Всего публикаций в данном разделе: 1303
Testing the Transparency Benefits of Inflation Targeting: Evidence from Private Sector Forecasts [статья]
Опубликовано на портале: 22-12-2007Christopher W. Crowe IMF, Working Paper. 2006. No. 06/289.
This paper tests whether inflation targeting (IT) enhances transparency using inflation forecast data for 11 IT adoption countries. IT adoption promotes convergence in forecast errors, suggesting that it enhances transparency. This effect is robust to dropping observations, is strengthened by using instrumental variable estimation to eliminate mean-reversion, and is absent in placebo regressions (where IT adoption is shifted by a year). This result supports Morris and Shin's (2002) contention that better public information is most beneficial for forecasters with bad private information. However, it does not support their hypothesis that better public information could make private forecasts less accurate.
Опубликовано на портале: 22-12-2007Selim Elekdag, Natan P. Epstein, Marialuz Moreno-Badia IMF, Working Paper. 2006. No. 06/253.
Fiscal consolidation has become an important policy prescription for many emerging market countries (EMCs), particularly for the highly indebted ones. Although prudent fiscal policies tend to reduce vulnerabilities, their implementation is usually postponed. This paper represents, to the best of our knowledge, one of the first attempts in the literature to quantify the costs of delaying fiscal consolidation in an EMC. In particular, using the IMF’s Global Fiscal Model (GFM), we find that early consolidation through expenditure cuts would result in a substantial increase in Israel’s long-term output growth relative to the case with delayed fiscal adjustment. Using an alternative fiscal instrument, we find that delaying tax cuts would result in cumulative real GDP that is much larger than otherwise.
Опубликовано на портале: 22-12-2007Alex Segura-Ubiergo, Alejandro Simone, Sanjeev Gupta IMF, Working Paper. 2006. No. 06/244.
This paper analyzes the relationship between fiscal adjustment and real GDP growth in a panel of 26 transition economies during 1992–2001. Unlike most previous studies using cross-country regressions, the paper finds a positive and statistically significant relationship between fiscal adjustment and growth that is robust to different model specifications and estimation methods. The paper also presents country experiences to delve deeper into the mechanisms that may underlie this statistical relationship.
Foreign Capital and Economic Growth [статья]
Опубликовано на портале: 22-12-2007Eswar S. Prasad, Raghuram G. Rajan, Arvind Subramanian Brookings Papers on Economic Activity. 2007. Vol. 1. No. 2007-1. P. 153-230.
Nonindustrial countries that have relied more on foreign finance have not grown faster in the long run as standard theoretical models predict. The reason may lie in these countries’ limited ability to absorb foreign capital, especially because their financial systems have difficulty allocating it to productive uses, and because their currencies are prone to appreciation (and often overvaluation) when such inflows occur. The current anomaly of poor countries financing rich countries may not really hurt the former’s growth, at least conditional on their existing institutional and financial structures. Our results do not imply that foreign finance has no role in development or that all types of capital naturally flow “uphill.” Indeed, the patterns associated with foreign direct investment flows have generally been more consistent with theoretical predictions. However, we find no evidence that providing financing in excess of domestic saving is the channel through which financial integration delivers its benefits.
Опубликовано на портале: 22-12-2007Gino Cateau Journal of Monetary Economics. 2007. Vol. 54. No. 7. P. 2083-2101.
Empirical Taylor rules are much less aggressive than those derived from optimization-based models. This paper analyzes whether accounting for uncertainty across competing models and (or) real-time data considerations can explain this discrepancy. It considers a central bank that chooses a Taylor rule in a framework that allows for an aversion to the second-order risk associated with facing multiple models and measurement-error configurations. The paper finds that if the central bank cares strongly enough about stabilizing the output gap, this aversion leads to significant declines in the coefficients of the Taylor rule even if the central bank's loss function assigns little weight to reducing interest rate variability. Furthermore, a small degree of aversion can generate an optimal rule that matches the empirical Taylor rule
Опубликовано на портале: 21-12-2007Robert E. Hall, Charles I. Jones NBER Working Paper Series. 1998. No. 6564.
