というECB論文をMostly Economicsが紹介している。原題は「The macroeconomic and fiscal impact of population ageing」で、著者は同行のKatalin BodnárとCarolin Nerlich。

The euro area, like many other advanced economies, has entered an era of drastic demographic change. Without appropriate policy responses, population ageing in the euro area is posing formidable challenges for potential growth, monetary policy and public finances. This paper examines – from a central bank’s perspective – the macroeconomic and fiscal effects of population ageing in the euro area and looks at the main challenges ahead in the next decades. Total population in the euro area is projected to decline as of around 2035, while the old-age dependency ratio will rise strongly in the coming 15 years, putting additional burden on pension systems. The analysis in the paper finds that the demographic changes in the euro area present a drag on potential growth, mainly through labour supply and productivity growth – similarly to developments in Japan, which is ahead of the euro area in terms of population ageing. Precautionary savings may be higher, and the natural rate of interest lower, while the effect on trend inflation and wages are not obvious. Population ageing is posing a burden on fiscal policy, through upward pressure on pension spending and adversely affecting the tax bases and the structure of public revenues. Thus, it poses significant challenges for fiscal sustainability, limits fiscal policy space and effectiveness. To safeguard against the adverse economic and fiscal consequences of population ageing, there is a need for fiscal buffers, improved quality of public finance and structural reforms.

コロナ禍の財政救済策は効果的な財政刺激策だったのか? 州・地方政府への補助についての実証結果

というNBER論文が上がっている。原題は「Was Pandemic Fiscal Relief Effective Fiscal Stimulus? Evidence from Aid to State and Local Governments」で、著者はJeffrey Clemens(UCサンディエゴ)、Philip G. Hoxie(同)、Stan Veuger(AEI)。

We use an instrumental-variables estimator reliant on variation in congressional representation to analyze the effects of federal aid to state and local governments across all four major pieces of COVID-19 response legislation. Through September 2021, we estimate that the federal government allocated $855,000 for each state or local government job-year preserved. Our baseline confidence interval allows us to rule out estimates of less than $433,000. Our estimates of effects on aggregate income and output are centered on zero and imply modest if any spillover effects onto the broader economy. We discuss aspects of the pandemic context, which include the surprising resilience of state and local tax revenues as well as of broader macroeconomic conditions, that may underlie the small employment and stimulative impacts we estimate in comparison with previous research.

*1:本文からの引用:In this paper’s analysis, we use a state’s number of congressional representatives per million residents to instrument for federal aid per capita. Clemens and Veuger (2021a) establish a relationship between the relative representation of states in Congress and the amount of aid they were allocated during the pandemic. Smaller states, such as Wyoming, receive relatively more representation per capita as each state is guaranteed two senators regardless of population, ensuring that Wyomingite voices are relatively more powerful in legislative negotiations.

*2:本文からの引用:We analyze the fiscal assistance resulting from four major pieces of legislation during the COVID-19 pandemic: the CARES Act, the Families First Coronavirus Response Act (FFCRA), the Response and Relief Act (RRA), and the American Rescue Plan Act (ARPA). Taken together, these packages constituted a massive relief effort that provided as much as $6 trillion in income support to households, a mix of loans, grants, and tax relief to firms and non-profits, funding for (public) health efforts, and intragovernmental grants to subnational governments. This final category includes almost $900 billion in funds for state, local, territorial, and tribal governments, as well as the District of Columbia. We focus on the impact of these funds across the 50 states.


