at least two effort levels (with no deviation in trades).
PAVONI Nicola (University College London) Ramsey Asset Taxation Under Asymmetric Information
co-auteur(s) : Piero Gottardi
Macroeconomics Seminar
Le 04/03/2010 de 16:30:00 à 18:00:00
MAYORAL Laura (Universitat Pompeu Fabra) Aggregate real exchange rate persistence through the lens of sectoral data
Co-auteur : Maria Dolores GadeaTexte intégral
Macroeconomics Seminar
Le 25/02/2010 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
Rancière Romain, romainranciere@gmail.com (Universitat Pompeu Fabra) *; () ;
La séance est annulée
Macroeconomics Seminar
Le 18/02/2010 de 16:30:00 à 18:00:00
BACCHETTA Philippe (Université de Lausanne) On the Dynamics of Leverage, Liquidity, and Risk
Co-auteur(s) : Cédric Tille & Eric van WincoopTexte intégral
Macroeconomics Seminar
Le 05/02/2010 de 12:00:00 à 13:30:00
COEURDACIER Nicolas (London Business School ) When Bonds Matter: Home Bias in Goods and Assets
Joint with Banque de France
Co-auteur(s) : Pierre-Olivier GourinchasTexte intégral
Macroeconomics Seminar
Le 04/02/2010 de 16:00:00 à 17:30:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
RENDAHL Pontus (University of California) Recursive Bargaining with Endogenous Threats
Co-auteur(s) : Ramon MarimonTexte intégral
Macroeconomics Seminar
Le 28/01/2010 de 00:00:00 à 00:00:00
Rancière Romain, romainranciere@gmail.com ()
Conference BdF-PSE-IMF les 28 et 29 janvier 2010
Macroeconomics Seminar
Le 21/01/2010 de 16:30:00 à 18:00:00
MICHAILLAT Pascal (University of California) Do matching frictions explain unemployment? Not in bad timeTexte intégral
Macroeconomics Seminar
Le 14/01/2010 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
KREBS Tom (University of Mannheim) *
Macroeconomics Seminar
Le 11/01/2010 de 17:30:00 à 19:00:00
Département d'économie de sciences po, 28 rue des Saints-Pér
MANOVSKII Iourii (University of Pennsylvania) *
Joint Seminar PSE/Sc Po
Macroeconomics Seminar
Le 10/12/2009 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
This paper analyzes the reaction of exporters to exchange rate changes. We present a model where, in the presence of distribution costs in the export market, high and low productivity firms react differently to a depreciation . Whereas high productivity firms optimally raise their markup rather than the volume they export, low productivity firms choose the opposite strategy. Hence, pricing to market is both endogenous and heterogenous. This heterogeneity has important consequences for the aggregate impact of exchange rate movements. The presence of fixed costs to export means that only high productivity firms can export, firms which precisely react to an exchange rate depreciation by increasing their export price rather than their sales. We show that this selection effect can explain the weak impact of exchange rate movements on aggregate export volumes. We then test the main predictions of the model on a very rich French firm level data set with destination-specific export values and volumes on the period 1995-2005. Our results confirm that high performance firms react to a depreciation by increasing their export price rather than their export volume. The reverse is true for low productivity exporters. Pricing to market by exporters is also more pervasive in sectors and destination countries with higher distribution costs. Consistent with our theoretical framework, we show that the probability of firms to enter the export market following a depreciation increases. The extensive margin response to exchange rate changes is modest at the aggregate level because firms that enter, following a depreciation, are smaller relative to existing firms.
JEL Classification: F12 and F41
Keywords: distribution costs, exchange rates, exports, heterogeneity, pricing to market and productivity
MARTIN Philippe (Sciences Po) How do different exporters react to exchange rate changes? Theory, empirics and aggregate implications
Co-auteur(s) : Nicolas Berman & Thierry MayerTexte intégral
Macroeconomics Seminar
Le 03/12/2009 de 16:30:00 à 18:00:00
COSTAIN James (Bank of Spain) *; () ;
La séance est annulée
Macroeconomics Seminar
Le 26/11/2009 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
In this paper we examine the effects of default and scarcity of collateralizable durable goods on risk-sharing. We assume that there is a large set of assets which all promise a risk-less payoff but which distinguish themselves by the collateral requirement. In equilibrium agents default and the assets have different payoffs. Assets with very low collateral requirements can be interpreted as sub-prime loans and these assets are often traded actively in the competitive equilibrium. If there is an abundance of commodities that can be used as collateral and if each agent owns a large fraction of these commodities, markets are complete and competitive equilibrium allocations Pareto optimal. If, on the other hand, the collateralizable durable good is scarce or if some agents do not own enough of the collateralizable durable good in the first period, markets can be endogenously incomplete, not all of the available assets are traded in the competitive equilibrium and allocations are not Pareto optimal. We give examples that show that welfare losses can be quantitatively large. We also examine the scope for government intervention. In particular we ask who in the economy gains and who loses if collateral requirements are regulated exogenously. In our examples, regulation never leads to a Pareto-improvement. Often, the rich and the poor agents gain if trade is restricted to subprime contracts and lose if trade in these contracts is not allowed.
KUBLER Félix (University of Zurich) Regulating Collateral-requirements when markets are incomplete
Co-auteur(s) : Aloisio Araujo & Susan Schommer
Macroeconomics Seminar
Le 19/11/2009 de 16:30:00 à 18:00:00
SANDLERIS Guido (Johns Hopkins University) The Costs of Emerging Market Financial Crises: Output, Productivity and Welfare
Co-auteur(s) : Mark L. J. WrightTexte intégral
Macroeconomics Seminar
Le 12/11/2009 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
An informational role of policy arises in economies where large fluctuations are triggered by self-fulfilling expectation switches between efficient "optimism" and inefficient "pessimism," a feature that is common in many dynamic economies with coordination failures. Policy affects the information about underlying fundamentals contained in aggregate outcomes, and thus affects the timing of switches and expectations of future switches. We use a problem of optimal taxation on labor income as a laboratory to study this role of policy from a positive and a normative perspective. Our main result is that a stabilization policy is ineffective after an expectation switch. Instead, policy should anticipate switches with small permanent tax cuts to extend "optimism" and severe transitory tax cuts to break "pessimism." These tax cuts should be reverted once a switch is triggered, when policy must focus on its short run objectives.
JEL codes: D8, E6, H2, H3
Keywords: optimal policy, expectation switches, coordination failures, equilibrium selection.
PASTEN Ernesto (Toulouse School of Economics) Coordination of Expectations and the Informational Role of Policy
Co-auteur(s) : Yang K. LuyTexte intégral
Macroeconomics Seminar
Le 05/11/2009 de 16:30:00 à 18:00:00
The `quantity anomalies' that arise from standard international business cycle models are cross-country correlations in consumption being higher than output, and negative comovement in aggregate investment and employment. This paper shows that incorporating multiple sectors with heterogeneous factor intensities into an otherwise standard two-country stochastic growth model can resolve these anomalies. Endogenous intratemporal trade creates an additional channel for the propagation of productivity shocks across countries, competing with the standard, `resource allocation effect'. Moreover, a country-specific technology shock can induce reallocation of resources both across industries and countries. These reallocations alter the composition of goods produced in countries over the business cycle, and can generate `procyclical' and `countercylical' sectors. An important prediction is that sectoral inputs and outputs tend to be more correlated across countries for more labor-intensive sectors. Predictions of sectoral dynamics is shown to be broadly consistent with the data.
JEL Classification: F21, F32, F41
Key Words: International Business Cycles, Multiple Sectors, Factor Proportions
JIN Keyu (London School of Economics) International Business Cycles with Heterogeneous SectorsTexte intégral
Macroeconomics Seminar
Le 29/10/2009 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
We document the cyclical properties of U.S. firms' financial ows. Equity payouts are procyclical and debt payouts are countercyclical. We develop a model with explicit roles for debt and equity financing and explore how the observed dynamics of real and financial variables are affected by `financial shocks'. Standard productivity shocks can only partially explain the movements in real and financial variables. The addition of financial shocks brings the model much closer to the data. The recent events in the financial sector show up clearly as a tightening of firms' financing conditions causing the GDP decline in 2008-09.
QUADRINI Vincenzo (University of Southern California) Macroeconomic Effects of Financial Shocks
Co-auteur(s) : Urban JermannTexte intégral
Macroeconomics Seminar
Le 22/10/2009 de 16:30:00 à 18:00:00
In this paper, we study the interaction between monetary and ?scal policies from the perspective of global analysis in a non-Ricardian economy with capital and a zero bound on the nominal interest rate. We demonstrate in this framework the possible coexistence of four steady state equilibria, each having the properties of one of the equilibria described by Leeper (1991). But whereas in Leeper (1991), an equilibrium corresponds to a particular configuration of fiscal and monetary policy-active or passive-, we obtain these four equilibria for a unique set of the policy parameter space. We show in particular that a liquidity trap-deflationary- equilibrium, which is also characterized by a high public debt-to-GDP ratio, a low capital stock and a low consumption level, owns the usually required properties for local determinacy, as well as the more traditional equilibrium targeted by the monetary and fiscal authorities. The model is calibrated based on European annual data and simulated in order to qualitatively asses the implications of a self-fulfilling expectation shock.
JEL Codes : E63; E52
Keywords : Wealth Effects, Monetary and Fiscal Rules, Public Debt, Liquidity Trap, Deflation.
GUILLARD Michel (Université d’Evry) A Simple Public Debt-DeflationTheory: Leeper revisited
Co-auteur(s) : Rym AlouiTexte intégral
Macroeconomics Seminar
Le 15/10/2009 de 16:30:00 à 18:00:00
Paris I - 106-112 Bd de l'Hôpital - 75013 Paris (6ème étage)
Age structured populations are studied in economics through overlapping generations models. These models allow for a realistic characterization of life-cycle behaviors and display intertemporal equilibrium that are not necessarily efficient. This article uses the latest developments in continuous time overlapping generations models to show the influence of the vintage structure of the population on the volatility of intertemporal prices. Permanent cycles can be found on the neighborhood of steady-states while the transitional dynamics are generically governed by short run fluctuations.
JEL Classification: D5, D9, E2.
Keywords: overlapping generations, continuous time, life-cycle, intertemporal prices.
D'ALBIS Hippolyte (Toulouse School of Economics) Continuous-Time Overlapping Generations Models
Co-auteur(s) : Emmanuelle Augeraud-Véron
Le prix Philippe Michel du jeune chercheur en dynamique économique sera remis dans le cadre du séminaire de macroéconomie à Hippolyte d’Albis et Emmanuelle Augeraud-Véron.Texte intégral
Macroeconomics Seminar
Le 25/06/2009 de 16:30:00 à 18:00:00
We study the dynamics of the distribution of wealth in an overlapping generation economy with finitely lived agents and inter-generational transmission of wealth. Financial markets are incomplete, exposing agents to both labor income and capital income risk. We show that the stationary wealth distribution is a Pareto distribution in the right tail and that it is capital income risk, rather than labor income, that drives the properties of the right tail of the wealth distribution. We also study analytically the dependence of the distribution of wealth, of wealth inequality in particular, on various fiscal policy instruments like capital income taxes and estate taxes. We show that capital income and estate taxes can significantly reduce wealth inequality. Finally, we study the effects of different degrees of social mobility on the wealth distribution.
