Selected Reference and Reading Materials compiled by Dan Villanueva


Total records: 676 | Select no. of records per page: 10 | 20 | 30 | 50 | 100 | Show all | Search
Select a Page:   << Previous  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 Next >>


Record ID

126     [ Page 56 of 68, No. 1 ]

Date

2011-03

Author

Michele Berardi

Affiliation

University of Manchester

Title

On the stability properties of optimal interest rules under learning

Summary /
Abstract

In recent literature on monetary policy, it has been argued that a sensible policy rule should be able to induce learnability of the fundamental equilibrium: if private agents update their beliefs over time using adaptive learning technques, they should be able to converge towards rationality. Evans and Honkapohja (2003) showed that in a New Keynesian model an expectations based rule has such a desirable property, while a fundamentals based one does not. In order to implement an expectations based rule, though, the policymaker needs to observe private sector expectations. We show that there exists an alternative rule, based only on fundamentals, that can achieve the same positive results in terms of stability of private sector?s learning dynamics. Moreover, such a rule is learnable by the policymaker, and the combined learning dynamics of the private sector and the central bank make the economy converge to the fundamental equilibrium.

Keywords

Monetary policy, expectations, learning, E-stability

URL

http://www.socialsciences.manchester.ac.uk/cgbcr/dpcgbcr/dpcgbcr155.pdf



Record ID

125     [ Page 56 of 68, No. 2 ]

Date

2011-03

Author

Irineu de Carvalho Filho

Affiliation

International Monetary Fund

Title

28 Months Later: How Inflation Targeters Outperformed Their Peers in the Great Recession

Summary /
Abstract

Twenty-eight months after the onset of the global financial crisis of August 2008, the evidence on post-crisis GDP growth emerging from a sample of 51 advanced and emerging countries is flattering for inflation targeting countries relative to their peers. The positive effect of IT is not explained away by plausible pre-crisis determinants of post-crisis performance, such as growth in private credit, ratios of short-term debt to GDP, reserves to short-term debt and reserves to GDP, capital account restrictions, total capital inflows, trade openness, current account balance and exchange rate flexibility, or post-crisis drivers such as the growth performance of trading partners and changes in terms of trade. We find that inflation targeting countries lowered nominal and real interest rates more sharply than other countries; were less likely to face deflation scares; and had sharp real depreciations without a relative deterioration in their risk assessment by markets. While the task of establishing causal relationships from cross-sectional macroeconomics series is daunting, our reading of this evidence is consistent with the resilience of IT countries being related to their ability to loosen their monetary policy when most needed, thereby avoiding deflation scares and the zero lower bound on interest rates.

Keywords

Inflation targeting; economic crisis; monetary policy

URL

http://mpra.ub.uni-muenchen.de/29100/2/MPRA_paper_29100.pdf



Record ID

124     [ Page 56 of 68, No. 3 ]

Date

2011-03

Author

Pierre-Richard Agénor, Koray Alper, and Luiz Pereira da Silva

Affiliation

Centre for Growth and Business Cycle Research, Economic Studies, University of Manchester, Central Bank of Turkey, and Central Bank of Brazil

Title

Capital Regulation, Monetary Policy and Financial Stability

Summary /
Abstract

This paper examines the roles of bank capital regulation and monetary policy in mitigating procyclicality and promoting macroeconomic and financial stability. The analysis is based on a dynamic stochastic model with imperfect credit markets. Macroeconomic (financial) stability is defined in terms of the volatility of nominal income (real house prices). Numerical experiments show that even if monetary policy can react strongly to inflation deviations from target, combining a credit-augmented interest rate rule and a Basel III-type countercyclical capital regulatory rule may be optimal for promoting overall economic stability. The greater the degree of interest rate smoothing, and the stronger the policymaker's concern with macroeconomic stability, the larger is the sensitivity of the regulatory rule to credit growth gaps.

