Всего публикаций в данном разделе: 1303
Опубликовано на портале: 31-10-2007Jordi Gali, Mark Gertler Journal of Monetary Economics. 1999. Vol. 44. No. 2. P. 195-222.
We develop and estimate a structural model of inflation that allows for a fraction of firms that use a backward-looking rule to set prices. The model nests the purely forward-looking New Keynesian Phillips curve as a particular case. We use measures of marginal cost as the relevant determinant of inflation, as the theory suggests, instead of an ad hoc output gap. Real marginal costs are a significant and quantitatively important determinant of inflation. Backward-looking price setting, while statistically significant, is not quantitatively important. Thus, we conclude that the New Keynesian Phillips curve provides a good first approximation to the dynamics of inflation.
Monetary Policy in Open Economies [статья]
Опубликовано на портале: 31-10-2007Harris Dellas European Economic Review. 2006. Vol. 50. No. 6. P. 1471-1486 .
The recent literature on monetary policy in open economies has produced a strong presumption in favor of activistic policy and flexible exchange rates. We argue that this result may owe much to the combination of two commonly made assumptions: That nominal goods prices are rigid. And that the monetary authorities have a lot of information about the economy. When the source of nominal rigidity is found in wages and monetary policy is conducted according to less information demanding rules (such as a standard interest rate rule) policies that stabilize the money supply or the nominal exchange rate may perform better
Опубликовано на портале: 31-10-2007Christopher J. Erceg, Dale W. Henderson, Andrew T. Levin Journal of Monetary Economics. 2000. Vol. 46. No. 2. P. 281-313.
We formulate an optimizing-agent model in which both labor and product markets exhibit monopolistic competition and staggered nominal contracts. The unconditional expectation of average household utility can be expressed in terms of the unconditional variances of the output gap, price inflation, and wage inflation. Monetary policy cannot achieve the Pareto-optimal equilibrium that would occur under completely flexible wages and prices; that is, the model exhibits a tradeoff in stabilizing the output gap, price inflation, and wage inflation. We characterize the optimal policy rule for reasonable calibrations of the model. We also find that strict price inflation targeting generates relatively large welfare losses, whereas several other simple policy rules perform nearly as well as the optimal rule.
Опубликовано на портале: 31-10-2007Laurence M. Ball Journal of Monetary Economics. 1995. Vol. 35. No. 1. P. 5-23.
This paper presents a theory of the real effects of disinflation. As in New Keynesian models, price adjustment is staggered across firms. As in New Classical models, credibility is imperfect: the monetary authority may not complete a promised disinflation. The combination of imperfect credibility and staggering yields more plausible results than either of these assumptions alone. In particular, an announced disinflation reduces expected output if credibility is sufficiently low.
European Inflation Dynamics [статья]
Опубликовано на портале: 31-10-2007Jordi Gali, Mark Gertler, J. David Lopez-Salido European Economic Review. 2001. Vol. 45. No. 7. P. 1237-1270.
We provide evidence on the fit of the New Phillips Curve (NPC) for the Euro area over the period 1970-1998, and use it as a tool to compare the characteristics of European inflation dynamics with those observed in the U.S. We also analyze the factors underlying inflation inertia by examining the cyclical behavior of marginal costs, as well as that of its two main components, namely, labor productivity and real wages. Some of the findings can be summarized as follows: (a) the NPC fits Euro area data very well, possibly better than U.S. data, (b) the degree of price stickiness implied by the estimates is substantial, but in line with survey evidence and U.S. estimates, (c) inflation dynamics in the Euro area appear to have a stronger forward-looking component (i.e., less inertia) than in the U.S., (d) labor market frictions, as manifested in the behavior of the wage markup, appear to have played a key role in shaping the behavior of marginal costs and, consequently, inflation in Europe.
Опубликовано на портале: 31-10-2007Henry Siu Journal of Monetary Economics. 2004. Vol. 51. No. 3. P. 575–607.
