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Lepetit, Antoine (2020): Asymmetric unemployment fluctuations and monetary policy trade-offs. In: Review of Economic Dynamics, Jg. 36, S. 29-45. DOI:10.1016/j.red.2019.07.005

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Vlekke, Marente, Martin Mellens & Siem Jan Koopmans (2020): An assessment of the Phillips curve over time: evidence for the United States and the euro area. (CPB discussion paper / CPB Netherlands Bureau for Economic Policy Analysis 416), The Hague, 74 S. DOI:10.34932/9sxf-1876

Abstract

"We assess the stability of the coefficient on the unemployment gap in various linear dynamic Phillips curve models. We allow the coefficient on the unemployment gap and the other variables in our model to be time-varying, so that we can monitor the importance of the Phillips curve over time. We compare the effects of different measures for inflation and inflation expectations on our estimation results. In our analysis, we use state space methods and adopt a practical approach to Bayesian estimation with feasible testing and diagnostic checking procedures. Empirical results are presented for the United States and the five largest euro area economies. Our main conclusion is that in the United States the Phillips curve for headline inflation has remained empirically relevant over the years while there are periods when its impact has been low. For measures of core inflation we find a declining Phillips curve. In the euro area the strength of the relationship differs per country and over time, but has overall been weak and volatile in the past three decades. For both the United States and the euro area countries, we find little evidence of the “anchored expectations"-hypothesis." (Author's abstract, IAB-Doku) ((en))

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Weber, Christoph S. (2020): The unemployment effect of central bank transparency. In: Empirical economics, Jg. 59, H. 6, S. 2947-2975. DOI:10.1007/s00181-019-01741-1

Abstract

"Most central banks have increased their transparency in the recent past. The question is whether higher transparency comes at some cost. Firstly, the article shows in a theoretical model that transparency does not necessarily lead to higher unemployment. Secondly, the paper analyses the main theoretical results of other authors that transparency leads to higher wages and unemployment (volatility). The empirical results show no evidence for these conjectures. In fact, the analyses show that transparency can reduce the detrimental effect that central bank independence has on employment. Furthermore, the estimations confirm that transparency does not lead to higher unemployment volatility." (Author's abstract, IAB-Doku, © Springer-Verlag) ((en))

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Weisfeld, Hans, Irineu E. de Carvalho Filho, Fabio Comelli, Rahul Giri, Klaus-Peter Hellwig, Chengyu Huang, Fei Liu, Sandra V. Lizarazo Ruiz, Alexis Mayer Cirkel & Andrea F. Presbitero (2020): Predicting Macroeconomic and Macrofinancial Stress in Low-Income Countries. (IMF working paper 2020,289), Washington, DC, 63 S.

Abstract

"In recent years, Fund staff has prepared cross-country analyses of macroeconomic vulnerabilities in low-income countries, focusing on the risk of sharp declines in economic growth and of debt distress. We discuss routes to broadening this focus by adding several macroeconomic and macrofinancial vulnerability concepts. The associated early warning systems draw on advances in predictive modeling." (Author's abstract, IAB-Doku) ((en))

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el Herradi, Mehdi, Jakob de Haan & Aurélien Leroy (2020): Inflation and the Income Share of the Rich: Evidence for 12 OECD Countries. (CESifo working paper 8203), München, 31 S.

Abstract

"This paper examines the distributional implications of inflation on top income shares in 12 advanced economies using data over the period 1920-2016. We use Local Projections to analyze how top income shares respond to an inflation shock, and panel regressions in which all variables are defined as five-year averages to examine the impact of inflation on the position of the top-one-percent in the long run. Our findings suggest that inflation reduces the share of national income held by the top one percent. Furthermore, we find that inflation shocks and long-run inflation have similar effects on top income shares." (Author's abstract, IAB-Doku) ((en))

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Álvarez, Luis J. & Mónica Correa-López (2020): Inflation expectations in euro area Phillips curves. In: Economics Letters, Jg. 195. DOI:10.1016/j.econlet.2020.109449

