bluuebunny/crossref_metadata_2025_split huggingface dataset:
A Long-Run Structural Macroeconometric Model for Germany: An Empirical Note
Authors: Schneider Elena , Chen Pu , Frohn Joachim 
Published: September 2010

Abstract
To provide an modelling strategy with transparent and theoretically coherent foundation has been one of the targets of the paper by Garratt, Lee, Pesaran and Shin. They develop a core model for a small open economy based production technology, arbitrage conditions, flow identities and long-run solvency conditions. This leads to five long-run relations: the uncovered interest rate parity, the purchasing power parity, production function, trade balance and real money balance. Since the economic theory there is formulated generally but not restricted to the economy of UK for which their empirical model is implemented, we expect that this modelling strategy should be able to generate similar results for the data of other countries.
In this empirical note we apply the modelling strategy to German data to see in how far the economic theory formulated there can account for German data. We are able to identify five cointegration relations in a conditional vector error correction model and the overidentification restrictions of the five cointegration relations as, UIP, PPP, production function, trade balance and real money balance are not rejected by the data.
Real Exchange Rate Dynamics in Macedonia: Old Wisdoms and New Insights
Authors: Bogoev Jane , Terzijan Sultanija Bojceva , Égert Balázs , Petrovska Magdalena 
Published: September 2010

Abstract
The ambition of this paper is to analyse real exchange rate dynamics in Macedonia relying on a highly disaggregated dataset. We complement the indirect evidence reported in Loko and Tuladhar (2005) and we provide direct evidence on the irrelevance of the Balassa-Samuelson effect for overall inflation via service prices in the CPI. Furthermore, we estimate variants of the BEER model. We show that alternative econometric techniques and data definitions bear an impact on the robustness of the estimation results. Overall, productivity, government consumption and the openness variables were found to be fairly robust in terms of sign and size. An increase/decrease in the productivity variables is associated with an appreciation/depreciation of the real effective exchange rate. Given that the B-S effect admittedly has a very limited role to play through nontradable prices in the CPI, this relationship could be explained by the (inverse) quality effect proposed by Loko and Tuladhar and, possibly in addition to that, by the nontradable component of tradable prices.
What Do Micro Price Data Tell Us on the Validity of the New Keynesian Phillips Curve?
Authors: Álvarez Luis J. 
Published: September 2010

AbstractThis paper surveys the current state of global empirical research on price setting behaviour at the firm level to evaluate the adequacy of pricing models used in the macro literature. To that end, it analyses the implications of 25 theoretical models (sticky information, menu costs, time dependent, costs of adjustment and customer anger models) in terms of their ability to match the key micro stylised facts. It is found that the explanatory power differs considerably across models and that many popular models are at odds with the main micro features, suggesting the need to further refine modelling strategies.
Science and Ideology in Economic, Political and Social Thought
Authors: Hillinger Claude 
Published: September 2010

AbstractThis paper has two sources: One is my own research in three broad areas: business cycles, economic measurement and social choice. In all of these fields I attempted to apply the basic precepts of the scientific method as it is understood in the natural sciences. I found that my effort at using natural science methods in economics was met with little understanding and often considerable hostility. I found economics to be driven less by common sense and empirical evidence, than by various ideologies that exhibited either a political or a methodological bias, or both. This brings me to the second source: Several books have appeared recently that describe in historical terms the ideological forces that have shaped either the direct areas in which I worked, or a broader background. These books taught me that the ideological forces in the social sciences are even stronger than I imagined on the basis of my own experiences.The scientific method is the antipode to ideology. I feel that the scientific work that I have done on specific, long standing and fundamental problems in economics and political science have given me additional insights into the destructive role of ideology beyond the history of thought orientation of the works I will be discussing.
On the Explosive Nature of Hyper-Inflation Data
Authors: Nielsen Bent 
Published: September 2010

Abstract
Empirical analyses of Cagan’s money demand schedule for hyper-inflation have largely ignored the explosive nature of hyper-inflationary data. It is argued that this contributes to an (i) inability to model the data to the end of the hyper-inflation, and to (ii) discrepancies between “estimated” and “actual” inflation tax. Using data from the extreme Yugoslavian hyper-inflation it is shown that a linear analysis of levels of prices and money fails in addressing these issues even when the explosiveness is taken into account. The explanation is that log real money has random walk behaviour while the growth of log prices is explosive. A simple solution to these issues is found by replacing the conventional measure of inflation by the cost of holding money.
Testing the New Keynesian Model on U.S. and Euro Area Data
Authors: Juselius Mikael 
Published: September 2010