In this paper I consider the role of state-contingent inflation as a fiscal shock absorber in an economy with nominal rigidities. I study the Ramsey equilibrium in a monetary model with distortionary taxation, nominal non-state-contingent debt, and sticky prices. With sticky prices, the Ramsey planner must balance the shock absorbing benefits of state-contingent inflation against the associated resource misallocation costs. For government spending processes resembling post-war experience, introducing sticky prices generates striking departures in optimal policy from the case with flexible prices. For even small degrees of price rigidity, optimal policy displays very little volatility in inflation. Tax rates display greater volatility compared to the model with flexible prices. With sticky prices, tax rates and real government debt exhibit behavior similar to a random walk. For government spending processes resembling periods of intermittent war and peace, optimal policy displays extreme inflation volatility even when the degree of price rigidity is large. As the variability in government spending increases, smoothing tax distortions across states of nature becomes increasingly important, and the shock absorber role of inflation is accentuated.
Опубликовано на портале: 31-10-2007Laurence M. Ball, Gregory N. Mankiw, Ricardo Reis Journal of Monetary Economics. 2005. Vol. 52. No. 4. P. 703–725.
We offer a contribution to the analysis of optimal monetary policy. We begin with a critical assessment of the existing literature, arguing that most work is based on implausible models of inflation–output dynamics. We then suggest that this problem may be solved with some recent behavioral models, which assume that price setters are slow to incorporate macroeconomic information into the prices they set. A specific such model is developed and used to derive optimal policy. In response to shocks to productivity and aggregate demand, optimal policy is price level targeting. Base drift in the price level, which is implicit in the inflation targeting regimes currently used in many central banks, is not desirable in this model. When shocks to desired markups are added, optimal policy is flexible targeting of the price level. That is, the central bank should allow the price level to deviate from its target for a while in response to these supply shocks, but it should eventually return the price level to its target path. Optimal policy can also be described as an elastic price standard: the central bank allows the price level to deviate from its target when output is expected to deviate from its natural rate.
Опубликовано на портале: 30-10-2007Robert Kollmann Centre for Economic Policy Research, Discussion Paper. 2002. No. 3279.
This Paper computes welfare maximizing Taylor-style interest rate rules, in a business cycle model of a small open economy. The model assumes staggered price setting and shocks to domestic productivity, to the world interest rate, to world inflation and to the uncovered interest rate parity condition. Optimized policy rules have a pronounced anti-inflation stance and entail significant nominal and real exchange rate volatility. The country responds to an increase in external volatility by holding more foreign assets. The policy rule affects the variance and the mean of consumption. The effect on the mean matters significantly for welfare.
Опубликовано на портале: 29-10-2007Ali Askin Culha Central Bank Review (Central Bank of the Republic of Turkey). 2006. No. 6. P. 1-25.
Since the beginning of 1992. Turkey has been exposed to large amounts of capital flow with significant effect on the economic performance. This article examines the determination on capital flows into Turkey in the traditional "push-pull" factor approach. To this end, a structural vector autoregression(SVAR) model has been employed and impulse - response and variance decomposition functions have been produced covering the period from 1992 upto 2005. The empirical evidence suggests that the relative roles of some of the factors have changed considerably in the post crises period and pull factors are in general dominant over push factors in determining capital flows into Turkey.
Опубликовано на портале: 28-10-2007Julio Carrillo, Patrick Feve, Julien Matheron International Journal of Central Banking. 2007. Vol. 3. No. 2. P. 1-38.
In this paper, we propose a simple econometric framework to disentangle the respective roles of monetary policy inertia and persistent shocks in interest rate rules. The authers exploit the restrictions of a DSGE model that is confronted with a monetary SVAR. The authors show that, provided enough informative variables are included in the formal test, the data favor a monetary policy representation with modest inertia and highly serially correlated monetary shocks. To the contrary, when the procedure is based solely on the dynamic behavior of the nominal interest rate, no clear-cut conclusion can be reached about the correct representation of monetary policy.
Опубликовано на портале: 28-10-2007Michael Ehrmann, Marcel Fratzscher International Journal of Central Banking. 2007. P. 179-225.
This paper provides an assessment of central bank transparency for the efficiency of monetary policy implementation, using the introduction of balance-of-risks assessments by the Federal Reserve as a testing device. the authors find that markets anticipated monetary policy decisions equally well under this new disclosure regime as before, but arrived at their expectations differently. Now, markets extract information from the statements, whereas before, they reverted to other types of Federal Reserve communication in the intermeeting periods. These findings suggest that the Federal Reserve’s new disclosure practice may have improved transparency, as information is now released at an earlier time and with clearer signals.