Abstract

"We analyze the information content of alternative inflation expectations measures, including those from consumers, firms, experts and financial markets, in the context of open economy Phillips curves. We adopt a thick modeling approach with rolling regressions and we assess the results of an out-of sample conditional forecasting exercise by means of meta regressions. The information content varies substantially across inflation expectations measures. In particular, we find that those from consumers and firms are better at predicting inflation if compared to those from experts and, especially, those from financial markets." (Author's abstract, IAB-Doku, © 2020 Elsevier) ((en))

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Ball, Laurence & Sandeep Mazumder (2019): A Phillips curve for the euro area. (European Central Bank. Working paper series 2354), Frankfurt am Main, 27 S. DOI:10.2866/364747

Abstract

"This paper asks whether a textbook Phillips curve can explain the behavior of core inflation in the euro area. A critical feature of the analysis is that we measure core inflation with the weighted median of industry inflation rates, which is less volatile than the common measure of inflation excluding food and energy prices. We find that fluctuations in core inflation since the creation of the euro are well explained by three factors: expected inflation (as measured by surveys of forecasters); the output gap (as measured by the OECD); and the pass-through of movements in headline inflation. Our specification resolves the puzzle of a “missing disinflation” after the Great Recession, and it diminishes the puzzle of a “missing inflation” during the recent economic recovery." (Author's abstract, IAB-Doku) ((en))

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Bayrak, Riza & Halim Tatli (2019): The determinants of youth unemployment: A panel data analysis of OECD countries. In: European Journal of Comparative Economics, Jg. 15, H. 2, S. 231-248. DOI:10.25428/1824-2979/201802-231-248

Abstract

"The aim of this study was to determine some of the key factors affecting youth employment from 2000-2015. Youth unemployment rate (YU) was the dependent variable while consumer price index (INF), domestic gross savings (GS), labor productivity (LP) and economic growth rate (GR) were the independent variables. Data from 31 OECD countries were obtained from World Bank (WB) and OECD databases. Panel Data Analysis was used to analyze the data. The results show that growth, inflation, and savings affect youth unemployment negatively while labor productivity affects youth employment positively. It is therefore concluded that growth, inflation, savings and labor productivity are among the key determinants of youth unemployment." (Author's abstract, IAB-Doku) ((en))

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Bobeica, Elena, Matteo Ciccarelli & Isabel Vansteenkiste (2019): The link between labor cost and price inflation in the euro area. (European Central Bank. Working paper series 2235), Frankfurt am Main, 64 S. DOI:10.2866/894414

Abstract

"This paper documents, for the first time in a systematic manner, the link between labor cost and price inflation in the euro area. Using country and sector quarterly data over the period 1985Q1-2018Q1 we find a strong link between labor cost and price inflation in the four major economies of the euro area and across the three main sectors. The dynamic interaction between prices and wages is time-varying and depends on the state of the economy and on the shocks hitting the economy. Our results show that it is more likely that labor costs are passed on to price inflation with demand shocks than with supply shocks. However, the pass-through is systematically lower in periods of low inflation as compared to periods of high inflation. These results confirm that, under circumstances of predominantly demand shocks, labor cost increases will be passed on to prices. Coming from a period of low inflation, however, this pass-through could be moderate at least until inflation stably reaches a sustained path." (Author's abstract, IAB-Doku) ((en))

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Buch, Claudia M. & Regina T. Riphahn (Hrsg.) (2019): Evaluierung von Finanzmarktreformen. Lehren aus den Politikfeldern Arbeitsmarkt, Gesundheit und Familie. (Leopoldina-Forum 01), Halle (Saale), 173 S.

