輸入されたものか、自家製か? 1992-3年のEMS危機

というNBER論文をアイケングリーンらが上げている。原題は「Imported or Home Grown? The 1992-3 EMS Crisis」で、著者はBarry Eichengreen(UCバークレー)とAlain Naef(フランス銀行)。

The 1992-3 crisis in the European Monetary System was a decisive event in Europe’s monetary history. It underscored the fragility of pegged exchange rates between national currencies and, in so doing, reinforced the commitment of members of the European Union to complete the transition to monetary union.
But there is a decided lack of consensus, even now, three decades after the event, about the causes of the crisis and consequently its implications. A first class of explanation, points to problems of economic policy and performance in countries whose currencies were attacked. Sterling was overvalued at the parity at which it entered the Exchange Rate Mechanism (ERM). Italian debts and deficits were too large. Banking systems were insolvent in the Scandinavian countries that shadowed the system.
A second explanation emphasizes the fragility of exchange rate pegs in an environment of high capital mobility. A capital outflow, whatever its causes, can produce the problems of economic policy and performance that cause a currency to come under attack, leading its defense to be abandoned. For example, when Denmark rejected the Maastricht Treaty in a referendum on June 2, 1992, casting doubt on the prospects for monetary union, capital flowed out of other ERM members. In response, Britain was forced to raise interest rates, weakening its housing market and competitiveness. Interest rate rises increased Italy’s debt-service costs and weakened the budget. They aggravated Scandinavia’s banking crises. The outflow, even if its causes were incidental, increased the costs of maintaining ERM parities, leading governments to throw in the towel.
German interest rates figure in both of these stories. Starting with reunification in 1990, the Federal Republic ran large budget deficits, supplementing the incomes of former East Germans and upgrading infrastructure in the region. The Bundesbank, concerned that those deficits would fuel inflation, raised policy rates in response. This drew funds toward Germany and away from its EMS partners, in turn requiring higher interest rates of the latter to stem the outflow.
By comparison, economists and historians have paid less attention to a third class of explanation that we highlight here. This is that ERM parities were destabilized by events outside Europe. Dollar weakness was associated with flows from the greenback to the Deutschmark, the closest substitute for the U.S. currency as it was offering Europe’s largest and most liquid securities market at the time (Giavazzi and Giovannini 1989). The Deutschmark therefore rose against other ERM currencies, placing the latter at risk of breaching their bilateral divergence margins. This phenomenon of a weak dollar leading to a strong Deutschmark and intra-ERM tensions was noticed prior to the crisis; it was known as “dollar-Deutschmark polarization.” The implication was that the EMS crisis was imported, at least in part, not home grown.
We use new archival evidence on foreign exchange market intervention recently declassified by the Bank of England and available in its archive. We collect daily data from 14 European countries, summing up to more than 500,000 daily observations spanning the period 1986-1995. While our data offers intervention in various currencies, we mainly focus on interventions in Deutschmark. We use those intervention data, together with exchange rates and interest rates, to construct a daily measure of exchange market pressure, shown above. That series allows us to pinpoint when and where the 1992-3 crisis was most intense. It shows that pressure on EMS currencies started building well before the Danish referendum, usually presented as the starting point of the crisis. It points to a fateful interview by Bundesbank President Schlesinger prior to the September 1992 French referendum on the Maastricht Treaty as the event triggering the most acute phase of the crisis.
一方、経済学者と歴史学者は、本稿で取り上げる第三のタイプの説明にあまり関心を払ってこなかった。それは、ERMのパリティが欧州外の出来事で不安定化した、というものである。ドルの弱さはドルからマルクへの資金流出と結び付いていた。マルクは、当時欧州で最大かつ最も流動性の高い証券市場を提供していたため、米通貨に最も近い代替となっていた(Giavazzi and Giovannini 1989*1)。そのためマルクは他のERM通貨に比べて増価し、他の通貨が二通貨間の乖離の限度を突破するリスクが生じた。弱いドルが強いマルクとERM内の緊迫につながるというこの現象は、危機前には認識されていた。それは「ドルとマルクの二極化」として知られていた。これが意味するところは、EMS危機は、少なくとも部分的には輸入されたものであり、自家製のものではない、ということである。


