Всего публикаций в данном разделе: 1308
Опубликовано на портале: 22-10-2007Albert S. Dexter, Maurice D. Levi, Barrie R. Nault Journal of Monetary Economics. 2002. Vol. 49. No. 4. P. 797-821.
This paper finds that approximately one-third of the items in the CPI are governed by previous termprice regulationsnext term that can slow and add noise to the response of previous termpricesnext term to changes in cost or demand conditions. Consequently, previous termregulationnext term is a possible partial explanation of previous termsticky pricesnext term in the overall rate of inflation, and delayed response to changes in the money supply. A survey is used to decompose the CPI into freely determined and regulated sub-components. Evidence is provided that previous termpricesnext term in the regulated sector of the economy respond approximately two quarters after previous termpricesnext term in the freely determined sector, thereby contributing a source of stickiness in overall inflation and in the response of inflation to monetary policy
Опубликовано на портале: 22-10-2007Marc Giannoni Macroeconomic Dynamics. 2002. Vol. 6. No. 1. P. 111-144.
This paper proposes a general method based on a property of zero-sum two-player games to derive robust optimal monetary policy rules--the best rules among those that yield an acceptable performance in a specified range of models--when the true model is unknown and model uncertainty is viewed as uncertainty about parameters of the structural modelThe method is applied to characterize robust optimal Taylor rules in a simple forward-looking macroeconomic model that can be derived from first principles. Although it is commonly believed that monetary policy should be less responsive when there is parameter uncertainty, we show that robust optimal Taylor rules prescribe in general a stronger response of the interest rate to fluctuations in inflation and the output gap than is the case in the absence of uncertainty. Thus model uncertainty does not necessarily justify a relatively small response of actual monetary policy
Опубликовано на портале: 22-10-2007Andrew Hughes Hallett, Diana Weymark CEPR Discussion Papers. 2002. No. 3336.
The problem of monetary policy delegation is formulated as a two-stage game between the government and the central bank. In the first stage the government chooses the institutional design of the central bank. Monetary and fiscal policy are implemented in the second stage. When fiscal policy is taken into account, there is a continuum of combinations of central bank independence and conservatism that produce optimal outcomes. This indeterminacy is resolved by appealing to practical considerations. In particular, it is argued that full central bank independence facilitates the greatest degree of policy transparency and political coherence.
Опубликовано на портале: 22-10-2007Avinash K. Dixit, Luisa Lambertini European Economic Review. 2001. Vol. 45. No. 4-6. P. 977-987.
We consider monetary-fiscal policy interactions in a monetary union. If monetary and fiscal authorities have different ideal output and inflation targets, the Nash equilibrium output or inflation or both are beyond the ideal points of all authorities. Leadership of either authority is better. Fiscal discretion entirely negates the advantage of monetary commitment: The optimal monetary rule is equivalent to discretionary leadership of monetary over fiscal policy. Agreement about ideal output and inflation creates a monetary-fiscal symbiosis, yielding the ideal point despite disagreement about the relative weights of the two objectives, for any order of moves, without fiscal coordination, and without monetary commitment.
Опубликовано на портале: 22-10-2007Federico Ravenna, Carl E. Walsh Journal of Monetary Economics. 2006. Vol. 53. No. 2. P. 199-216.
In the standard new Keynesian framework, an optimizing policy maker does not face a trade-off between stabilizing the inflation rate and stabilizing the gap between actual output and output under flexible prices. An ad hoc, exogenous cost-push shock is typically added to the inflation equation to generate a meaningful policy problem. In this paper, we show that a cost-push shock arises endogenously when a cost channel for monetary policy is introduced into the new Keynesian model. A cost channel is present when firms’ marginal cost depends directly on the nominal rate of interest. Besides providing empirical evidence for a cost channel, we explore its implications for optimal monetary policy. We show that its presence alters the optimal policy problem in important ways. For example, both the output gap and inflation are allowed to fluctuate in response to productivity and demand shocks under optimal monetary policy.
Опубликовано на портале: 22-10-2007John Shea Journal of Money, Credit, and Banking. 1997. Vol. 27. No. 3. P. 798-805.
This note conducts a simple test for myopia and liquidity constraints in aggregate U.S. consumption. The test exploits the fact that, under myopia, consumption should be equally sensitive to predictable income declines and increases, while under liquidity constraints consumption should be more sensitive to predictable income increases than to declines. Using quarterly postwar data, the author shows that aggregate consumption is in fact more sensitive to predictable income declines than increases. This 'perverse asymmetry' is inconsistent with both myopia and liquidity constraints but is qualitatively consistent with recent theoretical work incorporating loss aversion into intertemporal preferences
Опубликовано на портале: 22-10-2007Steven Stillman William Davidson Institute Working Papers Series. 2001. No. 412.
