Demand Management and Exchange Rate Policy: The Italian Experience - Reply to Comments by Gandolfo and Padoan
  • 1 0000000404811396https://isni.org/isni/0000000404811396International Monetary Fund

Some of the points raised by Gandolfo and Padoan concerning the model of the Italian economy that was published in Staff Papers (March 1981) arise from misunderstandings caused by the concise presentation of the model.1 Others are more substantive. In either case, I welcome the possibility of some clarification.

Abstract

Some of the points raised by Gandolfo and Padoan concerning the model of the Italian economy that was published in Staff Papers (March 1981) arise from misunderstandings caused by the concise presentation of the model.1 Others are more substantive. In either case, I welcome the possibility of some clarification.

Some of the points raised by Gandolfo and Padoan concerning the model of the Italian economy that was published in Staff Papers (March 1981) arise from misunderstandings caused by the concise presentation of the model.1 Others are more substantive. In either case, I welcome the possibility of some clarification.

This reply is divided into two sections, one commenting on the theoretical aspects and the other commenting on the estimation results and the simulations, corresponding to the comments of Gandolfo and Padoan.

I. Discussion of the Theoretical Framework

Gandolfo and Padoan argue that the demand equations for different financial assets are misspecified in the model because the scale variable, wealth, is excluded from the demand for currency and the demand function for each financial asset is not assumed to be a function of the whole structure of interest rates. A theoretical model of the financial sector of an economy can be specified that includes the same variables in all equations and satisfies all the across-equation restrictions derived from standard portfolio models. In econometric work, however, it is necessary to compromise with the quality and availability of the data, the changes in the structure of the financial system, and the difficulties of estimation, which increase with the size of the models. In particular, initial attempts to estimate the demand for currency showed that wealth was not a significant explanatory variable, while income was. This is not surprising, considering that the transactions motive prevails in the demand for currency.

The term structure of interest rates is included implicitly, since the model contains four domestic rates and one foreign rate—not just two as stated by Gandolfo and Padoan. These represent rates on assets of different average maturity, but only the interest rate on government bonds is endogenous, so that the term structure is rudimentary. However, for the period 1973-78 (the flexible exchange rate period), the model was re-estimated with both the treasury bill and the government bond rate endogenous, so that at least part of the term structure is endogenous for the flexible exchange rate period. The specification of the model during the fixed and flexible rate periods differed because the treasury bill market developed only in the 1970s.

Gandolfo and Padoan raise the question of whether some functions concerning financial assets are demand or supply functions. Equations (1’)-(5’) are clearly demand functions. For total bank deposits (TBD), however, a supply function is implicit in the commercial bank balance sheet—equation (25). This supply function is influenced by the level of interest rates, by the way that the government budget deficit is financed—equation (21), and by the balance of payments deficit—equation (23). As far as the lack of a supply function for currency is concerned, it is important to notice that the model explains currency in circulation outside banks, which is consistent with the exclusion of commercial banks from the definition of the private sector. Commercial banks are assumed to perform the function of residual buyers and sellers of currency to the nonbank private sector, which is a plausible assumption in the Italian context.

The comments by Gandolfo and Padoan on the specification of the net foreign asset position of commercial banks—equation (6)—are correct, since, as they state, in Italy “the net foreign asset position of commercial banks [BFB] is a variable that allows banks a certain freedom of action” but “in principle, [it] is also determined by regulations of the Bank of Italy.” If this constraint had not existed, the equation would have been specified as a desired demand function with a process of adjustment like that in other equations. Equation (6) simply reflects the hybrid nature of the net foreign asset position of Italian commercial banks described earlier. Attempts to estimate more general functions were unsuccessful.

The demand for net foreign assets by the private sector—equation (5’)—was estimated with the elasticity of wealth constrained to one, but the function included a trend term that implies that the share of net foreign assets increased over time. As Gandolfo and Padoan note, this implies that the model does not have a steady state—”a symptom of internal inconsistency in the model.” During the sample period, this share increased substantially, at about 1 per cent a year on average. See parameter p18, which reflects the substantial increase in commercial and financial integration of the Italian private sector with the rest of the world in the 1960s and 1970s. This implies that the Italian economy did not grow along a steady-state path in the sample period but that there was a slow structural change or a move from one steady- state path with a low degree of financial integration to another with a high one. Introducing this degree of realism into the model does not entail an internal inconsistency. The steady state of the model still exists, if the trend term is replaced by a constant that could reflect either the initial condition of the financial system or the final one after the structural change had taken place. More generally, the constant terms—the -y’s—should be defined as a function that takes account of the structural change of the economy. If it incorporates the forces that induce the structural change, the model would be able to explain the adjustment of the economy from one “steady state” to another. However, this solution introduces nonlinearities in the parameters that would render the estimation of the model almost impracticable and would detract from the main purpose of the paper.

In the real sector, inventories do not appear explicitly because they are included in consumption as in the official ISCO publication.2 An increase in aggregate demand thus affects output immediately, and the statement that output is demand determined in the short run is even more correct than for a model that explicitly takes inventory behavior of firms into account.

