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Full-Text Articles in Macroeconomics

From Disruption To Integration: Cryptocurrency Prices, Financial Fluctuations, And Macroeconomy, Zhengyang Chen Jul 2025

From Disruption To Integration: Cryptocurrency Prices, Financial Fluctuations, And Macroeconomy, Zhengyang Chen

Faculty Publications

This paper examines cryptocurrency shock transmission to financial markets and the macroeconomy using a Bayesian structural VAR with Pandemic Priors from 2015 to 2024. By affecting overall risk appetite, cryptocurrency price shocks generate positive financial market spillovers, accounting for 18% of equity and 27% of commodity price fluctuations. Real economic effects are significant in driving investment but remain limited, contributing only 4% to unemployment and 6% to industrial production variance. However, cryptocurrency shocks explain 18% of price-level forecast error variance at long horizons. Narrative analysis reveals sentiment and technology as primary shock drivers. These findings demonstrate cryptocurrency's deep financial system …


Modeling Inflation Expectations In Forward-Looking Interest Rate And Money Growth Rules, Zhengyang Chen, Victor J. Valcarcel Jan 2025

Modeling Inflation Expectations In Forward-Looking Interest Rate And Money Growth Rules, Zhengyang Chen, Victor J. Valcarcel

Faculty Publications

We propose a novel approach that directly embeds rational expectations (RE) into a low-dimensional structural vector autoregression (SVAR) without the need for any mapping to a dynamic stochastic general equilibrium (DSGE) model. Beginning from a fully specified “consensus” structural model, we establish an instrumental variable procedure internal to the SVAR to obtain RE-consistent structural responses to identified monetary policy shocks. Our RE-SVAR framework facilitates a comparison across two alternative monetary policy indicators that accommodate long horizons in the formation of inflation expectations in the policy rule. We construct clouds of responses of inflation and economic activity to monetary …


A Granular Investigation On The Stability Of Money Demand, Zhengyang Chen, Victor J. Valcarcel Sep 2024

A Granular Investigation On The Stability Of Money Demand, Zhengyang Chen, Victor J. Valcarcel

Faculty Publications

A large literature has shown money demand functions constructed from simple-sum aggregates are unstable. We revisit the controversy surrounding the instability of money demand by examining cointegrating income-money relationships with the Divisia monetary aggregates for the U.S., and compare them with their simple-sum counterparts. We innovate by conducting a more granular analysis of various monetary assets and their associated user costs. We find characterizing money demand with simple-sum measures only works well in a period preceding 1980. Divisia aggregates, their components, and their user costs provide a more reliable interpretation of money demand. Subsample analysis across 1980 and 2008 suggests …


Monetary Transmission In Money Markets: The Not-So-Elusive Missing Piece Of The Puzzle, Zhengyang Chen, Victor Valcarcel Oct 2021

Monetary Transmission In Money Markets: The Not-So-Elusive Missing Piece Of The Puzzle, Zhengyang Chen, Victor Valcarcel

Faculty Publications

We investigate the effects of U.S. monetary policy shocks from alternative policy indicators for a modern sample encompassing 1988–2020. The choice of the Wu and Xia (2016) shadow federal funds rate leads to persistent price puzzles. These puzzles arise despite inclusion of the usual suspect fixes such as commodity prices, federal funds futures and forward rate data. We find they occur at monthly and quarterly frequencies. We consider alternative indicators with the same broad monetary aggregates Keating et al. (2019) employed in their investigation of a historical sample. They provide a consistent resolution of the price puzzle and they do …


Deflation And Consumer Expenditures, Ali M. Reza Jun 2017

Deflation And Consumer Expenditures, Ali M. Reza

Faculty Publications

One often hears that one reason deflation should be avoided is because it leads to the expectation of lower prices in the future on the part of consumers. This in turn causes consumers to defer their spending. The consequence of this is reduced demand for products and lower investment by firms now. The net result is weaker economic activity. This paper provides a new approach to verify this view.


