kmakarski

kmakarski's picture

Krzysztof
Makarski

 

Katedra Ekonomii Ilościowej, Szkoła Główna Handlowa
Departament Badań Ekonomicznych, Narodowy Bank Polski


Chair of Quantitative Economics, Warsaw School of Economics
Economic Research Department, Narodowy Bank Polski





Opublikowane | Published

2019
On welfare effects of increasing retirement age | Journal of Policy Modelling

We develop an OLG model with realistic assumptions about longevity to analyze the welfare effects of raising the retirement age. We look at a scenario where an economy has a pay-as-you-go defined benefit scheme and compare it to a scenario with defined contribution schemes (funded or notional). We show that, initially, in both types of pension system schemes the majority of welfare effects comes from adjustments in taxes and/or prices. After the transition period, welfare effects are predominantly generated by the preference for smoothing inherent in many widely used models. We also show that although incentives differ between defined benefit and defined contribution systems, the welfare effects are of comparable magnitude under both schemes. We provide an explanation for this counter-intuitive result.

An earlier version of this text was circulated under a title "Does social security reform reduce gains from increasing the retirement age?". This earlier version was coauthored by Karolina Goraus.

Joanna
Tyrowicz
Krzysztof
Makarski
Inequality in an OLG economy with intra-cohort heterogeneity and an obligatory pension system | Journal of Economic Inequality

While the inequalities of endowments are widely recognized as areas of policy intervention, the dispersion in preferences may also imply inequalities of outcomes. In this paper, we analyze the inequalities in an OLG model with obligatory pension systems. We model both policy relevant pension systems (a defined benefit system — DB — and a transition from a DB to a defined contribution system, DC). We introduce within cohort heterogeneity of endowments (individual productivities) and heterogeneity of preferences (preference for leisure and time preference). We introduce two policy instruments, which are widely used: a contribution cap and a minimum pension. In theory these instruments affect both the incentives to work and the incentives to save for the retirement with different strength and via different channels, but the actual effect attributable to these policy instruments cannot be judged in an environment with a single representative agent. We show four main results. First, longevity increases aggregate consumption inequalities substantially in both pension systems, whereas the effect of a pension system reform works to reinforce the consumption inequalities and reduce the wealth inequalities. Second, the contribution cap has negligible effect on inequalities, but the role for minimum pension benefit guarantee is more pronounced. Third, the reduction in inequalities due to minimum pension benefit guarantee is achieved with virtually no effect on capital accumulation. Finally, the minimum pension benefit guarantee addresses mostly the inequalities which stem from differentiated endowments and not those that stem from differentiated preferences.

Our data are shared here.

Joanna
Tyrowicz
Krzysztof
Makarski
Illusory Gains from Privatizing Social Security when Reform is Politically Unstable | Peace Economics, Peace Science and Public Policy

With compulsory funded public social security systems, pension savings constitute a large stock of assets. In this paper we consider an economy populated by overlapping generations, which may decide about abolishing the funded system and replacing it with the pay-as-you-go scheme (i.e. unprivatizing the pension system). We compare politically stable as well as politically unstable reforms and show that even if the funded system is overall welfare enhancing, the cohort distribution of benefits along the transition path may turn privatizing social security politically unsustainable.

Joanna
Tyrowicz
Krzysztof
Makarski
Monetary and macroprudential policy with foreign currency loans | Journal of Macroeconomics
In a number of countries a substantial proportion of mortgage loans is denominated in foreign currency. In this paper we demonstrate how their presence affects economic policy and agents’ welfare. To this end we construct a small open economy model with housing loans denominated in domestic or foreign currency. The model is calibrated for Poland - a typical small open economy with a large share of foreign currency loans (FCL). We show that FCLs negatively affect the transmission of monetary policy. In contrast, their impact on the effectiveness of macroprudential policy is much weaker but positive. We also demonstrate that FCLs increase welfare when domestic interest rate shocks prevail and decrease it when risk premium (exchange rate) shocks dominate. Under a realistic calibration of the stochastic environment FCLs are welfare reducing. Finally, we show that regulatory policies that correct the share of FCLs may cause a short term slowdown.
Krzysztof
Makarski
Analyzing the effciency of the pension reform: the role for the welfare effects of fiscal closures | Macroeconomic Dynamics

Pension system reforms involve fiscal consequences. In practice, a variety of fiscal closures may be implemented, while not all of them involve the same extent of distortions. This paper develops an overlapping generations model to analyze the case of a shift from pay-as-you-go defined benefit system to a partly funded defined contribution system. We calibrate the system to mimic the economy of Poland, which actually implemented such reform in 1999. We analyze the efficiency of the reform with two main closure types: public debt and taxes. Regardless of the fiscal closure scenario this particular reform seems to be efficient in terms of welfare and enhances economic performance. Comparing the welfare of various closures we find that while labor taxation yields relatively higher welfare gain, public debt closure involves least need for the redistribution if capital pillar is to be implemented.