The rationale for the inclusion of the cyclical term in a number of equations—inflation (13), expected inflation (14), imports of manufactures (12), imports of other goods (11)—may be clarified. The above-mentioned equations are a linear approximation of an equation in which the adjustment parameter is a function of the cyclical term:

α=f(yINDyIND*eλ1t)(1)

Thus, the inclusion of the cyclical term (say, in the price equation) implies that the speed of adjustment of the price level to the partial-equilibrium price level p^ falls as the value added in industry approaches its steady-state level. This introduces more realism into the dynamic specification of the model.

Real private sector wealth and the real interest rate in the consumption function—equation (7’)—can be considered as a proxy for real permanent disposable income because of the/way in which real private wealth has been defined. It follows that disposable income is included as an argument in the consumption function, albeit in permanent form. The short-run side of the model strongly influences desired consumption, for instance, via the effect of changes in the price level on real wealth.

The supply side is based on a Cobb-Douglas production function, which underlies the investment function—equation (8’), the price-determination equation—equation (13’), and the demand for labor in industry—equation (16’). Gandolfo and Padoan argue that equation (13’) cannot be derived from a Cobb-Douglas production function. The Cobb-Douglas production function for the Italian industrial sector defined in the model is as follows:3

yIND=AKβ21L1β21(2)

Profit maximization implies that the marginal product of labor derived from equation (2) is equal to the real wage rate

yINDL=(1β21)yINDL=wpIND(3)

where pIND is the deflator of domestic value added in industry, a proxy for the price of all domestically produced goods. From equation (3), it follows that

pIND=w(1β21)(yIND/L)(3)

Defining the consumer price level as a geometric average of the price of domestically produced goods and import prices, one obtains

p=β34pINDpi1β34(4)

where β34 is the weight of domestically produced goods in the consumer price index. Substituting equation (3’) in equation (4) gives equation (13’), where

γ13=[11β21]β34

The derivation made above and a closer look at the equations in Table 24 also make it clear that the average products of labor or capital are always multiplied by their respective share to obtain the marginal products.5

Equation (16) implies that employment adjusts with a lag to the excess demand for labor, with supply adjusting instantly to demand. The latter is not an implausible assumption for the Italian economy, which was characterized during the sample period by an excess supply of labor owing to a large pool of the unemployed and to a large number of Italians working in neighboring countries. This hypothesis is also supported by the author’s inability to estimate a satisfactory supply function of labor and to find a significant impact of excess supply on employment or wages, despite numerous attempts.

Finally, from a theoretical point of view, a more satisfactory specification of the wage equation would explain the rate of change of nominal wages in terms of the discrepancy between partial-equilibrium demand and partial-equilibrium supply of labor.6 Equation (15”) is a plausible representation of wage determination in a country with very strong labor unions that have tended to fix wages above the level that would guarantee full employment. Moreover, equation (15”) is consistent with the hypothesis underlying equation (16’) that firms are profit maximizes in competitive markets, because firms can behave in one way and labor unions in another, by fixing wages at high levels and letting employment fall.

II. Discussion of the Estimates

My comments on the empirical points raised by Gandolfo and Padoan in their empirical section follow in the same order as in their note.

First, I accept the criticism on the lack of a table reporting the constant terms (the γ’s), which was due to limitations of space. The constant terms are, however, all included in the estimation.

Second, on the question of parameter restrictions, parameters can be constrained either on the basis of a priori considerations or, for elasticities of demand functions with respect to their scale variables, when they turn out in successive estimations to be not significantly different from one. This procedure makes the estimates of the remaining parameters more efficient, provided that the constraint is consistent with the data. It is on this basis that β1, β14, β23, β26 and β30 were constrained to one. The wealth elasticity in other asset demand functions (β7 and β1O) were not constrained to one because no similar empirical justification was suggested by the data. During the sample period, Italy did not grow along a steady-state path. There was a considerable increase in the relative importance of some assets in total financial wealth. Therefore, substantially different wealth elasticities and the addition of a trend term are justified by the development of financial markets during the period.7

Gandolfo and Padoan argue that “the values of the estimated adjustment velocities of some variables seem too low” and that “the discovery that prices (and some financial variables) have a slower adjustment velocity than quantities does not seem consistent with the behavior of the Italian economy in the period considered.” Is this statement based on their a priori beliefs or on previous empirical work? In the latter case, it should be pointed out that estimates of the speed of adjustment based on ordinary least-squares regressions of equations with lagged dependent variables are biased. The continuous time specification of the model eliminates this bias. In addition, the full-information maximum- likelihood simultaneous estimation takes care of the simultaneous equation bias.

Gandolfo and Padoan also argue that the way in which the flexible exchange rate version of the model is estimated is open to serious objections. Given the small number of observations for that period (only 27), it was not possible to estimate all 64 parameters of the 31-equation model. It would have been preferable to define a model to take account of both the fixed and flexible exchange rate periods, but this would have introduced a non- linearity and specifically would have involved the use of a switching function, which could not be eliminated by linearization. Although such models can be estimated,8 it would be difficult for a model of this size. The method used was chosen to allow the exchange rate to be made endogenous and to allow simulations to be performed under the flexible exchange rate regime.

