2024-03-29T06:30:20Z
https://mpra.ub.uni-muenchen.de/cgi/oai2
oai:mpra.ub.uni-muenchen.de:49
2019-09-27T08:51:19Z
7374617475733D696E7072657373
7375626A656374733D45:4533:453332
7375626A656374733D42:4235:423533
7375626A656374733D50:5033:503334
7375626A656374733D4E:4E32:4E3233
7375626A656374733D47:4731:473138
7375626A656374733D4E:4E32:4E3234
7375626A656374733D45:4535
7375626A656374733D4B:4B33:4B3339
7375626A656374733D45:4530:453030
7375626A656374733D45:4534:453432
7375626A656374733D47:4730
7375626A656374733D4B:4B30
7375626A656374733D50:5033
7375626A656374733D4E:4E32
7375626A656374733D48:4831:483131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/49/
Review of Huerta de Soto´s `Money, Bank Credit, and Economic Cycles´
van den Hauwe, Ludwig
E32 - Business Fluctuations ; Cycles
B53 - Austrian
P34 - Financial Economics
N23 - Europe: Pre-1913
G18 - Government Policy and Regulation
N24 - Europe: 1913-
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
K39 - Other
E00 - General
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
G0 - General
K0 - General
P3 - Socialist Institutions and Their Transitions
N2 - Financial Markets and Institutions
H11 - Structure, Scope, and Performance of Government
This article reviews the first English edition of Prof. Jesús Huerta de Soto´s book `Dinero, Crédito Bancario y Ciclos Económicos´ which first appeared in Spain in 1998.
2006-10-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/49/1/MPRA_paper_49.pdf
van den Hauwe, Ludwig (2006): Review of Huerta de Soto´s `Money, Bank Credit, and Economic Cycles´. Forthcoming in: New Perspectives on Political Economy , Vol. 2, No. 2 (November 2006): pp. 135-141.
en
oai:mpra.ub.uni-muenchen.de:120
2019-09-27T04:53:48Z
7374617475733D696E7072657373
7375626A656374733D45:4535:453530
7375626A656374733D45:4533:453332
7375626A656374733D45:4534:453432
7375626A656374733D42:4235:423533
7375626A656374733D4B:4B33:4B3339
7375626A656374733D47:4731:473138
7375626A656374733D50:5033:503334
7375626A656374733D48:4831:483131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/120/
The Uneasy Case for Fractional-Reserve Free Banking
van den Hauwe, Ludwig
E50 - General
E32 - Business Fluctuations ; Cycles
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
B53 - Austrian
K39 - Other
G18 - Government Policy and Regulation
P34 - Financial Economics
H11 - Structure, Scope, and Performance of Government
Since a few decades several sub-disciplines within economics have witnessed a reorientation towards institutional analysis. This development has in particular also affected the fields of macroeconomics and monetary theory where it has led to several proposals for far-reaching financial and monetary reform. One of the more successful of these proposals advocates a fractional-reserve free banking system, that is, a system with no central bank, but with permission for the banks to operate with a fractional reserve. This article exposes several conceptual flaws in this proposal. In particular several claims of the fractional-reserve free bankers with respect to the purported working characteristics of this system are criticized from the perspective of economic theory. In particular, the claim that a fractional-reserve free banking system would lead to the disappearance of the business cycle is recognized as false. Furthermore an invisible-hand analysis is performed, reinforcing the conclusion that fractional-reserve free banking is incompatible with the ethical and juridical principles underlying a free society.
2006-10-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/120/1/MPRA_paper_120.pdf
van den Hauwe, Ludwig (2006): The Uneasy Case for Fractional-Reserve Free Banking. Forthcoming in: Procesos de Mercado Revista Europea de Economía Política , Vol. III, No. 2 (December 2006)
en
oai:mpra.ub.uni-muenchen.de:152
2019-10-02T16:47:29Z
7374617475733D756E707562
7375626A656374733D45:4534:453434
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/152/
Reflections of the New Economy on the monetary policy and central banking
Akyazi, Haydar
Artan, Seyfettin
E44 - Financial Markets and the Macroeconomy
E58 - Central Banks and Their Policies
E52 - Monetary Policy
Developments in the information and communication technologies have been causing
significant changes on the working mechanisms of the economy both at the national and
international areas. Some of the developments can be indicated as follows: the dramatic
increasing of capital movements amongst nations; the speeding of global economic integration;the effects of world’s financial markets; the creation of new payment mechanisms; the decreasing of transaction and knowledge costs; getting the information in a permanent and fast way; the fluctuations in financial markets; increasing potential growth and productivity rates. It is possible to summarize the mentioned developments with the concept of “new economy”. In this paper, the reflections of new economy on monetary policies and central banking are examined.
According to the results of this study, the views about monetary policies and central banks will no longer exist in the future is not realistic. As far as we are concerned, central banks will continue to guarantee the stability of financial system all over the world as was the case in the past.
2006-05-24
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/152/1/MPRA_paper_152.pdf
Akyazi, Haydar and Artan, Seyfettin (2006): Reflections of the New Economy on the monetary policy and central banking.
en
oai:mpra.ub.uni-muenchen.de:259
2019-09-27T09:55:33Z
7374617475733D707562
7375626A656374733D45:4530
7375626A656374733D45:4535
7375626A656374733D45:4534
7375626A656374733D45:4533
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/259/
Velocity Effect On Inflationary Growth of Turkey: Evidence From Co-integration Analysis and Granger's Causality Test
Ozturk, Ilhan
E0 - General
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
E4 - Money and Interest Rates
E3 - Prices, Business Fluctuations, and Cycles
The Turkish economy has experienced high and persistent inflation rates in the last two decades. This inflation has persisted despite many unsuccessful stabilization policies, which have caused volatility in macro-economic indicators. The main aim of this paper is to analyze the impact of velocity on inflationary trend in Turkey over the period between 1996 and 2001. We assumed that there is a direct relationship between the two factors. However, velocity is not the major cause of inflation. The integration and co-integration tests have been adopted on monthly time series data to test the validity of the model by adding some control variables. Results show that velocity has a weak and negative effect on the inflationary growth of Turkey during this period. The effects of other control variables on inflation growth have also been tested. Some aspects of this linear relationship have been obtained by Granger’s Causality Test.
2002
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/259/1/MPRA_paper_259.pdf
Ozturk, Ilhan (2002): Velocity Effect On Inflationary Growth of Turkey: Evidence From Co-integration Analysis and Granger's Causality Test. Published in: The Indian Economic Journal , Vol. 50, No. 1 (2002): pp. 48-54.
en
oai:mpra.ub.uni-muenchen.de:396
2019-10-02T15:11:08Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/396/
Romania: From the quantitative monetary aggregates to inflation targeting
Voicu, Ionut Cristian
Constantin, Floricel
E58 - Central Banks and Their Policies
For Romania, the shift from monetary targeting toward inflation targeting was done under the influences of following events:
- The existing pressure coming from refinancing the public debt and from the necessity to remain in certain boundary with the budgetary deficit.
- NBR assigned monetary control and liquidity management functions on the mechanism of minimum required reserves.
- Romanian strategy was deeply hurt by the low development of its financial markets, and the low level of monetization.
- A precondition of potential success in the case of inflation targeting was fulfilled - the improvement of taxes collection and the reduction of money laundry.
- The important amounts of quantitative increases in Foreign Direct Investment (yearly Euro 4 billion), and also in the rest of M2’s components, forced the necessity of a new strategy based mainly on non-monetary aggregates
2006-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/396/1/MPRA_paper_396.pdf
Voicu, Ionut Cristian and Constantin, Floricel (2006): Romania: From the quantitative monetary aggregates to inflation targeting.
en
oai:mpra.ub.uni-muenchen.de:418
2019-09-26T10:08:03Z
7374617475733D756E707562
7375626A656374733D45:4535
7375626A656374733D45:4534
7375626A656374733D43:4334:433433
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/418/
Divisia Monetary Index
Barnett, William A.
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
E4 - Money and Interest Rates
C43 - Index Numbers and Aggregation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
This short paper is the first draft of an encyclopedia entry on Divisia Monetary Indexes to appear in the second edition of the International Encyclopedia of the Social Sciences. The encyclopedia is edited by William A. Darity and forthcoming from Macmillan Reference USA (Thomson Gale).
2006-04-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/418/1/MPRA_paper_418.pdf
Barnett, William A. (2006): Divisia Monetary Index.
en
oai:mpra.ub.uni-muenchen.de:419
2019-10-01T00:25:45Z
7374617475733D756E707562
7375626A656374733D45:4535
7375626A656374733D45:4534
7375626A656374733D43:4334:433433
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/419/
Supply of Money
Barnett, William A.
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
E4 - Money and Interest Rates
C43 - Index Numbers and Aggregation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
This short paper is the encyclopedia entry on Supply of Money to appear in the second edition of the International Encyclopedia of the Social Sciences. The encyclopedia is edited by William A. Darity and forthcoming from Macmillan Reference USA (Thomson Gale).
2006-07-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/419/1/MPRA_paper_419.pdf
Barnett, William A. (2006): Supply of Money.
en
oai:mpra.ub.uni-muenchen.de:442
2019-09-26T09:14:49Z
7374617475733D707562
7375626A656374733D45:4536:453633
7375626A656374733D45:4535:453532
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/442/
Stock market consequences of macro economic fundamentals
Ayub, Mehar
E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy ; Stabilization ; Treasury Policy
E52 - Monetary Policy
G18 - Government Policy and Regulation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
It is concluded in the study that the Valuation Ratio will be independent from the Equities if equity-elasticity is equal to one. However, Market Capitalization depends on the investment in equities and the market liquidity. The model has been tested in the context of Pakistan and the Monetary and Fiscal policies have been found as the significant determinants of the Market Capitalization.
2000
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/442/1/MPRA_paper_442.pdf
Ayub, Mehar (2000): Stock market consequences of macro economic fundamentals. Published in: Conference Proceedings, Montreal: McGill University, (Canadian Economic Association) , Vol. 1, No. 2001 (2002): pp. 1-17.
en
oai:mpra.ub.uni-muenchen.de:455
2019-09-30T23:39:57Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D46:4634:463431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/455/
Monetary-Exchange Rate Policy and Current Account Dynamics
Malik, Hamza
E52 - Monetary Policy
F41 - Open Economy Macroeconomics
A dynamic stochastic general equilibrium monetary model with incomplete and imperfect asset markets, monopolistic competition and staggered nominal price rigidities is developed to shed light on the role of exchange rate and its relation with current account dynamics in the formulation of monetary-exchange rate policies. The paper shows that because of incomplete risk sharing, due to incomplete asset markets, the dynamic relationship between real exchange rate and net foreign assets affect the behaviour of domestic inflation and aggregate output. This, in turn, implies that the optimal monetary policy entail a response to net foreign asset position or the real exchange rate gap defined as the difference between actual real exchange rate and the value that would prevail with flexible prices and complete asset markets. In comparing the performance of alternative monetary-exchange rate policy rules, an interesting and fairly robust result that stands out is that ‘dirty floating’ out-performs flexible exchange rate regime with domestic inflation targeting.
2005-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/455/1/MPRA_paper_455.pdf
Malik, Hamza (2005): Monetary-Exchange Rate Policy and Current Account Dynamics.
en
oai:mpra.ub.uni-muenchen.de:456
2019-09-28T16:56:22Z
7374617475733D756E707562
7375626A656374733D45:4533:453331
7375626A656374733D45:4535:453532
7375626A656374733D45:4533:453330
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/456/
Price Level vs. Nominal Income Targeting: Aggregate Demand Shocks and the Cost Channel of Monetary Policy Transmission
Malik, Hamza
E31 - Price Level ; Inflation ; Deflation
E52 - Monetary Policy
E30 - General
This paper incorporates both the traditional aggregate demand-interest rate channel and the cost channel of monetary policy in a baseline ‘new Keynesian’ model and study two targeting regimes --- price-level targeting and nominal income targeting. In light of empirical considerations, alternative specifications for the aggregate demand and aggregate supply side of the economy also considered. The main result is that the cost channel matters: in case of a moderate policy response and with the cost channel operating the volatility of real output decreases under both price-level and nominal income targeting, while it increases in case of an aggressive policy response. The paper also finds that nominal income targeting performs better than price level targeting in bringing down the volatility of real output in almost all the specifications of the macro models used in the analysis.
2005-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/456/1/MPRA_paper_456.pdf
Malik, Hamza (2005): Price Level vs. Nominal Income Targeting: Aggregate Demand Shocks and the Cost Channel of Monetary Policy Transmission.
en
oai:mpra.ub.uni-muenchen.de:457
2019-09-28T16:33:54Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D46:4634:463431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/457/
Is Price Flexibility De-Stabilizing? A Reconsideration
Malik, Hamza
Scarth, William
E52 - Monetary Policy
F41 - Open Economy Macroeconomics
Using a New Neoclassical Synthesis model of monetary policy for a small open economy, this paper explores the impact of an increased degree of price flexibility on output volatility. Previous analysis of this question – based on the earlier generation of descriptive macro systems with model-consistent expectations – offered mixed conclusions, especially in an open economy context. We update that literature by reconsidering the issue within models that involve optimization-based behavioural equations. We find clear support for Keynes’ concern that a higher degree of price flexibility raises output volatility – but only under flexible exchange rates. We discuss the implications of our findings for current macro policy discussions in both European and other economies.
2005-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/457/1/MPRA_paper_457.pdf
Malik, Hamza and Scarth, William (2005): Is Price Flexibility De-Stabilizing? A Reconsideration.
en
oai:mpra.ub.uni-muenchen.de:503
2019-10-25T18:11:42Z
oai:mpra.ub.uni-muenchen.de:553
2019-09-27T06:58:10Z
7374617475733D756E707562
7375626A656374733D50:5031:503136
7375626A656374733D50:5031:503137
7375626A656374733D45:4535:453532
7375626A656374733D45:4536:453632
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/553/
The Economics of Young Democracies: Policies and Performance
Kapstein, Ethan
Converse, Nathan
P16 - Political Economy
P17 - Performance and Prospects
E52 - Monetary Policy
E62 - Fiscal Policy
Since the “third wave” of democratization began in 1974, nearly 100 states have adopted democratic forms of government, including, of course, most of the former Soviet bloc nations. Policy-makers in the west have expressed the hope that this democratic wave will extend even further, to the Middle East and onward to China. But the durability of this new democratic age remains an open question. By some accounts, at least half of the world’s young democracies—often referred to in the academic literature as being “unconsolidated” or “fragile”—are still struggling to develop their political institutions, and several have reverted back to authoritarian rule. Among the countries in the early stages of democratic institution building are states vital to U.S. national security interests, including Afghanistan and Iraq.
The ability of fledgling democracies to maintain popular support depends in part on the ability of their governments to deliver economic policies that meet with widespread approval. But what sorts of economic policies are these, and are they necessarily the same as the policies required for tackling difficult issues of economic stabilization and reform? Conversely, what sorts of economic policies are most likely to spark a backlash against young and fragile democratic regimes? Do the leaders of young democracies face trade-offs as they ponder their electoral and economic strategies?
These are among the questions we explore in this paper, which provides an overview of the monograph we are currently writing on the economics of young democracies. We do so first by exploring the hypothesized relationships between democratic politics and economic policy, as well as the findings of several important empirical studies with respect to the economic performance of young democracies around the world. We then provide some descriptive statistics on how the new democracies have fared in practice, making use of a new dataset that we have compiled (and which, among other things, is more up-to-date than most others cited herein). Do the data reveal any distinctive economic patterns with respect to democratic consolidation and reversal? We will show that they do. In particular, we find that deteriorating or stagnant economic performance constitutes a red flag or warning signal that the country is at risk of democratic reversal. Moreover, we find considerable variation in economic performance, suggesting that the design of political institutions in new democracies may have a significant influence on the probability of their survival.
