DOCSLIB.ORG

Self-Evaluation Report 2000 to 2005

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Self-Evaluation Report 2000 to 2005 Self‐Evaluation Report 2000 to 2005 The Department of Economics March 2006 Prepared by Helmut Lütkepohl, Steven Poelhekke, Jessica Spataro doc IUE 62/06 (CR2) CONTENTS Contents 1 Introduction, Mission Statement, and Summary 1 2 The Postgraduate Programme 5 2.1 General Characteristics of the EUI Economics Postgraduate Programme 6 2.2 The New Postgraduate Programme ................... 7 2.3 Pedagogical and Supervision Assessment . 10 2.4 Future Challenges ............................. 10 3 Faculty 15 3.1 Turnover and Hiring of Faculty ..................... 15 3.2 Composition of Faculty .......................... 16 3.3 Current Full{Time Faculty ........................ 17 3.4 Former Full{Time Faculty ........................ 22 3.5 Secretarial and Administrative Support . 26 4 Research 27 4.1 Research Agendas ............................. 27 4.1.1 Microeconomics .......................... 27 4.1.2 Macroeconomics .......................... 28 4.1.3 Econometrics ........................... 28 4.2 Research Funding ............................. 29 4.2.1 Research Council Funded Projects . 29 4.2.2 Externally Funded Projects ................... 29 4.3 Research Activities of Current Faculty Members . 32 4.3.1 Anindya Banerjee ......................... 32 4.3.2 Giancarlo Corsetti ........................ 32 4.3.3 Pascal Courty ........................... 34 4.3.4 Andrea Ichino ........................... 35 4.3.5 Omar Licandro .......................... 36 4.3.6 Helmut LÄutkepohl ........................ 37 4.3.7 Massimo Motta .......................... 38 4.3.8 Salvador Ortigueira ........................ 38 4.3.9 Rick van der Ploeg ........................ 39 4.3.10 Morten O. Ravn ......................... 40 4.3.11 Karl Schlag ............................ 42 4.3.12 Richard Spady .......................... 42 4.4 Department Ranking ........................... 43 IUE 62/06 (CR2) i CONTENTS 5 Students 45 5.1 Application and Selection to the First Year . 45 5.1.1 Applications Statistics ...................... 45 5.1.2 The Selection Process ....................... 47 5.1.3 Student Intake .......................... 47 5.2 Exchange Programmes and Conference Participation . 49 5.2.1 The European Doctoral Programme (EDP) . 50 5.2.2 Other Exchange Programmes . 51 5.2.3 Conference Participation ..................... 52 5.3 Publications ................................ 52 5.4 PhDs Defended and Completion Times . 55 5.5 Careers of Economics Department Students . 55 5.5.1 The Placement O±ce ....................... 56 5.5.2 Employment Statistics ...................... 57 6 Report of the Students' Representatives 61 6.1 Year 2002-2003 .............................. 61 6.2 Year 2003-2004 .............................. 62 6.3 Year 2004-2005 .............................. 63 6.4 Year 2005-2006 .............................. 64 7 Visitors and Jean Monnet Fellows 67 7.1 Part-Time Visiting Faculty, Visiting Fellows and Students . 67 7.1.1 Part-Time Visiting Faculty .................... 67 7.1.2 Visiting Fellows .......................... 68 7.1.3 Visiting Students ......................... 69 7.2 Jean Monnet Fellows ........................... 69 7.3 New Fellowship Programmes ....................... 73 7.3.1 Max Weber Fellows ........................ 73 7.3.2 Fernand Braudel Senior Fellowships . 73 8 External Projection of the Department 75 8.1 European Investment Bank Lectures . 75 8.2 Conferences Held at the EUI ....................... 76 8.3 Conferences and Workshops Outside the EUI . 77 8.4 Departmental Homepage ......................... 78 8.5 Working Paper Series ........................... 79 8.6 Finance and Consumption Programme 2000-2005 . 79 8.6.1 Overview ............................. 79 8.6.2 Mission Statement ........................ 80 8.6.3 People ............................... 81 8.6.4 Research Activities ........................ 83 8.7 The Robert Schuman Centre ....................... 85 8.7.1 PAGE - Policy Analysis in a Global Economy . 85 8.7.2 Pierre Werner Chair Programme on EMU . 86 8.7.3 Fellows at the RSCAS ...................... 91 8.8 European Forum ............................. 92 ii IUE 62/06 (CR2) CONTENTS 8.8.1 European Forum 2005-2006 { A Growth Agenda for Europe, Directed by Rick van der Ploeg . 93 8.8.2 Jean Monnet Fellows for the European Forum 2005-2006 . 94 9 The Move to Villa San Paolo 97 9.1 The New Building ............................. 97 9.2 Adjustments to the Move ......................... 97 9.3 The Library ................................ 98 9.4 Computing Service ............................ 99 10 Conclusions: Achievements and Challenges 101 A Publications by Current and Former Faculty Members 107 A.1 Michael Artis* ...............................107 A.2 Pierpaolo Battigalli*, Universit`aBocconi . 109 A.3 Anindya Banerjee .............................110 A.4 Giuseppe Bertola*, Universit`adi Torino . 