A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
Date: 19 November
Time: 10:00am OTHER TIME ZONES HERE
Speaker: Hashem Pesaran (University of Southern California)
Paper: A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
Video: Link here
The paper presented in this seminar develops a threshold-augmented dynamic multi-country model (TGVAR) to quantify the macroeconomic effects of Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility at individual country levels in a significant majority of advanced economies and in the case of several emerging markets.
We estimate a more general multi-country model augmented with these threshold effects as well as long term interest rates, oil prices, exchange rates and equity returns to perform counterfactual analyses. We distinguish common global factors from trade-related spillovers and identify the Covid-19 shock using GDP growth forecast revisions of the IMF in 2020Q1. We account for sample uncertainty by bootstrapping the multi-country model estimated over four decades of quarterly observations.
The results found by the author show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long-lasting, with outcomes that are quite heterogenous across countries and regions. While the impact on China and other emerging Asian economies are estimated to be less severe, the United States, the United Kingdom, and several other advanced economies may experience deeper and longer-lasting effects. Non-Asian emerging markets stand out for their vulnerability. We show that no country is immune to the economic fallout of the pandemic because of global interconnections as evidenced by the case of Sweden. We also find that long-term interest rates could fall significantly below their recent lows in core advanced economies, but this does not seem to be the case in emerging markets.
Japan’s economic crisis and recovery
Day: 9 September 2020
Time: 5:00 pm AEST (4:00 pm JST)
Speakers: Toshitaka Sekine (Hitotsubashi University) and Sagiri Kitao (University of Tokyo)
Chair: Ippei Fujiwara
Video: Link here
This panel will discuss the economic crisis from the coronavirus pandemic and the recovery strategy for Japan. How does COVID-19 change the economic outlook in Japan? Does a relatively high rate of corporate savings in major Japanese firms put them in a better position than their foreign rivals? Will Japan’s large government debt and limited capacity for fiscal expansion constrain the recovery process?
Toshitaka Sekine is a Professor in the Asian Public Policy Program at Hitotsubashi University. Prior to taking up the current position, he spent 33 years as an economist at the Bank of Japan, as well as at the BIS and the IMF. He was the Director-General of the Research and Statistics Department, equivalent to the “Chief Economist” of the Bank of Japan from 2015 until 2019. His research includes inflation dynamics, exchange-rate pass-through, corporate investment, and bank lending behaviour. He received a BA from the University of Tokyo and a DPhil from Oxford University.
Sagiri Kitao is a Professor of Economics at the University of Tokyo. Her main research focus is on macroeconomics, and her research covers topics such as income taxation, wealth distribution and inequality, demographic transitions, and social security reforms. She is the recipient of the Nakahara prize given to the Japanese economist under the age of 45, whose work has gained international recognition in 2016. Previously she worked as Assistant Professor at the University of Southern California’s Marshall School of Business and Senior Economist at the Research Department of the Federal Reserve Bank of New York. She received BA in political science from Waseda University, a Master’s degree in Public Administration in International Development from the John F. Kennedy School of Government at Harvard University, and a Ph.D. in economics from New York University.
This event is hosted by the Australia Japan Research Centre, ANU Japan Institute and the Centre for Applied Macroeconomic Analysis.
Developing resilience to systemic hazards
Day: 27 August 2020
Time: 9:30 pm AEST - OTHER TIME ZONES HERE
Speakers: Ann Florini (clinical professor at the Thunderbird School of Global Management, Arizona State University) and Sunil Sharma (distinguished visiting scholar at the Elliott School of International Affairs, The George Washington University, and a senior associate at the Council on Economic Policies, Zurich, Switzerland)
Paper: Reckoning with systemic hazards
IMF podcast: https://www.imf.org/external/pubs/ft/fandd/2020/06/reckoning-with-system... and https://www.imf.org/en/News/Podcasts/All-Podcasts/2020/07/01/systemic-ha...
Video: Link here
Pandemics like Covid-19, economic crises, and environmental instability hit economies and societies hard, but we cannot predict precisely where or when. As politics, economics and natural systems become more complex, fragile and harder to manage, the world needs to develop strategies for resilience to such systemic hazards. Join Ann Florini and Sunil Sharma in a webinar to consider what principles and practices can build the resilience of our global society so desperately needs.
