Всего публикаций в данном разделе: 1308
Сайт Банка Японии [интернет ресурс]
Банк Японии был учрежден в 1882 году сроком на 30 лет для обуздания инфляции, которую вызывало большое количество частных банков, эмитировавших свои банкноты. С развитием и укреплением рыночных отношений в Японии банк претерпевал определенные изменения: в 1889 году получает право фидуциарной банкнотной эмиссии, затем становится подконтролен правительству, в 1979 году центральный банк получил бессрочный статус.
Опубликовано на портале: 15-10-2007Albrecht Ritschl CEPR. 2004.
Основная часть статьи подтверждает то, что затраты труда на единицу продукции в индустриалиальных экономиках существенно увеличились после Первой мировой войны. В Германии, объем промышленного производства касательно 1913 г., рассчитанный Хоффманном (1965), при предположении, что доля заработанной платы постоянна, намного больше, чем в промежутке между войнами. Данная статья создает альтернативную оценку подверженного влиянию металлообрабатывающего сектора. Она находи гораздо меньшие уровни выпуска, вызванные фактом увеличивающейся доли рабочей силы после Первой мировой. Разница очень существенна, чтобы убрать погрешность из данных Хофманна, для целой индустрии и экономике в целом. После введения поправки на фиктивный рост в металлообрабатывающем секторе, результаты оценки Хофманна соответствуют современным оценкам и статистике доходов.
Международные стандарты государственных финансов [учебная программа]
Опубликовано на портале: 15-10-2007Борис Павлович Плышевский
Цели курса: изучение международных стандартов государственных финансов, которые по рекомендации МВФ используются при разработке государственных бюджетов государств - членов ООН, опыта применения этих стандартов в макроэкономическом анализе и для оценки финансового положения национальных экономик, а также овладение навыками объективного анализа экономической и бюджетной политики, проводимой правительствами различных государств и международными экономическими организациями.
Опубликовано на портале: 26-09-2007Patrick Lunnemann, Thomas Y. Matha European Central Bank, Working Paper Series. 2005.
This paper analyses the degree of price rigidity and of inflation persistence across different product categories with particular focus on regulated prices and services for the individual EU15 countries, as well as for the EU15 and the euro area aggregates. We show that services and HICP sub-indices considered being subject to price regulation exhibit larger degrees of nominal price rigidities, with less frequent but larger price index changes as well as stronger asymmetries between price index increases and decreases. With regard to what extent services and regulated prices contribute to the degree of overall inflation persistence, we find that, for most of the EU15 countries as well as for the EU15 and the euro area aggregates, excluding services from the full HICP results in a reduction in the measured degree of inflation persistence; for regulated indices such an effect is also discernible, albeit to a lesser extent.
Analyzing the Interaction of Monetary and Fiscal Policy: Does Fiscal Policy Play a Valuable Role in Stabilisation? [статья]
Опубликовано на портале: 26-09-2007V. Anton Muscatelli, Patrizio Tirelli CESifo Economic Studies. 2005. Vol. 51. No. 4. P. 549-585.
This paper provides an overview of recent papers which use estimated New Keynesian models to study the extent to which fiscal policy can be used to stabilize the economy. We use a variety of different New Keynesian models, estimated on data for both the US and for the Euro area, and highlight the diverse transmission channels through which fiscal policy acts in these models. Although we find that fiscal policy can provide a useful complement to monetary policy, especially in models where consumers have finite horizons, there are important limitations to the value added of fiscal policy.
Опубликовано на портале: 26-09-2007Jordi Gali NBER Working Papers. 2002. No. 8905.
We lay out a small open economy version of the Calvo sticky price model, and show how the equilibrium dynamics can be reduced to a tractable canonical system in domestic inflation and the output gap. We employ this framework to analyze the macroeconomic implications of three alternative monetary policy regimes for the small open economy: domestic inflation targeting, CPI targeting and an exchange rate peg. We show that a key difference among these regimes lies in the relative amount of exchange rate volatility that they entail. We also discuss a special case for which domestic inflation targeting constitutes the optimal policy, and where a simple second order approximation to the utility of the representative consumer can be derived and used to evaluate the welfare losses associated with suboptimal regimes.
