Exchange Rates and the Information Channel of Monetary Policy
Oliver Holtemöller, Alexander Kriwoluzky, Boreum Kwak
IWH Discussion Papers,
Nr. 17,
2020
Abstract
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy announcements. While the volatility of interest rate surprises declines around the Great Recession, the volatility of exchange rate changes increases. Making use of this heteroskedasticity, we estimate that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline in prices and output, while a positive information shock appreciates the dollar, decreases prices and the excess bond premium, and increases output.
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Monetary Policy in an Oil-dependent Economy in the Presence of Multiple Shocks
Andrej Drygalla
Review of World Economics,
February
2023
Abstract
Russian monetary policy has been challenged by large and continuous private capital outflows and a sharp drop in oil prices during 2014. Both contributed to significant depreciation pressures on the ruble and led the central bank to give up its exchange rate management strategy. Against this background, this work estimates a small open economy model for Russia, featuring an oil price sector and extended by a specification of the foreign exchange market to correctly account for systematic central bank interventions. We find that shocks to the oil price and private capital flows substantially affect domestic variables such as inflation and output. Simulations for the estimated actual strategy and alternative regimes suggest that the vulnerability of the Russian economy to external shocks can substantially be lowered by adopting some form of inflation targeting. Strategies to target the nominal exchange rate or the ruble price of oil prove to be inferior.
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Switching to Good Policy? The Case of Central and Eastern European Inflation Targeters
Andrej Drygalla
Macroeconomic Dynamics,
Nr. 8,
2020
Abstract
The paper analyzes how actual monetary policy changed following the official adoption of inflation targeting in the Czech Republic, Hungary, and Poland and how it affected the volatilities of important macroeconomic variables in the years thereafter. To disentangle the effects of the policy shift from exogenous changes in the volatilities of these variables, a Markov-switching dynamic stochastic general equilibrium model is estimated that allows for regime switches in the policy parameters and the volatilities of shocks hitting the economies. Whereas estimation results reveal periods of high and low volatility for all three economies, the presence of different policy regimes is supported by the underlying data for the Czech Republic and Poland, only. In both economies, monetary policy switched from weak and unsystematic to strong and systematic responses to inflation dynamics. Simulation results suggest that the policy shifts of both central banks successfully reduced inflation volatility in the following years. The observed reduction in output volatility, on the other hand, is attributed more to a reduction in the size of external shocks.
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Dekarbonisierung in Europa: Regionalwirtschaftliche Effekte in ausgewählten Kohleregionen und kohlenstoffintensiven Regionen Europa
Katja Heinisch, Oliver Holtemöller, Christoph Schult
Wirtschaft im Wandel,
Nr. 3,
2023
Abstract
Die EU hat mit dem „Fit for 55“-Paket zwei große klimapolitische Ziele festgelegt: die Senkung der Treibhausgasemissionen um 55% bis zum Jahr 2030 und Treibhausgasneutralität ab dem Jahr 2050. Im Rahmen des EU-Horizon-2020-Projekts ENTRANCES werden die gesellschaftlichen Effekte der Dekarbonisierung und besonders des Kohleausstiegs in verschiedenen europäischen Regionen interdisziplinär analysiert und darauf basierend Handlungsempfehlungen für die Politik abgeleitet. Der vorliegende Beitrag stellt erste analytische Ergebnisse vor.
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The Characteristics and Geographic Distribution of Robot Hubs in U.S. Manufacturing Establishments
Erik Brynjolfsson, Catherine Buffington, Nathan Goldschlag, J. Frank Li, Javier Miranda, Robert Seamans
Abstract
We use data from the Annual Survey of Manufactures to study the characteristics and geography of investments in robots across U.S. manufacturing establishments. We find that robotics adoption and robot intensity (the number of robots per employee) is much more strongly related to establishment size than age. We find that establishments that report having robotics have higher capital expenditures, including higher information technology (IT) capital expenditures. Also, establishments are more likely to have robotics if other establishments in the same Core-Based Statistical Area (CBSA) and industry also report having robotics. The distribution of robots is highly skewed across establishments’ locations. Some locations, which we call Robot Hubs, have far more robots than one would expect even after accounting for industry and manufacturing employment. We characterize these Robot Hubs along several industry, demographic, and institutional dimensions. The presence of robot integrators and higher levels of union membership are positively correlated with being a Robot Hub.
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Robot Hubs: The Skewed Distribution of Robots in US Manufacturing
Erik Brynjolfsson, Catherine Buffington, Nathan Goldschlag, J. Frank Li, Javier Miranda, Robert Seamans
American Economic Association Papers and Proceedings,
May
2023
Abstract
We use establishment-level data from the US Census Bureau's Annual Survey of Manufactures to study the characteristics and geographic locations of investments in robots. We find that the distribution of robots is highly skewed across locations. Some locations, which we call Robot Hubs, have far more robots than one would expect even after accounting for industry and manufacturing employment. We characterize these Robot Hubs along several industry, demographic, and institutional dimensions. The presences of robot integrators, which specialize in helping manufacturers install robots, and of higher levels of union membership are positively correlated with being a Robot Hub.
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What Makes the Difference? Microfinance Versus Commercial Banks
Afsheen Abrar, Iftekhar Hasan, Rezaul Kabir
Borsa Istanbul Review,
Nr. 4,
2023
Abstract
We make a comparison of microfinance banks (MBs) and commercial banks (CBs) in terms of efficiency, business orientation, stability, and asset quality by analyzing a large sample of banks from 60 countries around the world. Our findings indicate that microfinance banks have higher intermediation, non-interest income, wholesale funding and liquidity, but lower efficiency and asset quality. These significant variations are influenced by smaller microfinance banks and are driven mostly to African and Latin American microfinance banks.
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Resolving the Missing Deflation Puzzle
Jesper Lindé, Mathias Trabandt
Abstract
We propose a resolution of the missing deflation puzzle. Our resolution stresses the importance of nonlinearities in price- and wage-setting when the economy is exposed to large shocks. We show that a nonlinear macroeconomic model with real rigidities resolves the missing deflation puzzle, while a linearized version of the same underlying nonlinear model fails to do so. In addition, our nonlinear model reproduces the skewness of inflation and other macroeconomic variables observed in post-war U.S. data. All told, our results caution against the common practice of using linearized models to study inflation and output dynamics.
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Resolving the Missing Deflation Puzzle
Martín Harding, Jesper Lindé, Mathias Trabandt
Journal of Monetary Economics,
March
2022
Abstract
A resolution of the missing deflation puzzle is proposed. Our resolution stresses the importance of nonlinearities in price- and wage-setting when the economy is exposed to large shocks. We show that a nonlinear macroeconomic model with real rigidities resolves the missing deflation puzzle, while a linearized version of the same underlying nonlinear model fails to do so. In addition, our nonlinear model reproduces the skewness of inflation and other macroeconomic variables observed in post-war U.S. data. All told, our results caution against the common practice of using linearized models to study inflation and output dynamics.
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