Output per worker varies enormously across countries. Why? On an accounting basis, our analysis shows that differences in physical capital and educational attainment can only partially explain the variation in output per worker we find a large amount of variation in the level of the Solow residual across countries. At a deeper level, we document that the differences in capital accumulation, productivity, and therefore output per worker are driven by differences in institutions and government policies, which we call social infrastructure. We treat social infrastructure as endogenous, determined historically by location and other factors captured in part by language.
Опубликовано на портале: 21-12-2007Bradford DeLong American Economic Review. 1988. Vol. 78. No. 5. P. 1138-1154.
Опубликовано на портале: 17-12-2007Giuseppe 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: 17-12-2007Bartosz Maćkowiak Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2512-2520.
Estimated structural VARs show that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect interest rates and the exchange rate in a typical emerging market quickly and strongly. The price level and real output in a typical emerging market respond to U.S. monetary policy shocks by more than the price level and real output in the U.S. itself. These findings are consistent with the idea that “when the U.S. sneezes, emerging markets catch a cold.” At the same time, U.S. monetary policy shocks are not important for emerging markets relative to other kinds of external shocks.
Опубликовано на портале: 17-12-2007Malin Andersson, Hans Dillén, Peter Sellin Journal of Monetary Economics. 2006. Vol. 53. No. 8. P. 1815-1855.
This paper examines how various monetary policy signals such as repo rate changes, inflation reports, speeches, and minutes from monetary policy meetings affect the term structure of interest rates. We find that unexpected movements in the short end of the yield curve are mainly driven by unexpected changes in the repo rate. However, published inflation reports and speeches also have some impact on short rates. Speeches are found to be a more important determinant for the longer end of the term structure. Our conclusion is that central bank communication is an essential part of the conduct of monetary policy.
Globalisation and Inflation [статья]
Опубликовано на портале: 17-12-2007Charles Richard Bean World Economics Journal. 2007. Vol. 8. No. 1. P. 57-73.
In this paper, Charles Bean, Executive Director, Chief Economist and member of the Monetary Policy Committee of the Bank of England, discusses the impact of globalisation on the industrialised countries and in particular the inflation process. He explains how globalisation has affected the returns to labour and capital, and the location of production in the world economy. Globalisation has also influenced relative prices, lowering the prices of imported goods but boosting the prices of oil and other commodities. And it may have changed the inflationary process, flattening the trade-off between domestic activity and inflation through a number of channels. Although globalisation has provided a benign backdrop for monetary policy, it poses a number of challenges going forward: the beneficial tailwind has waned and changes in product and labour markets have altered the determination of prices and wages in ways central bankers do not yet fully understand.
The Impact of Monetary Policy on the Exchange Rate: Evidence from Three Small Open Economies [статья]
Опубликовано на портале: 17-12-2007Jeromin Zettelmeyer Journal of Monetary Economics. 2004. Vol. 51. No. 3. P. 635-652.
This paper studies the impact effect of monetary policy shocks on the exchange rate in Australia, Canada, and New Zealand during the 1990s. Shocks are identified by the reaction of three month market interest rates to policy announcements that were not themselves endogenous to economic news on the same day. The main result is that a 100 basis point contractionary shock will appreciate the exchange rate by 2–3 percent on impact. The association of interest rate hikes with depreciations that is sometimes observed during periods of exchange market pressure is mainly attributable to reverse causality.
Опубликовано на портале: 17-12-2007G.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.
Expenditure Switching versus Real Exchange Rate Stabilization: Competing Objectives for Exchange Rate Policy [статья]
Опубликовано на портале: 17-12-2007Michael B. Devereux, Charles M. Engel Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2346-2374.
This paper develops a view of exchange rate policy as a trade-off between the desire to smooth fluctuations in real exchange rates so as to reduce distortions in consumption allocations, and the need to allow flexibility in the nominal exchange rate so as to facilitate terms of trade adjustment. We show that optimal nominal exchange rate volatility will reflect these competing objectives. The key determinants of how much the exchange rate should respond to shocks will depend on the extent and source of price stickiness, the elasticity of substitution between home and foreign goods, and the amount of home bias in production. Quantitatively, we find the optimal exchange rate volatility should be significantly less than would be inferred based solely on terms of trade considerations. Moreover, we find that the relationship between price stickiness and optimal exchange rate volatility may be non-monotonic.
