Reserve Requirements and Optimal Chinese Stabilization Policy 1

Size: px
Start display at page:

Download "Reserve Requirements and Optimal Chinese Stabilization Policy 1"

Transcription

1 Reserve Requirements and Optimal Chinese Stabilization Policy 1 Chun Chang 1 Zheng Liu 2 Mark M. Spiegel 2 Jingyi Zhang 1 1 Shanghai Jiao Tong University, 2 FRB San Francisco ABFER Conference, Singapore May 24, The views expressed herein are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of San Francisco or the Federal Reserve System. 1 / 36

2 PBOC frequently adjusts reserve requirements (RR) China required reserve ratio Percent Source:Bloomberg Since 25, adjusted RR over 4 times Between 26 and 211, RR rose from 8.5% to 21.5%

3 Active RR adjustments when global interest rates declined Chinese interbank rate vs. US Treasury rate 3-month maturities Percent mo. SHIBOR mo. US Treasury Source: Bloomberg -1 Under capital controls, declines in US yields raised cost of sterilization (e.g., Chang, Liu, and Speigel (215)) Raising RR a cheaper alternative to sterilization

4 Introduction RR increases encouraged shadow banking activity Shadow bank lending increased over 3% per year between 29 and 213 Shadow banking facilitates financial intermediation but increases financial risks [Gorton and Metrick (21)] Tightened regulations on formal banking contributed to shadow bank expansion (Elliott, et al (215); Hachem and Song (216); Chen, Ren, and Zha (216)) binding loan/deposit caps (small/medium banks) Interest rate controls Increases in RR Large-scale fiscal stimulus in 28-9 fueled demand for shadow bank financing 4 / 36

5 Introduction Impact of RR on financing costs affects resource allocations RR act as a tax on commercial banks Disproportionately affects state-owned enterprises (SOEs) SOEs enjoy implicit government guarantees on loans SOEs have superior access to bank loans despite low productivity Shadow banking not subject to RRs Main source of financing for privately-owned enterprises (POEs) (Lu, et al. (215)) RRs reallocates resources from SOEs to POEs Reduces SOE activity relative to POE POEs have higher average productivity (Hsieh-Klenow, 29) Thus, raising RR increases aggregate TFP 5 / 36

6 Introduction Illustrative macro evidence of RR s reallocation effects Simple BVAR with RR, 3-mo deposit rate, log real GDP, SOE investment share Data 1995:Q1 to 213:Q4; 4-qtr lags with Sims-Zha priors Ordering implies RR responds to all shocks in impact period Impulse responses: positive shock to RR reduces SOE investment share Results robust to RR being ordered last 6 / 36

7 BVAR: RR reallocates investment away from SOEs # Error Bands Required reserve ratio # Interest rate # Real GDP # SOE investment share

8 Introduction Corroborating micro evidence of RR s reallocation effects Do RR increases reduce SOE stock returns relative to POE? Consider regression model: H h= H R e j,t+h = a +a 1 RR t 1 +a 2 SOE jt RR t 1 +a 3 SOE jt +bz jt +ε jt where R e j,t+h = R j,t+h ˆβ j R m,t+h denotes risk-adjusted excess return, RR t 1 denotes changes in RR, and Z jt is a vector of controls (size, book-to-market, industry fixed effects, year fixed effects) Focus on relative effects on SOEs (a 2 <?) Daily data for non-financial firms listed on Shanghai/Shenzhen stock exchanges, Identification: event study of RR announcement effects 8 / 36

9 Introduction RR announcements effects on stock returns Event window 1-day (H=) 3-day (H=1) 5-day (H=2) RR t (7.2) (9.21) (15.74) SOE jt RR t (-3.21) (-3.32) (-5.5) SOE jt (-2.6) (-5.29) (-6.47) Size jt (-27) (-43) (-53) BM jt (2.22) (3.29) (4.96) Sample size 4,119,971 4,79,847 4,3,53 R / 36

10 Introduction The RR announcements effects observed mainly after 29, with rise of shadow banking following fiscal stimulus Pre-stimulus (25-28) Post-stimulus (29-215) Event window 1-day (H=) 3-day (H=1) 1-day (H=) 3-day (H=1) RR t (2.) (.31) (8.8) (12.57) SOE jt RR t (.11) (1.3) (-4.78) -5.3 SOE jt (2.9) (4.9) (-4.85) (-8.86) Size jt (-9) (-14) (-26) (-41) BM jt (-.25) (-.56) (2.91) (4.5) Sample size 1,18,628 1,3,518 3,11,343 3,76,329 R / 36

11 Introduction What we do Build a two-sector DSGE model with financial frictions and Chinese characteristics to study: 1. implications of RR policy for allocation efficiency, aggregate productivity, and social welfare 2. role of RR policy in stabilizing business cycle fluctuations 3. optimal RR under simple policy rules and interactions with interest-rate policy 11 / 36

12 Introduction Main findings Raising RR improves aggregate productivity Acts as tax on banking and SOE activity Diverts resources to more productive POEs But raising RR also increases bailout costs SOE funding costs rise More incidence of SOE bankruptcies Tradeoff between efficiency and bailout costs interior optimal RR RR rule and interest-rate rule complementary for stabilization Interest-rate rule effective for stabilizing inflation and output RR rule more effective for reallocating resources 12 / 36

13 The model Two sector DSGE model Representative household consumes, saves, and supplies labor Retail sector: use wholesale goods as inputs; monopolistic competition and sticky prices Wholesale goods a CES aggregate of intermediate goods produced by SOEs and POEs POEs have higher average productivity (Hsieh-Klenow, 29) External financing for working capital subject to costly state verification: financial accelerator (BGG, 1999) Banks provide working capital to firms in both sectors Loans to SOEs are subject to RR, but debt guaranteed by government (on-balance-sheet) Loans to POEs exempt from RR, but no government guarantees (off-balance-sheet) 13 / 36

14 The model Representative household Utility function U = E Budget constraints [ ] β t ln(c t ) Ψ H1+η t, 1 + η t= C t + I t + D t = w t H t + r k D t 1 t K t 1 + R t 1 + T t P t P t Capital accumulation with adjustment costs (CEE 25) [ K t = (1 δ)k t Ω ( ) ] 2 k It g I I t, 2 I t 1 14 / 36

15 The model Retail sector Final good CES composite of differentiated retail products [ 1 ] ɛ/(ɛ 1) Y f = Y t (z) (ɛ 1)/ɛ dz Demand curve facing each retailer ( ) Pt (z) ɛ Y t (z) = Yt f Monopolistic competition in retail markets, with quadratic price adjustment costs (Rotemberg, 1982) ( ) Ω p Pt (z) 2 2 πp t 1 (z) 1 C t P t Optimal price decision Phillips curve 15 / 36

