American Economic Journal: Macroeconomics 2023年第2期

Vol. 15 No. 4 April 2023

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——更多動態(tài)，請持續(xù)關(guān)注gzh：理想主義的百年孤獨

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Earnings-Based Borrowing Constraints and Macroeconomic Fluctuations

基于收益的借貸約束與宏觀經(jīng)濟波動

Thomas?Drechsel

Microeconomic evidence reveals a direct link between firms' current earnings and their access to debt. This paper studies macroeconomic implications of earnings-based borrowing constraints. In a macro model, firms with earnings-based constraints borrow more in response to positive investment shocks, whereas firms with collateral constraints borrow less. Empirically, aggregate and firm-level credit responds to identified investment shocks according to the predictions with earnings-based constraints. Moreover, with sticky prices, earnings-based constraints imply that supply shocks are quantitatively more important. This is validated in an estimated version of the model, highlighting the importance of carefully modeling credit constraints to understand policy trade-offs.

微觀經(jīng)濟學(xué)證據(jù)揭示了企業(yè)當前收益與獲得債務(wù)之間的直接聯(lián)系。本文研究了基于收益的借貸約束對宏觀經(jīng)濟的影響。在宏觀模型中，受盈利約束的公司在應(yīng)對正面投資沖擊時借款更多，而受抵押品約束的公司借款較少。從經(jīng)驗上看，根據(jù)基于收益約束的預(yù)測，總信貸和企業(yè)信貸對確定的投資沖擊做出反應(yīng)。此外，由于價格具有粘性，基于收益的約束意味著供應(yīng)沖擊在數(shù)量上更為重要。這在模型的估計版本中得到了驗證，強調(diào)了仔細建模信貸限制以理解政策權(quán)衡的重要性。

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Collective Moral Hazard and the Interbank Market

集體道德風險與銀行間市場

Levent?Altinoglu?and?Joseph E.?Stiglitz

The concentration of risk within the financial system leads to systemic instability. We propose a theory to explain the structure of the financial system and show how it alters the risk-taking incentives of financial institutions when the government optimally intervenes during crises. By issuing interbank claims, risky institutions endogenously become large and interconnected. This concentrated structure enables institutions to share the risk of systemic crises in a privately optimal way but leads to excessive risk taking even by peripheral institutions. Interconnectedness and excessive risk taking reinforce one another. Macroprudential regulation that limits the interconnectedness of risky institutions improves welfare.

風險在金融體系內(nèi)的集中會導(dǎo)致系統(tǒng)性的不穩(wěn)定。我們提出了一個理論來解釋金融系統(tǒng)的結(jié)構(gòu)，并展示了當政府在危機期間進行最優(yōu)干預(yù)時，它如何改變金融機構(gòu)的冒險動機。通過發(fā)行銀行間債權(quán)，高風險機構(gòu)內(nèi)生地變得龐大并相互關(guān)聯(lián)。這種集中的結(jié)構(gòu)使機構(gòu)能夠以私人最優(yōu)的方式分擔系統(tǒng)性危機的風險，但導(dǎo)致即使是外圍機構(gòu)也會過度冒險。相互聯(lián)系和過度冒險相互加強。限制高風險機構(gòu)相互關(guān)聯(lián)性的宏觀審慎監(jiān)管改善了福利。

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Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data

截面不確定性與商業(yè)周期:來自40年期權(quán)數(shù)據(jù)的證據(jù)

Ian?Dew-Becker?and?Stefano?Giglio

This paper presents a novel and unique measure of cross-sectional uncertainty constructed from stock options on individual firms. Cross-sectional uncertainty varied little between 1980 and 1995 and subsequently had three distinct peaks—during the tech boom, the financial crisis, and the coronavirus epidemic. Cross-sectional uncertainty has had a mixed relationship with overall economic activity, and aggregate uncertainty is much more powerful for forecasting aggregate growth. The data and moments can be used to calibrate and test structural models of the effects of uncertainty shocks. In international data, we find similar dynamics and a strong common factor in cross-sectional uncertainty.