This paper was awarded Joseph A. Schumpeter Prize from Deutsche Bundesbank.

Joanna
Tyrowicz
Krzysztof
Makarski
Jan
Hagemejer
Reforming retirement age in DB and DC pension systems in an aging OLG economy with heterogenous agents | IZA Journal of Labor Policy

We analyze the effects of increasing the retirement age in two economies with overlapping generations and within cohort ex ante heterogeneity. The first economy has a defined benefit system and the second economy is in transition from a defined benefit to a defined contribution. We find that if increase in the retirement age is phased in a way that allows agents to adjust, welfare is not reduced and welfare effects have a similar magnitude and between cohort distribution in both types of the pension systems.

Joanna
Tyrowicz
Krzysztof
Makarski
Marcin
Bielecki
A penalty function approach to occasionally binding credit constraints | Economic Modelling

Empirical evidence suggests that contractionary monetary and macroprudential policies have stronger effects than expansionary ones. We introduce this feature into a structural DSGE model with financial frictions. The asymmetry results from the assumption of occasionally binding credit constraints which we introduce via a penalty function. Our simulations show that a large loan-to-value ratio (our macroprudential tool) tightening can have a much stronger impact on the economy than a loosening of the same size. In contrast, small policy innovations, whether expansionary or contractionary, have effects of almost equal magnitude. Our approach provides an interesting way of modeling asymmetric effects of financial frictions for policy purposes.

Krzysztof
Makarski
Macroprudential Policy and Imbalances in the Euro Area | Journal of International Money and Finance

Since its creation the euro area suffered from imbalances between its core and peripheral members. This paper checks whether macroprudential policy applied to the peripheral countries could contribute to providing more macroeconomic stability in this region. To this end we build a two economy macrofinancial DSGE model and simulate the effects of macroprudential policies under the assumption of asymmetric shocks hitting the core and the periphery. We find that macroprudential policy is able to partly make up for the loss of independent monetary policy in the periphery. Moreover, LTV policy seems more efficient than regulating capital adequacy ratios. However, for the policies to be effective, they must be set individually for each region. Area-wide policy is almost ineffective in this respect.

Krzysztof
Makarski
Unprivatizing the pension system: The case of Poland | Applied Economics | Applied Economics

In many countries, the fiscal tension associated with the global financial crisis brings about the discussion about unprivatizing the social security system. This article employs an Overlapping Generations model to assess ex ante the effects of such changes to the pension reform in Poland from 1999 as implemented in 2011 and in 2013. We simulate the behaviour of the economy without the implemented/proposed changes and compare it to a status quo defined by the reform from 1999. We find that the changes implemented in 2011 and in 2013 are detrimental to welfare. The effects on capital and output are small and depend on the selected fiscal closure. Implied effective replacement rates are lower. These findings are robust to time inconsistency. The shortsightedness of the governments imposes welfare costs.

Joanna
Tyrowicz
Krzysztof
Makarski
Jan
Hagemejer
Small assumptions (can) have a large bearing: evaluating pension system reforms with OLG models | Economic Modelling

The objective of this paper is to inquire the consequences of some simplifying assumptions typically made in the overlapping generations (OLG) models of pension systems and pension system reforms. This literature is largely driven by policy motivations. Consequently, the majority of the papers is extremely detailed in the dimension under scrutiny. On the other hand, complexity of general equilibrium OLG modeling necessitates some simplifications in the model. We run a series of experiments in which the same reform in the same economy is modeled with six different sets of assumptions concerning the shape of the utility function, time inconsistency, bequests? redistribution, labor supply decisions and internalizing the linkage between social security contributions and benefits in these decisions as well as public spending. We find that these assumptions significantly affect both the size and the sign of the macroeconomic and welfare measures of policy effects with the order of magnitude comparable to the reform itself.