2006-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/553/1/MPRA_paper_553.pdf
Kapstein, Ethan and Converse, Nathan (2006): The Economics of Young Democracies: Policies and Performance.
en
oai:mpra.ub.uni-muenchen.de:603
2019-09-28T16:29:34Z
7374617475733D756E707562
7375626A656374733D4F:4F33:4F3333
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/603/
The reflections of new economy on monetary policy and central banking
Haydar, Akyazi
Seyfettin, Artan
O33 - Technological Change: Choices and Consequences ; Diffusion Processes
E58 - Central Banks and Their Policies
E52 - Monetary Policy
E44 - Financial Markets and the Macroeconomy
Developments in the information and communication technologies have been causing significant changes on the working mechanisms of the economy both at the national and international areas. Some of the developments can be indicated as follows: the dramatic increasing of capital movements amongst nations; the speeding of global economic integration; the effects of world’s financial markets; the creation of new payment mechanisms; the decreasing of transaction and knowledge costs; getting the information in a permanent and fast way; the fluctuations in financial markets; increasing potential growth and productivity rates. It is possible to summarize the mentioned developments with the concept of “new economy”. In this paper, the reflections of new economy on monetary policy and central banking are examined. According to the results of this study, the views about monetary policy and central banks will no longer exist in the future is not realistic. As far as we are concerned, central banks will continue to guarantee the stability of financial system all over the world as was the case in the past.
2006-05-24
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/603/1/MPRA_paper_603.pdf
Haydar, Akyazi and Seyfettin, Artan (2006): The reflections of new economy on monetary policy and central banking.
en
oai:mpra.ub.uni-muenchen.de:692
2019-09-28T22:38:05Z
7374617475733D756E707562
7375626A656374733D47:4732:473231
7375626A656374733D47:4730
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/692/
The Distribution and Dispersion of Debt Burden Ratios Among Households in Poland and its Implications for Financial Stability
Dawid, Żochowski
Sławomir, Zajączkowski
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G0 - General
E58 - Central Banks and Their Policies
Debt burden ratio as measured on the aggregate level does not give an adequate assessment of the ability of the household sector to repay its debt. The low level of financial deepening in Poland is primarily reflected in a low percentage of households that have been granted a loan. Therefore, the average debt burden for households, which have any debt outstandings could be much higher than the one measured on the aggregate level. If the debt is concentrated among groups of households with lower incomes, it can threat the financial stability in case of FX or interest rate shocks. Using the data from Polish Households Budget Survey we first define three different measures of debt burden and calculate its dispersion in time and distribution among income groups. We find that (1) the total debt service burden and loan service burden ratios are on lower levels than in other European countries and recently have not risen substantially, (2) the mortgage debt service burden ratio has been rapidly increasing in the last four years especially in lower income groups of households reaching in 2004 the 3/4 of the level noted in EU-15. In comparison with EU it seems that the level of indebtedness of house- holds in Poland is on a secure level. However, we notice that the secure level of debt burden ratio is on a lower level in emerging market countries than in wealthier countries because of the higher share of basic living costs in total consumption expenditure. Therefore, the increasing levels of mortgage debt service ratios in lower-income groups could pose a potential threat to the financial stability in case of FX or interest rate shock.
2006-07-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/692/1/MPRA_paper_692.pdf
Dawid, Żochowski and Sławomir, Zajączkowski (2006): The Distribution and Dispersion of Debt Burden Ratios Among Households in Poland and its Implications for Financial Stability.
en
oai:mpra.ub.uni-muenchen.de:797
2019-10-02T04:45:05Z
7374617475733D756E707562
7375626A656374733D43:4331:433131
7375626A656374733D45:4535:453532
7375626A656374733D43:4331:433133
7375626A656374733D45:4533:453337
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/797/
Monetary Policy Analysis in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach
Vitek, Francis
C11 - Bayesian Analysis: General
E52 - Monetary Policy
C13 - Estimation: General
E37 - Forecasting and Simulation: Models and Applications
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper develops and estimates a dynamic stochastic general equilibrium model of a closed economy which approximately accounts for the empirical evidence concerning the monetary transmission mechanism, as summarized by impulse response functions derived from an estimated structural vector autoregressive model, while dominating that structural vector autoregressive model in terms of predictive accuracy. The model features short run nominal price and wage rigidities generated by monopolistic competition and staggered reoptimization in output and labour markets. The resultant inertia in inflation and persistence in output is enhanced with other features such as habit persistence in consumption, adjustment costs in investment, and variable capital utilization. Cyclical components are modeled by linearizing equilibrium conditions around a stationary deterministic steady state equilibrium, while trend components are modeled as random walks while ensuring the existence of a well defined balanced growth path. Parameters and trend components are jointly estimated with a novel Bayesian full information maximum likelihood procedure.
2006-03-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/797/1/MPRA_paper_797.pdf
Vitek, Francis (2006): Monetary Policy Analysis in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach.
en
oai:mpra.ub.uni-muenchen.de:800
2019-09-29T04:37:14Z
7374617475733D756E707562
7375626A656374733D43:4331:433131
7375626A656374733D45:4535:453532
7375626A656374733D46:4634:463431
7375626A656374733D43:4331:433133
7375626A656374733D46:4634:463437
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/800/
Monetary Policy Analysis in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach
Vitek, Francis
C11 - Bayesian Analysis: General
E52 - Monetary Policy
F41 - Open Economy Macroeconomics
C13 - Estimation: General
F47 - Forecasting and Simulation: Models and Applications
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper develops and estimates a dynamic stochastic general equilibrium model of a small open economy which approximately accounts for the empirical evidence concerning the monetary transmission mechanism, as summarized by impulse response functions derived from an estimated structural vector autoregressive model, while dominating that structural vector autoregressive model in terms of predictive accuracy. The model features short run nominal price and wage rigidities generated by monopolistic competition and staggered reoptimization in output and labour markets. The resultant inertia in inflation and persistence in output is enhanced with other features such as habit persistence in consumption, adjustment costs in investment, and variable capital utilization. Incomplete exchange rate pass through is generated by monopolistic competition and staggered reoptimization in the import market. Cyclical components are modeled by linearizing equilibrium conditions around a stationary deterministic steady state equilibrium, while trend components are modeled as random walks while ensuring the existence of a well defined balanced growth path. Parameters and trend components are jointly estimated with a novel Bayesian full information maximum likelihood procedure.
2006-03-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/800/1/MPRA_paper_800.pdf
Vitek, Francis (2006): Monetary Policy Analysis in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach.
en
oai:mpra.ub.uni-muenchen.de:801
2019-10-15T04:20:32Z
7374617475733D756E707562
7375626A656374733D43:4331:433131
7375626A656374733D45:4535:453532
7375626A656374733D43:4331:433133
7375626A656374733D45:4533:453337
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/801/
Measuring the Stance of Monetary Policy in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach
Vitek, Francis
C11 - Bayesian Analysis: General
E52 - Monetary Policy
C13 - Estimation: General
E37 - Forecasting and Simulation: Models and Applications
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper develops and estimates a dynamic stochastic general equilibrium model of a closed economy which provides a quantitative description of the monetary transmission mechanism, yields a mutually consistent set of indicators of inflationary pressure together with confidence intervals, and facilitates the generation of relatively accurate forecasts. The model features short run nominal price and wage rigidities generated by monopolistic competition and staggered reoptimization in output and labour markets. The resultant inertia in inflation and persistence in output is enhanced with other features such as habit persistence in consumption and labour supply, adjustment costs in housing and capital investment, and variable capital utilization. Cyclical components are modeled by linearizing equilibrium conditions around a stationary deterministic steady state equilibrium which abstracts from long run balanced growth, while trend components are modeled as random walks while ensuring the existence of a well defined balanced growth path. Parameters and unobserved components are jointly estimated with a novel Bayesian full information maximum likelihood procedure, conditional on prior information concerning the values of parameters and trend components.
2006-06-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/801/1/MPRA_paper_801.pdf
Vitek, Francis (2006): Measuring the Stance of Monetary Policy in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach.
en
oai:mpra.ub.uni-muenchen.de:802
2019-09-27T20:46:13Z
7374617475733D756E707562
7375626A656374733D43:4331:433131
7375626A656374733D45:4535:453532
7375626A656374733D46:4634:463431
7375626A656374733D43:4331:433133
7375626A656374733D46:4634:463437
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/802/
Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach
Vitek, Francis
C11 - Bayesian Analysis: General
E52 - Monetary Policy
F41 - Open Economy Macroeconomics
C13 - Estimation: General
F47 - Forecasting and Simulation: Models and Applications
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper develops and estimates a dynamic stochastic general equilibrium model of a small open economy which provides a quantitative description of the monetary transmission mechanism, yields a mutually consistent set of indicators of inflationary pressure together with confidence intervals, and facilitates the generation of relatively accurate forecasts. The model features short run nominal price and wage rigidities generated by monopolistic competition and staggered reoptimization in output and labour markets. The resultant inertia in inflation and persistence in output is enhanced with other features such as habit persistence in consumption and labour supply, adjustment costs in housing and capital investment, and variable capital utilization. Incomplete exchange rate pass through is generated by monopolistic competition and staggered reoptimization in the import market. Cyclical components are modeled by linearizing equilibrium conditions around a stationary deterministic steady state equilibrium which abstracts from long run balanced growth, while trend components are modeled as random walks while ensuring the existence of a well defined balanced growth path. Parameters and unobserved components are jointly estimated with a novel Bayesian full information maximum likelihood procedure, conditional on prior information concerning the values of parameters and trend components.
2006-06-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/802/1/MPRA_paper_802.pdf
Vitek, Francis (2006): Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach.
en
oai:mpra.ub.uni-muenchen.de:829
2019-10-03T11:47:39Z
7374617475733D756E707562
7375626A656374733D47:4733:473332
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/829/
Financial Accelerator Effects in the Balance Sheets of Czech Firms
Horvath, Roman
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
E52 - Monetary Policy
The paper examines a financial accelerator mechanism in analyzing determinants of corporate interest rates. Using a panel of the financial statements of 448 Czech firms from 1996–2002, we find that balance sheet indicators matter interest rates paid by firms. Market access is particularly important in this regard. The strength of corporate balance sheets seem to vary with firm size. There is also evidence that monetary policy has a stronger effect on smaller than on larger firms. On the other hand, we find no asymmetry in the monetary policy effects over the business cycle.
2006-11-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/829/1/MPRA_paper_829.pdf
Horvath, Roman (2006): Financial Accelerator Effects in the Balance Sheets of Czech Firms.
en
oai:mpra.ub.uni-muenchen.de:845
2019-09-27T00:48:26Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4534:453433
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/845/
Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic
Horvath, Roman
E58 - Central Banks and Their Policies
E43 - Interest Rates: Determination, Term Structure, and Effects
E52 - Monetary Policy
This paper examines (real-time) equilibrium interest rates in the Czech Republic in 2001:1-2005:12 estimating various specifications of simple Taylor-type monetary policy rules. First, we estimate it using GMM. Second, we apply structural time-varying coefficient model with endogenous regressors to evaluate fluctuations of equilibrium interest rate over time. The results suggest that there is substantial interest rate smoothing and central bank primarily responds to inflation (forecast) developments. The estimated parameters seem to sustain the equilibrium determinacy. We find that the equilibrium interest rates gradually decreased over sample period to the levels comparable to those of in the euro area reflecting capital accumulation, smaller risk premium and successful disinflation in the Czech economy.
2006-10-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/845/1/MPRA_paper_845.pdf
Horvath, Roman (2006): Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic.
en
oai:mpra.ub.uni-muenchen.de:849
2019-09-28T16:49:21Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/849/
Testing the Opportunistic Approach to Monetary Policy
Martin, Chris
Milas, Costas
E52 - Monetary Policy
The Opportunistic Approach to Monetary Policy is an influential but untested model of optimal monetary policy. We provide the first tests of the model, using US data from 1983Q1-2004Q1. Our results support the Opportunistic Approach. We find that policymakers respond to the gap between inflation and an intermediate target that reflects the recent history of inflation. We find that there is no response of interest rates to inflation when inflation is within 1% of the intermediate target but a strong response when inflation is further from the intermediate target.
2006-10-24
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/849/1/MPRA_paper_849.pdf
Martin, Chris and Milas, Costas (2006): Testing the Opportunistic Approach to Monetary Policy.
en
oai:mpra.ub.uni-muenchen.de:867
2019-09-27T16:29:21Z
7374617475733D707562
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/867/
Reflexiones sobre el cambio de moneda en Colombia
Mesa Callejas, Ramon Javier
E52 - Monetary Policy
Este artículo realiza un primer análisis de algunos aspectos centrales del proyecto 074 sin entrar en detalles de la naturaleza juridica. Su nivel es introductorio y a la vez de caracter reflexivo ya que busca a traves de una perspectiva economica, resaltar elementos para una discusión relacionada con los posibles efectos que traería para la economia colombiana la implementación de una nueva moneda. Para tal fin, el documento se divide en tres partes. En la primera, se analizan los costos y beneficios que pueden derivar de la implementación de la nueva moneda; seguidamente se presentan algunas reflexiones sobre los efectos de la política económica. En la última parte, se discute sobre la introducción del "nuevo peso" y la posible dolarización de la economia colombiana.
This article makes a first analysis of some central aspects of project 074 without entering details of the legal nature. Its level is introductory and simultaneously of reflective character since it looks for through an economic perspective, to emphasize elements for a discussion related to the possible effects that the implementation of a new currency would bring for the Colombian economy. For such aim, the document is divided in three parts. In first, the costs and benefits are analyzed that can derive from the implementation of the new currency; next some reflections appear on the effects of the economic policy. In the last part, one discusses on the introduction of the “new Peso” and the possible dolarización of the Colombian economy
2002-03-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/867/1/MPRA_paper_867.pdf
Mesa Callejas, Ramon Javier (2002): Reflexiones sobre el cambio de moneda en Colombia. Published in: Perfil de Coyuntura Economica No. Marzo de 2002 (1 March 2002): pp. 40-55.
es
oai:mpra.ub.uni-muenchen.de:879
2019-10-02T09:55:02Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D46:4634:463432
7375626A656374733D46:4633:463333
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/879/
Monetary Policy before Euro Adoption: Challenges for EU New Members
Filacek, Jan
Horvath, Roman
Skorepa, Michal
E58 - Central Banks and Their Policies
F42 - International Policy Coordination and Transmission
F33 - International Monetary Arrangements and Institutions
E52 - Monetary Policy
This article analyzes the main issues for monetary policy in new EU member states before their euro adoption. These are typically rooted in the challenge of fulfilling concurrently of the Maastricht inflation and exchange rate criterion, as these countries are experiencing equilibrium real exchange rate appreciation. In this article we first distinguish between the wording, written interpretation and “revealed” interpretation of the inflation and exchange rate criteria. Then we discuss the options for monetary policy in the period of fulfilment of these criteria in terms of its transparency, its continuity with the previous monetary policy regime, the choice of central parity for the ERM II, the setting of the fluctuation bandwidth, the probability of fulfilment of both criteria and the impact on economic stability.
