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143 records from EconBiz based on author Name
1. Wage – Price Dynamics and Financial Market in a Disequilibrium Macro Model : A Keynes – Kaldor – Minsky Modeling of Recession and Inflation Using VECM
abstractThis paper studies wage-price dynamics in the context of a disequilibrium macro model where there are two Phillips (PC) curves, a wage PC and price PC. We adapt this framework but introduce a Kaldorian delay effect in wage dynamics whereby output and sales predate wage dynamics. Though along Keynesian lines aggregate demand drives output, but output is also impacted from the supply side, through some Minsky - Kindleberger financial conditions, possibly enhancing inflation through bottlenecks and supply constraints. Central banks when raising the interest rates and/or worsening financial conditions to counteract inflation may then actually accelerate the inflation rate, in particular when there are financially generated bottlenecks and external non-stationary variables, like fossil energy and food costs, at work as exogenous drivers of the inflation rate. These features are first studied in a disequilibrium intertemporal dynamic macroeconomic model but then empirically explored in a mixed Vector Error Correction Model (VECM) with a mix of stationary and non-stationary variables. Nonlinearities in the dynamics and regime switching are shown to be essential in disequilibrium macrodynamics, here first studied analytically and then econometrically, also exploring the permanent and transitory effects of shocks
Semmler, Willi; Chen, Pu;2023
Availability: Link Link
2. Wage : price dynamics and financial market in a disequilibrium macro model : a Keynes-Kaldor-Minsky modeling of recession and inflation using VECM
Chen, Pu; Semmler, Willi;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 3. FDI, spillover, and government subsidy : micro-econometric evidence from China
Chen, Pu; Wang, Chunyang;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
4. Stability in threshold VAR models
Chen, Pu; Semmler, Willi;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
5. Instability in Regime Switching Models
abstractIn this paper, we investigate the instability in a self-exciting regime-switchingautoregressive model that is locally stable in each of its regimes respectively. It turnsout that the stability locally in each of the regimes is not sufficient to guarantee thestability of the model. The mechanism of the instability is explained and a sufficient condition for the instability is provided
Chen, Pu;2021
Availability: Link Link
6. Instability in regime switching models
Chen, Pu; Hsiao, Chih-Ying; Semmler, Willi;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
7. Favouritism to SOEs : institution quality or career concern?
Chen, Pu; Wang, Chunyang;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link Link
8. Financial stress, regime switching and macrodynamics
abstractMonetary responses to financial stress have recently become an important issue in macroeconomic and policy discussions in the USA as well as in the EU. In this paper, the authors study two regimes of monetary responses. While the fundamentals of an economy are assumed to have a long-run equilibrium, the adjustment process towards the equilibrium can be different in different regimes. During a period of deteriorated economic conditions, rate cuts are the most often applied policy responses. Therefore, rate cuts can be used as a natural regime identifier. We observe that the financial stress shocks have a large and persistent negative impact on the real side of the economy, and their impact is stronger in the non-rate-cut regime than in the rate-cut regime. A macro-foundation of such a Finance-Macro model type is given in Mittnik and Semmler (J Econ Behav Organ 83:502–522, 2013) and Chen and Semmler (J Econ Dyn Control 91:318–348, 2018). The agents can, in a finite horizon context, borrow and accumulate assets where however the above two scenarios may occur. The model is solved through nonlinear model predictive control (NMPC). Empirically we use a multi-regime cointegrated VAR (MRCIVAR) to study the impact of financial stress shocks and monetary policy on the macroeconomy in different countries.
Chen, Pu; Semmler, Willi;2021
Type: Aufsatz im Buch; Book section; Konferenzbeitrag; Conference paper;
Availability: Link
Citations: 2 (based on OpenCitations)
9. Long-term and short-term house price dynamics in China's first tier and second tier main 13 cities
Wang, JingJing; Chen, Pu; Croucher, John S.; Tiwari, Piyush;2020
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 5 (based on OpenCitations)
10. Financial Stress, Regime Switching and Spill-Over Effects : Evidence from a Multi-Regime Global VAR Model
abstractThe globalization process leads to increasing synchronization of business cycle among different countries. As a consequence, many policy makers and Central Banks are afraid of vulnerabilities of their country arising from external risk drivers. In this paper we develop a multi-regime global VAR model to study the spill-over effects in financial markets, in goods markets and between financial markets and good markets across countries, which are assumed to be in a high financial stress regime or a low financial stress regime. It turns out that in both high and low stress regimes financial shocks to a country, big or small one, can have large and persistent impacts on financial markets of other countries, and only in the high stress regime financial shocks to a country can have some negative output effects on other countries. In high stress regime output shocks of a big country can have larger effects on financial stress than those of a small country, while in a low stress regime output shocks of a country, big or small, have little impact on financial conditions. Further, we study the effects of global and regional shocks, as well as the spillover effects of national monetary policies and internationally coordinated policies on the financial and real sectors
Semmler, Willi; Chen, Pu;2017
Availability: Link Link
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