Selected Reference and Reading Materials compiled by Dan Villanueva


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Record ID

156     [ Page 53 of 68, No. 1 ]

Date

2006-10

Author

Juan Dolado, Tim Jenkinson, and Simon Sosvilla-Rivero

Affiliation

Bank of Spain, University of Oxford, and University of Birmingham

Title

Cointegration and Unit Roots

Summary /
Abstract

This paper provides an updated survey of a burgeoning literature on testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non-stationary variables which seem to characterize faithfully the properties of many macroeconomic time series. The analysis of co-integration develops out of the existence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories. Special emphasis is put on the empirical researcher’s point of view.

Keywords

Unit root, co-integration, trends, error correction mechanisms

URL

http://onlinelibrary.wiley.com/doi/10.1111/j.1467-6419.1990.tb00088.x/pdf



Record ID

155     [ Page 53 of 68, No. 2 ]

Date

2006-10

Author

Adrian Pagan

Affiliation

University of Rochester

Title

Three Econometric Methodologies: A Critical Appraisal

Summary /
Abstract

Three econometric methodologies, associated respectively with David Hendry, Christopher Sims and Edward Leamer have been advocated and practiced by their adherents in recent years. A number of good papers have appeared about each methodology, but little has been written in a comparative vein. This paper is concerned with that task. It provides a statement of the main steps to be followed in using each of the methodologies and comments upon the strengths and weaknesses of each approach. An attempt is made to contrast and compare the techniques used, the information provided, and the questions addressed by each of the methodologies. It is hoped that such a comparison will aid researchers in choosing the best way to examine their particular problem.

Keywords

Econometric methodologies; Hendry; Sims; Learner; extreme bounds analysis; vector autoregressions; dynamic specification

URL

http://onlinelibrary.wiley.com/doi/10.1111/j.1467-6419.1987.tb00022.x/pdf



Record ID

154     [ Page 53 of 68, No. 3 ]

Date

2011-05

Author

Jordi Galí, Frank Smets, and Rafael Wouters

Affiliation

National Bureau of Economic Research

Title

Unemployment in an Estimated New Keynesian Model

Summary /
Abstract

We reformulate the Smets-Wouters (2007) framework by embedding the theory of unemployment proposed in Galí (2011a,b). We estimate the resulting model using postwar U.S. data, while treating the unemployment rate as an additional observable variable. Our approach overcomes the lack of identification of wage markup and labor supply shocks highlighted by Chari, Kehoe and McGrattan (2008) in their criticism of New Keynesian models, and allows us to estimate a "correct" measure of the output gap. In addition, the estimated model can be used to analyze the sources of unemployment fluctuations.

URL

http://d.repec.org/n?u=RePEc:nbr:nberwo:17084&r=mac



Record ID

153     [ Page 53 of 68, No. 4 ]

Date

2011-05

Author

Andrés González, Lavan Mahadeva, Juan D. Prada and Diego Rodríguez

Affiliation

Banco de la República, Colombia, Bank of England, Northwestern University, and Banco de la República, Colombia

Title

Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description

Summary /
Abstract

In this document we lay out the microeconomic foundations of a dynamic stochastic general equilibrium model designed to forecast and to advice monetary policy authorities in Colombia. The model is called Policy Analysis Tool Applied to Colombian Needs (PATACON). In companion documents we present other aspects of the model and its platform, including the estimation of the parameters that affect the dynamics and the impulse responses functions.

Keywords

Monetary Policy, DSGE, Small open economy

URL

http://d.repec.org/n?u=RePEc:col:000094:008698&r=mon



Record ID

152     [ Page 53 of 68, No. 5 ]

Date

2011-05

Author

Berganza, Juan Carlos and Broto, Carmen

Affiliation

Bank of Finland

Title

Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries

Summary /
Abstract

Emerging economies with inflation targets (IT) face a dilemma between fulflling the theoretical conditions of "strict IT", which implies a fully flexible exchange rate, or applying a "flexible IT", which entails a de facto managed floating exchange rate with forex interventions to moderate exchange rate volatility. Using a panel data model for 37 countries we find that, although IT lead to higher exchange rate instability than alternative regimes, forex interventions in some IT countries have been more effective in reducing volatility than in non-IT countries, which may justify the use of "flexible IT" by policymakers.

Keywords

Inflation targeting; exchange rate volatility; foreign exchange interventions; emerging economies

URL

http://www.suomenpankki.fi/bofit_en/tutkimus/tutkimusjulkaisut/dp/Documents/DP0911.pdf



Record ID

151     [ Page 53 of 68, No. 6 ]

Date

2011-05

Author

E. Gasteiger

Affiliation

University of Vienna

Title

Heterogeneous Expectations, Taylor Rules and the Merit of Monetary Policy Inertia

Summary /
Abstract

We present new results for the performance of Taylor rules in a New Keynesian model with heterogeneous expectations. Agents have either rational or adaptive expectations. We find that depending on the particular rule, expectational heterogeneity can create or increase the set of policies that leads to local explosiveness. This is a new level of destabilization compared to what is known. In addition, we demonstrate that policy inertia is an e ffective tool to safeguard the economy against local explosiveness. Thus, we provide a rationalization for central banks to adjust interest rates with notable inertia in response to shocks.