Abstract

"Die Finanzkrise wurde als Immobilien-, Schulden- und Eurokrise in vielen Facetten diskutiert. Sie hat zu hohen Kosten für viele Gesellschaften geführt. Allein in Deutschland betrugen die krisenbedingten Zahlungen zur Stützung der Banken 70 bis 80 Milliarden Euro. Vor diesem Hintergrund ist es wichtig, dass die Wissenschaft verstärkt vertrauenswürdige Informationen und transparente Bewertungen über die Wirkungen der seit der Krise beschlossenen Regulierungen der Finanzmärkte in die öffentliche Meinungsbildung und demokratische Entscheidungsfindung einbringt. In Bezug auf die Wirkung von Regulierungen der Finanzmärkte besteht ein besonderes Transparenz- und Informationsdefizit, wie u.a. der Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung feststellte. Unter der deutschen Präsidentschaft der G20 im vergangenen Jahr wurde daher ein Rahmenwerk beschlossen, mit dem die Reformen der Finanzmärkte evaluiert werden können. Wenn wir davon ausgehen, dass Forschung zu Ursachen und Folgen der Finanzkrise hilfreiches Wissen für die Gesellschaft bereitstellt, müssen wir gerade mit Blick auf die Regulierung der Finanzmärkte fragen, warum wissenschaftliche Evaluierung dort bislang wenig stattfindet und kaum politische Wirkungen erzielt. Beispiele für wissenschaftliche Evaluierung von politischen Interventionen finden sich in der Arbeitsmarkt-, Familien- oder Gesundheitspolitik. Expertinnen und Experten aus diesen Feldern diskutieren in diesem Band, was wir aus diesen Erfahrungen lernen können. Dabei geht es weniger um wissenschaftliche Methoden als um die Frage, wie gute Evaluierungen gelingen können, welche Voraussetzungen dafür im politischen Prozess und der Wissenschaft nötig sind - und wie ein besserer Dialog zwischen beiden Seiten gestaltet werden kann." (Autorenreferat, IAB-Doku)

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Colciago, Andrea, Anna Samarina & Jakob de Haan (2019): Central bank policies and income and wealth inequality. A survey. In: Journal of Economic Surveys, Jg. 33, H. 4, S. 1199-1231. DOI:10.1111/joes.12314

Abstract

"This paper reviews recent research on the relationship between central bank policies and inequality. A new paradigm which integrates sticky-prices, incomplete markets, and heterogeneity among households is emerging, which allows for the joint study of how inequality shapes macroeconomic aggregates and how macroeconomic shocks and policies affect inequality. The new paradigm features multiple distributional channels of monetary policy. Most empirical studies, however, analyze each potential channel of redistribution in isolation. Our review suggests that empirical research on the effects of conventional monetary policy on income and wealth inequality yields mixed findings, although there seems to be a consensus that higher inflation, at least above some threshold, increases inequality. In contrast to common wisdom, conclusions concerning the impact of unconventional monetary policies on inequality are also not clear cut. To better understand policy effects on inequality, future research should focus on the estimation of General Equilibrium models with heterogeneous agents." (Author's abstract, Published by arrangement with John Wiley & Sons) ((en))

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Döpke, Jörg, Ulrich Fritsche & Karsten Müller (2019): Has macroeconomic forecasting changed after the Great Recession? Panel-based evidence on forecast accuracy and forecaster behavior from Germany. In: Journal of macroeconomics, Jg. 62. DOI:10.1016/j.jmacro.2019.103135

Abstract

We analyze the forecast accuracy for the periods before and after the Great Recession using a panel of annual data for 17 growth and inflation forecasts from 14 German institutions. We find only small differences in the quantitative accuracy measures between the two periods. The qualitative measures of forecast accuracy have slightly worsened and forecasters’ behavior has changed after the crisis. Errors in predicting directional change, however, have changed significantly between the two periods under investigation. Tests for the efficiency of the forecasts over the entire sample indicate that growth and inflation forecasts are inefficient. We find a changed correlation between forecast errors of inflation and growth after the crisis, which might hint at a changed forecaster behavior. The estimated loss functions before and after the crisis support this interpretation, suggesting a stronger incentive to avoid overestimation of growth and underestimation of inflation after the crisis. Estimating loss functions for a 10-year rolling window also reveal shifts in the level and direction of loss asymmetry. (Author's Abstract, IAB-Doku)

