Всего публикаций в данном разделе: 1303
Non-Self-Averaging in Macroeconomic Models: A Criticism of Modern Micro-founded Macroeconomics [статья]
Опубликовано на портале: 24-12-2007Masanao Aoki, Hiroshi Yoshikawa Economics Discussion Papers. 2007. No. 2007-49.
Using a simple stochastic growth model, this paper demonstrates that the coefficient of variation of aggregate output or GDP does not necessarily go to zero even if the number of sectors or economic agents goes to infinity. This phenomenon known as non-self-averaging implies that even if the number of economic agents is large, dispersion can remain significant, and, therefore, that we can not legitimately focus on the means of aggregate variables. It, in turn, means that the standard microeconomic foundations based on the representative agent has little value for they are expected to provide us with accurate dynamics of the means of aggregate variables. The paper also shows that non-self-averaging emerges in some representative urn models. It suggests that non-self-averaging is not pathological but quite generic. Thus, contrary to the main stream view, micro-founded macroeconomics such as a dynamic general equilibrium model does not provide solid micro foundations.
Опубликовано на портале: 24-12-2007Lukas Menkhoff, Chodechai Suwanaporn Diskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover. 2007. No. 356.
This paper uses the framework of long-term financial system development to describe and assess the reform process in Thailand after 1997. The present financial reforms are well in line with the pattern of financial development found in the academic literature. A detailed analysis of capital markets, specialized financial institutions and supervisory regulation shows recent advancements and open issues. The rapid rise of non-banks financial institutions can serve as a paradigmatic example of market driven dynamism requiring appropriate policy action. Overall, the building of modern and sophisticated financial institutions is an ongoing process which should consider human resource constraints.
Опубликовано на портале: 24-12-2007Elena Schneider, Pu Chen, Joachim Frohn Economics Discussion Papers. 2007. No. 2007-47.
The objective of this paper is to apply the method developed in Garratt, Lee, Pesaran, and Shin (2000) to build a structural model for Germany with a transparent and theoretically coherent foundation. The modelling strategy consists of a set of long-run structural relationships suggested by economic theory and an otherwise unrestricted VAR model. It turns out that we can rebuild the structure of the model in Garratt, Lee, Pesaran, and Shin (2003b) for German data. Five long run relations : PPP, UIP, production function, trade balance, and real money balance characterize the equilibrium state of Germany as an open economy in our structural model.
Опубликовано на портале: 24-12-2007Peter Charles Bonest Phillips Cowles Foundation Discussion Paper. 2002. No. 1264.
Some challenges for econometric research on trending time series are discussed in relation to some perceived needs of macroeconomics and macroeconomic policy making.
Опубликовано на портале: 24-12-2007Richard Mash Kiel Working Papers. 2007. No. 1358.
Models in which firms use rules of thumb or partial indexing in their price setting have become prominent in the recent monetary policy literature. The extent to which these firms adjust their prices to lagged inflation has been taken as fixed. We consider the implications of firms choosing the optimal degree of indexation so these simple pricing rules deliver prices as close as possible to those which would be chosen optimally. We find that the degree of indexation depends on the extent of persistence in the economy such that models with constant indexation are vulnerable to the Lucas critique. We also study the interactions between firms price setting and the macroeconomic environment finding that, for the models which appear most plausible on microeconomic grounds, the Nash equilibrium between firms and the policy maker is characterized by zero indexation and zero macroeconomic persistence.
Опубликовано на портале: 24-12-2007Olaf Hübler, Lukas Menkhoff, Chodechai Suwanaporn Diskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover. 2007. No. 364.
Financial liberalisation has often failed in the past due to underestimated problems of structural change. We analyse such changes in lending behaviour of Thai commercial banks during a liberalisation phase by way of unique micro data. Liberalisation has expected positive effects, such as lowering the interest rate spread and collateral requirements. Liberalisation causes structural change, such as a decline in collateralbased and relationship banking. However, the liberalisation evidence is consistent with more risk taking, such as lending to more risky projects and less protection against default. The Thai experience suggests obvious policy lessons.
Effects of External Debt on Domestic Resource Allocation in a Small Open Economy with Limited Access to the World Capital Market [статья]
Опубликовано на портале: 24-12-2007Fujiki Hiroshi, Kiyoshi Watanabe Institute for Monetary and Economic Studies, Working Paper. 2003.
This paper studies a small open economy with a large external debt. It begins by considering the long-term effects of shocks in the international capital market and domestic fiscal policy on the amount of outstanding external debt and the domestic reallocation of resources between the tradable and non-tradable goods sectors theoretically. Then, numerical examples on various shocks are illustrated to help understand those theoretical predictions. For example, an exogenous increase in government expenditures, together with an increase in the external borrowing rate, requires resource reallocation between the tradable goods sector and the non-tradable goods sector as well as a small amount of external borrowings to shift toward the new stationary equilibrium, whose welfare level worsens.