16 The model Wholesale and intermediate goods Wholesale good a CES composite of SOE and POE products ( ) σm σm 1 σm 1 σm 1 σm σm M t = φy + (1 φ)y st Intermediate good production function in sector j {s, p} [ ] α Y jt = A t Ā j ω jt K 1 α jt (Hjt) e 1 θ Hjt θ where ω jt F jt ( ) denotes idiosyncratic productivity shocks pt Ā j = is scale of TFP, with Ā s < Ā p Aggregate TFP: A t = g t A m t, where A m t follows the process ln A m t = ρ a ln A m t 1 + ɛ at, 16 / 36

17 The model Financial frictions Firms finance working capital with net worth N j,t 1 and external debt B jt (BGG) Working capital constraint satisfies N j,t 1 + B jt P t = w t H jt + w e jth e jt + r k t K jt where wjt e is the real wage rate of managerial labor Constant returns implies that revenue linear in net worth p jt Y jt = Ã jt ω jt N j,t 1 + B jt P t where Ãjt denotes rate of return on firm investment (in consumption units) 17 / 36

18 The model Defaults Firms default if realized productivity ω jt sufficiently low: ω jt < ω jt Z jt B jt à jt (N j,t 1 + B jt ) where Z j,t is contractual rate of interest If firm defaults, liquidated by lender with fraction m j lost output Government covers loan losses on SOE loans (but not POE loans) using lump sum taxes 18 / 36

19 The model Financial intermediaries Banks take deposits from household at rate R t On-balance-sheet loans to SOEs subject to RR RR drives wedge between loan and deposit rate RR acts as tax on SOE borrowing Government guarantees imply risk-free loan rate R st for SOEs (R st 1)(1 τ t ) = (R t 1). Off-balance-sheet loans to POEs not subject to RR Funding cost Rpt = R t No government guarantees on POE debt lender charges default premium over funding cost (i.e., credit spread) on private loans 19 / 36

20 The model Financial contracts Optimal financial contract is a pair ( ω jt, B jt ) that solves max Ãjt(N j,t 1 + B jt )f (ω jt ) subject to the lender s participation constraint à jt (N j,t 1 + B jt )g(ω jt ) R jt B jt where B jt denotes loan amount and ω jt is cutoff productivity for firm solvency Defaults socially costly: ωjt ωjt f (ω jt )+g(ω jt ) = 1 m j ωdf (ω)+l j [ω jt (1 m j )ω]df (ω) where l s = 1 and l p = are guarantees on SOE and POE lending respectively 2 / 36

21 The model Benchmark monetary policy Two instruments for monetary policy: deposit rate and RR Interest rate follows Taylor rule ln ( ) Rt = ψ rp ln R ( ( πt ) + ψ ry ln π RR stays constant at steady-state level τ t = τ GDP t GDP ) 21 / 36

22 The model Market clearing and equilibrium Final goods marke clearing Yt f = C t + I t + G t + Ω p 2 (π t π 1)2 C t + N j,t 1 + B jt à jt m j P t j {s,p} Capital and labor market clearing ωjt ωdf (ω) K t 1 = K st + K pt, H t = H st + H pt Credit market clearing B st = (1 τ t )ζ t D t, B pt = (1 ζ t )D t, where ζ t is share of deposit for on-balance-sheet activity 22 / 36

23 Quantitative results Calibration Model solved based on calibrated parameters Parameters calibrated to Chinese data where available µ =.5: match SOE employment share α =.5: labor income share (Zhu, 212) κ = and ωm =.37: match TFP dispersion (Hsieh-Klenow, 29) Relative TFP of POE Āp /Ā s = 1.42: Hsieh-Klenow (29) ψ =.45: target SOE share in industrial output of.3 σ m = 3: substitutability b/n SOE and POE outputs, Chang, et al. (215) ξs =.97 and ξ p =.69: match SOE and POE bankruptcy ratios in data Other calibration parameters fit to US data See Calibration for details 23 / 36

24 Quantitative results Steady state impact of RR increase.44 SOE output/poe output.669 Output based TFP SOE bankruptcy ratio 5 x 1 4 Welfare gains Reallocation from SOE to POE improves TFP Higher funding costs increase SOE bankruptcies Tradeoff interior optimum τ =.34 under our calibration 24 / 36

25 Quantitative results Monetary policy rules for stabilization Two instruments for monetary policy: deposit rate and RR Consider two types of simple (Taylor-like) policy rules Interest rate rule ( ) Rt ( πt ) ln = ψ rp ln + ψ ry ln R π ( GDP t GDP ) Reserve requirement rule ln ( τt ) ( πt ) = ψ τp ln + ψ τx ln τ π ( GDP t GDP ) 25 / 36

26 Quantitative results Compare macro stability and welfare under 4 policy rules Benchmark policy: Taylor rule with ψ rp = 1.5 and ψ ry =.2 and constant τ =.15 Optimal interest-rate rule: ψ rp and ψ ry set optimally to max welfare, and τ kept constant Optimal reserve-requirement rule: ψ τp and ψ τy set optimally, Taylor rule coefficients kept at benchmark values Jointly optimal rule: Coefficients for both interest rates and reserve requirements set optimally 26 / 36

27 Quantitative results The financial accelerator mechanism Financial accelerator: recession default prob rises monitoring cost and credit spread increase firm funding costs rise more default and even higher credit spread... Financial accelerator muted for SOEs but operative for POEs SOE debt guaranteed by gov t no default premium POE debt not guaranteed financial accelerator operative POE firms more sensitive to macro shocks Default premium always countercyclical, but credit spread can be pro- or countercyclical, depending on strength of credit demand (Carstrom-Fuerst, 1997; Faia-Monacelli, 27) Overall macro stability can be enhanced by using RR and interest-rate instruments 27 / 36

28 Quantitative results Aggregate Responses to TFP Shock: Benchmark Impulse responses to TFP shock 1.2 GDP -.3 Inflation Deposit rate.1 Required reserve ratio / 36

29 Quantitative results Sectoral responses to TFP shock: Benchmark Impulse responses to TFP shock 2 SOE output 2 POE output SOE leverage SOE bankruptcy ratio SOE credit spread POE leverage POE bankruptcy ratio POE credit spread / 36