Identifying the Influences of Nominal and Real Rigidities in Aggregate Price-Setting Behavior [статья]
Опубликовано на портале: 17-12-2007Günter Coenen, Andrew T. Levin, Kai Christoffel Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2439-2466.
We formulate a generalized price-setting framework that incorporates staggered contracts of multiple durations and that enables us to directly identify the influences of nominal vs. real rigidities. We estimate this framework using macroeconomic data for Germany (1975–1998) and for the U.S. (1983–2003). In each case, we find that the data are well-characterized by nominal contracts with an average duration of about two to three quarters. We also find that new contracts exhibit very low sensitivity to marginal cost, corresponding to a relatively high degree of real rigidity. Finally, our results indicate that backward-looking price-setting behavior (such as indexation to lagged inflation) is not needed in explaining the aggregate data, at least in an environment with a stable monetary policy regime and a transparent and credible inflation objective.
Опубликовано на портале: 17-12-2007Matthew B. Canzoneri, Robert E. Cumby, Behzad T. Diba Journal of Monetary Economics. 2007. Vol. 54. No. 7. P. 1863-1881.
Standard macroeconomic models equate the money market rate targeted by the central bank with the interest rate implied by a consumption Euler equation. We use U.S. data to calculate the interest rates implied by Euler equations derived from a number of specifications of household preferences. Correlations between these Euler equation rates and the Federal Funds rate are generally negative. Regression results and impulse response functions imply that the spreads between the Euler equation rates and the Federal Funds rate are systematically linked to the stance of monetary policy. Our findings pose a fundamental challenge for models that equate the two.
Taxation and the Taylor Principle [статья]
Опубликовано на портале: 16-12-2007Rochelle M. Edge, Jeremy B. Rudd Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2554-2567.
A nominal tax system is added to a sticky-price monetary business cycle model. When nominal interest income is taxed, the coefficient on inflation in a Taylor-type monetary policy rule must be significantly larger than one in order for the model economy to have a determinate rational-expectations equilibrium. When effective tax rates are raised by inflation, the stability of the economy's equilibrium can be adversely affected. Finally, when depreciation is treated as a charge against taxable income, an even larger weight on inflation is required in the Taylor rule in order to obtain a determinate and stable equilibrium.
Опубликовано на портале: 16-12-2007Cindy Moons, Harry Garretsen, Bas van Aarle, Jorge Fornero Journal of Policy Modeling. 2007. Vol. 29. No. 6. P. 879-902.
This paper analyzes monetary policy in a stylized New-Keynesian model. A number of issues are focused upon: (i) optimal monetary policy under commitment or discretion versus ad-hoc monetary policy based on simple rules, (ii) the effects of fiscal policies and foreign variables on monetary policy, (iii) the effects of fiscal deficit and interest rate smoothing objectives and the role of forward-backward linkages in the model. The model is estimated for the Euro Area. Using simulations of the estimated model, it is analyzed how these aspects might affect monetary policy of the ECB and macroeconomic fluctuations in the Euro Area.
Опубликовано на портале: 16-12-2007Bartosz 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: 13-12-2007Pritha Mitra IMF, Working Paper. 2006. No. 06/219.
Emerging market financial crises during the late 1990s were marked by sudden withdrawals of funds by foreign creditors, resulting in production declines. The IMF favored positive signals to potential foreign creditors and initially recommended disciplined fiscal policy during the height of crisis, countering standard Keynesian recommendations of expansionary fiscal stimulus. This paper formulates an open-economy general equilibrium model for resolving this policy conundrum and analyzing the impact of disciplined fiscal policy on post-crisis recovery. The model demonstrates via simulations that disciplined fiscal policy will improve (worsen) post-crisis recovery in the presence (absence) of appropriately defined production flexibility