本文提出了一種新穎而獨特的橫截面不確定性測量方法，由單個公司的股票期權(quán)構(gòu)建而成。在1980年至1995年間，截面不確定性變化不大，隨后出現(xiàn)了三個不同的峰值——科技繁榮時期、金融危機時期和冠狀病毒流行時期。截面不確定性與整體經(jīng)濟活動的關(guān)系好壞參半，總體不確定性在預(yù)測總體增長方面要強大得多。這些數(shù)據(jù)和矩可以用來標定和測試不確定性沖擊效應(yīng)的結(jié)構(gòu)模型。在國際數(shù)據(jù)中，我們發(fā)現(xiàn)了類似的動態(tài)變化和橫截面不確定性的一個強大的共同因素。

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Self-Harming Trade Policy? Protectionism and Production Networks

自殘的貿(mào)易政策?保護主義和生產(chǎn)網(wǎng)絡(luò)

Alessandro?Barattieri?and?Matteo?Cacciatore

Using monthly data on temporary trade barriers (TTBs), we estimate the dynamic employment effects of protectionism through vertical production linkages. First, exploiting high-frequency data and TTB procedural details, we identify trade policy shocks exogenous to economic fundamentals. We then use input-output tables to construct measures of protectionism affecting downstream producers. Finally, we estimate panel local projections using the identified trade policy shocks. Protectionism has small and insignificant beneficial effects in protected industries. The effects in downstream industries are negative, sizable, and significant. The employment decline follows an increase in intermediate input and final goods prices and a decline in stock market returns.

利用臨時貿(mào)易壁壘(ttb)的月度數(shù)據(jù)，我們估計了保護主義通過垂直生產(chǎn)聯(lián)系對就業(yè)的動態(tài)影響。首先，利用高頻數(shù)據(jù)和TTB程序細節(jié)，我們確定了外生于經(jīng)濟基本面的貿(mào)易政策沖擊。然后，我們使用投入產(chǎn)出表來構(gòu)建影響下游生產(chǎn)者的保護主義措施。最后，我們使用確定的貿(mào)易政策沖擊來估計面板本地預(yù)測。保護主義對受保護產(chǎn)業(yè)的有利影響很小且微不足道。對下游產(chǎn)業(yè)的影響是負面的、相當大的和顯著的。在就業(yè)下降之前，中間投入和最終產(chǎn)品價格上漲，股市回報率下降。

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The Response of Consumer Spending to Changes in Gasoline Prices

消費者支出對汽油價格變化的反應(yīng)

Michael?Gelman,?Yuriy?Gorodnichenko,?Shachar?Kariv,?Dmitri?Koustas,?Matthew D.?Shapiro,?Dan?Silverman?and?Steven?Tadelis

This paper estimates how overall consumer spending responds to changes in gasoline prices. It uses the differential impact across consumers of the sharp drop in gasoline prices in 2014 for identification. This estimation strategy is implemented using comprehensive, high-frequency, transaction-level data for a large panel of individuals. The average estimated marginal propensity to consume (MPC) out of unanticipated, permanent shocks to income is approximately one. This estimate accounts for the elasticity of demand for gasoline and potential slow adjustment to changes in prices. The high MPC implies that changes in gasoline prices have large aggregate effects.

這篇論文估計了總體消費者支出對汽油價格變化的反應(yīng)。它利用2014年汽油價格大幅下跌對消費者的不同影響來進行識別。這種估計策略是使用針對大量個體的全面、高頻、事務(wù)級數(shù)據(jù)實現(xiàn)的。平均估計邊際消費傾向(MPC)的不可預(yù)見的，永久性的收入沖擊約為1。這一估計考慮了汽油需求的彈性以及對價格變化的潛在緩慢調(diào)整。高MPC意味著汽油價格的變化具有較大的綜合效應(yīng)。

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State-Dependent Attention and Pricing Decisions

狀態(tài)依賴注意與定價決策

Javier?Turen

This paper studies price-setting decisions under rational inattention. Prices are set by tracking an unobserved target whose distribution is also unknown. Information acquisition is dynamic and fully flexible since, given information acquired previously, price setters choose the amount of information they collect as well as how they want to learn about both the outcome and its distribution. We show that by allowing for imperfect information to be the unique source of rigidity, the model can reconcile stylized facts in the microeconomic evidence on price setting while simultaneously being consistent with empirical results on state-dependent attention.