Macroeconomic Variables Effect On Us Market Volatility Using Mc-Garch Model, Jang Hyung Cho, Ahmed Elshahat Jan 2014

Macroeconomic Variables Effect On Us Market Volatility Using Mc-Garch Model, Jang Hyung Cho, Ahmed Elshahat

Faculty Publications

Forecasting equity volatility was thoroughly investigated during the past three decades. The majority based their forecasts on the dynamics of the underlying equity time series. They helped better understand the dynamics of these time series and understand different aspects of volatility. Other models went a step further to include the effect of news announcement on equity volatility. The vast majority ignored the effect of macroeconomic variable or the state of the economy. This paper proposes a volatility-forecasting model that accounts for effect of fundamental macroeconomic variables that reflect the state of the economy. The explanatory variables used measure the stage …


The Upside Of Government Default, Jeffrey Rogers Hummel Feb 2012

The Upside Of Government Default, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Some Possible Consequences Of A U.S. Government Default, Jeffrey Rogers Hummel Jan 2012

Some Possible Consequences Of A U.S. Government Default, Jeffrey Rogers Hummel

Faculty Publications

The U.S. government faces a looming fiscal crisis. A default on Treasury securities appears inevitable. The short-run consequences for the economy will be painful. But the long-run consequences, both economic and political, could be beneficial. The most important long-run political benefit would be the imposition of fiscal discipline. The long-run economic benefit would be the alleviation of the future tax liabilities required to service the national debt, irrespective of whether those liabilities are correctly anticipated or not. A historical examination of the state government defaults of the 1840s provides one case study where the long-run consequences were indeed salutary.


America's Turning Point, Jeffrey Rogers Hummel Apr 2011

America's Turning Point, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Central Banking Beats Free Banking? It Just Ain’T So!, Fred Foldvary Apr 2011

Central Banking Beats Free Banking? It Just Ain’T So!, Fred Foldvary

Faculty Publications

No abstract provided.


The Question Of Slavery, Jeffrey Rogers Hummel Apr 2011

The Question Of Slavery, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


The Rise And Fall Of Glass-Steagall, Jeffrey Rogers Hummel, Warren C. Gibson Oct 2010

The Rise And Fall Of Glass-Steagall, Jeffrey Rogers Hummel, Warren C. Gibson

Faculty Publications

No abstract provided.


If A Pure Market Economy Is So Good, Why Doesn’T It Exist? The Importance Of Changing Preferences Versus Incentives In Social Change, Jeffrey Rogers Hummel, Edward P. Stringham Jul 2010

If A Pure Market Economy Is So Good, Why Doesn’T It Exist? The Importance Of Changing Preferences Versus Incentives In Social Change, Jeffrey Rogers Hummel, Edward P. Stringham

Faculty Publications

Many economists argue that a pure market economy cannot come about because people will always have incentives to use coercion (Cowen and Sutter, 2005; Holcombe, 2004). We maintain that these economists leave out an important factor in social change. Change can come about by altering incentives or preferences, but since most neoclassical economists ignore changing preferences, they too quickly conclude that change is impossible. History shows that social change based on changes in preferences is common. By recognizing that preferences need not be constant, political economists can say much more about changing the world.


Government’S Diminishing Benefits From Inflation, Jeffrey Rogers Hummel Jan 2010

Government’S Diminishing Benefits From Inflation, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Monetary Lessons From The Not-So-Great Depression, A Round-Robin Essay Debate With Scott Sumner, James Hamilton, And George Selgin, Jeffrey Rogers Hummel Sep 2009

Monetary Lessons From The Not-So-Great Depression, A Round-Robin Essay Debate With Scott Sumner, James Hamilton, And George Selgin, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Review Of Good Money: Birmingham Button Makers, The Royal Mint, And The Beginnings Of Modern Coinage, 1775-1821 By George Selgin, Jeffrey Rogers Hummel Aug 2009

Review Of Good Money: Birmingham Button Makers, The Royal Mint, And The Beginnings Of Modern Coinage, 1775-1821 By George Selgin, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Why Default On U.S. Treasuries Is Likely, Jeffrey Rogers Hummel Aug 2009

Why Default On U.S. Treasuries Is Likely, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Will We Be Stimulated? Economists Sound Off On Obama’S Stimulus Package Reason, Nick Gillesie, Jeffrey Rogers Hummel, Meg Mcardle May 2009

Will We Be Stimulated? Economists Sound Off On Obama’S Stimulus Package Reason, Nick Gillesie, Jeffrey Rogers Hummel, Meg Mcardle

Faculty Publications

No abstract provided.


