Всего публикаций в данном разделе: 1306
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
Опубликовано на портале: 13-12-2007Ari Aisen, Francisco Veiga IMF, Working Paper. 2006. No. 06/212.
The purpose of this paper is to empirically determine the causes of worldwide diversity of inflation volatility. We show that higher degrees of political instability, ideological polarization, and political fragmentation are associated with higher inflation volatility.
Опубликовано на портале: 03-12-2007Sanjay K. Chugh Journal of Monetary Economics. 2007. Vol. 54. No. 6. P. 1809-1836.
Ramsey models of fiscal and monetary policy featuring time-separable preferences and a fixed supply of capital predict highly volatile inflation with no serial correlation. In this paper, we show that an otherwise-standard Ramsey model that incorporates capital accumulation and habit persistence predicts highly persistent inflation. The result depends on increases in either the ability to smooth consumption or the preference for doing so. The effect operates through the Fisher relationship: a smoother profile of consumption implies a more persistent real interest rate, which in turn implies persistent optimal inflation. Our work complements a recent strand of the Ramsey literature based on models with nominal rigidities. In these latter models, inflation volatility is lower than in the baseline model but continues to exhibit little persistence. We quantify the effects of habit and capital on inflation persistence and also relate our findings to recent work on optimal fiscal policy with incomplete markets.
Опубликовано на портале: 03-12-2007Lorenzo Bini Smaghi Journal of Policy Modeling. 2007. Vol. 29. No. 5. P. 711-727 .
In the article I discuss some possible explanations for two features of financial globalization over recent years; first, the fact that expected returns have fallen significantly in advanced countries, even though economic growth has accelerated; and second, the fact that capital is flowing from poor to rich countries rather than the other way round, a phenomenon known in the literature as the “Lucas Paradox”. The “incomplete” nature of globalization, notably the persistent differences in institutional quality between North and South, might explain both puzzles as well as the emergence of global imbalances. Alternative explanations based on a fall in risk premia and accommodative monetary policy conditions fit the facts less well. I then discuss the implications for monetary policy.
Improving Credibility by Delegating Judicial Competence : the Case of the Judicial Committee of the Privy Council [статья]
Опубликовано на портале: 03-12-2007Stefan Voigt, Michael Ebeling, Lorenz Blume Volkswirtschaftliche Diskussionsbeiträge. 2004. No. 67/04.
It is argued that government credibility is an important resource and that it can be improved by delegating decision-making competence beyond the nation-state. It is hypothesized that such delegation should result in higher income and growth. Some former British colonies retained the Judicial Committee of the Privy Council as their final court of appeals even after independence. This court is thus taken as a natural experiment to test our hypothesis. It turns out that retaining the jurisdiction is indeed significant for explaining economic growth.
Опубликовано на портале: 03-12-2007Helmut Herwart, Fang Xu Economics Working Papers of Department of Economics and Business, Universitat Pompeu Fabra. 2004. No. 2007-14.
What does the saving-investment (SI) relation really measure and how should the (SI) relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allow to separate long and short to medium run parameter dependence. We apply the latter to uncover the determinants of the SI relation. Macroeconomic state variables such as openness, the age dependency ratio, government current and consumption expenditures are found to affect the SI relation significantly in the long run.
The Unbearable Tightness of Being in a Monetary Union: Fiscal Restrictions and Regional Stability [статья]
Опубликовано на портале: 03-12-2007Evi Pappa, Vanghelis Vassilatos European Economic Review. 2007. Vol. 51. No. 6. P. 1492-1513.
We study how constrained fiscal policy can affect macroeconomic stability and welfare in a two-region model of a monetary union with sticky prices and distortionary taxation. Both government spending and taxes can be used to stabilize regional variables; however, the best welfare outcome is obtained under some tax variability and constant regional inflations. We use a variety of rules to characterize constrained fiscal policy and find that strict fiscal rules coupled with a monetary policy that targets union-wide inflation result in regional inflation stability and the welfare costs of such rules are not as unbearable as one would expect. Fiscal authorities can enhance welfare by targeting the regional output gap, while targeting regional inflation is less successful since inflation stability is guaranteed by the central bank.
Supply Shocks, Private Sector Information and Monetary Policy: Is There Inevitably a Stabilization Trade-Off? [статья]
Опубликовано на портале: 03-12-2007Jonathan G. James, Phillip Lawler Economics Letters. 2007. Vol. 96. No. 1. P. 77-83.