AbstractI apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary data. The NK-model is tested on quarterly U.S. and Euro area time series data. I find that the restrictions implied by the core equations of the NK-model are rejected regardless of sample periods or measures of real marginal costs. I also provide a tentative explanation of the results favored by previous researches.
Random Matrix Theory and Macro-Economic Time-Series: An Illustration Using the Evolution of Business Cycle Synchronisation, 1886–2006
Authors: Ormerod Paul 
Published: September 2010

Abstract
The aim of this paper is to show that random matrix theory (RMT) can be a useful addition to the economist’s tool-kit in the analysis of macro-economic time series data. A great deal of applied economic work relies upon empirical estimates of the correlation matrix. However due to the finite size of both the number of variables and the number of observations, a reliable determination of the correlation matrix may prove to be problematic. The structure of the correlation matrix may be dominated by noise rather than by true information. Random matrix theory was developed in physics to overcome this problem, and to enable true information in a matrix to be distinguished from noise. There is now a large literature in which it is applied successfully to financial markets and in particular to portfolio selection. The author illustrates the application of the technique to macro-economic time-series data. Specifically, the evolution of the convergence of the business cycle between the capitalist economies from the late 19th century to 2006. The results are not in sharp contrast with those in the literature obtained using approaches with which economists are more familiar. However, there are differences, which RMT enables us to clarify.
The Impact of Tax and Market Distortions on the Phillips Curve and the Natural Rate of Unemployment
Authors: Bokan Nikola , Hallett Andrew Hughes 
Published: September 2010

AbstractMost people accept that structural and labour market reforms are needed in Europe. However few have been undertaken. The usual conjecture is that reforms are costly in economic performance and costly to finance. Blanchard and Giavazzi (2003) and Spector (2004) develop a general equilibrium model with imperfect competition to show the impact of labourorproduct market deregulation. We extend that model to combine these two types of reform, and then to include the effects of lowering tax distortions, the costs of financing these reforms and the conflict between long run gains and short run costs. Specifically, we use the model to explain the natural rate of unemployment and non-wage employment costs in order to show the impact of these reforms on the short and long run Phillips curve parameters. We find that structural reforms imply short run costs but long run gains; that the long run gains outweigh the short run costs; and that the financing of such reforms will be the main stumbling block. Likewise, we find an ambiguous effect on flattening the Phillips curve in the short run, but favourable effects on the natural rate in the long run. However the implications for welfare improvements and employment generation are quite distinct. Tax reforms are more effective for welfare gains, but market liberalisation is more valuable for generating employment.
Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Authors: Giese Julia V. 
Published: September 2010

AbstractEmpirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary, the expectations hypothesis fails. However, we present evidence thatdifferencesbetween two spreads are stationary. This suggests that the curvature of the yield curve may be a more meaningful indicator of expected future interest rates than the slope. Furthermore, we characterise level and slope by deriving the common trends inherent in the cointegrated VAR, and establish feedback patterns between them and the macroeconomy.
How Much Do Perceptions of Corruption Really Tell Us?
Authors: Abramo Claudio Weber 
Published: September 2010

Abstract
Regressions and tests performed on data from Transparency International Global Corruption Barometer (GCB) 2004 survey show that personal or household experience of bribery is not a good predictor of perceptions held about corruption among the general population. In contrast, perceptions about the effects of corruption correlate consistently among themselves. However, no consistent relationship between opinions about general effects and the assessments of the extent with which corruption affects the institutions where presumably corruption is materialized is found. Countries are sharply divided between those above and below the US$ 10,000 GDP per capita line in the relationships between variables concerning corruption. Among richer countries, opinions about institutions explain very well opinions concerning certain effects of corruption, while among poorer countries the explanatory power of institutions for the effects of corruption falls. Furthermore, tests for dependence applied between the variables in the sets of respondents for each of 60 countries also show that, for most of them, it is likely that experience does not explain perceptions. On the other hand, opinions tend to closely follow the trend of other opinions. Additionally, it is found that in the GCB opinions about general effects of corruption are strongly correlated with opinions about other issues. The correlation is so strong as to justify the hypothesis that it would suffice to measure the average opinion of the general public about human rights, violence etc. to accurately infer what would be the average opinion about least petty and grand corruption. The findings reported here challenge the value of perceptions of corruption as indications of the actual incidence of the phenomenon.
Inflation Targeting Is a Success, So Far: 100 Years of Evidence from Swedish Wage Contracts
Authors: Fregert Klas , Jonung Lars 
Published: September 2010