というNBER論文が上がっている。原題は「Headstrong Girls and Dependent Boys: Gender Differences in the Labor Market Returns to Child Behavior」で、著者はRobert Kaestner(シカゴ大)、Ofer Malamud(ノースウエスタン大)。以下はその要旨。

The authors use data from the Children of the National Longitudinal Survey of Youth (C-NLSY79) to examine gender differences in the associations between child behavioral problems and early adult earnings. They find large and significant earnings penalties for women who exhibited more headstrong behavior and for men who exhibited more dependent behavior as children. In contrast, there are no penalties for men who were headstrong or for women who were dependent. While other child behavioral problems are also associated with labor market earnings, their associations are not significantly different by gender. The gender differences in headstrong and dependent behavior are not explained by education, marriage, depression, self-esteem, health, or adult personality traits. However, one potential explanation is that these gender differences are a consequence of deviations from gender norms and stereotypes in the workplace.


というNBER論文が上がっているungated版)。原題は「Collateral Damage: The Impact of Shale Gas on Mortgage Lending*1」で、著者はYanyou Chen(トロント大)、James W. Roberts(デューク大)、Christopher D. Timmins(同)、Ashley Vissing(シカゴ大)。

We analyze mortgage lenders’ behavior with respect to shale gas risk during the period of the U.S. shale gas boom, which coincided with fluctuations in the U.S. housing market and increased scrutiny in the lending industry. Shale gas operations have the potential to place affected houses into technical default such that government sponsored enterprises like Fannie Mae and Freddie Mac are unable to maintain them in their portfolios. We find that lenders changed from being willing to pay $814 on average to avoid one unit of shale risk before the financial distress of 2008 and subsequent increased scrutiny, to $3,137, or 1.6% of profit earned on an average mortgage, afterwards. Our approach provides an alternative to the traditional property value hedonic measurement of the disamenities associated with shale gas development by looking at the decisions of mortgage professionals.

*1:ここでのCollateral Damageは、巻き添え被害という成句と、Collateralの担保の意味とを掛けているように思われる。

*2:テクニカル・デフォルトの語義についてはここ参照。ungated版の本文では「GSE’s are prohibited from purchasing mortgages on properties engaged in industrial activities including transport or storage of toxic substances (chemicals, oil and gas products, or radioactive materials) (Law, 2011), and shale gas extraction involves a number of activities that have the potential to violate these rules, which would leave the borrower (without prior approval) in technical default.(政府支援機関は、有毒物質(薬品、石油およびガソリン製品、もしくは放射性物質)の輸送と貯蔵を含む産業活動に関与している不動産へのローンを購入することを禁じられており(ロー(2011)*)、シェールガス抽出はそうした規則を破る可能性のある数々の活動を伴う。それによって、借り手は(事前の承諾なしに)テクニカル・デフォルトに追い込まれる可能性がある。)」と説明されている(*Law, Sedgwick, “Mortgage lenders are becoming increasingly concerned with gas and oil leases associated with hydraulic fracturing,” Hydraulic Fracturing Digest, 2011.)。それに続けて「Because the primary lender is responsible if the borrower defaults due to shale extraction activities, lenders have strong incentives to precisely evaluate the risks incurred by lending to homeowners in regions with high levels of shale development.(シェールガス抽出作業によって借り手がデフォルトした場合には一次的な融資者は責任を負うため、融資者はシェール開発が活発な地域の住宅所有者に融資することによるリスクを正確に評価する強いインセンティブがある。)」とも書いている。


というECB論文が上がっている(H/T Mostly Economics)。原題は「Quantitative easing and corporate innovation」で、著者はNiklas Grimm(コロンビア大)、Luc Laeven(ECB)、Alexander Popov(同)。以下はその要旨。

