22 research outputs found

    Ricardian Equivalence Proposition in a NK DSGE Model for two Large Economies: The EU and the US

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    This paper examines the macroeconomic effects of active fiscal policy management coupled with a monetary policy that follows the Taylor principle. The objective is to investigate the relevance of the Ricardian Equivalence Proposition (REP) in a framework where two large open economies interact and a fraction of the consumers is financially constrained. According to an estimated vector autoregressive model, a positive shock in government expenditure leads to an increase in private consumption (at odds with the permanent income hypothesis). The channels are studied in a fully microfounded dynamic stochastic general equilibrium model economy calibrated for the Euro Area (EU-12) and for the United States. The crucial parameter that drives the break of the REP is the share of financially constrained consumers. Firms produce tradable varieties in a monopolistic competition framework and pricing is à la Calvo, which leads to nominal price stickiness. Labor varieties are immobile across countries and are demanded in an aggregated fashion by firms. Fiscal policy is specified as a time-consistent rule. We simulate through impulseresponse functions parameterizations that yield results consistent with the REP, and estimate a subset of deep parameters employing Bayesian techniques.

    Sectoral productivity and spillover effects of FDI in Latin America

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    Empirical studies analysing productivity effects of inward FDI in Latin America (LA) are inconclusive. We argue that investigating aggregate FDI masks interesting effects of FDI that take place within and across sectors. Moreover, the potential of FDI to generate productivity effects differs across sectors. For these reasons and because sectoral FDI intensities vary significantly among LA countries and change over time, we investigate the productivity effects of FDI in eight different sectors including the primary sector, manufacturing and services. Besides FDI, sector-specific institutional factors, education and a sector‘s export share are considered as control variables. Given the likely endogeneity of variables, a GMM system estimation approach is used. The results indicate that positive productivity effects can be found in all sectors, although they may depend on specific conditions or are limited to a certain time period. Direct productivity effects are highest in the primary sector (agriculture, mining and petroleum production) and in financial services. In contrast, FDI in manufacturing and in transport and telecommunications generates productivity spillovers to nearly all other sectors.FDI, productivity, sector level, Latin America

    Introducing Financial Assets into Structural Models

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    This paper reviews extensively the literature on asset pricing and builds a structural dynamic general equilibrium model with financial assets. We obtain the policy function of the calibrated model and approximate it up to third order. We derive asset pricing and various premiums conditions up to the third order, meaning that returns depend on the first three conditional moments. We obtain a hypothetic yield curve whose curvature increases with the order of approximation because of premiums. In addition, impulse responses of various fundamental shocks illustrate the effects on the level and slope of bond yields with several maturities and on break-even inflation. Important shocks are technology and inflation target shocks.

    A Microfounded Sectoral Model for Open Economies

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    In this paper we derive a microfounded macro New Keynesian model for open economies, be them large or small. We consider habit formation in consumption, sectoral linkages for tradable and non-tradable goods, capital stock investments with variable capital utilization, domestic and foreign governments, imperfect (exchange rate) pass-through in import prices and incomplete international financial markets. Sticky nominal prices and wages are modeled in Calvo and Taylor staggered ways. The model economy is composed of a continuum of infinitely-lived consumers and producers of final and intermediate goods. We provide a very general log-linearization method, from which we can easily obtain various special cases, as trend inflation or steady-state log-linearizations.Numerical simulations of the two-country sectoral model are provided for a relatively large number of structural shocks as domestic and foreign productivity shocks in final tradables and non-tradables, money demand shocks and a shock in the exchange rate. Such a model is well suited for monetary policy analysis at the international level and risk analysis.New Keynesian open economy model, tradable and non-tradable sectors, final and intermediate goods, log-linearization

    Non-Ricardian Aspects of Fiscal Policy in Chile

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    This paper examines non-Ricardian effects of government spending shocks in the Chilean economy. We first provide evidence on those effects based on vector autoregressions. We then show that such evidence can be accounted for by a model that features: (i) a sizeable share of non-Ricardian households (i.e. households which do not make use of financial markets and just consume their current labor income); (ii) nominal price and wage rigidities; (iii) an inflation targeting scheme, and (iv) a structural balance fiscal rule that represents the particular Chilean fiscal rule. The model is estimated employing Bayesian techniques. Finally, we use model simulations to demonstrate the countercyclical effects of the Chilean fiscal rule as compared with a zero-deficit rule.

