Ursel Baumann - Academia.edu (original) (raw)

Papers by Ursel Baumann

RePEc: Research Papers in Economics, Dec 22, 2008

In this paper we model the role of open-economy effects within a New Keynesian Phillips Curve (NK... more In this paper we model the role of open-economy effects within a New Keynesian Phillips Curve (NKPC) via the inclusion of intermediate imports in firms' production technology. Using this framework we provide evidence on two questions: first, does the inclusion of import prices help explain postwar inflation dynamics in the United Kingdom, United States and Japan; and second, has the influence of import prices in firms' costs become greater over the more recent period since the mid-1980s. Overall, our results suggest that import prices do help explain movements in inflation; in particular, NKPC models that allow for import prices to enter into firms' costs outperform closed-economy models in sample. However, our results suggest that the influence of import prices has generally remained constant across our sample period, with perhaps only the United Kingdom providing some evidence that import prices have become more important in firms' marginal costs.

RePEc: Research Papers in Economics, Sep 1, 2005

1 Introduction 2 Related background literature 2.1 Theoretical 2.2 Empirical 3 Substitutability b... more 1 Introduction 2 Related background literature 2.1 Theoretical 2.2 Empirical 3 Substitutability between bank and non-bank finance 4 A model of bank credit 4.1 Basic model 4.2 Dynamic adjustment 4.3 Non-bank finance-normal vs abnormal periods 4.4 Exploiting information on bank loan interest rates as an aid to identification 5 Data description 5.1 Bank-level data 5.2 Aggregate data 6 Empirical results 6.1 Preliminary estimation issues 6.2 Regression results

This paper compares the role of monetary and fiscal policy shocks in advanced and emerging econom... more This paper compares the role of monetary and fiscal policy shocks in advanced and emerging economies. Using a model with a hierarchical structure we capture the variability of GDP response to policy shocks both between and within the groups of advanced and emerging countries. Our results provide evidence that fiscal policy effects are heterogeneous across countries, with higher multipliers in advanced economies compared to emerging markets, while monetary policy is found to have more homogeneous effects on GDP. We then quantify the policy contribution on GDP growth in the last decade by means of a structural counterfactual analysis based on conditional forecasts. We find that global GDP growth benefited from substantial policy support during the global financial crisis but policy tightening thereafter, particularly fiscal consolidation, acted as a significant drag on the subsequent global recovery. In addition we show that the role of policy has differed across countries. Specifical...

In a major legislative achievement, US President Donald Trump signed into law the Tax Cuts and Jo... more In a major legislative achievement, US President Donald Trump signed into law the Tax Cuts and Jobs Act on 22 December 2017. This tax reform, which took effect on 1 January 2018, entails a major overhaul of the US tax system. The reform involves a large number of changes, with some of its main provisions being:4 (i) a permanent reduction in the corporate tax rate from 35% to 21%, while allowing the full deduction of investment from the corporate tax base for five years, after which this will be phased out; (ii) a temporary simplification of and reduction in individual income taxes, as well as an increase in the child tax credit; (iii) lower income taxation for small business owners; and (iv) elimination of the taxation of most foreign corporate income of US corporate shareholders, implying a move to a “hybrid” territorial system with a one-time transition tax on untaxed profits of 15.5% on liquid and 8% on non-liquid assets. The territorial system is complemented by base erosion mea...

SSRN Electronic Journal, 2021

This paper summarises the findings of the Eurosystem's Expert Group on Inflation Expectations (EG... more This paper summarises the findings of the Eurosystem's Expert Group on Inflation Expectations (EGIE), which was one of the 13 work streams conducting analysis that fed into the ECB's monetary policy strategy review. The EGIE was tasked with (i) reviewing the nature and behaviour of inflation expectations, with a focus on the degree of anchoring, and (ii) exploring the role that measures of expectations can play in forecasting inflation. While it is households' and firms' inflation expectations that ultimately matter in the expectations channel, data limitations have meant that in practice the focus of analysis has been on surveys of professional forecasters and on market-based indicators. Regarding the anchoring of inflation expectations, this paper considers a number of metrics: the level of inflation expectations, the responsiveness of longer-term inflation expectations to shorter-term developments, and the degree of uncertainty. Different metrics can provide conflicting signals about the scale and timing of potential unanchoring, which underscores the importance of considering all of them. Overall, however, these metrics suggest that in the period since the global financial and European debt crises, longer-term inflation expectations in the euro area have become less well anchored. Regarding the role measures of inflation expectations can play in forecasting inflation, this paper finds that they are indicative for future inflationary developments. When it comes to their predictive power, both market-based and survey-based measures are found to be more accurate than statistical benchmarks, but do not systematically outperform each other. Beyond their role as standalone forecasts, inflation expectations bring forecast gains when included in forecasting models and can also inform scenario and risk analysis in projection exercises performed using structural models. In terms of the implications for the ECB's economic and monetary analysis going forward, the work of the EGIE essentially highlights the need for (i) more data on households' and firms' inflation expectations, (ii) a comprehensive framework for assessing (un)anchoring and (iii) further considerations regarding the use of observed expectation measures in forecasting models.

