On the identification of structural vector autoregressions

Vector autoregression

Fisher's equation and the inflation risk premium in a simple endowment economy

Inflation (Finance) ; Bonds ; Econometric models

A study of US employment rates with emphasis on gender considerations

Employment (Economic theory) ; Labor market ; Women - Employment

The macroeconomics of U.S. consumer bankruptcy choice: Chapter 7 or Chapter 13?

Because of the recent surge in U.S. personal defaults, Congress is currently debating bankruptcy reform legislation requiring a means test for Chapter 7 filers. This paper explores the effects of such a reform in a model where, in contrast to previous work, bankruptcy options and production are explicitly taken into account. The authors' findings indicate that means testing would not improve upon current bankruptcy provisions and, at best, leaves aggregate filings, output, and welfare unchanged. Put simply, given already existing provisions, the introduction of an efficient means test would not bind. However, we do find that a tightening of existing bankruptcy laws, in the form of lower Chapter 7 asset exemptions, can be welfare improving. Contrary to previous studies, the analysis also suggests that eliminating bankruptcy entirely would cause significant declines in both output and welfare.Bankruptcy

Growth effects of progressive taxes

The authors study the effects of progressive taxes in conventional endogenous growth models augmented to include heterogeneous households. In contrast to representative agent models with flat-rate taxes, this framework allows us to distinguish between marginal tax rates and the empirical proxies that are typically used for these rates such as the share of tax revenue, or government expenditures, in GDP. The analysis then illustrates how the endogenous nature of these proxy variables causes them to be weakly correlated, or even increase, with economic growth. This study, therefore, helps explain why cross-country regressions have mostly failed to uncover the distortional growth effects of taxes. In fact, while past U.S. tax reforms appear to have contributed only small increases in per capita GDP growth, the authors' analysis nevertheless suggests that differences in tax codes across countries explain a two and a half percent variation in cross-sectional growth rates. Finally, the authors show that progressivity also introduces significant lags in the effects of tax changes on output growth.Taxation

Changes in monetary policy and the variation in interest rate changes across credit markets

This article uses principal component methods to assess the importance of changes in the federal funds rate in driving interest rate changes across a broad array of credit markets. We find that most of the variability in interest rate changes across these markets is explained by a small number of common components. Furthermore, for many of the interest rate series in our sample, changes that reflect common movements are highly correlated with changes in the federal funds rate. However, in some credit markets associated with longer maturities, such as the mortgage market, common movements are less correlated with changes in the federal funds rate. Therefore, interest rate changes in those markets are i) more likely to reflect aggregate disturbances somewhat unrelated to monetary policy, or ii) related to contemporaneous monetary policy more indirectly through changes in expected future short rates. We also find evidence that movements in the auto loan market are almost entirely driven by idiosyncratic considerations rather than changes in the federal funds rate.Inflation (Finance) ; Monetary policy ; Financial markets

Efficient public investment in a model with transition dynamics

Capital investments

Barriers to foreign direct investment under political instability

Investments, Foreign ; Developing countries