BENHABIB J. (New York University) The distribution of wealth and fiscal policy in economies with finitely lived agents
Co-auteur(s) : A. BisinTexte intégral
Macroeconomics Seminar
Le 18/06/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
We model the interactions between sovereign and private borrowing in a small open economy. We assume that sovereign borrowing is subject to the government’s strategic default, while private borrowing relies on the country’s financial institutions. We find that the latter institutions create a complementarity between capital flows to the private and public sectors. This complementarity causes asymmetric effects of financial liberalization, which reduces sovereign risk only in countries with sufficiently good institutions, and of unanticipated global liquidity shortages, which — through government default — cause the most severe dislocations in countries with relatively weak institutions. We present empirical evidence that is broadly consistent with some of the predictions of our model.
JEL classification: G33, K22.
Keywords: Sovereign Risk, Capital Flows, Institutions, Financial Liberalization, Sudden Stops
MARTIN A. (CREI) Institutions and Foreign Finance: Sovereign and Private Flows
Co-auteur(s) : N. Gennaioli & S. RossiTexte intégral
Macroeconomics Seminar
Le 11/06/2009 de 16:30:00 à 18:00:00
MARTIN A. (Research Centre in International Economics) *; () ;
La séance est annulée
Macroeconomics Seminar
Le 04/06/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
We obtain a recursive formulation for a general class of contracting problems involving incentive constraints. These constraints make the corresponding maximization (sup) problems non recursive. Our approach consists of studying a recursive Lagrangian. Under standard general conditions, there is a recursive saddle point (infsup) functional equation (analogous to Bellman's equation) that characterizes the recursive solution for the planner's problem and the individual values. Our approach applies to a large class of dynamic contractual problems, as examples, we study the optimal policies in a model with limited enforcement and in a model with implementability constraints (as in Ramsey problems).
MARIMON R. (European University Institute) Recursive contracts
Co-auteur(s) : A. MarcetTexte intégral
Macroeconomics Seminar
Le 28/05/2009 de 16:30:00 à 18:00:00
Empirically, a higher frequency of lightning strikes is associated with slower growth in labor productivity across the 48 contiguous US states after 1990; before 1990 there is no correlation between growth and lightning. Other climate variables (e.g., temperature, rainfall, and tornadoes) do not conform to this pattern. A viable explanation is that lightning influences IT diffusion: a higher frequency of ground strikes increases IT user costs and thereby slows the spread of IT. We find that lightning indeed slows IT diffusion, conditional on standard controls. Hence, an increasing macroeconomic sensitivity to lightning may be due to the increasing importance of digital technologies for the growth process.
Keywords: Climate; IT diffusion; economic growth
JEL Classification: O33, O51, Q54
DALGAARD C. J. (University of Copenhagen) Lightning, IT Diffusion and Economic Growth across US States; () ; Co-auteur(s) : T. B. Andersen, J. Bentzen & P. Selaya
La séance est annulée
Macroeconomics Seminar
Le 21/05/2009 de 00:00:00 à 00:00:00
Rancière Romain, romainranciere@gmail.com ()
Pas de séminaire
Macroeconomics Seminar
Le 14/05/2009 de 16:30:00 à 18:00:00
In this paper, we characterize the relationship between the initial distribution of human capital and physical inheritances among individuals and the long-run distribution of these two variables. In a model with borrowing constraints and indivisible investment in education, we discuss how the initial composition of intergenerational transfers determines the posterior intergenerational mobility in human capital and the evolution of intragenerational income inequality. This analysis enables us in turn to characterize the effects of fiscal policy on future income distribution, intergenerational mobility, and economic performance when the composition of intergenerational transfers is endogenous.
JEL classification codes: D64, E21, E13, E62
Keywords: Altruism, Intergenerational Transfers, Human Capital, Income Distribution.
CABALLE J. (Universitat Autonoma de Barcelona) Fiscal policy, composition of intergenerational transfers, and income distribution
Co-auteur(s) : J. Alonso-Carrera & Xavier RaurichTexte intégral
Macroeconomics Seminar
Le 07/05/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
We ask whether the story of evolving Federal Reserve beliefs in The Conquest of American Inflation can simultaneously explain the Great Inflation and the forecasts published in the Greenbook during that time. If Sargent is correct and the Great Inflation was caused by the Federal Reserve learning the Phillips curve, then evolving beliefs should be reflected not only in policy outcomes but also in Greenbook forecasts. In our estimations they are. By conditioning on the Greenbook, we show that both inflation outcomes and Greenbook forecasts can be rationalised by the evolution of beliefs. Our results improve on recent empirical evidence that has been criticised for relying on unrealistic beliefs that produces forecasts inconsistent with the Greenbook.
JEL classification: E52, E58, E65
Keywords: Great Inflation, Greenbook, Learning, Monetary Policy
ELLISON M. (University of Oxford) The Great Inflation and the Greenbook
Co-auteur(s) : G. CarboniTexte intégral
Macroeconomics Seminar
Le 04/05/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, salle B31
We formulate a general equilibrium matching model with spell-dependent unemployment benefits and endogenous search effort. The model gives rise to an endogenous distribution of unemployment duration characterized by a time-varying hazard function. Using methods from the literature on Semi-Markov processes, we obtain an expression for the aggregate unemployment rate under heterogeneous search effort. We perform structural estimation of the model using a German micro-data set (SOEP) and discuss the effects of the recent unemployment benefit reform (Hartz IV). Our results show that although the reform and eco- nomic growth have contributed to the reduction of the aggregate unemployment rate, aggregate welfare has gone down.
JEL Codes: J 65, J 64, C 13
Keywords: Non-stationary unemployment benefits, general equilibrium matching model, structural estimation, Semi-Markov process
WAELDE K. (University of Glasgow) Estimating incentive and welfare effects of non-stationary unemployment benfits
Co-auteur(s) : A. Launov & I. SchummTexte intégral
Macroeconomics Seminar
Le 30/04/2009 de 16:30:00 à 18:00:00
We propose a simple spatial model to explain why the price level is higher in rich countries. There are two sectors: manufacturing, which is freely tradable, and nontradable services, which have to locate near customers in big cities. As countries develop, total factor productivity increases simultaneously in both sectors. However, because services compete with the population for scarce land, labor productivity will grow slower in services than in manufacturing. Services become more expensive, and the aggregate price level becomes higher. The model hence provides a theoretical foundation for the Balassa–Samuelson assumption that productivity growth is slower in the non-tradable sector than in the tradable sector. Empirical results confirm two key implications of the theory. First, we compare countries where land is scarce (densely populated, highly urban countries) to rural countries. The Balassa–Samuelson effect is stronger among urban countries. Second, we compare sectors that locate at different distance to consumers. The Balassa–Samuelson effect is stronger within sectors that locate closer to consumers.
KOREN M. (Central European University) A Spatial Explanation for the Balassa–Samuelson Effect
Co-auteur(s) : P. KarádiTexte intégral
Macroeconomics Seminar
Le 23/04/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
In this paper, we address two questions: (i)Why do developing countries with the highest growth rates export capital; and (ii) Why are some countries unable or unwilling to pursue the high growth/low debt strategies that has proven successful for many “miracle” economies. The model we study is a small open economy subject to political economy and contracting frictions. The political economy frictions involve polarization and political turnover, while the contracting friction is a lack of commitment regarding foreign debt and expropriation. We show that the political economy frictions induce growth dynamics in a limited-commitment environment that would otherwise move immediately to the steady state. In particular, greater polarization corresponds to a high tax rate on investment, which declines slowly over time, generating slow convergence to the steady state. Moreover, while political frictions shorten the horizon of the government, the government may still pursue a path of tax rates in which the first best investment is achieved in the long run, although the transition may be slow. The model rationalizes why openness has different implications for growth depending on the political environment, why institutions such as respect for property rights evolve over time, why governments in open countries that grow rapidly tend to accumulate net foreign assets rather than liabilities, and why foreign aid does not affect growth.
AGUIAR M. (University of Rochester) Growth in the Shadow of Expropriation
Co-auteur(s) : M. AmadorTexte intégral
Macroeconomics Seminar
Le 16/04/2009 de 16:30:00 à 18:00:00
The relationship between asset prices and fundamentals is characterized by both disconnect and predictability: asset prices are largely disconnected from current publicly observed fundamentals and at the same time contain information about future fundamentals, even when conditioning on current fundamentals. Previous research has shown that both aspects can be explained by dispersed private information. In this paper we document these same features for international capital flows. We show that this can be explained by introducing information dispersion into recently developed open economy dynamic general equilibrium models encompassing portfolio choice. A calibration exercise shows that these features are quantitatively significant.
JEL classification: F32, F36, F41
Keywords: international capital flows, information dispersion
TILLE C. (HEI) Disconnect and Information Content of International Capital Flows: Evidence and Theory
Co-auteur(s) : E. van WincoopTexte intégral
Macroeconomics Seminar
Le 09/04/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
GRANDMONT J.M. (CREST) Negishi-Solow efficiency wages, unemployment insurance and stochastic endogenous Keynesian unemployment business cycles
Macroeconomics Seminar
Le 02/04/2009 de 16:30:00 à 18:00:00
The current financial crisis poses severe challenges for central bank policymaking; but the widely-used DSGE paradigm - designed to help control inflation - seems illsuited to understanding the origins of the crisis or designing measures to resolve it. The relevant macroeconomic framework must surely include high leverage and overvalued collateral assets, with capital restructuring the key to crisis resolution. The usual ‘bankruptcy’ procedures for doing this are not, however, designed to handle macro shocks hitting the whole economy : they would fail to internalise the price effects of asset ‘fire-sales’ required to satisfy margin calls. We use a simple model of credit-constrained borrowers to show how “super” Chapter 11 procedures can play a crucial role in preventing an asset price correction triggering widespread economic collapse. (Timely cuts in interest rates - which act as transfers from lenders to borrowers - can also help.) To cope with the financial shock, balance sheets need ‘restructuring’: what about the micro-foundations of conventional macroeconomics?
JEL Classification: E32, G21, G32, G33, and O54
Keywords: Credit constraints, leverage, asset bubbles, crisis resolution, interest rates.
MILLER M. (The university of Warwick) Leverage and Asset Bubbles: Averting Armageddon with Chapter 11?
Co-auteur(s) : J. StiglitzTexte intégral
Macroeconomics Seminar
Le 26/03/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
We consider a world in which individuals have private endowments and trade in markets, while their utility is negatively affected by the consumption of their neighbors. Our interest is in understanding how social structure of comparisons, taken together with the familiar fundamentals of the economy – endowments, technology and preferences – shapes equilibrium prices, allocations and welfare. We show that equilibrium prices and consumptions are a function of a single network statistic: centrality. An individual’s ‘centrality’ is given by the weighted sum of paths of different lengths to all others in a social network. In particular, prices are proportional to sum of centralities, while an individual’s consumption depends on how central she is relative to others in the network. Inequalities in wealth and connections reinforce each other in markets: a transfer of resources from less to more central agents raises prices. As segregated communities become integrated the poor lose while the rich gain in utility!
GHIGLINO C. (University of Essex) Keeping up with the neighbors: social interaction in a market economy
Co-auteur(s) : S. GoyalTexte intégral
Macroeconomics Seminar
Le 19/03/2009 de 16:30:00 à 18:00:00
This paper develops a tractable model of economic growth with human capital risk and limited enforcement/ commitment. The paper shows how recursive equilibria can be exactly computed by solving a convex, finite-dimensional fixed point problem, and proves the existence of recursive equilibria by proving the existence of a solution the finite-dimensional fixed point problem. The paper also shows that a calibrated version of the model is consistent with some important empirical facts about individual income and consumption. In particular, the model replicates the strong response of individual consumption to permanent (highly persistent) income shocks that has been documented by recent micro studies. The calibrated model implies that any government policy that improves the enforcement of risk sharing arrangements/contracts has substantial effects on economic growth and welfare.