Weidener Diskussionspapiere, 2018

A number of policy proposals-such as Pillar 3 of Basel II-aim to develop a set of disclosure requ... more A number of policy proposals-such as Pillar 3 of Basel II-aim to develop a set of disclosure requirements that improves market participants' ability to assess a bank's value. Since disclosure might entail considerable costs, it is important to assess which disclosure items are most useful for financial markets and for the banks themselves before deciding on what information the recommended set of disclosure requirements should contain.

The spread of the coronavirus (COVID-19) pandemic across the globe has led to significant decline... more The spread of the coronavirus (COVID-19) pandemic across the globe has led to significant declines in major equity indices and a spike in volatility to values above those recorded in the aftermath of the default of Lehman Brothers in September 2008. In line with the sharp rise in current risks, investors also raised their expectations of future risks, as shown by a widening of the risk-neutral density of future euro area equity returns. The increase in perceived risks accompanied a noticeable rise in investors’ risk aversion to negative tail events. More recently, and following the announcement of significant monetary and fiscal policy stimulus, the estimated tail risk aversion has been declining, while expected risks remain elevated. JEL Classification: G10, G12, G13

Economic and Policy Review, 2004

The authors suggests that banks that are more forthcoming on basic balance-sheet items exhibit lo... more The authors suggests that banks that are more forthcoming on basic balance-sheet items exhibit lower stock price volatility. About 600 banks in thirty-one countries over the 1993-2000 period are covered. The authors find that higher values of their disclosure index are associated with significantly lower stock return volatility and that volatility is also negatively associated with most of the individual items in the index, and conclude that increased disclosure may benefit bankers and bank supervisors.

In this paper we model the role of open-economy effects within a New Keynesian Phillips Curve (NK... more In this paper we model the role of open-economy effects within a New Keynesian Phillips Curve (NKPC) via the inclusion of intermediate imports in firms’ production technology. Using this framework we provide evidence on two questions: first, does the inclusion of import prices help explain post-war inflation dynamics in the United Kingdom, United States and Japan; and second, has the influence of import prices in firms’ costs become greater over the more recent period since the mid-1980s. Overall, our results suggest that import prices do help explain movements in inflation; in particular, NKPC models that allow for import prices to enter into firms’ costs outperform closed-economy models in sample. However, our results suggest that the influence of import prices has generally remained constant across our sample period, with perhaps only the United Kingdom providing some evidence that import prices have become more important in firms’ marginal costs.

A number of policy proposals such as Pillar 3 of Basel II aim to develop a set of disclosure requ... more A number of policy proposals such as Pillar 3 of Basel II aim to develop a set of disclosure requirements that improves market participants’ ability to assess a bank’s value. Since disclosure might entail considerable costs, it is important to assess which disclosure items are most useful for financial markets and for the banks themselves before deciding on what information the recommended set of disclosure requirements should contain. This paper addresses this issue using a unique dataset on close to 600 banks in 31 countries over the period 1993-2000. The dataset includes detailed information on whether a bank discloses a number of dimensions of its risk exposure, covering 17 categories related to interest rate risk, credit risk, liquidity risk and market risk. We pursue three approaches. First, we investigate the relationship between the volatility of a bank’s stock price and the amount of information the bank discloses to the market and examine whether high disclosure may be rel...