2006-09-25
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/879/1/MPRA_paper_879.pdf
Filacek, Jan and Horvath, Roman and Skorepa, Michal (2006): Monetary Policy before Euro Adoption: Challenges for EU New Members.
en
oai:mpra.ub.uni-muenchen.de:896
2019-10-04T16:47:00Z
7374617475733D707562
7375626A656374733D47:4732:473233
7375626A656374733D45:4535:453531
7375626A656374733D48:4835:483535
7375626A656374733D44:4438:443831
7375626A656374733D43:4335:433532
7375626A656374733D47:4733:473332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/896/
Kerangka Kerja Ekonofisika dalam Basel II
Situngkir, Hokky
Surya, Yohanes
G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors
E51 - Money Supply ; Credit ; Money Multipliers
H55 - Social Security and Public Pensions
D81 - Criteria for Decision-Making under Risk and Uncertainty
C52 - Model Evaluation, Validation, and Selection
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
The paper elaborates some analytical opportunities for econophysics in the implementation of Basel II documents for banking. We see this chances by reviewing some methodologies proposed by the econophysicists in the three important aspects of risk management: the market risk, credit risk, and operational risk.
2006-06-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/896/1/MPRA_paper_896.pdf
Situngkir, Hokky and Surya, Yohanes (2006): Kerangka Kerja Ekonofisika dalam Basel II. Published in:
id
oai:mpra.ub.uni-muenchen.de:914
2019-09-30T01:54:36Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
7375626A656374733D46:4633:463331
7375626A656374733D46:4633:463333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/914/
Modelling Central Bank Intervention Activity under Inflation Targeting
Horvath, Roman
E58 - Central Banks and Their Policies
E52 - Monetary Policy
F31 - Foreign Exchange
F33 - International Monetary Arrangements and Institutions
Using daily data from the Czech Republic in 1/1/1998-31/12/2002, we find that foreign exchange intervention activity is determined by the degree of exchange rate misalignment and lagged intervention. Additionally, inflation targeting regime is a binding constraint of intervention activity.
2006-05-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/914/1/MPRA_paper_914.pdf
Horvath, Roman (2006): Modelling Central Bank Intervention Activity under Inflation Targeting.
en
oai:mpra.ub.uni-muenchen.de:924
2019-09-29T02:12:42Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D51:5132:513235
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/924/
A Water Monetary Standard: An Economic Thesis
Jackson, Michael
E52 - Monetary Policy
Q25 - Water
In emerging markets and economies with limited supplies of potable water, the current monetary policy governing water distribution has failed or will eventually fail. Problems are not limited to developing nations but are magnified by tenuous circumstances. Historically, weaker economies suffer short falls in revenue for operation and proper maintenance of their respective water systems; however, even well funded systems are operating under potentially tenuous circumstances.
The goal of this thesis is to offer an alternative to current global policies, through a new paradigm, a water based monetary standard. The immediate benefit of this policy is the elimination of user fees for public water and to protect the ongoing operation through revenues created through recognized rules of sovereignty and fiscal policy.
Elimination of fees or associated taxes will lower the daily cost of living, consumer price index (CPI), and the producer price index (PPI) within subject economies. Adoption of this new monetary standard will create an environment of encouraged growth in a more stable economy, thereby increasing tax revenues.
1995-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/924/1/MPRA_paper_924.pdf
Jackson, Michael (1995): A Water Monetary Standard: An Economic Thesis.
en
oai:mpra.ub.uni-muenchen.de:942
2019-09-29T11:59:22Z
7374617475733D707562
7375626A656374733D45:4535:453538
7375626A656374733D46:4633:463331
7375626A656374733D45:4535:453532
7375626A656374733D47:4731:473131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/942/
El efecto de las intervenciones cambiarias: la experiencia colombiana 2004-2006
Hernández Monsalve, Mauricio Alberto
Mesa Callejas, Ramón Javier
E58 - Central Banks and Their Policies
F31 - Foreign Exchange
E52 - Monetary Policy
G11 - Portfolio Choice ; Investment Decisions
El objetivo de este artículo es medir el tamaño relativo de las intervenciones cambiarias realizadas en el periodo de la revaluación del peso, entre 2004 y 2006, y calcular la efectividad de éstas en cuanto a sus efectos sobre la media y la varianza del tipo de cambio nominal. La propuesta de un modelo de determinación del tipo de cambio, que parte del modelo de balance de portafolio, y el uso de un índice de intervención construido para el caso colombiano, permiten concluir que las intervenciones del Banco de la República, con miras a defender el régimen de flotación controlada, han tenido efectos pequeños y transitorios en el nivel y la varianza del tipo de cambio, presentando rezagos de varios días y siendo descontadas rápidamente por el mercado
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/942/1/MPRA_paper_942.pdf
Hernández Monsalve, Mauricio Alberto and Mesa Callejas, Ramón Javier (2006): El efecto de las intervenciones cambiarias: la experiencia colombiana 2004-2006. Published in: Borradores del CIE No. 24 (October 2006): pp. 1-29.
es
oai:mpra.ub.uni-muenchen.de:1004
2019-09-26T17:48:11Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1004/
An econometric specification of monetary policy dark art
Ielpo, Florian
Guégan, Dominique
E52 - Monetary Policy
E58 - Central Banks and Their Policies
The classical Taylor rules usually do not yield the same estimation error when working in a monthly or a quarterly framework. This brings us to the conclusion that there must be something that monthly Taylor rules can capture and that the quarterly one cannot: we postulate that it simply boils down to the fact that the target rate's changes are irregularly spaced in time. So as to tackle this issue, we propose to split the target rate chronicle between changes in the target and the associated durations, that is the time spending between two changes in the target rate. In this framework, we propose to consider that changes in rate can be regarded as a real monetary policy decision, whereas the duration period between two changes can be related to a "wait and see" position or some fine tuning problematic. To show that both these features of monetary policy do not react to the same fundamentals, we propose an econometric understanding of the Fed's reaction function using a new model derived from financial econometrics that has been proposed by Engle and Russell (2005). We propose to model the changes in target rates with a classical ordered probit and the durations with an autoregressive conditional duration model. We extracted the Fed anticipations regarding inflation and activity using some factor based method, and used these factors as explanatory variables for the changes in rates and the related durations. We show that the target rate level, the scale of the change in target rate and the associated duration do not necessarily react to the same factors and if they do, the impact can be different. This empirical result supports the idea that durations and scale of the change in target rate deserve equal attention when modeling a Central Bank reaction function.
2006-03-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1004/1/MPRA_paper_1004.pdf
Ielpo, Florian and Guégan, Dominique (2006): An econometric specification of monetary policy dark art.
en
oai:mpra.ub.uni-muenchen.de:1023
2019-09-26T22:14:54Z
7374617475733D756E707562
7375626A656374733D45:4535:453530
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1023/
Estimating demand for money in Jamaica
Canova, Luciano
E50 - General
This paper estimates the money demand function for Jamaica using cointegration method. This approach provides estimates of the long run structural relations and focuses also on the complex short run feedbacks of monetary policy on strategic macro variables.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1023/1/MPRA_paper_1023.pdf
Canova, Luciano (2006): Estimating demand for money in Jamaica.
en
oai:mpra.ub.uni-muenchen.de:1039
2019-10-02T15:10:29Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1039/
An econometric specification of monetary policy dark art
Ielpo, Florian
Guégan, Dominique
E52 - Monetary Policy
E58 - Central Banks and Their Policies
The classical Taylor rules usually do not yield the same estimation error when
working in a monthly or a quarterly framework. This brings us to the conclusion
that there must be something that monthly Taylor rules can capture and that the
quarterly one cannot: we postulate that it simply boils down to the fact that the
target rate’s changes are irregularly spaced in time. So as to tackle this issue, we
propose to split the target rate chronicle between changes in the target and the
associated durations, that is the time spending between two changes in the target
rate. In this framework, we propose to consider that changes in rate can be regarded
as a real monetary policy decision, whereas the duration period between two changes
can be related to a ”wait and see” position or some fine tuning problematic. To show
that both these features of monetary policy do not react to the same fundamentals,
we propose an econometric understanding of the Fed’s reaction function using a new
model derived from financial econometrics that has been proposed by Engle and
Russell (2005). We propose to model the changes in target rates with a classical
ordered probit and the durations with an autoregressive conditional duration model.
We extracted the Fed anticipations regarding inflation and activity using some factor
based method, and used these factors as explanatory variables for the changes in
rates and the related durations. We show that the target rate level, the scale of
the change in target rate and the associated duration do not necessarily react to
the same factors and if they do, the impact can be different. This empirical result
supports the idea that durations and scale of the change in target rate deserve equal
attention when modeling a Central Bank reaction function.
2006-03-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1039/1/MPRA_paper_1039.pdf
Ielpo, Florian and Guégan, Dominique (2006): An econometric specification of monetary policy dark art.
en
oai:mpra.ub.uni-muenchen.de:1094
2019-09-26T19:45:44Z
7374617475733D756E707562
7375626A656374733D45:4535:453530
7375626A656374733D45:4535:453532
7375626A656374733D43:4331:433135
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1094/
Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison
Dibartolomeo, Giovanni
Rossi, Lorenza
Tancioni, Massimiliano
E50 - General
E52 - Monetary Policy
C15 - Statistical Simulation Methods: General
E58 - Central Banks and Their Policies
This paper develops a simple New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model with rule-of-thumb consumers and external habits. Our theoretical model has a closed-form solution which allows the analytical derivation of its dynamical and stability properties. These properties are analyzed and discussed in the light of their implications for the efficacy and the calibration of the conduct of the monetary policy. The model is then evaluated empirically, employing numerical simulations based on Monte Carlo Bayesian estimates of the structural parameters and impulse response analyses based on weakly identified SVECMs. The estimates are repeated for each of the G7 national economies. Providing single country estimates and simulations, we derive some indications on the relative efficacy of monetary policy and of its potential asymmetric effects resulting from the heterogeneity of the estimated models.
2004-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1094/1/MPRA_paper_1094.pdf
Dibartolomeo, Giovanni and Rossi, Lorenza and Tancioni, Massimiliano (2004): Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison.
en
oai:mpra.ub.uni-muenchen.de:1120
2019-09-28T22:53:13Z
7374617475733D756E707562
7375626A656374733D45:4535
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1120/
The macroeconomic effects of monetary policy and financial crisis
Douch, Mohamed
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
G1 - General Financial Markets
In this paper we focus on postwar US data and incorporate new nancial measures and
monetary policy shocks in a vector autoregression (VAR) system in order to test whether one or the other has any real effect on the economy. We nd econometric evidence that these shocks and events are exogenous, and therefore the exogenous nature of shocks to monetary policy and stock market crashes investigated in this study may help policymakers, especially regarding debates related to eventual relationships between optimal monetary policy and nancial stability.
2005-05-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1120/1/MPRA_paper_1120.pdf
Douch, Mohamed (2005): The macroeconomic effects of monetary policy and financial crisis.
en
oai:mpra.ub.uni-muenchen.de:1123
2019-09-29T22:34:04Z
7374617475733D696E7072657373
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1123/
The effectiveness of official intervention in foreign exchange market in Malawi
Simwaka, Kisu
E58 - Central Banks and Their Policies
The Malawi Kwacha was floated in February 1994. Since then, the Reserve Bank of Malawi has periodically intervened in the foreign exchange market. This paper analyses the effectiveness of foreign exchange market interventions carried out by the Reserve Bank of Malawi. We use a GARCH (1, 1) model to simultaneously estimate the effect of intervention on the mean and volatility of the Malawi kwacha.
Using monthly exchange rates and official intervention data from January 2002 to February 2006, the empirical results suggest that intervention activities of the Reserve Bank of Malawi affect the kwacha. In line with similar findings elsewhere in the literature, the paper finds that net sales of dollars by the Reserve Bank of Malawi depreciate, rather than appreciate, the kwacha. This effect is very small, however. Moreover, the paper also finds that the Reserve Bank of Malawi intervention reduces the volatility of the kwacha. This shows that the Reserve Bank actually achieves its objective of smoothing out fluctuations of the kwacha. This can be evidenced by the stability of the kwacha during a greater part of 2004. Thus intervention is, to some extent, used as an effective tool for moderating fluctuations of the kwacha. However, its effectiveness is constrained by the amounts of foreign exchange reserves, which are usually low.
2006-11-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1123/1/MPRA_paper_1123.pdf
Simwaka, Kisu (2006): The effectiveness of official intervention in foreign exchange market in Malawi. Forthcoming in:
en
oai:mpra.ub.uni-muenchen.de:1139
2019-10-07T16:32:24Z
7374617475733D756E707562
7375626A656374733D45:4532:453234
7375626A656374733D4A:4A35:4A3531
7375626A656374733D45:4535:453532
7375626A656374733D45:4533:453332
7375626A656374733D4A:4A32:4A3233
7375626A656374733D45:4535:453530
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1139/
Productivity shocks and Optimal Monetary Policy in a Unionized Labor Market Economy
Mattesini, Fabrizio
Rossi, Lorenza
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
J51 - Trade Unions: Objectives, Structure, and Effects
E52 - Monetary Policy
E32 - Business Fluctuations ; Cycles
J23 - Labor Demand
E50 - General
In this paper we analyze a general equilibrium DSNK model characterized by labor indivisibilities, unemployment and a unionized labor market. The presence of monopoly unions introduces real wage rigidities in the model. We show that as in Blanchard Galì (2005) the so called "divine coincidence" does not hold and a trade-off between inflation stabilization and the output stabilization arises. In particular, a productivity shock has a negative effect on inflation, while a reservation-wage shock has an effect of the same size but with the opposite sign. We derive a welfare-based objective function for the Central Bank as a second order Taylor approximation of the expected utility of the economy's representative household, and we analyze optimal monetary policy under discretion and under commitment. Under discretion a negative productivity shock and a positive exogenous wage shock will require an increase in the nominal interest rate. An operational instrument rule, in this case, will satisfy the Taylor principle, but will also require that the nominal interest rate does not necessarily respond one to one to an increase in the natural rate of interest. The results of the model are consistent with a well known empirical regularity in macroeconomics, i.e. that employment volatility is relatively larger than real wage volatility.
2006-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1139/1/MPRA_paper_1139.pdf
Mattesini, Fabrizio and Rossi, Lorenza (2006): Productivity shocks and Optimal Monetary Policy in a Unionized Labor Market Economy.
en
oai:mpra.ub.uni-muenchen.de:1180
2019-09-26T10:14:33Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4536:453631
7375626A656374733D43:4335:433532
7375626A656374733D46:4633:463331
7375626A656374733D43:4335:433533
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1180/
Equilibrium Exchange Rates in EU New Members: Applicable for Setting the ERM II Central Parity?
Horvath, Roman
Komarek, Lubos
E58 - Central Banks and Their Policies
E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination
C52 - Model Evaluation, Validation, and Selection
F31 - Foreign Exchange
C53 - Forecasting and Prediction Methods ; Simulation Methods
In this paper we discuss the estimation and methodology of the real equilibrium exchange rate partial equilibrium models and analyze to what extent the resulting estimates are applicable for setting the central parity prior to ERM II entry in the new EU member states. Given the uncertainty surrounding the estimates, we argue that they are informative in the sign rather than the size of the misalignment of the exchange rate, but may still serve as useful consistency checks for the decision on the setting of the central parity. We argue that policy makers should consider the estimates in their decision-making only if the real exchange rate is substantially misaligned.