Опубликовано на портале: 28-10-2007Robert J. Barro NBER Working Papers. 2006. No. 12763.
Satisfactory calculations of the welfare cost of aggregate consumption uncertainty require a framework that replicates major features of asset prices and returns, such as the high equity premium and low risk-free rate. A Lucas-tree model with rare but large disasters is such a framework. In a baseline simulation, the welfare cost of disaster risk is large - society would be willing to lower real GDP by about 20% each year to eliminate all disaster risk, including wars. In contrast, the welfare cost from usual economic fluctuations is much smaller, though still important - corresponding to lowering GDP by around 1.5% each year.
Опубликовано на портале: 28-10-2007Robert J. Barro, Jong-Wha Lee Australian National University, Economics RSPAS: Departmental Working Papers. 2003. No. 2003-09.
IMF loans react to economic conditions but are also sensitive to political-economy variables. Loans tend to be larger and more frequent when a country has a bigger quota and more professional staff at the IMF and when a country is more connected politically and economically to the United States and other major shareholding countries of the IMF. These results are of considerable interest for their own sake. More importantly for present purposes, the results provide instrumental variables for estimating the effects of IMF loan programs on economic growth and other variables. This instrumental estimation allows us to sort out the economic effects of the loan programs from the responses of IMF lending to economic conditions. The estimates show that a higher IMF loanparticipation rate reduces economic growth. IMF lending also lowers investment but raises international openness. In addition, greater involvement in IMF programs tends to lower the rule of law and democracy. We conclude that the typical country would be better off economically if it committed itself not to be involved with IMF loan programs.
Net Worth, Exchange Rates, and Monetary Policy: The Effects of a Devaluation in a Financially Fragile Environment [статья]
Опубликовано на портале: 28-10-2007Joseph E. Stiglitz, Bruce C.N. Greenwald, Mauro Gallegati, Domenico Delli Gatti NBER Working Papers. 2007. No. 13244.
In this paper it is proposed an Open Economy Financial Accelerator model along the lines of Greenwald-Stiglitz (1993) close in spirit but different in many respects from the one proposed by Greenwald (1998.) The first goal of the paper is to provide a taxonomy of the effects of a devaluation in this context. The direct (first round) effect on output, taking as given net worth and interest rate, is negative for domestic firms (due to the input cost effect) and positive for exporting firms (due to a positive foreign debt effect). The indirect (second round) wealth effect (on output through net worth, taking as given the interest rate) is uncertain, depending on the relative size of the domestic and exporting firms. There is also an indirect effect on output through the response of the domestic interest rate to a devaluation due to the risk premium effect. Due to the uncertainty on the sign of most of these effects, it is difficult to assess the overall impact of a devaluation. One cannot rule out, however, an economy-wide contractionary effect of a devaluation. If the devaluation affects negatively the net worth of domestic firms, the domestic interest rate may rise (due to the risk premium effect), exerting an additional contractionary impact on output. If, on top of that, the monetary authorities force a further increase of the interest rate in an effort to curb the exchange rate, the contractionary effect will be emphasized.
Growth, Initial Conditions, Law and Speed of Privatization in Transition Countries: 11 Years Later [статья]
Опубликовано на портале: 28-10-2007Joseph E. Stiglitz, Sergio Godoy NBER Working Papers. 2006. No. 11992.
This paper examines alternative hypotheses concerning the determinants of success in the transition from Communism to the market. In particular, we look at whether speed of privatization, legal institutions or initial conditions are more important in explaining the growth of the transition countries in the years since the end of the Cold War. In the mid 90s a large empirical literature attempted to relate growth to policy measures. A standard conclusion of this literature was the faster countries privatized and liberalized, the better. We now have more data, so we can check whether these conclusions are still valid six years later. Furthermore, much of the earlier work was flawed since it did not adequately treat problems of endogeneity, confused issues of speed and level of privatization, and did not face up to the problems of multicollinearity. Our results suggest that, contrary to the earlier literature, the speed of privatization is negatively associated with growth, but is confirms the result of the few earlier studies that have found that legal institutions are very important. Other variables, which seemed to play a large role in the earlier literature, appear to have at most a marginal positive effect.