Joanna
Tyrowicz
Krzysztof
Makarski
Jan
Hagemejer
Karolina
Goraus
Marcin
Bielecki
Assessing macro-financial linkages: A model comparison exercise | Economic Modelling

The recent global financial crisis has increased interest in macroeconomic models that incorporate financial linkages. Here, we compare the simulation properties of five mediumsized general equilibrium models used in Eurosystem central banks which incorporate such linkages. The financial frictions typically considered are the financial accelerator mechanism (convex \spread costs related to firms' leverage ratios) and collateral constraints (based on asset values). The harmonized shocks we consider illustrate the workings and mechanisms underlying the financial-macro linkages embodied in the models. We also look at historical shock decompositions of real GDP growth across the models since 2005 in order to shed light on the common driving factors underlying the recent financial crisis. In these exercises, the models share qualitatively similar and interpretable features. This gives us confidence that we have some broad understanding of the mechanisms involved. In addition, we also survey the current and developing trends in the literature on financial frictions.

Krzysztof
Makarski
The anatomy of standard DSGE models with financial frictions | Journal of Economic Dynamics and Control

We compare two standard extensions to the New Keynesian framework that feature financial frictions. The first model, originating from Kiyotaki and Moore (1997), is based on collateral constraints. The second, developed by Carlstrom and Fuerst (1997) and Bernanke et al. (1999), accentuates the role of external finance premia. We tweak the models and calibrate them in a way that allows for both qualitative and quantitative comparisons. Next, we thoroughly analyze the two variants using moment matching, impulse response analysis and business cycle accounting. Overall, we find that the business cycle properties of the external finance premium framework are more in line with empirical evidence. In particular, the collateral constraint model fails to produce hump-shaped impulse responses and generates volatilities of the price of capital and rate of return on capital that are inconsistent with the data by a large margin.

Krzysztof
Makarski
The business cycle implications of the euro adoption in Poland | Applied Economics

This article analyses the macroeconomic impact of the loss of autonomous monetary policy after the euro adoption in Poland. Using a two-country Dynamic Stochastic General Equilibrium (DSGE) model with sticky prices and wages, we find that the euro adoption will have a noticeable impact on the magnitude of economic fluctuations. In particular, the volatility of output, interest rate, consumption and employment is expected to increase while the volatility of inflation should decrease. Also, in order to quantify the effect of the euro adoption, we compute the welfare effect of this monetary policy change. Our findings suggest that the welfare cost is not large.

Krzysztof
Makarski
Monetary policy in a non-representative agent economy: A survey | Journal of Economic Surveys

It is well known that central bank policies affect not only macroeconomic aggregates, but also their distribution across economic agents. Similarly, a number of papers demonstrated that heterogeneity of agents may matter for the transmission of monetary policy to macro variables. Despite this, the mainstream monetary economics literature has so far been dominated by dynamic stochastic general equilibrium models with representative agents. This paper aims to tilt this imbalance towards heterogeneous agents setups by surveying the main positive and normative findings of this line of the literature, and suggesting areas in which these models could be implemented. In particular, we review studies that analyse the heterogeneity of (i) households’ income, (ii) households’ preferences, (iii) consumers’ age, (iv) expectations and (v) firms’ productivity and financial position. We highlight the results on issues that, by construction, cannot be investigated in a representative agent framework and discuss important papers modifying the findings from the representative agent literature.

Krzysztof
Makarski
Credit crunch in a small open economy | Journal of International Money and Finance

We construct an open-economy DSGE model with a banking sector to analyze the impact of the recent credit crunch on a small open economy. In our model the banking sector operates under monopolistic competition, collects deposits and grants collateralized loans. Collateral effects amplify monetary policy actions, interest rate stickiness dampens the transmission of interest rates, and financial shocks generate non-negligible real and nominal effects. As an application we estimate the model for Poland–a typical small open economy. According to the results, financial shocks had a substantial, though not overwhelming, impact on the Polish economy during the 2008/09 crisis, lowering GDP by approximately 1.5 percent.