To what extent can Quantitative Easing impact productivity growth? We document a strong and heterogeneous response of corporate R&D investment to changes in debt financing conditions induced by corporate debt purchases under the ECB’s Corporate Sector Purchase Program. Companies eligible for the program increase significantly their investment in R&D, relative to similar ineligible companies operating in the same country and sector. The evidence further suggests that by subsidizing the cost of debt, corporate bond purchases by the central bank stimulate innovation through a wealth transfer to innovative companies with low debt levels, rather than by supporting credit constrained firms.
量的緩和はどの程度、生産性の成長に影響するだろうか? 我々は、ECBの企業部門購入計画における企業債務買い入れによって債務による資金調達の条件が変化したことに対し、企業の研究開発投資が強く不均一な反応を示したことを立証した。計画の適格企業は、同じ国の同じ部門で業務を行っている類似の非適格企業に比べ、研究開発投資を有意に増加させた。実証結果はまた、債務費用を補助することにより、中銀の企業債購入は、信用制約下にある企業を支援することを通じてというよりは、債務水準の低い技術革新的な企業への富の移転を通じて、技術革新を刺激することを示唆している。


というNBER論文が上がっている。原題は「Excess Deaths in the United States During the First Year of COVID-19」で、著者はバージニア大のChristopher J. Ruhm。以下はその要旨。

Accurately determining the number of excess deaths caused by the COVID-19 pandemic is hard. The most important challenge is accurately estimating the counterfactual count of baseline deaths that would have occurred in its absence. This analysis used new methods to: estimate this baseline metric; calculate excess deaths during the first year of the U.S. COVID-19 pandemic; and examine plausibility of the excess death estimates obtained in this and prior analyses. Total, group-specific and cause-specific excess deaths in the U.S. from March 2020 through February 2021 were calculated using publicly available data covering all deaths from March 2009 through December 2019 and provisional data from January 2020 through February 2021. The estimates indicate that there were 646,514 (95% CI: 597,514 to 695,520) excess deaths in the U.S. during this period, with 83.4% (95% CI: 77.5% - 90.2%) of these attributed directly to COVID-19. There were substantial differences across population groups and causes in the ratio of actual-to-baseline deaths, and in the contribution of COVID-19 to excess mortality. Prior research has frequently underestimated baseline deaths and so has overstated excess mortality and the percentage of it attributed to non-COVID-19 causes.
コロナ禍によって引き起こされた超過死亡数を正確に決定することは難しい。最も重要な難題は、コロナ禍が無かった場合の反実仮想的なベースラインの死亡数を正確に見積もることである。本分析では新たな手法を用いて、そのベースラインの数字を推計し、米国のコロナ禍の最初の年における超過死亡数を計算し、また、本分析と以前の分析で得られた超過死亡数推計のもっともらしさを検討した。2020年3月から2021年2月に掛けての米国の全体、集団ごと、および死因ごとの超過死亡数を、2009年3月から2019年12月に掛けてのすべての死亡をカバーした公的に利用可能なデータと、2020年1月から2021年2月に掛けての暫定データを用いて計算した。推計によれば、米国ではこの期間に646,514(信頼区間95%で597,514から695,520)の超過死亡があり、そのうち83.4% (信頼区間95%で77.5%から90.2%)が直接コロナに起因した。人口集団と死因により、実際の死亡数とベースライン死亡数の比率、およびコロナの超過死亡率への寄与度には顕著な差があった。従来の研究はベースラインの死亡数を過小評価し、それに伴って超過死亡率とその非コロナ要因の割合を過大評価することが多かった。


というNBER論文(原題は「Zero Lower Bound on Inflation Expectations」)をYuriy Gorodnichenko(UCバークレー)とDmitriy Sergeyev(ボッコーニ大)が上げている。以下はその要旨。

We document a new fact: in U.S., European and Japanese surveys, households do not expect deflation, even in environments where persistent deflation is a strong possibility. This fact stands in contrast to the standard macroeconomic models with rational expectations. We extend a standard New Keynesian model with a zero-lower bound on inflation expectations. Unconventional monetary policies, such as forward guidance, are weaker. In liquidity traps, the government spending output multiplier is finite, and adverse aggregate supply shocks are not expansionary. The possibility of confidence-driven liquidity traps is attenuated.