2006-10-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1180/1/MPRA_paper_1180.pdf
Horvath, Roman and Komarek, Lubos (2006): Equilibrium Exchange Rates in EU New Members: Applicable for Setting the ERM II Central Parity?
en
oai:mpra.ub.uni-muenchen.de:1196
2019-10-24T17:12:58Z
oai:mpra.ub.uni-muenchen.de:1240
2019-09-26T11:59:38Z
7374617475733D756E707562
7375626A656374733D45:4534:453432
7375626A656374733D45:4535:453532
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1240/
The Eventual Failure and Price Indeterminacy of Inflation Targeting
Eagle, David
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
E52 - Monetary Policy
E58 - Central Banks and Their Policies
In stark contrast to the previous literature, we find that IT leads to price indeterminacy even when the central bank uses a Taylor-like feedback rule to peg the nominal interest rate. We also find that there is no mechanism with IT to determine the current inflation rate or price level. We conclude that the previous literature has either committed mathematical errors involving infinity or misused the non-explosive criterion for ruling out speculative bubbles. To avoid making errors involving infinity, we analyze inflation targeting (IT) in a typical rational-expectations, pure-exchange, general-equilibrium model where the time horizon is arbitrarily large, but finite.
2006-11-22
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1240/1/MPRA_paper_1240.pdf
Eagle, David (2006): The Eventual Failure and Price Indeterminacy of Inflation Targeting.
en
oai:mpra.ub.uni-muenchen.de:1432
2019-09-27T13:56:32Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D45:4536:453632
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1432/
Positive effects of fiscal expansions on growth and debt
Canale, Rosaria Rita
E52 - Monetary Policy
E62 - Fiscal Policy
The aim of this paper is to point out the shortcomings of propositions that deny economic policy any active role and propose a simple model by which public expenditure is still recognised as performing an active and positive function. The core of our thesis is that public deficit, because it actually has positive effects on the rate of growth, does not automatically increase public debt but rather reduces it. These positive effects are greater if the Central Bank’s monetary policy rule does not change. The policy authority has no reason to change its behaviour since there is no strict relation between fiscal expansions and inflation. The smaller the economic weight of the country considered in terms of the whole Monetary Union, the weaker is the link. These conclusions suggest we should rethink the limits imposed by the Stability and Growth Pact to the action of governments and subordinate the possibility of spending to the inflationary effects of deficit on the whole Union.
2006-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1432/1/MPRA_paper_1432.pdf
Canale, Rosaria Rita (2006): Positive effects of fiscal expansions on growth and debt.
en
oai:mpra.ub.uni-muenchen.de:1470
2019-09-26T09:23:29Z
7374617475733D707562
7375626A656374733D45:4535:453531
7375626A656374733D45:4535:453532
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1470/
A Simple Model Of Currency Crises And Budget Deficits: The Case Of Turkey
Ongan, Tevfik Hakan
Karabulut, Gökhan
E51 - Money Supply ; Credit ; Money Multipliers
E52 - Monetary Policy
E58 - Central Banks and Their Policies
The aim of this paper is to explore the determinants of currency crises and to illustrate the dynamic behaviour of the fundamental macroeconomic variables in a small open economy under a peg regime. The mainstream models in currency crises literature are not sufficiently available to explain the recent Turkish currency crisis observed in 2000. Turkey was successful to fix domestic credit at the same time with a crawling peg regime in order to achieve price stability. Furthermore, the political preferences were also in favour of continuing the program. Though these facts, the peg collapsed by a speculative attack. Depending on these issues, in our model, which uses a Keynesian framework augmented with a speculative foreign exchange market, it has been focused on the fundamental macroeconomic relationship between budget and trade deficits. Our theoretical model and the simulation results indicate that whether the deficit is financed by monetisation or domestic borrowing, persisting budget deficits cause the peg system to collapse. Overborrowing problems and deterioating balance sheets also play an important role on the unsustainability of the peg regime.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1470/1/MPRA_paper_1470.pdf
Ongan, Tevfik Hakan and Karabulut, Gökhan (2004): A Simple Model Of Currency Crises And Budget Deficits: The Case Of Turkey. Published in: Maliye Araştırma Konferansları , Vol. 46, (2004): pp. 206-225.
en
oai:mpra.ub.uni-muenchen.de:1538
2019-10-06T02:12:56Z
7374617475733D756E707562
7375626A656374733D45:4534:453432
7375626A656374733D45:4533:453331
7375626A656374733D45:4535:453532
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1538/
Revealing the naked truth behind price determinacy, infinite-horizon rational expectations, and inflation targeting
Eagle, David
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
E31 - Price Level ; Inflation ; Deflation
E52 - Monetary Policy
E58 - Central Banks and Their Policies
The economic profession should demand that that price-determinacy literature adhere to normal academic standards and burdens of proof. By presenting two examples where the non-exploding criterion fails miserably, we demonstrate that that criterion does not universally apply. Therefore, the previous price-determinacy literature has the burden to prove that the non-explosive criterion does apply, but has not met and probably cannot meet that burden. This paper looks at an economy with an arbitrarily large, but finite horizon and concludes that inflation targeting leads to price indeterminacy even with a Taylor-like feedback rule for setting the nominal interest rate.
2007-01-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1538/1/MPRA_paper_1538.pdf
Eagle, David (2007): Revealing the naked truth behind price determinacy, infinite-horizon rational expectations, and inflation targeting.
en
oai:mpra.ub.uni-muenchen.de:1643
2019-09-28T03:33:39Z
7374617475733D756E707562
7375626A656374733D45:4533:453331
7375626A656374733D45:4533:453330
7375626A656374733D45:4535:453530
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1643/
Inflation Transmission in the EMU: A Markov-Switching VECM Analysis
Thams, Andreas
E31 - Price Level ; Inflation ; Deflation
E30 - General
E50 - General
This paper analyzes the transmission of inflation across the five largest economies in the European Monetary Union, i.e. France, Germany, Italy, Netherlands and Spain. We use
monthly CPI inflation rates for the period 1970-2006. Given the long observation period and the continuing economic integration of Europe’s economies, we first try to investigate, if there were changes in inflation dynamics in these countries using univariate Markov-switching models. To assess the inflation transmission mechanism, we first establish a long-run relationship between the five countries using cointegration methods. As implied by the results of the univariate models, we allow for changes in the adjustment coefficients of the cointegrating relationships and the short-run dynamics. Using a Markov-switching vector error correction model we find evidence for multiple regime switches during the early 1970s till the mid 1980s. Exactly during this period we find evidence for Germany being weakly exogenous, which highlights the dominance of German monetary policy at this time. Since the mid-1980s we find evidence for a stable transmission mechanism both in the long- and the short-run characterized by a low degree of inflation persistence.
2007-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1643/1/MPRA_paper_1643.pdf
Thams, Andreas (2007): Inflation Transmission in the EMU: A Markov-Switching VECM Analysis.
en
oai:mpra.ub.uni-muenchen.de:1645
2019-10-02T13:22:42Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D45:4533:453331
7375626A656374733D45:4536:453631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1645/
The Relevance of the fiscal Theory of the Price Level revisited
Thams, Andreas
E52 - Monetary Policy
E31 - Price Level ; Inflation ; Deflation
E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination
This paper analyzes empirically the impact of fiscal policy on the price level for Germany
and Spain. We investigate, whether the fiscal theory of the price level (FTPL) is able to
deliver a reasonable explanation for the different evolutions of the price levels in these
two countries during recent years. We apply a Bayesian VAR model with sign restrictions
on the impulse responses to assess the relation between surpluses and public debt. The
analysis basically evidences non-Ricardian equilibria in Spain, while the opposite is true for Germany. We interpret this as evidence for the inflation differences in these two countries being partially induced by fiscal policy shocks.
2007-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1645/1/MPRA_paper_1645.pdf
Thams, Andreas (2007): The Relevance of the fiscal Theory of the Price Level revisited.
en
oai:mpra.ub.uni-muenchen.de:1650
2019-10-02T04:44:03Z
7374617475733D756E707562
7375626A656374733D46:4634:463431
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1650/
The Taylor rule: can it be supported by the data?
Leon, Costas
F41 - Open Economy Macroeconomics
E58 - Central Banks and Their Policies
The Taylor equation is a simple monetary policy rule that determines the Central Bank’s policy rate as a function of inflation and output. A significant body of literature verifies the consistency of the Taylor rule with the data. However, recently there has been a growing literature regarding the validity of the estimated parameters due to the non-stationarity of the interest rate. In this paper I test the consistency of the Taylor rule with the Greek data for the period 1996-2004. It appears that the data do not support the Taylor rule in the sense that they do not form a cointegration set of variables. Therefore, the estimated parameters should be considered fragile and the forecasting for the interest rate as a function of inflation and output should not be expected to be adequately consistent with the actual data.
2006-08-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1650/1/MPRA_paper_1650.pdf
Leon, Costas (2006): The Taylor rule: can it be supported by the data?
en
oai:mpra.ub.uni-muenchen.de:1708
2019-10-02T04:30:03Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D45:4535:453532
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1708/
Why do markets react badly to good news? Evidence from Fed Funds Futures
Ghent, Andra
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
E52 - Monetary Policy
E44 - Financial Markets and the Macroeconomy
It is well known that U.S. monetary policy is well-approximated by a Taylor rule. This suggests a reason why good macroeconomic news sometimes depresses equity returns: good news about the real side of the economy implies tighter future monetary policy. I test this hypothesis by assessing the effect of news on equity returns after controlling for changes in expectations of future monetary policy using Fed Funds Futures data. The results do not support the theory. Furthermore, the negative response of stock markets to unanticipated inflation is unchanged by controlling for changes in monetary policy expectations.
2007-02-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1708/1/MPRA_paper_1708.pdf
Ghent, Andra (2007): Why do markets react badly to good news? Evidence from Fed Funds Futures.
en
oai:mpra.ub.uni-muenchen.de:1795
2019-10-01T16:22:47Z
7374617475733D756E707562
7375626A656374733D46:4634:463431
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1795/
The Maastricht convergence criteria and optimal monetary policy for the EMU accession countries
Lipinska, Anna
F41 - Open Economy Macroeconomics
E52 - Monetary Policy
The EMU accession countries are obliged to fulfill the Maastricht convergence criteria prior to entering the EMU. What should be the optimal monetary policy satisfying these criteria? To answer this question, the paper proposes a DSGE model of a two-sector small open economy. First, I derive the micro founded loss function that represents the objective function of the optimal monetary policy not constrained to satisfy the criteria. I find that the optimal monetary policy should not only target in�ation rates in the domestic sectors and aggregate output fluctuations but also domestic and international terms of trade. Second, I show how the loss function changes when the monetary policy is constrained to satisfy the Maastricht criteria. The loss function of such a constrained policy is characterized by additional elements penalizing fluctuations of the CPI inflation rate, the nominal interest rate and the nominal exchange rate around the new targets which are different from the steady state of the unconstrained optimal monetary policy.
Under the chosen parameterization, the optimal monetary policy violates two criteria: concerning the CPI inflation rate and the nominal interest rate. The constrained optimal policy is characterized by a deflationary bias. This results in targeting the CPI inflation rate and the nominal interest rate that are 0.7% lower (in annual terms) than the CPI inflation rate and the nominal interest rate in the countries taken as a reference. Such a policy leads to additional welfare costs amounting to 30% of the optimal monetary policy loss.
2006-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1795/1/MPRA_paper_1795.pdf
Lipinska, Anna (2006): The Maastricht convergence criteria and optimal monetary policy for the EMU accession countries.
en
oai:mpra.ub.uni-muenchen.de:1838
2019-09-26T09:13:18Z
7374617475733D756E707562
7375626A656374733D45:4536:453631
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
7375626A656374733D45:4536:453633
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1838/
Why should central banks be independent?
Harashima, Taiji
E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination
E58 - Central Banks and Their Policies
E52 - Monetary Policy
E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy ; Stabilization ; Treasury Policy
Most explanations for the necessity of an independent central bank rely on the time-inconsistency model and therefore assume that governments are weak, foolish, or untruthful and tend to cheat people. The model in this paper indicates, however, that an independent central bank is not necessary because governments are weak or foolish. Central banks must be independent because governments are economic Leviathans. Only by severing the link between the political will of a Leviathan government and economic activities is inflation perfectly guaranteed not to accelerate. A truly independent central bank is necessary because it severs this link.
2007-01-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1838/1/MPRA_paper_1838.pdf
Harashima, Taiji (2007): Why should central banks be independent?
en
oai:mpra.ub.uni-muenchen.de:1839
2019-09-28T04:42:28Z
7374617475733D756E707562
7375626A656374733D45:4534:453431
7375626A656374733D45:4534:453432
7375626A656374733D45:4536:453633
7375626A656374733D45:4535:453531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1839/
The Optimal Quantity of Money Consistent with Positive Nominal Interest Rates
Harashima, Taiji
E41 - Demand for Money
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy ; Stabilization ; Treasury Policy
E51 - Money Supply ; Credit ; Money Multipliers
The Friedman rule is strongly immune to most model modifications although it has not actually been observed. The Friedman rule implicitly assumes that a government is perfectly under the control of the representative household. This paper shows that, if a government is not perfectly under the control of the representative household, but also pursues political objectives, the optimal quantity of money generally is accompanied by positive nominal interest and inflation rates through the simultaneous optimization of government and the representative household. The fact that nominal interest and inflation rates are usually positive conversely implies that a government usually pursues political objectives.
2007-01-16
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1839/1/MPRA_paper_1839.pdf
Harashima, Taiji (2007): The Optimal Quantity of Money Consistent with Positive Nominal Interest Rates.
en
oai:mpra.ub.uni-muenchen.de:1876
2019-09-29T04:44:12Z
7374617475733D756E707562
7375626A656374733D45:4535:453530
7375626A656374733D45:4535:453532
7375626A656374733D43:4331:433135
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1876/
Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison
Dibartolomeo, Giovanni
Rossi, Lorenza
Tancioni, Massimiliano
E50 - General
E52 - Monetary Policy
C15 - Statistical Simulation Methods: General
E58 - Central Banks and Their Policies
This paper develops a simple New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model with rule-of-thumb consumers and external habits. Our theoretical model has a closed-form solution which allows the analytical derivation of its dynamical and stability properties. These properties are analyzed and discussed in the light of their implications for the efficacy and the calibration of the conduct of the monetary policy. The model is then evaluated empirically, employing numerical simulations based on Monte Carlo Bayesian estimates of the structural parameters and impulse response analyses based on weakly identified SVECMs. The estimates are repeated for each of the G7 national economies. Providing single country estimates and simulations, we derive some indications on the relative efficacy of monetary policy and of its potential asymmetric effects resulting from the heterogeneity of the estimated models.
2004-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1876/1/MPRA_paper_1876.pdf
Dibartolomeo, Giovanni and Rossi, Lorenza and Tancioni, Massimiliano (2004): Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison.
en
oai:mpra.ub.uni-muenchen.de:1877
2019-09-27T04:56:34Z
7374617475733D756E707562
7375626A656374733D45:4535:453530
7375626A656374733D45:4535:453532
7375626A656374733D4A:4A32:4A3233
7375626A656374733D45:4532:453234
7375626A656374733D4A:4A35:4A3531
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1877/
Productivity shocks and Optimal Monetary Policy in a Unionized Labor Market Economy
Mattesini, Fabrizio
Rossi, Lorenza
E50 - General
E52 - Monetary Policy
J23 - Labor Demand
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
J51 - Trade Unions: Objectives, Structure, and Effects
E32 - Business Fluctuations ; Cycles
In this paper we analyze a general equilibrium DSNK model characterized by labor indivisibilities, unemployment and a unionized labor market. The presence of monopoly unions introduces real wage rigidities in the model. We show that as in Blanchard Galì (2005) the so called "divine coincidence" does not hold and a trade-off between inflation stabilization and the output stabilization arises. In particular, a productivity shock has a negative effect on inflation, while a reservation-wage shock has an effect of the same size but with the opposite sign. We derive a welfare-based objective function for the Central Bank as a second order Taylor approximation of the expected utility of the economy's representative household, and we analyze optimal monetary policy under discretion and under commitment. Under discretion a negative productivity shock and a positive exogenous wage shock will require an increase in the nominal interest rate. An operational instrument rule, in this case, will satisfy the Taylor principle, but will also require that the nominal interest rate does not necessarily respond one to one to an increase in the natural rate of interest. The results of the model are consistent with a well known empirical regularity in macroeconomics, i.e. that employment volatility is relatively larger than real wage volatility.
