Journal of Economic Dynamics and Control
Опубликовано на портале: 17-12-2007
G.C. Lim, Paul D. McNelis
Journal of Economic Dynamics and Control.
2007.
Vol. 31.
No. 11.
P. 3699-3722.
This paper examines the welfare implications of managing asset-price with consumer-price
inflation targeting by monetary authorities who have to learn the laws of motion
for both inflation rates. The central bank can reduce the volatility of consumption
as well as improve welfare more effectively if it adopts state-contingent Taylor
rules aimed at inflation and Q-growth targets in this learning environment. However,
under perfect model certainty, pure inflation targeting dominates combined consumer
and asset-price inflation targeting.
Опубликовано на портале: 16-12-2007
Bartosz Maćkowiak
Journal of Economic Dynamics and Control.
2007.
Vol. 31.
No. 10.
P. 3321-3347.
This paper explains a currency crisis as an outcome of a switch in how monetary policy
and fiscal policy are coordinated. The paper develops a model of an open economy
in which monetary policy starts active, fiscal policy starts passive and, in a particular
state of nature, monetary policy switches to passive and fiscal policy switches to
active. The probability of the regime switch is endogenous and changes over time
together with the state of the economy. The regime switch is preceded by a sharp
increase in interest rates and causes a jump in the exchange rate. The model predicts
that currency composition of public debt affects dynamics of macroeconomic variables.
Furthermore, the model is consistent with evidence from recent currency crises, in
particular small seigniorage revenues.
Опубликовано на портале: 17-12-2007
Giuseppe Ferrero
Journal of Economic Dynamics and Control.
2007.
Vol. 31.
No. 9.
P. 3006-3041.
Under the assumption of bounded rationality, economic agents learn from their past
mistaken predictions by combining new and old information to form new beliefs. The
purpose of this paper is to investigate how the policy-maker, by affecting private
agents’ learning process, determines the speed at which the economy converges
to the rational expectation equilibrium. I find that by reacting strongly to private
agents’ expected inflation, a central bank increases the speed of convergence
and shortens the length of the transition to the rational expectation equilibrium.
I use speed of convergence as an additional criterion for evaluating alternative
monetary policies. I find that a fast convergence is not always desirable.
Опубликовано на портале: 06-10-2004
Phelim P. Boyle, Mark Broadie, Paul Glasserman
Journal of Economic Dynamics and Control.
1997.
Vol. 21.
No. 8-9.
P. 1267-1321 .
The Monte Carlo approach has proved to be a valuable and flexible computational tool
in modern finance. This paper discusses some of the recent applications of the Monte
Carlo method to security pricing problems, with emphasis on improvements in efficiency.
We first review some variance reduction methods that have proved useful in finance.
Then we describe the use of deterministic low-discrepancy sequences, also known as
quasi-Monte Carlo methods, for the valuation of complex derivative securities. We
summarize some recent applications of the Monte Carlo method to the estimation of
partial derivatives or risk sensitivities and to the valuation of American options.
We conclude by mentioning other applications.
Опубликовано на портале: 18-11-2007
Ester Faia, Tommaso Monacelli
Journal of Economic Dynamics and Control.
2007.
Vol. 31.
No. 10.
P. 3228-3254.
We study optimal Taylor-type interest rate rules in an economy with credit market
imperfections. Our analysis builds on the agency cost framework of Carlstrom and
Fuerst [1997. Agency costs, net worth and business fluctuations: a computable general
equilibrium analysis. American Economic Review 87, 893–910], which we extend
in two directions. First, we embed monopolistic competition and sticky prices. Second,
we modify the stochastic structure of the model in order to generate a countercyclical
premium on external finance. This is achieved by linking the mean distribution of
investment opportunities faced by entrepreneurs to aggregate total factor productivity.
We model monetary policy in terms of simple welfare-maximizing interest rate rules.
We find that monetary policy should respond to increases in asset prices by lowering
interest rates. However, when monetary policy responds strongly to inflation, the
marginal welfare gain of responding to asset prices vanishes. Within the class of
linear interest rate rules that we analyze, a strong anti-inflationary stance always
attains the highest level of welfare.
Threshold heteroskedastic models [статья]
Опубликовано на портале: 06-04-2004
Jean-Michel Zakoian
Journal of Economic Dynamics and Control.
1994.
Vol. 18.
No. 5.
P. 931-944.
In this paper we consider a modification of the classical ARCH models introduced
by Engle (1982). In this modified model the conditional standard deviation is a piecewise
linear function of past values of the white noise. This specific form allows different
reactions of the volatility to different signs of the lagged errors. Stationarity
conditions are derived. Maximum likelihood and least squares estimation are also
considered. Finally an empirical example relating to the French CAC stock index is
presented and several specifications are compared.
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