KREBS T. (Universität Mannheim) Risk Sharing in Human Capital Models with Limited Enforcement; () ; Co-auteur(s) : M. Wright
La séance est annulée
Macroeconomics Seminar
Le 12/03/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
Recent empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on stock prices: a 25-basis point increase in the Fed funds rate is associated with an immediate decrease in broad stock indices that may range from 0.6 to 1.7 percent, followed by a gradual decay as stock prices revert towards their long-run expected value. In this paper, we assess the ability of a general equilibrium New Keynesian asset-pricing model to account for these facts. The model we consider allows for staggered price and wage setting, as well as time-varying risk aversion through habit formation. We find that the model predicts a stock market response to policy shocks that matches empirical estimates, both qualitatively and quantitatively. However, the model seems to underestimate the contribution of time-varying expected excess returns in generating the current response of ex post excess returns to the shock. Our findings are robust to a range of variations and parameterizations of the model.
Keywords: Monetary policy; Asset prices; New Keynesian general equilibrium model
JEL Classification: E31, E52, G12
GIANNITSAROU C. (University of Cambridge) Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach
Co-auteur(s) : E. ChalleTexte intégral
Macroeconomics Seminar
Le 05/03/2009 de 16:30:00 à 18:00:00
Using data on a panel of 56 democratic countries in the period 1975-2004, we find evidence of a negative association between political stability and economic growth which is stronger and empirically more robust in countries with high bureaucratic costs. Motivated by these results, which contrast with previous contributions, we develop a model of growth with quality improvements where political connections with long-term politicians can be exploited by low-quality producers to defend their monopoly position and prevent innovation and entry of high-quality competitors.This requires that the incumbent politician remains in office and that the red-tape cost advantage granted by political connections is large relative to the quality upgrade related to innovation. Consistently with our empirical findings, the model delivers a negative association between the probability that the incumbent politician remains in office and average economic growth in the presence of high bureaucratic costs.
BELLETTINI G. (University of Bologna) Political persistence, connections and economic growth
Co-auteur(s) : C. Berti Ceroni & G. PraroloTexte intégral
Macroeconomics Seminar
Le 26/02/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
We construct a model of evolutionary or reinforcement learning, where boundedly rational agents choose from a few simple rules for price prediction, such as naive, adaptive or trend following expectations. Agents update their active rule by evolutionary selection based upon forecasting errors. Simulations show that after some initial learning phase, coordination on a common rule occurs. Which rule survives evolutionary selection depends on the initial conditions, particularly on the price pattern in the first few periods and the initial shares of agents attached to the rules. Consequently, evolutionary learning exhibits path dependence and different patterns of realized prices are generated, explaining the results of the recent experiment on expectations formation in a standard asset pricing setting (Hommes, Sonnemans, Tuinstra and Van de Velden, 2005). Tuning the parameters, these patterns can be made both qualitatively and quantitatively close to those observed in the experiments. We thus provide an explanation of the experimental findings using a low dimensional nonlinear deterministic model with few parameters.
Keywords: Learning, Heterogeneous Expectations, Expectations Feedback, Experimental Economics
HOMMES C. (Universiteit van Amsterdam) Evolutionary Selection of Individual Expectations and Aggregate Outcomes
Co-auteur(s) : M. AnufrievyTexte intégral
Macroeconomics Seminar
Le 19/02/2009 de 16:30:00 à 18:00:00
Shocks to investment-specific technology have been identified as a main source of U.S. aggregate output volatility. In this paper we assess the contribution of these shocks to the volatility of labor market variables, namely, unemployment, vacancies, tightness and the job- finding rate. Thus, our paper contributes to a recent body of literature assessing the ability of the search-and-matching model to account for the large volatility observed in labor market variables. To this aim, we solve a neoclassical economy with search and matching in the labor market, where neutral and investment-specific technologies are subject to shocks. The three key features of our model economy are: i) Firms are large, in the sense that they employ many workers. ii) Adjusting capital and labor is costly. iii) Wages are the outcome of an intra-firm Nash-bargaining problem between the firm and its workers. In our calibrated economy, we find that shocks to investment-specific technology explain 40 percent of the observed volatility in U.S. labor productivity. Moreover, these shocks generate relative volatilities in vacancies and the workers' job ¯nding rate which match those observed in U.S. data. Relative volatilities in unemployment and labor market tightness are 55 and 75 percent of their empirical values, respectively.
Keywords: Business Cycles; Labor Market Fluctuations; Investment-Specific Technical Change; Search and Matching; Adjustment Costs; Wage Bargaining.
JEL Classification Numbers: E22; E24; E32; J41; J64; O33.
ORTIGUEIRA S. (European University Institute) Labor-Market Volatility in the Search-and-Matching Model: The Role of Investment-Specific Technology Shocks
Co-auteur(s) : R. FacciniTexte intégral
Macroeconomics Seminar
Le 12/02/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
What is the relationship between interest rates and the exchange rate? The empirical literature in this area has been inconclusive. We use an optimizing model of a small open economy to rationalize the mixed empirical findings. The model has three key margins. First, higher domestic interest rates raise the demand for deposits, and, hence, the money base. Second, firms need bank loans to finance the wage bill, which reduces output when domestic interest rates increase. Lastly, higher interest rates raise the government’s fiscal burden, and, therefore, can lead to higher expected inflation. While the first effect tends to appreciate the currency, the remaining two effects tend to depreciate it. We then conduct policy experiments using a calibrated version of the model and show the central result of the paper: the relationship between interest rates and the exchange rate is non-monotonic. In particular, the exchange rate response depends on the size of the interest rate increase and on the initial level of the interest rate. Moreover, we show that the model can replicate the heterogeneous responses of the exchange rate to interest rate innovations in several developing economies.
JEL Classification: F3, F4
Keywords: Interest rate policy, flexible exchange rates, currency depreciation
VEGH C. (University of Maryland) Interest Rates and the Exchange Rate: A Non-Monotonic Tale
Co-auteur(s) : V. Hnatkovska & Am. Lahiri Texte intégral
Macroeconomics Seminar
Le 05/02/2009 de 16:30:00 à 18:00:00
Rancière Romain, romainranciere@gmail.com ()
SEMINAIRE REMPLACE PAR UN SEMINAIRE DE RECRUTEMENT
Macroeconomics Seminar
Le 22/01/2009 de 15:30:00 à 17:00:00
We document that an increase in government purchases generates a rise in con- sumption, the real and the product wage, and a fall in the markup. This evidence is robust across alternative empirical methodologies used to identify innovations in government spending (structural VAR vs. narrative approach). Simultaneously accounting for these facts is a formidable challenge for a neoclassical model, which relies on the wealth effect on labor supply as the main channel of transmission of un- productive government spending shocks. The goal of this paper is to explore further the role of the wealth effect in the transmission of government spending shocks. To this end, we build an otherwise standard business cycle model with price rigidity, in which preferences can be consistent with an arbitrarily small wealth effect on labor supply, and highlight that such effect is linked to the degree of complementarity be- tween consumption and hours. The model is able to match our empirical evidence on the effects of government spending shocks remarkably well. This happens when the preferences are such that the positive wealth effect on labor supply is small and therefore the negative wealth effect on consumption is, somewhat counterintuitively, large.
Keywords: Government spending, private consumption, wealth effect, markup.
JEL Classification Numbers: D91, E21, E62.
MONACELLI T. (Università Bocconi) Fiscal Policy, Wealth Effects and Markups
Co-auteur(s) : R. PerottiTexte intégral
Macroeconomics Seminar
Le 15/01/2009 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
BRITO P. (Universidade Técnica de Lisboa) Equilibrium asset prices and bubbles in a continuous time OLG modelTexte intégral
Macroeconomics Seminar
Le 18/12/2008 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation combines two ingredients: the possibility of rare economic disasters, and an asset view of the exchange rate. Our model is frictionless, has complete markets, and works for an arbitrary number of countries. In the model, rare worldwide disasters can occur and affect each country’s productivity. Each country’s exposure to disaster risk varies over time according to a mean-reverting process. Risky countries command high risk premia: they feature a depreciated exchange rate and a high interest rate. As their risk premium mean reverts, their exchange rate appreciates. Therefore, currencies of high interest rate countries appreciate on average. To make the notion of disaster risk more implementable, we show how options prices might in principle uncover latent disaster risk, and help forecast exchange rate movements. We then extend the framework to incorporate two factors: a disaster risk factor, and a business cycle factor. We calibrate the model and obtain quantitatively realistic values for the volatility of the exchange rate, the forward premium puzzle regression coefficients, and near-random walk exchange rate dynamics. Finally, we solve a model of stock markets across countries, which yields a series of predictions about the joint behavior of exchange rates, bonds, options and stocks across countries. The evidence from the options market appears to be supportive of the model.
(JEL: E43, E44, F31, G12, G15)
GABAIX X. (New York University) Rare Disasters and Exchange Rates
Co-auteur(s) : E. FarhiTexte intégral
Macroeconomics Seminar
Le 11/12/2008 de 16:30:00 à 18:00:00
CHAMPONNOIS S. (University of California San Diego) Bank competition and economic stability: the role of monetary policyTexte intégral
Macroeconomics Seminar
Le 04/12/2008 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
ENGEL C. (University of Wisconsin) Currency Misalignments and Optimal Monetary Policy: A ReexaminationTexte intégral
Macroeconomics Seminar
Le 27/11/2008 de 15:30:00 à 17:00:00
Anticipated Growth and Business Cycles in Matching Models
Positive news about future productivity growth causes a contraction in most neoclassical business cycle models, which is counterfactual. We show that a business cycle model that incorporates the standard matching framework can generate an expansion. Although the wealth effect of an increase in expected productivity induces workers to reduce their labour supply, the matching friction has the opposite effect leaving labour supply roughly unaffected. Employment increases because the matching friction also induces firms to post more vacancies. This translates into additional resources, which makes it possible for both consumption and investment to increase in response to positive news about future productivity growth before the actual increase in productivity materializes.
JEL Classification: E24, E32 and J41
Keywords: labour force participation, Pigou cycles and productivity growth
DEN HAAN W. (University of Amsterdam) Anticipated Growth and Business Cycles in Matching Models
Co-auteur(s) : G. KaltenbrunnerTexte intégral
Macroeconomics Seminar
Le 20/11/2008 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
DIXON H. (Cardiff Business School) Non-smooth Dynamics and Multiple Equilibria in a Cournot-Ramsey Model with Endogenous Markups
Co-auteur(s) : P. Britoa & L. CostaTexte intégral
Macroeconomics Seminar
Le 13/11/2008 de 16:30:00 à 18:00:00
This paper studies loan activity in a context where banks have to follow Basel Accord type rules and need to find financing with the households. Loan activity typically decreases when investment returns of entrepreneurs decline, and we study which type of policy could revigorate an economy in a trough. We find that active monetary policy increases loan volume even when the economy is in a good shape, while introducing active capital requirement policy can be effective as well if it implies tightening of regulation in bad times. This is performed with an heterogeneous agent economy with occupational choice, financial intermediation and aggregate shocks to the distribution of entrepreneurial returns.