本文研究了理性忽視條件下的價格制定決策。價格是通過跟蹤一個未被觀察到的目標來確定的，這個目標的分布也是未知的。信息獲取是動態(tài)和完全靈活的，因為給定先前獲得的信息，價格制定者可以選擇他們收集的信息量，以及他們希望如何了解結(jié)果及其分布。我們表明，通過允許不完全信息作為剛性的唯一來源，該模型可以協(xié)調(diào)價格設(shè)定微觀經(jīng)濟證據(jù)中的程式化事實，同時與國家依賴注意力的經(jīng)驗結(jié)果一致。

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Capital-Reallocation Frictions and Trade Shocks

資本再配置摩擦與貿(mào)易沖擊

Andrea?Lanteri,?Pamela?Medina?and?Eugene?Tan

What are the short-term effects of an import-competition shock on capital reallocation and aggregate productivity? To address this question, we develop a quantitative model with heterogeneous firms and capital-reallocation frictions. We discipline the model with micro data on investment dynamics of Peruvian manufacturing firms and trade flows between China and Peru. Because of large frictions in firm downsizing and exit, an import-competition shock induces a temporary aggregate-productivity loss and larger dispersion in marginal products, due to investment inaction and exit of some productive firms. Empirical evidence on the effects of trade shocks on capital reallocation supports the model mechanism.

進口競爭沖擊對資本重新配置和總生產(chǎn)率的短期影響是什么?為了解決這個問題，我們建立了一個包含異質(zhì)企業(yè)和資本再配置摩擦的定量模型。我們用秘魯制造業(yè)企業(yè)投資動態(tài)和中國和秘魯之間貿(mào)易流動的微觀數(shù)據(jù)來約束模型。由于企業(yè)縮小規(guī)模和退出過程中存在較大的摩擦，進口競爭沖擊會導(dǎo)致投資不作為和部分生產(chǎn)性企業(yè)退出，從而導(dǎo)致暫時性的總生產(chǎn)率損失和邊際產(chǎn)品的較大離散。貿(mào)易沖擊對資本再配置影響的經(jīng)驗證據(jù)支持了模型機制。

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The State-Dependent Effectiveness of Hiring Subsidies

雇傭補貼的國家依賴有效性

Sebastian?Graves

The responsiveness of job creation to shocks is procyclical, while the responsiveness of job destruction is countercyclical. This new finding can be explained by a heterogeneous-firm model in which hiring costs lead to lumpy employment adjustment. The model predicts that policies that aim to stimulate employment by encouraging job creation, such as hiring subsidies, are significantly less effective in recessions: these are times when few firms are near their hiring thresholds and many firms are near their firing thresholds. Policies that target the job destruction margin, such as employment protection subsidies, are particularly effective at such times.

就業(yè)創(chuàng)造對沖擊的響應(yīng)是順周期的，而就業(yè)破壞的響應(yīng)是逆周期的。這一新發(fā)現(xiàn)可以用一個異質(zhì)企業(yè)模型來解釋，在這個模型中，雇傭成本導(dǎo)致了不穩(wěn)定的就業(yè)調(diào)整。該模型預(yù)測，旨在通過鼓勵創(chuàng)造就業(yè)機會來刺激就業(yè)的政策，如雇傭補貼，在經(jīng)濟衰退中效果明顯較差:在衰退時期，很少有公司接近他們的招聘門檻，而許多公司接近他們的解雇門檻。針對就業(yè)破壞邊際的政策，如就業(yè)保護補貼，在這種時候尤其有效

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Learning-through-Survey in Inflation Expectations

通貨膨脹預(yù)期的全面調(diào)查

Gwangmin?Kim?and?Carola?Binder

When surveys rely on repeat participants, this raises the possibility that survey participation may affect future responses, perhaps by prompting information acquisition between survey waves. We show that these "learning-through-survey" effects are large for household inflation expectations. Repeat survey participants generally have lower inflation expectations and uncertainty, particularly if their initial uncertainty was high. Consequently, repeat participants may be more informed about or attentive to inflation. This has important implications: for example, inflation expectations of new participants are more influenced by oil prices, and estimates of the elasticity of intertemporal substitution are lower for new participants.