We assume that, while the central bank has an information advantage in respect of aggregate productivity shocks, the private sector has superior knowledge of local disturbances. It is shown that there is no policy trade-off between inflation and employment stability: moreover macroeconomic outcomes are independent of the weight assigned to inflation by the central bank.
Опубликовано на портале: 03-12-2007Aaron Tornell, Frank Westermann, Lorenza Martinez Brookings Papers on Economic Activity. 2007. Vol. 2. No. 2003-2. P. 1-112.
Although the case for trade liberalization is now well established, the case for financial liberalization is not, because the latter is associated with lending booms and crises. Some critics invoke as evidence the recent weak growth of Mexico, a prominent liberalizer. We argue that liberalization is beneficial despite the occurrence of crises. First, we show that financial liberalization has typically followed trade liberalization, and that both have led to faster growth, despite more frequent booms and busts. Second, we present a model that shows why, in countries with severe credit market imperfections, liberalization leads to faster growth and, as a by-product, to financial fragility. Third, comparing Mexico with this international norm, we show that liberalization and NAFTA have induced faster growth and investment but have not been enough: lack of structural reform and a protracted credit crunch generated bottlenecks that blocked further growth and led to a slowdown in exports.
Опубликовано на портале: 03-12-2007Patrick Fève, Julien Matheron, Céline Poilly Economics Letters. 2007. Vol. 96. No. 1. P. 97-102.
We investigate identification issues in estimated Taylor rules. Embedding two alternative views about monetary policy, inertia versus serially correlated shocks, in a single equation, we show that using euro data, it is impossible to discriminate between these two competing representations.
Опубликовано на портале: 03-12-2007Takayuki Tsuruga European Economic Review. 2007. Vol. 51. No. 5. P. 1107-1125.
We propose a general equilibrium model that explains the empirical evidence of the hump-shaped response of inflation to a monetary policy shock. The model replaces backward-looking indexation à la Christiano et al. [2005. Nominal rigidities and the dynamic effect of a shock to monetary policy. Journal of Political Economy 113(1), 1–45] with a dynamic externality into the production function of firms. The model, armed with sticky wages and variable capital utilization, has two offsetting effects on real marginal cost over the business cycle. First, increasing factor prices raise real marginal cost in response to an expansionary monetary policy shock in the intermediate run. Second, a dynamic externality reduces real marginal cost in the short run because it raises productivity in response to an increase in output following the shock. Overall, the resulting short-run decrease and intermediate-run increase in marginal cost replicate the hump-shaped behavior of inflation under purely forward-looking price and wage Phillips curves.
Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policymaking under Uncertainty [статья]
Опубликовано на портале: 03-12-2007Naoko Hara, Ippei Fujiwara, Naohisa Hirakata, Takeshi Kimura, Shinichiro Watanabe Monetary and Economic Studies. 2007. Vol. 2. No. 25. P. 89-128.
Focusing on policymaking under uncertainty, we analyze the monetary policy of the Bank of Japan (BOJ) in the early 1990s, when the bubble economy collapsed. Conducting stochastic simulations with a large- scale macroeconomic model of the Japanese economy, we find that the BOJf s monetary policy at that time was essentially optimal under uncertainty about the policy multiplier. On the other hand, we also find that the BOJ's policy was not optimal under uncertainty about inflation dynamics, and that a more aggressive policy response than actually implemented would have been needed. Thus, optimal monetary policy differs greatly depending upon which type of uncertainty is emphasized. Taking into account the fact that overcoming deflation became an important issue from the latter 1990s, it is possible to argue that during the early 1990s the BOJ should have placed greater emphasis on uncertainty about inflation dynamics and implemented a more aggressive monetary policy. The result from a counterfactual simulation indicates that the inflation rate and the real growth rate would have been higher to some extent if the BOJ had implemented a more accommodative policy during the early 1990s. However, the simulation result also suggests that the effects would have been limited, and that an accommodative monetary policy itself would not have changed the overall image of the prolonged stagnation of the Japanese economy during the 1990s.
Опубликовано на портале: 03-12-2007Christoph Fischer Deutsche Bundesbank Discussion Paper Series 1: Economic Studies. 2007. No. 08/2007.
