Using a Bayesian Global VAR model as a methodological tool, we analyze how heightened geopolitical risk shocks propagate across advanced economies and quantify the economic effects of these events. The global VAR impulse response functions in response to the skyrocketing Russian geopolitical risk after Russia's invasion of Ukraine revealed a contraction of GDP and an increase in inflation. Eastern European and Baltic countries are particularly affected by the Russian geopolitical risk shock. We also document a strong component of the Russian geopolitical risk shock that is not driven by fossil fuel prices.

This article re-examines the association between democratization and the cost of borrowing abroad in the first era of globalization. Using two representative datasets the literature offers but employing an improved method for panel event study, we find that democratization's impact on the costs of foreign borrowing is uncertain. In one case, the estimated coefficients are similar to the sign and magnitude of the original study but with larger standard errors, rendering the impact statistically insignificant. In the other case, the estimated coefficients hover around zero and are not statistically different from zero.

Recently, there has been a growing interest in newly developed econometric tools to conduct counterfactual analysis when a treated unit experiences a policy intervention, and an artificial control group has to be constructed. Adopting novel penalized synthetic control methods, we quantify the causal impact of the multi-modal Øresund fixed link on the adjacent cross-border regions in Skåne and Zealand. The treatment impacts on the intertwining metropolitan regions of Copenhagen and Malmö are positive. However, the impact on the Copenhagen metropolitan area is overlaid by the Great Belt strait fixed link, which was opened shortly before. An array of robustness tests supports our interpretations, and several appendices supplement the presentation in the paper.

As an incentive towards twin digital and green investment in the corporate landscape, the German Federal Government has suggested a targeted temporary super depreciation allowance to support much-needed green and digital transitions. Using a calibrated multi-sector DSGE model, we find that the temporary super deduction could trigger an uplift of 10 percentage points for crucial green and digital capital spending, turbo-charging decarbonization and digitization ambitions. However, with the temporary corporate tax policy measure set to end after two years, there is a risk that the higher investment expenditures are levelling out afterwards. (c) 2025 The Society for Policy Modeling. Published by Elsevier Inc. All rights are reserved, including those for text and data mining, AI training, and similar technologies.

The political globalization trilemma asserts that a government cannot simultaneously opt for deep international integration, national sovereignty and democratic politics, but rather is constrained to choosing two of the three at most. This paper employs cross-country panel data operationalizing the multifaceted three vertices of the trilemma. After explorative data analysis, we employ panel error-correction techniques to uncover the mutual interdependencies among the variables in the system. The econometric evidence supports the existence of a long-run relationship between economic integration, national sovereignty and democratic politics as postulated in the political globalization trilemma.

This paper studies the impact of household indebtedness on the transmission of monetary policy to consumption using the Chinese household-level survey data. We employ a panel smooth transition regression model to investigate the non-linear role of indebtedness. We find that housing-related indebtedness weakens the monetary policy transmission, and this effect is nonlinear as there is a much larger counteraction of consumption in response to monetary policy shocks when household indebtedness increases from a low level rather than from a high level. Moreover, the weakened monetary policy transmission from indebtedness is stronger in urban households than in rural households. This can be explained by the investment good characteristic of real estate in China.

Many countries have imposed a set of non-pharmaceutical health policy interventions in an effort to slow the spread of the COVID-19 pandemic. The objective of this paper is to examine the effects of the interventions, drawing on evidence from the OECD countries. A special feature here is the mechanism that underlies the impact of the containment policies. To this end, a causal mediation analysis decomposing the total effect into a direct and an indirect effect is conducted. The key finding is a dual cause-effect channel. On the one hand, there is a direct effect of the non-pharmaceutical interventions on the various health variables. Beyond this, a quantitatively dominant indirect impact of non-pharmaceutical interventions operating via voluntary changes in social distancing is shown.