Gandolfo and Padoan’s perplexity in observing an estimated contribution of imported inflation to consumer price inflation of 0.737 (1 - β34) as opposed to a weight of 0.263 (β34) of internal sources reflects a very mechanical view of the weight of imports in consumer prices. The proportion of imports in consumer goods is certainly much smaller than 0.737, but from an economic point of view the division between tradable and nontradable goods is more relevant, and the large weight of import prices in equation (13’) reflects the importance of tradable goods in Italy, that is, all goods that enter or could enter international trade. This much broader aggregate includes exported goods and all goods that could be exported.9 The same argument holds for the effect of import prices on expectations of inflation—equation (14).

The adjustment parameter (α14) in inflationary expectations was constrained to unity only after it was found to be not significantly different from one. It is plausible that inflationary expectations adjust much faster than does actual inflation. Gandolfo and Padoan are certainly correct that the series used to represent inflationary expectations is not perfect, but it is among the best available.

Finally, Gandolfo and Padoan consider that the simulations of the model do not seem to correspond to the behavior of the Italian economy in the 1970s. They suggest that casual observation of the effect of exchange rate depreciations on domestic inflation suggests much shorter lags than indicated by the model, and simulations performed with a smaller model of the real sector of the economy also suggest shorter lags (two-three years). The main problem with casual observation of exchange rate depreciations and accelerations of inflation is that both variables are determined by common factors, such as large budget deficits and the ensuing creation of money. Therefore, if it is observed that in a given year (say, 1976) the exchange rate depreciates and inflation accelerates, that does not tell us much about the effect of the exchange rate on domestic inflation, or about the speed with which prices react to the depreciation. Models in which the real and financial sectors are not integrated and in which fiscal variables are omitted (as is true of most of the estimated models of the Italian economy) exclude important transmission mechanisms, such as the effect of the destruction of financial wealth on consumption or fiscal drag. In the simulations reported in the paper, the paths of the exogenous variables are clearly stated, so that the behavior of the fiscal and monetary authorities in the years after the depreciation is explicit. This explains why a devaluation can cause a very long recession in the model. But the cyclical term in the price equation also contributes to the explanation of the long lags of domestic prices behind exchange rate changes. If the government kept gross domestic product on its steady-state path, inflation would react much faster. These considerations are crucial to an understanding of the stabilizing or destabilizing effect of fiscal and monetary policy.

III. Conclusion

I should like to thank Gandolfo and Padoan for their careful analysis of my model of the Italian economy and for giving me the opportunity to clarify some aspects of the model.

Their critical analysis is most welcome, especially if it will be followed by a similar deep scrutiny of other econometric models of the Italian economy. I hope that this will lead to a constructive exchange of views and eventually to an improvement in the quality of the work that is currently being done in Italy in both official institutions and universities.

ERRATA

The following revisions of the March 1981 issue of Staff Papers should be noted:

  1. On page 86, the penultimate sentence in the last full paragraph should read, “In the version of the model estimated from 1973 to 1978, the interest rate of treasury bills is also endogenous (equation (19)).”

  2. On page 88, the last sentence of the first full paragraph should read, “Since the average hourly product of labor multiplied by the share of labor is equal to the marginal product of labor if one assumes a Cobb-Douglas production function, the approach adopted here is also consistent with a neoclassical framework.”

  3. On page 106, equation (2’) should read
    c^=γ2yβ5eβ6rTIT
  4. On page 107, equation (16’) should read
    L^=γ16(wp)β39yINCβ40

SUMMARIES

Some Implications of North Sea Oil for the U.K. Economymarian e. bond and adalbert knÖbl (pages 363-97)

This paper examines some of the effects that the emergence of the United Kingdom as a major oil producer, together with the pursuit of firm financial policies as part of an anti-inflationary strategy, has had on the U.K. economy and, in particular, on the real exchange rate of the pound sterling, which appreciated by 45 per cent between 1977 and late 1981. The buildup of North Sea oil production and the rise in the real price of oil have led to a significant change in the structure of the U.K. economy. While the contribution of North Sea oil to the gross domestic product is moderate, most of the gains accrue to the balance of payments. Consequently, a relative shift of output away from other tradable (manufactured) goods and an increase in domestic absorption of imported goods has taken place through the appreciation of the real exchange rate.

A small dynamic macromodel of the United Kingdom has been constructed to assess the quantitative importance of North Sea oil production on the economy as well as the main effects of the anti-inflationary strategy. The results indicate that both direct and indirect effects of oil production on the real exchange rate and, consequently, on the manufacturing sector are large. The model is used to simulate effects of a change in the real price of oil and alternative fiscal and monetary policies on real income, manufactured output, inflation, and the real exchange rate. The simulated effects show that oil production and the rise in the real price of oil along with tight monetary policies were important determinants of the real appreciation of sterling; more than one half that appreciation of sterling between 1977 and late 1981 can be accounted for by developments in the oil sector. However, the relative tightness of monetary policy also exerted strong upward pressure on the real exchange rate, at least in the short run.