Introduction to Monetary Policy [книги]
Опубликовано на портале: 24-12-2007Glenn Hoggarth
London: Bank of England, 1996, cерия "Handbook of Central Banking", 26 с.
The key aim of monetary policy for most central banks is to keep inflation low and steady. However in a market-oriented economy, central banks cannot control inflation directly. They have to use instruments such as interest rates, the effects of which on the economy are uncertain. And they have to rely on incomplete information about the economy and its prospects. Some central banks use money growth or the exchange rate as intermediate targets to guide policy decisions. Others take a more eclectic approach and consider a range of factors. Monetary policy has occupied much time of the world’s most distinguished economists over the years. This Handbook provides an introductory overview to the subject. Following the introduction in Section 1, Section 2 describes the main costs of inflation. The next section provides an overview of the various routes by which monetary policy transmits through the economy. And Section 4 describes the alternative targets which central banks can use to guide policy. Some conclusions are provided in Section 5. The purpose of this Handbook is to assist monetary policy practitioners - those in central banks and governments who are advising and taking decisions on monetary policy. Those new to the subject may, it is hoped, find this a useful starting point for further reading and research. This handbook is also available in Russian and Spanish.
Опубликовано на портале: 23-12-2007Carlos Eduardo S. Gonçalves, João M. Salles Journal of Development Economics. 2008. Vol. 85. No. 1-2. P. 312-318.
In a recent thought-provoking paper, Ball and Sheridan [Ball, L., Sheridan, N., 2005. Does inflation targeting matter? In: Bernanke, B.S., Woodford, M. (Eds.), The Inflation-Targeting Debate, University of Chicago Press] show that the available evidence for a group of developed economies does not lend credence to the belief that adopting an inflation targeting regime (IT) was instrumental in bringing inflation and inflation volatility down. Here, we extend Ball and Sheridan's analysis for a subset of 36 emerging market economies and find that, for them, the story is quite different. Compared to non-targeters, developing countries adopting the IT regime not only experienced greater drops in inflation, but also in growth volatility, thus corroborating the view that the regime's “constrained flexibility” to deal with adverse shocks delivered concrete welfare gains.
Опубликовано на портале: 23-12-2007Marianne Nessén Journal of Macroeconomics. 2002. Vol. 24. No. 3. P. 313-329.
An inflation targeting central bank aims to stabilize the rate of inflation. But which ‘inflation’ should this be? Quarterly, annual, biennial? We analyze the effects on optimal monetary policy of increasing the period over which the inflation rate is defined. When inflation stabilization is the sole objective of the central bank, more aggressive monetary policy results; but when output stabilization is also a concern the result is a more cautious conduct of monetary policy and less variability in output. Thus, there is an observational equivalence between increasing the period over which inflation is measured and increasing the weight on output stabilization in the central bank’s objective function. The analogy between inflation targeting with an infinite-period target and price level targeting is also examined.
Опубликовано на портале: 23-12-2007Kirdan Lees Journal of Macroeconomics. 2007. Vol. 29. No. 4. P. 959-975.
This paper measures the benefits of commitment-based monetary policy over discretion for a small open economy inflation targeting country—New Zealand. Significant gains accrue from commitment policy. If commitment-based policy is unavailable, the government can recoup much of the gains to commitment through optimal delegation, asking the Reserve Bank of New Zealand to care more about inflation stabilisation. The 1999 PTA, the core of the policy contract between the New Zealand government and the Reserve Bank of New Zealand, placed an increased emphasis on stabilisation of output, interest rates and the exchange rate. This is inconsistent with a shift to optimal delegation behaviour and must stem from a changed perception of the welfare costs of macroeconomic stabilization on the part of the Government. This is shown to be true when the definition of inflation is extended to a medium term measure.
Should Central Banks React to Exchange Rate Movements? An Analysis of the Robustness of Simple Policy Rules Under Exchange Rate Uncertainty [статья]
Опубликовано на портале: 23-12-2007Timo Wollmershäuser Journal of Macroeconomics. 2006. Vol. 28. No. 3. P. 493-519.
This paper evaluates the performance of simple policy rules in an open economy. By introducing a high degree of exchange rate uncertainty we find that policy rules with an important feedback from movements in the real exchange rate are very robust to uncertainty about the true exchange rate model. A closed economy rule performs badly in most exchange rate specifications. This is in contrast to the findings of many other studies. In our view, this result is due to the fact that these studies assume a known and reliable relationship between the exchange rate and the interest rate.