111 A.5 Giancarlo Corsetti ............................113 A.6 Pascal Courty ...............................115 A.7 Roger Farmer*, UCLA . 116 A.8 Andrea Ichino ...............................116 A.9 S¿ren Johansen*, University of Copenhagen . 118 A.10 Omar Licandro ..............................118 A.11 Helmut LÄutkepohl .............................119 A.12 Ramon Marimon*, Universitat Pompeu Fabra . 123 A.13 Massimo Motta ..............................123 A.14 Salvador Ortigueira ............................125 A.15 Roberto Perotti*, IGIER - Universit`aBocconi . 125 A.16 Rick van der Ploeg ............................126 A.17 Morten Ravn ...............................129 A.18 Karl Schlag ................................129 A.19 Richard Spady ..............................130 A.20 Frank Vella*, Georgetown University . 130 A.21 Eyal Winter*, Hebrew University . 131 B Theses Defended January 2000{December 2005 133 C Working Papers January 2000{December 2005 153 C.1 Working Papers 2000 . 153 C.2 Working Papers 2001 . 155 C.3 Working Papers 2002 . 156 C.4 Working Papers 2003 . 159 C.5 Working Papers 2004 . 161 C.6 Working Papers 2005 . 164 IUE 62/06 (CR2) iii CONTENTS D Workshop Programmes 167 D.1 Microeconomics Research Workshop 2000{2005 . 167 D.2 Macroeconomics Research Workshop 2000{2005 . 175 D.3 Econometrics Research Workshop 2000{2005 . 184 D.4 Robert Schuman Centre Seminar . 192 E Courses O®ered 2000{2005 199 F Supervision Assessment 205 iv IUE 62/06 (CR2) Chapter 1 Introduction, Mission Statement, and Summary This Report is prepared as part of the regular EUI cycle of self{evaluation reports. The previous self{evaluation report of the ECO Department was prepared in April 2000 and covers the period 1995 to the beginning of 2000. Therefore the present Report summarizes the developments during the six years from 2000 to 2005. The primary objective of the Department of Economics is to provide doctoral teaching and supervision to our students at the highest international level. An essential prerequisite for ful¯lling this objective is to perform research in economics and related areas satisfying high international standards. This Report is structured to reflect the way in which these objectives have been achieved during the previous six years. A major change in the life of the Department during the reporting period was its move from the Badia Fiesolana to the Villa San Paolo at the beginning of the year 2003. This move has a®ected the procedures within the Department and its relation to the rest of the EUI in a substantial way. For example, informal contacts with students, professors and sta® of other departments have become more di±cult and have hence been reduced. Moreover, access to the library and participation in general meetings, conferences and seminars organized in other buildings has become more di±cult and time consuming. In Chapter 9 it is described how the Department has dealt with the new situation and what it has done to compensate for the drawbacks of being in a remote location relative to the remainder of the EUI. We start our report with an account of the postgraduate programme in Chapter 2. Over the last few years the existing teaching programme of the ECO Department has been intensely evaluated and discussed so as to improve our service for the students and in response to what we see as our main duty, that is, to provide a training which is competitive at the highest world levels. As a result, a substantial reform of the ¯rst year programme and some implied changes in the programme for the higher years as well have been introduced starting with the academic year 2005/06. The details are spelled out in Chapter 2. The main component in providing our doctoral programme is of course the body of full-time faculty in the Department. The hiring policies pursued during the period under consideration and the members of faculty, current and former, IUE 62/06 (CR2) 1 CHAPTER 1. INTRODUCTION are presented in Chapter 3. At the beginning of the period covered by this report the turnover was high. Although some turnover has the advantage of a constant flow of new ideas, personalities and experiences, this can also have its drawbacks, in particular for the supervision of students. Therefore it is generally seen as an advantage that faculty turnover has reduced to normal levels during the last three years and is currently at a stable level. In Chapter 4 the Department's research activities are presented. The inter- action between the individuals involved in the departmental research process are highlighted. It will also become apparent that a large amount of work has a \Euro- pean" perspective. Clearly, good
Load more

Recommended publications
  • Record Saved to Database with ID: INV-1