Опубликовано на портале: 26-09-2007Pierpaolo Benigno, Michael Woodford NBER Working Papers. 2003. No. 9905.
We propose an integrated treatment of the problems of optimal monetary and fiscal policy, for an economy in which prices are sticky and the only available sources of government revenue are distorting taxes. Our linear-quadratic approach allows us to nest both conventional analyses of optimal monetary stabilization policy and analyses of optimal tax-smoothing as special cases of our more general framework. We show how a linear-quadratic policy problem can be derived which yields a correct linear approximation to the optimal policy rules from the point of view of the maximization of expected discounted utility in a dynamic stochastic general-equilibrium model. Finally, we derive targeting rules through which the monetary and fiscal authorities may implement the optimal equilibrium.
Опубликовано на портале: 26-09-2007Andrew T. Levin, John C. Williams Journal of Monetary Economics. 2003. Vol. 50. P. 945-975.
The literature on robust monetary policy rules has largely focused on the case in which the policymaker has a single reference model while the true economy lies within a specified neighborhood of the reference model. In this paper, we show that such rules may perform very poorly in the more general case in which non-nested models represent competing perspectives about controversial issues such as expectations formation and inflation persistence. Using Bayesian and minimax strategies, we then consider whether any simple rule can provide robust performance across such divergent representations of the economy We find that a robust outcome is attainable only in cases where the objective function places substantial weight on stabilizing both output and inflation; in contrast, we are unable to find a robust policy rule when the sole policy objective is to stabilize inflation. We analyze these results using a new diagnostic approach, namely, by quantifying the fault tolerance of each model economy with respect to deviations from optimal policy
Опубликовано на портале: 26-09-2007Andrew T. Levin, Volker Wieland, John C. Williams Finance and Economics Discussion Series. 1998.
In this paper, we investigate the properties of alternative monetary policy rules using four structural macroeconometric models: the Fuhrer-Moore model, Taylor's Multi-Country Model, the MSR model of Orphanides and Wieland, and the FRB staff model. All four models incorporate the assumptions of rational expectations, short-run nominal inertia, and long-run monetary neutrality, but differ in many other respects (e.g., the dynamics of prices and real expenditures). We compute the output-inflation volatility frontier of each model for alternative specifications of the interest rate rule, subject to an upper bound on nominal interest rate volatility. Our analysis provides strong support for rules in which the first-difference of the federal funds rate responds to the current output gap and the deviation of the one-year average inflation rate from a specified target. In all four models, first-difference rules perform much better than rules of the type proposed by Taylor (1993) and Henderson and McKibbin (1993), in which the level of the federal funds rate responds to the output gap and the deviation from target. Furthermore, first-difference rules generate essentially the same policy frontier as more complicated rules (i.e., rules that respond to a larger number of variables and/or additional lags of output and inflation). Finally, this class of rules is robust to model uncertainty, in the sense that a first-difference rule taken from the policy frontier of one model is very close to the policy frontier of each of the other three models. In contrast, more complicated rules are less robust to model uncertainty: rules with additional parameters can be fine-tuned to the dynamics of a specified model, but typically perform poorly in the other models.
Опубликовано на портале: 26-09-2007Andrew T. Levin, Volker Wieland, John C. Williams American Economic Review. 2003. Vol. 93. No. 3. P. 622-645.
