Всего публикаций в данном разделе: 1306
Optimal Monetary Policy in a Small Open Economy Under Segmented Asset Markets and Sticky Prices [статья]
Опубликовано на портале: 03-12-2007Ruy Lama, Juan Pablo Medina IMF, Working Paper. 2007.
This paper studies optimal monetary policy in a two-sector small open economy model under segmented asset markets and sticky prices. We solve the Ramsey problem under full commitment, and characterize the optimal monetary policy in a calibrated version of the model. The findings of the paper are threefold. First, the Ramsey solution mimics the allocations under flexible prices. Second, under the optimal policy the volatility of non-tradable inflation is close to zero. Third, stabilizing nontradable inflation is optimal regardless of the financial structure of the small open economy. Even for a moderate degree of price stickiness, implementing a monetary policy that mitigates asset market segmentation is highly distortionary. This last result suggests that policymakers should resort to other policy instruments in order to correct financial imperfections.
Опубликовано на портале: 03-12-2007Ben Hunt IMF, Working Paper. 2007. No. 07/208.
In this paper, the IMF's new Global Economy Model (GEM) is used to estimate the relative importance of a number of factors argued to explain the differences in the trends in core inflation and relative prices in the United Kingdom, the Euro Area and the United States. The simulation results indicate that while the direct effect of globalization has had a larger effect in the United Kingdom than in either the United States or the Euro Area, it explains only a portion of the developments and U.K. specific factors played an important role.
Опубликовано на портале: 03-12-2007Keiko Honjo IMF, Working Paper. 2007. No. 07/199.
The present formulation of the golden rule in the United Kingdom allows fiscal performance to be tested explicitly on an ex-post basis. However, it requires precise dating of the economic cycle, which can lead to significant controversy. Also, the need to aim for current balance or better "over the cycle" may force fiscal policy to be procyclical toward the end of cycles. Using dynamic stochastic simulations, the paper suggests that making the formulation of the golden rule forward-looking and independent of the dating of the economic cycle would reduce the risk of procyclicality and enhance macroeconomic stability.
Опубликовано на портале: 02-12-2007Olivier Cadot, Lars-Hendrik Röller, Andreas Stephan DIW Berlin Discussion Papers. 2004. No. 458.
This paper proposes a simultaneous-equation approach to the estimation of the contribution of transport infrastructure accumulation to regional growth. We model explicitly the political-economy process driving infrastructure investments; in doing so, we eliminate a potential source of bias in production-function estimates and generate testable hypotheses on the forces that shape infrastructure policy. Our empirical findings on a panel of France's regions over 1985-92 suggest that electoral concerns and influence activities were, indeed, significant determinants of the cross-regional allocation of transportation infrastructure investments. By contrast, we find little evidence of concern for the maximization of economic returns to infrastructure spending, even after controlling for pork-barrel.
Опубликовано на портале: 26-11-2007John Kambhu, Scott Weidman, Neel Krishnan Economic Policy Review. 2007. Vol. 13. No. 2. P. 1-83.
The Federal Reserve Bank of New York released a report -- New Directions for Understanding Systemic Risk -- that presents key findings from a cross-disciplinary conference that it cosponsored in May 2006 with the National Academy of Sciences' Board on Mathematical Sciences and Their Applications. The pace of financial innovation over the past decade has increased the complexity and interconnectedness of the financial system. This development is important to central banks, such as the Federal Reserve, because of their traditional role in addressing systemic risks to the financial system. To encourage innovative thinking about systemic issues, the New York Fed partnered with the National Academy of Sciences to bring together more than 100 experts on systemic risk from 22 countries to compare cross-disciplinary perspectives on monitoring, addressing and preventing this type of risk. This report, released as part of the Bank's Economic Policy Review series, outlines some of the key points concerning systemic risk made by the various disciplines represented - including economic research, ecology, physics and engineering - as well as presentations on market-oriented models of financial crises, and systemic risk in the payments system and the interbank funds market. The report concludes with observations gathered from the sessions and a discussion of potential applications to policy. The three papers presented in this conference session highlighted the positive feedback effects that produce herdlike behavior in markets, and the subsequent discussion focused in part on means of encouraging heterogeneous investment strategies to counter such behavior. Participants in the session also discussed the types of models used to study systemic risk and commented on the challenges and trade-offs researchers face in developing their models.
Understanding the Evolution of Trade Deficits: Trade Elasticities of Industrialized Countries [статья]
Опубликовано на портале: 26-11-2007Leland Crane, Meredith Crowley, Saad Quayyum Economic Perspectives. 2007. Q IV. P. 2-17.