    ICABE 2016 • International Conference on Applied Business & Economics PROCEEDINGS ICABE 2016 1st September – 2nd September 2016 EconomiX, University of Paris Ouest – Nanterre La Défense, France Organized jointly by the: University of Piraeus Transilvania University of Brasov International Strategic Management Association University of Paris Ouest – Nanterre La Défense, SEGMI Department, G Building, 200 Avenue de la République, 92001 Nanterre, France [1] ICABE 2016 • International Conference on Applied Business & Economics [2] ICABE 2016 • International Conference on Applied Business & Economics CONTENTS PROCEEDINGS ....................................................................................................................... 5 WELCOME NOTES………………………………..................................................................7 ORGANIZING INSTITUTIONS…………………………………………………………….11 SPONSORS…………………………………………………………………………………..20 CONFERENCE COMMIITTEE……………………………………………………………..26 INTERNATIONAL ORGANIZING COMMIITTEE………………………………………..28 INTERNATIONAL SCIENTIFIC COMMIITTEE………………………………………….30 KEY NOTE SPEAKERS……………………………………………………………………..34 SPECIAL EVENTS…………………………………………………………………………..35 LIST OF PAPERS……………………………………………………………………………36 CONFERENCE PROGRAM .................................................................................................. 46 SUMMARY PROGRAM …………………………………...................................................47 DETAILED PROGRAM…………………………………………………………………….50 LIST OF ABSTRACTS .........................................................................................................
    [Show full text]
  • The Econometric Society European Region Aide Mémoire
    The Econometric Society European Region Aide M´emoire March 22, 2021 1 European Standing Committee 2 1.1 Responsibilities . .2 1.2 Membership . .2 1.3 Procedures . .4 2 Econometric Society European Meeting (ESEM) 5 2.1 Timing and Format . .5 2.2 Invited Sessions . .6 2.3 Contributed Sessions . .7 2.4 Other Events . .8 3 European Winter Meeting (EWMES) 9 3.1 Scope of the Meeting . .9 3.2 Timing and Format . 10 3.3 Selection Process . 10 4 Appendices 11 4.1 Appendix A: Members of the Standing Committee . 11 4.2 Appendix B: Winter Meetings (since 2014) and Regional Consultants (2009-2013) . 27 4.3 Appendix C: ESEM Locations . 37 4.4 Appendix D: Programme Chairs ESEM & EEA . 38 4.5 Appendix E: Invited Speakers ESEM . 39 4.6 Appendix F: Winners of the ESEM Awards . 43 4.7 Appendix G: Countries in the Region Europe and Other Areas ........... 44 This Aide M´emoire contains a detailed description of the organisation and procedures of the Econometric Society within the European Region. It complements the Rules and Procedures of the Econometric Society. It is maintained and regularly updated by the Secretary of the European Standing Committee in accordance with the policies and decisions of the Committee. The Econometric Society { European Region { Aide Memoire´ 1 European Standing Committee 1.1 Responsibilities 1. The European Standing Committee is responsible for the organisation of the activities of the Econometric Society within the Region Europe and Other Areas.1 It should undertake the consideration of any activities in the Region that promote interaction among those interested in the objectives of the Society, as they are stated in its Constitution.
    [Show full text]
  • 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.
    [Show full text]
  • Outline of Macroeconomics Sequence (2021-2022)
    European University Institute Department of Economics This version: July 19, 2021 Outline of Macroeconomics Sequence (2021-2022) Core courses (Year 1, compulsory) Core 1: Dynamic Fiscal and Monetary Policy (Russell Cooper, [email protected]) Core 2A: Dynamic Programming and Real Business Cycles (Jesus Bueren, [email protected]) Core 2B: New Keynesian Economics (Edouard Challe, [email protected]) Core 3A: Search Theory (Edouard Challe, [email protected]) Core 3B: Incomplete Markets (Alexander Monge-Naranjo, [email protected]) Advanced courses (Year 2+, elective) Advanced 1: Firm Dynamics [half-credit] (Basile Grassi, [email protected]) Advanced 2: Quantitative Methods and Applications: Dynamic Factor Demand [half-credit] (Russell Cooper, [email protected]) Advanced 3: Fiscal and Monetary Policy and Institutions in a Century of Crises [full-credit] (Ramon Marimon, [email protected]) Advanced 4: Asset Pricing and Bubbles [half-credit] (Edouard Challe, [email protected]) Advanced 5: Life-Cycle Heterogeneous Agents Models: Solution and Estimation [full-credit] (Jesus Bueren, [email protected]) Advanced 6: Computations and Quantitative Models in Macro [half-credit] (Alexander Monge-Naranjo, [email protected]) Advanced 7: Topics on Housing and the Macroeconomy [half-credit] (Antonia Díaz, [email protected]) Advanced 8: Macro Models with Exogenous and Endogenous Incomplete Markets [half-credit] TBC (Árpád Ábrahám, [email protected]) Advanced 9: Inequality and Education [full-credit] (Alexander Monge-Naranjo, [email protected]) Advanced 10: Topics in Banking and Finance [half-credit] (Thorsten Beck, [email protected]) Advanced 11: Optimal Fiscal Policy in (Quantitative) Macro Models [half-credit] (Axelle Ferriere, [email protected]) .../..
