Selected Reference and Reading Materials compiled by Dan Villanueva


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Record ID

6     [ Page 67 of 68, No. 1 ]

Date

2010

Author

Various Authors

Title

Links to IMF Working Papers maintained at http://ideas.repec.org/

Summary /
Abstract

Contact information of International Monetary Fund:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Email: publicaffairs@imf.org
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC

Order information:
Web: http://www.imf.org/external/pubs/pubs/ord_info.htm
For technical questions regarding this series, please contact JBeardow@imf.org (Jim Beardow) or baum@bc.edu (Christopher F. Baum)
Series handle: repec:imf:imfwpa
Citations RSS feed: at CitEc

URL

http://ideas.repec.org/s/imf/imfwpa.html



Record ID

9     [ Page 67 of 68, No. 2 ]

Date

2010

Author

Edsel Beja Jr.

Affiliation

Ateneo de Manila University

Title

Is inflation targeting preferred by Filipinos?

Summary /
Abstract

Analysis of World Values Survey 2000 data for the Philippines finds that lower income Filipinos are more likely than the upper income ones to support inflation targeting. The same can be said of older, healthier, and employed Filipinos but not of the educated and financially satisfied ones. Given the profile of people who preferred inflation targeting, the shift from monetary targeting to inflation targeting is deemed a pro-poor policy shift. Further analyses find that, in 2000, at least 53.1% of Filipino households preferred inflation targeting; in other words, the preference of Filipino society in 2000 was in line with the preference of the Bangko Sentral ng Pilipinas for inflation targeting.

URL:http://d.repec.org/n?u=RePEc:pra:mprapa:24382&r=mac

Keywords

Inflation targeting; central bank policy; Philippines; Filipino preference

URL

http://mpra.ub.uni-muenchen.de/24382/

Remarks

This piece by Edsel from Ateneo should provide comfort to BSP.



Record ID

14     [ Page 67 of 68, No. 3 ]

Date

2010

Author

John B. Taylor

Title

Does the Crisis Experience Call for a New Paradigm in Monetary Policy?

Summary /
Abstract

This paper shows that the monetary policy paradigm that was in place before the financial crisis worked very well and that the crisis occurred only after policy makers deviated from that paradigm. The paper also evaluates monetary policy during the financial crisis by dividing the crisis into three periods: pre-panic, panic and post-panic. It shows that the extraordinary measures did not work well in the pre-panic or the post-panic periods; instead they helped bring on the panic, even though they may have some positive impact during the panic. The implication of the paper is that the crisis does not call for a new paradigm for monetary policy.

URL: http://d.repec.org/n?u=RePEc:sec:cnstan:0402&r=mon
- http://www.case.com.pl/upload/publikacja_plik/30087204_CNSA_402.pdf

Keywords

financial crisis, monetary policy rule, Taylor rule, quantitative easing

URL

http://d.repec.org/n?u=RePEc:sec:cnstan:0402&r=mon



Record ID

16     [ Page 67 of 68, No. 4 ]

Date

2010

Author

Dale F. Gray, Carlos Garcia, Leonardo Luna and Jorge Restrepo

Affiliation

International Monetary Fund, Washington D.C.-USA, ILADES-Georgetown University, Universidad Alberto Hurtado, Transelec, Chile), Banco Central de Chile

Title

Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile

Summary /
Abstract

This article analyzes whether market-based financial stability indicators (FSIs) should be included in monetary policy models and, if so, how.1 Since the economy and interest rates affect financial sector credit risk, and the financial sector affects the economy, this article builds a model of financial sector vulnerability and integrates it into a macroeconomic framework, typically used for monetary policy analysis. More specifically, should the central bank explicitly include the financial stability indicator in its monetary policy (interest rate) reaction function? This is the most important question to be answered in this article. The alternative would be to react only indirectly to financial risk by reacting to inflation and gross domestic product (GDP) gaps, since they already include the effect that financial factors have on the economy.

