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Author : Glenn D. Rudebusch
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (318 download)
Download or read book Do Measures of Monetary Policy in a VAR Make Sense? written by Glenn D. Rudebusch and published by . This book was released on 1996 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Davide Debortoli
Publisher : International Monetary Fund
ISBN 13 : 1484311752
Total Pages : 56 pages
Book Rating : 4.4/5 (843 download)
Download or read book Designing a Simple Loss Function for Central Banks written by Davide Debortoli and published by International Monetary Fund. This book was released on 2017-07-21 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Yes, it makes a lot of sense. This paper studies how to design simple loss functions for central banks, as parsimonious approximations to social welfare. We show, both analytically and quantitatively, that simple loss functions should feature a high weight on measures of economic activity, sometimes even larger than the weight on inflation. Two main factors drive our result. First, stabilizing economic activity also stabilizes other welfare relevant variables. Second, the estimated model features mitigated inflation distortions due to a low elasticity of substitution between monopolistic goods and a low interest rate sensitivity of demand. The result holds up in the presence of measurement errors, with large shocks that generate a trade-off between stabilizing inflation and resource utilization, and also when ensuring a low probability of hitting the zero lower bound on interest rates.
Author : John B. Taylor
Publisher : University of Chicago Press
ISBN 13 : 0226791262
Total Pages : 460 pages
Book Rating : 4.2/5 (267 download)
Download or read book Monetary Policy Rules written by John B. Taylor and published by University of Chicago Press. This book was released on 2007-12-01 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume presents the latest thinking on the monetary policy rules and seeks to determine just what types of rules and policy guidelines function best. A unique cooperative research effort that allowed contributors to evaluate different policy rules using their own specific approaches, this collection presents their striking findings on the potential response of interest rates to an array of variables, including alterations in the rates of inflation, unemployment, and exchange. Monetary Policy Rules illustrates that simple policy rules are more robust and more efficient than complex rules with multiple variables. A state-of-the-art appraisal of the fundamental issues facing the Federal Reserve Board and other central banks, Monetary Policy Rules is essential reading for economic analysts and policymakers alike.
Author : Bin Grace Li
Publisher : International Monetary Fund
ISBN 13 : 1484332466
Total Pages : 45 pages
Book Rating : 4.4/5 (843 download)
Download or read book VAR meets DSGE written by Bin Grace Li and published by International Monetary Fund. This book was released on 2016-04-12 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: VAR methods suggest that the monetary transmission mechanism may be weak and unreliable in low-income countries (LICs). But are structural VARs identified via short-run restrictions capable of detecting a transmission mechanism when one exists, under research conditions typical of these countries? Using small DSGEs as data-generating processes, we assess the impact on VAR-based inference of short data samples, measurement error, high-frequency supply shocks, and other features of the LIC environment. The impact of these features on finite-sample bias appears to be relatively modest when identification is valid—a strong caveat, especially in LICs. However, many of these features undermine the precision of estimated impulse responses to monetary policy shocks, and cumulatively they suggest that “insignificant” results can be expected even when the underlying transmission mechanism is strong.
Author : Lutz Kilian
Publisher : Cambridge University Press
ISBN 13 : 1107196574
Total Pages : 757 pages
Book Rating : 4.1/5 (71 download)
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Download or read book Can VARs Describe Monetary Policy? written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Federal Reserve Bank of Chicago presents the full text of the December 28, 1998 working paper entitled "Can VARs Describe Monetary Policy?," written by Charles L. Evans and Kenneth N. Kuttner. The text is available in PDF format. This paper examines vector autoregression (VAR) models and their ability to describe monetary policy. One of the findings of the authors is that the correlation between forecast errors is a misleading measure of how closely the VAR forecast mimics the futures markets.
Author : Allan D. Brunner
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)
Download or read book Using Measures of Expectations to Identify the Effects of a Monetary Policy Shock written by Allan D. Brunner and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1498344062
Total Pages : 74 pages
Book Rating : 4.4/5 (983 download)
Download or read book Evolving Monetary Policy Frameworks in Low-Income and Other Developing Countries written by International Monetary Fund and published by International Monetary Fund. This book was released on 2015-10-23 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past two decades, many low- and lower-middle income countries (LLMICs) have improved control over fiscal policy, liberalized and deepened financial markets, and stabilized inflation at moderate levels. Monetary policy frameworks that have helped achieve these ends are being challenged by continued financial development and increased exposure to global capital markets. Many policymakers aspire to move beyond the basics of stability to implement monetary policy frameworks that better anchor inflation and promote macroeconomic stability and growth. Many of these LLMICs are thus considering and implementing improvements to their monetary policy frameworks. The recent successes of some LLMICs and the experiences of emerging and advanced economies, both early in their policy modernization process and following the global financial crisis, are valuable in identifying desirable features of such frameworks. This paper draws on those lessons to provide guidance on key elements of effective monetary policy frameworks for LLMICs.
