See our last post on Econbrowser on the global economy.
We had a great workshop at UCL in London, May 12-13, on the role of uncertainties in the global economy. See the summary on Econbrowser.
The 2 keynote speakers gave fantastic talks. Nick Bloom (Stanford) gave a cristal-clear speech on the role of uncertainty on macro and financial variables, while Barbara Rossi (UPF) introduced an approach to disentangle between Knigthian uncertainty and risk based of SPF density forecasts.
Many other papers from researchers from Fed Board, Banque de France, IMF, U. Notre Dame, LSE, Pompeu Fabra, U. Oregaon, U. Padova, U. Chapel Hill … were great, see the program.
We plan to have a special issue in the Journal of International Money and Finance
Special thanks to Svetlana Makarova (UCL) for the great organisation.
In a 2013 WP, David Papell et al. propose to extend standard Taylor rules for the US by allowing parameters to change over time. They assume that changes in parameters are driven by an unobserved Markov-Chain. They point out the response of the FED to inflation is regime dependent. Results show that the usual decomposition of samples between pre and post-Volcker period is not necessarily the best choice.
In May 2013, Ben Bernanke, Chairman of the FOMC, evoked the possible end the FED asset purchases program. The effects on financial conditions in emerging countries were immediate and quite large. In a NBER WP, Aizenman, Binici and Hutchinson (2014) showed that, in opposition to what could be expected, the effects were larger on emerging countries with stronger macro fundamentals (current accounts, reserves, external debt) than on fragile countries. Indeed they observe larger depreciation, larger drops in the stock market and a sharp increase in spreads. Some explanations are provided, including the fact that robust countries received larger inflows during the quantitative years, because of sound domestic financial markets, leading thus to a stronger adjustment afterwards.
Jim Hamilton proposes in an Econbrowser post a regression equation to describe oil prices using a demand factor (copper prices), USD exchange rate and long-term US interest rates. According to model, that accounts mainly for demand side variables, a significant proportion of the decline in oil prices since mid-2014 can be explained.
The Diebold and Yilmaz paper (Economic Journal, 2009) to estimate financial spillovers using variance error decomposition in VAR models
A post by Menzie Chinn in Econbrowser on the decoupling that we observe currently in the US between strong employment and lower GDP growth. An update of the model that we dvelopped in Chinn, Ferrara and Mignon (Journal of Macro, 2014) indicates that employment is above what we could expect according to the model by around 1M of jobs.