Semiparametric Estimates of Monetary Policy Effects PDF Download

Author: Joshua David Angrist
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :

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Book Description
We develop a flexible semiparametric time series estimator that is then used to assess the causal effect of monetary policy interventions on macroeconomic aggregates. Our estimator captures the average causal response to discrete policy interventions in a macro-dynamic setting, without the need for assumptions about the process generating macroeconomic outcomes. The proposed procedure, based on propensity score weighting, easily accommodates asymmetric and nonlinear responses. Application of this estimator to the effects of monetary restraint suggest contractionary policy slows real economic activity. By contrast, the Federal Reserve's ability to stimulate real economic activity through monetary expansion appears to be much more limited. Estimates for recent financial crisis years are similar to those for the earlier, pre-crisis period.

Author: Adonis Yatchew
Publisher: Cambridge University Press
ISBN: 9780521012263
Category : Business & Economics
Languages : en
Pages : 238

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Book Description
This book provides an accessible collection of techniques for analyzing nonparametric and semiparametric regression models. Worked examples include estimation of Engel curves and equivalence scales, scale economies, semiparametric Cobb-Douglas, translog and CES cost functions, household gasoline consumption, hedonic housing prices, option prices and state price density estimation. The book should be of interest to a broad range of economists including those working in industrial organization, labor, development, urban, energy and financial economics. A variety of testing procedures are covered including simple goodness of fit tests and residual regression tests. These procedures can be used to test hypotheses such as parametric and semiparametric specifications, significance, monotonicity and additive separability. Other topics include endogeneity of parametric and nonparametric effects, as well as heteroskedasticity and autocorrelation in the residuals. Bootstrap procedures are provided.

Author: Zohair Alam
Publisher: International Monetary Fund
ISBN: 1498304788
Category : Business & Economics
Languages : en
Pages : 57

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Book Description
This paper introduces a new comprehensive database of macroprudential policies, which combines information from various sources and covers 134 countries from January 1990 to December 2016. Using these data, we first confirm that loan-targeted instruments have a significant impact on household credit, and a milder, dampening effect on consumption. Next, we exploit novel numerical information on loan-to-value (LTV) limits using a propensity-score-based method to address endogeneity concerns. The results point to economically significant and nonlinear effects, with a declining impact for larger tightening measures. Moreover, the initial LTV level appears to matter; when LTV limits are already tight, the effects of additional tightening on credit is dampened while those on consumption are strengthened.

Author: Valentina Flamini
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 24

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Book Description
We study the effects of monetary policy shocks on employment gender gaps in a panel of 22 countries using quarterly data from 1990 to 2019. Our results show that men’s employment falls more than women’s after contractionary monetary policy shocks, narrowing the employment gender gap over time. Two factors contribute to explaining this heterogeneous effect. First, a larger impact of monetary policy shocks on employment in the industry sector that employs more men. Second, the larger response of the employment gap in the sector (services) that employs the largest share of men and women. In terms of labor market adjustment, the narrowing of the gender employment gap is initially driven by a reduction in the gender unemployment gaps that, over time, results in an adjustment in the gender labor force participation gap—with men’s labor force participation dropping more than women’s. The effects are larger in countries with more flexible labor market regulations, higher gender wage gaps, and lower informal women’s employment compared to men’s. Finally, the effects are also larger for contractionary monetary policy shocks and during expansions.

Author: John B. Taylor
Publisher: Elsevier
ISBN: 0444594787
Category : Business & Economics
Languages : en
Pages : 1376

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Book Description
Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade

Author: Jaime Marquez
Publisher: Springer Science & Business Media
ISBN: 1475735367
Category : Business & Economics
Languages : en
Pages : 147

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Book Description
One cannot exaggerate the importance of estimating how international trade responds to changes in income and prices. But there is a tension between whether one should use models that fit the data but that contradict certain aspects of the underlying theory or models that fit the theory but contradict certain aspects of the data. The essays in Estimating Trade Elasticities book offer one practical approach to deal with this tension. The analysis starts with the practical implications of optimising behaviour for estimation and it follows with a re-examination of the puzzling income elasticity for US imports that three decades of studies have not resolved. The analysis then turns to the study of the role of income and prices in determining the expansion in Asian trade, a study largely neglected in fifty years of research. With the new estimates of trade elasticities, the book examines how they assist in restoring the consistency between elasticity estimates and the world trade identity.

Author: Mr. Pragyan Deb
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 59

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Book Description
This paper revisits the transmission of monetary policy by constructing a novel dataset of monetary policy shocks for an unbalanced sample of 33 advanced and emerging market economies during the period 1991Q2-2023Q2. Our findings reveal that tightening monetary policy swiftly and negatively impacts economic activity, but the effects on inflation and inflation expectations takes time to fully materialize. Notably, there exist significant heterogeneities in the transmission of monetary policy across countries and time, depending on structural characteristics and cyclical conditions. Across countries, monetary policy is more effective in countries with flexible exchange rate regime, more developed financial systems, and credible monetary policy frameworks. In addition, we find that monetary policy transmission is stronger when uncertainty is low, financial conditions are tight and monetary policy is coordinated with fiscal policy—that is, when the stances move in the same direction.

Author: Dinçer, Hasan
Publisher: IGI Global
ISBN: 1799816451
Category : Business & Economics
Languages : en
Pages : 286

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Book Description
Central banking independence is a crucial factor for sustainable economic development of multiple countries. The multiple components for such systems, however, makes it difficult to evaluate how the success of such a system may be determined. Monetary Policies and Independence of the Central Banks in E7 Countries is an essential reference source that evaluates the effectiveness of monetary policies and the independence of central banks to contribute to economic development within seven emerging economies (E7): Brazil, China, India, Indonesia, Mexico, Russia, and Turkey. Featuring research on topics such as global economics, independent banking, and foreign investing, this book is ideally designed for financial analysts, economists, government officials, policymakers, researchers, academicians, industry professionals, and students seeking coverage on improved econometric methods for effective financial systems.

Author: Carl Chiarella
Publisher: Routledge
ISBN: 1135984506
Category : Biography & Autobiography
Languages : en
Pages : 513

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Book Description
This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.

Author: Ajay Agrawal
Publisher: University of Chicago Press
ISBN: 0226833127
Category : Business & Economics
Languages : en
Pages : 172

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Book Description
A timely investigation of the potential economic effects, both realized and unrealized, of artificial intelligence within the United States healthcare system. In sweeping conversations about the impact of artificial intelligence on many sectors of the economy, healthcare has received relatively little attention. Yet it seems unlikely that an industry that represents nearly one-fifth of the economy could escape the efficiency and cost-driven disruptions of AI. The Economics of Artificial Intelligence: Health Care Challenges brings together contributions from health economists, physicians, philosophers, and scholars in law, public health, and machine learning to identify the primary barriers to entry of AI in the healthcare sector. Across original papers and in wide-ranging responses, the contributors analyze barriers of four types: incentives, management, data availability, and regulation. They also suggest that AI has the potential to improve outcomes and lower costs. Understanding both the benefits of and barriers to AI adoption is essential for designing policies that will affect the evolution of the healthcare system.