Auge minero-energético, enfermedad holandesa e informalidad en Colombia: un análisis a partir de un modelo DSGE

El presente trabajo desarrolla un modelo macroeconómico de equilibrio general dinámico y estocástico (DSGE), con el fin de analizar los efectos macroeconómicos que se derivan de simular un choque positivo al componente estocástico de la productividad del sector minero-energético. Este hecho genera un aumento generalizado de los salarios en el sector formal y en el recaudo tributario, incrementando el consumo total de los miembros del hogar. Esto genera un incremento del precio de los bienes no transables relativo al precio de los bienes transables, disminuyendo la tasa de cambio real (apreciación) y provocando un desplazamiento de los recursos productivos, desde el sector transable (manufacturero) al no-transable, seguido de un aumento en el PIB y empleo formal de la economía. Esto hace que el sector formal agregado absorba trabajadores desde el sector informal a través del subsector formal no-transable, lo que disminuye el PIB informal. En consecuencia, el consumo neto de los miembros informales disminuye, lo que incentiva a que algunos miembros del hogar no se empleen en el sector informal y prefieran quedarse desempleados. Por lo tanto, el resultado final sobre el mercado laboral es una disminución de los trabajadores informales, de los cuales una parte se encuentra en el sector formal, y la parte restante está en condición de desempleo.

Dynamic analysis of house price diffusion across Asian financial centres

The aim of this paper is to explore effects of macroeconomic variables on house prices and also, the lead-lag relationships of real estate markets to examine house price diffusion across Asian financial centres. The analysis is based on the Global Vector Auto-Regression (GVAR) model estimated using quarterly data for six Asian financial centres (Hong Kong, Tokyo, Seoul, Singapore, Taipei and Bangkok) from 1991Q1 to 2011Q2. The empirical results indicate that the global economic conditions play significant roles in shaping house price movements across Asian financial centres. In particular, a small open economy that heavily relies on international trade such as – Singapore and Tokyo - shows positive correlations between economy’s openness and house prices, consistent with the Balassa-Samuelson hypothesis in international trade. However, region-specific conditions do play important roles as determinants of house prices, partly due to restrictive housing policies and demand-supply imbalances, as found in Singapore and Bangkok.

Protection for sale in a developing country : democracy vs. dictatorship

For a "genuine" small open economy that has experienced both dictatorship and democracy, we find support for the predictions of the Grossman-Helpman (1994) "Protection for Sale" model. In contrast to previous studies, we use various protection measures (including tariffs, the direct measure of the theoretical model) and perform both single-year and panel regressions. Using Turkish industry-level data, the government's weight on welfare is estimated to be much larger than that on contributions. More importantly, we find that this weight is generally higher for the democratic regime than for dictatorship.

The exchange rate disconnect puzzle: a resolution?

Early empirical studies of exchange rate determinants demonstrated that fundamentals-based monetary models were unable to outperform the benchmark random walk model in out-of-sample forecasts while later papers found evidence in favor of long-run exchange rate predictability. More recent theoretical works have adopted a microeconomic structure; a utility-based new open economy macroeconomic framework and a rational expectations present value model. Some recent empirical work argues that if the models are adjusted for parameter instability, it is a good predictor of nominal exchange rates while others use aggregate idiosyncratic volatility to generate good predictions. This latest research supports the idea that fundamental economic variables are likely to influence exchange rates especially in the long run and further that the emphasis should change to the economic value or utility based value to assess these macroeconomic models.

Is the Genuine Progress Indicator really genuine? Considering well-being impacts of exports and imports

The Genuine Progress Indicator (GPI) is estimated as if nations operate within a closed economy. Therefore, in terms of coverage, the GPI is most analogous to Gross Domestic Product (GDP). Indeed, within the relevant literature, these two indicators are most often contrasted. However, consideration should be given to adapting the GPI, so it has more in common with Gross National Income (GNI). As with GDP, the GPI is concerned only with a particular physical location. Yet, it may be more effective if the GPI was freed from these physical boundaries in a similar manner to GNI. The GPI should be concerned more with the 'ownership' of the costs and benefits associated with economic growth than with the 'location' of those costs and benefits. Those that derive the most benefit from exploitation of the environment are often physically removed from the location of that damage. The GPI does not consider the net consumers of the negative externalities of environmental costs, merely the producers. Currently, however, the structure of the GPI allows a nation to enjoy, without penalty, the benefits of importing goods from countries which bear a disproportionately large cost of environmental degradation. This results in an overstatement of the real progress experienced by the county importing 'dirty goods'. This paper will investigate how certain GPI adjustments may be adapted to overcome this present shortcoming. However, the purpose of this paper is not only to empirically implement this new approach, but also to stimulate debate as to its potential merit.