Krzysztof
Makarski

W toku | Work in progress

  • Evaluating welfare and economic effects of raised fertility

    In the context of the second demographic transition, many countries consider rising fertility through pro-family polices as a potentially viable solution to the fiscal pressure stemming from longevity. However, an increased number of births implies private and immediate costs, whereas the gains are not likely to surface until later and appear via internalizing the public benefits of younger and larger population. Hence, quantification of the net effects remains a challenge. We propose using an overlapping generations model with a rich family structure to quantify the effects of increased birth rates. We analyze the overall macroeconomic and welfare effects as well as the distribution of these effects across cohorts and study the sensitivity of the final effects to the assumed target value and path of increased fertility. We find that fiscal effects are positive but, even in the case of relatively large fertility increase, they are small. The sign and the size of both welfare and fiscal effects depend substantially on the patterns of increased fertility: if increased fertility occurs via lower childlessness, the fiscal effects are smaller and welfare effects are more likely to be negative than in the case of the intensive margin adjustments.

    Krzysztof
    Makarski
    Magda
    Malec
  • Political (In)Stability of Social Security Reform

    We analyze the political stability social security reforms which introduce a funded pillar (a.k.a. privatizations). We consider an economy populated by overlapping generations and intra-cohort heterogeneity, which introduces a funded pillar. This reform is efficient in Kaldor-Hicks sense and has political support. Subsequently, agents vote on abolishing the funded system, capturing the accumulated pension wealth, and replacing it with the pay-as-you-go scheme, i.e. “unprivatizing” the pension system. We show that even if such reform reduces welfare in the long run, the distribution of benefits across cohorts along the transition path implies that “unprivatizing” social security is always politically favored. We conclude that property rights definition over retirement savings may be of crucial importance for determining the stability of retirement systems with a funded pillar. 


    This paper was originally started as a part of MODELLING project, but with the time, it evolved into a heterogeneous agents framework with ex ante heterogeneity in terms of endowments and preferences.

    Joanna
    Tyrowicz
    Krzysztof
    Makarski
    Oliwia
    Komada
  • Welfare effects of fiscal policy in reforming the pension system

    Pension system reforms imply substantial redistribution between cohorts and within cohorts. They also implicitly affect the scope of risk sharing in societies. Linking pensions to individual incomes increases efficiency but reduces the insurance motive implicit in Beveridgean systems. The existing view in the literature argues that the insurance motive dominates the efficiency gains when evaluating the welfare effects. We show that this result is not universal: there exist ways to increase efficiency or compensate the loss of insurance, assuring welfare gains from pension system reform even in economies with uninsurable idiosyncratic income shocks. The fiscal closure, which necessarily accompanies the changes in the pension system, may boost efficiency and/or make up for lower insurance in the pension system. Indeed, fiscal closures inherently interact with the effects of pension system reform, counteracting or reinforcing the original effects. By analyzing a variety of fiscal closures, we reconcile our result with the earlier literature. We also study the political economy context and show that political support is feasible depending on the fiscal closure.

    Oliwia
    Komada
    Krzysztof
    Makarski
    Joanna
    Tyrowicz


Mikroekonomia I

Ogłoszenia:

 

  • Konsultacje - powtórka materiału do kolokwium - poniedziałek 19 listopada sala 217 A godzina 19:00-20:40
  • Sylabus
  • Wyniki
  • Debata grupy

Wykłady:

[Wykład 1] [Wykład 2] [Wykład 3] [Wykład 4] [Wykład 5] [Wykład 6] [Wykład 7] 

[Wykład 8]

Ćwiczenia:

[Debata] [Ćwiczenia 1][Ćwiczenia 2][Ćwiczenia 3] [Ćwiczenia 3 zadania w grupach odp]

[Ćwiczenia 4] [Ćwiczenia 5 grupa 13:30] [Ćwiczenia 5 grupa 15:20] [Ćwiczenia 4 zadania w grupach odp]

[Ćwiczenia 6 grupa 15:20]

 

[Dla dociekliwych 1][Dla dociekliwych 2][Dla dociekliwych 3.1, 3.2][Dla dociekliwych konkurencja i superfirmy 1, 2][Dla dociekliwych nadwyżka 1, 2]

 

 


Mikroekonomia II

Ogłoszenia

Oglądanie egzaminów 25 czerwca  w poniedziałek od 15:00 do 17:00, Mazowiecka 11/14 GRAPE 

Zestaw zadań dla osób, które nie zaliczyły ćwiczeń. Przesłanie poprawnych rozwiązań jest warunkiem dopuszczenia do egzaminu w terminie II.

