Selected Reference and Reading Materials compiled by Dan Villanueva


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Record ID

166     [ Page 52 of 68, No. 1 ]

Date

2010-11

Author

Matthieu Bussiere and Livio Stracca

Affiliation

Banque de France and ECB

Title

A decade (and a global financial crisis) after Blinder: The interaction between researchers and policy-makers in central banks

Summary /
Abstract

Periods of economic and financial stress traditionally give rise to profound changes in economic theory and in the way policy decisions are taken. Motivated by the recent interest in renewing macroeconomics after the global financial crisis, we collected the views of senior central bank staff in 32 central banks by means of a special questionnaire on a number of issues related to the interaction between research and policy-making. Thereafter, the paper first surveys the existing literature on the relation between researchers and practitioners and offers some reflections on the fundamental and practical differences between research and policy work. Finally, it delves on the issue of model-based versus judgment-based approaches to economic forecasts and policy simulations, with a special emphasis on the growing role of DSGE models within central banks. We conclude with practical suggestions on how best to integrate models and research into policy making decisions.

Keywords

Economic research, policy making, central bank communication,economic crises, DSGE models

URL

http://www.ecb.int/pub/pdf/scpwps/ecbwp1260.pdf



Record ID

165     [ Page 52 of 68, No. 2 ]

Date

2011-07

Author

Adler, Gustavo and Tovar Mora, Camilo E.

Affiliation

WHD, IMF

Title

Foreign Exchange Intervention: A Shield Against Appreciation Winds?

Summary /
Abstract

This paper examines foreign exchange intervention practices and their effectiveness using a new qualitative and quantitative database for a panel of 15 economies covering 2004 - 10, with special focus on Latin America. Qualitatively, it examines institutional aspects such as declared motives, instruments employed, the use of rules versus discretion, and the degree of transparency. Quantitatively, it assesses the effectiveness of sterilized interventions in influencing the exchange rate using a two-stage IV-panel data approach to overcome endogeneity bias. Results suggest that interventions slow the pace of appreciation, but the effects decrease rapidly with the degree of capital account openness. At the same time, interventions are more effective in the context of already ‘overvalued’ exchange rates.

Keywords

Foreign exchange intervention, exchange rates, sterilization

URL

http://www.imf.org/external/pubs/ft/wp/2011/wp11165.pdf



Record ID

164     [ Page 52 of 68, No. 3 ]

Date

2011-07

Author

Gilbert Terrier, Rodrigo Valdés, Camilo E. Tovar, Jorge ChanLau, Carlos Fernández-Valdovinos, Mercedes GarcíaEscribano, Carlos Medeiros, Man-Keung Tang, Mercedes Vera Martin, and Chris Walker

Affiliation

WHD, IMF

Title

Policy Instruments To Lean Against The Wind In Latin America

Summary /
Abstract

This paper reviews policy tools that have been used and/or are available for policy makers in the region to lean against the wind and review relevant country experiences using them. The instruments examined include: (i) capital requirements, dynamic provisioning, and leverage ratios; (ii) liquidity requirements; (iii) debt-to-income ratios; (iv) loan-to-value ratios; (v) reserve requirements on bank liabilities (deposits and nondeposits); (vi) instruments to manage and limit systemic foreign exchange risk; and, finally, (vii) reserve requirements or taxes on capital inflows. Although the instruments analyzed are mainly microprudential in nature, appropriately calibrated over the financial cycle they may serve for macroprudential purposes.

Keywords

Capital Requirements, Dynamic Provisions, Leverage Ratios, Liquidity Requirements, Debt-to-Income Ratios, Loan-to-Value Ratios, Reserve Requirements, Foreign Exchange Credit Risk, Foreign Exchange Positions, Taxes on Capital Inflows

URL

http://www.imf.org/external/pubs/ft/wp/2011/wp11159.pdf



Record ID

163     [ Page 52 of 68, No. 4 ]

Date

2011-04

Author

MCM Staff, Approved by José Viñals

Affiliation

IMF

Title

Managing Sovereign Debt and Debt Markets through a Crisis - Practical Insights and Policy Lessons

Summary /
Abstract

The crisis highlighted the importance of debt management in containing debt-related risks and the associated impact on debt markets. The impact of the crisis on debt levels, and the consequent implications for fiscal consolidation, has been the subject of much discussion and analysis. However, there has been relatively less focus on the issue of how that debt should be managed, including how its composition should be structured so as to mitigate key risk exposures, and its implications for debt market functioning. That task proved significantly complex and challenging through the crisis, particularly in advanced economies, with additional dimensions of risk revealed.

Keywords

Sovereign debt, risk and debt management

URL

http://www.imf.org/external/np/pp/eng/2011/041811.pdf



Record ID

162     [ Page 52 of 68, No. 5 ]

Date

2011-06

Author

Magnusson Bernard, Kristin

Affiliation

WHD, IMF

Title

International Reserve Adequacy in Central America

Summary /
Abstract

Countries’ absolute and relative international reserves adequacy has recently attracted considerable attention. The analysis has however concentrated on the largest and most advanced economies. We apply various methodologies for assessing reserve adequacy in Central America, taking into account the region’s high degree of deposit dollarization. We find that reserve cover is low both in an absolute and relative sense, suggesting further reserve accumulation is an important policy option for reducing vulnerabilities.

