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Estimating the Effects of Fiscal Policy in OECD Countries
Estimating the e®ects of ¯scal policy in OECD countries Roberto Perotti¤ This version: November 2004 Abstract This paper studies the e®ects of ¯scal policy on GDP, in°ation and interest rates in 5 OECD countries, using a structural Vector Autoregression approach. Its main results can be summarized as follows: 1) The e®ects of ¯scal policy on GDP tend to be small: government spending multipliers larger than 1 can be estimated only in the US in the pre-1980 period. 2) There is no evidence that tax cuts work faster or more e®ectively than spending increases. 3) The e®ects of government spending shocks and tax cuts on GDP and its components have become substantially weaker over time; in the post-1980 period these e®ects are mostly negative, particularly on private investment. 4) Only in the post-1980 period is there evidence of positive e®ects of government spending on long interest rates. In fact, when the real interest rate is held constant in the impulse responses, much of the decline in the response of GDP in the post-1980 period in the US and UK disappears. 5) Under plausible values of its price elasticity, government spending typically has small e®ects on in°ation. 6) Both the decline in the variance of the ¯scal shocks and the change in their transmission mechanism contribute to the decline in the variance of GDP after 1980. ¤IGIER - Universitµa Bocconi and Centre for Economic Policy Research. I thank Alberto Alesina, Olivier Blanchard, Fabio Canova, Zvi Eckstein, Jon Faust, Carlo Favero, Jordi Gal¶³, Daniel Gros, Bruce Hansen, Fumio Hayashi, Ilian Mihov, Chris Sims, Jim Stock and Mark Watson for helpful comments and suggestions. -
Essays on Time Allocation
Tesi Doctoral Essays on Time Allocation A thesis presented by Jorge González Chapela to Departament d’Economia i Empresa Universitat Pompeu Fabra Barcelona May 2004 “It is merely human nature that we overrate the importance of our own types of research and underrate the importance of the types that appeal to others. Perhaps it is not too much to say that we should never do what we are doing, both in science and in other pursuits of life, if we did not do this.” Joseph A. Schumpeter ii Acknowledgments First of all, I want to thank Xavier Sala i Martín. Not only his support and infinite patience when progress was stagnant were essential to the comple- tion of this thesis, but also because he showed me that the way to become a rigorous scientist is paved with intellectual curiosity, clear mind, and hard work. M’esforçare per estar a la alçada del teu magisteri, Xavier. I owe a lot (a lot!) to Ernesto Villanueva. His guidance, patience, encouragement, and friendship have been fundamental to arrive here. Gracias, Ernesto. Throughout the Ph.D., Antonio Ciccone, Jaume García, and Ángel López have deeply contributed to develop my skills as an economist with their brilliant lectures, fruitful discussions, and appealing challenges. A los tres, ¡gracias! In some way or another, may other people have intellectually shaped this thesis—my teachers at Universidade de Santiago de Compostela and Universitat Pompeu Fabra, my class mates,... To all of them, my gratitude. Ademais de débedas intelectuais, unha tese leva consigo unha morea de renuncias. Pra chegar eiquí, tiven de renuncia-la compaña dos meus pais e irmán—vós sóde-lo todo pra min—, dos meus bos amigos—¡cantas cousas puidemos ter feito xuntos!—, e de moitas outras persoas—vivas ou xa mortas— que me aledan a vida. -
Responsible for an Remaining Errors. the Research Reported Here Is
NBER WORKING PAPER SERIES USE OF (TI-DoIN) VECTOR AUTOREGRESSIONS TO TEST UNCOVERED INTEREST PARITY Takatoshi Ito Working Paper No. 1193 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 November 198). The author is thankful to Thomas Sargent and Christopher Sims for various useful suggestions and discussions. Comments from Paul Evans, Fumio Hayashi, Robert Hodrick, Angelo Melino and Danny Quah were very helpful. Financial assistance from the Suntory Foundation and the National Bureau of Economic Research is grate- fully acknowledged. The author is thankful to Lenny Dendunnen for his excellent computational assistance. The author, however, is responsiblefor an remaining errors. The research reported here is part of the NBER's research programs in Financial Markets and MonetaryEconomicsand International Studies. Any opinions expressedare those of the author and not those of the National Bureau of Economic Research. NBER Working Paper !i1493 November 1984 Use of (Time—Domain) Vector Autoregressions to Test Uncovered Interest Parity ABSTRACT In this paper, a vector autoregression model (VAR) is proposed in order to test uncovered interest parity (UIP) in the foreign exchange market. Consider a VAR system of the spot exchange rate (yen/dollar), the domestic (US) interest rate and the foreign (Japanese) interest rate, describing the interdependence of the domestic and international financial markets. Uncovered interest parity is stated as a null hypothesis that the current difference between the two interest rates is equal to the difference between the expected future (log of) exchange rate and the (log of) current spot exchange rate. Note that the VAR system will yield the expected future spot exchange rate as a k—step ahead unconditional prediction. -