ERN: Econometric Studies of Households' Consumption Patterns (Topic), 2014

The balance sheet adjustment in the household sector was a prominent feature of the Great Recessi... more The balance sheet adjustment in the household sector was a prominent feature of the Great Recession that is widely believed to have held back the cyclical recovery of the US economy. A key question for the US outlook is therefore whether household deleveraging has ended or whether further adjustment is needed. The novelty of this paper is to estimate a time-varying equilibrium household debt-to-income ratio determined by economic fundamentals to examine this question. The paper uses state-level data for household debt from the FRBNY Consumer Credit Panel over the period 1999Q1 to 2012Q4 and employs the Pooled Mean Group (PMG) estimator developed by Pesaran et al. (1999), adjusted for cross-section dependence. The results support the view that, despite signifiant progress in household balance sheet repair, household deleveraging still had some way to go as of 2012Q4, as the actual debt-to-income-ratio continued to exceed its estimated equilibrium. The baseline conclusions are rather ...

The response of US inflation to the high levels of spare capacity during the Great Recession of 2... more The response of US inflation to the high levels of spare capacity during the Great Recession of 2007–09 was rather muted. At the same time, some have argued that the short-term unemployment gap has a more prominent role than the standard unemployment gap in determining inflation, and either the closing of this gap or non-linearities in the Phillips curve could lead to a sudden pick-up in inflation. In this context, our main aim is to provide guidance to policymakers as regards the reliability of the Phillips curve to forecast inflation. Our main findings from Phillips curves estimated since the early-1990s suggest that the consideration of a time-variation in the Phillips curve slope is more relevant than just focusing on finding the “correct” slack measure. Although the Phillips curve may be relatively flat over the full sample (1992Q1–2015Q1), timevarying estimates with rolling windows and with the Kalman filter suggest that the slope does vary over time and that it has increased ...

The US recovery following the Great Recession has been marked by persistent low growth. At the sa... more The US recovery following the Great Recession has been marked by persistent low growth. At the same time, productivity growth has consistently disappointed in the aftermath of the last recession. This has raised doubts about the long-term growth prospects of the US economy and led to worries about secular stagnation. This paper contributes to the debate by empirically revising the main determinants of labour productivity growth over the period 1999-2013 for a panel of US states, focusing on capital deepening, R&D spending, the sectoral composition, financial factors and business dynamism. We find that more than half of the slowdown in productivity growth in the period 2011-13 relative to its sample average is due to a decline in the rate of capital deepening. The other major factor explaining the recent weakness in productivity growth - more closely related to TFP - is the slowdown in business dynamism experienced by the US economy. By contrast, financial factors appear to have beco...

As a major player in world trade, the euro area is strongly influenced by globalisation, but is f... more As a major player in world trade, the euro area is strongly influenced by globalisation, but is far from being a passive spectator. The paper analyses how the euro area’s trade specialization has changed in response to stronger international competition and the emergence of new global players, evaluating results and possible challenges ahead. The message remains mixed. On the positive side, the export specialisation of the euro area is increasing in some mediumhigh or high-tech sectors where productivity growth is strong and demand robust, such as pharmaceuticals, also by a more intensive recourse to importing intermediate goods from low-cost countries. On the other hand, in comparison to other industrialised economies, the euro area has been somewhat slower in moving towards research-intensive goods and away from labour-intensive sectors. While this could reflect data classification issues, it may also be a sign of structural rigidities in the euro area, which hinder adjustment pro...

SSRN Electronic Journal

This paper should not be reported as representing the views of the European Central Bank (ECB). T... more This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB.

SSRN Electronic Journal

Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.

RePEc: Research Papers in Economics, Dec 22, 2008

RePEc: Research Papers in Economics, Sep 1, 2005

SSRN Electronic Journal, 2021

Weidener Diskussionspapiere, 2018

Economic and Policy Review, 2004

In this paper we model the role of open-economy effects within a New Keynesian Phillips Curve (NK... more In this paper we model the role of open-economy effects within a New Keynesian Phillips Curve (NKPC) via the inclusion of intermediate imports in firms’ production technology. Using this framework we provide evidence on two questions: first, does the inclusion of import prices help explain post-war inflation dynamics in the United Kingdom, United States and Japan; and second, has the influence of import prices in firms’ costs become greater over the more recent period since the mid-1980s. Overall, our results suggest that import prices do help explain movements in inflation; in particular, NKPC models that allow for import prices to enter into firms’ costs outperform closed-economy models in sample. However, our results suggest that the influence of import prices has generally remained constant across our sample period, with perhaps only the United Kingdom providing some evidence that import prices have become more important in firms’ marginal costs.

ERN: Econometric Studies of Households' Consumption Patterns (Topic), 2014

SSRN Electronic Journal