30 Quantitative results Aggregate Responses to TFP Shock: Benchmark vs alternative policies Impulse responses to TFP shock 1.2 GDP.2 Inflation Benchmark Optimal R rule Optimal = rule Jointly optimal rules Deposit rate 2 Required reserve ratio / 36

31 Quantitative results Sectoral responses to TFP shock: Benchmark vs alternative policies Impulse responses to TFP shock 2 SOE output 2 POE output SOE leverage POE leverage SOE bankruptcy ratio POE bankruptcy ratio SOE credit spread POE credit spread / 36

32 Quantitative results Macro stability and welfare under alternative rules Variables Benchmark Optimal τ rule Optimal R rule Jointly optimal rule Policy rule coefficients ψ rp ψ ry ψ τp ψ τy Volatility GDP 8.618% 8.155% 5.279% 4.952% π 3.49% 3.231%.84%.136% C 6.118% 5.95% 4.388% 4.36% H 2.13% 1.835%.599%.416% R 3.412% 3.236%.398%.349% Y s 9.91% 6.999% 5.362% 3.415% Y p 8.132% 8.455% 5.552% 5.982% Welfare Welfare gains.2423% % 1.181% 32 / 36

33 Quantitative results Jointly optimal rule allows for complementary use of policy tools Adjust R-rule to stabilize inflation and GDP Adjust τ-rule to achieve desired reallocation of resources across sectors Leads to higher welfare gains than each individually optimal rule the two policy instruments are complementary 33 / 36

34 Conclusion Conclusion Examine RR policy in DSGE model with BGG financial accelerator and Chinese characteristics Changes in RR incur tradeoff between allocation efficiency and SOE bailout costs RR and interest rates are complementary policy instruments Interest rate effective for macro stabilization RR more useful for improving allocation efficiency and welfare Caveats: Results are second-best Open-economy features not in model: RR policy may stem from sterilized intervention in FX market 34 / 36

35 Additional material Parameter calibration I Back Variable Description Value A. Households β Subjective discount factor.995 η Inverse Frisch elasticity of labor supply 2 Ψ Weight of disutility of working 18 δ Capital depreciation rate.35 Ω k Capital adjustment cost 1 B. Retailers ɛ Elasticity of substitution between retail products 1 Ω p Price adjustment cost parameter 22 C. Firms g Steady state growth rate k Shape parameter in Pareto distribution of idiosyncratic shocks ω m Scale parameter in Pareto distribution of idiosyncratic shocks.37 A s SOE TFP scale (normalized) 1 A p POE TFP scale 1.42 α Capital income share.5 θ Share of household labor.94 ψ Share parameter for SOE output in intermediate good.45 σ m Elasticity of substitution between SOE and POE products 3 C. Financial intermediaries m s SOE monitoring cost.15 m p POE monitoring cost.15 ξ s SOE manager s survival rate.97 ξ p POE manager s survival rate / 36

36 Additional material Parameter calibration II Variable Description Value C. Financial intermediaries m s SOE monitoring cost.15 m p POE monitoring cost.15 ξ s SOE manager s survival rate.97 ξ p POE manager s survival rate.69 D. Government policy π Steady state inflation rate 1.5 τ Required reserve ratio.15 ψ rp Taylor rule coefficient for inflation 1.5 ψ ry Taylor rule coefficient for output.2 G Share of government spending in GDP.14 GDP l s Fraction of SOE debt guaranteed by the government 1 l p Fraction of SOE debt guaranteed by the government E. Shock process ρ a Persistence of TFP shock.95 σ a Standard deviation of TFP shock.1 36 / 36

Reserve Requirements and Optimal Chinese Stabilization Policy 1

Reserve Requirements and Optimal Chinese Stabilization Policy 1 Reserve Requirements and Optimal Chinese Stabilization Policy 1 Chun Chang 1 Zheng Liu 2 Mark M. Spiegel 2 Jingyi Zhang 1 1 Shanghai Jiao Tong University, 2 FRB San Francisco 2nd Ann. Bank of Canada U

More information

RESERVE REQUIREMENTS AND OPTIMAL CHINESE STABILIZATION POLICY

RESERVE REQUIREMENTS AND OPTIMAL CHINESE STABILIZATION POLICY RESERVE REQUIREMENTS AND OPTIMAL CHINESE STABILIZATION POLICY CHUN CHANG, ZHENG LIU, MARK M. SPIEGEL, JINGYI ZHANG Abstract. We build a two-sector DSGE model of the Chinese economy to study the role of

More information

Capital Controls and Optimal Chinese Monetary Policy 1

Capital Controls and Optimal Chinese Monetary Policy 1 Capital Controls and Optimal Chinese Monetary Policy 1 Chun Chang a Zheng Liu b Mark Spiegel b a Shanghai Advanced Institute of Finance b Federal Reserve Bank of San Francisco International Monetary Fund

More information

RESERVE REQUIREMENTS AND OPTIMAL CHINESE STABILIZATION POLICY

RESERVE REQUIREMENTS AND OPTIMAL CHINESE STABILIZATION POLICY RESERVE REQUIREMENTS AND OPTIMAL CHINESE STABILIZATION POLICY CHUN CHANG, ZHENG LIU, MARK M. SPIEGEL, JINGYI ZHANG Abstract. China s central bank frequently uses reserve requirements as an additional policy

More information

Credit Frictions and Optimal Monetary Policy. Vasco Curdia (FRB New York) Michael Woodford (Columbia University)

Credit Frictions and Optimal Monetary Policy. Vasco Curdia (FRB New York) Michael Woodford (Columbia University) MACRO-LINKAGES, OIL PRICES AND DEFLATION WORKSHOP JANUARY 6 9, 2009 Credit Frictions and Optimal Monetary Policy Vasco Curdia (FRB New York) Michael Woodford (Columbia University) Credit Frictions and

More information

Household Debt, Financial Intermediation, and Monetary Policy

Household Debt, Financial Intermediation, and Monetary Policy Household Debt, Financial Intermediation, and Monetary Policy Shutao Cao 1 Yahong Zhang 2 1 Bank of Canada 2 Western University October 21, 2014 Motivation The US experience suggests that the collapse

More information

A Model with Costly-State Verification

A Model with Costly-State Verification A Model with Costly-State Verification Jesús Fernández-Villaverde University of Pennsylvania December 19, 2012 Jesús Fernández-Villaverde (PENN) Costly-State December 19, 2012 1 / 47 A Model with Costly-State

More information

Inflation Dynamics During the Financial Crisis

Inflation Dynamics During the Financial Crisis Inflation Dynamics During the Financial Crisis S. Gilchrist 1 1 Boston University and NBER MFM Summer Camp June 12, 2016 DISCLAIMER: The views expressed are solely the responsibility of the authors and

