Download or read book Indeterminacy with Inflation forecast based Rules in a Two block Model written by Nicoletta Batini and published by . This book was released on 2004 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Indeterminacy with Inflation based Rules in a Two bloc Model written by Nicoletta Batini and published by . This book was released on 2004 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Performance of Forecast based Monetary Policy Rules Under Model Uncertainty written by Andrew T. Levin and published by . This book was released on 2001 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book PPP Rules Macroeconomic in stability and Learning written by Luis-Felipe Zanna and published by . This book was released on 2004 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Governments in emerging economies have pursued real exchange rate targeting through Purchasing Power Parity (PPP) rules that link the nominal depreciation rate to either the deviation of the real exchange rate from its long run level or to the difference between the domestic and the foreign CPI-inflation rates. In this paper we disentangle the conditions under which these rules may lead to endogenous fluctuations due to self-fulfilling expectations in a small open economy that faces nominal rigidities. We find that besides the specification of the rule, structural parameters such as the share of traded goods (that measures the degree of openness of the economy) and the degrees of imperfect competition and price stickiness in the non-traded sector play a crucial role in the determinacy of equilibrium. To evaluate the relevance of the real (in)determinacy results we pursue a learnability (E-stability) analysis for the aforementioned PPP rules. We show that for rules that guarantee a unique equilibrium, the fundamental solution that represents this equilibrium is learnable in the E-stability sense. Similarly we show that for PPP rules that open the possibility of sunspot equilibria, a common factor representation that describes these equilibria is also E-stable. In this sense sunspot equilibria and therefore aggregate instability are more likely to occur due to PPP rules than previously recognized"--Federal Reserve Board web site.
Download or read book The High frequency Effects of U S Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market written by and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that have been used in most previous high frequency foreign exchange analysis. We describe intraday volume and volatility patterns in euro-dollar and dollar-yen trading. We study the effects of scheduled U.S. macroeconomic data releases, first confirming the finding of recent literature that the conditional mean of the exchange rate responds very quickly to the unexpected component of data releases. We next study the effects of data releases on trading volumes. News releases cause volume to rise, and to remain elevated for a longer period. However, in contrast to the result for the level of the exchange rate, even if the data release is entirely in line with expectations, we find that there is still typically a large pickup in trading volume"--Federal Reserve Board web site.
Download or read book The Great Inflation of the 1970s written by Fabrice Collard and published by . This book was released on 2004 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Was the high inflation of the 1970s mostly due to incomplete information about the structure of the economy (an unavoidable mistake as suggested by Orphanides, 2000)? Or, to weak reaction to expected inflation and/or excessive policy activism that led to indeterminacies (a policy mistake, a scenario suggested by Clarida, Gali and Gertler, 2000)? We study this question within the NNS model with policy commitment and imperfect information, requiring that the model have satisfactory overall empirical performance. We find that both explanations do a good job in accounting for the great inflation. Even with the commonly used specification of the interest policy rule, high and persistent inflation can occur following a significant productivity slowdown if policymakers significantly and persistently underestimate "core" inflation"--Federal Reserve Board web site.
Download or read book The Value of Financial Intermediaries written by Greg Nini and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Finance Discussion Papers written by and published by . This book was released on 1972 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Financial Integration written by Mark Steven Carey and published by . This book was released on 2004 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This introductory note summarizes and draws together the work reported in eight research papers written by staff economists of the Board's Division of International Finance as part of a project on global financial integration. The eight papers are also International Discussion Finance Discussion Papers (IFDPs), the numbers of which are specified on the table of contents that appears herein. When viewing this introduction online, the paper titles appearing on the table-of-contents page are web links that may be used to navigate directly to each paper's on-line file. All recent IFDPs are available on the Web at www.federalreserve.gov/pubs/ifdp/"--Federal Reserve Board web site.
Download or read book Cash Flows and Discount Rates Industry and Country Effects and Co movement in Stock Returns written by John Ammer and published by . This book was released on 2004 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Corporate Governance and the Shareholder Base written by Karl Lins and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper uses a sample of 4,410 firms from 29 countries to investigate the relation between corporate governance and the shareholder base. In contrast to previous work, our results strongly support the notion that poor corporate governance, at both the firm and country level, negatively impacts the willingness of foreign investors to hold a firm's equity. Specifically, we find that firms whose managers have sufficiently high control rights that they may reasonably be expected to expropriate minority equity investors attract significantly less U.S. investment, especially in countries with poor external governance. Our findings suggest that the prices U.S. investors are asked to pay for firms with poor governance are not low enough to fully compensate them for expected expropriation or increased estimation risk associated with expected poor disclosure by these firms. Because prior research shows that a smaller shareholder base is associated with a lower firm value, our results are consistent with the notion that the shareholder base represents an important channel through which poor expected corporate governance contributes to a reduction in firm value"--Federal Reserve Board web site.