URL:http://d.repec.org/n?u=RePEc:ila:ilades:inv229&r=mac

Keywords

financial sector risk, monetary policy models

URL

http://www.economia.uahurtado.cl/pdf/publicaciones/inv229.pdf



Record ID

18     [ Page 67 of 68, No. 5 ]

Date

2010

Author

Carlos Garcia and Wildo Gonzalez

Affiliation

ILADES-Georgetown University, Universidad Alberto Hurtado and Banco Central de Chile

Title

Is more exchange rate intervention necessary in small open economies? The role of risk premium and commodity shocks

Summary /
Abstract

We estimate how the monetary policy works in small open economies with inflation target. To do so, we build a dynamic stochastic general equilibrium model that incorporates the basic features of these economies. We conclude that the monetary policy in a group of representative small open economies (including Australia, Chile, Colombia, Peru and New Zealand) presents strong differences due to shocks from the international financial markets (risk premium shocks, mainly) that explain mostly the variability of the real exchange rate, which has important reallocation effects in the short run. By using the allocations of the Ramsey problem as benchmark, this article shows that if the central banks in small open economies want to reduce the observed volatility of the inflation rate and the output gap, more exchange rate intervention is necessary in order to reduce the volatility produced by risk premium shocks.

Keywords

Small open economies economy models; monetary policy rules; exchange rates; Bayesian econometrics, Risk premium shocks, Ramsey problem.

URL

http://d.repec.org/n?u=RePEc:ila:ilades:inv248&r=mon

Remarks

I thought this study may be relevant to the BSP (W. Gonzalez is with the central bank of Chile)...



Record ID

19     [ Page 67 of 68, No. 6 ]

Date

2010

Author

Carlos Garcia, Jorge Restrepo and Scott Roger

Affiliation

ILADES-Georgetown University, Universidad Alberto Hurtado, Banco Central de Chile and IMF Institute, International Monetary Fund, Washington D.C.-USA

Title

Hybrid Inflation Targeting Regimes

Summary /
Abstract

This paper uses a DSGE model to examine whether including the exchange rate explicitly in the central bank’s policy reaction function can improve macroeconomic performance. It is found that including an element of exchange rate smoothing in the policy reaction function is helpful both for financially robust advanced economies and for financially vulnerable emerging economies in handling risk premium shocks. As long as the weight placed on exchange rate smoothing is relatively small, the effects on inflation and output volatility in the event of demand and cost-push shocks are minimal. Financially vulnerable emerging economies are especially likely to benefit from some exchange rate smoothing because of the perverse impact of exchange rate movements on activity.

Keywords

Inflation targeting, monetary policy, exchange rate

URL

http://d.repec.org/n?u=RePEc:ila:ilades:inv226&r=mon

Remarks

My ex-IMF colleague Scott Roger, has done considerable work on Inflation Targeting



Record ID

20     [ Page 67 of 68, No. 7 ]

Date

2010

Author

Meixing Dai

Affiliation

University of Strasbourg, France

Title

Financial Market Imperfections and Monetary Policy Strategy

Summary /
Abstract

In a model with imperfect money, credit and reserve markets, we examine if an inflation-targeting central bank using the funds rate operating procedure to indirectly control market interest rates also needs a monetary aggregate as policy instrument. We show that if private agents use information extracted from money and financial markets to form inflation expectations and if the access to liquidity is subject to non-price rationing, the central bank can use a narrow monetary aggregate and the discount interest rate as independent policy instruments to reinforce the credibility of its announcements and the role of inflation target as nominal anchor for inflation expectations. This study shows how a monetary policy strategy combining inflation targeting and monetary targeting can be conceived to guarantee macroeconomic stability and the credibility of monetary policy. Friedman’s k-percent money growth rule, generating dynamic instability, and two alternative stabilizing feedback monetary targeting rules are examined.