We investigate the performance of forecast-based monetary policy rules using five macroeconomic models that reflect a wide range of views on aggregate dynamics. We identify the key characteristics of rules that are robust to model uncertainty: such rules respond to the one-year ahead inflation forecast and to the current output gap, and incorporate a substantial degree of policy inertia. In contrast, rules with longer forecast horizons are less robust and are prone to generating indeterminacy. In light of these results, we identify a robust benchmark rule that performs very well in all five models over a wide range of policy preferences
Опубликовано на портале: 26-09-2007William A. Brock, Steven N. Durlauf, Kenneth D. West Journal of Econometrics. 2007. Vol. 136. No. 2. P. 629-664.
This paper explores ways to integrate model uncertainty into policy evaluation. We first describe a general framework for the incorporation of model uncertainty into standard econometric calculations. This framework employs Bayesian model averaging methods that have begun to appear in a range of economic studies. Second, we illustrate these general ideas in the context of assessment of simple monetary policy rules for some standard New Keynesian specifications. The specifications vary in their treatment of expectations as well as in the dynamics of output and inflation. We conclude that the Taylor rule has good robustness properties, but may reasonably be challenged in overall quality with respect to stabilization by alternative simple rules that also condition on lagged interest rates, even though these rules employ parameters that are set without accounting for model uncertainty
Опубликовано на портале: 26-09-2007Kai Leitemo, Ulf Söderström
We study the effects of model uncertainty in a simple New-Keynesian model using robust control techniques. Due to the simple model structure, we are able to find closed-form solutions for the robust control problem, analysing both instrument rules and targeting rules under different timing assumptions. In all cases but one, an increased preference for robustness makes monetary policy respond more aggressively to cost shocks but leaves the response to demand shocks unchanged. As a consequence, inflation is less volatile and output is more volatile than under a non-robust policy. Under one particular timing assumption, however, increasing the preference for robustness has no effect on the optimal targeting rule (nor on the economy)
Опубликовано на портале: 24-09-2007Simon Wren-Lewis, Campbell Leith The Economic Journal. 2000. Vol. 110. No. 462, Conference Papers. P. C93-C108.
The Fiscal Stability Pact for EMU implies that constraints on fiscal policy facilitate inflation control. In this paper we identify two stable policy regimes. When monetary policy seeks to raise real interest rates in response to excess inflation, a self-stabilising fiscal policy is required to ensure model stability. A fiscal policy which does not, by itself, ensure fiscal solvency constrains monetary policy to be relatively 'passive'. However, in simulations we conclude that the central bank does not need to seek, on this account, the degree of debt stabilisation that appears to be implied by the fiscal stability pact
Опубликовано на портале: 24-09-2007Kai Leitemo European Journal of Political Economy. 2004. Vol. 20. No. 3. P. 709-724.
Interest-rate and exchange-rate dynamics is studied in a game between the monetary and fiscal policymakers where the monetary policymaker targets inflation. In the Nash game, a conflict over the appropriate size of the output gap leads to excessive interest-rate and exchange-rate volatility. For this reason, there are benefits in restricting fiscal policymaking. If the fiscal policymaker, however, is considered to have a first-mover advantage, the fiscal policymaker will internalise its effect on monetary policy, and the conflict is resolved and interest-rate and exchange-rate volatility is reduced.
Теории экономического роста [учебная программа]
Опубликовано на портале: 24-09-2007Юрий Викторович Шараев
Целью курса является фундаментальная подготовка студентов в области экономического анализа современных проблем экономического роста, включая различные теоретические подходы и методы экономического моделирования и эмпирического анализа; обзор и оценка экомических перспектив долгосрочного роста а также подготовка магистров экономики к проведению исследовательской работы в данной сфере.
Опубликовано на портале: 21-09-2007Ulf Söderström, Kai Leitemo Computing in Economics and Finance 2006. 2006.