Download or read book The Performance of International Portfolios written by Charles P. Thomas and published by . This book was released on 2004 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We evaluate the performance of U.S. investors ̐international portfolios over a 25-year period. Portfolio returns are formed by first estimating monthly bilateral holdings in 44 countries using high-quality but infrequent benchmark surveys that enable us to eliminate the geographical bias in reported capital flows data. In their foreign equity portfolios, U.S. investors achieved a significantly higher Sharpe ratio than global benchmarks, especially since 1990. We uncover three potential reasons for this success. First, they abstained from returns-chasing behavior and instead sold past winners. Second, conditional performance tests provide no evidence that the superior (unconditional) performance owed to private information, suggesting that the successful exploitation of publicly available information played a role. Third, well-documented preferences for cross-listed and well-governed foreign firms appear to have served U.S. investors well. We also evaluate the unconditional performance of bond portfolios, about which less information is available, and find that U.S. investors achieved higher Sharpe ratios than global benchmarks, although the difference here is not statistically significant"--Federal Reserve Board web site.
Download or read book Ramsey Monetary Policy and International Relative Prices written by Ester Faia and published by . This book was released on 2004 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the design of optimal monetary policy (in terms of unconstrained Ramseyallocation) in a framework with sticky prices and matching frictions. Furthermore I consider therole of real wage rigidities. Optimal policy features significant deviations from price stabilityin response to various shocks. This is so since search externalities generate an unemployment/inflation trade-off. In response to productivity shocks optimal policy is pro-cyclical whenthe worker's bargaining power is higher than the share of unemployed people in the matchingtechnology and viceversa. This is so since when the workers share of surplus is high there aremany searching workers and few vacancies hence the monetary authority has an incentive to increasevacancy profitability by reducing the interest rate and increasing inflation. The oppositeis true when the workers' share of surplus is high. This implies that optimal inflation volatilityis U-shaped with respect to workers' bargaining power.
Download or read book Look at Me Now written by and published by . This book was released on 2004 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We use a comprehensive 1997 survey to examine U.S. investors ̐preferences for foreign equities. We document a variety of firm characteristics that can influence U.S. investment, but the most important determinant is whether the stock is cross-listed on a U.S. exchange. Our selection bias-corrected estimates imply that firms that cross-list can increase their U.S. holdings by 8 to 11 percent of their market capitalization, roughly doubling the amount held without cross-listing. All else equal, we find that firms experience smaller increases in U.S. shareholdings upon cross-listing if they are Canadian, from English-speaking countries, are members of the MSCI World index, or had higher quality accounting standards prior to cross-listing. We argue that these findings suggest that improvements in information production explain U.S. investors ̐attraction to foreign stocks that cross-list in the United States"--Federal Reserve Board web site.
Download or read book The Inflation Targeting Debate written by Ben S. Bernanke and published by University of Chicago Press. This book was released on 2007-11-01 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past fifteen years, a significant number of industrialized and middle-income countries have adopted inflation targeting as a framework for monetary policymaking. As the name suggests, in such inflation-targeting regimes, the central bank is responsible for achieving a publicly announced target for the inflation rate. While the objective of controlling inflation enjoys wide support among both academic experts and policymakers, and while the countries that have followed this model have generally experienced good macroeconomic outcomes, many important questions about inflation targeting remain. In Inflation Targeting, a distinguished group of contributors explores the many underexamined dimensions of inflation targeting—its potential, its successes, and its limitations—from both a theoretical and an empirical standpoint, and for both developed and emerging economies. The volume opens with a discussion of the optimal formulation of inflation-targeting policy and continues with a debate about the desirability of such a model for the United States. The concluding chapters discuss the special problems of inflation targeting in emerging markets, including the Czech Republic, Poland, and Hungary.
Download or read book Solving and Estimating Indeterminate DSGE Models written by Mr.Roger Farmer and published by International Monetary Fund. This book was released on 2013-10-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.
Download or read book Monetary Policy Inflation and the Business Cycle written by Jordi Galí and published by Princeton University Press. This book was released on 2015-06-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classic introduction to the New Keynesian economic model This revised second edition of Monetary Policy, Inflation, and the Business Cycle provides a rigorous graduate-level introduction to the New Keynesian framework and its applications to monetary policy. The New Keynesian framework is the workhorse for the analysis of monetary policy and its implications for inflation, economic fluctuations, and welfare. A backbone of the new generation of medium-scale models under development at major central banks and international policy institutions, the framework provides the theoretical underpinnings for the price stability–oriented strategies adopted by most central banks in the industrialized world. Using a canonical version of the New Keynesian model as a reference, Jordi Galí explores various issues pertaining to monetary policy's design, including optimal monetary policy and the desirability of simple policy rules. He analyzes several extensions of the baseline model, allowing for cost-push shocks, nominal wage rigidities, and open economy factors. In each case, the effects on monetary policy are addressed, with emphasis on the desirability of inflation-targeting policies. New material includes the zero lower bound on nominal interest rates and an analysis of unemployment’s significance for monetary policy. The most up-to-date introduction to the New Keynesian framework available A single benchmark model used throughout New materials and exercises included An ideal resource for graduate students, researchers, and market analysts