Keywords: Bank Capital Channel, Capital Requirements, Basel Accord, Occupational Choice, Bankruptcy, Credit Crunch.
JEL Classification: E44, E22, G28, E58
ZIMMERMANN C. (University of Connecticut) Basel Accord and Financial Intermediation: The Impact of Policy
Co-auteur(s) : M. BercaTexte intégral
Macroeconomics Seminar
Le 06/11/2008 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
CHERON A. (Université du Maine) Turbulence, Training and Unemployment: Do we need higher training subsidies?
Co-auteur(s) : P. BelanTexte intégral
Macroeconomics Seminar
Le 30/10/2008 de 16:30:00 à 18:00:00
The aim of this paper is to see how successful the current workhorse DSGE model of business cycle fluctuations can be in replicating the stylized facts above, without resorting to any kind of irrationality or imperfect credibility/information. We will show that: (i) a credible disinflation cause a prolonged slump; (ii) the SR resulting from the model simulations are well within the range of the estimated SRs in the literature; (iii) the model exhibits the property that SR decreases with average inflation. Finally, we perform a rigorous welfare evaluation of the costs of a disinflation, constructing a welfare based SR.
JEL classification: E31, E5.
Keywords: Disinflation, Sacrifice ratio, Nonlinearities
ASCARI G. (Univ. of Pavia) Sacrifice Ratio or Welfare Gain Ratio? Disinflation in a DSGE monetary model
Co-auteur(s) : T. Ropele - Séminaire conjoint avec la Banque de FranceTexte intégral
Macroeconomics Seminar
Le 23/10/2008 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
This paper shows how US monetary policy contributed to the drop in the volatility of US output fluctuations and to the decoupling of household investment from the business cycle. I estimate a model of household investment, an aggregate of non durable consumption and corporate sector investment, inflation and a short-term interest rate. Subsets of the models? parameters can vary along independent Markov Switching processes. A specific form of switches in the monetary policy regimes, i.e. changes in the size of monetary policy shocks, affect both the correlation between output components and their volatility. A regime of high volatility in monetary policy shocks, that spanned from 1970 to 1975 and from 1979 to 1984 is characterized by large monetary policy shocks contributions to GDP components and by a high correlation of household investment to the business cycle. This contrasts with the 1960's, the 1976 to 1979 period and the post 1984 era where monetary policy shocks have little impact on the fluctuations of real output.
Keywords: business cycle volatility, monetary policy, Markov Switching VAR
JEL classification: E3 E5
MOJON B. (Banque de France) Monetary Policy, Output Composition and the Great ModerationTexte intégral
Macroeconomics Seminar
Le 16/10/2008 de 16:30:00 à 18:00:00
Rancière Romain, romainranciere@gmail.com () *; () ;
La séance est annulée
Macroeconomics Seminar
Le 09/10/2008 de 16:30:00 à 18:00:00
MSE, 106-112 boulevard de l'Hôpital, 6ème étage
This article investigates the causes of the reduction of the labor force participation of the old. We argue that the changes in social security policy, in technology and in demography may account for the most of the changes in retirement over the second part of the last century in the U.S. economy. We develop a dynamic general equilibrium model with endogenous retirement that embeds social security legislation. The model is able to match very closely the increase in the retirement rate of males aged 65 and older. It is also quantified the isolated impact on retirement and on the solvency of social security system of the different factors. The model suggests that technological and demographic changes had a strong influence on retirement, so that it would have increased significantly even if the social security rules had not changed. However, as the latter became much more generous in the past, changes in social security policy can accounts not only for a sizable part of the expansion of retirement but also for the most of the observed increase in the benefits paid-output ratio.
Key words: social security; aging population; technology; retiment decision.
JEL classification: D11; B12
CAVALCANTI FERREIRA P. (EPGE-Fundação Getulio Vargas) The Effect of Social Security, Demography and Technology on Retirement
Co-auteur(s) : M. Rodrigues dos SantosTexte intégral
Macroeconomics Seminar
Le 03/07/2008 de 16:30:00 à 18:00:00
Estimates of the elasticity of substitution between domestic and foreign varieties are small in macroeconomic data, but substantially larger in disaggregated microeconomic studies. This may be an artifact of heterogeneity. We use disaggregated multilateral trade data to structurally identify imports elasticities in the US.We spell out a partial equilibrium model to aggregate them adequately at the country level. We compare aggregate elasticities that impose equality across sectors, to estimates allowing for heterogeneity. The former are similar in value to conventional macroeconomic estimates; but they are more than twice larger -up to 5 - with heterogeneity. The parameter is central to calibrated models in most of international economics. We discuss the difference our corrected estimate makes in various areas of international economics, including the dynamics of external balances, the international transmission of shocks, international portfolio choice and optimal monetary policy.
IMBS Jean (Universite de Lausanne) Elasticity Optimism
Co-auteur: Isabelle MEJEAN, Ecole Polytechnique // Séminaire joint Macroéconomie PSE-Paris I / TRADE
Macroeconomics Seminar
Le 26/06/2008 de 16:30:00 à 18:00:00
WEILL Pierre-Olivier (UCLA) Learning from Prices: Public Communication and Welfare
Manuel AMADOR, Stanford
Macroeconomics Seminar
Le 12/06/2008 de 17:30:00 à 18:00:00
MURTIN F. (Stanford Univ.) Convexities of Growth: a Resolution of the Krueger-Lindahl Puzzle
Co-auteur: Philippe AGHION (Harvard University)
Macroeconomics Seminar
Le 29/05/2008 de 16:30:00 à 18:00:00
Univ. Paris 1-Panthéon-Sorbonne (MSE), (6th floor)
Search theory routinely assumes that decisions about the acceptance/rejection of job o¤ers (and, hence, about labor market movements between jobs or across employment states) are made by individuals acting in isolation. In reality, the vast majority of workers are somewhat tied to their partners? in couples and families? and decisions are made jointly. This paper studies, from a theoretical viewpoint, the joint job-search and location problem of a household formed by a couple (e.g., husband and wife) who perfectly pool income. The objective of the exercise, very much in the spirit of standard search theory, is to characterize the reservation wage behavior of the couple and compare it to the single-agent search model in order to understand the rami?cations of partnerships for individual labor market outcomes and wage dynamics. We focus on two main cases. First, when couples are risk averse and pool income, joint-search yields new opportunities? similar to on-the-job search? relative to the single-agent search. Second, when couples face o¤ers from multiple locations and a cost of living apart, joint-search features new frictions and can lead to signi?cantly worse outcomes than single-agent search.
VIOLANTE Giovanni (New York Univ.) Joint-Search Theory: New Opportunities and New Frictions
Co-auteurs : Bulent GULER (University of Texas at Austin), Fatih GUVENEN (University of Minnesota and NBER)Texte intégral
Macroeconomics Seminar
Le 22/05/2008 de 16:30:00 à 18:00:00
DOEPKE M. (UCLA) The Baby Boom and World War II: A Macroeconomic Analysis; () ; Co-auteurs : M. HAZAN and Y. MAOZ
La séance est annulée
Macroeconomics Seminar
Le 15/05/2008 de 16:30:00 à 18:00:00
Univ. Paris 1-Panthéon-Sorbonne (MSE), (6th floor)
KRUSELL Per (Princeton University) Aggregate Implications of Indivisible Labor, Incomplete Markets, and Labor Market Frictions
Co-auteurs : T. MUKOYAMAZ R. ROGERSONX and A SAHIN
Macroeconomics Seminar
Le 24/04/2008 de 16:30:00 à 18:00:00
This paper examines the mechanisms through which bilateral trade linkages affect business cycle comovement using an industry-level panel dataset of manufacturing production and trade. We establish that higher bilateral trade in an individual sector increases both the comovement within the sector between trading countries, as well as the comovement between that sector and the rest of the economy of the trading partner. The estimated magnitudes imply that transmission across sectors is responsible for nearly 90% of the total impact of higher bilateral trade on the business cycle correlation. We also demonstrate that vertical linkages in production are an important force behind the overall impact of trade on business cycle synchronization. The elasticity of comovement with respect to bilateral trade is significantly higher in industry pairs that use each other as intermediate inputs in production. Our estimates indicate that vertical production linkages account for some 19% of the total impact of bilateral trade on business cycle correlation.
JEL Classifications: F15, F4
Keywords: Business cycle comovement, trade, industry-level data, vertical linkages
LEVCHENKO A. A. (University of Chicago) Putting the Parts Together: Trade, Vertical Linkages, and Business Cycle Comovement
Co-auteur (s) : J. Di Giovanni Texte intégral
Macroeconomics Seminar
Le 17/04/2008 de 16:30:00 à 18:00:00
This paper explores the implications of the recent shifts in U.S. wage structure (rising skill pre- mium, narrowing gender gap, increasing persistent and transitory residual wage dispersion) for the cross-sectional distributions of hours worked, consumption and earnings across U.S. house- holds. We develop an incomplete-markets overlapping-generations model where individuals choose education and form households, and households choose consumption and labor supply of each spouse. The model is parameterized using micro data from PSID, CPS and CEX. With the changing wage structure as the only primitive force, the model can account for many of the key trends in cross-sectional U.S. data. The model allows to quantify the welfare consequences of the rise in wage inequality, and the role played by education, labor supply, and saving in providing insurance against the observed shocks
STORESLETTEN Kjetil (Stockholm University) The Macroeconomic Implications of Rising Wage Inequality in the United States
with Jonathan HEATHCOTE (Federal Reserve Board of Governors) and Giovanni L. VIOLANTE (New York University)Texte intégral
Macroeconomics Seminar
Le 03/04/2008 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
BENHABIB Jess (New York University) Optimal Migration
Co-auteur : Boyan JOVANOVIC (New York University )Texte intégral
Macroeconomics Seminar
Le 27/03/2008 de 16:30:00 à 18:00:00
Models of business cycles in emerging economies explain the negative correlation between country spreads and output by modeling default risk as an exogenous interest rate on working capital. Models of strategic default explain the cyclical properties of sovereign spreads by assuming an exogenous output cost of default with special features, and they underestimate debt-output ratios by a wide margin. This paper proposes a solution to this default risk-business cycle disconnect based on a model of sovereign default with endogenous output dynamics. The model replicates observed V-shaped output dynamics around default episodes, countercyclical sovereign spreads, and high debt ratios, and it also matches the variability of consumption and the countercyclical fluctuations of net exports. Three features of the model are key for these results: (1) working capital loans pay for imported inputs; (2) imported inputs support more efficient factor allocations than when these inputs are produced internally; and (3) default on the foreign obligations of firms and the government occurs simultaneously.
MENDOZA Enrique (University of Maryland and NBER) A Solution to the Default Risk-Business Cycle Disconnect
Vivian Z. YUE (New York University)Texte intégral
Macroeconomics Seminar
Le 20/03/2008 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
Abstract: We model the two way interaction between education, corruption and the level of output. Corruption reduces income levels and hence educational attainment. Education in turn affects the incentives for corruption: more education increases output and thus the rents from corruption, but it also increases the probability that the electorate identifies corrupt behavior and ousts the incumbent party. In this context, we identify the conditions under which an opportunist party has the incentives to take actions that will allow the economy to escape from a poverty trap. Our analysis shows that the relationship between education, output levels and the level of corruption is non-monotonic, and that both institution-led development and education-led development are possible. Which path occurs crucially depends on the initial level of inequality.