More information

OPTIMAL CAPITAL ACCOUNT LIBERALIZATION IN CHINA

OPTIMAL CAPITAL ACCOUNT LIBERALIZATION IN CHINA OPTIMAL CAPITAL ACCOUNT LIBERALIZATION IN CHINA ZHENG LIU, MARK M. SPIEGEL, AND JINGYI ZHANG Abstract. China maintains tight controls over its capital account. Its prevailing regime also features financial

More information

Unconventional Monetary Policy

Unconventional Monetary Policy Unconventional Monetary Policy Mark Gertler (based on joint work with Peter Karadi) NYU October 29 Old Macro Analyzes pre versus post 1984:Q4. 1 New Macro Analyzes pre versus post August 27 Post August

More information

Credit Frictions and Optimal Monetary Policy

Credit Frictions and Optimal Monetary Policy Credit Frictions and Optimal Monetary Policy Vasco Cúrdia FRB New York Michael Woodford Columbia University Conference on Monetary Policy and Financial Frictions Cúrdia and Woodford () Credit Frictions

More information

A Macroeconomic Model with Financial Panics

A Macroeconomic Model with Financial Panics A Macroeconomic Model with Financial Panics Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 March 218 1 The views expressed in this paper are those of the authors

More information

Risky Mortgages in a DSGE Model

Risky Mortgages in a DSGE Model 1 / 29 Risky Mortgages in a DSGE Model Chiara Forlati 1 Luisa Lambertini 1 1 École Polytechnique Fédérale de Lausanne CMSG November 6, 21 2 / 29 Motivation The global financial crisis started with an increase

More information

Macroprudential Policies in a Low Interest-Rate Environment

Macroprudential Policies in a Low Interest-Rate Environment Macroprudential Policies in a Low Interest-Rate Environment Margarita Rubio 1 Fang Yao 2 1 University of Nottingham 2 Reserve Bank of New Zealand. The views expressed in this paper do not necessarily reflect

More information

External Financing and the Role of Financial Frictions over the Business Cycle: Measurement and Theory. November 7, 2014

External Financing and the Role of Financial Frictions over the Business Cycle: Measurement and Theory. November 7, 2014 External Financing and the Role of Financial Frictions over the Business Cycle: Measurement and Theory Ali Shourideh Wharton Ariel Zetlin-Jones CMU - Tepper November 7, 2014 Introduction Question: How

More information

State-Dependent Fiscal Multipliers: Calvo vs. Rotemberg *

State-Dependent Fiscal Multipliers: Calvo vs. Rotemberg * State-Dependent Fiscal Multipliers: Calvo vs. Rotemberg * Eric Sims University of Notre Dame & NBER Jonathan Wolff Miami University May 31, 2017 Abstract This paper studies the properties of the fiscal

More information

Sterilized Intervention and Optimal Chinese Monetary Policy

Sterilized Intervention and Optimal Chinese Monetary Policy Sterilized Intervention and Optimal Chinese Monetary Policy Wukuang Cun University of Southern California - Dornsife INET Jie Li Central University of Finance and Economics August 15, 2016 Abstract China

More information

Inflation Dynamics During the Financial Crisis

Inflation Dynamics During the Financial Crisis Inflation Dynamics During the Financial Crisis S. Gilchrist 1 R. Schoenle 2 J. W. Sim 3 E. Zakrajšek 3 1 Boston University and NBER 2 Brandeis University 3 Federal Reserve Board Theory and Methods in Macroeconomics

More information

A Macroeconomic Model with Financial Panics

A Macroeconomic Model with Financial Panics A Macroeconomic Model with Financial Panics Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 September 218 1 The views expressed in this paper are those of the

More information

Bank Capital Requirements: A Quantitative Analysis

Bank Capital Requirements: A Quantitative Analysis Bank Capital Requirements: A Quantitative Analysis Thiên T. Nguyễn Introduction Motivation Motivation Key regulatory reform: Bank capital requirements 1 Introduction Motivation Motivation Key regulatory

More information

Can Financial Frictions Explain China s Current Account Puzzle: A Firm Level Analysis (Preliminary)

Can Financial Frictions Explain China s Current Account Puzzle: A Firm Level Analysis (Preliminary) Can Financial Frictions Explain China s Current Account Puzzle: A Firm Level Analysis (Preliminary) Yan Bai University of Rochester NBER Dan Lu University of Rochester Xu Tian University of Rochester February

More information

Fiscal Multipliers and Financial Crises

Fiscal Multipliers and Financial Crises Fiscal Multipliers and Financial Crises Miguel Faria-e-Castro New York University June 20, 2017 1 st Research Conference of the CEPR Network on Macroeconomic Modelling and Model Comparison 0 / 12 Fiscal

More information

MONETARY POLICY REGIMES AND CAPITAL ACCOUNT RESTRICTIONS IN A SMALL OPEN ECONOMY

MONETARY POLICY REGIMES AND CAPITAL ACCOUNT RESTRICTIONS IN A SMALL OPEN ECONOMY MONETARY POLICY REGIMES AND CAPITAL ACCOUNT RESTRICTIONS IN A SMALL OPEN ECONOMY ZHENG LIU AND MARK M. SPIEGEL Abstract. The recent financial crisis has led to large declines in world interest rates and

More information

Keynesian Views On The Fiscal Multiplier

Keynesian Views On The Fiscal Multiplier Faculty of Social Sciences Jeppe Druedahl (Ph.d. Student) Department of Economics 16th of December 2013 Slide 1/29 Outline 1 2 3 4 5 16th of December 2013 Slide 2/29 The For Today 1 Some 2 A Benchmark

More information

The Risky Steady State and the Interest Rate Lower Bound

The Risky Steady State and the Interest Rate Lower Bound The Risky Steady State and the Interest Rate Lower Bound Timothy Hills Taisuke Nakata Sebastian Schmidt New York University Federal Reserve Board European Central Bank 1 September 2016 1 The views expressed

More information

Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach

Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach Gianluca Benigno 1 Andrew Foerster 2 Christopher Otrok 3 Alessandro Rebucci 4 1 London School of Economics and

More information

Government spending shocks, sovereign risk and the exchange rate regime

Government spending shocks, sovereign risk and the exchange rate regime Government spending shocks, sovereign risk and the exchange rate regime Dennis Bonam Jasper Lukkezen Structure 1. Theoretical predictions 2. Empirical evidence 3. Our model SOE NK DSGE model (Galì and