    [Show full text]
  • Economics Annual Review 2018-2019
    ECONOMICS REVIEW 2018/19 CELEBRATING FIRST EXCELLENCE AT YEAR LSE ECONOMICS CHALLENGE Faculty Interviews ALUMNI NEW PANEL APPOINTMENTS & VISITORS RESEARCH CENTRE BRIEFINGS 1 CONTENTS 2 OUR STUDENTS 3 OUR FACULTY 4 RESEARCH UPDATES 5 OUR ALUMNI 2 WELCOME TO THE 2018/19 EDITION OF THE ECONOMICS ANNUAL REVIEW This has been my first year as Head of the outstanding contributions to macroeconomics and Department of Economics and I am proud finance) and received a BA Global Professorship, will and honoured to be at the helm of such a be a Professor of Economics. John will be a School distinguished department. The Department Professor and Ronald Coase Chair in Economics. remains world-leading in education and research, Our research prowess was particularly visible in the May 2019 issue of the Quarterly Journal of Economics, and many efforts are underway to make further one of the top journals in the profession: the first four improvements. papers out of ten in that issue are co-authored by current colleagues in the Department and two more by We continue to attract an extremely talented pool of our former PhD students Dave Donaldson and Rocco students from a large number of applicants to all our Macchiavello. Rocco is now in the LSE Department programmes and to place our students in the most of Management, as is Noam Yuchtman, who published sought-after jobs. This year, our newly-minted PhD another paper in the same issue. This highlights how student Clare Balboni made us particularly proud by the strength of economics is growing throughout LSE, landing a job as Assistant Professor at MIT, one of the reinforcing our links to other departments as a result.
    [Show full text]
  • 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.
    [Show full text]
  • Why Do We Ignore the Risk in Schooling Decisions?
    Why do we ignore the risk in schooling decisions? joop hartog universiteit van amsterdam ([email protected]) luis diaz-serrano CREIP - universitat rovira et virgili ([email protected]) Abstract While uncertainty abounds in almost any decision on investment in schooling, it is mostly ignored in research and virtually absent in labour economics text books. This paper documents the scope for risk, discusses the tough disentanglement of heterogeneity and risk, surveys the analytical models, laments the absence of a good workhorse model and points out the challenges worth tackling: document ex ante risk that investors face, develop a tractable and malleable analytical model and integrate the option of consumption smoothing in analytical and empirical work. Hedging labour market risk in the stock market can be safely ignored. First draft, November 29 2013 This paper builds on Joop Hartog and Luis Diaz-Serrano (2014), Details of claims and statements made in this paper can be found there. The authors would like to acknowledge the financial support of the Spanish Ministry of Education (grant number ECO2010-20829). 1 1. Introduction Schooling decisions are drenched in uncertainty like fish swimming in water, but textbook treatment of human capital theory does not reflect this. With the exception of Yoram Weiss’ chapter in the Handbook of Labor Economics, introductory and even advanced labour economics textbooks do not pay attention to the obvious uncertainty that surrounds investment in schooling. Abilities, tastes, requirements of the curriculum, graduation, employment, job content, financial rewards are all inherently uncertain when decisions on school careers have to be made. School admission boards have to select students without fully knowing talent and drive, policy preferences for general over vocational curricula are motivated by supposedly better insurance against the vaguaries of the labour market, but empirical evidence is barely available.