Inflation differentials within European Monetary Union (EMU) are increasingly seen as exerting adverse effects on the price competitiveness of member countries’ firms and – given the common monetary policy within EMU – as being detrimental to euro-area economies, in particular to those with relatively high inflation rates. Using three simple measures of international price competitiveness for EMU countries, the paper analyses whether these indicators have displayed distinctive trends since the start of EMU and whether they converge with or diverge from their respective fundamental value. It is found that all three indicators suggest a gain in competitiveness for the German economy and a corresponding loss for Italy, Portugal and Spain. Two of the indicators, however, suggest that these trends reduce former disparities and, thus, contribute to a convergence of competitiveness within EMU while the third would imply the opposite.
Опубликовано на портале: 03-12-2007Wolfgang Lemke Discussion Paper Series 1: Economic Studies. 2007. No. 13/2007.
A joint model of macroeconomic and term structure dynamics is specified and estimated for the euro area. The model comprises a backward-looking Phillips curve, a dynamic IS equation, a monetary policy rule as well as a specification of the dynamics of trend growth and the natural real interest rate. Under the condition of no arbitrage, yields of all maturities are affine functions of the macroeconomic driving forces. With the exception of a shock to potential output growth, the response of short-term yields to macroeconomic shocks is generally stronger than that of long-term yields. Impulse responses of all bond yields are fairly persistent, which reflects the persistence of their macroeconomic driving forces. Across the whole maturity spectrum, about ninety percent of the variation in yields is explained jointly by monetary policy shocks and shocks to the natural real rate of interest; the relative contribution of the latter shock increases with time to maturity. Cost-push shocks explain at most eight percent, while shocks to the output gap play an even less important role.
Опубликовано на портале: 03-12-2007Carolyn Sissoko Economics Discussion Papers. 2007. No. 2007-16.
Using the monetary model developed in Sissoko (2007), where the general equilibrium assumption that every agent buys and sells simultaneously is relaxed, we observe that in this environment fiat money can implement a Pareto optimum only if taxes are type-specific. We then consider intermediated money by assuming that financial intermediaries whose liabilities circulate as money have an important identifying characteristic: they are widely viewed as default-free. The paper demonstrates that default-free intermediaries who issue credit lines to consumers can resolve the monetary problem and make it possible for the economy to reach a Pareto optimum. We argue that our idealized concept of financial intermediation is a starting point for studying the monetary use of credit.
The Growth Performance of Developing Countries in the Last Thirty Years. Who gained? Who Lost? [статья]
Опубликовано на портале: 03-12-2007Horst Siebert Kiel Working Papers. 2006. No. 1280.
This paper answers the question which developing countries have gained and which have lost in the international division of labor during the last thirty years. The indicators used are GDP per capita in constant purchasing power parity and relative distance to the United States. Nearly all developing countries have improved in absolute terms over the last thirty years; many, among them China and India with large populations, have also reduced their relative distance to the United States. The paper classifies developing countries and discusses impediments to economic development and core elements of a growth strategy.
Опубликовано на портале: 03-12-2007Hsing Yu Southeastern Louisiana University. 2005. No. 6. P. 1-9.
Extending the IS-MP-IA model (Romer, 2000), we find that equilibrium output in Singapore is negatively affected by the expected inflation rate and the world interest rate and positively influenced by real appreciation, stock market performance, and world output. Equilibrium GDP would rise by 0.872% if the real effective exchange rate rises by 1%. The coefficient of real government deficit spending is found to be insignificant, suggesting that pursuing fiscal discipline and budget surpluses in the long run by the Singapore government is appropriate.
Опубликовано на портале: 03-12-2007Emine Boz IMF, Working Paper. 2007. No. 07/223.
Emerging market financial crises are abrupt and dramatic, usually occurring after a period of high output growth, massive capital flows, and a boom in asset markets. This paper develops an equilibrium asset-pricing model with informational frictions in which vulnerability and the crisis itself are consequences of the investor optimism in the period preceding the crisis. The model features two sets of investors, domestic and foreign. Both sets of investors learn from noisy signals, which contain information relevant for asset returns and formulate expectations, or "beliefs," about the state of productivity. We show that, if preceded by a sequence of positive signals, a small, negative noise shock can trigger a sharp downward adjustment in investors' beliefs, asset prices, and consumption. The magnitude of this downward adjustment and sensitivity to negative signals increase with the level of optimism attained prior to the negative signal.