C:\Working Papers\11693.Wpd
NBER WORKING PAPER SERIES WORK HOURS, WAGES, AND VACATION LEAVE Joseph G. Altonji Emiko Usui Working Paper 11693 http://www.nber.org/papers/w11693 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 October 2005 This research was supported by the Institute for Policy Research, Northwestern University, the Economic Growth Center, Yale University, and the National Science Foundation under grants SES- 0112533 and SES- 0301142. We thank Derek Neal, Christopher Taber and participants in seminars at the Federal Reserve Bank of Chicago, LSE, the Midwest Economic Association Meetings, NBER, Northwestern, the Universitat Pompeu Fabra, and the Upjohn Institute for helpful comments. The usual disclaimer applies. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research. ©2005 by Joseph G. Altonji and Emiko Usui. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. Work Hours, Wages, and Vacation Leave Joseph G. Altonji and Emiko Usui NBER Working Paper No. 11693 October 2005 JEL No. J2 ABSTRACT Using the Panel Study of Income Dynamics and the Health and Retirement Study, we provide a set of facts about vacation leave and its relationship to hours worked, hours constraints, wage rates, worker characteristics, spouse's vacation leave, labor market experience, job tenure, occupation, industry, and labor market conditions. We show that on average vacation time taken rises 1 to 1 with paid vacation but varies around it, that annual hours worked fall by about 1 full time week with every week of paid vacation, that the gap between time taken and time paid for is higher for women, union members, and government workers, that hourly wage rates have a strong positive relationship with paid vacation weeks both in the cross section and across jobs, and that nonwage compensation is positively related to vacation weeks. -
Female Socialization: How Daughters Affect Their Legislator Fathers’ Voting on Women’S Issues Ebonya Washington Yale University and NBER May 2007
Female Socialization: How Daughters Affect Their Legislator Fathers’ Voting on Women’s Issues Ebonya Washington Yale University and NBER May 2007 Parenting daughters, sociologists have shown, increases feminist sympathies. I test the hypothesis that children, much like neighbors or peers, can influence parental behavior. I demonstrate that conditional on total number of children, each daughter increases a congress person’s propensity to vote liberally, particularly on reproductive rights issues. The results identify an important (and previously omitted) explanatory variable in the literature on congressional decision making. Additionally the paper highlights the relevance of child to parent behavioral influence. I thank Joseph Altonji, Timothy Guinnane, Carolyn Moehling Rohini Pande and Antoinette Schoar for helpful discussions as well as seminar participants at Cornell, Harvard, MIT, Stanford Institute for Theoretical Economics: Psychology and Economics 5.0 and Yale for their comments. I thank Samantha Green-Atchley for excellent research assistance. Email address: [email protected]. I Introduction By the early eighties, after nearly two terms in Congress, Senator Pete W. Domenici (R- NM) had made a name for himself. “He was a gray, pragmatic fiscal and social conservative who opposed abortion, gun control and same-sex marriage and supported school vouchers, tax cuts and mandatory three-strikes sentencing. He was no bleeding heart, no cause pleader.” 1 That is until the withdrawn, indecisive and confused behavior of his daughter Clare was diagnosed as atypical schizophrenia. Now Domenici is Congress’ leading advocate for health insurance parity for mental illness. He is not alone. Domenici built a multiparty coalition that has included five legislators, all of whose lives have been touched by mental illness. -
The Equity Premium and the One Percent∗
The Equity Premium and the One Percent∗ Alexis Akira Today Kieran Walshz First draft: March 2014 This version: December 29, 2016 Abstract We show that in a general equilibrium model with heterogeneity in risk aversion or belief, shifting wealth from an agent who holds comparatively fewer stocks to one who holds more reduces the equity premium. Since empirically the rich hold more stocks than do the poor, the top income share should predict subsequent excess stock market returns. Consistent with our theory, we find that when the income share of top earners in the U.S. rises, subsequent one year market excess returns significantly de- cline. This negative relation is robust to (i) controlling for classic return predictors such as the price-dividend and consumption-wealth ratios, (ii) predicting out-of-sample, and (iii) instrumenting with changes in estate tax rates. Cross-country panel regressions suggest that the inverse rela- tion between inequality and returns also holds outside of the U.S., with stronger results in relatively closed economies (emerging markets) than in small open economies (Europe). Keywords: equity premium; heterogeneous risk aversion; return pre- diction; wealth distribution; international equity markets. JEL codes: D31, D52, D53, F30, G12, G17. 1 Introduction Does the wealth distribution matter for asset pricing? Intuition tells us that it does: as the rich get richer, they buy risky assets and drive up prices. In- deed, over a century ago prior to the advent of modern mathematical finance, Fisher (1910) argued that there is an intimate relationship between prices, the heterogeneity of agents in the economy, and booms and busts. -