In light of the recent tit-for-tat trade dispute between China and the US, interest in quantifying the effects of the so-called phase one agreement has risen. To this end, the paper quantifies the impact of the asymmetric managed trade agreement using such a multi-country open-economy dynamic general equilibrium model. Besides assessing the direct implications for China and the US, trade diversion effects are also analyzed. The model-based analysis finds noticeable positive (negative) impacts of the agreement for the US (China) as well as negative spillover effects for countries not directly affected by the managed trade deal due to trade diversion. The impact of possible future trade agreements is also examined.

Household borrowing in China has increased considerably in recent years, raising concerns about the household sector’s vulnerability and implications for the stability of the financial system. We construct a number of granular debt-burden indicators at the level of individual Chinese households and calculate the share of households that are financially vulnerable using the three available waves (2011, 2013 and 2015) of China’s Household Finance Survey. Overall loan-to-value (LTV) ratios appear safe and sound at first glance, but closer scrutiny reveals that Chinese households in the lowest income quintile face high vulnerability and struggle to meet their debt commitments. Our stress tests suggest that Chinese households in higher quintiles, despite the huge increase in house-hold indebtedness, are not particularly vulnerable to declining incomes or falling house prices.

Download This Paper Open PDF in Browser Add Paper to My Library Share: Permalink Using these links will ensure access to this page indefinitely Copy URL Modeling Semiconductor Export Restrictions and the US-China Trade Conflict BOFIT Discussion Paper No. 13/2022 50 Pages Posted: 19 Dec 2022 See all articles by Michael FunkeMichael FunkeUniversity of Hamburg - Department of Economics; Tallinn University of Technology (TUT)Adrian WendeUniversity of Hamburg - Department of Economics Date Written: December 19, 2022 Abstract The semiconductor industry stands at the center of the intensifying Sino-American trade conflict. Employing a multi-country, multi-sector general equilibrium modeling framework with imperfect competition and heterogeneous firms, we perform qualitative and quantitative analyses of protectionist semiconductor measures. The paper offers two innovations in assessing the macroeconomic impact of current trade restrictions in the semiconductor industry model. First, our model of the semiconductor industry takes into account semiconductor varieties at different technological levels with different substitutability. Second, we model trade restrictions using a novel approach to export bans on semiconductor varieties that is consistent with US policy. Our simulation results suggest that the trade restrictions imposed by the US and its allies consistently lead to a decline in Chinese GDP and welfare. The US also loses, but to a lesser extent. The effect of trade diversion favors the rest of the world. Our simulations further confirm that the US semiconductor industry is likely to be harmed by the restrictions, while China's could be strengthened. Keywords: International trade, firm heterogeneity, semiconductors, United States, China JEL Classification: F12, F13, F41 Suggested Citation: Suggested Citation Funke, Michael and Wende, Adrian, Modeling Semiconductor Export Restrictions and the US-China Trade Conflict (December 19, 2022). BOFIT Discussion Paper No. 13/2022, Available at SSRN: https://ssrn.com/abstract=4307050 Michael Funke (Contact Author) University of Hamburg - Department of Economics ( email ) Von-Melle-Park 5room 2128 C riseHamburg, 20146Germany Tallinn University of Technology (TUT) ( email ) Ehitajate tee 5Tallinn, 12618Estonia Adrian Wende University of Hamburg - Department of Economics ( email ) Von-Melle-Park 5room 2128 C riseHamburg, 20146Germany Download This Paper Open PDF in Browser Do you have a job opening that you would like to promote on SSRN? Place Job Opening Paper statistics Downloads 0 Abstract Views 6 PlumX Metrics Related eJournals Bank of Finland Research Paper Series Follow Bank of Finland Research Paper Series Subscribe to this free journal for more curated articles on this topic FOLLOWERS 6,418 PAPERS 1,343 This Journal is curated by: Esa Jokivuolle at Bank of Finland, Research Unit, Zuzana Fungáčová at Bank of Finland - Institute for Economies in Transition (BOFIT) International Trade eJournal Follow International Trade eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 728 PAPERS 30,086 Econometric Modeling: International Economics eJournal Follow Econometric Modeling: International Economics eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 644 PAPERS 7,454 Development Economics: Macroeconomic Issues in Developing Economies eJournal Follow Development Economics: Macroeconomic Issues in Developing Economies eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 611 PAPERS 26,446 Feedback Feedback to SSRN Feedback (required) Email (required) Submit If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday. Submit a Paper Section 508 Text Only Pages SSRN Quick Links SSRN Solutions Research Paper Series Conference Papers Partners in Publishing Jobs & Announcements Special Topic Hubs SSRN Rankings Top Papers Top Authors Top Organizations About SSRN SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs Copyright Terms and Conditions Privacy Policy We use cookies to help provide and enhance our service and tailor content. To learn more, visit Cookie Settings. This page was processed by aws-apollo-5dc in 0.113 seconds

