Self Control and Commitment: Can Decreasing the Liquidity of a Savings Account Increase Deposits?」というNBER論文上がっている。著者はJohn Beshears(ハーバード大)、James J. Choi(イェール大)、Christopher Harris(ケンブリッジ大)、David Laibson(ハーバード大)、Brigitte C. Madrian(同)、Jung Sakong(シカゴ大)。


If individuals have self-control problems, they may take up commitment contracts that restrict their spending. We experimentally investigate how contract design affects the demand for commitment contracts. Each participant divides money between a liquid account, which permits unrestricted withdrawals, and a commitment account with withdrawal restrictions that are randomized across participants. When the two accounts pay the same interest rate, the most illiquid commitment account attracts more money than any of the other commitment accounts. We show theoretically that this pattern is consistent with the presence of sophisticated present-biased agents, who prefer more illiquid commitment accounts even if they are subject to uninsurable marginal utility shocks drawn from a broad class of distributions. When the commitment account pays a higher interest rate than the liquid account, the relationship between illiquidity and deposits is flat, suggesting that agents without present bias and/or naïve present-biased agents are also present in our sample.






「Correlated Beliefs, Returns, and Stock Market Volatility」というNBER論文上がっているungated版)。著者はJoel M. David(USC)、Ina Simonovska(UCデービス)。


Firm-level stock returns exhibit comovement above that in fundamentals, and the gap tends to be higher in developing countries. We investigate whether correlated beliefs among sophisticated, but imperfectly informed, traders can account for the patterns of return correlations across countries. We take a unique approach by turning to direct data on market participants’ information - namely, real-time firm-level earnings forecasts made by equity market analysts. The correlations of firm-level forecasts exceed those of fundamentals and are strongly related to return correlations across countries. A calibrated information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the existing literature.







という論文ハンブルク大学のLena DrägerとChristian R. Proañoが書いている。原題は「Cross-Border Banking and Business Cycles in Asymmetric Currency Unions」で、以下はその要旨。

Against the background of the recent housing boom and bust in countries such as Spain and Ireland, we investigate in this paper the macroeconomic consequences of cross-border banking in monetary unions such as the euro area. For this purpose, we incorporate in an otherwise standard two-region monetary union DSGE model a banking sector module along the lines of Gerali et al.(2010), accounting for borrowing constraints of entrepreneurs and an internal constraint on the bank’s leverage ratio. We illustrate in particular how different lending standards within the monetary union can translate into destabilizing spill-over effects between the regions, which can in turn result in a higher macroeconomic volatility. This mechanism is modeled by letting the loan-to-value (LTV) ratio that banks demand of entrepreneurs depend on either regional productivity shocks or on the productivity shock from one dominating region. Thereby, we demonstrate a channel through which the financial sector may have exacerbated the emergence of macroeconomic imbalances within the euro area. Additionally, we show the effects of a monetary policy rule augmented by the loan rate spread as in Cúrdia and Woodford (2010) in a two-country monetary union context.


スペインアイルランドといった国での最近の住宅バブルとその崩壊という出来事を背景に、本稿では、ユーロ圏のような通貨同盟における国境を越えた銀行業務のマクロ経済的な帰結について調べた。そのために我々は、標準的な2地域通貨同盟DSGEモデルに、Gerali et al(2010)*1と同様な形で銀行部門モジュールを組み込み、企業家の借入制約と銀行内部のレバレッジ比率への制約を取り入れた。我々は特に、通貨同盟内の異なる貸出基準がいかにして地域間の不安定性をもたらすスピルオーバー効果につながるかを説明する。その効果は今度はマクロ経済の変動を高めることになる。そうしたメカニズムは、銀行が企業に要求する融資比率を、地域の生産性ショック、もしくは、支配的な方の地域における生産性ショックに依存させることによってモデル化された。それによって我々は、金融部門ユーロ圏内のマクロ経済的な不均衡の発生をさらに悪化させたかもしれない経路を示す。また我々は、Cúrdia and Woodford(2010)*2のような貸出金利スプレッドによって拡張された金融政策ルールの2ヶ国通貨同盟という環境における効果を示す。






「Not so Disconnected: Exchange Rates and the Capital Stock」というNBER論文をTarek Alexander Hassan(シカゴ大)、Thomas Mertens(NYU)、Tony Zhang(シカゴ大)が書いている