The results also indicate that a policy of financial restraint would be successful in reducing inflation, although its costs in the short term would be high, largely because inflationary expectations do not appear to adjust rapidly. The costs would, of course, be raised even higher by any emergence of cost pressures that were unrelated to monetary policy, as was true in the United Kingdom in 1979. Finally, the results suggest that a reduction in public spending would reduce economic growth in the first year, although growth would be boosted through increased activity in the private sector thereafter.

Adjustment in Planned Economiesmark allen (pages 398-421)

The paper shows how the physical process of adjustment in planned economies is reflected in financial variables. If the domestic supply and demand balance is improved, the balance of income and expenditure will show corresponding changes. The paper traces the interrelationship between the real and financial sides of the economy by looking at the effects of measures to increase supply, to reduce final consumption, to control investment (an item that frequently tends to get out of control in planned economies), and to reduce demand pressures on intermediate goods. The paper argues that to improve the financial performance of state enterprises, a major element in any adjustment effort, financial discipline must be increased and enterprise managers encouraged to be interested in their financial results.

The paper draws a distinction between forced adjustment, in which the supply and demand imbalance is suppressed, and fundamental adjustment, where the factors underlying the supply and demand are adjusted in order to bring them into balance. This analysis is extended from a closed to an open economy framework, and the difficulties of identifying intensified border restrictions are discussed. Setting both the level and structure of prices correctly, and in particular the exchange rate, can play a major supporting role in adjustment. A number of indicators are listed that might be useful in identifying the presence or degree of disequilibrium in planned economies. Finally, financial programming is discussed, and the relationship between monetary aggregates and adjustment is considered. The paper concludes that, while financial measures cannot be the main instruments of adjustment in such economies, it may be possible to use aggregate financial statistics to monitor adjustment.

The SDR as a Means of Paymentwarren l. coats, jr. (pages 422-36)

Before the special drawing right (SDR) can make much progress toward becoming an important reserve asset, it needs to be more readily and widely used as a means of payment. The development of arrangements for settling SDR-denominated payment instructions between commercial banks is an important ingredient in that wider use. Clearing arrangements take many forms, and over time the market tends to evolve several interconnected arrangements simultaneously, such that payments are cleared in the most economical manner. Thus, there is the coexistence of correspondent clearing banks, citywide or regional clearinghouses, and central bank clearing accounts. For the SDR, it is possible if not likely that market participants will evolve a role for the Fund’s official SDR in the clearing process similar to that played by central banks’ reserve or clearing accounts in settling domestic currency payments.

This paper explores one such possible arrangement; it would utilize movements of official SDRs between central banks as a means of making transfers of private SDRs between commercial banks in different countries. (In this context, official and private SDRs refer to SDRs allocated by the Fund and to SDR-denominated claims created by commercial banks, respectively.) The arrangement would require that central banks accept SDR-denominated clearing accounts from the commercial banks operating in their jurisdictions. These private SDR accounts of paying and receiving banks would be appropriately debited and credited with the counterpart in the Fund’s official SDRs moving from one central bank to another on the books of the Fund’s Special Drawing Rights Department.

Factor Prices in Industrial Countries—george kopits (pages 437-66)

This paper provides comprehensive and internationally comparable measures of the capital and labor prices that prevailed in Belgium, the Federal Republic of Germany, France, Italy, Japan, the Netherlands, the United Kingdom, and the United States in 1973 and 1978. The estimates explicitly incorporate key components of factor prices: in the price of capital input—the price of capital goods, the rate of depreciation, the cost of equity and debt finance, the expected rate of inflation, and the company income tax system; in the price of labor input—the wage rate and payroll taxes and subsidies. The conceptual underpinning of the estimates is drawn from the neoclassical theories of the firm and of exchange.

There are four broad implications of the empirical findings. First, the wide and systematic dispersion of factor prices suggests that capital and labor markets are far from being fully integrated in the industrial world, and even within the European Economic Community. The evidence suggests that there are significant welfare gains to be derived from further relaxation of existing impediments to international trade and factor flows.

Second, the strong inverse correlation between factor price and quantity ratios confirms the view that factor prices can be regarded as an indicator of relative factor endowment and, thus, of comparative advantage. From a different perspective, it can be inferred that policy instruments (regulations, taxes, subsidies) that alter factor prices tend to be effective in influencing capital formation and employment.

Third, given the relatively large share of the wage bill in factor costs, wage-related measures, along with the exchange rate, constitute probably the most important determinants of a country’s international competitiveness in the near term. Policies affecting the price of capital are likely to have a significant impact on competitiveness only over the longer term.

Fourth, the combination of increased payroll tax rates (mainly for social security) and liberalized investment incentives seems to have contributed significantly in many countries to a decline in the price of capital relative to the price of labor. Thus, besides the obvious effect on factor choice—biased against labor—the increased payroll tax burden indeed appears to pose a severe drag on these countries’ international competitiveness.