In this article, the authors present updated trade elasticities—measures of how much imports and exports change in response to income and price changes—for the U.S. and six other industrialized countries, collectively known as the Group of Seven. They find that the imports and exports of these countries are slightly more responsive to changes in a country’s total income over a period that ends in 2006, compared with a period that ends in 1994.
Опубликовано на портале: 26-11-2007Diego Restuccia, Margarida Duarte, Andrea L. Waddle Economic Quarterly. 2007. Win. P. 57-76.
The authors study the business cycle properties of exchange rates and other macro-economic variables in a panel of developed and developing countries. They find substantial variation in the degree of co-movement of exchange rates with other macroeconomic variables across countries in our sample. Moreover, the volatility of exchange rates is much larger in developing countries than in developed countries. This larger volatility of exchange rates in developing countries is associated with the characteristics of business cycles and the level of co-movement with other aggregates.
Interpreting Canada's Productivity Performance in the Past Decade: Lessons from Recent Research [статья]
Опубликовано на портале: 23-11-2007Richard Dion Bank of Canada Review. 2007. P. 19-32.
Dion examines the evolution of Canadian productivity since the mid-1990s, using the United States as a benchmark. During this period, trend productivity growth in Canada remained modest, whereas the U.S. witnessed a strong resurgence. Among the factors identified as potential root causes of Canada's lower productivity performance are a lower investment in information and communications technology, reallocation and adjustment costs associated with large relative price movements, and a weak demand for innovation.
Global Risks to U.S. Monetary Policy [статья]
Опубликовано на портале: 23-11-2007Owen F. Humpage Economic Commentary. 2007. No. 15. P. 1-5.
Four international economists were recently invited to the Federal Reserve Bank of Cleveland to discuss global developments and to help us identify and understand the key international risks that these developments present for U.S. monetary policy. This Commentary develops a key macroeconomic concern that emerged from author's conversations.
Опубликовано на портале: 19-11-2007Tommy Sveen, Lutz Weinke Journal of Economic Theory. 2007. Vol. 136. No. 1. P. 729-737.
In the presence of firm-specific capital the Taylor principle can generate multiple equilibria. Sveen and Weinke [New perspectives on capital, sticky prices, and the Taylor principle, J. Econ. Theory 123 (2005) 21–39] obtain that result in the context of a Calvo-style sticky price model. One potential criticism is that the price stickiness which is needed for our theoretical result to be relevant from a practical point of view is somewhat to the high part of available empirical estimates. In the present paper we show that if nominal wages are not fully flexible (which is an uncontroversial empirical fact) then the Taylor principle fails already for some minor degree of price stickiness. We use our model to explain the consequences of both nominal rigidities for the desirability of alternative interest rate rules.
Опубликовано на портале: 19-11-2007William T. Gavin, Finn E. Kydland, Michael R. Pakko Journal of Monetary Economics. 2007. Vol. 54. No. 6. P. 1587-1611.
This paper analyzes the interaction of inflation with the tax code and its contribution to aggregate fluctuations. We find significant effects operating through the tax on realized nominal capital gains. A tax on nominal bond income magnifies these effects. Our innovation is to combine monetary policy shocks with non-indexed taxes in a model where the central bank implements policy using an interest rate rule. Monetary policy had important effects on the behavior of the business cycle before 1980 because policymakers did not exert effective control over inflation. Monetary policy reform around 1980 led to better control, and with more stable inflation, the effect of the interaction between monetary policy and the nominal capital gains tax has become negligible.
Опубликовано на портале: 19-11-2007Jennifer E. Roush Journal of Monetary Economics. 2007. Vol. 54. No. 6. P. 1631-1643.
In practice, the expectations theory of the term structure is employed extensively in monetary policy analysis despite its empirical failure. This paper performs a conditional test of the theory that is directly relevant to monetary theory and policy. It finds that the theory holds quite well conditional on identified monetary policy shocks, but fails conditional on aggregate supply shocks that prompt an immediate jump in prices. It also finds that policy responses to movements in the term structure play an important role in uncovering evidence for the theory as predicted by McCallum [1994. Monetary policy and the term structure of interest rates. NBER Working Paper Series, no. 4938].
Опубликовано на портале: 19-11-2007Stephanie Schmitt-Grohe, Martin Uribe Journal of Monetary Economics. 2007. Vol. 54. No. 6. P. 1702-1725.
Welfare-maximizing monetary- and fiscal-policy rules are studied in a model with sticky prices, money, and distortionary taxation. The Ramsey-optimal policy is used as a point of comparison. The main findings are: the size of the inflation coefficient in the interest-rate rule plays a minor role for welfare. It matters only insofar as it affects the determinacy of equilibrium. Optimal monetary policy features a muted response to output. Interest-rate rules that feature a positive response to output can lead to significant welfare losses. The welfare gains from interest-rate smoothing are negligible. Optimal fiscal policy is passive. The optimal monetary and fiscal rule combination attains virtually the same level of welfare as the Ramsey-optimal policy.