2005-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1877/1/MPRA_paper_1877.pdf
Mattesini, Fabrizio and Rossi, Lorenza (2005): Productivity shocks and Optimal Monetary Policy in a Unionized Labor Market Economy.
en
oai:mpra.ub.uni-muenchen.de:1883
2019-10-08T04:42:12Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
7375626A656374733D45:4534:453432
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1883/
The eventual failure and price indeterminacy of inflation targeting
Eagle, David
E58 - Central Banks and Their Policies
E52 - Monetary Policy
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
In stark contrast to the previous literature, we find that IT leads to price indeterminacy even when the central bank uses a Taylor-like feedback rule to peg the nominal interest rate. We also find that there is no mechanism with IT to determine the current inflation rate or price level. We conclude that the previous literature has either committed mathematical errors involving infinity or misused the non-explosive criterion for ruling out speculative bubbles. To avoid making errors involving infinity, we analyze inflation targeting (IT) in a typical rational-expectations, pure-exchange, general-equilibrium model where the time horizon is arbitrarily large, but finite.
2006-11-22
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1883/1/MPRA_paper_1883.pdf
Eagle, David (2006): The eventual failure and price indeterminacy of inflation targeting.
en
oai:mpra.ub.uni-muenchen.de:1885
2019-09-28T12:46:50Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
7375626A656374733D45:4534:453432
7375626A656374733D45:4533:453331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1885/
Revealing the naked truth behind price determinacy, infinite-horizon rational expectations, and inflation targeting
Eagle, David
E58 - Central Banks and Their Policies
E52 - Monetary Policy
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
E31 - Price Level ; Inflation ; Deflation
By presenting two examples where the non-exploding criterion fails miserably, we demonstrate that that criterion does not universally apply. Therefore, by normal academic standards and burdens of proof, the previous price-determinacy literature has the burden to prove that the non-explosive criterion does apply to their models. However, that literature has not met and probably cannot meet that burden. Instead of using the non-explosive criterion, this paper looks at an economy with an arbitrarily large, but finite horizon and concludes that inflation targeting leads to price indeterminacy even with a Taylor-like feedback rule for setting the nominal interest rate.
2007-01-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1885/1/MPRA_paper_1885.pdf
Eagle, David (2007): Revealing the naked truth behind price determinacy, infinite-horizon rational expectations, and inflation targeting.
en
oai:mpra.ub.uni-muenchen.de:1904
2019-10-12T23:53:27Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D44:4435:443531
7375626A656374733D44:4439:443931
7375626A656374733D44:4435:443532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1904/
Money, Tobin Effect, and Incerasing Returns
Basci, Erdem
Erdogan, Ayse M.
Saglam, Ismail
E52 - Monetary Policy
D51 - Exchange and Production Economies
D91 - Intertemporal Household Choice ; Life Cycle Models and Saving
D52 - Incomplete Markets
This paper shows that unregulated decentralized equilibrium is viable under increasing returns technologies in an overlapping
generations model of production with cash-in-advance constraints.
We also demonstrate that the model exhibits
both the Tobin effect and the reverse Tobin effect.
2006-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1904/1/MPRA_paper_1904.pdf
Basci, Erdem and Erdogan, Ayse M. and Saglam, Ismail (2006): Money, Tobin Effect, and Incerasing Returns.
en
oai:mpra.ub.uni-muenchen.de:1917
2019-10-05T12:07:00Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D44:4435:443531
7375626A656374733D44:4439:443931
7375626A656374733D44:4435:443532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1917/
Money, Tobin Effect, and Increasing Returns
Basci, Erdem
Erdogan, Ayse M.
Saglam, Ismail
E52 - Monetary Policy
D51 - Exchange and Production Economies
D91 - Intertemporal Household Choice ; Life Cycle Models and Saving
D52 - Incomplete Markets
This paper shows that unregulated decentralized equilibrium is viable under increasing returns technologies in an overlapping generations model of production with cash-in-advance constraints. We also demonstrate that the model exhibits
both the Tobin effect and the reverse Tobin effect.
2006-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1917/1/MPRA_paper_1917.pdf
Basci, Erdem and Erdogan, Ayse M. and Saglam, Ismail (2006): Money, Tobin Effect, and Increasing Returns.
en
oai:mpra.ub.uni-muenchen.de:1928
2019-10-05T22:01:34Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1928/
Optimal Monetary Policy and Expectation Driven Business Cycles
Guo, Shen
E52 - Monetary Policy
E32 - Business Fluctuations ; Cycles
We explore the optimal response of central bank when a news shock hits the economy, that is, agents’ optimistic expectation of an improvement in technology does not realize. Ramsey optimal policy and simple policy rules are studied in a two-sector model with price rigidities in each of non-durable and durable sector. We find that a simple policy rule reacting to the inflation rates in both non-durable and durable sector with appropriate weights can mimic the performance of the Ramsey policy closely. Another interesting result is that monetary policy plays an important role in generating expectation driven business cycles.
2007-02-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1928/1/MPRA_paper_1928.pdf
Guo, Shen (2007): Optimal Monetary Policy and Expectation Driven Business Cycles.
en
oai:mpra.ub.uni-muenchen.de:1979
2019-09-28T04:59:13Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D45:4533:453331
7375626A656374733D45:4531:453132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1979/
Staggered wages, inflation, and discounting
Bonini, Patricia
Da Silva, Sergio
E52 - Monetary Policy
E31 - Price Level ; Inflation ; Deflation
E12 - Keynes ; Keynesian ; Post-Keynesian
In the literature of staggered wages (Taylor, 1979, 1980; Blanchard, 1986; Ball and Cecchetti, 1991) the discount factor is neglected in the workers’ loss function. Yet discounting is to be viewed as an extra piece of micro-foundation with implications for discretionary monetary policy. We revisit the issue and show that discounting in the model of staggered wages actually lowers the time consistent steady inflation.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1979/1/MPRA_paper_1979.pdf
Bonini, Patricia and Da Silva, Sergio (2007): Staggered wages, inflation, and discounting.
en
oai:mpra.ub.uni-muenchen.de:2011
2019-09-27T00:00:30Z
7374617475733D756E707562
7375626A656374733D47:4732:473231
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2011/
Banking Sector Integration and Competition in CEMAC
Saab, Samer
Vacher, Jerome
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
E58 - Central Banks and Their Policies
This paper considers the extent of retail banking integration in the Communauté Economique et Monétaire d'Afrique Centrale (CEMAC) and the level of bank competition at the regional level. Using a mix of quantitative and qualitative indicators, the paper finds some evidence of price convergence in average interest rate spreads. However, this observed fact is not supported by an increase in cross-border flows in retail loans and deposits, and price convergence may merely reflect excess liquidity in the region. Other data also indicate that bank competition within the CEMAC as a region is limited, complementing the findings on integration. Addressing shortfalls in legal and regulatory frameworks, infrastructure, and markets would facilitate integration.
2007-01-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2011/1/MPRA_paper_2011.pdf
Saab, Samer and Vacher, Jerome (2007): Banking Sector Integration and Competition in CEMAC.
en
oai:mpra.ub.uni-muenchen.de:2056
2019-09-28T12:25:44Z
7374617475733D707562
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2056/
Interest Rate Pass-through in Pakistan: Evidence from Transfer Function Approach
Qayyum, Abdul
Khan, Sajawal
Khawaja, Idrees
E52 - Monetary Policy
The influence of monetary policy upon real output and the inflation rate is well established. The influence is exercised through the transmission mechanism of monetary policy. This study has examined the pass-through of Treasury Bill rate to money market rate (Call Money rate), Banks’ Deposit rate and Banks’ Lending rate. The broader conclusion is that pass-through from Treasury Bill rate to Call money rate is completed during the first month. However pass-through from Treasury Bill rate to Deposit rates and the Lending rate takes much longer, that is, these rates exhibit rigidity. The results are in conformity with the empirical evidence in the relevant literature for other countries. In practice, the pass-through to the deposit and the lending rates is expected to be quicker than evidenced in this study. The reason is that the study uses weighted average deposit and lending rate. Given that the weighted average rate takes into account outstanding deposit/loans contracted at previous rates as well, (besides the fresh deposit/loans contracted at new rates) this tends to tone down the pass-through.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2056/1/MPRA_paper_2056.pdf
Qayyum, Abdul and Khan, Sajawal and Khawaja, Idrees (2005): Interest Rate Pass-through in Pakistan: Evidence from Transfer Function Approach. Published in: The Pakistan Development Review , Vol. 44, No. 4 (2005): pp. 975-1001.
en
oai:mpra.ub.uni-muenchen.de:2084
2019-09-30T05:48:18Z
7374617475733D707562
7375626A656374733D45:4535:453530
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2084/
Demand for Bank Lending by the Private Business Sector in Pakistan
Qayyum, Abdul
E50 - General
This study estimates the demand for bank lending by the private business sector in Pakistan. For the purpose of analysis a three-step methodology is applied, that is, univariate analysis, multivariate cointegration analysis, and error correction mechanism. It is found that the individual series are difference stationary, and there is a long-run stable relationship between the variables. The preferred model, obtained by the application of the general-to-specific methodology is also found to be stable throughout the study period. The study shows that the output of business sector is an important determinant of the demand for bank credit in Pakistan, implying that to achieve the objective of monetary policy the behaviour of the output of business sector must not be ignored. Furthermore, the study shows that the rate of interest on bank advances is an important determinant of the demand of credit by the business sector. It implies that monetary authorities can move the flow of bank credit to the private sector while changing the interest rate charged on bank lending. The analysis has important implications: a tight monetary policy implies a high rate of real interest; a high rate of interest on bank lending negatively affects the demand for bank credit by the business sector (and the investment), which in turn leads to low aggregate demand and lower output. That is what has happened in Pakistan in the last decade.
2002
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2084/1/MPRA_paper_2084.pdf
Qayyum, Abdul (2002): Demand for Bank Lending by the Private Business Sector in Pakistan. Published in: The Pakistan Development Review , Vol. 41, No. 2 (2002): pp. 149-159.
en
oai:mpra.ub.uni-muenchen.de:2150
2019-09-27T16:47:51Z
7374617475733D707562
7375626A656374733D45:4535:453531
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2150/
Capital Flows and Money Supply: The Degree of Sterilisation in Pakistan
Qayyum, Abdul
Khan, Arshad
E51 - Money Supply ; Credit ; Money Multipliers
E58 - Central Banks and Their Policies
In this study an attempt has been made to develop and estimate the domestic credit policy reaction function to analyse the monetary implications of interventions and sterilisation policy in Pakistan using quarterly data ranging from 1982 Q3 through 2001 Q2. By employing Johansen multivariate cointegration technique, this paper has considered the degree of sterilisation that the Pakistan has used in controlling capital flows.
The evidence suggests that Pakistan sterilises around 72 percent of international reserve inflows in the long-run while 88 percent in the short-run during the period of study.
2003
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2150/1/MPRA_paper_2150.pdf
Qayyum, Abdul and Khan, Arshad (2003): Capital Flows and Money Supply: The Degree of Sterilisation in Pakistan. Published in: The Pakistan Development Review , Vol. 42, No. 4 (2003): pp. 975-985.
en
oai:mpra.ub.uni-muenchen.de:2153
2019-10-01T19:29:03Z
7374617475733D707562
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2153/
Monetary Conditions Index: A Composite Measure of Monetary Policy in Pakistan
Qayyum, Abdul
E58 - Central Banks and Their Policies
This paper estimated Monetary Conditions Index (MCI) of inflation variable for Pakistan by using monthly data from June 1990 to June 2001. Before calculating MCI we have estimated weights of interest rate and exchange rate to be used in the construction of MCI. For this purpose we used unit root analysis and Johenson (1988) maximum likelihood method base on vector autoregressive technology. The estimated monetary conditions ratio for Pakistan is around 2.79:1. Finally we have constructed the MCI by utilising the estimated weights of rate of interest and exchange rate. The analysis indicate overall tight monetary policy during the decade. However there is some easing spell during 1997 to 1999. This shows the determinedness of monetary authorities with objective of keeping inflation low. Low inflation at the end of the decade indicates the success of monetary authorities in the conduct of monetary policy in achieving the target of low inflation.
2002
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2153/1/MPRA_paper_2153.pdf
Qayyum, Abdul (2002): Monetary Conditions Index: A Composite Measure of Monetary Policy in Pakistan. Published in: The Pakistan Development Review , Vol. 41, No. 4 (2002): pp. 551-566.
en
oai:mpra.ub.uni-muenchen.de:2252
2019-09-27T03:50:22Z
7374617475733D707562
7375626A656374733D45:4532:453234
7375626A656374733D4A:4A36:4A3634
7375626A656374733D45:4533:453332
7375626A656374733D45:4533:453331
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2252/
Unemployment, Inflation and Monetary Policy in a Dynamic New Keynesian Model with Hiring Costs
Abbritti, Mirko
Boitani, Andrea
Damiani, Mirella
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
J64 - Unemployment: Models, Duration, Incidence, and Job Search
E32 - Business Fluctuations ; Cycles
E31 - Price Level ; Inflation ; Deflation
E52 - Monetary Policy
The dynamic general equilibrium model with hiring costs presented in this paper delivers
involuntary unemployment in the steady state and involuntary fluctuations in unemploy-
ment. After calibrating the model, through simulations we are able to show that our model
with labour market imperfections outperforms the standard NK model as for the persis-
tence of responses to monetary shocks. Besides, the model can be easily used to assess
the impact of di¤erent market imperfections on both the steady state and the dynamics
of the economy. We are also able to show how two economies, differing in their degrees
of imperfection, react to policy or non policy shocks: a rigid economy turns out to be
less volatile than a flexible economy. Something that reflects the actual experience of the US (flexible) and European (rigid) economies.