RESUMES

Le pétrole de la mer du Nord : ses effets sur l’économie du Royaume-Unimarian e. bond et adalbert knÖbl (pages 363-97)

La présente étude examine certains des effets que l’accession du Royaume- Uni au rang de grand producteur de pétrole et la poursuite d’une politique financière stricte faisant partie intégrante d’une stratégie anti-inflationniste ont eus sur l’économie britannique, et notamment sur le taux de change réel de la livre sterling, qui s’est apprécié de 45 % entre 1977 et la fin de 1981. L’expansion de la production pétrolière en mer du Nord et la hausse du prix réel du pétrole ont sensiblement modifié la structure de l’économie britannique. Si le produit intérieur brut ne profite que modérément du pétrole de la mer du Nord, la balance des paiements, quant à elle, en retire la plupart des avantages. C’est ainsi que, par suite de l’appréciation du taux de change réel, la production a quelque peu évolué, se détournant d’autres produits (manufacturés) échangeables et l’absorption intérieure de biens importés a augmenté.

On a construit un modèle macroéconomique dynamique pour le Royaume- Uni, de taille limitée, afin d’évaluer l’influence, en termes quantitatifs, de la production pétrolière de la mer du Nord sur l’économie du pays ainsi que les principaux effets de la stratégie anti-inflationniste. Les résultats montrent que la production pétrolière a eu une incidence marquée, tant directe qu’indirecte sur le taux de change réel et, par conséquent, sur le secteur manufacturier. Le modèle a servi à simuler les effets induits par une modification du prix réel du pétrole et par différentes mesures de politiques budgétaire et monétaire sur le revenu réel, la production de biens manufacturés, l’inflation et le taux de change réel. Il apparaît que la production pétrolière et l’augmentation du prix réel du pétrole, combinées à l’application d’une politique monétaire rigoureuse, ont fortement contribué à l’appréciation réelle de la livre sterling; plus de la moitié de l’appréciation enregistrée entre 1977 et la fin de 1981 s’explique par l’évolution du secteur pétrolier. Toutefois, l’orientation relativement restrictive de la politique monétaire a, elle aussi, exercé une forte pression à la hausse du taux de change réel, du moins dans le court terme.

Les résultats indiquent par ailleurs qu’une politique d’austérité financière diminuerait l’inflation mais que le coût dans le court terme en serait élevé du fait essentiellement que l’ajustement des anticipations inflationnistes ne semble pas s’opérer rapidement. Le prix à payer serait naturellement encore plus élevé en cas d’apparition de pressions sur les coûts qui ne seraient pas liées à la politique monétaire, comme ce fut le cas au Royaume-Uni en 1979. Enfin, les résultats montrent qu’une réduction des dépenses publiques ralentirait la croissance économique la première année mais que la croissance serait renforcée par la suite du fait d’une activité accrue dans le secteur privé.

L’ajustement dans les économies planifiéesmark allen (pages 398-421)

L’auteur de l’étude montre comment le processus d’ajustement matériel dans les économies planifiées se manifeste dans les variables financières. Si l’équilibre de l’offre et de la demande intérieures s’améliore, celui du revenu et des dépenses affichera des variations analogues. L’auteur montre également l’interdépendance qui existe entre les aspects réels et financiers de l’économie par l’examen des effets des mesures prises pour accroître l’offre, réduire la consommation finale, planifier l’investissement (élément qui échappe souvent au contrôle des autorités dans les économies planifiées) et alléger les pressions de la demande sur les biens intermédiaires. L’auteur estime que, pour améliorer les résultats financiers des entreprises d’Etat—un des éléments clés de tout pro-gramme d’ajustement—, il faut renforcer la discipline financière et encourager les chefs d’entreprise à s’intéresser à leurs résultats financiers.

L’auteur établit une distinction entre l’ajustement obligatoire, dans le cadre duquel on élimine le déséquilibre entre l’offre et la demande, et l’ajustement fondamental, dans le cadre duquel les autorités opèrent un ajustement des facteurs sous-jacents de l’offre et de la demande afin de les équilibrer. L’auteur examine successivement le cas d’une économie fermée et celui d’une économie ouverte, et les difficultés que l’on éprouve à identifier un durcissement des restrictions douanières. Un niveau raisonnable et une structure harmonieuse des prix, et en particulier du taux de change, peuvent jouer un rôle prépondérant dans l’ajustement. L’auteur énumère un certain nombre d’indicateurs susceptibles de contribuer à déceler la présence d’un déséquilibre, voire son am-pleur, dans les économies planifiées. Enfin, il analyse la programmation financière et les relations entre les agrégats monétaires et l’ajustement. L’auteur conclut son étude en affirmant que les variables financières ne sauraient être les principaux instruments de l’ajustement dans les économies planifiées, mais que l’on peut surveiller les progrès de l’ajustement à l’aide des statistiques financières globales de l’économie.

Le DTS en tant que moyen de paiementwarren l. coats, jr. (pages 422-36)

Pour que le droit de tirage spécial (DTS) puisse devenir un actif de réserve important, il faut que son utilisation comme moyen de paiement devienne plus facile et se généralise. La mise au point d’arrangements permettant de régler entre les banques commerciales les ordres de paiement libellés en DTS est une des conditions de cette utilisation élargie. Les systèmes de compensation se présentent sous différentes formes et, avec le temps, le marché tend à mettre en place plusieurs dispositifs qui sont simultanément interconnectés entre eux, afin que les paiements puissent être compensés de la façon la plus économique. C’est ainsi qu’on trouve à côté des banques de clearing, les chambres de compensation opérant à l’échelon d’une ville ou d’une région et les comptes de compensation de la banque centrale. Dans le cas du DTS, il est possible, sinon probable, que les participants au marché mettront au point pour le DTS officiel du Fonds un rôle dans le processus de compensation analogue à celui que les comptes de réserve ou de compensation auprès des banques centrales jouent dans le règlement des paiements intérieurs en monnaie.