This paper examines the extent to which consumption in Russian households responds to exogenous income shocks. During the time period studied in this paper (1994 - 1998), Russia experienced two major economic crises. Both featured extreme movements in the real ruble-dollar exchange rate. The price of oil, which is typically thought to have a strong effect on the Russian economy, was also quite volatile during this time period. This paper exploits these large changes in oil prices and exchange rates, as well as community-level variations in wage and pension arrears, to identify exogenous shocks to household incomeUsing representative panel data on urban households from the Russian Longitudinal Monitoring Survey, I find that a household which experiences an exogenous shock of 10% of its total income changes both its food and total non-durable expenditure by 7-11%. Most evidence indicates that these shocks are transitory in nature and thus the traditional Life Cycle/Permanent Income Hypothesis model is firmly rejected as describing the behavior of Russian households. Additional results indicate that changes in household savings are negatively related to exogenous income shocks, with this relationship strongest for low wealth households. Only models of consumption which include precautionary savings motives can explain why poorer households both reduce their consumption and increase their savings in response to an exogenous decline in income
Опубликовано на портале: 22-10-2007Fabio Ghironi, Alessandro Rebucci IMF Working Paper Series. 2002. No. 02/34.
We compare the performance of a currency board, inflation targeting, and dollarization in a small, open developing economy with a liberalized capital account. We focus on the transmission of shocks to currency and country risk premia and on the role of fluctuations in premia in the propagation of other shocks. We calibrate our model on Argentina. The framework matches the second moments of key variables well. Welfare analysis suggests that dollarization is preferable to alternative regimes because it removes currency premium volatility. However, a currency board can match dollarization on welfare grounds if the central bank holds a sufficiently large stock of foreign reserves
Expenditure Switching Vs. Real Exchange Rate Stabilization: Competing Objectives for Exchange Rate Policy [статья]
Опубликовано на портале: 22-10-2007Michael B. Devereux, Charles M. Engel NBER Working Papers. 2006. No. 12215.
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 objectivesThe 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
Опубликовано на портале: 22-10-2007Roberto Chang, Andres Velasco NBER Working Papers. 1998. No. 6606.
We present a simple model that can account for the main features of recent financial crises in emerging markets. The international illiquidity of the domestic financial system is at the center of the problem. Illiquid banks are a necessary and a sufficient condition for financial crises to occur. Domestic financial liberalization and capital flows from abroad (especially if short term) can aggravate the illiquidity of banks and increase their vulnerability to exogenous shocks and shifts in expectations. A bank collapse multiplies the harmful effects of an initial shock, as a credit squeeze and costly liquidation of investment projects cause real output drops and collapses in asset prices. Under fixed exchange rates, a run on banks becomes a run on the currency if the Central Bank attempts to act as a lender of last resort
Опубликовано на портале: 22-10-2007Barry Eichengreen, Ricardo Hausmann NBER Working Papers. 1998. No. 7418.
In this paper we analyze three views of the relationship between the exchange rate and financial fragility: (1) the moral hazard hypothesis, according to which pegged exchange rates offer implicit insurance against exchange risk and thereby encourage reckless borrowing and lending; (2) the original sin hypothesis, which emphasizes an incompleteness in financial markets which prevents the domestic currency from being used to borrow abroad or to borrow long term even domestically; and (3) the commitment problem hypothesis, which sees financial crises as resulting from neither moral hazard nor original sin but from the weakness of the institutions that address commitment problems. We examine the evidence on these hypotheses and draw out their implications for exchange-rate policy in emerging markets
How Well Can the New Open Economy Macroeconomics Explain the Exchange Rate and Current Account [статья]
Опубликовано на портале: 22-10-2007Paul R. Bergin NBER Working Paper. 2004. No. 10356.
This paper advances the new open economy macroeconomic (NOEM) literature in an empirical direction, estimating and testing a two-country model. Fit to U.S and G-7 data, the model performs moderately well for the exchange rate and current account. Results offer guidance for future theoretical work. Parameter estimates lend support to some common assumptions in the theoretical literature, such as local currency pricing and risk sharing. Estimates are found for key parameters commonly calibrated in the theoretical literature, such as the elasticity of substitution between home and foreign composite goods, and the response of a country risk premium to the net foreign asset positionResults also indicate that deviations from interest rate parity are not closely related to monetary policy shocks, as recently hypothesized. Further, results suggest that inserting explicit interest rate parity shocks into a NOEM model may be more helpful in explaining movements in the current account than the exchange rate
Опубликовано на портале: 22-10-2007Roel M.W.J. Beetsma, Lans Arij Bovenberg European Journal of Political Economy. 2003. Vol. 19. No. 1. P. 1-15.
This paper explores the interaction between centralized monetary policy and decentralized fiscal policy in a monetary union with heterogeneous countries. Discretionary monetary policy suffers from a failure to commit. Moreover, heterogeneous decentralized fiscal policymakers impose externalities on each other through the influence of their debt policies on the common monetary policy. These imperfections can be alleviated by adopting shock-contingent inflation targets (to combat the monetary policy commitment problem) and shock-contingent debt targets (to internalize the externalities due to decentralized fiscal policy).