URL

http://www.socialsciences.manchester.ac.uk/cgbcr/dpcgbcr/dpcgbcr154.pdf



Record ID

123     [ Page 56 of 68, No. 4 ]

Date

2011-02

Author

Brissimis, Sophocles and Migiakis, Petros

Affiliation

Bank of Greece

Title

Inflation persistence and the rationality of inflation expectations

Summary /
Abstract

The rational expectations hypothesis for survey and model-based inflation forecasts − from the Survey of Professional Forecasters and the Greenbook respectively − is examined by properly taking into account the persistence characteristics of the data. The finding of near-unit-root effects in the inflation and inflation expectations series motivates the use of a local-to-unity specification of the inflation process that enables us to test whether the data are generated by locally non-stationary or stationary processes. Thus, we test, rather than assume, stationarity of near-unit-root processes. In addition, we set out an empirical framework for assessing relationships between locally non-stationary series. In this context, we test the rational expectations hypothesis by allowing the co-existence of a long-run relationship obtained under the rational expectations restrictions with short-run "learning" effects. Our empirical results indicate that the rational expectations hypothesis holds in the long run, while forecasters adjust their expectations slowly in the short run. This finding lends support to the hypothesis that the persistence of inflation comes from the dynamics of expectations.

Keywords

Inflation; rational expectations; high persistence

URL

http://mpra.ub.uni-muenchen.de/29203/1/MPRA_paper_29203.pdf



Record ID

122     [ Page 56 of 68, No. 5 ]

Date

2011-03

Author

Sami Alpanda, Kevin Kotze and Geoffrey Woglom

Affiliation

Amherst College and University of Cape Town

Title

Forecasting Performance of an Estimated DSGE Model for the South African Economy

Summary /
Abstract

We construct a small open-economy New Keynesian dynamic stochastic general equilibrium
(DSGE) model for South Africa with nominal rigidities, incomplete international risk sharing and
partial exchange rate pass-through. The parameters of the model are estimated using Bayesian
methods, and its out-of-sample forecasting performance is compared with Bayesian vector
autoregression (VAR), classical VAR and random-walk models. Our results indicate that the
DSGE model generates forecasts that are competitive with those from other models, and it
contributes statistically significant information to combined forecast measures.

Keywords

Forecasting, open-economy DSGE model, Bayesian estimation

URL

http://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2011.01260.x/pdf



Record ID

121     [ Page 56 of 68, No. 6 ]

Date

2006-07

Author

Alan Blinder

Affiliation

Princeton University

Title

Monetary Policy Today: Sixteen Questions and about Twelve Answers

Summary /
Abstract

My assignment is to survey the main questions swirling around monetary policy today. I emphasize three words in this sentence, each for a different reason. “Main” is because one person’s side issue is another’s main issue. So I had to be both selective and judgmental in compiling my list, else this paper would have been even longer than it is. “Policy” indicates that I have restricted myself to issues that are truly relevant to real-world policymakers, thus omitting many interesting but purely academic issues. “Today” means that I focus on current issues, thus passing over some illustrious past issues. All these omissions still leave a rather long list; so I will treat some issues quite briefly.

Keywords

Monetary policy, transparency, inflation targeting, decision-making, bank supervision and examination

URL

http://www.princeton.edu/~ceps/workingpapers/129blinder.pdf



Record ID

120     [ Page 56 of 68, No. 7 ]

Date

2011-02

Author

Beidas-Strom, Samya and Poghosyan, Tigran

Affiliation

Middle East and Central Asia Department, IMF

Title

An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy

Summary /
Abstract

This paper presents and estimates a small open economy dynamic stochastic general-equilibrium model (DSGE) for the Jordanian economy. The model features nominal and real rigidities, imperfect competition and habit formation in the consumer’s utility function. Oil imports are explicitly modeled in the consumption basket and domestic production. Bayesian estimation methods are employed on quarterly Jordanian data. The model’s properties are described by impulse response analysis of identified structural shocks pertinent to the economy. These properties assess the effectiveness of the pegged exchange rate regime in minimizing inflation and output trade-offs. The estimates of the structural parameters fall within plausible ranges, and simulation results suggest that while the peg amplifies output, consumption and (price and wage) inflation volatility, it offers a relatively low risk premium.