Keywords

Foreign reserves, balance of payments crises, financial dollarization

URL

http://www.imf.org/external/pubs/ft/wp/2011/wp11144.pdf



Record ID

161     [ Page 52 of 68, No. 6 ]

Date

2011-02

Author

Gabriele Galati and Richhild Moessner

Affiliation

Monetary and Economic Department, BIS

Title

Macroprudential policy - a literature review

Summary /
Abstract

The recent financial crisis has highlighted the need to go beyond a purely micro approach to financial regulation and supervision. In recent months, the number of policy speeches, research papers and conferences that discuss a macro perspective on financial regulation has grown considerably. The policy debate is focusing in particular on macroprudential tools and their usage, their relationship with monetary policy, their implementation and their effectiveness. Macroprudential policy has recently also attracted considerable attention among researchers. This paper provides an overview of research on this topic. We also identify important future research questions that emerge from both the literature and the current policy debate.

Keywords

Macroprudential policy

URL

http://www.bis.org/publ/work337.pdf



Record ID

160     [ Page 52 of 68, No. 7 ]

Date

2011-06

Author

Igor Vetlov, Tibor Hlédik, Magnus Jonsson, Henrik Kucsera, and Massimiliano Pisani

Affiliation

Bank of Lithuania, Czech National Bank, Sveriges Riksbank, Magyar Nemzeti Bank, Banca d'Italia

Title

Potential Output in DSGE Models

Summary /
Abstract

In view of the increasing use of Dynamic Stochastic General Equilibrium (DSGE) models in the macroeconomic projections and the policy process, this paper examines, both conceptually and empirically, alternative notions of potential output within DSGE models. Furthermore, it provides historical estimates of potential output/output gaps on the basis of selected DSGE models developed by the European System of Central Banks’ staff. These estimates are compared to the corresponding estimates obtained applying more traditional methods. Finally, the paper assesses the usefulness of the DSGE model-based output gaps for gauging inflationary pressures.

Keywords

Potential output, simulation and forecasting models, monetary policy

URL

http://d.repec.org/n?u=RePEc:lie:wpaper:9&r=mac



Record ID

159     [ Page 52 of 68, No. 8 ]

Date

2006-10

Author

Peter C. B. Phillips and Zhijie Xiao

Affiliation

Yale University and University of Illinois at Urbana-Champaign

Title

A Primer on Unit Root Testing

Summary /
Abstract

The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and from recent reviews which tests if any are superior. This paper presents a survey of unit root theory with an emphasis on testing principles and recent developments. The general framework adopted makes it possible to consider tests of stochastic trends against trend stationarity and trend breaks of a general type. The main tests are listed, and asymptotic distributions are given in a simple form that emphasizes commonalities in the theory. Some simulation results are reported, and an extensive list of references and all annotated bibliography are provided.

Keywords

Autoregressive unit root; Brownian motion; Functional central limit theorem; Integrated process; LM principle; Model selection; Moving average unit root; Nonstationarity; Quasi-differencing; Stationarity; Stochastic trend

URL

http://onlinelibrary.wiley.com/doi/10.1111/1467-6419.00064/pdf



Record ID

158     [ Page 52 of 68, No. 9 ]

Date

2006-10

Author

Anil Bera and Matthew Higgins

Affiliation

University of Illinois at Urbana-Champaign and University of Wisconsin-Milwaukee

Title

ARCH models: properties, estimation and testing

Summary /
Abstract

The aim of this survey paper is to provide an account of some of the important developments in the autoregressive conditional heteroskedasticity (ARCH) model since its inception in a seminal paper by Engle (1982). This model takes account of many observed properties of asset prices, and therefore, various interpretations can be attributed to it. We start with the basic ARCH models and discuss their different interpretations. ARCH models have been generalized in different directions to accommodate more and more features of the real world. We provide a comprehensive treatment of many of the extensions of the original ARCH model. Next we discuss estimation and testing for ARCH models and note that these models lead to some interesting and unique problems. There have been numerous applications and we mention some of these as we present different models. The paper includes a glossary of the acronyms for the models we describe.

Keywords

ARCH; GARCH; nonlinearity; nonnormality; persistence; random coefficient model; volatility

URL

http://onlinelibrary.wiley.com/doi/10.1111/j.1467-6419.1993.tb00170.x/pdf



Record ID

157     [ Page 52 of 68, No. 10 ]

Date

2006-10

Author

George Alogoskoufis and Ron Smith

Affiliation

University of London and

Title

On Error Correction Models: Specification, Interpretation, Estimation

Summary /
Abstract

Error Correction Models (ECMs) have proved a popular organizing principle in applied econometrics, despite the lack of consensus as to exactly what constitutes their defining characteristic, and the rather limited role that has been given to economic theory by their proponents. This paper uses a historical survey of the evolution of ECMs to explain the alternative specifications and interpretations and proceeds to examine their implications for estimation. The various approaches are illustrated for wage equations by application to UK labour market data 1855-1987. We demonstrate that error correction models impose strong and testable non-linear restrictions on dynamic econometric equations, and that they do not obviate the need for modelling the process of expectations formation. With the exception of a few special cases, both the non-linear restrictions and the modelling of expectations have been ignored by those who have treated ECMs as merely re-parameterisations of dynamic linear regression models or vector autoregressions.

Keywords

Error correction models; wage equations

URL

http://onlinelibrary.wiley.com/doi/10.1111/j.1467-6419.1991.tb00128.x/pdf



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