Опубликовано на портале: 23-12-2007Laurent Bilke, Livio Stracca Economic Modelling. 2007. Vol. 24. No. 6. P. 1032-1047.
We propose a new core inflation measure for the Euro area which places the emphasis on the more lasting, i.e. persistent, price developments at a disaggregated level. The importance of each component of the HICP is reweighted according to its relative persistence, as measured by the sum of the autoregressive coefficients or by an indicator of mean reversion. Unlike headline inflation, our baseline core inflation measure is highly correlated with ECB monetary policy decisions, which could mean that they contain ex ante (pre monetary policy) information on inflationary pressure.
Опубликовано на портале: 23-12-2007Avner Bar-llan, Dan Lederman Economics Letters. 2007. Vol. 97. No. 2. P. 170-178.
We present a model that determines both monetary policy and level of international reserves. Strict monetary policy would build precautionary reserves that allow future monetary policy to better stabilize inflation and output and lower the likelihood of forthcoming financial crisis
Опубликовано на портале: 23-12-2007Frank Smets Journal of Monetary Economics. 2003. Vol. 50. No. 6. P. 1293-1309.
Using a small estimated forward looking model of the euro area economy, this paper analyses the determinants of the optimal monetary policy horizon for maintaining price stability. First, the optimal policy horizon for a price level objective is generally longer than that for an inflation objective. Second, the policy horizon becomes longer, the greater the weight on other objectives like minimising output gap and interest rate variability. Third, the optimal policy horizon is shorter, the higher the degree of “forward-lookingness” in the economy and the greater the slope of the Phillips curve. Finally, even if society cares only about inflation stabilisation, it often pays to give the central bank a price level objective, provided the horizon is optimally chosen to be somewhat longer.
Опубликовано на портале: 23-12-2007Patrick J. Kehoe, Varadarajan V. Chari Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2399-2408.
The desirability of fiscal constraints in monetary unions depends critically on whether the monetary authority can commit to following its policies. If it can commit, then debt constraints can only impose costs. If it cannot commit, then fiscal policy has a free-rider problem, and debt constraints may be desirable. This type of free-rider problem is new and arises only because of a time inconsistency problem.
Trade Liberalization, Macroeconomic Adjustment, and Welfare: Unifying Trade and Macro Models [статья]
Опубликовано на портале: 23-12-2007Ehsan U. Choudhri, Hamid Faruqee, Stephen P. Tokarick IMF, Working Paper. 2006. No. 6/304.
Trade liberalization leads to long-run gains, but it can also involve costly short-run macroeconomic adjustment. The paper explores the relative importance of these effects within a dynamic general equilibrium model that captures key elements of both international trade and macroeconomic models. The welfare effect of trade liberalization is decomposed into a steady-state efficiency gain and a transitional loss associated with wage-price stickiness. Our estimates show that the transitional loss is small relative to the steady-state gain, and tends to be lower under flexible as compared to fixed exchange rates. We also show that the loss can be reduced further by a flexible price-level targeting policy rule.
Опубликовано на портале: 23-12-2007Anastasia Guscina IMF, Working Paper. 2006. No. 06/294.
Опубликовано на портале: 23-12-2007Gianni De Nicolo, Luc Laeven, Kenichi Ueda IMF, Working Paper. 2006. No. 06/293.
This paper constructs a composite index of corporate governance quality, documents its evolution from 1994 through 2003 in selected emerging and developed economies, and assesses its impact on aggregate and corporate growth and productivity. Our investigation yields three main findings. First, corporate governance quality in most countries has overall improved, although to varying degrees and with a few notable exceptions. Second, the data exhibit cross-country convergence in corporate governance quality with countries that score poorly initially catching up with countries with high corporate governance scores. Third, the impact of improvements in corporate governance quality on traditional measures of real economic activity—GDP growth, productivity growth, and the ratio of investment to GDP— is positive, significant, and quantitatively relevant, and the growth effect is particularly pronounced for industries that are most dependent on external finance.
Опубликовано на портале: 22-12-2007Jahangir Aziz IMF, Working Paper. 2006. No. 06/291.
This paper uses the standard one-sector neoclassical growth model to investigate why China’s consumption has been low and investment high. It finds that the low cost of capital has been quantitatively an important factor. Theory predicts that the price of capital may have been significantly distorted in the 1990s and 2000s. The distortion could have been caused by nonperforming loans, borrowing constraints, and uncertainty over changes in government guidance in bank lending. If China is to rebalance growth towards relying more on consumption and less on exports and investment, banking sector reforms and financial market development could, therefore, turn out to be key.