Is privatisation good for investment in Australia?

Privatisation was expected to promote investment in the economy as part of improving dynamic efficiency. The relation between aggregate public and private investment in Australia is investigated in an endogeneous ECM framework. Model selection for a simple investment function allows restrictions for neoclassical crowding out or Keynesian crowding in (after Aschauer 1989) in a small open economy. An ECM is estimated including annual aggregate private investment, public investment, income, rate of return, average interest cost, exchange rate and inventories from 1960 to 2005. Public capital appears unresponsive to shocks and crowding out is not evident.

Sequential technology adoption with asymmetric firms

We analyse the incentives and welfare implications of costly technology adoption in a two-period duopoly model where firms have different amounts of capital. We also extend our framework to an open economy set-up and examine the relationship between trade and technology adoption. Our findings are as follows. First, no monotone relationship exists between the threshold cost of adoption and capital shares. Second, an unequal distribution of capital, despite lessening competition, can increase total surplus. Third, trade generally encourages adoption of modern technology unless the share of capital for the adopters is too low.

Tariff and environmental policies with product standards

For a small open economy with consumption-based pollution emissions, the first-best optimal policy prescription is free trade along with a Pigouvian tax on emissions. Therefore, a package of coordinated tax reform by replacing tariffs with emission taxes can lower pollution emissions and increase market access and hence improve residents’ welfare and government revenue, as long as the initial tariffs are relatively high. Numerical simulations confirm the results obtained.

A dynamic model of tourism, employment and welfare: the case of Hong Kong

The present paper uses a dynamic open-economy model with wage indexation to examine the impact of tourism on employment and welfare. Both short-run and long-run situations are analysed. It is well known that tourism converts non-traded goods into tradable goods. An increase in the demand for a non-traded good raises its relative price, which results in an expansion of the non-traded sector at the expense of the traded goods sector. This output shift raises labour employment in the short run. However, in the long run, the higher relative price leads to higher wages, resulting in a negative impact on labour employment. If the output effect is dominant, the expansion in tourism raises employment and welfare. However, under realistic conditions tourism may lower both labour employment and welfare due to rising costs. These results are demonstrated by simulating a dynamic model for the case of Hong Kong.

Housing markets with foreign buyers

There are cities in the world which have experienced substantial numbers of foreign buyers in the local housing markets, thereby pushing up the real estate prices to the levels beyond the affordability of local residents. To suppress foreign influences in the forming of housing bubbles, governments have resorted to short-term measures of stamp duty or raising the duty rate for non-local buyers, increasing down payments and restricting or even forbidding non-local purchases. These new measures may help contain the demand for housing, but short of being the first-best optimal housing policy for an open economy with significant non-local and foreign buyers. We argue that the first-best policy is to tax non-local and foreign buyers and then use the tax revenue generated to subsidize domestic low- and middle-income buyers. The optimal tax rate under this compensated scheme is smaller than the tax rate under the lump-sum transfer of tax revenue to all residents. © 2014 Springer Science+Business Media New York.

The new Keynesian Phillips curve: an update on recent empirical advances

This paper presents a comprehensive review of the newly emerging literature on the New Keynesian Phillips Curve (NKPC). The theoretical predictions, econometric estimation techniques as well as the corresponding empirical evidence are discussed focusing on both the closed economy and the open economy versions of the NKPC. A number of important findings are reported about the ability of NKPC to explain the process of inflation dynamics. First, there is weak support for the open economy version of the NKPC to be able to track inflation dynamics if imported inputs are used in the production process. Second, the NKPC describes inflation dynamics across sectors if microeconomic and sectoral level data are used. Further, the survey data employed as a proxy for inflation measure in the newer studies provide enhanced support to the closed economy NKPC with the sign, size and statistical significance of coefficients in line with the theoretical predictions. We provide fresh empirical evidence to check the first finding from the review. The deep structural parameters for four different versions of the NKPC, the pure forward looking NKPC, the Gali and Monacelli's (2005) NKPC, the open economy NKPC and the open economy hybrid NKPC, are estimated for Australia, Canada, New Zealand and the United Kingdom. These estimated coefficients show some support that the specifications of open economy NKPC, which incorporate prices of imported goods as opposed to the terms of trade and real exchange rate, seems to be a better, however, weak indicator of the inflation dynamics. These findings may have important policy implications.