More information

Menu Costs and Phillips Curve by Mikhail Golosov and Robert Lucas. JPE (2007)

Menu Costs and Phillips Curve by Mikhail Golosov and Robert Lucas. JPE (2007) Menu Costs and Phillips Curve by Mikhail Golosov and Robert Lucas. JPE (2007) Virginia Olivella and Jose Ignacio Lopez October 2008 Motivation Menu costs and repricing decisions Micro foundation of sticky

More information

The Global Rise of Corporate Saving

The Global Rise of Corporate Saving The Global Rise of Corporate Saving Peter Chen Loukas Karabarbounis Brent Neiman University of Chicago University of Minnesota University of Chicago January 2017 This paper 1 Global rise of corporate saving

More information

Optimal Credit Market Policy. CEF 2018, Milan

Optimal Credit Market Policy. CEF 2018, Milan Optimal Credit Market Policy Matteo Iacoviello 1 Ricardo Nunes 2 Andrea Prestipino 1 1 Federal Reserve Board 2 University of Surrey CEF 218, Milan June 2, 218 Disclaimer: The views expressed are solely

More information

Financial intermediaries in an estimated DSGE model for the UK

Financial intermediaries in an estimated DSGE model for the UK Financial intermediaries in an estimated DSGE model for the UK Stefania Villa a Jing Yang b a Birkbeck College b Bank of England Cambridge Conference - New Instruments of Monetary Policy: The Challenges

More information

A Small Open Economy DSGE Model for an Oil Exporting Emerging Economy

A Small Open Economy DSGE Model for an Oil Exporting Emerging Economy A Small Open Economy DSGE Model for an Oil Exporting Emerging Economy Iklaga, Fred Ogli University of Surrey f.iklaga@surrey.ac.uk Presented at the 33rd USAEE/IAEE North American Conference, October 25-28,

More information

Debt Covenants and the Macroeconomy: The Interest Coverage Channel

Debt Covenants and the Macroeconomy: The Interest Coverage Channel Debt Covenants and the Macroeconomy: The Interest Coverage Channel Daniel L. Greenwald MIT Sloan EFA Lunch, April 19 Daniel L. Greenwald Debt Covenants and the Macroeconomy EFA Lunch, April 19 1 / 6 Introduction

More information

Microfoundations of DSGE Models: III Lecture

Microfoundations of DSGE Models: III Lecture Microfoundations of DSGE Models: III Lecture Barbara Annicchiarico BBLM del Dipartimento del Tesoro 2 Giugno 2. Annicchiarico (Università di Tor Vergata) (Institute) Microfoundations of DSGE Models 2 Giugno

More information

Economic stability through narrow measures of inflation

Economic stability through narrow measures of inflation Economic stability through narrow measures of inflation Andrew Keinsley Weber State University Version 5.02 May 1, 2017 Abstract Under the assumption that different measures of inflation draw on the same

More information

Heterogeneous Firm, Financial Market Integration and International Risk Sharing

Heterogeneous Firm, Financial Market Integration and International Risk Sharing Heterogeneous Firm, Financial Market Integration and International Risk Sharing Ming-Jen Chang, Shikuan Chen and Yen-Chen Wu National DongHwa University Thursday 22 nd November 2018 Department of Economics,

More information

GHG Emissions Control and Monetary Policy

GHG Emissions Control and Monetary Policy GHG Emissions Control and Monetary Policy Barbara Annicchiarico* Fabio Di Dio** *Department of Economics and Finance University of Rome Tor Vergata **IT Economia - SOGEI S.P.A Workshop on Central Banking,

More information

On the new Keynesian model

On the new Keynesian model Department of Economics University of Bern April 7, 26 The new Keynesian model is [... ] the closest thing there is to a standard specification... (McCallum). But it has many important limitations. It

More information

Monetary Economics. Financial Markets and the Business Cycle: The Bernanke and Gertler Model. Nicola Viegi. September 2010

Monetary Economics. Financial Markets and the Business Cycle: The Bernanke and Gertler Model. Nicola Viegi. September 2010 Monetary Economics Financial Markets and the Business Cycle: The Bernanke and Gertler Model Nicola Viegi September 2010 Monetary Economics () Lecture 7 September 2010 1 / 35 Introduction Conventional Model

More information

Private Leverage and Sovereign Default

Private Leverage and Sovereign Default Private Leverage and Sovereign Default Cristina Arellano Yan Bai Luigi Bocola FRB Minneapolis University of Rochester Northwestern University Economic Policy and Financial Frictions November 2015 1 / 37

More information

Capital Flows, Financial Intermediation and Macroprudential Policies

Capital Flows, Financial Intermediation and Macroprudential Policies Capital Flows, Financial Intermediation and Macroprudential Policies Matteo F. Ghilardi International Monetary Fund 14 th November 2014 14 th November Capital Flows, 2014 Financial 1 / 24 Inte Introduction

More information

The Extensive Margin of Trade and Monetary Policy

The Extensive Margin of Trade and Monetary Policy The Extensive Margin of Trade and Monetary Policy Yuko Imura Bank of Canada Malik Shukayev University of Alberta June 2, 216 The views expressed in this presentation are our own, and do not represent those

More information

Concerted Efforts? Monetary Policy and Macro-Prudential Tools

Concerted Efforts? Monetary Policy and Macro-Prudential Tools Concerted Efforts? Monetary Policy and Macro-Prudential Tools Andrea Ferrero Richard Harrison Benjamin Nelson University of Oxford Bank of England Rokos Capital 20 th Central Bank Macroeconomic Modeling

More information

Household Saving, Financial Constraints, and the Current Account Balance in China

Household Saving, Financial Constraints, and the Current Account Balance in China Household Saving, Financial Constraints, and the Current Account Balance in China Ayşe İmrohoroğlu USC Marshall Kai Zhao Univ. of Connecticut Facing Demographic Change in a Challenging Economic Environment-

More information

Fiscal Multipliers in Recessions

Fiscal Multipliers in Recessions Fiscal Multipliers in Recessions Matthew Canzoneri Fabrice Collard Harris Dellas Behzad Diba March 10, 2015 Matthew Canzoneri Fabrice Collard Harris Dellas Fiscal Behzad Multipliers Diba (University in

More information

On the Merits of Conventional vs Unconventional Fiscal Policy

On the Merits of Conventional vs Unconventional Fiscal Policy On the Merits of Conventional vs Unconventional Fiscal Policy Matthieu Lemoine and Jesper Lindé Banque de France and Sveriges Riksbank The views expressed in this paper do not necessarily reflect those