Опубликовано на портале: 28-10-2007Joseph E. Stiglitz, Richard R. Nelson, Giovanni Dosi, Mario Cimoli LEM Papers Series. 2006. No. 2006/02.
In this work, meant as an introduction to the contributions of the task force on Industrial Policies and Development, Initiative for Policy Dialogue, Columbia University, New York, the authors discuss the role of institutions and policies in the process of development. They begin by arguing how misleading the "market failure" language can be in order to assess the necessity of public policies in that it evaluates it against a yardstick that is hardly met by any observed market set-up. Much nearer to the empirical evidence the authors argue that even when one encounters a prevailing market form of governance of economic interactions, the latter are embedded in a rich thread of non-market institutions. This applies in general and is particularly so with respect to the production and use of information and technological knowledge. In this work they build on the fundamental institutional embeddedness of such processes of technological learning in both developed and catching-up countries and we try to identify some quite robust policy ingredients which have historically accompanied the co-evolution between technological capabilities, forms of corporate organisations and incentive structures. All experiences of successful catching-up and sometimes overtaking the incumbent economic leaders – starting with the USA vis-à-vis Britain – have involved “institution building” and policy measures affecting technological imitation, the organisations of industries, trade patterns and intellectual property rights. This is likely to apply today, too, – also in the context of a “globalised” world economy.
Central Bank Independence, Accountability and Transparency: Complements or Strategic Substitutes? [статья]
Опубликовано на портале: 26-10-2007Andrew Hughes Hallett, Jan Libich CEPR Discussion Papers. 2006. No. 5470.
The paper incorporates three institutional design features into a Kydland-Prescott, Barro-Gordon monetary policy game. It shows that goal independence and goal transparency (an explicit inflation target) at the central bank are substitute ‘commitment technologies’ that reduce inflation and build credibility. In addition, goal-transparency is shown to be socially superior as it also lowers public’s monitoring cost. Nevertheless, independent central bankers are less likely to embrace it if they perceive public scrutiny (accountability) as intrusive. Combining these findings implies that both goal-transparency and accountability will be negatively related to goal-independence for which we present empirical support using established indices. Our analysis further suggests that, to avoid an inferior equilibrium with opaque objectives and a ‘democratic deficit’, institutional reforms should follow the Bank of England scenario, in which an explicit inflation target is first legislated and only then instrument (but not goal) independence granted.
Опубликовано на портале: 25-10-2007Andrew Hughes Hallett, Diana Weymark Economics Letters. 2004. Vol. 85. No. 1. P. 103-110.
Monetary policy is formulated as a game between the government and the central bank. We show that, when fiscal policy has a redistributional component, there is a conflict between optimally configured monetary policies and equality. Consequently, inflation averse governments interested in social equity will need to limit their use of fiscal policy.
Опубликовано на портале: 25-10-2007Avinash K. Dixit, Luisa Lambertini American Economic Review. 2003. Vol. 93. No. 5. P. 1522-1542.
We consider monetary-fiscal interaction when the monetary authority is more conservative than the fiscal. With both policies discretionary, (1) Nash equilibrium yields lower output and higher price than the ideal points of both authorities, (2) of the two leadership possibilities, fiscal leadership is generally better. With fiscal discretion, monetary commitment yields the same outcome as discretionary monetary leadership for all realizations of shocks. But fiscal commitment is not similarly negated by monetary discretion. Second-best outcomes require either joint commitment, or identical targets for the two authorities – output socially optimal and price level appropriately conservative – or complete separation of tasks.
Опубликовано на портале: 25-10-2007Francesca Castellani, Xavier Debrun International Finance. 2005. Vol. 8. No. 1. P. 87-117.
This paper proposes a simple model illustrating the potential benefits of approaching the design of a macroeconomic framework conducive to low inflation in both its monetary and fiscal dimensions rather than relying exclusively on the merits of central bank independence and other monetary commitment devices such as currency boards or dollarization. The reason is that monetary delegation alone merely ‘relocates’ the timeinconsistency problem stemming from the government’s incentive to address structural output shortfall with a macroeconomic stimulus. This paper also provides a new argument explaining why fiscal deficit rules may be less effective than instrument-specific rules.