    Simulation, estimation and welfare implications of monetary policies in a 3-country NOEM model

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    In this paper we derive a microfounded macro New Keynesian model for open economies, be them large or small. We consider habit formation in consumption, sectoral linkages, domestic and foreign governments, tradable and non-tradable final and intermediate goods and imperfect pass-through in these sectors. Sticky nominal prices and wages are modeled in a Calvo way. The model economy is composed of a continuum of infinitely-lived consumers and producers for three regions (countries). Numerical simulations and econometric estimations are presented with a focus on a small open economy member of the EMU. Welfare implications of the involved price and wage rigidities are discussedNew Keynesian open economy model, tradable and non-tradable sectors, final and intermediate goods, monetary policy rules, numerical simulations, Bayesian estimation, welfare implications

    An Estimated DSGE Model of Austria, the Euro Area and the U.S.: Some Welfare Implications of EMU

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    We build a fully micro-founded dynamic general equilibrium (DSGE) model, which is estimated employing Bayesian methods. The model captures the most salient features of Austria as a small open economy, the Euro Area (EA) and the United States (U.S.). Further analysis is conducted through numerical simulations to examine how nominal and real shocks are propagated. Besides, welfare costs of nominal rigidities are calculated. We distinguish two sample periods, ‘pre-EMU’ and ‘EMU’. In the former, we maintain the assumption of full commitment of respective (independent) Central Banks towards their monetary rules, whereas in the latter, the monetary policy of Austria is fully aligned with the European Central Bank. Main results are derived from Bayesian estimation and simulation of the estimated model. Welfare calculations from the estimated model suggest that in the pre-EMU period, the EA and Austria present welfare costs close to one percent of steady-state consumption, whereas the U.S. welfare costs is slightly higher (-1.52 percent). As it would be expected, in the second subsample, welfare costs in the EA decrease, indicating an improvement in the allocation during the EMU regime (similarly in the U.S.), whereas in Austria welfare costs go up.Monetary Policy, NOEM, DSGE models, Austria, EURO area, U.S.

    Non-Ricardian Aspects of Fiscal Policy in Chile

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    This paper examines non-Ricardian effects of government spending shocks in the Chilean economy. We first provide evidence on those effects based on vector autoregressions. We then show that such evidence can be accounted for by a model that features: (i) a sizeable share of non-Ricardian households (i.e. households which do not make use of financial markets and just consume their current labor income); (ii) nominal price and wage rigidities; (iii) an inflation targeting scheme and (iv) a structural balance fiscal rule that reflects the particular Chilean fiscal rule. The model is estimated employing Bayesian techniques. Finally, we use model simulations to demonstrate the countercyclical effects of the Chilean fiscal rule as compared with a zero-deficit rule.

    Estudios hidrológicos e hidráulicos para el ordenamiento territorial de una cuenca

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    [ES] Se presenta la aplicación de una metodología basada en la modelación matemática y en la utilización de sistemas gráficos computacionales para la obtención de pautas de decisión destinadas al ordenamiento territorial y planificación urbana de una cuenca con escasez de datos que involucra a una ciudad capital de provincia en el Noroeste de Argentina.Maza, J.; Fernández, P.; Vargas, A.; Fornero, L.; Trípodi, D.; Yañez, H.; Núñez, M. (1995). Estudios hidrológicos e hidráulicos para el ordenamiento territorial de una cuenca. Ingeniería del Agua. 2(1):31-44. https://doi.org/10.4995/ia.1995.2655SWORD314421Cazorzi, Federico (1991) Watershed Oriented Digital Terrain Model. User's Manual. Department of Land and Agroforest Environment. University of Padova.Fernández, Pedro C.; Roby, O.; Fornero, L.; Maza, J. (1985) Primeras Conclusiones de los Trabajos de Hidrología en Tiempo Real realizados en el Piedemonte del oeste del Gran Mendoza. XII Congreso Nacional del Agua, Mendoza, Argentina.Keifer, Clint; CHU, H.H. 1957) Synthetic Storm Pattern for Drainage Design. Journal of the Hydraulic Division A.S.C.E. New York, U.S.A.Medina, Lázaro; Moyano, M.C. (1995) Etudio Piloto de Lluvias Intensas en la República Argentina. INCyTH. Hidrología. Cuaderno n° 2. Buenos Aires, Argentina.Roby, Héctor. (1980) Determinación de Escorrentía a partir de la Precipitación sobre una Cuenca. Metodología del Servicio de Conservación de Suelos de los Estados Unidos. (Trabajo de Traducción y Adaptación). INCyTH-CRA. Mendoza, Argentina.U.S. Army Corps of Engineers (Hydrologic Engineering Center) (1990) HEC-1. Flood Hydrograph Package. User's Manual. Davis, California, U.S.A.U.S.Army Corps of Engineers (Hydrologic Engineering Center). (1991) HEC-2. Water Surface Profiles. User's Manual. Davis. California, U.S.A.Villodas, Angel R. (1992) Hidrología Urbana en un Sistema de Desagüe Pluvial no Convencional. Informe Final de Beca de Iniciación de CONICET. Mendoza, Argentin

    "Simulation, estimation and welfare implications of monetary policies in a 3-country NOEM model." NBB Working Paper No. 94, October 2006

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    In this paper we derive a microfounded macro New Keynesian model for open economies, be them large or small. We consider habit formation in consumption, sectoral linkages, domestic and foreign governments, tradable and non-tradable final and intermediate goods and imperfect pass-through in these sectors. Sticky nominal prices and wages are modeled in a Calvo way. The model economy is composed of a continuum of infinitely-lived consumers and producers for three regions (countries). Numerical simulations and econometric estimations are presented with a focus on a small open economy member of the EMU. Welfare implications of the involved price and wage rigidities are discussed
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