More information

UNCERTAINTY SHOCKS ARE AGGREGATE DEMAND SHOCKS. I. Introduction

UNCERTAINTY SHOCKS ARE AGGREGATE DEMAND SHOCKS. I. Introduction UNCERTAINTY SHOCKS ARE AGGREGATE DEMAND SHOCKS SYLVAIN LEDUC AND ZHENG LIU Abstract. We study the macroeconomic effects of diverse uncertainty shocks in a DSGE model with labor search frictions and sticky

More information

Habit Formation in State-Dependent Pricing Models: Implications for the Dynamics of Output and Prices

Habit Formation in State-Dependent Pricing Models: Implications for the Dynamics of Output and Prices Habit Formation in State-Dependent Pricing Models: Implications for the Dynamics of Output and Prices Phuong V. Ngo,a a Department of Economics, Cleveland State University, 22 Euclid Avenue, Cleveland,

More information

Simple Analytics of the Government Expenditure Multiplier

Simple Analytics of the Government Expenditure Multiplier Simple Analytics of the Government Expenditure Multiplier Michael Woodford Columbia University New Approaches to Fiscal Policy FRB Atlanta, January 8-9, 2010 Woodford (Columbia) Analytics of Multiplier

More information

Not All Oil Price Shocks Are Alike: A Neoclassical Perspective

Not All Oil Price Shocks Are Alike: A Neoclassical Perspective Not All Oil Price Shocks Are Alike: A Neoclassical Perspective Vipin Arora Pedro Gomis-Porqueras Junsang Lee U.S. EIA Deakin Univ. SKKU December 16, 2013 GRIPS Junsang Lee (SKKU) Oil Price Dynamics in

More information

Fiscal Multipliers in Recessions. M. Canzoneri, F. Collard, H. Dellas and B. Diba

Fiscal Multipliers in Recessions. M. Canzoneri, F. Collard, H. Dellas and B. Diba 1 / 52 Fiscal Multipliers in Recessions M. Canzoneri, F. Collard, H. Dellas and B. Diba 2 / 52 Policy Practice Motivation Standard policy practice: Fiscal expansions during recessions as a means of stimulating

More information

Extended DSGE Model of the Czech Economy

Extended DSGE Model of the Czech Economy Zbyněk Štork Božena Bobková Ilkin Aliyev Moderní nástroje pro finanční analýzu a modelování 5. 6. 214 Outline 1 Extended DSGE model 2 3 Simulation 4 Outline 1 Extended DSGE model 2 3 Simulation 4 Outline

More information

. Social Security Actuarial Balance in General Equilibrium. S. İmrohoroğlu (USC) and S. Nishiyama (CBO)

. Social Security Actuarial Balance in General Equilibrium. S. İmrohoroğlu (USC) and S. Nishiyama (CBO) ....... Social Security Actuarial Balance in General Equilibrium S. İmrohoroğlu (USC) and S. Nishiyama (CBO) Rapid Aging and Chinese Pension Reform, June 3, 2014 SHUFE, Shanghai ..... The results in this

More information

Optimal Monetary Policy Rules and House Prices: The Role of Financial Frictions

Optimal Monetary Policy Rules and House Prices: The Role of Financial Frictions Optimal Monetary Policy Rules and House Prices: The Role of Financial Frictions A. Notarpietro S. Siviero Banca d Italia 1 Housing, Stability and the Macroeconomy: International Perspectives Dallas Fed

More information

Oil Price Uncertainty in a Small Open Economy

Oil Price Uncertainty in a Small Open Economy Yusuf Soner Başkaya Timur Hülagü Hande Küçük 6 April 212 Oil price volatility is high and it varies over time... 15 1 5 1985 199 1995 2 25 21 (a) Mean.4.35.3.25.2.15.1.5 1985 199 1995 2 25 21 (b) Coefficient

More information

Liquidity Regulation and Credit Booms: Theory and Evidence from China. JRCPPF Sixth Annual Conference February 16-17, 2017

Liquidity Regulation and Credit Booms: Theory and Evidence from China. JRCPPF Sixth Annual Conference February 16-17, 2017 Liquidity Regulation and Credit Booms: Theory and Evidence from China Kinda Hachem Chicago Booth and NBER Zheng Michael Song Chinese University of Hong Kong JRCPPF Sixth Annual Conference February 16-17,

More information

Unemployment Fluctuations and Nominal GDP Targeting

Unemployment Fluctuations and Nominal GDP Targeting Unemployment Fluctuations and Nominal GDP Targeting Roberto M. Billi Sveriges Riksbank 3 January 219 Abstract I evaluate the welfare performance of a target for the level of nominal GDP in the context

More information

Leverage Restrictions in a Business Cycle Model

Leverage Restrictions in a Business Cycle Model Leverage Restrictions in a Business Cycle Model Lawrence J. Christiano Daisuke Ikeda Disclaimer: The views expressed are those of the authors and do not necessarily reflect those of the Bank of Japan.

More information

DSGE Models with Financial Frictions

DSGE Models with Financial Frictions DSGE Models with Financial Frictions Simon Gilchrist 1 1 Boston University and NBER September 2014 Overview OLG Model New Keynesian Model with Capital New Keynesian Model with Financial Accelerator Introduction

More information

ECON 815. A Basic New Keynesian Model II

ECON 815. A Basic New Keynesian Model II ECON 815 A Basic New Keynesian Model II Winter 2015 Queen s University ECON 815 1 Unemployment vs. Inflation 12 10 Unemployment 8 6 4 2 0 1 1.5 2 2.5 3 3.5 4 4.5 5 Core Inflation 14 12 10 Unemployment

More information

Credit Disruptions and the Spillover Effects between the Household and Business Sectors

Credit Disruptions and the Spillover Effects between the Household and Business Sectors Credit Disruptions and the Spillover Effects between the Household and Business Sectors Rachatar Nilavongse Preliminary Draft Department of Economics, Uppsala University February 20, 2014 Abstract This

More information

Uninsured Unemployment Risk and Optimal Monetary Policy

Uninsured Unemployment Risk and Optimal Monetary Policy Uninsured Unemployment Risk and Optimal Monetary Policy Edouard Challe CREST & Ecole Polytechnique ASSA 2018 Strong precautionary motive Low consumption Bad aggregate shock High unemployment Low output

More information

Asset purchase policy at the effective lower bound for interest rates

Asset purchase policy at the effective lower bound for interest rates at the effective lower bound for interest rates Bank of England 12 March 2010 Plan Introduction The model The policy problem Results Summary & conclusions Plan Introduction Motivation Aims and scope The

