American Economic Association Nashville, TN 1945-7707 1945-7715 American Economic Journal: Macroeconomics http://www.aeaweb.org/aej-macro/ 4 3 July 2012 http://www.aeaweb.org/issue.php?journal=MAC&volume=4&issue=3 Journal Article Front Matter i vi http://www.aeaweb.org/articles.php?doi=10.1257/mac.4.3.i 10.1257/mac.4.3.i American Economic Association Nashville, TN 1945-7707 1945-7715 American Economic Journal: Macroeconomics http://www.aeaweb.org/aej-macro/ 4 3 July 2012 http://www.aeaweb.org/issue.php?journal=MAC&volume=4&issue=3 Articles Sticky Wages: Evidence from Quarterly Microeconomic Data HerveLe BihanBank of France JeremiMontornesBank of France ThomasHeckelBNP Paribas Asset Management, London 1 32 Using an original micro-dataset from France, we investigate nominal wage stickiness. Nominal wage changes are found to occur at a quarterly frequency of around 38 percent over our sample period, and to be to a large extent staggered across establishments, and very synchronized within establishments. We carry out an econometric analysis of wage changes based on a two-threshold sample selection model. Our results are that the timing of wage adjustments is time-dependent as opposed to state-dependent, there is evidence of predetermination in wage changes, and both backward and forward-looking behavior is relevant in wage setting. (JEL E24, E52, J31) http://www.aeaweb.org/articles.php?doi=10.1257/mac.4.3.1 10.1257/mac.4.3.1 http://www.aeaweb.org/aej/mac/data/2010-0157_data.zip http://www.aeaweb.org/aej/mac/app/2010-0157_app.pdf American Economic Association Nashville, TN 1945-7707 1945-7715 American Economic Journal: Macroeconomics http://www.aeaweb.org/aej-macro/ 4 3 July 2012 http://www.aeaweb.org/issue.php?journal=MAC&volume=4&issue=3 Articles Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle CosminIlutDuke U 33 65 High interest rate currencies tend to appreciate in the future relative to low interest rate currencies instead of depreciating as uncovered interest parity (UIP) predicts. I construct a model of exchange rate determination in which ambiguity-averse agents face a dynamic filtering problem featuring signals of uncertain precision. Solving a max-min problem, agents act upon a worst-case signal precision and systematically underestimate the hidden state that controls payoffs. Thus, on average, agents next periods perceive positive innovations, which generates an upward re-evaluation of the strategy's profitability and implies ex post departures from UIP. The model also produces predictable expectational errors, negative skewness, and time-series momentum for currency speculation payoffs. (JEL D81, F31, G15) http://www.aeaweb.org/articles.php?doi=10.1257/mac.4.3.33 10.1257/mac.4.3.33 http://www.aeaweb.org/aej/mac/data/2011-0075_data.zip http://www.aeaweb.org/aej/mac/app/2011-0075_app.pdf American Economic Association Nashville, TN 1945-7707 1945-7715 American Economic Journal: Macroeconomics http://www.aeaweb.org/aej-macro/ 4 3 July 2012 http://www.aeaweb.org/issue.php?journal=MAC&volume=4&issue=3 Articles Temperature Shocks and Economic Growth: Evidence from the Last Half Century MelissaDellMIT Benjamin F.JonesNorthwestern U Benjamin A.OlkenMIT 66 95 This paper uses historical fluctuations in temperature within countries to identify its effects on aggregate economic outcomes. We find three primary results. First, higher temperatures substantially reduce economic growth in poor countries. Second, higher temperatures may reduce growth rates, not just the level of output. Third, higher temperatures have wide-ranging effects, reducing agricultural output, industrial output, and political stability. These findings inform debates over climate's role in economic development and suggest the possibility of substantial negative impacts of higher temperatures on poor countries. (JEL E23, O13, Q54, Q56) http://www.aeaweb.org/articles.php?doi=10.1257/mac.4.3.66 10.1257/mac.4.3.66 http://www.aeaweb.org/aej/mac/data/2010-0092_data.zip http://www.aeaweb.org/aej/mac/app/2010-0092_app.pdf American Economic Association Nashville, TN 1945-7707 1945-7715 American Economic Journal: Macroeconomics http://www.aeaweb.org/aej-macro/ 4 3 July 2012 http://www.aeaweb.org/issue.php?journal=MAC&volume=4&issue=3 Articles Social Security Reforms: Benefit Claiming, Labor Force Participation, and Long-Run Sustainability SelahattinImrohorogluU Southern CA