On 3 June 2020, the German government announced a EUR 130 billion fiscal stimulus package to stimulate market demand and jumpstart the economy in the wake of the COVID-19 pandemic lockdown in the spring of 2020. The most prominent measure of this package is an unconventional fiscal policy in the form of a temporary VAT rates cut for six months, from 1 July to 31 December 2020. Employing a dynamic stochastic general equilibrium (DSGE) framework, we study the efficiency of the VAT tax rates cut for ameliorating the consequences of the pandemic recession. The simulation of the calibrated DSGE model yields a tax policy-induced real GDP increase of about 0.3% points for 2020.

As an incentive to increase high-impact investment and boost growth, the German Federal Government is planning to introduce a targeted temporary super depreciation allowance to support much-needed green and digital transitions. Using a calibrated multi-sector DSGE model, we find that the temporary super deduction could trigger an uplift of 10 percentage points for green and digital capital spending, turbo-charging green growth ambitions. However, with the temporary measure set to end after two years, there is a risk that business investment could tail off at a crucial time, when post-COVID-19 recovery is levelling out. Thus, additional longer-term climate policies are needed to drive the green transition, facilitated by broad policy packages.

We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to several shocks between January 2012 and December 2019. Furthermore, we propose a novel way of estimating VIRFs based on Bayesian estimation of the MV-GARCH BEKK model. A simple Independence Chain Metropolis-Hastings algorithm allows drawing VIRFs in an efficient manner, allowing to analyse the significance and persistence of volatility shocks and associated volatility spillovers. The VIRF results show that the CNH exchange rate promptly reflects the global market demand and supply, while the CNY exchange rate reacts with a time lag. The VIRF results also show the existence of spillovers between the two markets as the co-volatility increases in response to shocks.

We derive risk-neutral probability densities for future euro/Swiss franc exchange rates as implied by option prices. We find that the credibility of the Swiss franc floor decreased somewhat as the spot exchange rate approached the lower bound of 1.20 CHF per euro. We also compare the forecasting performance of a random walk benchmark model with an error-correction model (ECM) augmented with option-implied break probabilities of breaching the currency floor. We find some evidence that the augmented ECM has an informational advantage over the random walk when using one-month break probabilities. But we find that onemonth option-implied densities cannot predict the entire range of exchange rate realizations.

The recent upgrade of the People’s Bank of China’s monetary policy framework establishes a corridor system of interest rates. As the revamped policy arrangement now features a multiple-instrument mix of liquidity tools and pricing signals, we employ a dynamic factor modelling approach to derive an indicator of China’s monetary policy stance. The approach is based on the notion that comovements in several monetary policy instruments have a common element that can be captured by a single underlying, unobserved component. To clarify and interpret the derived index, we employ a baseline DSGE model that can be solved analytically and allows tracing of the expansionary and contractionary on-and-off phases of Chinese monetary policy.