當調(diào)查依賴于重復(fù)參與者時，這就增加了調(diào)查參與可能影響未來反應(yīng)的可能性，也許是通過促進調(diào)查浪潮之間的信息獲取。我們的研究表明，這種“通過調(diào)查學(xué)習(xí)”的效應(yīng)對家庭通脹預(yù)期影響很大。重復(fù)調(diào)查的參與者通常有較低的通脹預(yù)期和不確定性，特別是如果他們最初的不確定性很高。因此，重復(fù)參與者可能更了解或更關(guān)注通貨膨脹。這具有重要的含義:例如，新參與者的通脹預(yù)期受油價的影響更大，對新參與者的跨期替代彈性的估計更低。

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Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions

利用剩余限制的SVARs衡量歐元區(qū)的貨幣政策

Harald?Badinger?and?Stefan?Schiman

This study measures the effects of monetary policy in the euro area using a small number of sign and magnitude restrictions on the residuals of a structural vector autoregression. We derive the dates and directions of these shocks from high-frequency financial market data around official European Central Bank policy announcements. Based on an in-depth narrative analysis and a comparison of the results with those of a standard high-frequency approach, we argue that our approach is purged from central bank information effects. Despite our rather agnostic identification strategy, we find clear and conclusive effects of monetary policy shocks on a wide range of macroeconomic variables.

本研究對結(jié)構(gòu)向量自回歸殘差采用少量符號和幅度限制來衡量歐元區(qū)貨幣政策的影響。我們從歐洲央行(ecb)官方政策宣布前后的高頻金融市場數(shù)據(jù)中得出了這些沖擊的日期和方向?；谏钊氲臄⑹路治鲆约芭c標準高頻方法的結(jié)果比較，我們認為我們的方法消除了中央銀行信息的影響。盡管我們的識別策略相當不可知論，但我們發(fā)現(xiàn)，貨幣政策沖擊對廣泛的宏觀經(jīng)濟變量有明確和決定性的影響。

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The Effect of Population Aging on Economic Growth, the Labor Force, and Productivity

Nicole?Maestas,?Kathleen J.?Mullen?and?David?Powell

Population aging is expected to slow US economic growth. We use variation in the predetermined component of population aging across states to estimate the impact of aging on growth in GDP per capita for 1980–2010. We find that each 10 percent increase in the fraction of the population age 60+ decreased per capita GDP by 5.5 percent. One-third of the reduction arose from slower employment growth; two-thirds due to slower labor productivity growth. Labor compensation and wages also declined in response. Our estimate implies population aging reduced the growth rate in GDP per capita by 0.3 percentage points per year during 1980–2010.

人口老齡化預(yù)計將減緩美國經(jīng)濟增長。我們使用各州人口老齡化的預(yù)定成分的變化來估計1980-2010年老齡化對人均GDP增長的影響。我們發(fā)現(xiàn)，60歲以上人口比例每增加10%，人均GDP就會下降5.5%。三分之一的減少源于就業(yè)增長放緩;三分之二是因為勞動生產(chǎn)率增長放緩。勞動報酬和工資也隨之下降。我們的估計表明，在1980-2010年期間，人口老齡化使人均GDP增長率每年降低0.3個百分點。

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Bubbles, Crashes, and Economic Growth: Theory and Evidence

泡沫、崩潰與經(jīng)濟增長:理論與證據(jù)

Tomohiro?Hirano?and?Konstantin?Kucheryavyy,?Andrés?Rodríguez-Clare

We propose a model to study the role of industry-level external economies of scale in open economies. If the elasticity governing the strength of external economies is below the inverse of the trade elasticity in each industry, then specialization under frictionless trade is consistent with comparative advantage, the model is tractable even with trade frictions, and all countries gain from trade. External economies lower gains from trade except if the country specializes in industries with high scale economies, and they amplify the gains from further trade liberalization except if it leads to specialization in industries with low scale economies.