Wyniki, punkty i oceny końcowe: wszystkie grupy

Sylabus

Przykładowe I kolokwium.

Przykładowe II kolokwiumZadania dodatkowe. Wybrane odpowiedzi.

Wykłady:

[Wykład 1] [Wykład 2] [Wykład 3] [Wykład 4] [Wykład 5] [Wykład 6] [Wykład 7] [Wykład 8] [Wykład 9] [Wykład 10]

Ćwiczenia:

[Zadania ćwiczenia+wykład]

[Ćwiczenia 1-2] [Ćwiczenia 3] [Ćwiczenia 4] [Ćwiczenia 5] [Ćwiczenia 6] [Ćwiczenia 7]

[Ćwiczenia 1, zadanie w grupach] [Ćwiczenia 1, Zadania Dodatkowe] [Ćwiczenia 1, Zadania Dodatkowe ODP]

[Ćwiczenia 2, zadanie w grupach] [Ćwiczenia 2, zadanie w grupach ODP] [Ćwiczenia 2, Zadania Dodatkowe] [Ćwiczenia 2, Zadania Dodatkowe ODP]

[Ćwiczenia 3, zadanie w grupach] [Ćwiczenia 3, Zadania Dodatkowe] [Popyt rynkowy][Wymiana i asymetria informacji]

[Ćwiczenia 4, zadanie w grupach] [Ćwiczenia 4, zadania dodatkowe] [Ćwiczenia 4, zadania dodatkowe ODP]

[Ćwiczenia 5, zadanie w grupach] [Ćwiczenia 5, zadania dodatkowe] [Ćwiczenia 5, zadania dodatkowe ODP]

[Ćwiczenia 6, zadanie w grupach] [Ćwiczenia 6, zadania dodatkowe] [Ćwiczenia 6, zadania dodatkowe ODP]

 


Skrypt do Zaawansowanej Makroekonomii

Rozdział 1. Model Solowa

Rozdział 2. Model Ramseya

Rozdział 3. Pojęcie równowagi

Rozdział 4. Modele z pieniądzem

Rozdział 5. Model realnego cyklu koniunkturalnego (RBC)

Rozdział 6. Model NK

Rozdział 7. Optymalna polityka pieniężna

Rozdział 8. Model bezrobocia

Rozdział 9. Wstęp do teorii o frykcjach finansowych

Rozdział 10. Model z ograniczeniem finansowym

Rozdział 11. Model z akceleratorem finansowym

  • This data summarizes the evolution of consumption and wealth inequality over the forthcoming decades of longevity. In a defined contribution system, with extending life span on retirement, pension benefits are bound to decline (at least, if the retirement age is not raised). These declining pension benefits will encourage agents to increase voluntary savings in other to smooth consumption over lifetime. This is likely to affect wealth and consumption inequality, despite unchanged institutional arrangement and stable productivity heterogeneity within cohorts.

  • Aplikacja szacująca skutki reformy emerytalnej z 1999 oraz późniejszych zmian w systemie emerytalnym (2011 i 2013). Możesz samodzielnie dowolnie modyfikować założenia demograficzne i makroekonomiczne.

Systemy emerytalne

  • Many people think that they are cautious and taking proper care of their future. But the truth is that we do not. The scope of old-age poverty in six Central European countries is simply scary.

  • Ustawodawca (nieumyślnie) skonstruował system emerytalny tak, że jest on stale niezbilansowany. To znaczy, że w budżecie Zakładu Ubezpieczeń Społecznych jest i będzie zawsze za mało pieniędzy na wypłaty należnych emerytur. Brakujące środki musi finansować budżet państwa. Co jest problemem w ustawie o emeryturach i rentach wypłacanych z FUS, na podstawie której działa system emerytalny?

  • Około 70% roczników urodzonych na przełomie lat 1970-tych i 1980-tych otrzyma świadczenie na poziomie emerytury minimalnej. Sfinansowanie tych (niskich!) emerytur i ich waloryzacja będzie wymagało np. podniesienia VAT o  ok. 2pp.

  • Udostępniamy aplikację pozwalającą na samodzielne zreplikowanie (i udoskonalenie) badań GRAPE.

  • Spadną emerytury i dobrobyt. Ograniczenie OFE pozwoli na ograniczenie długu publicznego teraz, obciążając jednocześnie przyszłe pokolenia.