Pacific Economic ReviewVolume 26, Issue 4 p. 437-438 INTRODUCTION Special issue: The implications of COVID-19 for emerging Asia Michael Funke, Corresponding Author Michael Funke [email protected] Department of Economics, Hamburg University, Hamburg, Germany Department of Economics and Finance, Tallinn University of Technology, Tallinn, Estonia Correspondence Michael Funke, Department of Economics, Hamburg University, Von-Melle-Park 5, 20146, Hamburg, Germany. Email: [email protected] Tai-kuang Ho, Department of Economics, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., Taipei 10,617, Taiwan. Email: [email protected]Search for more papers by this authorTai-kuang Ho, Corresponding Author Tai-kuang Ho [email protected] Department of Economics, National Taiwan University, Taipei, Taiwan Correspondence Michael Funke, Department of Economics, Hamburg University, Von-Melle-Park 5, 20146, Hamburg, Germany. Email: [email protected] Tai-kuang Ho, Department of Economics, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., Taipei 10,617, Taiwan. Email: [email protected]Search for more papers by this author Michael Funke, Corresponding Author Michael Funke [email protected] Department of Economics, Hamburg University, Hamburg, Germany Department of Economics and Finance, Tallinn University of Technology, Tallinn, Estonia Correspondence Michael Funke, Department of Economics, Hamburg University, Von-Melle-Park 5, 20146, Hamburg, Germany. Email: [email protected] Tai-kuang Ho, Department of Economics, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., Taipei 10,617, Taiwan. Email: [email protected]Search for more papers by this authorTai-kuang Ho, Corresponding Author Tai-kuang Ho [email protected] Department of Economics, National Taiwan University, Taipei, Taiwan Correspondence Michael Funke, Department of Economics, Hamburg University, Von-Melle-Park 5, 20146, Hamburg, Germany. Email: [email protected] Tai-kuang Ho, Department of Economics, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., Taipei 10,617, Taiwan. Email: [email protected]Search for more papers by this author First published: 03 October 2021 https://doi.org/10.1111/1468-0106.12377Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat No abstract is available for this article. Volume26, Issue4Special Issue:THE IMPLICATIONS OF COVID‐19 FOR EMERGING ASIAOctober 2021Pages 437-438 RelatedInformation

The People's Bank of China (PBoC) has implemented numerous measures to cushion the impacts of the COVID-19 health crisis on the Chinese economy. Since the current monetary policy framework features a multi-instrument mix of liquidity tools and pricing signals, we employ a dynamic-factor modelling approach to derive a composite indicator of China's monetary policy stance. Our quantitative assessment shows that the PBoC's policy response to the outbreak of the COVID-19 pandemic has been swift and decisive. Specifically, our estimates reveal that the PBoC has implemented novel policy measures to ensure that commercial banks maintain liquidity access and credit provision during the COVID-19 crisis.

This paper discusses the macroeconomic effects of China’s informal banking regulatory tool “win-dow guidance,” introduced in 1998. Using an open-economy DSGE model that includes the com-mercial banking sector, we study the stabilizing effects of this non-standard quantitative monetary policy tool and the implications of quantity-based vs. price-based monetary policy instruments for welfare. The analyses are relevant to the current overhaul of Chinese monetary policy.

On 3 June 2020, the German government announced a EUR 130 billion fiscal stimulus package to stimulate market demand and jumpstart the economy in the wake of the COVID-19 pandemic lockdown in the spring of 2020. The most prominent measure of this package is an unconventional fiscal policy in the form of a temporary VAT rates cut for six months, from 1 July to 31 December 2020. Employing a dynamic stochastic general equilibrium (DSGE) framework, we study the efficiency of the VAT tax rates cut for ameliorating the consequences of the pandemic recession. The simulation of the calibrated DSGE model yields a tax policy-induced real GDP increase of about 0.3 percentage points for 2020.

The recent increase in China's house prices at the national level masks tremendous variation at the city level – a feature largely overlooked in the macroprudential literature. This paper measures the evolving heterogeneity in China's house price dynamics across 70 major cities and assesses its relationship with housing market characteristics. We gauge the heterogeneity of house price dynamics using a novel regime-switching modelling approach to estimate the time-varying patterns of China's city-level housing price synchronization. The estimates indicate an increasing synchronization leading up to 2015, and a decoupling pattern thereafter, which is associated to the heterogeneous strength of regional macroprudential policies. After sorting city-level housing prices into four clusters sharing similar cyclical features, we document high synchronization within clusters, but low synchronization among them. The empirical evidence suggests that differentials in the growth of population, income, and air quality are relevant explanatory factors of housing price synchronization among cities.