La présente étude examine l’un des dispositifs possibles. Celui-ci utiliserait les mouvements de DTS officiels entre les banques centrales comme moyen pour effectuer les transferts de DTS privés entre des banques commerciales situées dans des pays différents. (A cet égard, on entend par DTS officiels et DTS privés, les DTS alloués par le Fonds et les titres de créance libellés en DTS créés par les banques commerciales, respectivement.) Dans ce dispositif, les banques centrales seraient tenues d’accepter l’ouverture de comptes de compensation libellés en DTS par les banques commerciales qui relèvent de leur autorité. Ces comptes en DTS privés des banques qui effectuent ou reçoivent des paiements seraient convenablement débités et crédités de la contrepartie constituée par les DTS officiels qui passent d’une banque centrale à l’autre dans les livres du Département des droits de tirage spéciaux du Fonds.

Le prix des facteurs dans les pays industrielsgeorge kopits (pages 437-66)

La présente étude a pour objet de mesurer—d’une façon qui soit détaillée et permettant d’établir des comparaisons entre pays—le prix du capital et celui du travail en Belgique, en République fédérale d’Allemagne, en France, en Italie, au Japon, aux Pays-Bas, au Royaume-Uni et aux Etats-Unis en 1973 et 1978. Les estimations prennent explicitement en compte certains éléments fondamentaux des prix des facteurs : pour le capital, ce sont le prix des biens d’équipement, le taux de dépréciation, le coût du capital de participation et celui du financement de la dette, le taux prévu d’inflation et le système d’imposition des sociétés; pour le travail, ce sont le taux des salaires, les subventions à l’emploi et la taxe sur les salaires. Le fondement théorique sur lequel ces estimations reposent est tiré de la théorie néoclassique de l’entreprise et des échanges.

Les résultats de cette étude empirique permettent de formuler quatre observations générales. Premièrement, la dispersion importante et systématique des prix des facteurs laisse à penser que le marché du capital et celui du travail sont loin d’être totalement intégrés dans les pays industrialisés et cela, même au sein de la Communauté économique européenne. Il apparaît à l’évidence que l’assouplissement des restrictions qui entravent encore les échanges internationaux et les mouvements des facteurs permettrait d’accroître sensiblement le bien-être.

Deuxièmement, l’étroite corrélation inverse qui existe entre le prix des facteurs et leur quantité relative corrobore la théorie selon laquelle le prix des facteurs peut-être considéré comme un indicateur de la dotation relative d’un pays en facteurs, et, par conséquent, de son avantage comparatif. Dans une autre optique, on peut en déduire que les instruments de politique (règlements, impôts, subventions) qui modifient les prix des facteurs sont généralement des outils efficaces pour agir sur la formation de capital et sur l’emploi.

Troisièmement, en raison de la part relativement importante que représente la masse salariale dans le coût des facteurs, les mesures relatives aux salaires et au taux de change sont probablement les instruments qui, à court terme, ont la plus grande incidence sur la compétitivité internationale d’un pays. Quant aux mesures qui agissent sur les prix du capital, leur incidence sur la compétitivité est susceptible de se faire sentir à long terme seulement.

Quatrièmement, par leur jeu conjugué, la hausse du taux de la taxe sur les salaires (principalement en ce qui concerne la sécurité sociale) et l’élargissement de l’incitation à l’investissement ont apparemment beaucoup contribué, dans maints pays, à la baisse du prix du capital par rapport à celui du travail. L’alourdissement du fardeau que représente la taxe sur les salaires—outre qu’il influence clairement le choix des facteurs au détriment de la main-d’oeuvre—ferait donc sérieusement obstacle à la compétitivé internationale de ces pays.

RESUMENES

Algunas consecuencias de la explotación del petróleo del mar del Norte para la economía del Reino Unidomarian e. bond y adalbert knobl (páginas 363-97)

En este trabajo se estudian algunos de los efectos que la transformación del Reino Unido en uno de los principales países productores de petróleo, junto con la aplicación de políticas financieras enérgicas como parte de una estrategia antiinflacionaria, ha tenido en la economía del Reino Unido y en particular en el tipo de cambio real de la libra esterlina, que se apreció un 45 por ciento entre 1977 y los últimos meses de 1981. El considerable aumento de la producción de petróleo en el mar del Norte y la subida del precio real de este producto han llevado a una transformación importante en la estructura de la economía del Reino Unido. Aunque la aportación del petróleo del mar del Norte al producto interno bruto no es grande, la mayoría de los beneficios se reflejan en la balanza de pagos. En consecuencia, mediante la apreciación del tipo de cambio real se ha producido un cambio en la composición de la producción, reduciéndose relativamente la producción de otros bienes comercializables (manufacturas) y aumentando la absorción interna de bienes importados.