International economic cooperation post Covid-19: A discussion panel
Day: 23 July 2020
Time: 5:00 pm AEST - OTHER TIME ZONES HERE
Speakers: Cameron Hepburn (Oxford University), Beata Javorcik (Oxford University), Warwick McKibbin (ANU) and Christopher Adam (Oxford University)
Chair: David Vines (Oxford University)
Video: Link here
In the current global crisis, many people have called for the kind of international economic cooperation evident during and after the Global Financial Crisis, cooperation which has been sadly lacking since the outbreak of the Covid-19 epidemic. But what would such cooperation involve? Our four speakers will aim to provide some answers, drawing on papers forthcoming in a special issue of the Oxford Review of Economic Policy on Covid-19 Economics (see https://academic.oup.com/oxrep/pages/About). Cameron Hepburn, a former Australian Rhodes Scholar, is Professor of Environmental Economics at Oxford University and Director of Oxford’s Smith School of Enterprise and the Environment. He will speak on climate economics, the possibility of a green post-Covid recovery, and the UN Climate Change Conference, due to take place in Glasgow in November 2021 (COP26). Beata Javorcik is Professor of Economics at All Souls College, Oxford, and currently Chief Economist at the European Bank for Reconstruction and Development. She will discuss the severe contractions to trade finance already caused by Covid-19 and the resulting reductions in international trade, and will consider the protectionist pressures which Covid-19 is causing and the actions needed at the WTO to prevent these from gathering strength. Warwick McKibbin, AO, FASSA, is Professor of Public Policy and Director of the Centre for Applied Macroeconomic Analysis in the Crawford School of Public Policy at the Australian National University. He will talk about the enhanced fiscal support which is now required in many emerging market economies, measures which would parallel the fiscal support already provided by most advanced economies, but which financial markets have prevented from taking place. Warwick will also discuss the G20 leadership, and IMF backing, which would be needed if such policies were to be adopted. Christopher Adam is Professor of Development Economics at Oxford University, and a Visiting Scholar at the IMF. He is also a member of the research programme on macroeconomic policy in low-income countries, conducted jointly by the IMF and the UK’s Department for International Development. His talk will describe the very difficult macroeconomic adjustment which Covid is forcing on countries in sub-Saharan Africa, and outline the additional aid and debt relief which these countries now desperately need. The Panel will be chaired by David Vines, Director of the Globalisation and Trade program in CAMA, a graduate of Melbourne University, who is Emeritus Professor of Economics at Balliol College in Oxford. At the time of the Global Financial Crisis he was the Research Director of the European Union’s Framework Seven PEGGED Research Programme on Global Economic Governance which brought together a number of economists to provide policy advice during that earlier period of turmoil.
Data, data science and COVID-19
Day: 16 July 2020
Time: 9:30 am AEST - OTHER TIME ZONES HERE
Speakers: Anthony Goldbloom (CEO and founder of Kaggle, the world’s largest machine learning community), David Gruen (Australian Statistician and Agency Head of the Australian Bureau of Statistics), and Tara Sinclair (Associate Professor at George Washington University and Senior Fellow of the Indeed Hiring Lab)
Video: Link here
The pace of evolution of COVID-19 has meant the need for new data and methods of analysing data more urgently than ever before. Our speakers are Anthony Goldbloom (CEO and founder of Kaggle, the world’s largest machine learning community), David Gruen (Australian Statistician and Agency Head of the Australian Bureau of Statistics), and Tara Sinclair (Associate Professor at George Washington University and Senior Fellow of the Indeed Hiring Lab). Kaggle sets challenges related to COVID-19 for the machine learning community to solve, including a challenge sponsored by the White House. The Australian Bureau of Statistics has rapidly developed new statistical products to meet critical COVID-19 information needs, and economists and policymakers are looking to private sector data, such as real-time granular data on the labour market, for timely insights in these unprecedented times. Our speakers will share their substantial experience in their critical roles being on the frontline of COVID-19 and managing data.
Checking the path towards recovery from the COVID-19 response
The paper presented in this seminar examines the impact of the behavioral changes and governments’ responses to the spread of the COVID-19 pandemic using a unique dataset of daily private forecasters’ expectations on a sample of 32 emerging and advanced economies from January 1 till April 13, 2020. Enrique documents three important lessons from the data: First, there is evidence of a relation between the stringency of the policy interventions and the health outcomes consistent with slowing down the spread of the pandemic. Second, the author finds robust evidence that private forecasters have come to anticipate a sizeable contraction in economic activity followed by a check mark recovery as a result of the governments’ increasingly stringent response. The evidence suggests also that workplace restrictions have further contributed to the downturn and to the subsequent sluggish recovery—opening up the question about the costs of tighter work restrictions. Finally, the author argues inflation expectations have not changed significantly so far. Through the lens of the neoclassical growth model, these changes in macro expectations can result from the resulting work disruptions and the potential productivity slowdown from the gradual de-escalation of the confinement.