Опубликовано на портале: 22-10-2007Avinash K. Dixit, Luisa Lambertini Journal of International Economics. 2003. Vol. 60. No. 2. P. 235-247.
We consider the interaction between the monetary policy in a monetary union, and the separate fiscal policies of the member countries. We use a Barro–Gordon-type model extended to many countries and fiscal policies. Each country’s fiscal policies inflict externalities on other countries, and the common monetary policy has its time-consistency problem. But if the two types of policymakers agree about the ideal levels of output and inflation, then this ideal is attained despite disagreements about the weights of the objectives, despite ex post monetary accommodation to fiscal profligacy, without fiscal coordination, without monetary commitment, and for any order of moves.
Опубликовано на портале: 22-10-2007Torben Andersen Journal of Macroeconomics. 2005. Vol. 27. No. 1. P. 1-29.
Policy mix problems may arise in a currency union like the EMU since monetary policy (targeting inflation) is centralized and fiscal policy (targeting output) is decentralized. This issue is considered in a setting allowing for various cross-country interdependencies and types of shocks (demand/supply; aggregate/idiosyncratic). An inappropriate stabilization of shocks arises, and fiscal policy is too counter-cyclical when shocks are aggregate, but insufficiently counter-cyclical for idiosyncratic shocks. The stabilization bias is increasing in the number of fiscal decision makers when shocks are aggregate, but decreasing for idiosyncratic shocks. Numerical illustrations show that the cost of non-cooperative fiscal policies is higher for aggregate than for idiosyncratic shocks.
Опубликовано на портале: 22-10-2007Richard A. Meese, Kenneth S. Rogoff Journal of International Economics. 1983. Vol. 14. P. 3-24.
This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exchange rates. The candidate structural models include the flexible-price (Frenkel-Bilson) and sticky-price (Dornbusch-Frankel) monetary models, and a sticky-price model which incorporates the current account (Hooper-Morton). The structural models perform poorly despite the fact that we base their forecasts on actual realized values of future explanatory variables
Опубликовано на портале: 21-10-2007Lars Peter Hansen, Thomas J. Sargent Journal of Monetary Economics. 2003. Vol. 50. No. 3. P. 581-604.
This paper shows how to formulate and compute robust Ramsey (aka Stackelberg) plans for linear models with forward-looking private agents. The leader and the followers share a common approximating model and both have preferences for robust decision rules because both doubt the model. Since their preferences differ, the leader's and followers' decision rules are fragile to different misspecifications of the approximating model. We define a Stackelberg equilibrium with robust decision makers in which the leader and follower have different worst-case models despite sharing a common approximating model To compute a Stackelberg equilibrium we formulate a Bellman equation that is associated with an artificial single-agent robust control problem. The artificial Bellman equation contains a description of implementability constraints that include Euler equations that describe the worst-case analysis of the followers. As an example, the paper analyzes a model of a monopoly facing a competitive fringe
Опубликовано на портале: 21-10-2007Avinash K. Dixit European Economic Review. 2001. Vol. 45. No. 4-6. P. 589-613.
This paper constructs various models of the EMU and ECB when member countries have different objectives. Voting in pursuit of national interest can yield moderate and stable inflation. The metaphor of Walsh-type contracts implements a monetary policy rule that averages the member countries' most preferred rules. In a repeated relationship where a country suffering a large adverse shock can use political bargaining to subvert the ECB's commitment, the optimal rule should incorporate some flexibility to forestall that. Finally, freedom of national fiscal policies undermines the ECB's monetary commitment; this may justify fiscal constraints like the Stability and Growth Pact.
Сайт Банка Англии [интернет ресурс]
Банк Англии - самый старый центральный банк мира. Он был основан в 1694 году как акционерное общество в результате так называемого соглашения между почти обанкротившимся правительством и группой финансистов для финансирования войны с Францией. Сегодня Банк Англии обладает формальной независимостью от правительства, хотя работает под руководством Министерства Финансов.
Опубликовано на портале: 15-10-2007Сергей Моисеев Дайджест-Финансы. 2001. С. 30-34.
В последнее время в средствах массовой информации все чаще мелькают заявления о том, что мировая экономика перегрета настолько, что обвал в виде глобального кризиса может случиться в любой момент. При описании кризисной динамики часто проводят аналогию с мыльным пузырем, который легко надувается, но и лопнуть может в любой момент, предсказать который обычно не удается. Надо отметить, что данное явление и возможные его последствия не являются чем то новым для экономистов, но лишь относительно недавно встал вопрос о вмешательстве ЦБ в регулирование финансовой ситуации в стране на стадии бума. И автор, опираясь на исторический опыт, а также на исследования в данной области различных ученых с мировым именем, приводит аргументы pro et contra принятия мер со стороны центральных банков. Статья предназначена для людей с определенной образовательной базой в экономических науках. Однако она будет интересна и начинающим специалистам, увлекающимся проблемами мировой экономики.