Consumption smoothing in Latin America: an empirical assessment of present value models

The study aims to assess the empirical adherence of the permanent income theory and the consumption smoothing view in Latin America. Two present value models are considered, one describing household behavior and the other open economy macroeconomics. Following the methodology developed in Campbell and Schiller (1987), Bivariate Vector Autoregressions are estimated for the saving ratio and the real growth rate of income concerning the household behavior model and for the current account and the change in national cash ‡ow regarding the open economy model. The countries in the sample are considered separately in the estimation process (individual system estimation) as well as jointly (joint system estimation). Ordinary Least Squares (OLS) and Seemingly Unrelated Regressions (SURE) estimates of the coe¢cients are generated. Wald Tests are then conducted to verify if the VAR coe¢cient estimates are in conformity with those predicted by the theory. While the empirical results are sensitive to the estimation method and discount factors used, there is only weak evidence in favor of the permanent income theory and consumption smoothing view in the group of countries analyzed.

Mandatory profit sharing, entrepreneurial incentives and capital accumulation

The impact of a mandatory tax on profits which is transferred to workers is analyzed in a general equilibrium entrepreneurial model. In the short run, this distortion reduces the number of firms and the aggregate output. In the long run, if capital and labor are bad substitutes, it fosters capital accumulation and increases the aggregate output. In a small open economy with free movement of capital, it improves the welfare of the economy's average individual. One concludes that the benefits of sharing schemes may go beyond the short run employment-stabilization goal focused by the profit sharing literature.

Efeitos dinâmicos de programas de estabilização

Com o emprego do modelo de dois setores de acumulação ótima de capital em economia aberta, determina-se o impacto sobre a trajetória do câmbio, dos salários, do investimento, da poupança e, portanto, da dívida externa e do estoque de capital, de uma elevação permanente e não antecipada da produtividade da economia. Em geral, após um choque positivo permanente de produtividade há redução da poupança, piora do balanço de pagamentos em transações correntes e valorização do câmbio. Todos fenômenos que do ponto de vista do modelo são de equilíbrio intertemporal, conseqüência da elevação da renda permanente e do excesso de demanda por bens domésticos que sucede o ganho de produtividade. Supondo que os programas de estabilização elevaram a produtividade da economia é possível com a estrutura analítica construída racionalizar qualitativamente os fenômenos observados após estes planos.

Dois exercícios de política monetária e fiscal com atuação ótima do Banco Central

O objetivo da tese é analisar questões relativas à coordenação entre as políticas monetária e fiscal no Brasil após a adoção do regime de metas de inflação. Utiliza-se de um modelo de metas de inflação para uma economia pequena e aberta para a incorporação um bloco de equações que descrevem a dinâmica das variáveis fiscais. Tendo por base os conceitos de Leeper (1991), ambas as entidades, Banco Central e Tesouro Nacional, podem agir de forma ativa ou passiva, e será este comportamento estratégico que determinará a eficiência da política monetária. Foram estimados os parâmetros que calibram o modelo e feitas as simulações para alguns dos choques que abalaram a economia brasileira nos últimos anos. Os resultados mostraram que nos arranjos em que a autoridade fiscal reage a aumentos de dívida pública com alterações no superávit primário, a trajetória de ajuste das variáveis frente a choques tende a ser, na maioria dos casos, menos volátil propiciando uma atuação mais eficiente do Banco Central. Nestes arranjos, o Banco Central não precisa tomar para si funções que são inerentes ao Tesouro. Também são analisadas as variações no comportamento do Banco Central e do Tesouro Nacional em função de diferentes composições da dívida pública. Os resultados mostram que a estrutura do endividamento público será benéfica, ou não, à condução das políticas monetária e fiscal, dependendo do tipo de choque enfrentado. O primeiro capítulo, introdutório, procura contextualizar o regime de metas de inflação brasileiro e descrever, sucintamente, a evolução da economia brasileira desde sua implantação. No segundo capítulo são analisados os fundamentos teóricos do regime de metas de inflação, sua origem e principais componentes; em seguida, são apresentados, as regras de política fiscal necessárias à estabilidade de preços e o problema da dominância fiscal no âmbito da economia brasileira. O terceiro capítulo apresenta a incorporação do bloco de equações fiscais no modelo de metas de inflação para economia aberta proposto por Svensson (2000), e as estimações e calibrações dos seus parâmetros para a economia brasileira. O quarto capítulo discute as diferentes formas de coordenação entre as autoridades monetária e fiscal e a atuação ótima do Banco Central. O quinto capítulo tem como base a mais eficiente forma de coordenação obtida no capítulo anterior para analisar as mudanças no comportamento da autoridade monetária e fiscal frente a diferentes estruturas de prazos e indexadores da dívida pública que afetam suas elasticidades, juros, inflação e câmbio.