Abstract
We evaluate the Swedish inflation targeting regime adopted in 1993−1995 using a novel approach based on a unique data set on the characteristics of collective wage agreements between 1908 and 2008. We find that the inflation targeting regime of 1995−2008 stands out as an exceptionally stable policy regime as judged by the willingness of wage contract-makers to repeatedly commit to three-year non-indexed wage agreements. Inflation targeting gained instant credibility in the sense that the labor market organizations entered long-term wage agreements at the same time as this new regime was announced. Inflation targeting has thus reduced macroeconomic uncertainty compared to previous regimes adopted in Sweden, including the gold standard before and after World War I, the price level targeting of the 1930s, the Bretton Woods period of fixed exchange rates. As judged by the reactions of the labor market participants, inflation targeting in Sweden is a success―at least so far.
Published as Policy Paper
Game of Organizing International Cricket: Co-Existence of Country-Line and Club-Line Games
Authors: Das Satya P. 
Published: September 2010

Abstract
The paper presents an economic model of interaction between cricket boards, players and international club-line games sponsors like ICL or IPL. It attempts to capture the inherent conflict between such games and country-line games traditionally organized by cricket boards. It identifies the nature of various trade offs facing these ‘players’ in the game and examines the effects of market-size changes on the composition of players, the scale of country-line and club-line games and the welfare of players and cricket boards.
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
Authors: Møller Niels Framroze 
Published: September 2010

AbstractExamples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the economic model is related to econometric concepts of exogeneity. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the long-run impact matrix,C;captures the comparative statics and the exogenous variables are the common trends. The adjustment parameters of the CVAR are related to expectations formation, market clearing, nominal rigidities, etc. Finally, the general-partial equilibrium distinction is analyzed.
Monetary Policy and Swedish Unemployment Fluctuations
Authors: Alexius Annika , Holmlund Bertil 
Published: September 2010

AbstractA widely spread belief among economists is that monetary policy has relatively short-lived effects on real variables such as unemployment. Previous studies indicate that monetary policy affects the output gap only at business cycle frequencies, but the effects on unemployment may well be more persistent in countries with highly regulated labor markets. We study the Swedish experience of unemployment and monetary policy. Using a structural VAR we find that around 30 percent of the fluctuations in unemployment are caused by shocks to monetary policy. The effects are also quite persistent. In the preferred model, almost 30 percent of the maximum effect of a shock still remains after ten years.
Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries
Authors: Qin Duo 
Published: September 2010

AbstractThis study explores a new modelling approach that bridges the gap between multilateral country-level data and the bilateral-model based, goods-market specific purchasing power parity (PPP) hypothesis. Under this approach, PPP is embedded in latent common factors, extractable from a large set of bilateral price disparities, and tested via an error-correction model where the factors act as error-correction leading indicators for exchange rate and inflation. Significant modelling results for five OECD countries using monthly data suggest that the extant finding of insignificant PPP using similar data should be due to errors-invariables attenuation and that its correction lies in effective construction of latent variables.
Modeling the Effects of Financial Constraints on Firm’s Investment
Authors: Tomat Gian Maria 
Published: September 2010

Abstract
The paper develops a model of firm´s investment under uncertainty with financial market imperfections and analyzes the effects of financial constraints on firm´s investment. Firm´s investment is an increasing function of the firm´s marginal q, however the investment function is characterized by an upper bound that depends on the firm´s borrowing capabilities. The firm´s marginal q is the sum of the expected value of the marginal profitability of the physical capital stock and of a positive external finance premium. In the presence of financial market imperfections the firm forms expectations about future financial conditions and these expectations raise the firm´s current marginal q. Similarly, the shadow price of firm´s debt is the sum of the interest cost of debt repayment and of a provision for external finance that depends on the firm´s expectations over future financial conditions.
Power-Law and Log-Normal Distributions in Temporal Changes of Firm-Size Variables
Authors: Ishikawa Atushi 
Published: September 2010

Abstract
In this paper the author shows that signed temporal changes of firm size variables follow the power-law for large changes; while, for middle changes a log-normal distribution is found. In the analyses, the author employed three databases: high-income data, high-sales data and positive-profits data of Japanese firms. It is particularly worth noting that the growth rate distributions in temporal changes of the firm size data have no wide tail, unlike the distributions observed in assets and sales of firms, the number of employees and personal income data. An Extended-Gibrat’s Law was also found in the growth rate distributions of temporal changes of firm size variables, which induces both the power-law and the log-normal distributions in the temporal changes of firm size under the Detailed Balance.
The “Credit-Cost Channel” of Monetary Policy. A Theoretical Assessment
Authors: Tamborini Roberto 
Published: September 2010