...via the Phillips curve, actual inflation is less likely to turn deeply negative if expected inflation is stuck at zero. This result can explain why Japan has not demonstrated elevated macroeconomic volatility predicted by FIRE-based models despite spending nearly three decades at the ELB on nominal interest rates.
The ZLB constraint on expected inflation also affects the effectiveness of unconventional policy tools based on the management of expectations. For instance, the presence of a ZLB on expected inflation weakens the effectiveness of forward guidance, since expected inflation is no longer sensitive to policy announcements. Likewise, persistent negative interest rates are less powerful when inflation expectations are constrained by its lower bound. This is because anticipation of future negative interest rates may not lift inflation expectations above its constraint. Thus, the effect of negative interest rates policy is limited to its contemporaneous effect only. Average inflation targeting (AIT) may also be less attractive because inflationary shocks could be harder to control when households do not anticipate a possibility of deflation in the future (more realistically, significant disinflations).
The ZLB on inflation expectations qualitatively modifies economy’s response to shocks. For example, standard New Keynesian models with the FIRE beliefs predict that negative aggregate supply shocks, such as higher taxes on firms, increase output gap during the ELB on the nominal interest rate. This prediction appears to be at odds with the data. Relatedly, according to the standard model, government spending multipliers can be arbitrarily large with the nominal interest rate stuck at the ELB while the empirical evidence points to larger but still relatively modest multipliers. We show that these predictions of FIRE-based models are no longer the case when inflation expectations are at zero.
With the ZLB constraint on expected inflation, self-fulfilling liquidity traps are less prevalent. Typical New Keynesian models with Taylor rules that strongly react to inflation unless constrained by the ELB feature two steady states. In a conventional steady state, inflation is at its target and output gap equals zero. In a liquidity trap steady state, the nominal interest rate is zero, inflation and output gap are negative. Importantly, inflation expectations are also negative. The ZLB on inflation expectations rules out such a steady state by preventing agents to believe in deflation. We also show that the ZLB on inflation expectations reduces the possibility of a temporary confidence-driven liquidity traps.

*1:著者たちはインフレのゼロ下限と区別するためこの論文では名目金利のゼロ下限をeffective lower bound=ELBと呼んでいる。

*2:full information rational expectation=完全情報合理的期待。

*3:cf. ここ、およびそのリンク先。


について調べたNBER論文をエミ・ナカムラ、ジョン・スタインソンらがLeland Farmer, Emi Nakamura & Jón Steinssonが上げているungated版)。論文のタイトルは「Learning About the Long Run」で、著者はLeland Farmer(バージニア大)、Emi Nakamura(UCバークレー)、Jón Steinsson(同)。

Forecasts of professional forecasters are anomalous: they are biased, forecast errors are autocorrelated, and forecast revisions predict forecast errors. Sticky or noisy information models seem like unlikely explanations for these anomalies: professional forecasters pay attention constantly and have precise knowledge of the data in question. We propose that these anomalies arise because professional forecasters don’t know the model that generates the data. We show that Bayesian agents learning about hard-to-learn features of the data generating process (low frequency behavior) can generate all the prominent aggregate anomalies emphasized in the literature. We show this for two applications: professional forecasts of nominal interest rates for the sample period 1980-2019 and CBO forecasts of GDP growth for the sample period 1976- 2019. Our learning model for interest rates also provides an explanation for deviations from the expectations hypothesis of the term structure that does not rely on time-variation in risk premia.