We investigate the link between stochastic properties of exchange rates and differences in capital-output ratios across industrialized countries. To this end, we endogenize capital accumulation within a standard model of exchange rate determination with nontraded goods. The model predicts that currencies of countries that are more systemic for the world economy (countries that face particularly volatile shocks or account for a large share of world GDP) appreciate when the price of traded goods in word markets is high. These currencies are better hedges against consumption risk faced by international investors because they appreciate in "bad" states of the world. As a consequence, more systemic countries face a lower cost of capital and accumulate more capital per worker. We estimate our model using data from seven industrialized countries with freely floating exchange rate regimes between 1984-2010 and show that cross-country variation in the stochastic properties of exchange rates accounts for 72% of the cross-country variation in capital-output ratios. In this sense, the stochastic properties of exchange rates map to fundamentals in the way predicted by the model.






というブログエントリをブランコ・ミラノヴィッチが書いている(原題は「Did socialism keep capitalism equal?」;H/T Economist’s View)。


The socialist story recently received a boost from two papers. Both argue that the demonstration effect of the Soviet Union internationally (or differently, the threat of Communist revolution nationally) produced low inequality in the West. K S Jomo and Vladimir Popov write “an alternative view is…that the reversal of growing inequality followed [happened because of] the 1917 Bolshevik revolution in Russia, the emergence of the USSR and other socialist countries..”. André Albuquerque Sant’Anna does more: an empirical analysis where the top 1% income share of 18 OECD countries over the period 1960-2010 is explained by the usual variables (financial openness, union density, top marginal tax rate) plus the variable created by Sant’Anna, relative military power. It is equal to military expenditures of a county as a share of USSR/Russian military spending (all annual data) interacted with the distance from Moscow. If, say, your spending is 1/10th of Soviet spending and you are close by (say, in Finland) then the threat of Soviet Union (aka Communism) will be greater, and presumably you would depress the top income share of your capitalists more than if you have the same relative spending but are Portugal. Here is the pooled cross-section and time-series graph from Albuquerque Sant’Anna: relative power of the USSR on the horizontal, top income shares on the vertical axis.


社会主義の話は最近2つの論文から後押しを受けた。両論文ともに、国際的なソ連のデモンストレーション効果(もしくは、それとは別に、国内の共産主義革命の脅威)が西側における不平等を低めた、と論じている。 K S JomoとVladimir Popovは「別の見方では…格差拡大が逆転したのは1917年ロシアにおけるボルシェビキ革命の後であった[それが原因であった]・・・」と書いている。André Albuquerque Sant’Annaはもっと突っ込んだ実証分析を行っており、1960-2010年の期間におけるOECD18ヶ国の上位1%の所得シェアを、通常使われる変数金融の開放度、組合の組織率、最高限界税率)に加えて、Sant’Annaが作成した変数である相対的軍事力で説明した。それは、一国の軍事支出ソ連ロシア軍事支出に対する比率として表したもの(すべて年データ)と、モスクワからの距離とを組み合わせたものである。仮にある国の支出ソ連支出の1/10で、ソ連の近くにいるならば(例、フィンランド)、ソ連(ないし共産主義)の脅威は大きくなり、おそらく、相対支出が同じでポルトガルである場合よりも、資本家たちの最上位の所得のシェアを抑えるだろう。Albuquerque Sant’Anna論文のクロスセクションおよび時系列をプールしたグラフは以下の通り。ここではソ連の相対力は横軸で、上位の所得シェアが縦軸である。



III.2 –Military power in relation to USSR/Russia

The database Correlates of War provides historical data on military expenditures*1. We use the ratio of military expenditures of Soviet Union/Russia and country i, normalized by distance between Moscow and country’s capital. That is:

   Rel Powerit=(mil expUSSR t/mil expit)(1/distanceMoscow i)

This variable aims to capture the evolution of relative military power and the effect of distance from USSR/Russia. In that sense, for the same ratio of military expenditures, a country like Finland would have a lower relative power than Spain, for example. As robustness check, we also use an alternative measure of military strength based on the relative Composite Index of National Capabilities*2.

*1:[原注]http://www.correlatesofwar.org/. Singer et al (1972) created this database on National Material Capabilities.

*2:[原注]There is also a Composite Index of National Capability (CINC). This is a measure that summarizes observations on each of the 6 capability indicators, which are: military personnel, military expenditures, total population, urban population, iron and steel consumption and primary energy consumption.