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"Barro, Robert J"
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Rare Disasters, Asset Prices, and Welfare Costs
A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare disasters, accords with observed equity premia and risk-free rates if the coefficient of relative risk aversion equals 3-4. If the intertemporal elasticity of substitution exceeds one, an increase in uncertainty lowers the price-dividend ratio for equity, and a rise in the expected growth rate raises this ratio. Calibrations indicate that society would willingly reduce GDP by around 20 percent each year to eliminate rare disasters. The welfare cost from usual economic fluctuations is much smaller, though still important, corresponding to lowering GDP by about 1.5 percent each year.
Journal Article
Rare Disasters and Asset Markets in the Twentieth Century
The potential for rare economic disasters explains a lot of asset-pricing puzzles. I calibrate disaster probabilities from the twentieth century global history, especially the sharp contractions associated with World War I, the Great Depression, and World War II. The puzzles that can be explained include the high equity premium, low risk-free rate, and volatile stock returns. Another mystery that may be resolved is why expected real interest rates were low in the United States during major wars, such as World War II. The model, an extension of work by Rietz, maintains the tractable framework of a representative agent, time-additive and isoelastic preferences, and complete markets. The results hold with i.i.d. shocks to productivity growth in a Lucas-tree type economy and also with the inclusion of capital formation.
Journal Article
محددات النمو الاقتصادي : دراسة تجريبية عبر البلدان
يجيب هذا الكتاب عن التساؤل الأكثر أهمية في علم الاقتصاد وهو: ما الذي يسبب النمو الاقتصادي وبالتالي الرخاء أو الازدهار للناس في العالم ؟ يقودنا \"Robert Barro\" من جامعة Harvard إلى معرفة الإجابة من خلال ما يتضمنه كتابه هذا من محاضرات ألقاها في london school of economics باعتباره أحد أهم الاقتصاديين الكليين البارزين في العالم. وفي المحاضرة الأولى يطرح تحليله العام بوصف نظريتي النمو الجديدة والقديمة. إن اختلافات النمو بين البلدان تعتمد في المقام الأول على المستوى القائم من الناتج لكل بلد. أما العوامل الرئيسية التي يقوم بتحديدها باعتبارها مساعدة على حدوث النمو هي مستويات عالية من التعليم، والصحية (مقاسه بالحياة المتوقعة)، ونسب ولادة منخفضة، ونفقات رفاهية حكومية منخفضة، وحكم القانون، وشروط ملائمة فيما يتعلق بالتجارة... إلخ. ويتحول Barro في الفصل الثاني أو المحاضرة الثانية إلى قضية الديمقراطية، ويطرح تساؤلا هل هي ملائمة ومفيدة للنمو؟ وباستخدام نفس المنهجية، يستنتج أن مقدارا معينا من الديمقراطية أفضل من لا شيء، ولكن، يمكن برأيه أن تشجع ديمقراطية كاملة تشوهات سوقية، معيقة النمو، ما الذي من ثم يحدد إلى أي مدى يكون البلد ديمقراطيا ؟ وأخيرا في محاضرته الثالثة (الفصل الثالث) يتحول إلى تأثير التضخم على النمو، ويبين لنا بوضوح أن تضخما مرتفعا هو أمر سيء للنمو، إلا أن تضخما يساوي إلى 20 % سنويا قد يكون وقد لا يكون أمرا سيئا وأن لا دليل بأي مدى على علاقة إيجابية بين التضخم إلى النمو، بدلا من العكس. هذا الكتاب، دليل علمي وهام يلخص عملية البحث التجريبي بخصوص النمو والذي بدأ به Barro خلال العقد الماضي، وطوره إلى البحث التجريبي الحديث عن النمو الاقتصادي والتنمية الاقتصادية. لذلك يمكن لهذا الكتاب أن يفيد صانعي السياسات في البلدان النامية ومنها بلدان العالم الثالث في التعرف على الأثر الإيجابي للتفاعل بين الديمقراطية والتنمية الاقتصادية وتأثير ذلك على النمو.
BOOK
MACROECONOMIC EFFECTS FROM GOVERNMENT PURCHASES AND TAXES
For U.S. annual data that include World War II, the estimated multiplier for temporary defense spending is 0.4—0.5 contemporaneously and 0.6—0.7 over 2 years. If the change in defense spending is \"permanent\" (gauged by Ramey's defense news variable), the multipliers are higher by 0.1—0.2. Since all estimated multipliers are significantly less than 1, greater spending crowds out other components of GDP, particularly investment. The lack of good instruments prevents estimation of reliable multipliers for nondefense purchases; multipliers in the literature of two or more likely reflect reverse causation from GDP to non-defense purchases. Increases in average marginal income tax rates (measured by a newly constructed time series) have significantly negative effects on GDP. When interpreted as a tax multiplier, the magnitude is around 1.1. The combination of the estimated spending and tax multipliers implies that the balanced-budget multiplier for defense spending is negative. We have some evidence that tax changes affect GDP mainly through substitution effects, rather than wealth effects.
Journal Article
Environmental Protection, Rare Disasters and Discount Rates
The Stern Review's evaluation of environmental protection stresses low discount rates and uncertainty about environmental effects. An appropriate model for analysing this uncertainty and the associated discount rates requires sufficient risk aversion and fat-tailed uncertainty to account for the observed equity premium. Calibrations based on Epstein–Zin preferences and existing analyses of rare macroeconomic disasters suggest that optimal environmental investment can be a significant share of GDP even with reasonable rates of time preference. Optimal environmental investment increases with risk aversion and the probability and typical size of environmental disasters, but decreases with uncertainty about policy effectiveness.
Journal Article
Religion and Economy
Religion has a two-way interaction with political economy. With religion viewed as a dependent variable, a central question is how economic development and political institutions affect religious participation and beliefs. With religion viewed as an independent variable, a key issue is how religiosity affects individual characteristics, such as work ethic, honesty, and thrift, and thereby influences economic performance. In this paper, we sketch previous studies of this two-way interaction but focus on our ongoing quantitative research with international data.
Journal Article
Convergence and Modernisation
In a country panel since 1960, the estimated annual convergence rate for GDP is 1.7%, conditional on time-varying explanatory variables. With country fixed effects, the estimated convergence rate is misleadingly high. With data starting in 1870, country fixed effects are reasonable and the estimated convergence rate is 2.6%. Combining the two estimates suggests conditional convergence close to the 'iron-law' rate of 2%. With post-1960 data, estimation without country fixed effects reveals positive effects of GDP and schooling on law and order and democracy – consistent with the modernisation hypothesis. With post-1870 data, estimation without or with country fixed effects indicates modernisation.
Journal Article