Keywords

Imperfect financial markets, non-price rationing, inflation targeting, monetary targeting, macroeconomic stability, Friedman’s k-percent rule, feedback money growth rules, two-pillar strategy.

URL

http://d.repec.org/n?u=RePEc:ulp:sbbeta:2010-19&r=mon

Remarks

The model in this paper is simple enough, yet very informative. It is an attempt to provide a theoretical explanation of the ECB's two-pillar monetary policy strategy



Record ID

21     [ Page 67 of 68, No. 8 ]

Date

2010

Author

Kumar, Manmohan S. ; Woo, Jaejoon

Title

Public Debt and Growth

Summary /
Abstract

This paper explores the impact of high public debt on long-run economic growth. The analysis, based on a panel of advanced and emerging economies over almost four decades, takes into account a broad range of determinants of growth as well as various estimation issues including reverse causality and endogeneity. In addition, threshold effects, nonlinearities, and differences between advanced and emerging market economies are examined. The empirical results suggest an inverse relationship between initial debt and subsequent growth, controlling for other determinants of growth: on average, a 10 percentage point increase in the initial debt-to-GDP ratio is associated with a slowdown in annual real per capita GDP growth of around 0.2 percentage points per year, with the impact being somewhat smaller in advanced economies. There is some evidence of nonlinearity with higher levels of initial debt having a proportionately larger negative effect on subsequent growth. Analysis of the components of growth suggests that the adverse effect largely reflects a slowdown in labor productivity growth mainly due to reduced investment and slower growth of capital stock.

Source: IMF Working Paper No. 10/174

URL

http://www.imf.org/external/pubs/cat/longres.cfm?sk=24080.0

Remarks

The last sentence in the summary below identifies precisely the transmission mechanisms described and analyzed in my book, Macroeconomic Policies for Stable Growth, chapters 3, 5, and 7.



Record ID

23     [ Page 67 of 68, No. 9 ]

Date

2010

Author

Zhang, Yanan; Ji, Lu; Liu, Fei

Title

Local Housing Market Cycle and Loss Given Default: Evidence from Sub-Prime Residential Mortgages

Summary /
Abstract

This paper studies the impact of housing market cycles on loss given default (LGD). Previous studies have shown that the current loan-to-value ratio (CLTV) is the most important determinant of LGD. This paper establishes another linkage which is between the house price cycles before the time of mortgage origination and LGD. The empirical analysis is based on a large loan-level sub-prime residential mortgage loss dataset from 1998 to 2009. Results show that house price history has a long memory in explaining LGD. Its explanatory power far exceeds the original LTV and other loan characteristics. This paper offers a countercyclical view of LGD risk. The model can be combined with a default probability model to serve as a regulatory prudential tool. Such a tool provides a solution to the inherent procyclical bias in BASEL II capital requirements, and can contribute to the safety and soundness of banking institutions.

Source: IMF Working Paper No. 10/167

URL

http://www.imf.org/external/pubs/cat/longres.cfm?sk=24057.0



Record ID

25     [ Page 67 of 68, No. 10 ]

Date

2010

Author

Kevin Clinton, Michael Kumhof, Douglas Laxton and Susanna Mursula

Affiliation

IMF

Title

Budget Consolidation: Short-Term Pain and Long-Term Gain

Summary /
Abstract

The paper evaluates the costs and benefits of fiscal consolidation using simulations based on the IMFs global DSGE model GIMF. Over the longer run, well-targeted permanent reductions in budget deficits lead to a considerable increase in both the growth rate and the level of output. The gains may be enhanced by shifting some of the tax burden from incomes to consumption. In the short run, credibility plays a crucial role in determining the size of initial output loses. Global current account imbalances would be significantly reduced if budget consolidation was larger in countries with current account deficits.

Source: IMF Working Paper No. 10/163

URL

http://www.imf.org/external/pubs/cat/longres.cfm?sk=24044.0



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