GARCIA-PENALOSA Cecilia (GREQAM ) Education, Corruption, and the Distribution of Income
Theo EICHER (University of Washington), Tanguy van YPERSELE (GREQAM and CEPR)Texte intégral
Macroeconomics Seminar
Le 13/03/2008 de 16:30:00 à 18:00:00
We show that international trade in goods is the main determinant of international equity portfolios and it also o ers a compelling {theoretically and empirically{ resolution of the portfolio home bias puzzle. The model implies that investors can achieve full international risk diversi cation if the share of wealth invested in foreign equity matches their country's degree of openness (the imports to GDP share). The empirical evidence strongly supports this implication.
COLLARD F. (Toulouse School of Economics) Goods Trade and International Equity Portfolios
Harris Dellas (Toulouse School of Economics), Behzad Diba (Georgetown University), and Alan Stockman (University of Rochester)Texte intégral
Macroeconomics Seminar
Le 06/03/2008 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
We study the effects of U.S. monetary policy shocks on the bilateral exchange rate between the U.S. and each of the G7 countries. We also estimate deviations from uncovered interest rate parity and exchange rate pass-through conditional on these shocks. The analysis is based on a structural vector autoregression in which monetary policy shocks are identified through the conditional heteroscedasticity of the structural disturbances. Unlike earlier work in this area, our empirical methodology avoids making arbitrary assumptions about the relevant policy indicator or transmission mechanism in order to achieve identification. At the same time, it allows us to assess the implications of imposing invalid identifying restrictions. Our results indicate that the nominal exchange rate exhibits delayed overshooting in response to a monetary expansion, depreciating for roughly ten months before starting to appreciate. The monetary policy shock also leads to large and persistent departures from uncovered interest rate parity, and to a prolonged period of incomplete pass-through. Variance-decomposition results indicate that monetary policy shocks account for a large proportion of exchange rate movements.
NORMANDIN M. (HEC ) Fluctuations in the Foreign Exchange Market: How Important Are Monetary Policy Shocks?
Co-auteur : Hafedh BOUAKEZ (HEC Montréal)Texte intégral
Macroeconomics Seminar
Le 28/02/2008 de 16:30:00 à 18:00:00
We propose a new theory of the demographic transition based on the evi- dence that body development during childhood is an important predictor of adult life expectancy. Fertility, childhood development, longevity, education and in- come growth all result from individual decisions. Parents face a trade-off between the number of children they have and the spending they can afford on each of them in childhood. These childhood development spending will determine chil- dren longevity when adults. It is in this sense that we refer to Wordsworth’s aphorism that “The Child is Father of the Man.” Parents face a second trade-off in allocating their time between increasing their own human capital and rearing children. The model displays different regimes. In a Malthusian regime with no education fertility increases with adult life expectancy. In the modern growth regime, life expectancy and fertility move in opposite directions. The dynam- ics display the key features of the demographic transition, including the hump in both population growth and fertility, and replicate the observed rise in educational attainment, adult life expectancy and economic growth. Consistent with the em- pirical evidence, a distinctive implication of our theory is that improvements in childhood development precede the increase in education.
LICANDRO O. (European University Institute) The Child is Father of the Man: Implications for the Demographic Transition
David de la CROIX (Department of Economics and CORE, Universit´e catholique de Louvain)Texte intégral
Macroeconomics Seminar
Le 21/02/2008 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
BENASSY Jean-Pascal (PSE) Interest Rate Rules and Global Determinacy: An Alternative to theTexte intégral
Macroeconomics Seminar
Le 14/02/2008 de 16:30:00 à 18:00:00
YOUNG A. (London School of Economics) In Sorrow to Bring Forth Children: Fertility amidst the Plague of HIVTexte intégral
Macroeconomics Seminar
Le 07/02/2008 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
TRESSEL T. (FMI) Does Financial Globalization Discipline Politically Connected Firms?
Co-auteur : T. VerdierTexte intégral
Macroeconomics Seminar
Le 31/01/2008 de 16:30:00 à 18:00:00
RABANAL Pau (Caixa d'Estalvis i Pensions de Barcelona) Inflation Differentials in a Currency Union: a DSGE PerspectiveTexte intégral
Macroeconomics Seminar
Le 24/01/2008 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
We characterize the macroeconomic performance of a set of industrialized economies in the aftermath of the oil price shocks of the 1970s and of the last decade, focusing on the di®erences across episodes. We examine four di®erent hypotheses for the mild e®ects on in°ation and economic activity of the recent increase in the price of oil: (a) good luck (i.e. lack of concurrent adverse shocks), (b) smaller share of oil in production, (c) more °exible labor markets, and (d) improvements in monetary policy. We conclude that all four have played an important role.
GALI J. (UPF) The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s?
Co-auteur : Olivier J. BlanchardTexte intégral
Macroeconomics Seminar
Le 17/01/2008 de 16:30:00 à 18:00:00
JUILLARD C. (London School of Economics) Money Illusion and Housing Frenzies
Co-auteur : Markus K. BrunnermeierTexte intégral
Macroeconomics Seminar
Le 10/01/2008 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
DUFOURT F. (Beta) Sunspot equilibria with persistent unemployment fluctuations
Co-auteur : Teresa Lloyd-Braga and Leonor ModestoTexte intégral
Macroeconomics Seminar
Le 20/12/2007 de 16:30:00 à 18:00:00
MATSUYAMA Kiminori (Northwestern University) Beyond IcebergsTexte intégral
Macroeconomics Seminar
Le 13/12/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
GROEN J. (Bank of England) Investigating the Structural Stability of the Phillips Curve Trade-OffTexte intégral
Macroeconomics Seminar
Le 06/12/2007 de 16:30:00 à 18:00:00
GUIMARAES B. (London School of Economics) Sales and Monetary Policy
Kevin Sheedy (LSE)
Macroeconomics Seminar
Le 29/11/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
This paper presents a theoretical study of the effects of globalization on risk sharing and welfare. We model globalization as a gradual improvement in technology that increases the frac- tion of goods that are tradable. With complete markets, globalization does not affect domestic trade and, thus, improves risk sharing and raises welfare. We assume, however, that markets are incomplete because countries cannot commit to pay their debts. We also assume that countries cannot discriminate between domestic and foreign creditors when paying their debts. This cre- ates crucial interactions between domestic and international asset trade. Globalization increases the fraction of debts held by foreigners, thereby increasing the incentives to default and mar- ket incompleteness. Through this new channel, globalization might lower domestic asset trade, worsening risk sharing and lowering welfare. We show how the e¤ects of globalization depend on various characteristics of tradable goods and explore the roles of reputation, renegotiation, and borrowing limits.
BRONER F. A. (University Pompeu Fabra) Rethinking the Effects of Financial Liberalization
Jaume Ventura (CREI and Universitat Pompeu Fabra)Texte intégral
Macroeconomics Seminar
Le 22/11/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
Since the 1970s hours of work have been declining in Europe relative to the United States and Japan. A range of explanations has been offered for this trend, from tight labour market regulations and powerful labour unions, to higher tax rates and a stronger preference for leisure in Europe. In France, laws limiting work time, usually with the aim of reducing unemployment, are directly responsible for part of the decline in average hours worked. The most recent law reduced the length of the workweek from 39 to 35 hours in large firms in 2000 and in small firms two years later. Since then, there has been an intense debate about the impact of this policy on welfare, most notably during the 2007 presidential campaign. This paper studies the immediate impact of the 35-hour workweek on several dimensions: hours, wages, dual-job holdings, employment, and workers’ satisfaction with hours of work. We find evidence that the policy did not succeed in increasing employment and generated a series of behavioural responses that are likely to have reduced welfare, as workers and firms tried to avoid the rigidities created by the law. This suggests that the recently elected French government should increase the flexibility of workers and firms in setting hours of work.
SA F. (MIT and IZA) The 35-Hour Workweek in France: Straightjacket or Welfare Improvement?
Co-auteur : Marcello Estevão (IMF)Texte intégral
Macroeconomics Seminar
Le 15/11/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
DECREUSE B. (GREQAM) Foreign Direct Investment and the labor share in developing
Co-auteur : Paul Maarek (University of Aix-Marseilles II)Texte intégral
Macroeconomics Seminar
Le 08/11/2007 de 16:30:00 à 18:00:00
ANTRAS P. (Univ. of Harvard) Trade and Capital Flows: A Financial Frictions Perspective
Ricardo J. CaballeroTexte intégral
Macroeconomics Seminar
Le 29/10/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
We study the effects of on-the-job skill accumulation on average hours worked by age and the volatility of hours over the life cycle in a calibrated general equilibrium model. Two forms of skill accumulation are considered: learning by doing and on-the-job training. In our economy with learning by doing, individuals supply more labor early in the life cycle and less as they approach retirement than they do in an economy without this feature. The impact of this feature on the volatility of hours over the life cycle depends on the value of the intertemporal elasticity of labor supply. When individuals accumulate skills by on-the-job training, there are only weak effects on both the steady-state labor supply and its volatility over the life cycle.
IMROHOROGLU S. (Univ. of Southern California) Business Cycle Fluctuations and the Life Cycle: How Important is On-The-Job Skill Accumulation?
Co-auteur (s) : G. D. Hansen
ATTENTION : EXCEPTIONNELLEMENT, LA SEANCE AURA LIEU UN LUNDITexte intégral
Macroeconomics Seminar
Le 25/10/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
We document the cyclical properties of the labor share: it is quite volatile; an innovation to productivity produces an initial reduction of labor share, making it countercyclical, but it also produces a long-lasting subsequent increase that peaks five years later at a level larger in absolute terms than the initial drop. We pose and estimate a bivariate shock to the production function that, under the assumption of competition in factor markets, simultaneously accounts for movements in the Solow residual and in the factor shares of production. We then incorporate this bivariate process into an otherwise standard real business cycle model and compare the outcomes with those that result from the specification of a univariate productivity shock that matches the properties of the Solow residual. The volatility of hours worked in the bivariate shock economy is a lot smaller than that in the standard univariate shock economy (about 33% of the standard deviation or 11% of the variance), with productivity innovations in the bivariate economy generating 6% of the variance of hours displayed in the univariate economy. The effect of the productivity innovation on labor share reduces dramatically the incentives to work now relative to later both because wages will increase later and because the rate of return will go down. This behavior can be described in terms of a very strong positive wealth effect in the bivariate shock economy relative to the univariate shock economy, while the implied substitution effects tend to delay, first intra- and then intertemporally, the response of hours and not to mitigate them. Our results hold independently of the Frischian elasticity of labor supply. We conclude that understanding the cyclical movements of labor share, and hence constructing a theory of its particular movements should become an important piece of business cycle research.
RIOS-RULL J. V. (University of Pennsylvenia) Redistributive Shocks and Productivity Shocks
Co-auteur (s) : R. Santaeulalia-LlopisTexte intégral
Macroeconomics Seminar
Le 18/10/2007 de 16:30:00 à 18:00:00
RABANAL P. (La Caixa) *; () ;
La séance est annulée
Macroeconomics Seminar
Le 11/10/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
THOENIG M. (Université de Genève) The coevolution of international trade and cultural diversity: is the village global?