2006-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2252/1/MPRA_paper_2252.pdf
Abbritti, Mirko and Boitani, Andrea and Damiani, Mirella (2006): Unemployment, Inflation and Monetary Policy in a Dynamic New Keynesian Model with Hiring Costs. Published in: HEI Working Paper No. 07/2007 (January 2007): pp. 1-33.
en
oai:mpra.ub.uni-muenchen.de:2318
2019-09-28T02:21:45Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D45:4534:453437
7375626A656374733D43:4331:433135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2318/
Are there gains from including monetary aggregates and stock market indices in the monetary policy reaction function? A simulation study of recent U.S. monetary policy
Mandler, Martin
E52 - Monetary Policy
E47 - Forecasting and Simulation: Models and Applications
C15 - Statistical Simulation Methods: General
We study how the inclusion of growth rates of monetary aggregates
or changes in stock market indices affects the stabilization
performance of optimal monetary policy rules when there is
uncertainty about the structure of the economy. With a simulation
model of the U.S. economy we show that the performance of monetary
policy rules that include these variables deteriorates much
stronger than that of rules without them if the true economic
structure deviates from the one used to derive the rule. We also
investigate whether money growth and changes in stock market
indices help explaining the Fed's recent monetary policy.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2318/1/MPRA_paper_2318.pdf
Mandler, Martin (2006): Are there gains from including monetary aggregates and stock market indices in the monetary policy reaction function? A simulation study of recent U.S. monetary policy.
en
oai:mpra.ub.uni-muenchen.de:2328
2019-09-30T12:54:21Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2328/
Central bank intervention, sterilization and monetary independence: the case of Pakistan
Waheed, Muhammad
E58 - Central Banks and Their Policies
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper analyzes the response of the State bank of Pakistan—the central bank, to foreign exchange inflows for the period of 2001:1 to 2006:8. In this context, we estimated sterilization and offset coefficients using vector autoregression (VAR) model to account for the issue of endogeneity of domestic credit with the foreign exchange interventions. In addition, the paper also analyzes the role of foreign and domestic interest rate differentials in pulling in or pushing out of these foreign exchange flows. We found that the offset coefficient is very small and insignificant (0.16) implying that changes in credit resulted in very minimal offsetting reserve flows. The study found out that for the sample period, SBP only partially sterilized the inflows with magnitude of coefficient at (0.50) confirming the stylized facts. Results also indicate that inflows were neither pulled into the country due to high domestic interest rates due to some domestic policy nor they are pushed into Pakistan owing to low interest rates abroad.
2007-03-16
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2328/1/MPRA_paper_2328.pdf
Waheed, Muhammad (2007): Central bank intervention, sterilization and monetary independence: the case of Pakistan.
en
oai:mpra.ub.uni-muenchen.de:2340
2019-10-05T17:40:22Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D43:4333:433332
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2340/
The Taylor rule and interest rate uncertainty in the U.S. 1955-2006
Mandler, Martin
C53 - Forecasting and Prediction Methods ; Simulation Methods
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E52 - Monetary Policy
We use a Taylor rule with time-varying policy coefficients in
combination with an unobserved components model for the output gap
to estimate the uncertainty about future values of the Federal
Funds Rate. The model makes it possible to separate ex-ante
interest rate uncertainty into three components: 1) uncertainty
about the Fed's future policy coefficients, 2) uncertainty about
future economic fundamentals, and 3) residual uncertainty. The
results show important changes in uncertainty about future
short-term interest rates over time with peaks in the late
1960s/early 1970s, mid 1970s and late 1970s/early 1980s. While for
one-quarter forecasts uncertainty about the Fed's policy reaction
is more important than uncertainty about economic fundamentals
this result is reversed for the two-quarter forecast horizon.
Results from a modified model with regime shifts in the variance
of the policy shocks confirm the previous findings but show
changes in residual uncertainty to be important as well.
2007-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2340/1/MPRA_paper_2340.pdf
Mandler, Martin (2007): The Taylor rule and interest rate uncertainty in the U.S. 1955-2006.
en
oai:mpra.ub.uni-muenchen.de:2424
2019-09-28T03:57:34Z
7374617475733D756E707562
7375626A656374733D45:4534:453431
7375626A656374733D47:4731:473138
7375626A656374733D45:4535:453532
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2424/
An actuarial approach to short-run monetary equilibrium
Mierzejewski, Fernando
E41 - Demand for Money
G18 - Government Policy and Regulation
E52 - Monetary Policy
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
The extent to which the money supply affects the aggregate cash balance demanded
at a certain level of nominal income and interest rates is determined by the interest-rate-elasticity and stability of the money demand. An actuarial approach is adopted in this paper for dealing with investors facing liquidity constraints and maintaining different expectations about risks. Under such circumstances, a level of surplus exists which maximises expected value. Moreover, when the distorted probability principle is introduced, the optimal liquidity demand is expressed as a Value-at-Risk and the comonotonic dependence structure determines the amount of money demanded by the
economy. As a consequence, the more unstable the economy, the greater the interestrate-elasticity of the money demand. Moreover, for different parametric characterisation of risks, market parameters are expressed as the weighted average of sectorial or individual estimations, in such a way that multiple equilibria of the economy are possible.
2007-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2424/1/MPRA_paper_2424.pdf
Mierzejewski, Fernando (2007): An actuarial approach to short-run monetary equilibrium.
en
oai:mpra.ub.uni-muenchen.de:2468
2019-10-01T16:56:48Z
7374617475733D756E707562
7375626A656374733D45:4533:453332
7375626A656374733D45:4532:453234
7375626A656374733D4A:4A35:4A3531
7375626A656374733D4A:4A32:4A3233
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2468/
Optimal Monetary Policy in a Dual Labor Market Economy
Rossi, Lorenza
Mattesini, Fabrizio
E32 - Business Fluctuations ; Cycles
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
J51 - Trade Unions: Objectives, Structure, and Effects
J23 - Labor Demand
E52 - Monetary Policy
We analyze, in this paper, DSNK general equilibrium model with indivisible labor where firms may belong to two different final goods producing sectors: one where wages and employment are determined in competitive labor markets and the orther where wages and employment are the result of a contractual process between unions and firms. The presence of monopoly unions introduces real wage rigidity in the model and this implies a trade-off between output stabilization and inflation stabilization i.e., as in Blanchard and Galì (2005), the so called "divine coincidence" does not hold. We show that the negative effect of a productivity shock on inflation and the positive effect of a cost-push shock is crucially determined by the proportion of firms that belong to the competitive sector. The larger is this number, the smaller are these effects. We derive a welfare based objective function as a second order Taylor approximation of the expected utility of the economy's representative agent and we analyze optimal monetary policy under discretion and under constrained commitment. We show that the larger is the number of firms that belong to the competitive sector, the smaller should be the response of the nominal interest rate to exogenous productivity and cost-push shocks. If we consider, however, an instrument rule where the interest rate must react to inflationary expectations, the rule is not affected by the structure of the labor market. The results of the model are consistent with a well known empirical regularity in macroeconomics, i.e. that employment volatility is larger than real wage volatility.
2007-01-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2468/1/MPRA_paper_2468.pdf
Rossi, Lorenza and Mattesini, Fabrizio (2007): Optimal Monetary Policy in a Dual Labor Market Economy.
en
oai:mpra.ub.uni-muenchen.de:2486
2019-09-26T18:59:12Z
7374617475733D756E707562
7375626A656374733D45:4534
7375626A656374733D45:4535:453532
7375626A656374733D45:4535:453538
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2486/
Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006)
Cifter, Atilla
Ozun, Alper
E4 - Money and Interest Rates
E52 - Monetary Policy
E58 - Central Banks and Their Policies
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This study aims to test the money base, money supply, credit capacity, industrial production index, interest rates, inflation and real exchange rate data of Turkey during the years 1997 – 2006 through the monetary transmission mechanism and passive money hypothesis using the vector error correction model based causality test. Empirical findings show that the passive money supply hypothesis of the new Keynesian economy is supported in part by accommodationalist views and they do not confirm to the view points of structuralist and liquidity preference theorist. However, according to the monetary transmission mechanism it has been established that long-term money supply only affects general price levels and production is influenced by interest rates in the new economy period for Turkish economy. Empirical findings show that in the new economy period interest transmission mechanism are brought to the fore.
2007-01-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2486/1/MPRA_paper_2486.pdf
Cifter, Atilla and Ozun, Alper (2007): Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006).
en
oai:mpra.ub.uni-muenchen.de:2706
2019-09-26T09:40:10Z
7374617475733D707562
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2706/
The effcts of Rate And variability of Inflation on Output Growth Variability: Evidence from selected Countries
Kalbe, Abbas
E52 - Monetary Policy
The effects of rate and variability inflation on output growth variability has has been investigated in this paper. The paper concludes that there exists no significant relationship between inflation rate and/or its variability and output growth variability in most of the cases. The results more or less remains the same when we introduced the lagged dependent variable and also in the case of pooling the data possibily due to the similar socio-economic structure of the economies included in the sample.
1992
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2706/1/MPRA_paper_2706.pdf
Kalbe, Abbas (1992): The effcts of Rate And variability of Inflation on Output Growth Variability: Evidence from selected Countries. Published in: Pakistan Development Review , Vol. 31, No. 4 (1992): pp. 771-777.
en
oai:mpra.ub.uni-muenchen.de:2708
2019-09-27T02:41:18Z
7374617475733D707562
7375626A656374733D52:5231:523131
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2708/
Does monetary policy have differential state-level effects? an empirical evaluation
Nachane, D M
Ray, P
Ghosh, S
R11 - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
E52 - Monetary Policy
The paper examines whether monetary policy has similar effects across major states in the Indian polity. Impulse response functions from an estimated Structural Vector Auto Regression (SVAR) reveal two sets of states: a core of states that respond to monetary policy in a significant fashion vis-à-vis others whose response is less significant. The paper attempts to trace the reasons for the differential response of these two sets of states in terms of financial deepening and differential industry mix.
2001-11-23
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2708/1/MPRA_paper_2708.pdf
Nachane, D M and Ray, P and Ghosh, S (2001): Does monetary policy have differential state-level effects? an empirical evaluation. Published in: Economic and Political Weekly , Vol. 36, (23 November 2001)
en
oai:mpra.ub.uni-muenchen.de:2719
2019-09-27T05:24:24Z
7374617475733D756E707562
7375626A656374733D43:4332:433232
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2719/
The monetary transmission mechanism in Pakistan: a sectoral analysis
Alam, Tasneem
Waheed, Muhammad
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
E52 - Monetary Policy
The present paper takes a first step in investigating the monetary transmission mechanism in Pakistan at a sectoral level. Using quarterly data spanning from 1973:1 to 2003:4, we examine whether monetary policy shocks have different sectoral effects. Taking note of structural transformation of the economy and the monetary and financial reforms during 1990s, we also assess whether the reform process has notable impact on the monetary transmission mechanism. We find evidence supporting sector-specific variation in the real effects of monetary policy. Our results also suggest significant changes in the transmission of monetary shock to real sector of the economy during post-reform period.
2006-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2719/1/MPRA_paper_2719.pdf
Alam, Tasneem and Waheed, Muhammad (2006): The monetary transmission mechanism in Pakistan: a sectoral analysis.
en
oai:mpra.ub.uni-muenchen.de:2761
2019-09-27T18:21:02Z
7374617475733D756E707562
7375626A656374733D45:4533:453331
7375626A656374733D45:4535:453530
7375626A656374733D4D:4D33:4D3330
7375626A656374733D44:4432:443231
7375626A656374733D44:4434:443430
7375626A656374733D4D:4D32:4D3230
7375626A656374733D4C:4C31:4C3131
7375626A656374733D45:4531:453132
7375626A656374733D45:4535:453532
7375626A656374733D4C:4C31:4C3136
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2761/
Price Rigidity and Flexibility: Recent Theoretical Developments
Levy, Daniel
E31 - Price Level ; Inflation ; Deflation
E50 - General
M30 - General
D21 - Firm Behavior: Theory
D40 - General
M20 - General
L11 - Production, Pricing, and Market Structure ; Size Distribution of Firms
E12 - Keynes ; Keynesian ; Post-Keynesian
E52 - Monetary Policy
L16 - Industrial Organization and Macroeconomics: Industrial Structure and Structural Change ; Industrial Price Indices
The price system, the adjustment of prices to changes in market conditions, is the primary mechanism by which markets function and by which the three most basic questions get answered: what to produce, how much to produce and for whom to produce. To the behaviour of price and price system, therefore, have fundamental implications for many key issues in microeconomics and industrial organization, as well as in macroeconomics and monetary economics. In microeconomics, managerial economics, and industrial organization, economists focus on the price system efficiency. In macroeconomics and monetary economics, economists focus on the extent to which nominal prices fail to adjust to changes in market conditions. Nominal price rigidities play particularly important role in modern monetary economics and in the conduct of monetary policy because of their ability to explain short-run monetary non-neutrality. The behaviour of prices, and in particular the extent of their rigidity and flexibility, therefore, is of central importance in economics. This introductory essay briefly summarizes the eight studies of price rigidity that are included in this special issue.
2007-04-17
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2761/1/MPRA_paper_2761.pdf
Levy, Daniel (2007): Price Rigidity and Flexibility: Recent Theoretical Developments.
en
oai:mpra.ub.uni-muenchen.de:2762
2019-09-27T14:55:06Z
7374617475733D756E707562
7375626A656374733D45:4533:453331
7375626A656374733D45:4535:453530
7375626A656374733D4D:4D33:4D3330
7375626A656374733D44:4432:443231
7375626A656374733D44:4434:443430
7375626A656374733D4D:4D32:4D3230
7375626A656374733D45:4535:453538
7375626A656374733D4C:4C31:4C3131
7375626A656374733D45:4531:453132
7375626A656374733D45:4535:453532
7375626A656374733D4C:4C31:4C3136
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2762/
Price Rigidity and Flexibility: New Empirical Evidence
Levy, Daniel
E31 - Price Level ; Inflation ; Deflation
E50 - General
M30 - General
D21 - Firm Behavior: Theory
D40 - General
M20 - General
E58 - Central Banks and Their Policies
L11 - Production, Pricing, and Market Structure ; Size Distribution of Firms
E12 - Keynes ; Keynesian ; Post-Keynesian
E52 - Monetary Policy
L16 - Industrial Organization and Macroeconomics: Industrial Structure and Structural Change ; Industrial Price Indices
The marketplace, along with its price system, is the single most important institution in a western-style free enterprise economy. The ability of prices to adjust to changes in supply and demand conditions enables the market to function efficiently and lies behind the magical invisible hand mechanism. To the behaviour of prices and in particular to the ability of prices to adjust to changes in market conditions, therefore, have fundamental implications for many key issues in many areas of both microeconomics as well as macroeconomics. It is, therefore, critical to study and understand whether there are barriers to price adjustments, what are the nature of these barriers, how the barriers lead to price rigidity, what are possible implications of these rigidities, etc. This introductory essay briefly summarizes the fourteen empirical studies of price rigidity that are included in this special issue.
2007-04-17
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2762/1/MPRA_paper_2762.pdf
Levy, Daniel (2007): Price Rigidity and Flexibility: New Empirical Evidence.
en
oai:mpra.ub.uni-muenchen.de:2771
2019-09-27T05:25:54Z
7374617475733D756E707562
7375626A656374733D45:4534:453430
7375626A656374733D45:4534:453434
7375626A656374733D45:4534:453431
7375626A656374733D45:4535:453538
7375626A656374733D45:4530
7375626A656374733D45:4535:453532
7375626A656374733D45:4531:453132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2771/
Liquidity preference as rational behaviour under uncertainty
Mierzejewski, Fernando
E40 - General
E44 - Financial Markets and the Macroeconomy
E41 - Demand for Money
E58 - Central Banks and Their Policies
E0 - General
E52 - Monetary Policy
E12 - Keynes ; Keynesian ; Post-Keynesian
An important concern of macroeconomic analysis is how interest rates affect the
cash balance demanded at a certain level of nominal income. In fact, the interest-rate-
elasticity of the liquidity demand determines the effectiveness of monetary policy,
which is useless under absolute liquidity preference, i.e. when the money demand is
perfectly elastic. An actuarial approach is developed in this paper for dealing with
random income. Assuming investors face liquidity constraints, a level of surplus exists
which maximises expected value. Moreover, the optimal liquidity demand is expressed
as a Value at Risk and the comonotonic dependence structure determines the amount
of money demanded by the economy. As a consequence, the interest-rate-elasticity
depends on the kind of risks and expectations. The more unstable the economy, the
greater the interest-rate-elasticity of the money demand. Moreover, part of the adjustment
to reestablish the short-run monetary equilibrium may be performed through
volatility shocks.
