Annabelle Mourougane

How do Institutions Affect Structural Unemployment in Times of Crises

Ce document examine l’effet des crises economiques sur le chomage structurel en utilisant un modele Autoregressif a Retards Distribues et en prenant en compte l’effet des institutions. A partir d’un panel non cylindre de 30 economies de l’OCDE de 1970 a 2008, les crises economiques sont estimees avoir, en moyenne, un effet significatif et positif sur le niveau du taux de chomage structurel. L’effet maximal varie avec la severite de la crise. Les institutions (legislation sur la protection de l’emploi, ratio de remplacement moyen et regulation sur les marches des produits) influencent a la fois l’amplitude du choc initial et l’ajustement suivant le choc.

The Effect of Financial Crises on Potential Output

The aim of this paper is to assess the impact of financial crises on potential output. For this purpose a univariate autoregressive growth equation is estimated on an unbalanced panel of OECD countries over the period 1960 to 2007. Our results suggest that the occurrence of a financial crisis negatively and permanently affects potential output. In particular, financial crises are estimated to lower potential output by around 1.5 to 2.4% on average. The magnitude of the effect increases with the severity of the crisis. The occurrence of a deep crisis is found to decrease potential output by nearly 4%, almost twice the amount observed for the average of crises. These results are robust to the use of an alternative measure of potential output, changes in the methodology and in the sample periods.

Forecasting Monthly GDP for Canada

The objective of this paper is to develop a short-term indicator-based model to predict quarterly GDP in Canada by efficiently exploiting all available monthly information. To this aim, monthly forecasting equations are estimated using the GDP series published every month by Statistics Canada as well as other monthly indicators. The procedures are automated and the model can be run whenever major monthly data are released, allowing the appropriate choice of the model according to the information set available. The most important gain from this procedure is for the current-quarter forecast when one or two months of GDP data are available, with all monthly models estimated in the paper outperforming a standard quarterly autoregressive model in terms of size of errors. The use of indicators also appears to improve forecasting performance, especially when an average of indicator-based models is used. Real-time forecasting performance of the average model appear to be good, with an apparent stability of the estimates from one update to the next, despite the extensive use of monthly data. The latter result should nonetheless be interpreted with caution and will need to be re-assessed when more data become available. Prevoir le PIB mensuel au Canada L’objectif de cet article est de developper un modele d’indicateurs conjoncturels pour predire le PIB trimestriel au Canada en utilisant de maniere efficace toute l’information mensuelle disponible. A cette fin, des equations mensuelles de previsions de court terme sont estimees en utilisant la serie de PIB publiee chaque mois par Statistique Canada et d’autres indicateurs conjoncturels. Les procedures ont ete automatisees et le modele peut etre mis a jour chaque fois qu’une donnee importante est publiee, la specification du modele variant ainsi en fonctions de l’ensemble des donnees disponibles. Le gain le plus important de la procedure developpee est obtenue pour les previsions du trimestre courant quand un ou deux mois de donnees du PIB mensuel sont disponibles. Dans ce cas, tous les modeles mensuels estimes dans cet article ont des erreurs de previsions inferieures a celle d’un modele trimestriel autoregressif standard. L’utilisation d’indicateurs conjoncturels ameliore les performances en termes de previsions, en particulier lorsqu’une moyenne de tous les modeles d’indicateurs conjoncturels est utilisee. Les previsions realisees en temps reel en faisant la moyenne des differents modeles d’indicateurs conjoncturels se sont averees de qualite satisfaisante, avec une stabilite apparente des estimations successives, malgre l’utilisation extensive de donnees mensuelles. Ces resultats doivent toutefois etre interpretes avec prudence et devront etre verifies quand plus de donnees seront disponibles.

Explaining the Appreciation of the Brazilian real

ABSTRACT This article seeks to identify factors explaining the appreciation of the Brazilian real observed since 2003, which was temporarily interrupted only during episodes of financial turbulence. Net foreign assets and the productivity differential relative to Brazils main trade partners are found to be significant determinants of the real effective exchange rate in the long run. In the short term, exchange-rate developments are mostly explained by movements in net foreign assets. The production of oil is also found to explain developments in the real effective exchange rate in the long run. These results are robust to a wide range of tests. There is evidence of an overvaluation of the real in 2010, but the extent of the misalignment is hard to gauge. Fundamental Equilibrium Exchange Rate estimations point to an overvaluation between 3%–10% in 2010. Dynamic simulations of behavioral exchange-rate equations generally suggest an overvaluation of between 10%–20%. However, these estimations remain subject to large uncertainties.

Taking Stock of Existing Structural Policy and Outcome Indicators

This paper reviews and assesses in terms of availability, reliability and transparency existing policy and outcome indicators that have been found to be linked both directly and indirectly to economic growth and living standards. Indicators aiming at capturing the political and social situation of countries, as well as governance-related issues, are examined (e.g. political system, political stability, corruption, crime and violence). Topics also include product and labour markets, infrastructure, trade, financial indicators and composite indices of reform. Un inventaire des indicateurs structurels de politique et de performance Ce document passe en revue et evalue en termes de disponibilite, fiabilite et transparence les indicateurs de politiques et de performance qui existent actuellement et sont lies directement ou indirectement a la croissance economique et au niveau de vie. Des indicateurs cherchant a mesurer la situation sociale et politique des pays, de meme que des sujets lies a la gouvernance sont examines (par exemple, le systeme politique, la corruption, le crime et la violence). Sont aussi couverts les marches des produits et du travail, les infrastructures, le commerce, les indicateurs financiers et les indicateurs composites de reforme.

Short-Term Distributional Effects of Structural Reforms

This paper examines the short-term distributional effects of a number of tax and labour market reforms in the euro area, drawing on simulations using a micro-founded dynamic general equilibrium model. A heterogeneous household sector with two groups of consumers is considered. The first group maximises intertemporal utility over an infinite horizon in the presence of habit persistence. The second group is liquidity constrained and has no access to financial markets for intertemporal income transfers. It thus spends its disposable income entirely on current consumption. Although the examined reforms are estimated to boost aggregate consumption and output immediately after implementation, they have sizeable distributional effects. In particular, liquidity-constrained households may incur transitional losses after a cut in the benefit replacement ratio. Lowering employment and/or price adjustment costs could markedly reduce these short-term costs. A suitable compensation scheme could also reduce the uneven distribution of transitional losses, but at the expense of lower aggregate gains in the long run.

Vitesse d'ajustement à des réformes sur le marché du travail et de la fiscalité

Cet article examine la nature et la duree des ajustements economiques a un certain nombre de reformes structurelles, utilisant plusieurs approches : analyse descriptive et simulations des modeles dynamique d’equilibre general et macro-economiques neo-keynesiens, L’analyse descriptive suggere que la correlation entre des reformes, notamment une modification du coin fiscal, du taux de remplacement et des regulations anticoncurrentielles sur le marche des produits et le taux de chomage structurel n’atteint son effet maximum qu’apres 5 a 10 ans. Diminuer les couts d’ajustement sur l’emploi et les prix de la zone euro a leur niveau observe aux Etats-Unis ne se traduirait que par des effets limites sur la vitesse d’ajustements aux reformes sur le marche du travail ou aux reformes fiscales. Une reaction de politique monetaire peut accelerer l’ajustement a un nouvel equilibre, mais de maniere plus ou moins marquee dans les differents pays ou regions de l’OCDE. En particulier, les reformes menees au niveau des pays individuels genereront probablement peu ou pas de reaction monetaire, sauf en presence d’un effort concerte de mise en oeuvre de reformes au niveau de la zone.