Se ha elaborado un pequeño macromodelo dinámico del Reino Unido para evaluar la importancia cuantitativa de la producción de petróleo del mar del Norte en la economía, y los principales efectos de la estrategia antiinflacionaria. Los resultados señalan que son considerables los efectos tanto directos como indirectos de la producción de petróleo en el tipo de cambio real y, por tanto, en el sector manufacturero. El modelo se emplea para simular los efectos de una variación del precio real del petróleo y de diferentes políticas fiscales y monetarias en la renta real, la producción de manufacturas, la inflación y el tipo de cambio real. Los efectos simulados muestran que la producción de petróleo y el aumento de su precio real, combinados con políticas monetarias restrictivas, fueron factores determinantes importantes de la apreciación real de la libra esterlina, ya que más de la mitad de la apreciación registrada entre 1977 y finales de 1981 puede atribuirse a la evolución del sector petrolero. Sin embargo, el grado relativamente alto de restricción de la política monetaria también ha ejercido una fuerte presión alcista sobre el tipo de cambio real, al menos a corto plazo.

Los resultados también indican que una política de restricción financiera lograría abatir la inflación, aunque a un costo elevado a corto plazo, principalmente porque las expectativas inflacionarias no parecen ajustarse rápidamente. Los costos se elevarían aún más, por supuesto, en el caso de aparecer presiones de costos que no tuvieran ninguna relación con la política monetaria, como ocurrió en el Reino Unido en 1979. Por último, los resultados indican que con una reducción del gasto público el crecimiento económico disminuiría durante el primer año, aunque luego cobraría impulso al intensificarse la actividad en el sector privado.

El ajuste en las economías planificadasmark allen (páginas 398-421)

En este estudio se muestra la forma en que el proceso físico de ajuste en las economías planificadas se refleja en las variables financieras. Si mejora el equilibrio entre la oferta y la demanda internas, el equilibrio entre ingreso y gasto registrará variaciones correlativas. En el estudio se describe la interrelación entre el aspecto real y el financiero de la economía examinando los efectos de las medidas adoptadas para incrementar la oferta, reducir el consumo final, controlar la inversión (que con frecuencia tiende a escapar al control en las economías planificadas) y reducir las presiones de la demanda de bienes intermedios. También se sostiene que para mejorar los resultados financieros de las empresas estatales, elemento importante en todo esfuerzo de ajuste, se debe hacer más estricta la disciplina financiera y estimular a los gerentes de empresas a interesarse por sus resultados financieros.

En el estudio se establece una distinción entre ajuste forzoso, en que se suprime el desequilibrio entre oferta y demanda, y ajuste fundamental, en que se ajustan los factores determinantes fundamentales de la oferta y la demanda a fin de equilibrarlos. Este análisis se transfiere de un marco económico cerrado a uno abierto, estudiándose las dificultades para identificar las restricciones intensificadas de frontera. Una determinación correcta del nivel y la estructura de precios, y en particular del tipo de cambio, puede desempeñar un papel importante de apoyo en el proceso de ajuste. Se enumeran diversos indicadores que pueden ser útiles para identificar la presencia o grado de desequilibrio en las economías planificadas. Finalmente, se aborda la cuestión de la programación financiera y la relación entre los agregados monetarios y el ajuste. En el estudio se llega a la conclusión de que, aunque las medidas financieras no pueden ser los instrumentos principales del ajuste en tales economías, quizás es posible utilizar las estadísticas financieras agregadas para vigilar el proceso de ajuste.

El DEG como medio de pagowarren l. coats, jr. (páginas 422-36)

Para que el derecho especial de giro (DEG) pueda avanzar realmente hacia el objetivo de convertirse en un activo de reserva importante, es necesario facilitar y ampliar su uso como medio de pago. A fin de ampliar este uso es importante establecer mecanismos institucionales para liquidar órdenes de pago denominadas en DEG entre bancos comerciales. El mecanismo de compensación puede adoptar numerosas modalidades, y con el tiempo el mercado tiende a producir simultáneamente varios mecanismos interrelacionados de manera que tales pagos se liquiden del modo más económico. Esto explica la coexistencia de bancos corresponsales de compensación, cámaras de compensación regionales o limitadas al ámbito de una ciudad, y cuentas de compensación de los bancos centrales. Es posible, incluso probable, que los participantes en el mercado vayan definiendo un papel concreto para los DEG oficiales del Fondo en el proceso de compensación, similar al que desempeñan las reservas que los bancos comerciales mantienen en los bancos centrales para la liquidación de los pagos en moneda nacional.

En este estudio se considera la posibilidad de un mecanismo de este tipo que utilizara las transacciones de DEG oficiales entre bancos centrales como medio de efectuar transferencias de DEG privados entre bancos comerciales de diferentes países. (En este contexto son DEG oficiales los asignados por el Fondo, y DEG privados, los títulos denominados en DEG creados por bancos comerciales.) Este mecanismo requeriría que los bancos centrales abrieran cuentas de compensación denominadas en DEG para los bancos comerciales que operan en sus jurisdicciones. Estas cuentas de DEG privados de los bancos pagadores y receptores se debitarían y acreditarían como correspondiese, asentándose la contrapartida en DEG oficiales del Fondo que pasan de un banco central a otro en los libros del Departamento de Derechos Especiales de Giro del Fondo.