    [Show full text]
  • Jordi Galí Curriculum Vitae January 2020
    Jordi Galí Curriculum Vitae January 2020 Contact Information CREI Tel: (+34) 93 542 27 54 Ramon Trias Fargas 25 e-mail: [email protected] 08005 Barcelona web page: www.crei.cat/people/gali Spain Education Massachusetts Institute of Technology, Ph.D. in Economics, 1989. Universitat Pompeu Fabra, Barcelona, Llicenciat en Ciències Econòmiques, 1994. ESADE, Barcelona, Llicenciat en Ciències Empresarials and Master in International Management, 1985. Academic Positions Senior Researcher, Centre de Recerca en Economia Internacional (CREI), 2001 to present Professor, Department of Economics, Universitat Pompeu Fabra, 2001 to present Research Professor, Barcelona Graduate School of Economics, 2009 to present Director, Centre de Recerca en Economia Internacional (CREI), 1999-2017 Affiliated Professor, Barcelona Graduate School of Economics, 2008-2009 Professor, Department of Economics, New York University, 1999-2001 Associate Professor (with Tenure), Department of Economics, New York University, 1994-1999 Associate Professor, Graduate School of Business, Columbia University, 1993-1994 Assistant Professor, Graduate School of Business, Columbia University, 1989-1993 Visiting Positions Visiting Professor, Department of Economics, Massachusetts Institute of Technology, 2005-06 Visiting Professor, Department of Economics, Universitat Pompeu Fabra, 1993-94, 1998-2000 Visiting Associate Professor, Department of Economics, Yale University, fall 1995 Visiting Researcher, Department of Economics, Universitat Pompeu Fabra, summer 1992 Adjunct Professor, Department
    [Show full text]
  • Growing Like China
    American Economic Review 101 (February 2011): 196–233 http://www.aeaweb.org/articles.php?doi 10.1257/aer.101.1.196 = Growing Like China By Zheng Song, Kjetil Storesletten, and Fabrizio Zilibotti* We construct a growth model consistent with China’s economic transition: high output growth, sustained returns on capital, reallo- cation within the manufacturing sector, and a large trade surplus. Entrepreneurial firms use more productive technologies, but due to financial imperfections they must finance investments through internal savings. State-owned firms have low productivity but survive because of better access to credit markets. High-productivity firms outgrow low-productivity firms if entrepreneurs have sufficiently high savings. The downsizing of financially integrated firms forces domestic sav- ings to be invested abroad, generating a foreign surplus. A calibrated version of the theory accounts quantitatively for China’s economic transition. JEL E21, E22, E23, F43, L60, O16, O53, P23, P24, P31 ( ) Over the last 30 years, China has undergone a spectacular economic transforma- tion involving not only fast economic growth and sustained capital accumulation, but also major shifts in the sectoral composition of output, increased urbanization and a growing importance of markets and entrepreneurial skills. Reallocation of labor and capital across manufacturing firms has been a key source of productivity growth. The rate of return on investment has remained well above 20 percent, higher than in most industrialized and developing economies. If investment rates have been high, saving rates have been even higher: in the last 15 years, China has experienced a growing net foreign surplus: its foreign reserves swelled from 21 billion USD in 1992 5 percent of its annual GDP to 2,130 billion USD in June 2009 46 percent ( ) ( of its GDP ; see Figure 1.
    [Show full text]
  • 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.
    [Show full text]
  • 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.
    [Show full text]
  • The Supply Side of the Race Between Demand and Supply: Policies to Foster Skill in the Modern Economy**
    DE ECONOMIST 151, NO. 1, 2003 THE SUPPLY SIDE OF THE RACE BETWEEN DEMAND AND SUPPLY: POLICIES TO FOSTER SKILL IN THE MODERN ECONOMY** BY BY JAMES J. HECKMAN* Summary In his celebrated book on income inequality, Jan Tinbergen ͑1975͒ wrote about the race between de- mand and supply in determining the evolution of wages and inequality. The demand side of the re- cent labor market is well understood. Skill-biased technical change favors skilled workers in many different economic environments. The supply side is less well understood. In the Netherlands, until recently, the supply side was winning and the returns to education were declining or stagnant. The exact reasons for this phenomenon are not well understood. Recently, however, there is evidence that suggests that the returns to schooling are increasing and that demand is outstripping supply, as it has done in most developed countries around the world. This has produced rising wage inequality. Unless more active supply side measures are undertaken, this trend is likely to continue. This problem, joined with the persistent problem of immigrant assimilation and the growing role of immigrants in the Dutch economy, renews interest in the supply side of the labor market. This lecture examines the determi- nants of the supply of skills in the short run and the long run. It examines the roles of short- term credit constraints and long-term family factors in fostering or retarding skill accumulation. It summa- rizes the evidence on a number of policy proposals to foster skills including early childhood pro- grams, programs to alleviate short-term financial pressure, job training and second chance programs, and tax policies.
    [Show full text]