Selected Reference and Reading Materials compiled by Dan Villanueva


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Record ID

216     [ Page 47 of 68, No. 1 ]

Date

2012-01

Author

Robert G. King and Mark W. Watson

Affiliation

Boston University and Princeton University)

Title

Inflation and Unit Labor Cost

Summary /
Abstract

We study two decompositions of inflation, , motivated by a New Keynesian Pricing Equation. The first uses four components: lagged , expected future , real unit labor cost ( ), and a residual. The second uses two components: fundamental inflation (discounted expected future ) and a residual. We find large low-frequency differences between actual and fundamental inflation. From 1999-2011 fundamental inflation fell by more than 15 percentage points, while actual inflation changed little. We discuss this discrepancy in terms of the data (a large drop in labor's share of income) and through the lens of a canonical structural model (Smets-Wouters (2007)).

Keywords

Inflation targeting, inflation forecasts, inflation forecasts targeting, inflation expectations, labor cost, DSGE models

URL

http://d.repec.org/n?u=RePEc:bos:wpaper:wp2012-005&r=cba



Record ID

215     [ Page 47 of 68, No. 2 ]

Date

2012-02

Author

Adam, Klaus and Woodford, Michael

Affiliation

Center for Economic Policy Research

Title

Robustly Optimal Monetary Policy in a Microfounded New Keynesian Model

Summary /
Abstract

We consider optimal monetary stabilization policy in a New Keynesian model with explicit microfoundations, when the central bank recognizes that private-sector expectations need not be precisely model-consistent, and wishes to choose a policy that will be as good as possible in the case of any beliefs close enough to model-consistency. We show how to characterize robustly optimal policy without restricting consideration a priori to a particular parametric family of candidate policy rules. We show that robustly optimal policy can be implemented through commitment to a target criterion involving only the paths of inflation and a suitably defined output gap, but that a concern for robustness requires greater resistance to surprise increases in inflation than would be considered optimal if one could count on the private sector to have 'rational expectations'.

Keywords

Belief distortions; near-rational expectations; robust control; target criterion

URL

http://d.repec.org/n?u=RePEc:cpr:ceprdp:8826&r=mon

Remarks

This paper is available for purchase at http://www.cepr.org/pubs/new-dps/dplist.asp?dpno=8826.asp



Record ID

214     [ Page 47 of 68, No. 3 ]

Date

2012-02

Author

Svensson, Lars E O

Affiliation

Deputy Governor, Sveriges Riksbank

Title

Central-banking challenges for the Riksbank: Monetary policy, financial-stability policy and asset management

Summary /
Abstract

The Riksbank faces challenges with regard to each of its three core functions, conducting monetary policy with the objective of stabilising inflation around the inflation target and resource utilisation around a sustainable level, promoting a safe and efficient payment system and thereby conducting a policy for financial stability, and managing its financial assets to attain a good risk-adjusted rate of return without prejudice to the first two core functions. I conclude that the challenges are best met by focusing monetary policy exclusively on stabilising inflation around the inflation target and resource utilisation around a sustainable level and not treating the policy rate, housing prices or household debt as separate explicit or implicit target variables, by not confusing monetary policy with financial-stability policy but treating them as separate policies, and by eliminating the large unnecessary currency risk in the Riksbank’s balance sheet.

Keywords

Central bank asset management; macroprudential policy; monetary policy

URL

http://d.repec.org/n?u=RePEc:cpr:ceprdp:8789&r=mon



Record ID

213     [ Page 47 of 68, No. 4 ]

Date

2012-02

Author

Kurmas Akdogan, Selen Baser, Meltem Gulenay Chadwick, Dilara Ertug, Timur Hulagu, Sevim Kosem, and Fethi Ogunc M. Utku Ozmen, Necati Tekatli

Affiliation

Central Bank of Turkey

Title

Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis

Summary /
Abstract

In this paper, we produce short term forecasts for the inflation in Turkey, using a large number of econometric models. In particular, we employ univariate models, decomposition based approaches (both in frequency and time domain), a Phillips curve motivated time varying parameter model, a suite of VAR and Bayesian VAR models and dynamic factor models. Our findings suggest that the models which incorporate more economic information outperform the benchmark random walk, and the relative performance of forecasts are on average 30 percent better for the first two quarters ahead. We further combine our forecasts by means of several weighting schemes. Results reveal that, the forecast combination leads to a reduction in forecast error compared to most of the models, although some of the individual models perform alike in certain horizons.

Keywords

Short-term Forecasting, Forecast Combination

URL

http://www.tcmb.gov.tr/research/discus/2012/WP1209.php



Record ID

212     [ Page 47 of 68, No. 5 ]

Date

2012-03

Author

Le Leslé, Vanessa and Avramova, Sofiya

Affiliation

Money and Capital Markets Dept., IMF

Title

Revisiting Risk-Weighted Assets (RWAs): Why Do RWAs Differ Across Countries and What Can Be Done About It?

Summary /
Abstract

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.

Keywords

Banks, regulation, risk-weighted assets, Basel I, II, III, Capital

URL

http://www.imf.org/external/pubs/ft/wp/2012/wp1290.pdf



Record ID

211     [ Page 47 of 68, No. 6 ]

Date

2012-02

Author

Brahima Coulibaly

Affiliation

Board of Governors, Federal Reserve System

Title

Monetary policy in emerging market economies: what lessons from the global financial crisis?