We study the effects of optimized monetary policy in a semi-structural, estimated small open economy in situations where the policymaker has either complete or less than complete confidence in the model being free from misspecification errors. We use the robust control techniques developed by Dennis, Leitemo and Söderström(2006). We find that irrespective of the level of confidence to the model, the central bank may reduce loss by more than 80% by making a policy commitment. It is the open-economy channels introduce trade-offs in which commitment enhances policy outcome. If the policymaker lacks confidence in the model specification, a robust policymaker mainly fears that the exchange rate and domestic inflation equations are misspecified. Consequently, the robust policy is designed primarily to counteract these types of potential misspecifications. Policy becomes more aggressive towards all shocks. Although the exchange rate equation provides great opportunities for worst-case distortions, the exchange rate channels also provide ample ways in which policy can counteract distortions to the model, especially under policy commitment. The exchange rate channels can hence be viewed as both a curse and a blessing to the policymaker
Опубликовано на портале: 18-09-2007Torben Andersen, Friedrich Georg Schneider European Journal of Political Economy. 1986. Vol. 2. No. 2. P. 169-191.
The paper analyses the problem of coordinating fiscal and monetary policies within an explicit game theoretic model of the interaction between different policy institutions. Specifically, the question is considered under (i) different institutional arrangements, (ii) different kinds of reaction of the two authorities, and (iii) different macroeconomic frameworks. The implications for inflation and output as well as the gains from cooperative policy decisions are considered.
Fiscal and Monetary Policy Interactions: Empirical Evidence and Optimal Policy Using a Structural New-Keynesian Model [статья]
Опубликовано на портале: 18-09-2007V. Anton Muscatelli, Patrizio Tirelli, Carmine Trecroci Journal of Macroeconomics. 2004. Vol. 26. No. 2. P. 257-280.
This paper examines the interaction of monetary and fiscal policies using an estimated New-Keynesian dynamic general equilibrium model for the US. In contrast to earlier work using VAR models, we show that the strategic complementarity or substitutability of fiscal and monetary policy depends crucially on the types of shocks hitting the economy, and on the assumptions made about the underlying structural model. We also demonstrate that countercyclical fiscal policy can be welfare-reducing if fiscal and monetary policy rules are inertial and not co-ordinated.
Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach [статья]
Опубликовано на портале: 18-09-2007Ben S. Bernanke, Jean Boivin, Piotr Eliasz Quarterly Journal of Economics. 2005. Vol. 120. No. 1. P. 387-422.
Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least three potential problems with the results. First, to the extent that central banks and the private sector have information not reflected in the VAR, the measurement of policy innovations is likely to be contaminated. Second, the choice of a specific data series to represent a general economic concept such as "real activity" is often arbitrary to some degree. Third, impulse responses can be observed only for the included variables, which generally constitute only a small subset of the variables that the researcher and policy-maker care about. In this paper we investigate one potential solution to this limited information problem, which combines the standard structural VAR analysis with recent developments in factor analysis for large data sets. We find that the information that our factor-augmented VAR (FAVAR) methodology exploits is indeed important to properly identify the monetary transmission mechanism. Overall, our results provide a comprehensive and coherent picture of the effect of monetary policy on the economy
Опубликовано на портале: 18-09-2007Francesco Belviso, Fabio Milani Topics in Macroeconomics. 2006. Vol. 6. No. 3. P. p1-44,.
Factor-augmented VARs (FAVARs) have combined standard VARs with factor analysis to exploit large data sets in the study of monetary policy. FAVARs enjoy a number of advantages over VARs: they allow a better identification of the monetary policy shock; they avoid the use of a single variable to proxy theoretical constructs; they allow researchers to compute impulse responses for hundreds of variables. Their shortcoming, however, is that the factors are not identified and lack an economic interpretation. This paper seeks to provide an interpretation to the factors. We propose a novel Structural Factor-Augmented VAR (SFAVAR) model, where the factors have a clear meaning: Real Activity factor, Inflation factor, Financial Market factor, Credit factor, Expectations factor, and so forth. The paper employs a Bayesian approach to jointly estimate the factors and the dynamic model. This framework is then used to study the effects of monetary policy on a wide range of macroeconomic variables