Abstract
Drawing on the modern literature on the monetary transmission mechanisms with capital market imperfections, this paper presents a model of the “credit-cost channel” of monetary policy. The thrust of the model is that firms’ reliance on bank loans (“credit channel”) may make aggregate supply sensitive to bank interest rates (“cost channel”), which are in turn driven by the official rate controlled by the central bank. The model is assessed theoretically by examining whether, and under what conditions, changes in the policy interest rate produce the whole pattern of the observed stylized effects of monetary policy, with no recourse to non-competitive hypotheses and frictions in the goods and labour markets. This result is obtained for parameter values in the range of available consensus estimates, with a caveat concerning labour-supply elasticity to the real wage rate.
Distribution of Labour Productivity in Japan over the Period 1996–2006
Authors: Souma Wataru , Ikeda Yuichi , Iyetomi Hiroshi , Fujiwara Yoshi 
Published: September 2010

Abstract
The distribution of labour productivity is investigated by analyzing the longitudinal micro-level data set which contains the detailed financial conditions of large numbers of Japanese companies over the period 1996–2006. The authors show that the distribution of labour productivity in both the high and low productivity ranges follows a power law distribution. The generalized beta function of the second kind, which asymptotically reproduces a power law function, is applied to explain the distribution of labour productivity. By comparing the power law exponents that characterize high and low productivity ranges, the authors show that for manufacturing industries, inequality in the low productivity range is larger than that in the high productivity range. For the manufacturing industries, the authors also clarify that the change of inequality in the low productivity range has strong correlation with GDP. In addition, by comparing the power law exponents of the high productivity range in the manufacturing and non-manufacturing industries, the authors show that the inequality of the non-manufacturing industry is higher than that of the manufacturing industry.
A Dynamic Probabilistic Version of the Aoki–Yoshikawa Sectoral Productivity Model
Authors: Scalas Enrico , Garibaldi Ubaldo 
Published: September 2010

Abstract
In this paper, the authors explore a dynamical version of the Aoki and Yoshikawa model (AYM) for an economy driven by demand. They show that when an appropriate Markovian dynamics is taken into account, the AYM has different equilibrium distributions depending on the form of transition probabilities. In the version of the dynamic AYM presented here, transition probabilities depend on a parameter c tuning the choice of a new sector for workers leaving their sector. The solution of Aoki and Yoshikawa is recovered only in the case c = 0. All the other possible cases give different equilibrium probability distributions, including the Bose–Einstein distribution.
Implicit Microfoundations for Macroeconomics
Authors: Wright Ian 
Published: September 2010

Abstract
A large market economy has a huge number of degrees of freedom with weak microlevel coordination. The ‘implicit microfoundations’ approach considers this property of micro-level interactions to more strongly determine macro-level outcomes compared to the precise details of individual choice behavior; that is, the ‘particle’ nature of individuals dominates their ‘mechanical’ nature. So rather than taking an ‘explicit microfoundations’ approach, in which individuals are represented as ‘white-box’ sources of fully-specified optimizing behavior (‘rational agents’), we instead represent individuals as ‘black box’ sources of unpredictable noise subject to objective constraints (‘zero-intelligence agents’). To illustrate the potential of the approach we examine a parsimonious, agent-based macroeconomic model with implicit microfoundations. It generates many of the reported empirical distributions of capitalist economies, including the distribution of income, firm sizes, firm growth, GDP and recessions.
Challenges Associated with the Expansion of Deposit Insurance Coverage during Fall 2008
Authors: Schich Sebastian 
Published: September 2010

Abstract
Government provision of a financial safety net for financial institutions has been a key element of the policy response to the current crisis, with governments extending existing guarantees and introducing new ones. These measures have been helpful in avoiding a further accelerated loss of confidence. But they are not costless. Like any guarantee, deposit insurance gives rise to moral hazard, especially if the coverage is unlimited. In the midst of a crisis, the immediate task is to restore confidence, and guarantees can be helpful in that respect. Nonetheless, to keep market discipline operational, it is important to specify when the extra insurance will end, and this timeline needs to be credible. To be able to establish such a timeline the root causes of the lack of confidence—that is the effects of troubled assets on financial firms’ health—need to be addressed effectively. On a more fundamental level, once a government has ventured down the road of guarantee expansion, there may be a general perception that a government guarantee will always be available during crisis situations. As a consequence, other elements of the financial safety net may need to be strengthened, including the prudential and supervisory framework.
Published as Policy Paper