Precios de los factores en los países industrialesgeorge kopits (páginas 437-66)

Este documento presenta mediciones globales e internacionalmente comparables de los precios del capital y el trabajo en Bélgica, Estados Unidos, Francia, Italia, Japón, los Países Bajos, Reino Unido y República Federal de Alemania en 1973 y 1978. Las estimaciones incorporan de manera explícita los componentes fundamentales de los precios de los factores de producción: en el precio del factor capital—el precio de los bienes de capital, la tasa de depreciación, el costo del financiamiento de capital y de la deuda, la tasa prevista de inflación y el sistema de impuestos sobre las utilidades de las empresas; en el precio del factor trabajo—las escalas de sueldos y salarios, los impuestos sobre la nómina y los subsidios. La base conceptual de estas estimaciones se halla en las teorías neoclásicas de la empresa y del intercambio.

De los resultados empíricos se deducen cuatro proposiciones generales. Primero, la amplia y sistemática dispersión de los precios de los factores indica que los mercados del capital y el trabajo aún distan mucho de la integración completa en el mundo industrial, e incluso en la Comunidad Económica Europea. Los datos hacen pensar que desde el punto de vista del bienestar sería muy provechoso continuar reduciendo los obstáculos existentes al comercio internacional y a las corrientes internacionales de los factores.

Segundo, la fuerte correlación inversa entre los precios de los factores y los coeficientes cuantitativos confirma la tesis de que los precios de los factores pueden considerarse un indicador de la disponibilidad relativa de factores y, por lo tanto, de la ventaja comparativa. Desde una perspectiva diferente, se puede inferir que los instrumentos de política (reglamentación, impuestos, subsidios) que alteran los precios de los factores tienden a influenciar efectivamente la formación de capital y el empleo.

Tercero, dado el peso relativamente grande de los costos salariales en el costo de los factores, las medidas relacionadas con los salarios, junto con el tipo de cambio, constituyen probablemente los determinantes más importantes de la competitividad internacional de un país a corto plazo. Las políticas que afectan a los precios del capital probablemente tienen efectos importantes en la competitividad sólo a más largo plazo.

Cuarto, la combinación de tasas impositivas cada vez más altas sobre la nómina de sueldos (principalmente con destino a la seguridad social) con generosos incentivos de inversión parece haber contribuido bastante en muchos países a reducir el precio del capital en relación con el precio del trabajo. Así, además del efecto evidente que ello puede tener en la selección de los factores—desfavorable al trabajo—la creciente carga de los impuestos sobre la nómina parece constituir un grave obstáculo para la competitividad internacional de estos países.

In statistical matter (except in the résumés and resúmenes) throughout this issue,

Dots (…) indicate that data are not available;

A dash (—) indicates that the figure is zero or less than half the final digit shown, or that the item does not exist;

A single dot (.) indicates decimals;

A comma (,) separates thousands and millions;

“Billion” means a thousand million;

A short dash (-) is used between years or months (e.g., 1977-79 or January-October) to indicate a total of the years or months inclusive of the beginning and ending years or months;

A stroke (/) is used between years (e.g., 1978/79) to indicate a fiscal year or a crop year;

Components of tables may not add to totals shown because of rounding.

International Monetary Fund, Washington, D.C. 20431 U.S.A.

Telephone number: 202 477 7000

Cable address: Interfund

*

Senior Advisor for International Monetary Affairs, Ministry of Budget and Planning, Rome.

1

For the basis of the published article, which contains a more detailed discussion of the specification of the model, the empirical results, and the data used, see Giuseppe Tullio, “A Quarterly Disequilibrium Model of the Italian Economy with Endogenous Exchange Rates” (unpublished, June 2, 1980). A copy is available upon request to the author, whose address is Ministero del Bilancio e della Programmazione Economica, Segretaria Generale Delia Programmazione, Via XX Settembre 97, 00187 Roma, Italy.

2

Istituto Nazionale per lo Studio della Congiuntura (ISCO), Conti economici trimestrali, Schema SEC, Serie Storiche 1960-76 (Rome, March 1977).

3

The same symbols and parameters are used here as in the article in Staff Papers, Vol. 28 (March 1981), pp. 80-117. (Hereinafter referred to as Staff Papers (March 1981).)

4

Staff Papers (March 1981), pp. 106-108.

5

As Gandolfo and Padoan state, there is a typographical error in the published paper: “… the average hourly product of labor is equal to the marginal product of labor if one assumes a Cobb-Douglas production function” (p. 88) should read “… the average hourly product of labor multiplied by the share of labor is equal to the marginal product of labor. …”

6

As mentioned earlier, difficulties arose in estimating the supply function of labor.

7

See also the discussion on the specification of the demand for net foreign assets in the preceding section.

8

See Clifford R. Wymer, “The Use of Continuous Time Models in Economics” (unpublished, 1979).

9

In the Scandinavian model of inflation, the relevant economic division woul. be the one betweeen the sheltered and the nonsheltered sectors.