Co-auteur (s): N. Maystre
Macroeconomics Seminar
Le 07/06/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
REIS R. (Princeton univ.) Measuring changes in the value of the numeraireTexte intégral
Macroeconomics Seminar
Le 31/05/2007 de 16:30:00 à 18:00:00
We assemble a dataset on technology adoption in 1000 B.C., 0 A.D., and 1500 A.D. for the predecessors to today’s nation states. We find that this very old history of technology adoption is surprisingly significant for today’s national development outcomes. Although our strongest results are for 1500 A.D., we find that even technology as old as 1000 BC matters in some plausible specifications.
Keywords: Technology adoption, technology history, economic development.
JEL codes: O3, N7.
COMIN D. (New York univ.) Was the Wealth of Nations Determined in 1000 B.C. ?
Co-auteur (s) : W. Easterly et E. GongTexte intégral
Macroeconomics Seminar
Le 24/05/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
The British Industrial Revolution triggered a reversal in the social order of society whereby the landed elite was replaced by industrial capitalists rising from the middle classes as the economically dominant group. Many observers have linked this transformation to the contrast in values between a hard-working and frugal middle class and an upper class imbued with disdain for work. We propose an economic theory of preference formation where both the divergence of attitudes across social classes and the ensuing reversal of economic fortunes are equilibrium outcomes. In our theory, parents shape their children’s preferences in response to economic incentives. This results in the stratification of society along occupational lines. Middleclass families in occupations that require effort, skill, and experience develop patience and work ethics, whereas upper-class families relying on rental income cultivate a refined taste for leisure. These class-specific attitudes, which are rooted in the nature of pre-industrial professions, become key determinants of success once industrialization transforms the economic landscape.
ZILIBOTTI F. (Univ. of Zurich) Occupational Choice and the Spirit Of Capitalism
Co-auteur (s) : M. DoepkeTexte intégral
Macroeconomics Seminar
Le 10/05/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
In this paper, we show that low trend inflation strongly affects the dynamics of a standard Neo-keynesian model where monetary policy is described by a standard Taylor rule. In particular, we show that trend inflation: (i) enlarges the indeterminacy region in the parameter space, substantially altering the so-called Taylor principle; (ii) changes the dynamic responses of the economy. Furthermore, we generalize the basic analysis to different types of Taylor rules, inertial policy rules and indexation schemes. The key point is that, whatever the set up, the literature on Taylor rules cannot disregard average inflation in both theoretical and empirical analysis.
JEL classification: E31, E52.
Keywords: Sticky Prices, Taylor Rules and Trend Inflation
ASCARI G. (Univ. of Pavia) Trend Inflation, Taylor Principle and Indeterminacy
Co-auteur (s) : T. RopeleTexte intégral
Macroeconomics Seminar
Le 26/04/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
Many low skilled jobs have been substituted away for machines in Europe, or eliminated, much more so than in the US, while technological progress at the “top”, i.e. at the high-tech sector, is faster in the US than in Europe. This paper suggests that the main difference between Europe and the US in this respect is their different labor market policies. European countries reduce wage flexibility and inequality through a host of labor market regulations, like binding minimum wage laws, permanent unemployment subsidies, firing costs, etc. Such policies create incentives to develop and adopt labor saving capital intensive technologies at the low end of the skill distribution. At the same time technical progress in the US is more skill biased than in Europe, since American skilled wages are higher.
ZEIRA J. (Hebrew University of Jerusalem) Technology and Labor Regulations
Co-auteur (s) : A. AlesinaTexte intégral
Macroeconomics Seminar
Le 29/03/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
We study the optimal Mirrlees taxation problem in a dynamic economy. In contrast to the standard approach where the taxation mechanism is operated by a benevolent planner with full commitment power, we focus on economies in which policy decisions are made by self-interested politicians, who cannot commit to policies. The society controls politicians using elections. We show that the provision of incentives to politicians can be partly separated from redistribution across agents and that political economy constraints can be modeled as introducing additional aggregate distortions in the dynamic Mirrlees problem. We provide conditions under which the political economy distortions persist or disappear in the long run. If the politicians are as patient as the agents, the “best sustainable mechanism” leads to an asymptotic allocation where the aggregate distortions arising from political economy disappear. In contrast, when politicians are less patient than the citizens, positive aggregate labor and capital taxes remain even asymptotically. We conclude by providing a brief comparison of centralized mechanisms operated by self-interested politicians to anonymous markets.
Keywords: dynamic incentive problems, mechanism design, optimal taxation, political economy, public finance.
JEL Classification: H11, H21, E61, P16.
TSYVINSKI A. (Harvard univ.) Political Economy of Mechanisms
Co-auteur (s) : D. Acemoglu & M. GolosovTexte intégral
Macroeconomics Seminar
Le 22/03/2007 de 16:30:00 à 18:00:00
Most economies experience episodes of persistent real exchange rate appreciation, when the question arises whether there is a need for intervention to protect the export sector. In this paper we present a model of irreversible export destruction where exchange rate intervention may be justified if the export sector is financially constrained. However the criterion for intervention is not whether there are bankruptcies or not, but whether these can cause a large exchange rate overshooting once the factors behind the appreciation subside. The optimal policy often involves no ex-ante (i.e., during the appreciation phase) intervention early on, followed by an increasingly aggressive stabilization as the appreciation persists and the financial resources of the export sector dwindle. The optimal policy balances ex-ante and ex-post interventions. In instances where ex-ante policy is ineffective or undesirable, the optimal policy typically exacerbates (but shortens) the initial overshooting during the depreciation phase. On the methodological front, the solution approach should be useful in other optimal dynamic intervention problems with financially constrained agents.
JEL Codes: E0, E2, F0, F4, H2.
Keywords: Appreciations, overshooting, financial frictions, irreversible investment, pecuniary externality, real wages, optimal policy, exports.
LORENZONI G. (MIT) Persistent appreciations and overshooting: a normative analysis
Co-auteur (s) : R. J. CaballeroTexte intégral
Macroeconomics Seminar
Le 15/03/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
This paper presents a risk premium explanation of the uncovered interest rate parity (UIP) puzzle. In my two-country model, agents are characterized by slow- moving external habit preferences, and they incur international trade costs. The precautionary savings effect dominates the inter-temporal consumption-smoothing motive. Thus, times of high risk-aversion, when consumption is close to the habit level, correspond to low interest rates. The domestic investor receives a positive exchange rate risk premium when he is effectively more risk-averse than his foreign counterpart. As a result, the domestic investor receives a positive risk premium when interest rates are lower at home than abroad.
VERDELHAN A. (Boston univ.) A Habit-Based Explanation of the Exchange Rate Risk Premium
Texte intégral
Macroeconomics Seminar
Le 08/03/2007 de 16:30:00 à 18:00:00
Using plant-level data from Chile and the U.S. we show that investment spikes are highly pro-cyclical, so much so that changes in the number of establishments undergoing investment spikes (the “extensive margin”) account for the bulk of variation in aggregate investment. The number of establishments undergoing investment spikes also has independent predictive power for aggregate investment, even controlling for past investment and sales. We re-calibrate the Thomas (2002) model (that includes fixed costs of investing) so that it assigns a prominent role to extensive adjustment. The recalibrated model has very different properties than the standard RBC model for some shocks.
Key words: adjustment costs, investment, investment tax credit, fixed costs, extensive margin.
JEL Classification Number: E22, E32
GOURIO F. (Boston univ.) Investment Spikes: New Facts and a General Equilibrium Exploration
Co-auteur (s) : A. K. KashyapTexte intégral
Macroeconomics Seminar
Le 22/02/2007 de 13:00:00 à 14:30:00
We use exogenous variation in the degree of restrictions to bank competition across Italian provinces to study both the effects of bank regulation and the impact of deregulation. We find that where entry was more restricted the cost of credit was higher and - contrary to expectations- access to credit lower. The only benefit of these restrictions was a lower proportion of bad loans. Liberalization brings a reduction in rate spreads and an increased access to credit at the cost of an increase in bad loans. In provinces where restrictions to bank competition were most severe, the proportion of bad loans after deregulation raises above the level present in more competitive markets, suggesting that the pre-existing conditions severely impact the effect of liberalizations.
GUISO L. (European university Institute) The Cost of Banking Regulation
Co-auteur (s) : P. Sapienza et L. ZingalesTexte intégral
Macroeconomics Seminar
Le 15/02/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
Countries react differently to large labor reallocation shocks. Some minimize the costs by adapting rapidly, while others suffer long periods of costly adjustment, typically high and persistent unemployment and temporary output losses. We argue that the existence of large amounts of specific human capital slows down the transitions and makes them costly. We illustrate this point by first measuring the penalty associated with specific skills in two countries having experienced important macroeconomic turbulence. Using labor force data from a large economy with rigid labor markets, Poland, and a small open economy with increased flexibility, Estonia, we document our main claim, namely that specialized education reduces workers’ mobility and hence their ability to cope with economic changes. We find that holding a vocational degree is associated with much longer unemployment duration spells, relatively large wage penalties when changing jobs and higher likelihood of leaving activity for elder workers. We then build a theoretical framework in which young agents’ career is heavily determined by the type of initial education, and analyze the transition to a new steady-state after a sectoral demand shift. In the absence of mobility, it takes as much as a generation for the economy to absorb the shock. Quantitative exercises suggest that the over-specialization of the labor force in Poland led to much higher and persistent unemployment compared to Estonia during the period of EU enlargement. Traditional labor market institutions (wage rigidity and employment protection) lead to an increase of the unemployment gap, but to a much lesser extent.
WASMER E. (IEP) Are Specific Skills an Obstacle to Labor Market Adjustment?
Co-auteur (s) : A. Lamo & J. MessinaTexte intégral
Macroeconomics Seminar
Le 08/02/2007 de 16:30:00 à 18:00:00
In this paper we build a framework where the interplay between the lobby power of special interest groups and the voting power of the majority of the population leads to political business cycles. We apply our set up to explain electoral cycles in government expenditure composition, which are not explained by traditional business cycles models, as well as to cycles in aggregate expenditures and in real exchange rates.
TERRA C. (Fundação Getulio Varga) Political Business Cycles through Lobbying
Co-auteur (s) : M. BonomoTexte intégral
Macroeconomics Seminar
Le 01/02/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
MATSUYAMA K. (Northwestern univ.) Aggregate Implications of Credit Market Imperfections
Texte intégral
Macroeconomics Seminar
Le 25/01/2007 de 16:30:00 à 18:00:00
Two of the main puzzles in international economics are the consumption and the portfolio home biases. They are empirically related: countries that are more open to trade also have more internationally diversified portfolios. In a two-country stochastic equilibrium model, I prove that introducing trade costs in goods market alone, as suggested by Obstfeld and Rogoff [2000], is not sufficient to explain these two puzzles simultaneously. On the contrary, for reasonable parameter values, trade costs create a foreign bias in portfolios. To reconcile facts and theory, I introduce a combination of small frictions in financial markets and trade costs in goods market. The interaction between the two types of frictions determines optimal portfolio allocation. When trade costs increase, competition in the goods market softens and the volatility of domestic income falls. Facing lower risk, investors have less incentive to pay the financial transaction cost and increase their holdings of domestic assets. The model correctly predicts that the larger the home bias in consumption, the larger the home bias in portfolios.
Keywords: Trade Costs, Portfolio Choice, Home Bias, International Macroeconomics.
JEL Classification: F30, F36, F41, G11.
COEURDACIER N. (ESSEC) Do Trade Costs in Good Market Lead To Home Bias in Equities?