SagiriKitaoHunter College, CUNY 96 127 This paper develops a general equilibrium life-cycle model with endogenous labor supply in both intensive and extensive margins, consumption, saving, and benefit claiming to measure the long-run effects of a proposed Social Security reform. Agents in the model face medical expenditure, wage, health, and survival shocks. Raising the normal retirement age by two years increases labor supply by 2.8 percent and the capital stock by 12.6 percent, showing that both margins of adjustment are critical. General equilibrium effects are important to account for the effects of reform on savings, although the effects on labor supply are less important. (JEL D91, E21, H55, I13, J22) http://www.aeaweb.org/articles.php?doi=10.1257/mac.4.3.96 10.1257/mac.4.3.96 http://www.aeaweb.org/aej/mac/data/2011-0038_data.zip American Economic Association Nashville, TN 1945-7707 1945-7715 American Economic Journal: Macroeconomics http://www.aeaweb.org/aej-macro/ 4 3 July 2012 http://www.aeaweb.org/issue.php?journal=MAC&volume=4&issue=3 Articles The Cyclicality of Skill Acquisition: Evidence from Panel Data FabioMendezU AR FacundoSepulvedaU Santiago de Chile 128 52 This paper presents new empirical evidence regarding the cyclicality of skill acquisition activities. The paper studies both training and schooling episodes at the individual level using quarterly data from the NLSY79 for a period of 19 years. We find that aggregate schooling is strongly countercyclical, while aggregate training is acyclical. Several training categories, however, behave procyclically. The results also indicate that firm-financed training is procyclical, while training financed through other means is countercyclical; and that the cyclicality of skill acquisition investments depends significantly on the educational level and the employment status of the individual. (JEL E24, E32, I20, J24) http://www.aeaweb.org/articles.php?doi=10.1257/mac.4.3.128 10.1257/mac.4.3.128 http://www.aeaweb.org/aej/mac/data/2010-0168_data.zip http://www.aeaweb.org/aej/mac/app/2010-0168_app.pdf American Economic Association Nashville, TN 1945-7707 1945-7715 American Economic Journal: Macroeconomics http://www.aeaweb.org/aej-macro/ 4 3 July 2012 http://www.aeaweb.org/issue.php?journal=MAC&volume=4&issue=3 Articles A Quantitative Theory of Information and Unsecured Credit KartikAthreyaFederal Reserve Bank of Richmond Xuan S.TamU Cambridge Eric R.YoungU VA 153 83 Important changes have occurred in unsecured credit markets over the past three decades. Most prominently, there have been large increases in aggregate consumer debt, the personal bankruptcy rate, the size of bankruptcies, the dispersion of interest rates paid by borrowers, and the relative discount received by those with good credit ratings. We find that improvements in information available to lenders on household-level costs of bankruptcy can account for a significant fraction of what has been observed. The ex ante welfare gains from better information are positive but small. (JEL D14, D82, G21) http://www.aeaweb.org/articles.php?doi=10.1257/mac.4.3.153 10.1257/mac.4.3.153 http://www.aeaweb.org/aej/mac/data/2009-0169_data.zip http://www.aeaweb.org/aej/mac/app/2009-0169_app.pdf American Economic Association Nashville, TN 1945-7707 1945-7715 American Economic Journal: Macroeconomics http://www.aeaweb.org/aej-macro/ 4 3 July 2012 http://www.aeaweb.org/issue.php?journal=MAC&volume=4&issue=3 Articles Speculative Bubbles and Financial Crises PengfeiWangHong Kong U Science and Technology YiWenFederal Reserve Bank of St Louis 184 221 Are asset prices unduly volatile and often detached from their fundamentals? Does the bursting of financial bubbles depress the real economy? This paper addresses these issues by constructing a DSGE model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic values, can carry bubbles, and agents are willing to invest in such bubbles despite their positive probability of bursting. The results show that systemic risk, commonly perceived changes in the bubble's probability of bursting, can generate boom-bust cycles with hump-shaped output dynamics and produce asset price movements many times more volatile than the economy's fundamentals. (JEL E13, E23, E32, E44, G01, G12). http://www.aeaweb.org/articles.php?doi=10.1257/mac.4.3.184 10.1257/mac.4.3.184 http://www.aeaweb.org/aej/mac/data/2010-0074_data.zip