2006-11-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2771/1/MPRA_paper_2771.pdf
Mierzejewski, Fernando (2006): Liquidity preference as rational behaviour under uncertainty.
en
oai:mpra.ub.uni-muenchen.de:2827
2019-09-27T08:49:21Z
7374617475733D756E707562
7375626A656374733D45:4532:453234
7375626A656374733D4A:4A35:4A3531
7375626A656374733D45:4533:453332
7375626A656374733D4A:4A32:4A3233
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2827/
Optimal Monetary Policy in a Dual Labor Market Economy
Rossi, Lorenza
Mattesini, Fabrizio
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
J51 - Trade Unions: Objectives, Structure, and Effects
E32 - Business Fluctuations ; Cycles
J23 - Labor Demand
E52 - Monetary Policy
We analyze, in this paper, DSNK general equilibrium model with indivisible labor where firms may belong to two different final goods producing sectors: one where wages and employment are determined in competitive labor markets and the orther where wages and employment are the result of a contractual process between unions and firms. The presence of monopoly unions introduces real wage rigidity in the model and this implies a trade-off between output stabilization and inflation stabilization i.e., as in Blanchard and Galì (2005), the so called "divine coincidence" does not hold. We show that the negative effect of a productivity shock on inflation and the positive effect of a cost-push shock is crucially determined by the proportion of firms that belong to the competitive sector. The larger is this number, the smaller are these effects. We derive a welfare based objective function as a second order Taylor approximation of the expected utility of the economy's representative agent and we analyze optimal monetary policy under discretion and under constrained commitment. We show that the larger is the number of firms that belong to the competitive sector, the smaller should be the response of the nominal interest rate to exogenous productivity and cost-push shocks. If we consider, however, an instrument rule where the interest rate must react to inflationary expectations, the rule is not affected by the structure of the labor market. The results of the model are consistent with a well known empirical regularity in macroeconomics, i.e. that employment volatility is larger than real wage volatility.
2007-01-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2827/1/MPRA_paper_2827.pdf
Rossi, Lorenza and Mattesini, Fabrizio (2007): Optimal Monetary Policy in a Dual Labor Market Economy.
en
oai:mpra.ub.uni-muenchen.de:2828
2019-10-10T16:20:47Z
7374617475733D756E707562
7375626A656374733D45:4532:453234
7375626A656374733D45:4535:453530
7375626A656374733D4A:4A35:4A3531
7375626A656374733D45:4533:453332
7375626A656374733D4A:4A32:4A3233
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2828/
Productivity shocks and Optimal Monetary Policy in a Unionized Labor Market Economy
Mattesini, Fabrizio
Rossi, Lorenza
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
E50 - General
J51 - Trade Unions: Objectives, Structure, and Effects
E32 - Business Fluctuations ; Cycles
J23 - Labor Demand
E52 - Monetary Policy
In this paper we analyze a general equilibrium DSNK model characterized by labor indivisibilities, unemployment and a unionized labor market. The presence of monopoly unions introduces real wage rigidities in the model. We show that as in Blanchard Galì (2005) the so called "divine coincidence" does not hold and a trade-off between inflation stabilization and the output stabilization arises. In particular, a productivity shock has a negative effect on inflation, while a reservation-wage shock has an effect of the same size but with the opposite sign. We derive a welfare-based objective function for the Central Bank as a second order Taylor approximation of the expected utility of the economy's representative household, and we analyze optimal monetary policy under discretion and under commitment. Under discretion a negative productivity shock and a positive exogenous wage shock will require an increase in the nominal interest rate. An operational instrument rule, in this case, will satisfy the Taylor principle, but will also require that the nominal interest rate does not necessarily respond one to one to an increase in the rate of interest that supports the efficient equilibrium. The results of the model are consistent with a well known empirical regularity in macroeconomics, i.e. that employment volatility is relatively larger than real wage volatility.
2006-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2828/1/MPRA_paper_2828.pdf
Mattesini, Fabrizio and Rossi, Lorenza (2006): Productivity shocks and Optimal Monetary Policy in a Unionized Labor Market Economy.
en
oai:mpra.ub.uni-muenchen.de:2842
2019-10-01T18:05:44Z
7374617475733D756E707562
7375626A656374733D43:4336:433631
7375626A656374733D45:4535:453532
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2842/
Nonlinear inflation expectations and endogenous fluctuations
Gomes, Orlando
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
E52 - Monetary Policy
E32 - Business Fluctuations ; Cycles
The standard new Keynesian monetary policy problem is, in its original presentation, a linear model. As a result, only three possibilities are admissible in terms of long term dynamics: the equilibrium may be a stable node, an unstable node or a saddle point. Fixed point stability (a stable node) is generally guaranteed only under an active monetary policy rule. The benchmark model also considers extremely simple assumptions about expectations (perfect foresight is frequently assumed). In this paper, one inquires how a change in the way inflation expectations are modelled implies a change in monetary policy results when an active Taylor rule is taken. By assuming that inflation expectations are constrained by the evolution of the output gap, we radically modify the implications of policy intervention: endogenous cycles, of various periodicities, and chaotic motion will be observable for reasonable parameter values.
2006-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2842/1/MPRA_paper_2842.pdf
Gomes, Orlando (2006): Nonlinear inflation expectations and endogenous fluctuations.
en
oai:mpra.ub.uni-muenchen.de:2849
2019-10-04T21:17:01Z
7374617475733D756E707562
7375626A656374733D43:4336:433631
7375626A656374733D4F:4F34:4F3431
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2849/
Monetary policy and economic growth: combining short and long run macro analysis
Gomes, Orlando
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
O41 - One, Two, and Multisector Growth Models
E52 - Monetary Policy
The new Keynesian monetary policy model studies the response of the inflation – output gap trade-off to policy decisions taken by the Central Bank, concerning the nominal interest rate time trajectory. Under an optimal setup, this model displays a saddle-path stable equilibrium and, if the stable trajectory is followed, the steady state is characterized by an inflation rate that coincides with the selected inflation target. A high inflation target has positive effects over the rise of effective output relatively to its potential level (the monetary policy problem captures this effect), but it has a perverse impact over investment decisions (the referred problem does not capture this effect, taking it as granted). This second relation can be understood by associating to the first macro model a second setup, which takes consumption and investment decisions, i.e., by considering a long term growth setup. The link between the two is present on the impact of inflation over investment decisions. With this integrated framework one is able to simultaneously study short and long-run macroeconomic phenomena and to jointly analyze the behaviour of nominal and real aggregates. The most important results consist on the determination of an optimal inflation target and on the consideration of short term supply shocks as having a long-run impact producing business cycles.
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2849/1/MPRA_paper_2849.pdf
Gomes, Orlando (2006): Monetary policy and economic growth: combining short and long run macro analysis.
en
oai:mpra.ub.uni-muenchen.de:2890
2019-10-03T04:54:52Z
7374617475733D756E707562
7375626A656374733D43:4336:433632
7375626A656374733D45:4535:453532
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2890/
Stability analysis in a monetary model with a varying intertemporal elasticity of substitution
Gomes, Orlando
C62 - Existence and Stability Conditions of Equilibrium
E52 - Monetary Policy
E32 - Business Fluctuations ; Cycles
Models dealing with monetary policy are generally based on microfoundations that characterize the behaviour of representative agents (households and firms). To explain the representative consumer behaviour, it is generally assumed a utility function in which the intertemporal elasticity of substitution is constant. Recent literature casts some doubts about the relevance of considering such a constant elasticity value. In this note, we explore the new Keynesian monetary policy model under the assumption that the elasticity of substitution changes with expectations regarding real economic performance. As a result, one observes that some combinations of parameter values allow for a stable fixed point outcome, while other combinations of parameters are compatible with cycles of various periodicities and even a-periodic fluctuations.
2007-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2890/1/MPRA_paper_2890.pdf
Gomes, Orlando (2007): Stability analysis in a monetary model with a varying intertemporal elasticity of substitution.
en
oai:mpra.ub.uni-muenchen.de:3150
2019-09-27T05:30:25Z
7374617475733D707562
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3150/
Globalization and World financial Turmoil - A Test for Israel's Economic Policy
Gottlieb, Daniel
E52 - Monetary Policy
The World financial turmoil,that beset emerging economies during much of 1997
and culminated after the Russian crisis in the second half of 1998,presents an
interesting test case for economic policy in an open economy.Israel's policy
response was radical,and -with the benefit of hindsight -successful in
maintaining and reinforcing stability,when the odds of many emerging
economies,such as Israel,were clearly at risk.Indeed several emerging markets
suffered a severe setback in output,a deep and sometimes contagious fall in the
value of stocks and a sharp depreciation in their exchange rates,when the world
financial crisis evolved.National policy mistakes were punished by rapid capital
flight,spearheaded by foreign investors and accompanied by a loss of these
countries'international creditworthiness.
What can we learn from Israel's experience in the late 1990s?
Lesson #1:Macroeconomic stability must be maintained continually.
Lesson #2:Enhance the Flexibility of the Exchange Rate Regime
Lesson #3:A nominal appreciation can be consistent with a real depreciation
2000-05-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3150/1/MPRA_paper_3150.pdf
Gottlieb, Daniel (2000): Globalization and World financial Turmoil - A Test for Israel's Economic Policy. Published in: Small Economies Adjustment to global Tendencies (2000): pp. 213-244.
en
oai:mpra.ub.uni-muenchen.de:3201
2019-09-30T19:52:06Z
7374617475733D756E707562
7375626A656374733D45:4535:453530
7375626A656374733D45:4535:453532
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3201/
Modèle multi pays dans les pays de la zone franc
Dramani, Latif
E50 - General
E52 - Monetary Policy
E58 - Central Banks and Their Policies
La disponibilité d’un modèle de simulation est d’un grand secours pour le décideur public car un tel outil remplit des fonctions aussi importantes que celles de support à la définition des programmes économiques et financiers, d’instrument de dialogue avec les partenaires au développement, de monitoring des politiques économiques et sociales. Dans cette étude, l’accent est mis sur la mise en place d’un modèle multi pays, qui prend en compte les spécificités de l’Etat, et celles de la banque centrale. Le but principal étant de mettre en évidence les interactions entre les politiques budgétaires et monétaires.
2007-05-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3201/1/MPRA_paper_3201.pdf
Dramani, Latif (2007): Modèle multi pays dans les pays de la zone franc.
fr
oai:mpra.ub.uni-muenchen.de:3221
2019-10-04T16:50:05Z
7374617475733D756E707562
7375626A656374733D4D:4D33:4D3331
7375626A656374733D45:4535:453538
7375626A656374733D41:4131:413130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3221/
Coordonatele auditului in marketingul financiar-bancar - situatia din Romania
Dura, Codruta
Driga, Imola
M31 - Marketing
E58 - Central Banks and Their Policies
A10 - General
The general term of internal audit was established in relation to the financial accounting activity; this notion was gradually replaced by a new approach which expands the sphere of the audit so that the preoccupation for the future is very important for any audit activity. If forming and consolidating a favorable image of the bank among service consumers represents a marketing problem, then solving it requires numerous instruments from the marketing policies; the most important role is attributed to the audit. The final goal of the marketing audit is drawing up a table regarding the performances and the efficiency of the bank, in relation to the risks involved by financial institutions and its operations. In this respect, specialists in banking management have come up with different models of calculations and rating systems in their trials to obtain the most accurate scan of the “state of health” of the banks, and moreover in their trials to identify the institutions which face financial and operational difficulties leading to bankruptcy.
The uniform bank rating system is a specific instrument for the supervising activity and has its origins in the USA ; it has later been borrowed by German, Italian, Great Britain authorities, which use influential components in their banking system; later on, their system was adopted by most central banks within the European Union. In Romania, the uniform bank rating system has been implemented by N.B.R. (the National Bank of Romania) since 2000; the specific components that were analyzed are: the capital adequacy (C), the quality of assets (A), the management (M), profitability (P), liquidities (L) and sensitivity (S) starting from the year 2005. For short, this system is called CAMPL. The evaluation of these specific elements represents an important criterion for establishing a compound rating, which means assigning scores to each bank. The compound rating for the banking system is established based on economic – financial indicators and prudence indicators.
2007-04-17
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3221/1/MPRA_paper_3221.pdf
Dura, Codruta and Driga, Imola (2007): Coordonatele auditului in marketingul financiar-bancar - situatia din Romania.
en
oai:mpra.ub.uni-muenchen.de:3251
2019-09-27T01:34:27Z
7374617475733D707562
7375626A656374733D4F:4F33:4F3333
7375626A656374733D4F:4F31:4F3134
7375626A656374733D45:4534:453432
7375626A656374733D47:4732:473239
7375626A656374733D45:4535:453531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3251/
E-commerce settles for established payment systems: Limited market potential for innovative payment systems
Heng, Stefan
O33 - Technological Change: Choices and Consequences ; Diffusion Processes
O14 - Industrialization ; Manufacturing and Service Industries ; Choice of Technology
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
G29 - Other
E51 - Money Supply ; Credit ; Money Multipliers
Established payment systems play a dominant role also in B2C e-commerce. Innovative payment systems can only be a success here if they pay attention to the particular features of e-commerce, convey the worth of their value-adding unique selling proposition and enjoy the support of established e-shops or financial service providers. However, apart from rare cases the conventional payment systems leave little room for the innovative systems. This holds all the more since the conventional payment systems are responding to the new demands of B2C e-commerce.
2007-05-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3251/1/MPRA_paper_3251.pdf
Heng, Stefan (2007): E-commerce settles for established payment systems: Limited market potential for innovative payment systems. Published in: E-conomics No. 62 (14 May 2007)
en
oai:mpra.ub.uni-muenchen.de:3355
2019-10-29T05:37:09Z
oai:mpra.ub.uni-muenchen.de:3361
2019-09-27T00:48:24Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3361/
Japanese quantitative easing: The effects and constraints of anti-deflationary monetary expansions
Zammit, Robert
E58 - Central Banks and Their Policies
An undergraduate dissertation in Monetary Economics. The aim of this dissertation is to empirically analyse the effects of the Bank of Japan’s anti-deflationary Quantitative Easing Policy carried out between March 2001 and April 2006. In doing so, this study also reviews the zero bound to interest rates, defined as the primary constraint to the effectiveness of conventional monetary policy at the interest rate floor. The results of the economic models contained in this study confirm the economic significance of a sustained increase in liquidity in fostering a return to inflationary pressures. Moreover, the findings of the study confirm that effective anti-deflationary policies may not necessarily entail extreme measures on the part of a central bank; on the other hand, credibility coupled with a resolved commitment may very well be enough to provide for positive macroeconomic repercussions.
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3361/1/MPRA_paper_3361.pdf
Zammit, Robert (2006): Japanese quantitative easing: The effects and constraints of anti-deflationary monetary expansions.
en
oai:mpra.ub.uni-muenchen.de:3419
2019-09-28T23:03:07Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D43:4336:433631
7375626A656374733D43:4331:433132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3419/
The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001.