By Fumio Hayashi and Junko Koeda Hitotsubashi University, Japan, And
EXITING FROM QE by Fumio Hayashi and Junko Koeda Hitotsubashi University, Japan, and National Bureau of Economic Research University of Tokyo February 2014 Abstract We develop a regime-switching SVAR (structural vector autoregression) in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. There are two regimes, one of which is QE (quantitative easing). The model can incorporate the exit condition for terminating QE. We then apply the model to Japan, a country that has accumulated, by our count, 130 months of QE as of December 2012. Our impulse response and counter-factual analyses yield two findings about QE. First, an increase in reserves raises inflation and output. Second, terminating QE can be expansionary. Keywords: quantitative easing, structural VAR, observable regimes, Taylor rule, impulse responses, Bank of Japan. We are grateful to James Hamilton, Yuzo Honda, Tatsuyoshi Okimoto, Etsuro Shioji, George Tauchen, and particularly Toni Braun for useful comments and suggestions. 1 1 Introduction and Summary Since the recent global financial crisis, central banks of major market economies have adopted quantitative easing, or QE, which is to allow reserves held by depository institutions far above the required level while keeping the policy rate very close to zero. This paper uses an SVAR (structural vector autoregression) to evaluate macroeconomic effects of QE. Reliably estimating such a time-series model is difficult because only several years have passed since the crisis. We are thus led to examine Japan, a country that has already accumulated a history of, by our count, 130 months of QE as of December 2012. -
2019 Mincer Award
David Card is the recipient of the 2019 Jacob Mincer Award for Lifetime Contributions to the Field of Labor Economics. Card is the Class of 1950 Professor of Economics and the Director of the Center for Labor Economics at the University of California, Berkeley. He is a fellow of the Society of Labor Economists, the Econometric Society, and the American Academy of Arts and Sciences. David has won numerous prizes and awards, including the Frisch Medal from the Econometric Society, the IZA Prize in Labor Economics, and the BBVA Foundation Frontiers of Knowledge Award. He has served as co-editor of the Journal of Labor Economics, the American Economic Review, and Econometrica. David has also served as President of the Society of Labor Economists and of the Western Economics Association. David grew up on a farm near Guelph, Ontario, and he attended a one-room school as a child. He was an undergraduate at Queens University and received his Ph.D. in Economics from Princeton. After one year on the faculty at the University of Chicago, David returned to Princeton in 1983, where he remained until 1997 when he moved to Berkeley. David’s time at Princeton was marked by, among other things, very fruitful collaborations with Orley Ashenfelter and Alan Krueger. It was at Princeton that David first exhibited his life-long devotion to training graduate students. Many of David’s students, both from Princeton and Berkeley, are now leading economists in labor economics and related fields. David is an obvious choice for the Mincer Award. It is hard to think of a labor economist who entered the profession in the last 40 years with broader reach and influence than David Card. -
Saving the American Dream? Education Policies in Spatial General Equilibrium
INSTITUTE WORKING PAPER No. 47 Saving the American Dream? Education Policies in Spatial General Equilibrium March 2021 Fabian Eckert University of California, San Diego Tatjana Kleineberg World Bank DOI: https://doi.org/10.21034/iwp.47 Keywords: Intergenerational mobility; Equality of opportunity; School access; Education reform; Regional labor markets; Economic geography; Spatial economics JEL classification: E24, E62, R12, R23, R75, I24, I28 The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. Saving the American Dream? Education Policies in Spatial General Equilibrium∗ Fabian Eckerty Tatjana Kleineberg z First Version: November 2017 This Version: March 2021 Abstract Children’s education and economic opportunities differ substantially across US neigh- borhoods. This paper develops and estimates a spatial equilibrium model that links children’s education outcomes to their childhood location. Two endogenous factors determine education choices in each location: local education quality and local labor market access. We estimate the model with US county-level data and study the ef- fects of a school funding equalization on education outcomes and social mobility. The reform’s direct effects improve education outcomes among children from low-skill families. However, the effects are weaker in spatial general equilibrium because aver- age returns to education decline and residential and educational choices of low-skill families shift them toward -
Economics 250A Course Outline and Reading List