Texte intégral
Macroeconomics Seminar
Le 18/01/2007 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
This paper investigates the effects of disinflation policies on key macroeconomic variables. Using postwar US data and episode techniques, we identify disinflation shock as shocks that drive the inflation rate to a lower level in the long–run. We find that in the immediate aftermath of the announcement of a disinflation, the economy enters in a persistent recession. The inflation rate increases above its long–run level and exhibits a positive hump–shaped response for about 10 quarters. A similar pattern is found for the nominal interest rate, which responds even more strongly in the short–run. We then show that the standard new Keynesian model fails to mimic the dynamics of both inflation and the nominal interest rate. Conversely, because it generates countercyclical markups, a deep habit version of the model successfully accounts for the effects of disinflation policies.
Keywords: Disinflation, Deep Habits, New Keynesian Models, Countercyclical Markups.
JEL Class: E31, E32, E52.
COLLARD F. (Institut d'économie industrielle) What Happens After A Disinflation Policy Shock
Co-auteur (s) : P. Fève & J. MatheronTexte intégral
Macroeconomics Seminar
Le 11/01/2007 de 16:30:00 à 18:00:00
This methodological paper proposes a new class of stochastic processes with appealing properties for theoretical or empirical work in finance and macroeconomics, the “linearity-generating” class. Its key property is that it yields simple exact closed-form expressions for stocks and bonds, with an arbitrary number of factors, feats that are not possible with the hitherto available modelling methods. It operates in discrete and continuous time. It has a number of economic modeling applications. These include macroeconomic situations with changing trend growth rates, or stochastic probability of disaster, asset pricing with stochastic risk premia or stochastic dividend growth rates, and yield curve analysis that allows flexibility and transparency. Many research questions may be addressed more simply and in closed form by using the linearity-generating class.
(JEL: G12, G13)
Keywords: Modified Gordon growth model, Stochastic Discount Factor, Linearity-generating process, Affine models, Long term risk, Growth rate risk, Interest rate processes, Yield curve, Bond pricing, Equity Premium, Rare Disasters.
GABAIX X. (MIT) A unified theory of ten financial puzzles
Texte intégral
Macroeconomics Seminar
Le 21/12/2006 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
This paper builds a framework for the analysis of macroeconomic fluctuations that incorporates the endogenous determination of the number of producers over the business cycle. Economic expansions induce higher entry rates by prospective entrants subject to irreversible investment costs. The sluggish response of the number of producers (due to the sunk entry costs) generates a new and potentially important endogenous propagation mechanism for real business cycle models. The stock-market price of investment in the creation of new productive units determines household saving decisions, producer entry, and the allocation of labor across sectors. The model performs at least as well as the traditional setup with respect to the implied second-moment properties of key macroeconomic aggregates. In addition, our framework jointly predicts a procyclical number of producers and procyclical profits even for preference specifi- cations that imply countercyclical markups. When we include physical capital, the model can reproduce the variance and autocorrelation of GDP found in the data.
JEL Codes: E20; E32.
Keywords: Business cycle propagation; Entry; Markups; Product creation; Profits; Variety.
BILBIIE F. (Nuffield college) Endogenous Entry, Product Variety and Business Cycles
Co-auteur (s) : F. Ghironi & M. J. MelitzTexte intégral
Macroeconomics Seminar
Le 14/12/2006 de 16:30:00 à 18:00:00
Without capital market imperfections, the capital structure of a firm, including the size, the maturity and the currency compostion of debts, should not matter for investment decisions. The Asian financial crises provide a good opportunity to test this hypothesis. We approach the problem in two ways: First, we apply a conventional reduced-form analysis to a panel data of Korean manufacturing firms, argueing that the devaluation that occurred during the crisis provides a natural experiment in which to assess the effect of balance sheet shocks to investment. Second, we use indirect inference to estimate a structural dynamic programming problem of a firm with foreign debts and financial constraints. Both reduced-form evidence and structural parameter estimates imply an important role for finance in investment at the firm level. Counterfactual simulations imply that balance sheet effects may account for 50% to 80% of the drop in investment during the crisis period. In contrast, our estimates suggest that foreigndenominated debt had relatively little effect on aggregate investment spending during this period.
GILCHRIST S. (Boston univ.) Investment During the Korean Financial Crisis: The Role of Foreign-Denominated Debt
Co-auteur (s) : J. SimTexte intégral
Macroeconomics Seminar
Le 07/12/2006 de 16:30:00 à 18:00:00
We construct estimates of external assets and liabilities for 145 countries for the period 1970–2004. We describe our estimation methods and present key features of the data at the country and the global level. We focus on trends in net and gross external positions, and the composition of international portfolios, distinguishing between foreign direct investment, portfolio equity investment, official reserves, and external debt. We document the increasing importance of equity financing and the improvement in the external position for emerging markets, and the differing pace of financial integration between advanced and developing economies. We also show the existence of a global discrepancy between estimated foreign assets and liabilities, and identify the asset categories that account for this discrepancy.
JEL Classification Number: F32
Keywords: International financial integration; net foreign assets
MILESI-FERRETI G. M. (Institut monetary fund) The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities
Co-auteur (s) : P. R. LaneTexte intégral
Macroeconomics Seminar
Le 23/11/2006 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
We compare the economic consequences and political feasibility of reforms aimed at reducing barriers to entry (deregulation) and improving contractual enforcement (legal reform). Deregulation fosters entry, thereby increasing the number of firms (entrepreneurship) and the average quality of management (meritocracy). Legal reform also reduces financial constraints on entry, but in addition it facilitates transfers of control of incumbent firms, from untalented to talented managers. Since when incumbent firms are better run entry by new firms is less profitable, in general equilibrium legal reform may improve meritocracy at the expense of entrepreneurship. As a result, legal reform encounters less political opposition than deregulation, as it preserves incumbents’ rents, while at the same time allowing the less efficient among them to transfer control and capture (part of) the resulting efficiency gains. Using this insight, we show that there may be dynamic complementarities in the reform path, whereby reformers can skillfully use legal reform in the short run to create a constituency supporting future deregulations. Generally speaking, our model suggests that “Coasian” reforms improving the scope of private contracting are likely to mobilize greater political support because — rather than undermining the rents of incumbents — they allow for an endogenous compensation of losers. Some preliminary empirical evidence supports the view that the market for control of incumbent firms plays an important role in an industry’s response to legal reform.
CASELLI F. (LSE) Economics and Politics of Alternative Institutional Reform
Co-auteur (s) : N. GennaioliTexte intégral
Macroeconomics Seminar
Le 16/11/2006 de 16:30:00 à 18:00:00
MARIMON R. (European university institute) Competition, Innovation and Growth with Limited Commitment
Co-auteur (s) : V. QuadriniTexte intégral
Macroeconomics Seminar
Le 09/11/2006 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6ème étage
CARRE M. (Univ. de Cergy-Pontoise) Subsidizing Low-Skilled Jobs in a Dual Labor Market
Co-auteur (s) : P. Belan & S. GregoirTexte intégral
Macroeconomics Seminar
Le 26/10/2006 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
HAEFKE C. (IAS) Labor Market Participation and the Business Cycle
Co-auteur (s) : M. ReiterTexte intégral
Macroeconomics Seminar
Le 19/10/2006 de 16:30:00 à 18:00:00
GANCIA G. (Univ. Pompeu Fabra) On Globalization and the Growth of Governments
Co-auteur (s) : P. EpifaniTexte intégral
Macroeconomics Seminar
Le 12/10/2006 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
PHILIPPON T. (New York univ.) The y-Theory of InvestmentTexte intégral
Macroeconomics Seminar
Le 05/10/2006 de 16:30:00 à 18:00:00
ALGAN Y. (PSE) On the Non-Neutrality of Money with Borrowing Constraints
Co-auteur (s) : X. RAGOTTexte intégral
Macroeconomics Seminar
Le 14/09/2006 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
WOODFORD M. (Columbia univ.) Robustly Optimal Monetary Policy with Near-Rational ExpectationsTexte intégral
Macroeconomics Seminar
Le 13/09/2006 de 16:30:00 à 18:00:00
MSE-Paris 1, salle du 6e étage
FARMER R. E. A. (Univ. of California) Minimal State Variable Solutions to Markov-Switching Rational Expectations Model
Co-auteur (s) : D. F. Waggoner et Tao Zha Texte intégral
Macroeconomics Seminar
Le 31/05/2006 de 00:00:00 à 00:00:00
KEMPF H. (Univ. de Paris 1) Gouvernance et performances macroéconomiques
Co-auteur : L. Clerc Texte intégral
Macroeconomics Seminar
Le 24/05/2006 de 00:00:00 à 00:00:00
EICHENBAUM M. (Northwestern univ.) The Returns To Currency Speculation
Co-auteur(s) : C. Burnside, I. Kleshchelski & S. RebeloTexte intégral
Macroeconomics Seminar
Le 17/05/2006 de 00:00:00 à 00:00:00
ROGERSON R. (Arizona state univ.) Structural Transformation and the Deterioration European Labor Market OutcomesTexte intégral
Macroeconomics Seminar
Le 10/05/2006 de 00:00:00 à 00:00:00
FLANDREAU M. (IEP) Does Bilateralism Promote Trade? Nineteeth Century Liberalization Revisited
Co-auteur : O. Accominotti Texte intégral
Macroeconomics Seminar
Le 03/05/2006 de 00:00:00 à 00:00:00
NORMANDIN M. (HEC) Global versus Country-Specific Shocks and International Business Cycles
Co-auteur(s) : B. Powo FossoTexte intégral
Macroeconomics Seminar
Le 26/04/2006 de 00:00:00 à 00:00:00
MAYER T. (Univ. de Paris 11) Make Trade Not War?
Co-auteur(s) : P. Martin & M. ThoenigTexte intégral
Macroeconomics Seminar
Le 05/04/2006 de 00:00:00 à 00:00:00
KURMAN A. (Univ. du Québec ) Credit Market Frictions and Costly Capital Reallocation as a Propagation Mechanism
Co-auteur(s) : N. Petrosky-NadeauTexte intégral
Macroeconomics Seminar
Le 29/03/2006 de 00:00:00 à 00:00:00
AGHION P. (Harvard univ.) Appropriate Growth Policy
Co-auteur(s) : P. Howitt Texte intégral
Macroeconomics Seminar
Le 22/03/2006 de 00:00:00 à 00:00:00
CHERON A. (Univ. du Maine) Job Creation, Job Destruction and the Life Cycle
Macroeconomics Seminar
Le 15/03/2006 de 00:00:00 à 00:00:00
O'ROURKE K. (Trinity college) Democracy and Protectionism in the Nineteenth Century
Co-auteur(s) : A. M. TaylorTexte intégral
Macroeconomics Seminar
Le 08/03/2006 de 00:00:00 à 00:00:00
GONG G. (Tsinghua univ.) Wage Stickiness and Nonclearing Labor Market in Business Cycles
Co-auteur(s) : W. SemmlerTexte intégral
Macroeconomics Seminar
Le 01/03/2006 de 00:00:00 à 00:00:00
FRANCO F. (Univ. nova de Lisboa) *; () ;
La séance est annulée
Macroeconomics Seminar
Le 22/02/2006 de 00:00:00 à 00:00:00
RAVN M. O. (European university institute) The Consumption-Tightness PuzzleTexte intégral
Macroeconomics Seminar
Le 15/02/2006 de 00:00:00 à 00:00:00
SAINT-PAUL G. (Univ. de Toulouse 1) Research Cycles
Co-auteur(s) : Y. BramoulléTexte intégral
Macroeconomics Seminar
Le 08/02/2006 de 00:00:00 à 00:00:00
PORTIER F. (Univ. de Toulouse 1) Gold Rush Fever in Business Cycles
Macroeconomics Seminar
Le 01/02/2006 de 00:00:00 à 00:00:00
LE VAN C. (Univ. de Paris 1) When Does a Developping Country Use New Technologies ?