我們提出了一個模型來研究產(chǎn)業(yè)層面的外部規(guī)模經(jīng)濟在開放經(jīng)濟中的作用。如果支配外部經(jīng)濟實力的彈性低于每個行業(yè)的貿(mào)易彈性的倒數(shù)，那么無摩擦貿(mào)易下的專業(yè)化與比較優(yōu)勢是一致的，即使存在貿(mào)易摩擦，模型也是可處理的，所有國家都從貿(mào)易中獲益。外部經(jīng)濟會降低從貿(mào)易中獲得的收益，除非該國專門從事高規(guī)模經(jīng)濟的行業(yè);如果進一步的貿(mào)易自由化導(dǎo)致低規(guī)模經(jīng)濟的行業(yè)專業(yè)化，外部經(jīng)濟則會放大從貿(mào)易中獲得的收益。

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Rural-Urban Migration, Structural Transformation, and Housing Markets in China

中國城鄉(xiāng)遷移、結(jié)構(gòu)轉(zhuǎn)型與住房市場

Aaron?Hedlund,?Ping?Wang

This paper investigates the interrelationship between urbanization, structural transformation, and the post-2000 Chinese housing boom through the lens of a dynamic spatial equilibrium model that features migration and a rich housing market structure with mortgages. Urbanization and structural transformation emerge as key drivers of China's house price boom, while at the same time rising house prices impede these forces of economic transition. Policies to boost urbanization can be undone by the endogenous price response. Land supply expansion ameliorates this negative feedback. Overall, housing markets powerfully shape the path of economic development.

本文通過動態(tài)空間平衡模型的視角，研究了城市化、結(jié)構(gòu)轉(zhuǎn)型和2000年后中國房地產(chǎn)繁榮之間的相互關(guān)系，該模型以移民和抵押貸款豐富的住房市場結(jié)構(gòu)為特征。城市化和結(jié)構(gòu)轉(zhuǎn)型成為中國房價飆升的主要驅(qū)動力，而與此同時，房價上漲阻礙了這些經(jīng)濟轉(zhuǎn)型的力量。促進城市化的政策可能會被內(nèi)生價格反應(yīng)所抵消。土地供應(yīng)擴張改善了這種負反饋?？傮w而言，房地產(chǎn)市場有力地塑造了經(jīng)濟發(fā)展的道路。

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Land Misallocation and Productivity

土地錯配與生產(chǎn)力

Diego?Restuccia?and?Marco?Bonomo,?René?Garcia,?Rodolfo?Rigato

We propose a model that reconciles microeconomic evidence of frequent and large price changes with sizable monetary non-neutrality. Firms incur separate lump-sum costs to change prices and to gather and process some information about marginal costs. Additional relevant information is continuously available and can be factored into pricing decisions at no cost. We estimate the model by Simulated Method of Moments, using price-setting statistics for the US economy. The model with free idiosyncratic and costly aggregate information fits well both targeted and untargeted microeconomic moments and generates almost three times as much monetary non-neutrality as the Calvo model.

我們提出了一個模型，該模型調(diào)和了頻繁而巨大的價格變化的微觀經(jīng)濟證據(jù)與相當大的貨幣非中立性。為了改變價格和收集和處理一些關(guān)于邊際成本的信息，公司會產(chǎn)生單獨的一次性成本。額外的相關(guān)信息是持續(xù)可用的，可以免費考慮到定價決策。我們利用美國經(jīng)濟的價格統(tǒng)計數(shù)據(jù)，通過模擬矩量法對模型進行估計。該模型具有免費的特殊信息和昂貴的聚合信息，能夠很好地適應(yīng)有目標和無目標的微觀經(jīng)濟時刻，產(chǎn)生的貨幣非中立性幾乎是卡爾沃模型的三倍。