More information

Frequency of Price Adjustment and Pass-through

Frequency of Price Adjustment and Pass-through Frequency of Price Adjustment and Pass-through Gita Gopinath Harvard and NBER Oleg Itskhoki Harvard CEFIR/NES March 11, 2009 1 / 39 Motivation Micro-level studies document significant heterogeneity in

More information

External Financing and the Role of Financial Frictions over the Business Cycle: Measurement and Theory Ariel Zetlin-Jones and Ali Shourideh

External Financing and the Role of Financial Frictions over the Business Cycle: Measurement and Theory Ariel Zetlin-Jones and Ali Shourideh External Financing and the Role of Financial Frictions over the Business Cycle: Measurement and Theory Ariel Zetlin-Jones and Ali Shourideh Discussion by Gaston Navarro March 3, 2015 1 / 25 Motivation

More information

Probably Too Little, Certainly Too Late. An Assessment of the Juncker Investment Plan

Probably Too Little, Certainly Too Late. An Assessment of the Juncker Investment Plan Probably Too Little, Certainly Too Late. An Assessment of the Juncker Investment Plan Mathilde Le Moigne 1 Francesco Saraceno 2,3 Sébastien Villemot 2 1 École Normale Supérieure 2 OFCE Sciences Po 3 LUISS-SEP

More information

Efforts to Reduce Leverage in the Chinese Economy 1

Efforts to Reduce Leverage in the Chinese Economy 1 Efforts to Reduce Leverage in the Chinese Economy 1 Mark M. Spiegel FRB San Francisco JRCPPF Conference on Escalating Risks: China s Economy, Society, and Financial System February 16-17, 2017 1 The views

More information

Debt Constraints and the Labor Wedge

Debt Constraints and the Labor Wedge Debt Constraints and the Labor Wedge By Patrick Kehoe, Virgiliu Midrigan, and Elena Pastorino This paper is motivated by the strong correlation between changes in household debt and employment across regions

More information

14.461: Technological Change, Lecture 10 Misallocation and Productivity

14.461: Technological Change, Lecture 10 Misallocation and Productivity 14.461: Technological Change, Lecture 10 Misallocation and Productivity Daron Acemoglu MIT October 14, 2011. Daron Acemoglu (MIT) Misallocation and Productivity October 14, 2011. 1 / 29 Introduction Introduction

More information

Asset Prices, Collateral and Unconventional Monetary Policy in a DSGE model

Asset Prices, Collateral and Unconventional Monetary Policy in a DSGE model Asset Prices, Collateral and Unconventional Monetary Policy in a DSGE model Bundesbank and Goethe-University Frankfurt Department of Money and Macroeconomics January 24th, 212 Bank of England Motivation

More information

Satya P. Das NIPFP) Open Economy Keynesian Macro: CGG (2001, 2002), Obstfeld-Rogoff Redux Model 1 / 18

Satya P. Das NIPFP) Open Economy Keynesian Macro: CGG (2001, 2002), Obstfeld-Rogoff Redux Model 1 / 18 Open Economy Keynesian Macro: CGG (2001, 2002), Obstfeld-Rogoff Redux Model Satya P. Das @ NIPFP Open Economy Keynesian Macro: CGG (2001, 2002), Obstfeld-Rogoff Redux Model 1 / 18 1 CGG (2001) 2 CGG (2002)

More information

Household income risk, nominal frictions, and incomplete markets 1

Household income risk, nominal frictions, and incomplete markets 1 Household income risk, nominal frictions, and incomplete markets 1 2013 North American Summer Meeting Ralph Lütticke 13.06.2013 1 Joint-work with Christian Bayer, Lien Pham, and Volker Tjaden 1 / 30 Research

More information

Bank Capital, Agency Costs, and Monetary Policy. Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada

Bank Capital, Agency Costs, and Monetary Policy. Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada Bank Capital, Agency Costs, and Monetary Policy Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada Motivation A large literature quantitatively studies the role of financial

More information

Technology shocks and Monetary Policy: Assessing the Fed s performance

Technology shocks and Monetary Policy: Assessing the Fed s performance Technology shocks and Monetary Policy: Assessing the Fed s performance (J.Gali et al., JME 2003) Miguel Angel Alcobendas, Laura Desplans, Dong Hee Joe March 5, 2010 M.A.Alcobendas, L. Desplans, D.H.Joe

More information

Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through

Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through Yuko Imura Bank of Canada June 28, 23 Disclaimer The views expressed in this presentation, or in my remarks, are my own, and do

More information

Lecture 4. Extensions to the Open Economy. and. Emerging Market Crises

Lecture 4. Extensions to the Open Economy. and. Emerging Market Crises Lecture 4 Extensions to the Open Economy and Emerging Market Crises Mark Gertler NYU June 2009 0 Objectives Develop micro-founded open-economy quantitative macro model with real/financial interactions

More information

On Quality Bias and Inflation Targets: Supplementary Material

On Quality Bias and Inflation Targets: Supplementary Material On Quality Bias and Inflation Targets: Supplementary Material Stephanie Schmitt-Grohé Martín Uribe August 2 211 This document contains supplementary material to Schmitt-Grohé and Uribe (211). 1 A Two Sector

More information

Graduate Macro Theory II: The Basics of Financial Constraints

Graduate Macro Theory II: The Basics of Financial Constraints Graduate Macro Theory II: The Basics of Financial Constraints Eric Sims University of Notre Dame Spring Introduction The recent Great Recession has highlighted the potential importance of financial market

More information

Financial Amplification, Regulation and Long-term Lending

Financial Amplification, Regulation and Long-term Lending Financial Amplification, Regulation and Long-term Lending Michael Reiter 1 Leopold Zessner 2 1 Instiute for Advances Studies, Vienna 2 Vienna Graduate School of Economics Barcelona GSE Summer Forum ADEMU,

More information

Foreign Competition and Banking Industry Dynamics: An Application to Mexico

Foreign Competition and Banking Industry Dynamics: An Application to Mexico Foreign Competition and Banking Industry Dynamics: An Application to Mexico Dean Corbae Pablo D Erasmo 1 Univ. of Wisconsin FRB Philadelphia June 12, 2014 1 The views expressed here do not necessarily

More information

ECON 4325 Monetary Policy and Business Fluctuations

ECON 4325 Monetary Policy and Business Fluctuations ECON 4325 Monetary Policy and Business Fluctuations Tommy Sveen Norges Bank January 28, 2009 TS (NB) ECON 4325 January 28, 2009 / 35 Introduction A simple model of a classical monetary economy. Perfect