Co-auteur(s) : O. Bruno & B. MasquinTexte intégral
Macroeconomics Seminar
Le 25/01/2006 de 00:00:00 à 00:00:00
CHALLE E. (Univ. de Paris 9) Risk shifting, bubbles, and self-fulfilling crises
Co-auteur(s) : Xavier RagotTexte intégral
Macroeconomics Seminar
Le 18/01/2006 de 00:00:00 à 00:00:00
Rancière Romain, romainranciere@gmail.com () T2M ConferenceTexte intégral
Macroeconomics Seminar
Le 11/01/2006 de 00:00:00 à 00:00:00
BERGIN P. (Univ. of California) Outsourcing and Volatility
Co-auteur(s) : G. H. Hanson & R.C. FeenstraTexte intégral
Macroeconomics Seminar
Le 04/01/2006 de 00:00:00 à 00:00:00
CORSETTI P. (European university institute) DSGE Models of High Exchange-Rate Volatility and Low Pass-Through
Co-auteur(s) : Luca Dedola & Sylvain LeducTexte intégral
Macroeconomics Seminar
Le 14/12/2005 de 00:00:00 à 00:00:00
GABAIX X. (MIT) The Granular Origins of Aggregate FluctuationsTexte intégral
Macroeconomics Seminar
Le 07/12/2005 de 00:00:00 à 00:00:00
WIGNIOLLE B. (Univ. de Paris 1) Political economy of social security with endogenous preferences
Co-auteur(s) : P. BelanTexte intégral
Macroeconomics Seminar
Le 30/11/2005 de 00:00:00 à 00:00:00
LANE P. (Trinity college) A Global Perspective on External Positions
Co-auteur(s) : G. M. Milesi-FerrettiTexte intégral
Macroeconomics Seminar
Le 23/11/2005 de 00:00:00 à 00:00:00
CHATELAIN J.B. (Univ. d'Orléans) Deep pockets, collateral assignments of patents and the growth of innovations
Co-auteur(s) : B. Amable & K. RalfTexte intégral
Macroeconomics Seminar
Le 16/11/2005 de 00:00:00 à 00:00:00
PINTUS P. A. (Univ. d'Aix-Marseille 2) Progressive Fiscal Rules as Built-In Stabilizers
Co-auteur(s) : N.L. DromelTexte intégral
Macroeconomics Seminar
Le 09/11/2005 de 00:00:00 à 00:00:00
PHILIPPON T. (New York univ.) Concentrated Ownership and Labor Relations
Co-auteur(s) : H. M. MuellerTexte intégral
Macroeconomics Seminar
Le 02/11/2005 de 00:00:00 à 00:00:00
IMROHOROGLU S. (Univ. of Southern California) Elimination of Social Security in a Dynastic Framework
Co-auteur(s) : L. Fuster & A. ImrohorogluTexte intégral
Macroeconomics Seminar
Le 26/10/2005 de 00:00:00 à 00:00:00
TAYLOR A. M. (Univ. of California) Productivity, Tradability, and the Long-Run Price Puizzle
Co-auteur(s) : P. Bergin & R. GlickTexte intégral
Macroeconomics Seminar
Le 19/10/2005 de 00:00:00 à 00:00:00
KOLLMANN R. (Univ. de Paris 12) International Portfolio Equilibrium and the Current AccountTexte intégral
Macroeconomics Seminar
Le 12/10/2005 de 00:00:00 à 00:00:00
DUFLO E. (MIT) Dams
Co-auteur(s) : R. PandeTexte intégral
Macroeconomics Seminar
Le 05/10/2005 de 00:00:00 à 00:00:00
MATSUYAMA K. (Northwestern univ.) Emergent Class StructureTexte intégral
Macroeconomics Seminar
Le 28/06/2005 de 00:00:00 à 00:00:00
HUBERMAN G. (Columbia business school) What is the NPV of Expected Future Profits of Money Managers?Texte intégral
Macroeconomics Seminar
Le 22/06/2005 de 00:00:00 à 00:00:00
TAYLOR A. (Univ. of California) Productivity, Tradability, and the Long-Run Price Puizzle; () ;
La séance est annulée
Macroeconomics Seminar
Le 21/06/2005 de 00:00:00 à 00:00:00
HAU H. (INSEAD) Exchange Rates, Equity Prices and Capital Flows
Macroeconomics Seminar
Le 15/06/2005 de 00:00:00 à 00:00:00
AGHION P. (Harvard univ.) Volatilité et Croissance : implications pour la politique macroéconomique de la croissance
Macroeconomics Seminar
Le 08/06/2005 de 00:00:00 à 00:00:00
FEVE P. () *
Macroeconomics Seminar
Le 01/06/2005 de 00:00:00 à 00:00:00
KUBLER F. (Univ. Mannheim) *; () ;
La séance est annulée
Macroeconomics Seminar
Le 25/05/2005 de 00:00:00 à 00:00:00
DESDOIGTS A. (Univ. de Dijon) *
Macroeconomics Seminar
Le 18/05/2005 de 00:00:00 à 00:00:00
POMMERET A. () Irreversible Investment with Embodied Technological Progress
Co-auteur(s) : B. CruzTexte intégral
Macroeconomics Seminar
Le 11/05/2005 de 00:00:00 à 00:00:00
MODESTO L. (Univ. catolica portuguesa) Externalities in Preferences as a Source of Indeterminacy : An Approach to Taxation
Co-auteur(s) : T. Lloyd-Braga et T. SeegmullerTexte intégral
Macroeconomics Seminar
Le 20/04/2005 de 00:00:00 à 00:00:00
BELLUTINI G. (Univ. di Bologna) When the Union Hurts the Workers: A Positive Analysis of the Immigration Policy
Co-auteur(s) : C. Berti CeroniTexte intégral
Macroeconomics Seminar
Le 13/04/2005 de 00:00:00 à 00:00:00
DANTHINE J.P. (HEC) Macro- labor Efficiency wages revisited: the internal reference perspective
Macroeconomics Seminar
Le 06/04/2005 de 00:00:00 à 00:00:00
HEAD A. (Queen's univ.) Search, Price Adjustment, and Inflation Dynamics
Co-auteur(s) : A. Kumar et B. LaphamTexte intégral
Macroeconomics Seminar
Le 30/03/2005 de 00:00:00 à 00:00:00
TAVERES J. (Univ. nova de Lisboa) Women Prefer Larger Governments: Female Labor Supply and Public Spending
Co-auteur(s) : T.V. de V. CavalcantiTexte intégral
Macroeconomics Seminar
Le 23/03/2005 de 00:00:00 à 00:00:00
LICANDRO O. (European institute) The under-estimated virtues of the two-sector AK model
Co-auteur(s) : G.J. FelbermayrTexte intégral
Macroeconomics Seminar
Le 16/03/2005 de 00:00:00 à 00:00:00
VANDENBROUCKE G. (Univ. of Southern California) The U.S. Westward ExpansionTexte intégral
Macroeconomics Seminar
Le 09/03/2005 de 00:00:00 à 00:00:00
BACCHETTA P. (HEC) Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?Texte intégral
Macroeconomics Seminar
Le 04/03/2005 de 00:00:00 à 00:00:00
VENTURA J. (CEPR) Managing Financial IntegrationTexte intégral
Macroeconomics Seminar
Le 02/03/2005 de 00:00:00 à 00:00:00
DRIFFILL J. (Birkbeck college) Inertia in Empirical Taylor RulesTexte intégral
Macroeconomics Seminar
Le 23/02/2005 de 00:00:00 à 00:00:00
KAAS L. (Univ. of Vienna) Endogenous Financial Developpement, Growth and Volatility
Co-auteur(s) : C. AzariadisTexte intégral
Macroeconomics Seminar
Le 16/02/2005 de 00:00:00 à 00:00:00
KHARROUBI E. (Banque de France) Financial Integration, Competition and Credit CrunchesTexte intégral
Macroeconomics Seminar
Le 09/02/2005 de 00:00:00 à 00:00:00
CROIX (De La ) D. () Early Literacy Achievements, Population Density and the Transition to Modern Growth
Co-auteur(s) : R. Boucekkine et D. PeetersTexte intégral
Macroeconomics Seminar
Le 02/02/2005 de 00:00:00 à 00:00:00
BERENTSEN A. (Univ. of Basel) Money, Credit and BankingTexte intégral
Macroeconomics Seminar
Le 26/01/2005 de 00:00:00 à 00:00:00
RAGOT L. (Univ. de Lille 1) Immigration and the American Dreams
Co-auteur(s) : F. Docquier et X. ChojnickiTexte intégral
Macroeconomics Seminar
Le 19/01/2005 de 00:00:00 à 00:00:00
BERGIN P. (Univ. of California) Endogenous Tradability and Macroeconomic Implications
Co-auteur(s) : R. GlickTexte intégral
Macroeconomics Seminar
Le 12/01/2005 de 00:00:00 à 00:00:00
ARCANGELIS (De) G. (Univ. of Bari) Identifying Fiscal Policy Shocks and Policy Regimes in OECD Countries
Co-auteur(s) : S. LamartinaTexte intégral
Macroeconomics Seminar
Le 05/01/2005 de 00:00:00 à 00:00:00
CARCELES POVEDA E. (State university of New York) Endogenous Trading Constraints with Incomplete Asset MarketsTexte intégral
Macroeconomics Seminar
Le 15/12/2004 de 00:00:00 à 00:00:00
LAUBACH T. (OCDE) The Responses of Wages and Prices to Technology Shocks"Texte intégral
Macroeconomics Seminar
Le 01/12/2004 de 00:00:00 à 00:00:00
IMBS J. (London business school) Competition, Globalization and the Decline of Inflation
Co-auteur(s) : N. Chen et A. Scott
Macroeconomics Seminar
Le 17/11/2004 de 00:00:00 à 00:00:00
RAGOT X. (DELTA) Inflation and Public Debt in the long termTexte intégral
Macroeconomics Seminar
Le 03/11/2004 de 00:00:00 à 00:00:00
TILLE C. (Federal Reserve Bank of New York) Financial Integration and the Wealth Effect of Exchange Rate FluctuationsTexte intégral
Macroeconomics Seminar
Le 20/10/2004 de 00:00:00 à 00:00:00
REDDING S. (LSE) Comparative Advantage and Heterogeneous Firms" Comparative Advantage and Heterogeneous Firms
Co-auteur(s) : A.B. Bernard et P.K. SchottTexte intégral
Macroeconomics Seminar
Le 06/10/2004 de 00:00:00 à 00:00:00
BEN-GAD M. (Univ. of Haifa) Capital-Skil Complementarity and the Immigration SurplusTexte intégral
Macroeconomics Seminar
Le 29/09/2004 de 00:00:00 à 00:00:00
GALI J. (Univ. Pompeu Fabra) Optimal Fiscal Policy in a Monetary Union
Co-auteur(s) : T. MonacelliTexte intégral
Macroeconomics Seminar
Le 20/09/2004 de 00:00:00 à 00:00:00
REY H. (Princeton univ.) International Financial Adjustments
Co-auteur(s) : P.O. GourinchasTexte intégral