Civil War Finance: Lessons For Today, Jeffrey Rogers Hummel Apr 2009

Civil War Finance: Lessons For Today, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Was Money Really Easy Under Greenspan?, Jeffrey Rogers Hummel, David R. Henderson Mar 2009

Was Money Really Easy Under Greenspan?, Jeffrey Rogers Hummel, David R. Henderson

Faculty Publications

No abstract provided.


The Fed’S Binge, Jeffrey Rogers Hummel Jan 2009

The Fed’S Binge, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Greenspan’S Monetary Policy In Retrospect: Discretion Or Rules?, Jeffrey Rogers Hummel, David R. Henderson Nov 2008

Greenspan’S Monetary Policy In Retrospect: Discretion Or Rules?, Jeffrey Rogers Hummel, David R. Henderson

Faculty Publications

No abstract provided.


Toward A Libertarian Reconstruction Of Neoclassical Welfare Theory, Jeffrey Rogers Hummel Apr 2008

Toward A Libertarian Reconstruction Of Neoclassical Welfare Theory, Jeffrey Rogers Hummel

Faculty Publications

Many libertarians, especially those inclined toward the Austrian school of economics, counter the market-failure justification for government intervention by denying any legitimacy whatsoever to the neoclassical concept of efficiency. But properly interpreted, neoclassical efficiency, rather than providing an open-ended justification for all sorts of government intervention, provides one of the most powerful and comprehensive objections to government coercion in general.


Death And Taxes, Including Inflation: The Public Versus Economists, Jeffrey Rogers Hummel Jan 2007

Death And Taxes, Including Inflation: The Public Versus Economists, Jeffrey Rogers Hummel

Faculty Publications

Inflation worries the general public much more than it does the economics profession, and economists remain perplexed as to exactly why. The costs that concern economists are inflation’s deadweight loss. But that is only a part of the losses that concern the public, because inflation simultaneously transfers some of people’s income into the hands of government. The fact that the seigniorage tax may pay for programs they favor is a separate issue. Moreover, unlike income and other taxes, which people in democratic countries may think they have some control over through voting, seigniorage appears utterly arbitrary. In fact, people can …


Review Essay On The Politically Incorrect Guide To American History By Thomas E. Woods, Jr., Jeffrey Rogers Hummel Apr 2006

Review Essay On The Politically Incorrect Guide To American History By Thomas E. Woods, Jr., Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Review Of Northern Naval Superiority And The Economics Of The American Civil War By David G. Surdam, Jeffrey Rogers Hummel Jan 2004

Review Of Northern Naval Superiority And The Economics Of The American Civil War By David G. Surdam, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


The American Militia And The Origin Of Conscription: A Reassessment, Jeffrey Rogers Hummel Oct 2001

The American Militia And The Origin Of Conscription: A Reassessment, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


William The Liberator, Jeffrey Rogers Hummel May 1999

William The Liberator, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


Review Of Mastered By The Clock: Time, Slavery, And Freedom In The American South By Mark M. Smith, Jeffrey Rogers Hummel Dec 1998

Review Of Mastered By The Clock: Time, Slavery, And Freedom In The American South By Mark M. Smith, Jeffrey Rogers Hummel

Faculty Publications

No abstract provided.


National Defense And The Public-Goods Problem, Jeffrey Rogers Hummel, Don Lavoie Jun 1994

National Defense And The Public-Goods Problem, Jeffrey Rogers Hummel, Don Lavoie

Faculty Publications

No abstract provided.