Keywords

Monetary Policy, Taylor Rules, Heterogeneous Expectations

URL

http://mpra.ub.uni-muenchen.de/31004/1/MPRA_paper_31004.pdf



Record ID

150     [ Page 53 of 68, No. 7 ]

Date

2010-12

Author

Mark Gertler

Affiliation

NYU

Title

Banking Crises and Real Activity: Identifying the Linkages

Summary /
Abstract

I interpret some key aspects of the recent crisis through the lens of macroeconomic modeling of financial factors.

Keywords

Banking crises, financial frictions, real economic activity

URL

http://www.ijcb.org/journal/ijcb10q4a6.pdf



Record ID

149     [ Page 53 of 68, No. 8 ]

Date

2010-05

Author

Luis Catão and Adrian Pagan

Affiliation

IADB, IMF and University of Technology, Sydney and Queensland University of Technology

Title

The Credit Channel and Monetary Transmission in Brazil and Chile: A Structural VAR Approach

Summary /
Abstract

We use an expectation-augmented SVAR representation of an open economy New Keynesian model to study monetary transmission in Brazil and Chile. The underlying structural model incorporates key structural features of Emerging Market economies, notably the role of a bank-credit channel. We find that interest rate changes have swifter effects on output and inflation in both countries compared to advanced economies and that exchange rate dynamics plays an important role in monetary transmission, as currency movements are highly responsive to changes in policy-controlled interest rates. We also find the typical size of credit shocks to have large effects on output and inflation in the two economies, being stronger in Chile where bank penetration is higher.

Keywords

Credit channel, SVAR, DSGE, EMEs

URL

http://d.repec.org/n?u=RePEc:chb:bcchwp:579&r=ban



Record ID

148     [ Page 53 of 68, No. 9 ]

Date

2011-05

Author

Laurence Ball and Sandeep Mazumder

Affiliation

Johns Hopkins University and Wake Forest University

Title

Inflation Dynamics and the Great Recession

Summary /
Abstract

This paper examines inflation dynamics in the Unites States since 1960, with a particular focus on the Great Recession. A puzzle emerges when Phillips curves estimated over 1960- 2007 are used to predict inflation over 2008-2010: inflation should have fallen by more than it did. We resolve this puzzle with two modifications of the Phillips curve, both suggested by theories of costly price adjustment: we measure core inflation with the median CPI inflation rate, and we allow the slope of the Phillips curve to change with the level and variance of inflation. We then examine the hypothesis of anchored inflation expectations. We find that expectations have been fully "shock-anchored" since the 1980s, while "level anchoring" has been gradual and partial, but significant. It is not clear whether expectations are sufficiently anchored to prevent deflation over the next few years. Finally, we show that the Great Recession provides fresh evidence against the New Keynesian Phillips curve with rational expectations.

Keywords

Inflation; Phillips curve; Great Recession.

URL

http://d.repec.org/n?u=RePEc:jhu:papers:580&r=mon



Record ID

147     [ Page 53 of 68, No. 10 ]

Date

2011-03

Author

Daniel Sámano Peñaloza

Affiliation

Banco de Mexico

Title

In the quest of macroprudential policy tools

Summary /
Abstract

The global fnancial crisis of late 2008 could not have provided more convincing evidence that price stability is not a sufficient condition for financial stability. In order to attain both, central banks must develop macroprudential instruments in order to prevent the occurrence of systemic risk episodes. For this reason testing the effectiveness of different macroprudential tools and their interaction with monetary policy is crucial. In this paper we explore whether two policy instruments, namely, a capital adequacy ratio (CAR) rule in combination with a Taylor rule may provide a better macroeconomic outcome than a Taylor rule alone. We conduct our analysis by appending a macroeconometric financial block to an otherwise standard semistructural small open economy neokeynesian model for policy analysis estimated for the Mexican economy. Our results show that with the inclusion of the second policy instrument the central bank can obtain substantial gains. Moreover, we find that when the CAR rule is adequately designed the central authority can mitigate output gap shocks of twice the variance than the Taylor rule alone scenario. Thus, under this two rule case the central authority can isolate financial shocks and dampen their e¤ects over macroeconomic variables.

Keywords

Macroprudential policy, monetary policy, CAR, Taylor rule

URL

http://mpra.ub.uni-muenchen.de/30738/1/MPRA_paper_30738.pdf



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