Author : Carlo A. Favero
Publisher : Oxford University Press
ISBN 13 : 0191001864
Total Pages : 296 pages
Book Rating : 4.1/5 (91 download)
Download or read book Applied Macroeconometrics written by Carlo A. Favero and published by Oxford University Press. This book was released on 2001-01-11 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text provides graduate students of macroeconomics, econometrics, and monetary economics with discussion and practical illustrations of the techniques used in applied macroeconometrics. Until the 1970s, there was consensus regarding both the theoretical foundations and the empirical specification of applied macroeconometric modelling, commonly known as the Cowles Commission approach. This is no longer the case: the Cowles Commission approach broke down in the 1970s, to be replaced by a number of prominent competing methods—the LSE (London School of Economics) approach, the VAR approach, and the intertemporal optimization/Real Business Cycle approach. 'Applied Macroeconometrics' examines the empirical research strategy of these alternatives by interpreting them as attempts to solve the problems observed in the Cowles Commission approach. The different research strategies are illustrated with specific reference to real-world examples, particularly with respect to the monetary transmission mechanism. A common US dataset is used in these examples, thus allowing the reader easy comparisons. The presentation is based on the view that identification, a central concept in econometrics, provides a natural framework in which to discuss the alternative strategies currently dominating research. The first part of the book introduces time-series models and details the importance of their identification. The second part illustrates, chapter by chapter, the alternative approaches, providing detailed applications of each methodology. Data used in the applications are available in a variety of formats from the author's web site, and will be supplemented by exercises for the reader to perform.
Author : Ufuk Bingöl
Publisher : Rowman & Littlefield
ISBN 13 : 1793646252
Total Pages : 271 pages
Book Rating : 4.7/5 (936 download)
Download or read book Income Disparity under Welfare and Poverty Dilemma in Emerging Countries written by Ufuk Bingöl and published by Rowman & Littlefield. This book was released on 2022-11-08 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the past few years, one of the most misunderstood concepts is income disparity. Income inequality issues are now a concern for the public. However, it was heightened by the recession in 2008-09, resulting in consequences for the corporate sector, the Occupy Wall Street movement, Covid-19 pandemic and a myriad of other events. This book analyzed how income disparity is rising with higher income distribution margins witnessed among the highest earners. This book has thirteen chapters, eliminating the introductory overview chapter, on income disparity, poverty, and economic well-being. These chapters were authored by academics who publish articles on these issues on a regular basis. The literature on these issues is substantial, and research interest in these topics has a long history. Furthermore, it is fairly unusual for academics' viewpoints on these subjects to disagree. In light of this, the subjects of the articles may best be regarded as representing the contributors' different viewpoints. Graduate students and professional researchers will also find these guides an excellent contribution to supplemental teaching in economic fields, especially labor economics, macroeconomics, and economic policies.
Author : Ben S. Bernanke
Publisher : MIT Press
ISBN 13 : 9780262571739
Total Pages : 370 pages
Book Rating : 4.5/5 (717 download)
Download or read book NBER Macroeconomics Annual 2002 written by Ben S. Bernanke and published by MIT Press. This book was released on 2003 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current issues in macroeconomics.
Author : John B. Taylor
Publisher : Elsevier
ISBN 13 : 0444594787
Total Pages : 1376 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 2016-12-01 with total page 1376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. - Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research - Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
Author : Michael I. C. Nwogugu
Publisher : Springer
ISBN 13 : 113744701X
Total Pages : 710 pages
Book Rating : 4.1/5 (374 download)
Download or read book Indices, Index Funds And ETFs written by Michael I. C. Nwogugu and published by Springer. This book was released on 2019-03-09 with total page 710 pages. Available in PDF, EPUB and Kindle. Book excerpt: Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.
Author : D. Bundesbank
Publisher : Springer
ISBN 13 : 0230595995
Total Pages : 329 pages
Book Rating : 4.2/5 (35 download)
Download or read book The Monetary Transmission Process written by D. Bundesbank and published by Springer. This book was released on 2001-01-29 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: The start of the European monetary union gave additional impetus to the lively debate on the effects of monetary policy and the appropriate strategy for central banks. This book collects papers and comments by leading academics and central bankers such as O.Issing, M.King, B.McCallum, A.Meltzer, L.Svensson and H.Tietmeyer. The volume examines methodological questions, the actual role played by the financial sectors and labour markets in implementing monetary policy in Europe, and the likely future developments in these areas.
Author : Ruediger Bachmann
Publisher : Elsevier
ISBN 13 : 0128234768
Total Pages : 876 pages
Book Rating : 4.1/5 (282 download)
Download or read book Handbook of Economic Expectations written by Ruediger Bachmann and published by Elsevier. This book was released on 2022-11-04 with total page 876 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Economic Expectations discusses the state-of-the-art in the collection, study and use of expectations data in economics, including the modelling of expectations formation and updating, as well as open questions and directions for future research. The book spans a broad range of fields, approaches and applications using data on subjective expectations that allows us to make progress on fundamental questions around the formation and updating of expectations by economic agents and their information sets. The information included will help us study heterogeneity and potential biases in expectations and analyze impacts on behavior and decision-making under uncertainty. - Combines information about the creation of economic expectations and their theories, applications and likely futures - Provides a comprehensive summary of economics expectations literature - Explores empirical and theoretical dimensions of expectations and their relevance to a wide array of subfields in economics
Author : Peter Cornelius
Publisher : Campus Verlag
ISBN 13 : 9783593366425
Total Pages : 204 pages
Book Rating : 4.3/5 (664 download)
Download or read book European Monetary Union, Emerging Markets, and Econometric Issues in International Finance written by Peter Cornelius and published by Campus Verlag. This book was released on 2000 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lavan Mahadeva
Publisher : Routledge
ISBN 13 : 1135126631
Total Pages : 692 pages
Book Rating : 4.1/5 (351 download)
Download or read book Monetary Policy Frameworks in a Global Context written by Lavan Mahadeva and published by Routledge. This book was released on 2012-11-12 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broad-ranging collection assesses the links between targets and central bank independence, accountability and the transparency of monetary policy. Renowned experts contribute to this original and comprehensive text which will be of great value to professional economists and students of economics and banking alike. Monetary Policy Frameworks in a Global Context was named Book of the Year, 2000 by Central Banking journal