Summary /
Abstract

During the 2008-2009 global financial crisis, emerging market economies (EMEs) loosened monetary policy considerably to cushion the shock. In previous crises episodes, by contrast, EMEs generally had to tighten monetary policy to defend the value of their currencies, to contain capital flight, and to bolster policy credibility. Our study aims to understand the factors that enabled this remarkable shift in monetary policy, and also to assess whether this marks a new era in which EMEs can now conduct countercyclical policy, more in line with advanced economies. The results indicate statistically significant linkages between some characteristics of the economies and their ability to conduct countercyclical monetary policy. We find that macroeconomic fundamentals and lower vulnerabilities, openness to trade, and international capital flows, financial reforms, and the adoption of inflation targeting all facilitated the conduct of countercyclical policy. Of these factors, the most important have been the financial reforms achieved over the past decades and the adoption of inflation targeting. As long as EMEs maintain these strong economic fundamentals, continue to reform their financial sector, and adopt credible and transparent monetary policy frameworks such as inflation targeting, the conduct of countercyclical monetary policy will likely be sustainable.

Keywords

Monetary policy, crises, macroeconomic stabilization

URL

http://www.federalreserve.gov/pubs/ifdp/2012/1042/ifdp1042.pdf



Record ID

210     [ Page 47 of 68, No. 7 ]

Date

2012-03

Author

Khramov, Vadim

Affiliation

OEDRU, IMF

Title

Assessing DSGE Models with Capital Accumulation and Indeterminacy

Summary /
Abstract

The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications.

Keywords

Monetary DSGE Models, Indeterminacy, Capital Accumulation

URL

http://www.imf.org/external/pubs/ft/wp/2012/wp1283.pdf



Record ID

209     [ Page 47 of 68, No. 8 ]

Date

2011-12-01

Author

Jakub Ryšánek, Jaromír Tonner, Osvald Vašíček

Affiliation

Czech National Bank and Institute of Economic Studies, Charles University

Title

Monetary Policy Implications of Financial Frictions in the Czech Republic

Summary /
Abstract

As the global economy seems to be recovering from the 2009 financial crisis, we find it desirable to look back and analyze the Czech economy ex post. We work with a Swedish New Keynesian model of a small open economy which embeds financial frictions in light of the financial accelerator literature. Without explicitly modeling the banking sector, this model serves as a tool for understanding how a negative financial shock may spread to the real economy and how monetary policy may react. We use Bayesian techniques to estimate the model parameters to adjust the model structure closer to the evidence stemming from Czech data. Our attention focuses on a set of experiments in which we generate ex post forecasts of the economy prior to the 2009 crisis and illustrate that the monetary policy response to an upcoming crisis implied by the model with financial frictions is stronger on account of an increasing interest rate spread.

Keywords

Bayesian methods, financial frictions

URL

http://www.cnb.cz/en/research/research_publications/cnb_wp/2011/cnbwp_2011_12.html



Record ID

208     [ Page 47 of 68, No. 9 ]

Date

2012-02

Author

Miao, Yanliang and Pant, Malika

Affiliation

Strategy, Policy, and Review Department, IMF

Title

Coincident Indicators of Capital Flows

Summary /
Abstract

Capital flows data from Balance of Payments statistics often lag 3-6 months, which renders timely surveillance and policy deliberation difficult. To address the tension, we propose two coincident composite indicators for capital flows that improve upon existing proxies. We find that the most widely used proxy, the capital tracker, often overpredicts net flows by 30 percent. We augment the tracker into a composite indicator by assigning to it a lesser but optimally estimated weight while incorporating other regional and global coincident correlates of capital flows. The proposed composite indicator of net flows outperforms the capital tracker in its original format. To complement the indicator with an even timelier variant, we also utilize the EPFR high frequency coverage of gross bond and equity flows as an indicator on foreign investors’ sentiment.

Keywords

Capital Flows; Coincident Indicators; Capital Tracker

URL

http://www.imf.org/external/pubs/ft/wp/2012/wp1255.pdf



Record ID

207     [ Page 47 of 68, No. 10 ]

Date

2012-02

Author

René Tapsoba

Affiliation

Clermont Université, Université d’Auvergne, CNRS, UMR 6587, Centre d’Etudes et de Recherches sur le Développement International (CERDI), F-63009 Clermont-Ferrand, France

Title

Does Inflation Targeting Matter for Attracting Foreign Direct Investment into Developing Countries?

Summary /
Abstract

This paper investigates the effect of Inflation Targeting (IT) on Foreign Direct Investment (FDI). Based on panel data of 53 developing countries over the period 1980-2007, this study is the first, to the best of the author's knowledge, to evaluate directly the effect of IT on FDI. Using a variety of propensity scores-matching methods which allow controlling for self-selection in policy adoption, it finds that the treatment effect of IT on FDI is positive, statistically significant and robust to a set of alternative specifications. In terms of policy recommendations, this finding therefore suggests that if well implemented, IT adoption can be a legitimate part of the policy toolkit available to policymakers in developing countries in their competition to attract more FDI.

Keywords

Inflation targeting, foreign direct investment, propensity scores-matching, developing countries.

URL

http://d.repec.org/n?u=RePEc:cdi:wpaper:1322&r=mon



Total records: 676 | Select no. of records per page: 10 | 20 | 30 | 50 | 100 | Show all | Search
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