More information

Distortionary Fiscal Policy and Monetary Policy Goals

Distortionary Fiscal Policy and Monetary Policy Goals Distortionary Fiscal Policy and Monetary Policy Goals Klaus Adam and Roberto M. Billi Sveriges Riksbank Working Paper Series No. xxx October 213 Abstract We reconsider the role of an inflation conservative

More information

Default Risk and Aggregate Fluctuations in an Economy with Production Heterogeneity

Default Risk and Aggregate Fluctuations in an Economy with Production Heterogeneity Default Risk and Aggregate Fluctuations in an Economy with Production Heterogeneity Aubhik Khan The Ohio State University Tatsuro Senga The Ohio State University and Bank of Japan Julia K. Thomas The Ohio

More information

The Role of the Net Worth of Banks in the Propagation of Shocks

The Role of the Net Worth of Banks in the Propagation of Shocks The Role of the Net Worth of Banks in the Propagation of Shocks Preliminary Césaire Meh Department of Monetary and Financial Analysis Bank of Canada Kevin Moran Université Laval The Role of the Net Worth

More information

Credit Frictions and Optimal Monetary Policy

Credit Frictions and Optimal Monetary Policy Vasco Cúrdia FRB of New York 1 Michael Woodford Columbia University National Bank of Belgium, October 28 1 The views expressed in this paper are those of the author and do not necessarily re ect the position

More information

Nobel Symposium Money and Banking

Nobel Symposium Money and Banking Nobel Symposium Money and Banking https://www.houseoffinance.se/nobel-symposium May 26-28, 2018 Clarion Hotel Sign, Stockholm Money and Banking: Some DSGE Challenges Nobel Symposium on Money and Banking

More information

Uncertainty Shocks In A Model Of Effective Demand

Uncertainty Shocks In A Model Of Effective Demand Uncertainty Shocks In A Model Of Effective Demand Susanto Basu Boston College NBER Brent Bundick Boston College Preliminary Can Higher Uncertainty Reduce Overall Economic Activity? Many think it is an

More information

State-Dependent Output and Welfare Effects of Tax Shocks

State-Dependent Output and Welfare Effects of Tax Shocks State-Dependent Output and Welfare Effects of Tax Shocks Eric Sims University of Notre Dame NBER, and ifo Jonathan Wolff University of Notre Dame July 15, 2014 Abstract This paper studies the output and

More information

Efficient Bailouts? Javier Bianchi. Wisconsin & NYU

Efficient Bailouts? Javier Bianchi. Wisconsin & NYU Efficient Bailouts? Javier Bianchi Wisconsin & NYU Motivation Large interventions in credit markets during financial crises Fierce debate about desirability of bailouts Supporters: salvation from a deeper

More information

The Employment and Output Effects of Short-Time Work in Germany

The Employment and Output Effects of Short-Time Work in Germany The Employment and Output Effects of Short-Time Work in Germany Russell Cooper Moritz Meyer 2 Immo Schott 3 Penn State 2 The World Bank 3 Université de Montréal Social Statistics and Population Dynamics

More information

Foreign Exchange Market Intervention, Inflation and. Export Competitiveness

Foreign Exchange Market Intervention, Inflation and. Export Competitiveness Foreign Exchange Market Intervention, Inflation and Export Competitiveness Wukuang Cun Rutgers University Jie Li Central University of Finance and Economics March 2013 1 Abstract During recent years, the

More information

Optimality of Inflation and Nominal Output Targeting

Optimality of Inflation and Nominal Output Targeting Optimality of Inflation and Nominal Output Targeting Julio Garín Department of Economics University of Georgia Robert Lester Department of Economics University of Notre Dame First Draft: January 7, 15

More information

Optimal monetary policy when asset markets are incomplete

Optimal monetary policy when asset markets are incomplete Optimal monetary policy when asset markets are incomplete R. Anton Braun Tomoyuki Nakajima 2 University of Tokyo, and CREI 2 Kyoto University, and RIETI December 9, 28 Outline Introduction 2 Model Individuals

More information

Monetary Economics Final Exam

Monetary Economics Final Exam 316-466 Monetary Economics Final Exam 1. Flexible-price monetary economics (90 marks). Consider a stochastic flexibleprice money in the utility function model. Time is discrete and denoted t =0, 1,...

More information

Taxing Firms Facing Financial Frictions

Taxing Firms Facing Financial Frictions Taxing Firms Facing Financial Frictions Daniel Wills 1 Gustavo Camilo 2 1 Universidad de los Andes 2 Cornerstone November 11, 2017 NTA 2017 Conference Corporate income is often taxed at different sources

More information

Reserve Accumulation, Macroeconomic Stabilization and Sovereign Risk

Reserve Accumulation, Macroeconomic Stabilization and Sovereign Risk Reserve Accumulation, Macroeconomic Stabilization and Sovereign Risk Javier Bianchi 1 César Sosa-Padilla 2 2018 SED Annual Meeting 1 Minneapolis Fed & NBER 2 University of Notre Dame Motivation EMEs with

More information

Balance Sheet Recessions

Balance Sheet Recessions Balance Sheet Recessions Zhen Huo and José-Víctor Ríos-Rull University of Minnesota Federal Reserve Bank of Minneapolis CAERP CEPR NBER Conference on Money Credit and Financial Frictions Huo & Ríos-Rull

More information

Country Spreads and Emerging Countries: Who Drives Whom? Martin Uribe and Vivian Yue (JIE, 2006)

Country Spreads and Emerging Countries: Who Drives Whom? Martin Uribe and Vivian Yue (JIE, 2006) Country Spreads and Emerging Countries: Who Drives Whom? Martin Uribe and Vivian Yue (JIE, 26) Country Interest Rates and Output in Seven Emerging Countries Argentina Brazil.5.5...5.5.5. 94 95 96 97 98

More information

Monetary policy and the asset risk-taking channel

Monetary policy and the asset risk-taking channel Monetary policy and the asset risk-taking channel Angela Abbate 1 Dominik Thaler 2 1 Deutsche Bundesbank and European University Institute 2 European University Institute Trinity Workshop, 7 November 215

More information

Liquidity Regulation and Unintended Financial Transformation in China

Liquidity Regulation and Unintended Financial Transformation in China Liquidity Regulation and Unintended Financial Transformation in China Kinda Cheryl Hachem Zheng (Michael) Song Chicago Booth Chinese University of Hong Kong First Research Workshop on China s Economy April

More information