Deploying stimulus for a better world
Economic recovery from COVID19 will require a massive global stimulus. Join Barbara Buchner (Climate Policy Initiative), Frank Jotzo (ANU) and Adele Morris (Brookings Institution) in a discussion on how the required stimulus presents an opportunity for governments to address the pressing need for solutions to climate change, while at the same time supporting economic recovery.
Global economic impacts of COVID-19
The World Bank recently released the Global Economic Prospects Report, and the IMF will release its World Economic Outlook Report on the day of this webinar. Both focus on the economic impacts of COVID-19 on the global economy. Meanwhile, Roshen Fernando and Warwick McKibbin have updated their scenarios of the progression of the pandemic on economic outcomes. Join the panel discussion featuring Ayhan Kose of the World Bank, John Bluedorn of the IMF and Warwick McKibbin from the ANU as they share their insights into likely economic outcomes of COVID-19.
Financial uncertainty and real activity: The good, the bad, and the ugly
The paper presented in this seminar quantifies the finance uncertainty multiplier (i.e., the magnifying effect of the real impact of uncertainty shocks due to financial frictions) by relying on two historical events related to the US economy, i.e., the large jump in financial uncertainty occurred in October 1987 (which was not accompanied by a deterioration of the credit supply conditions), and the comparable jump in financial uncertainty in September 2008 (which went hand-in-hand with an increase in financial stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to - these two dates, Giovanni estimates the finance uncertainty multiplier to be equal to 2, i.e., credit supply disruptions are found to double the negative output response to an uncertainty shock. The author then employs the model to estimate the overall economic cost of the COVID-19 uncertainty shock under different scenarios. The results point to the possibility of a cumulative yearly loss of industrial production as large as 31% if credit supply gets disrupted. Liquidity interventions that keep credit conditions as healthy as they were before the COVID-19 uncertainty shock are found to substantially reduce such loss.
Nowcasting the output gap
In this seminar Benjamin Wong will propose a way to directly nowcast the output gap using the Beveridge-Nelson decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach produces very similar estimates of the U.S. output gap to those based on a quarterly model, but it is able to provide timely updates to estimates within a quarter as higher-frequency data become available. The author finds that the output gap nowcasts are much more reliable than those for output growth, with monthly indicators for a credit risk spread, consumer sentiment, and initial claims containing particularly useful information about the output gap. An out-of-sample analysis of the COVID-19 crisis anticipates huge declines in the U.S. output gap in the first half of 2020 before quarterly real GDP is observed, with a scenario nowcast given data up to April 2020 implying an output gap of -28.8% in 2020Q2.
COVID-19 and policy choices
Day: 4 June 2020
Time: 5:15 pm AEST - OTHER TIME ZONES HERE
Speakers: Daniel Rees (Bank for International Settlements), Hilde Bjornland (BI Norwegian Business School), James Morley (University of Sydney)
Program: Link here
Video: Link here
Countries have adopted wide-ranging policy responses to the COVID-19 outbreak prompting debate about the trade-offs between economic activity, a healthy population, and individual freedoms. Daniel Rees (Bank for International Settlements), Hilde Bjornland (BI Norwegian Business School), and James Morley (University of Sydney) will share their views on the trade-offs between growth, population containment, and health in a COVID world in a panel discussion on June 4, 2020.
Testing responses through agent-based epidemiology (TRACE)
Day: 28 May 2020
Time: 9:00 am AEST - OTHER TIME ZONES HERE
Speaker: Ross Hammond, Brookings Institution, Washington DC
Additional information about the TRACE project can be found at:
Launch COVID-19 and the Macroeconomy Research Program
To celebrate the launch of the new research program “COVID-19 and the macroeconomy” in the Centre for Applied Macroeconomic Analysis a zoom panel is planned for Tuesday, May 19, 2020. Warwick McKibbin will present his new results with Roshen Fernando on the global economic consequences of the pandemic based on new data on how the crisis is unfolding. Renee Fry-McKibbin will then Chair a panel consisting of CAMA research associates Creina Day (Australian National University), Francesco Ravazzolo (Free University of Bozen-Bolzano, Italy), Anella Munro (Asia School of Business, Malaysia), Joaquin Vespignani (University of Tasmania) and Warwick McKibbin in a discussion of the longer-term issues going forward for the macroeconomy as the world recovers from the pandemic and economic crisis.
MMCN Webinar Series: “The Global Macroeconomic Impacts of COVID-19: Seven Scenarios”
Day: 19 May 2020
Speaker: Warwick McKibbin and Roshen Fernando
The MMCN Webinar series is being launched under the auspices of the CEPR Network on Macroeconomic Modelling and Model Comparison (MMCN) and the Macroeconomic Model Comparison Initiative supported by the IMFS at Goethe University Frankfurt and the Hoover Institution at Stanford University.