Travaglini, Guido
E58 - Central Banks and Their Policies
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C12 - Hypothesis Testing: General
This paper combines two major strands of literature: structural breaks and Taylor rules. At first, I propose a nonstandard t-test statistic for detecting multiple level and trend breaks of I(0) series by supplying theoretical and limit-distribution critical values obtained from Montecarlo experimentation. Thereafter, I introduce a forward-looking Taylor rule expressed as a dynamic model which allows for multiple breaks and reaction-function coefficients of the leads of inflation, of the output gap and of an equity market index. Sequential GMM estimation of the model, applied to the Effective Federal Funds Rate for the period 1984:01-2001:06, produces three main interesting results: the existence of significant structural breaks, the substantial role played by inflation in the FOMC decisions and a marked equity targeting policy approach. Such results reveal departures from rationality, determined by structured and unstructured uncertainty, which the Fed systematically attempts at reducing by administering inflation scares and misinformation about the actual Phillips curve, in order to keep the output and equity markets under control.
2007-06-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3419/1/MPRA_paper_3419.pdf
Travaglini, Guido (2007): The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001.
en
oai:mpra.ub.uni-muenchen.de:3520
2019-09-28T19:20:54Z
7374617475733D756E707562
7375626A656374733D45:4535:453530
7375626A656374733D45:4534:453437
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3520/
U.S. Core Inflation: A Wavelet Analysis
Cotter, John
Dowd, Kevin
E50 - General
E47 - Forecasting and Simulation: Models and Applications
This paper proposes the use of wavelet methods to estimate U.S. core inflation. It
explains wavelet methods and suggests they are ideally suited to this task.
Comparisons are made with traditional CPI-based and regression-based measures for
their performance in following trend inflation and predicting future inflation. Results
suggest that wavelet-based measures perform better, and sometimes much better,
than the traditional approaches. These results suggest that wavelet methods are a
promising avenue for future research on core inflation.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3520/1/MPRA_paper_3520.pdf
Cotter, John and Dowd, Kevin (2006): U.S. Core Inflation: A Wavelet Analysis.
en
oai:mpra.ub.uni-muenchen.de:3539
2019-10-23T04:58:07Z
oai:mpra.ub.uni-muenchen.de:3556
2019-09-28T00:26:46Z
7374617475733D707562
7375626A656374733D45:4535:453530
7375626A656374733D45:4534
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3556/
The Gibson Paradox: An Empirical Investigation for Turkey
Halicioglu, Ferda
E50 - General
E4 - Money and Interest Rates
This paper tests the existence of Gibson paradox using the traditional and modern time series techniques in the case of annual Turkish data. Even though the results from the traditional Gibson paradox regression suggested a positive relationship between the interest rates and the prices levels in Turkish data, subsequently it was proven to be spurious. On analyzing the time series properties of the variables and the results from the Johansen cointegration procedure, we reveal that there is no support of the Gibson paradox in Turkish data.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3556/1/MPRA_paper_3556.pdf
Halicioglu, Ferda (2004): The Gibson Paradox: An Empirical Investigation for Turkey. Published in: European Research Studies Journal , Vol. 7, No. 1-2 (2004): pp. 111-119.
en
oai:mpra.ub.uni-muenchen.de:3584
2019-10-04T11:50:25Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4536:453631
7375626A656374733D4A:4A35:4A3531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3584/
Is there any scope for corporatism in stabilization policies?
Acocella, Nicola
Di Bartolomeo, Giovanni
Pauwels, Wilfried
E58 - Central Banks and Their Policies
E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination
J51 - Trade Unions: Objectives, Structure, and Effects
This paper studies corporatism as the outcome of bargaining between the government and a representative labor union. We show that if negotiations between these two parties only relate to macroeconomic stabilization, corporatism can never be beneficial to both parties. As corporatist policies are nevertheless commonly observed in this context, we discuss possible explanations that reconcile the theory with actual observations. The policy implications of these explanations are also discussed.
2007-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3584/1/MPRA_paper_3584.pdf
Acocella, Nicola and Di Bartolomeo, Giovanni and Pauwels, Wilfried (2007): Is there any scope for corporatism in stabilization policies?
en
oai:mpra.ub.uni-muenchen.de:3585
2019-09-29T10:16:00Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4536:453631
7375626A656374733D4A:4A35:4A3531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3585/
The Cost of Social Pacts
Acocella, Nicola
Di Bartolomeo, Giovanni
E58 - Central Banks and Their Policies
E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination
J51 - Trade Unions: Objectives, Structure, and Effects
Social pacts, while improving macroeconomic performance, usually impose costs on unions. To facilitate the formation of such pacts, various substitutes can operate, such as the payment of transfers or, to some extent, the conservativeness of the government, union’s inflation aversion or political partisanship.
2007-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3585/1/MPRA_paper_3585.pdf
Acocella, Nicola and Di Bartolomeo, Giovanni (2007): The Cost of Social Pacts.
en
oai:mpra.ub.uni-muenchen.de:3596
2019-09-27T20:15:41Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
7375626A656374733D46:4634:463431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3596/
Optimal exchange rate policy in a low interest rate environment
Pavasuthipaisit, Robert
E58 - Central Banks and Their Policies
E52 - Monetary Policy
F41 - Open Economy Macroeconomics
This paper examines optimal exchange policy when nominal interest rates are unusually low, as experienced by several Asian economies and Japan since July 2006. The paper finds that in such environments, it is optimal to create a nominal depreciation to offset contractionary disturbances. However, the limited scope of monetary policy easing may compromise the ability of the central bank to create a nominal depreciation especially if the central bank makes decisions on monetary policy making on a discretionary basis. In order to successfully create a nominal depreciation, the central bank needs to rely on the expectations channel, by making a credible promise to keep its currency weak going forward. Finally, trade liberalization, by enhancing the role of the exchange rate channel on the transmission mechanism, may allow the central bank to achieve lower average inflation.
2007-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3596/1/MPRA_paper_3596.pdf
Pavasuthipaisit, Robert (2007): Optimal exchange rate policy in a low interest rate environment.
en
oai:mpra.ub.uni-muenchen.de:3677
2019-09-27T22:25:39Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D45:4533:453331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3677/
Inflation persistence and optimal positive long-run inflation
Pontiggia, Dario
E52 - Monetary Policy
E31 - Price Level ; Inflation ; Deflation
Within New Keynesian economics, the optimality of a monetary policy that aims at zero inflation is surprisingly robust. Optimal monetary policy has this character despite the inefficiency of the nonstochastic steady state and despite the existence of a positively sloped long-run Phillips-curve trade-off. Full price stability remains optimal even under inflation persistence due to backward-looking price indexation by price setters. We show how extending a basic New Keynesian model to the case of inflation persistence due to backward-looking rule-of-thumb behaviour by price setters breaks the surprising robustness of zero long-run inflation target, namely backward-looking rule-of-thumb behaviour by price setters results in optimal positive long-run inflation. Comparing different theoretical explanations for structural inflation persistence suggests that the features that seem capable of delivering an endogenously optimal inflation target are costly disinflation, long-run Phillips-curve trade-off, and steady-state distortions.
2007-05-17
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3677/1/MPRA_paper_3677.pdf
Pontiggia, Dario (2007): Inflation persistence and optimal positive long-run inflation.
en
oai:mpra.ub.uni-muenchen.de:3742
2019-09-27T13:16:38Z
7374617475733D756E707562
7375626A656374733D45:4536:453633
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
7375626A656374733D45:4536:453632
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3742/
On Keynesian effects of (apparent) non-Keynesian fiscal policies
Canale, Rosaria Rita
Foresti, Pasquale
Marani, Ugo
Napolitano, Oreste
E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy ; Stabilization ; Treasury Policy
E58 - Central Banks and Their Policies
E52 - Monetary Policy
E62 - Fiscal Policy
The aim of this paper is to evaluate the robustness of the theory that claims restrictive effects of expansionary fiscal policy. It shows that such so-called “non-Keynesian effects” may arise from synchronous and opposite monetary policy interventions. The paper demonstrates this conclusion through a stylized model – supported by an empirical investigation on ECB and FED reaction functions – in which Central Banks consider deficit spending as an element that generates inflation expectations. Econometric analysis also shows that the ECB reacts asymmetrically to deficit spending variations while the FED has a linear reaction to this indicator.
2007-06-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3742/1/MPRA_paper_3742.pdf
Canale, Rosaria Rita and Foresti, Pasquale and Marani, Ugo and Napolitano, Oreste (2007): On Keynesian effects of (apparent) non-Keynesian fiscal policies.
en
oai:mpra.ub.uni-muenchen.de:3803
2019-09-27T14:03:38Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
7375626A656374733D45:4535
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3803/
A review of Soludo's perspective of banking sector reforms in Nigeria
Balogun, Emmanuel Dele
E58 - Central Banks and Their Policies
E52 - Monetary Policy
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
This paper focuses specifically on the recent Soludo’s banking sector reforms. The study noted that the Soludo’s reforms focused on strengthening the financial systems through banking sector consolidation, foreign exchange market stabilization, interest rates restructuring and the pursuit of stabilization as against structural adjustment policies for monetary and inflationary controls. A review of theoretical qualifications to the Soludo’s reform show that in thoughts, it is rooted in the Classical traditions of Say’s Law, acts monetarist, but expects a Keynesian outcome that money can stimulate expansion in aggregate domestic output. In concluding, the study noted the need to adopt an interest rate operating procedures for monetary policy in addition to moving the economy consciously towards the ‘law of one market and one price’ for the domestic and foreign money markets.
2007-07-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3803/1/MPRA_paper_3803.pdf
Balogun, Emmanuel Dele (2007): A review of Soludo's perspective of banking sector reforms in Nigeria.
en
oai:mpra.ub.uni-muenchen.de:3804
2019-09-27T09:25:43Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3804/
Banking sector reforms and the Nigerian economy: performance, pitfalls and future policy options
Balogun, Emmanuel Dele
E58 - Central Banks and Their Policies
E52 - Monetary Policy
This paper reviews the perspective of banking sector reforms since 1970 to date. It notes four eras of banking sector reforms in Nigeria, viz.: Pre-SAP (1970-85), the Post-SAP (1986-93), the Reforms Lethargy (1993-1998), Pre-Soludo (1999-2004) and Post-Soludo (2005-2006). Using both descriptive statistics and econometric methods, three sets of hypothesis were tested: firstly that each phase of reforms culminated in improved incentives; secondly that policy reforms which results in increased capitalization, exchange rate devaluation; interest rate restructuring and abolition of credit rationing may have had positive effects on real sector credit and thirdly that implicit incentives which accompany the reforms had salutary macroeconomic effects. The empirical results confirm that eras of pursuits of market reforms were characterized by improved incentives. However, these did not translate to increased credit purvey to the real sector. Also while growth was stifled in eras of control, the reforms era was associated with rise in inflationary pressures. Among the pitfalls of reforms identified by the study are faulty premise and wrong sequencing of reforms and a host of conflicts emanating from adopted theoretical models for reforms and above all, frequent reversals and/or non-sustainability of reforms. In concluding, the study notes the need to bolster reforms through the deliberate adoption of policies that would ensure convergence of domestic and international rates of return on financial markets investments.
2007-07-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3804/1/MPRA_paper_3804.pdf
Balogun, Emmanuel Dele (2007): Banking sector reforms and the Nigerian economy: performance, pitfalls and future policy options.
en
oai:mpra.ub.uni-muenchen.de:3817
2019-09-26T22:40:15Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D45:4535
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3817/
An Evaluation of Foreign Exchange Intervention and Monetary Aggregates in Nigeria (1986- 2003)
Adebiyi, Michael Adebayo
E52 - Monetary Policy
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
The paper investigates the impact of foreign exchange intervention in the Nigerian foreign exchange market using an Autoregressive Distributed Lag (ARDL) modeling approach. Quarterly time series data spanning 1986:1 to 2003:4 are used and a number of statistical tools are employed to verify this hypothesis. The study examines stochastic characteristics of each time series by testing their stationarity using Phillip Perron (PP) test. This is followed by performing cointegration test using Johansen technique. The existence of co-integration motivates us to estimate the error correction model for broad money, M2.
The overall finding from all the techniques employed is that foreign exchange intervention in Nigeria is sterilized because the cumulative aid, which constitute part of foreign exchange inflows, and net foreign assets variables, which are proxies for intervention, are not significant. Thus, paper concludes by recommending, among others, that the use of stock of external reserves to support the exchange rate through increased funding of the foreign exchange market should be encouraged.
2007-07-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3817/1/MPRA_paper_3817.pdf
Adebiyi, Michael Adebayo (2007): An Evaluation of Foreign Exchange Intervention and Monetary Aggregates in Nigeria (1986- 2003).
en
oai:mpra.ub.uni-muenchen.de:3834
2019-09-28T07:07:13Z
7374617475733D756E707562
7375626A656374733D45:4535:453532
7375626A656374733D43:4336:433631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3834/
Inflation targeting and optimal control theory
Veloso, Thiago
Meurer, Roberto
Da Silva, Sergio
E52 - Monetary Policy
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
We make a case for the usefulness of an optimal control approach for the central banks’ choice of interest rates in inflation target regimes. We illustrate with data from selected developed and emerging countries with longest experience of inflation targeting.
2007-07-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3834/1/MPRA_paper_3834.pdf
Veloso, Thiago and Meurer, Roberto and Da Silva, Sergio (2007): Inflation targeting and optimal control theory.
en
oai:mpra.ub.uni-muenchen.de:3836
2019-09-30T21:36:11Z
7374617475733D756E707562
7375626A656374733D45:4535:453538
7375626A656374733D45:4533:453331
7375626A656374733D45:4536:453633
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3836/
Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation
Harashima, Taiji
E58 - Central Banks and Their Policies
E31 - Price Level ; Inflation ; Deflation
E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy ; Stabilization ; Treasury Policy
In this paper, I present a unified and micro-founded explanation for various types of inflation without assuming ad hoc frictions or irrationality. The explanation is similar to the conventional inflation theory in the sense that an independent central bank can control inflation and also similar to the fiscal theory of the price level in the sense that a source of inflation lies in the behavior of government. Inflation accelerates or decelerates through the simultaneous optimization of a government and the representative household if their time preference rates are heterogeneous. This inflation acceleration mechanism will be prevented from working if a central bank is truly independent.
2007-07-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3836/1/MPRA_paper_3836.pdf
Harashima, Taiji (2007): Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation.
en
oai:mpra.ub.uni-muenchen.de:3841
2019-09-26T09:28:31Z
7374617475733D707562
7375626A656374733D47:4732:473231
7375626A656374733D45:4535:453532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3841/
Basel II and bank lending behavior: some likely implications for monetary policy
Nachane, Dilip
Ghosh, Saibal
Ray, Partha
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
E52 - Monetary Policy
The new Basel accord is slated to come into effect in India around 2007 raising the question
of how the revised standards will influence bank behaviour. Using a simple theoretical
model, it is shown that the revised accord will result in asymmetric differences in the efficacy
of monetary policy in influencing bank lending. This will, however, depend on a number of
factors, including whether banks are constrained by the risk-based capital standards, the credit
quality of bank assets and the relative liquidity of banks’ balance sheets. The basic model
is empirically explored using data on Indian commercial banks for the period 1996-2004.
The analysis indicates that the effect of a contractionary monetary policy will be significantly
mitigated provided the proportion of unconstrained to constrained
banks in the system is significantly high.
2006-03-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3841/1/MPRA_paper_3841.pdf
Nachane, Dilip and Ghosh, Saibal and Ray, Partha (2006): Basel II and bank lending behavior: some likely implications for monetary policy. Published in: Economic and Political Weekly , Vol. 41, (18 March 2006): pp. 1053-1058.
en
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