Опубликовано на портале: 19-11-2007Алексей Леонидович Кудрин Вопросы экономики. 2007. № 10.
В статье излагаются теоретические и методологические основы необходимости обеспечения стабильно низкого уровня инфляции. Исходя из результатов эмпирических исследований, анализируется денежно-кредитная политика в России с 1992 года по настоящее время. Проводится оценка влияния монетарных и немонетарных факторов на инфляцию в этот период. Обобщаются меры антиинфляционной политики в мировой практике и разрабатываются рекомендации для России.
Опубликовано на портале: 18-11-2007Владимир Александрович Мау Вопросы экономики. 2007. № 2.
В статье анализируются тенденции социально-политического развития России в 2006–2007 гг., проблемы экономического роста, перехода от восстановительного роста к инвестиционному, направления промышленной политики, основанные на частно-государственном партнерстве и "институтах развития", возможность использования старых институтов для решения новых задач догоняющего развития. Вопросы макроэкономической политики автор рассматривает сквозь призму перспектив Стабилизационного фонда и способов формирования "фонда будущих поколений". Изложены возможные риски усиления популистских тенденций в предвыборный год, а также экономические аспекты дискуссии о "суверенной демократии".
Опубликовано на портале: 18-11-2007Ester 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.
Опубликовано на портале: 17-11-2007Sylvain Leduc, Keith Sill Review of Economic Dynamics. 2007. Vol. 10. No. 4. P. 595-614.
An equilibrium model is used to assess the quantitative importance of monetary policy for the post-1984 decline in US inflation and output volatility. The principal finding is that monetary policy played a substantial role in reducing inflation volatility, but a small role in reducing real output volatility. The model attributes much of the decline in real output volatility to smaller TFP shocks. We also investigate the pattern of output and inflation volatility under an optimal monetary policy counterfactual. We find that real output volatility would have been somewhat lower, and inflation volatility substantially lower, had monetary policy been set optimally.
Monetary Policy and Asset Prices [статья]
Опубликовано на портале: 17-11-2007Athanasios Geromichalos, Juan Manuel Licari, José Suárez-Lledó Review of Economic Dynamics. 2007. Vol. 10. No. 4. P. 761-779.
The purpose of this paper is study the effect of monetary policy on asset prices. We study the properties of a monetary model in which a real asset is valued for its rate of return and for its liquidity. We show that money is essential if and only if real assets are scarce, in the precise sense that their supply is not sufficient to satisfy the demand for liquidity. Our model generates a clear connection between asset prices and monetary policy. When money grows at a higher rate, inflation is higher and the return on money decreases. In equilibrium, no arbitrage amounts to equating the real return of both objects. Therefore, the price of the asset increases in order to lower its real return. This negative relationship between inflation and asset returns is in the spirit of research in finance initiated in the early 1980s.
Опубликовано на портале: 16-11-2007Jagjit S. Chadha, Charles Nolan Journal of Macroeconomics. 2007. Vol. 29. No. 4. P. 665-689 .
Stabilization policy involves joint monetary and fiscal rules. We develop a model enabling us to characterize systematic simple monetary and fiscal policy over the business cycle. We principally focus on the following question. What are the key properties of the joint simple rule governing the conduct of systematic stabilization policy? We find that conducting stabilization policy incorporates not only a set of monetary policy choices governed by the so-called ‘Taylor principle’ but also fiscal policy that gives considerable force to automatic stabilizers. Recent US and UK monetary and fiscal choices seem broadly consistent with this model. This result is found to be robust to a number of alternate modeling strategies
Опубликовано на портале: 16-11-2007Alessandro Flamini Journal of Intrernational Money and Finance. 2007. Vol. 26. No. 7. P. 1113-1150 .
This paper analyzes how endogenous imperfect exchange rate pass-through affects inflation targeting optimal monetary policies in a New Keynesian small open economy. The paper shows that an inverse relation exists between the pass-through and the insulation of the economy from foreign and monetary policy shocks, and that imperfect pass-through tends to decrease the variability of the terms of trade. Furthermore, with CPI inflation targeting, in the short run, delayed pass-through constrains monetary policy more than incomplete pass-through and interest rate smoothing amplifies this effect. When the pass-through decreases, the variability in economic activity tends to rise and the trade-off between the stabilization of CPI inflation and output worsens in direct relation to how strictly the central bank is targeting CPI inflation. In contrast, with domestic inflation targeting, optimal monetary policy is not constrained and opposite results occur. Consequently, imperfect pass-through favors the choice of domestic to CPI inflation targeting.