Topics in Macroeconomics

宏观经济学专题

• 批准号: 0137063
• 负责人: Sergio Rebelo
• 金额: --
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2002
• 资助国家: 美国
• 起止时间: 2002-03-01 至 2008-02-29
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0137063&HistoricalAwards=false
• 关键词: Topics; Macroeconomics

This project seeks to improve our understanding of devaluation episodes. The first project studies the behavior of inflation in the aftermath of large contractionary devaluations. The second project investigates how the fiscal costs of banking crises that associated with currency crises are financed by the government. The third project characterizes the optimal time to abandon a fixed exchange rate regime in response to an increase in government spending that renders the peg unsustainable. The first project uses new data to understand how the prices of different goods behave in the aftermath of large devaluations. It examines a variety of episodes employing disaggregated Consumer Price Index (CPI) data together with new data obtained from a private provider that measures prices in different countries for a fixed set of brands. Some preliminary results suggest that there are two mechanisms important in shaping the behavior of prices in the aftermath of a devaluation. The first is the presence of distribution costs (transportation, wholesaling and retailing) that drive a wedge between the retail prices of tradable goods in different countries. The second mechanism is described as flight from quality in consumption. The large devaluations are associated with sizable recessions. The negative income effect associated with these recession induces agents to substitute away from imported good towards inferior local substitutes. This substitution can induce a significant downward bias in measured inflation rates. In principle the CPI measures the cost of purchasing a fixed bundle of goods. But in practice, in countries such as Korea and Thailand, the prices of imported goods are replaced in recessions by the prices of cheaper, inferior local alternatives in the CPl. This means that there is a sudden deterioration in the quality of the CPI consumption basket that is ignored in measuring the rate of inflation. The project documents the role played by flight from quality in consumption in influencing the behavior of CPI inflation. The second project explores the implications of different strategies for financing the fiscal costs of twin crises for inflation and depreciation rates. It uses a first-generation type model of speculative attacks which has four key features: (i) the crisis is triggered by prospective deficits; (ii) there exists outstanding non-indexed government debt issued prior to the crises; (iii) a portion of the government's liabilities are not indexed to inflation; and (iv) there are nontradable goods and costs of distributing tradable goods, so that purchasing power parity does not hold. The project shows that the model can account for the high rates of devaluation and moderate rates of inflation often observed in the wake of currency crises. The model and detailed fiscal and monetary data are used to interpret several twin banking/currency crises. Preliminary results have been obtained so far for the Korea 1997 and Mexico 1994 crises. The third project discusses the optimal time to abandon a fixed exchange rate regime in response to an increase in government spending that renders the peg unsustainable. The preliminary work considers two variants of an optimization-based first-generation speculative attack model. In the first variant there are fiscal costs of abandoning fixed exchange rates. These costs may represent a bailout of the banking sector, loss of tax revenues, difficulties in refinancing public debt, etc. The second variant incorporates a fiscal reform that makes the peg sustainable and that arrives according to a Poisson process while the exchange rate is fixed. In both cases it is shown that for moderate government expenditure shocks it is optimal to abandon the peg when international reserves hit a pre-specified lower bound. When the government expenditure shock is large it is optimal to abandon the peg as soon as the shock materializes.

该项目旨在提高我们对贬值事件的理解。第一个项目研究大规模紧缩性货币贬值后的通胀行为。第二个项目调查与货币危机相关的银行危机的财政成本是如何由政府融资的。第三个项目描述了放弃固定汇率制度的最佳时机，以应对政府支出增加导致联系汇率制度不可持续的情况。第一个项目使用新数据来了解不同商品的价格在大幅贬值后的走势。它采用分类消费者价格指数（CPI）数据和从私人供应商获得的新数据来检验各种事件，这些数据衡量了一组固定品牌在不同国家的价格。一些初步结果表明，在货币贬值之后，有两种重要的机制影响着价格的走势。首先是分销成本（运输、批发和零售）的存在，它在不同国家的可贸易商品零售价格之间造成了一个楔子。第二种机制被描述为在消费中逃离质量。大幅贬值与大规模衰退有关。与这些衰退相关的负收入效应促使代理商从进口商品转向劣质的本地替代品。这种替代会导致测量的通货膨胀率显著下降。原则上，CPI衡量的是购买固定数量商品的成本。但在实践中，在韩国和泰国等国，进口商品的价格在经济衰退时被更便宜、质量更差的本国商品所取代。这意味着CPI消费篮子的质量突然恶化，而这在衡量通胀率时却被忽略了。该项目记录了消费逃离质量对CPI通胀行为的影响。第二个项目探讨了为通货膨胀和贬值双重危机的财政成本融资的不同策略的影响。它使用了第一代投机性攻击模型，该模型具有四个关键特征：(i)危机是由预期赤字引发的；（ii）存在危机前未发行的非指数化政府债务；（iii）一部分政府负债没有与通货膨胀挂钩；（iv）存在不可贸易商品和分配可贸易商品的成本，因此购买力平价不成立。该项目表明，该模型可以解释在货币危机之后经常观察到的高贬值率和适度通货膨胀率。该模型和详细的财政和货币数据被用来解释几次双重银行/货币危机。1997年的韩国危机和1994年的墨西哥危机迄今已取得初步结果。第三个项目讨论放弃固定汇率制度的最佳时机，以应对政府支出增加导致联系汇率制度不可持续的情况。初步工作考虑了基于优化的第一代推测攻击模型的两种变体。在第一种变体中，有放弃固定汇率的财政成本。这些成本可能包括对银行业的救助、税收的损失、公共债务再融资的困难等。第二种方案包含了一项财政改革，使盯住美元的做法能够持续下去，并在汇率固定的情况下根据泊松过程（Poisson process）实现。这两种情况都表明，对于适度的政府支出冲击，当国际储备达到预先规定的下限时，放弃盯住美元是最理想的。在政府支出冲击较大的情况下，政府支出冲击出现后立即放弃联系汇率制是最优的。