Seminars

Silvana Tenreyro - London School of Economics

May 27, 2013
5:30 pmto7:00 pm

“Durable Goods and the Transmission Mechanism of Monetary Policy: an Alternative Framework” (joint with Vincent Sterk - UCL)

Abstract:

A large empirical literature has documented statistically significant effects of monetary policy on economic activity. The central explanation for how monetary policy transmits to the real economy relies critically on nominal rigidities, which form the basis of the New Keynesian (NK) framework. A key limitation of the NK model is that, when durable goods are included in the analysis, the model counterfactually predicts that a monetary policy expansion causes a contraction in the durable good sector (and an expansion in the nondurable sector). This paper studies a different transmission mechanism that operates even in the absence of nominal rigidities. Monetary expansions and the subsequent increase in inflation rates generates a negative wealth effect on retired agents and impairs the ability of households to smooth consumption over their life-cycle. It causes working households to work and save more and to front-load their purchases of durable goods in order to avoid the erosion in the value of their savings, thus generating a temporary boom in durables and output, followed by a bust. The model can account for the empirical response of durables to monetary policy interventions, thus complementing the NK paradigm. The model nests the infinitely-lived representative agent model, in which money neutrality holds.

Francesco Squintani - University of Warwick

April 15, 2013
5:30 pmto7:00 pm

Mediation and Peace (with Johannes Horner and Massimo Morelli)

Abstract:
This paper applies mechanism design to con ict resolution. We determine when and how unmediated communication and mediation reduce the ex ante probability of conflict in a game with asymmetric information. Mediation improves upon unmediated communication when the intensity of conflict is high, or when asymmetric information is significant. The mediator improves upon unmediated communication by not precisely reporting information to conflicting parties, and precisely, by not revealing to a player with probability one that the opponent is weak. Arbitrators who can enforce settlements are no more effective than mediators who only make non-binding recommendations.

Special Lecture: Jan R. Magnus - Tilburg University

April 12, 2013
5:00 pmto6:30 pm

Pretesting and Model Averaging

In econometrics we typically use our available data to select a model and also, within the selected model, to estimate or predict. Then we report our estimates or predictions as if the selected model was never in doubt. We therefore ignore the uncertainty generated by the model selection process. This problem is called pretesting and it can have big effects. More general than pretesting is model averaging, where we do not select one single model, but let all models in a class play a role, though not all an equally important role. In the lectures we will develop the theory of pretesting and model averaging, concentrating primarily on weighted-average least squares (WALS). Hand-outs and papers used in the course will be posted or distributed. Course material.

Special Lecture: Jan R. Magnus - Tilburg University

April 11, 2013
3:00 pmto4:30 pm

Pretesting and Model Averaging

In econometrics we typically use our available data to select a model and also, within the selected model, to estimate or predict. Then we report our estimates or predictions as if the selected model was never in doubt. We therefore ignore the uncertainty generated by the model selection process. This problem is called pretesting and it can have big effects. More general than pretesting is model averaging, where we do not select one single model, but let all models in a class play a role, though not all an equally important role. In the lectures we will develop the theory of pretesting and model averaging, concentrating primarily on weighted-average least squares (WALS). Hand-outs and papers used in the course will be posted or distributed. Course material.

Special Lecture: Jan R. Magnus - Tilburg University

April 5, 2013
4:00 pmto5:30 pm

Pretesting and Model Averaging

In econometrics we typically use our available data to select a model and also, within the selected model, to estimate or predict. Then we report our estimates or predictions as if the selected model was never in doubt. We therefore ignore the uncertainty generated by the model selection process. This problem is called pretesting and it can have big effects. More general than pretesting is model averaging, where we do not select one single model, but let all models in a class play a role, though not all an equally important role. In the lectures we will develop the theory of pretesting and model averaging, concentrating primarily on weighted-average least squares (WALS). Hand-outs and papers used in the course will be posted or distributed. Course material.

Lunch Seminar: Marcello Miccoli - Bank of Italy

April 29, 2013
1:00 pmto2:00 pm

Open Market Operations, Interbank Market and Over-collateralization (with Giuseppe Ferrero and Michele Loberto)

Abstract:
This paper provides a micro-founded general equilibrium description of interbank markets and analyzes positive implications of the effect of central bank’s open market operations on prices and quantities exchanged on the interbank market. First a model with only nominal and risk free government bonds is presented: in this setup open market operations that alter the composition of the central bank’s balance sheet can affect quantities exchanged on the interbank market even if the economy is in a liquidity trap equilibrium. Then a real asset is introduced in order to determine the effects on prices and quantities of different unconventional monetary policies that alter the dimension of the central bank’s balance sheet: a swap of real asset for money and a swap of real asset for bonds. Finally, the effect of volatility shocks on the efficacy of Central Bank’s unconventional monetary policies is discussed and some preliminary evidence is provided on the empirical validity of the model.

Lunch Seminar: Emiliano Santoro - Università Cattolica del Sacro Cuore

April 4, 2013
1:00 pmto2:00 pm

Loss Aversion and the Asymmetric Transmission of Monetary Policy

Paolo Paruolo - University of Insubria, Varese Italy

April 11, 2013
5:30 pmto7:00 pm

Impulse responses and cointegration: no country for young men?

The talk will be based on the following papers:
(a) Fanelli L., P. Paruolo (2010) “Speed of adjustment in cointegrated systems“, Journal of Econometrics 158, 130-141
(b) Omtzigt P., P. Paruolo (2005) “Impact Factors“, Journal of Econometrics 128, 31-68

Edouard Challe - Ecole Polytechnique

April 29, 2013
5:30 pmto7:00 pm

Precautionary Saving and Aggregate Demand (with Julien Matheron, Xavier Ragot and Juan Rubio-Ramirez)

Abstract:
This paper introduces incomplete insurance against idioyncratic labour income risk into an otherwise standard New Keynesian business cycle model with involuntary unemployment. Following an adverse monetary policy shock that lowers aggregate demand, job creation is discouraged and unemployment risk (as summarised by the job-loss rate) persistently rises. Imperfectly insured households rationally respond to the rise in indosyncratic income uncertainty by increasing precautionary saving, thereby cutting consumption and depleting aggregate demand even further; this in turn magnies the initial labour market contraction, further raises unemployment risk, and so on. A calibrated version of the model suggests that the aggregate demand- precautionary saving feedback loop may signi cantly amplify the impact of aggregate shocks on unemployment, relative to the full-insurance case.

Philipp Kircher - University of Edinburgh

April 22, 2013
5:30 pmto7:00 pm

Assortative Matching With Large Firms - Span of Control over More vs Better Workers