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Hu, Tai-Wei & Neil Wallace (2019): The Phillips Curve In A Matching Model. In: International Economic Review, Jg. 60, H. 4, S. 1469-1487. DOI:10.1111/iere.12393

Abstract

"Following ideas in Hume, monetary shocks are embedded in the Lagos-Wright model in a new way: There are only nominal shocks accomplished by individual transfers that are sufficiently noisy so that realizations of those transfers do not permit the agents to deduce much about the aggregate realization. Assuming that the distribution of aggregate shocks is almost degenerate, aggregate output increases with the growth rate of the stock of money—our definition of the Phillips curve. This almost degeneracy assumption is far from being necessary; under some mild conditions, the Phillips curve result holds for a large class of distributions." (Author's abstract, IAB-Doku, Published by arrangement with John Wiley & Sons) ((en))

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Martellini, Paolo, Guido Menzio & Ludo Visschers (2019): Revisiting the hypothesis of high discounts and high unemployment. (IZA discussion paper 12441), Bonn, 30 S.

Abstract

"We revisit the hypothesis that labor market fluctuations are driven by shocks to the discount rate. Using a model in which the UE and the EU rates are endogenous, we show that an increase in the discount rate leads to a decline in both the UE and the EU rates. In the data, though, the UE and EU rates move against each other at business cycle frequency. Using a lifecycle model with human capital accumulation on the job, we show that an increase in the discount rate does indeed lead to a decline in the aggregate UE rate and to an increase in the aggregate EU rate. However, the decline in the UE rate is larger for younger workers than for older workers and the EU rate increases only for younger workers. In the data, fluctuations in the UE and EU rates at the business cycle frequency are nearly identical across age groups." (Author's abstract, IAB-Doku) ((en))

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Soric, Petar, Ivana Lolic, Oscar Claveria, Enric Monte & Salvador Torra (2019): Unemployment expectations: A socio-demographic analysis of the effect of news. In: Labour economics, Jg. 60, H. October, S. 64-74. DOI:10.1016/j.labeco.2019.06.002

Abstract

"In this study, we evaluate the effect of news on consumer unemployment expectations for sixteen socio-demographic groups. To this end, we construct an unemployment sentiment indicator and extract news about several economic variables. By means of genetic programming we estimate symbolic regressions that link unemployment rates in the Euro Area to qualitative expectations about a wide range of economic variables. We then use the evolved expressions to compute unemployment expectations for each consumer group. We first assess the out-of-sample forecast accuracy of the evolved indicators, obtaining better forecasts for the leading unemployment sentiment indicator than for the coincident one. Results are similar across the different socio-demographic groups. The best forecast results are obtained for respondents between 30 and 49 years. The group where we observe the bigger differences among categories is the occupation, where the lowest forecast errors are obtained for the unemployed respondents. Next, we link news about inflation, industrial production, and stock markets to unemployment expectations. With this aim we match positive and negative news with consumers' unemployment sentiment using a distributed lag regression model for each news item. We find asymmetries in the responses of consumers' unemployment expectations to economic news: they tend to be stronger in the case of negative news, especially in the case of inflation." (Author's abstract, © 2019 Elsevier) ((en))

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Turner, David, Thomas Chalaux, Yvan Guillemette & Elena Rusticelli (2019): Insights from OECD Phillips curve equations on recent inflation outcomes. (OECD Economics Department working papers 1579), Paris, 39 S. DOI:10.1787/d1e97b18-en