Keywords

DSGE; Bayesian Estimation; Jordan; Monetary and Exchange Rate Policy

URL

http://www.imf.org/external/pubs/ft/wp/2011/wp1128.pdf



Record ID

119     [ Page 56 of 68, No. 8 ]

Date

2011-01

Author

de la Torre, Augusto, and Ize, Alain

Affiliation

World Bank

Title

Containing systemic risk: paradigm-based perspectives on regulatory reform

Summary /
Abstract

Financial crises can happen for a variety of reasons: (a) nobody really understands what is going on (the collective cognition paradigm); (b) some understand better than others and take advantage of their knowledge (the asymmetric information paradigm); (c) everybody understands, but crises are a natural part of the financial landscape (the costly enforcement paradigm); or (d) everybody understands, yet no one acts because private and social interests do not coincide (the collective action paradigm). The four paradigms have different and often conflicting prudential policy implications. This paper proposes and discusses three sets of reforms that would give due weight to the insights from the collective action and collective cognition paradigms by redrawing the regulatory perimeter to internalize systemic risk without promoting dynamic regulatory arbitrage; introducing a truly systemic liquidity regulation that moves away from a purely idiosyncratic focus on maturity mismatches; and building up the supervisory function while avoiding the pitfalls of expanded official oversight.

Keywords

Financial crises; financial policy; financial regulation; financial development; regulatory architecture

URL

http://www-wds.worldbank.org/servlet/WDSContentServer/WDSP/IB/2011/01/05/000158349_20110105150802/Rendered/PDF/WPS5523.pdf



Record ID

118     [ Page 56 of 68, No. 9 ]

Date

2011-02

Author

Bayoumi, Tamim and Darius, Reginald

Affiliation

Strategy, Policy, and Review Department, IMF

Title

Reversing the Financial Accelerator: Credit Conditions and Macro-Financial Linkages

Summary /
Abstract

This paper examines the role of credit markets in the transmission of U.S. macro-financial shocks through the prism of a financial conditions index (FCI) based on a vector autoregression (VAR) methodology. It explores the relative predictive power of market variables compared to credit standards/conditions. The main conclusion is that under plausible specifications credit conditions dominate market variables, highlighting the importance of credit supply. The fact that direct measures of credit conditions anticipate future movements in asset prices has an extremely important implication. Most models of the credit channel see it as an amplifier of underlying changes in financial wealth. The impact of credit conditions on growth compared to other market variables implies that credit supply drives other financial variables rather than responding to them.

Keywords

Output, Financial conditions index, credit conditions

URL

http://www.imf.org/external/pubs/ft/wp/2011/wp1126.pdf



Record ID

117     [ Page 56 of 68, No. 10 ]

Date

2011-02

Author

Aruoba, S. Boragan, Diebold, Francis X., Kose, M. Ayhan, and Terrones, Marco

Affiliation

Research Department, IMF

Title

Globalization, the Business Cycle, and Macroeconomic Monitoring

Summary /
Abstract

We propose and implement a framework for characterizing and monitoring the global business cycle. Our framework utilizes high-frequency data, allows us to account for a potentially large amount of missing observations, and is designed to facilitate the updating of global activity estimates as data are released and revisions become available. We apply the framework to the G-7 countries and study various aspects of national and global business cycles, obtaining three main results. First, our measure of the global business cycle, the common G-7 real activity factor, explains a significant amount of cross-country variation and tracks the major global cyclical events of the past forty years. Second, the common G-7 factor and the idiosyncratic country factors play different roles at different times in shaping national economic activity. Finally, the degree of G-7 business cycle synchronization among country factors has changed over time.

Keywords

Expansion, Contraction, Recession, Turning Point, Dynamic factor model, Nowcasting, Real-time analysis

URL

http://www.imf.org/external/pubs/ft/wp/2011/wp1125.pdf



Total records: 676 | Select no. of records per page: 10 | 20 | 30 | 50 | 100 | Show all | Search
Select a Page:   << Previous  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 Next >>



Copyright ©2010-2013 Web development and maintenance by Ferdinand S. Co | Updated by: Dan Villanueva