Economics 250a Course Outline and Reading List This is the first course in the graduate labor economics sequence, and will focus on labor supply, labor demand, and simple search models. The emphasis of the course is on linking basic theoretical insights with empirical patterns in the labor market, using a combination of methodologies. Students are expected to have completed first year micro, marco, and econometrics courses. There will be a number of problem sets throughout the term, which all students must hand in (though working in groups is strongly encouraged). Students are expected to have familiarity with programs like Stata and Matlab. I will be adjusting the content of the course and adding some additional readings. I will also hand out my lecture notes. I recommend reading the starred paper(s) in each section before the lecture, and as many of the other papers as possible. Lecture 1: Review of basic consumer theory; functional form, aggregation, discrete choice Mas-Colell, Whintoe and Green, chapters 3 and 4. Angus Deaton and John Muellbauer, Economics and Consumer Behavior, Cambridge Press, 1980 Geoffrey Jehle and Philip Reny, Advanced Microeconomic Theory (2nd ed), Addision Wes- ley, 2001 John Chipman, "Aggregation and Estimation in the Theory of Demand" History of Po- litical Economy 38 (annual supplement), pp. 106-125. Kenneth Train. Discrete Choice Methods with Simulation, Cambridge Press 2003. Kenneth A. Small and Harvey A. Rosen "Applied Welfare Economics with Discrete Choice Models." Econometrica, 49 (January 1981), pp. 105-130. Lectures 2-4: Static Labor Supply **You should review the Handbook of Labor Economics chapters by Pencavel (volume 1) and Blundell and MaCurdy (volume 3a). -
Fumio Hayashi: Econometrics Is Published by Princeton University Press and Copyrighted, © 2000, by Princeton University Press
COPYRIGHT NOTICE: Fumio Hayashi: Econometrics is published by Princeton University Press and copyrighted, © 2000, by Princeton University Press. All rights reserved. No part of this book may be reproduced in any form by any electronic or mechanical means (including photocopying, recording, or information storage and retrieval) without permission in writing from the publisher, except for reading and browsing via the World Wide Web. Users are not permitted to mount this file on any network servers. For COURSE PACK and other PERMISSIONS, refer to entry on previous page. For more information, send e-mail to [email protected] Preface This book is designed to serve as the textbook for a first-year graduate course in econometrics. It has two distinguishing features. First, it covers a full range of techniques with the estimation method called the Generalized Method of Moments (GMM) as the organizing principle. I believe this unified approach is the most efficient way to cover the first-year materials in an accessible yet rigorous manner. Second, most chapters include a section examining in detail original applied arti- cles from such diverse fields in economics as industrial organization, labor, finance, international, and macroeconomics. So the reader will know how to use the tech- niques covered in the chapter and under what conditions they are applicable. Over the last several years, the lecture notes on which this book is based have been used at the University of Pennsylvania, Columbia University, Princeton Uni- versity, the University of Tokyo, Boston College, Harvard University, and Ohio State University. Students seem to like the book a lot. -
The Impacts of a Mass Media Campaign on Women's Outcomes
Toward Better Informed Decision-Making: The Impacts of a Mass Media Campaign on Women’s Outcomes in Occupied Japan Yoko Okuyama∗ Uppsala University December, 2020 Abstract This study examines the impact of women’s radio programs that the US-led occupying force aired in Japan (1945-1952) to dismantle the prewar patriarchal norms. Using local variation in radio signal strength driven by soil conditions as an instrumental variable, I provide causal evidence that greater exposure to women’s radio programs increases women’s electoral turnout, which further translates into a greater vote share for female candidates. This positive effect contributes to women’s greater representation in the national legislature: had there not been women’s radio programs in place, the number of female winners would have been halved. Moreover, exposure to women’s radio programs contributes to a decline in fertility and therefore had an important implication for the nation’s demographic landscape. The declining fertility is due neither to an increase in women’s career aspirations nor to a decline in marriages. My results are not driven by a preexisting correlation between radio signal strength and women’s behavior before the US occupation. Although research shows that gender norms have historical roots and move slowly, my findings provide evidence that public policy can cut against them to promote equal participation in decision-making. Key words: mass media, gender norm, equal representation, fertility ∗Kyrkogårdsgatan 10B, Department of Economics, Uppsala University, 753 13 Uppsala, Sweden. E-mail: [email protected]. I am very grateful to my doctoral advisors Ebonya Washington, Joseph Altonji, and Costas Meghir for their guidance and support.