Abstract

"A statistically significant relationship between the unemployment gap and inflation can be found for a clear majority of OECD countries, but the magnitude of the effect is typically weak. A corollary is that the effect of labour market slack on inflation can often be dominated by other shocks, including imported inflation. The current Secretariat Phillips curve specification assumes inflation expectations are anchored at the central bank's target, although some experimentation suggests that alternative proxies for expectations sometimes work better and there is some evidence that persistent under-shooting of inflation has led to some de-anchoring of expectations from the target, especially in the euro area. For most OECD countries, a measure of the global output gap is both statistically significant and strongly preferred to a domestic gap measure in explaining the wedge between headline and core inflation, although domestic gaps are strongly preferred in explaining core inflation. Various forms of non-linearity in the Phillips curve provide possible explanations for recent weak inflation outcomes, but statistical testing provides only limited support for such explanations." (Author's abstract, IAB-Doku) ((en))

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Zhang, Yuanyan Sophia (2019): European wage dynamics and spillovers. (IMF working paper 2019,156), Washington, DC, 29 S.

Abstract

"Wage rises have remained stubbornly low in advanced Europe in recent years, but, at the same time, newer EU members are experiencing rapid wage acceleration. This paper investigates the drivers of this wage divergence. Econometric analysis using error correction models suggests that wage growth responds more quickly to changes in unemployment in the newer EU members than in advanced Europe, where wages are more closely related to inflation and inflation expectations in the short run, implying greater inertia in nominal wage rises in advanced Europe. In the years after the global crisis, this inertia contributed to the build up of a real wage overhang relative to sharply slowing labor productivity, which subsequently dragged on nominal wage rises even as unemployment began to decline. Spillovers of subdued wage growth between euro area countries also weighed on wage rises in advanced Europe." (Author's abstract, IAB-Doku) ((en))

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Alogoskoufis, George (2018): The clash of central bankers with labour market insiders, and the persistence of inflation and unemployment. In: Economica, Jg. 85, H. 337, S. 152-176. DOI:10.1111/ecca.12241

Abstract

"This paper analyses the implications of monetary policy for the dynamic behaviour of inflation, in a 'natural' rate model characterized by endogenous unemployment persistence. We present evidence for the main industrial economies that suggests that inflation displays persistence which is of the same order of magnitude as the persistence of deviations of unemployment from its 'natural' rate. We provide a theoretical explanation of this fact based on a model of the dynamic interactions between central bankers and labour market insiders. The clash in the objectives of central bankers and labour market insiders is what causes both inflation and unemployment to display the same persistence in this model. The analysis suggests that inflation persistence could be addressed in a welfare-improving way, if central banks adopted monetary policy rules that targeted unanticipated changes in unemployment rates instead of deviations of unemployment from its 'natural' rate." (Author's abstract, Published by arrangement with John Wiley & Sons) ((en))

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Bracha, Anat & Mary A. Burke (2018): Wage inflation and informal work. In: Economics Letters, Jg. 171, H. October, S. 159-163. DOI:10.1016/j.econlet.2018.07.033

Abstract

"Despite the low unemployment rate in the United States, wage inflation has remained modest. This paper investigates whether hidden labor market slack in the form of informal 'gig' economy work could help explain this puzzle. Using our Survey of Informal Work Participation for 2015 - 2016 we find that informal labor is negatively associated with wage growth at the census division level, while no such association exists between wage growth and unemployment rates." (Author's abstract, © 2018 Elsevier) ((en))

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Elsby, Michael W. & Gary Solon (2018): How prevalent is downward rigidity in nominal wages? International evidence from payroll records and pay slips. (NBER working paper 25393), Cambrige, Mass., 23 S. DOI:10.3386/w25393

Abstract

"For more than 80 years, many macroeconomic analyses have been premised on the assumption that workers' nominal wage rates cannot be cut. Contrary evidence from household surveys reasonably has been discounted on the ground that the measurement of frequent wage cuts might be an artifact of reporting error. This article summarizes a more recent wave of studies based on more accurate wage data from payroll records and pay slips. By and large, these studies indicate that, except in extreme circumstances (when nominal wage cuts are either legally prohibited or rendered beside the point by very high inflation), nominal wage cuts from one year to the next appear quite common, typically affecting 15-25 percent of job stayers in periods of low inflation." (Author's abstract, IAB-Doku) ((en))