というNBER論文が上がっているungated(SSRN)版)。原題は「Getting to the Core: Inflation Risks Within and Across Asset Classes」で、著者はXiang Fang(香港大)、Yang Liu(同)、Nikolai Roussanov(ペンシルベニア大)。

Do “real” assets protect against inflation? Core inflation betas of stocks are negative while energy betas are positive; currencies, commodities, and real estate also mostly hedge against energy inflation but not core. These hedging properties are reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent both within and across asset classes, uniquely among macroeconomic risk factors. While high core inflation tends to be followed by low real output, consumption, and dividend payouts, it impacts asset prices through both cash-flow and discount rate channels. The relative contribution of core and energy changes over time, helping explain the time-varying correlation between stock and bond returns. A two-sector New Keynesian model qualitatively accounts for these facts and implies that the changing stock-bond correlation can be attributed to the shifting importance of supply and demand shocks in driving energy inflation over time.
「実物」資産はインフレに対する防御になるのだろうか? 株式のコアインフレに対するベータはマイナスである一方、エネルギーに対するベータはプラスである。通貨、商品、および不動産もまた概ね、エネルギーインフレに対してヘッジするがコアに対してはヘッジしない。こうしたヘッジ特性はインフレリスクの価格に反映されている。マクロ経済のリスクファクターにおいて唯一、コアインフレのリスクプレミアムだけがマイナスであり、その大きさは資産クラス内および資産クラス間で一貫している。高いコアインフレの後には低い実質生産、消費、配当支払いが続く傾向があるが、その資産価格への影響はキャッシュフローと割引率の両経路を通じたものとなる。コアとエネルギーの相対的な寄与は時間と共に変化し、株式と債券のリターン間の相関の時変性に対する説明要因となる。2部門ニューケインジアンモデルは定性的にこうした事実を説明し、株式と債券の相関の変化が、エネルギーインフレをもたらす需給ショックの重要性が時間と共に変化することに帰せられることを示唆する。


というややSF染みた*1NBER論文が上がっているungated版へのリンクがある著者の一人のページ)。原題は「Machine Learning Can Predict Shooting Victimization Well Enough to Help Prevent It」で、著者はSara B. Heller(ミシガン大)、Benjamin Jakubowski(NYU)、Zubin Jelveh(メリーランド大)、Max Kapustin(コーネル大)。

This paper shows that shootings are predictable enough to be preventable. Using arrest and victimization records for almost 644,000 people from the Chicago Police Department, we train a machine learning model to predict the risk of being shot in the next 18 months. We address central concerns about police data and algorithmic bias by predicting shooting victimization rather than arrest, which we show accurately captures risk differences across demographic groups despite bias in the predictors. Out-of-sample accuracy is strikingly high: of the 500 people with the highest predicted risk, 13 percent are shot within 18 months, a rate 130 times higher than the average Chicagoan. Although Black male victims more often have enough police contact to generate predictions, those predictions are not, on average, inflated; the demographic composition of predicted and actual shooting victims is almost identical. There are legal, ethical, and practical barriers to using these predictions to target law enforcement. But using them to target social services could have enormous preventive benefits: predictive accuracy among the top 500 people justifies spending up to $123,500 per person for an intervention that could cut their risk of being shot in half.


マンキューが表題の6/21ブログエントリ(原題は「Three Reasons Why a Gas Tax Holiday is a Bad Idea」)でガソリン減税に明確に反対している

News reports say the President Biden may propose a temporary reduction in the gasoline tax, and Secretary Yellen over the weekend said the idea is "worth considering." I would say the idea is worth rejecting, for three reasons.

  1. Putting more money in peoples' pockets with any kind of tax cut would increase aggregate demand. It would thereby undermine the Fed's program to get inflation under control.
  2. The incidence of the tax cut would fall partly on producers rather than consumers, depending on the elasticities of supply and demand. If it is true that refiners are near capacity, as reports suggest, then supply is relatively inelastic. That means the tax reduction would mainly benefit producers.
  3. Given all the externalities associated with driving (climate change, congestion, accidents), the existing gasoline tax is below the optimal Pigovian level. Reducing it would move the tax system in a less efficient direction, That is, it would encourage people to drive more, exacerbating the negative externalities.


  1. いかなる減税でも人々にもっとお金を渡せば総需要を増加させる。従ってそれはインフレをコントロールしようとするFRBの政策を損なう。
  2. 需給の弾力性次第で減税の一部は消費者よりも生産者が対象となる。報道が言うように精製業者が稼働限界に近いのであれば、供給は相対的に非弾力的である。ということは減税は主に生産者に裨益する。
  3. 運転に関連するすべての外部性(気候変動、混雑、事故)に鑑みて、既存のガソリン税は最適ピグー水準を下回っている。それを引き下げると税体系はより非効率な方向に動くことになる。即ち、人々はより多く運転するように促され、負の外部性が悪化する。


というSSRN論文にタイラー・コーエンがリンクしている。原題は「Night Moves: Is the Overnight Drift the Grandmother of All Market Anomalies」で、著者はVictor Haghani*1(Elm Partners)、Vladimir V Ragulin(独立研究者)、Richard Dewey(Royal Bridge Capital)。

The bedrock of financial economics is that there should be a tradeoff between risk and reward: an investment with low risk should have a low expected return, while one that could make you rich should also be one which could lose you a lot of money. A lot of research in finance is focused on finding deviations to this risk-reward tradeoff, which are called “market anomalies” in deference to the idea that they are exceptions to this fundamental law of finance. Discovery of an anomaly is usually followed by frenzied debate and research that tries to explain it away as: 1) a statistical fluke, 2) compensation for some hitherto overlooked risk, or 3) some friction in the market which when fixed will make the anomaly go away.
The “overnight effect" is one such anomaly, which has been uncovered recently enough that its causes are still being hotly debated among researchers and practitioners. The overnight effect refers to the fact that, over at least the past three decades, investors have earned 100% or more of the return on a wide range of risky assets when the markets are closed, and, as sure as day follows night, have earned zero or negative returns for bearing the risk of owning those assets during the daytime, when markets are open. The effect is seen over a wide range of assets, including the broad stock market, individual stocks (particularly those popular with retail investors, and Meme stocks most of all), many ETFs, and cryptocurrencies.
In this article we briefly review the dozen or so papers which have explored this phenomenon to date, which have mostly focused on returns at the level of the broad stock market. We then take a closer look at the behavior of individual US stocks for clues about aggregate stock market behavior. We found that not only did the effect exist at the index level as previously reported, but it also shows up in a suggestively clustered pattern in individual stocks returns, and is particularly strong in “Meme” stocks. We find that a simple long-short portfolio that only takes exposure when the market is closed would have earned a return of 38% per annum (importantly, ignoring transactions costs) with an annualized Sharpe Ratio of about 3.
There are good reasons to care about this market anomaly, namely, 1) retail traders are potentially missing out on billions of dollars of returns due to mistimed trades, which should concern investors and market regulators alike, 2) there is speculation that the overnight effect might have implications for the long-term valuation of the entire equity market, and, 3) a better understanding of this phenomenon can contribute to our understanding of the limits of market efficiency.


コロナ禍の不動産への影響に関する研究についてはこれまでも幾つか紹介してきたが(ここここここここ)、オフィス価格への影響を分析した表題のSSRN論文をタイラー・コーエンが紹介している。原題は「Work From Home and the Office Real Estate Apocalypse」で、著者はArpit Gupta(NYU)、Vrinda Mittal(コロンビア大)、Stijn Van Nieuwerburgh(同)。

The real estate sector provides a unique vantage point to study the large social shifts in the wake of the Covid-19 pandemic. We estimate a 32.95% decline in the value of New York City’s office stock at the outset of the pandemic. We estimate that remote work is likely to persist and result in long-run office valuations that are about 28% below pre-pandemic levels. Our novel commercial real estate valuation model is suitable for calibration to office markets in other locations and other commercial real estate sectors.
Our results have important implications for future work practices, conversion of some office and urban design, and public finances. Firms and employees have invested considerably to advance remote work possibilities. This has enabled major changes in the locations where individuals work and live. Real estate markets provide important financial signals which can help assess these changes in the future of work.