Understanding Inflation and the Implications for Monetary Policy

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Author :
Publisher : MIT Press
ISBN 13 : 026225820X
Total Pages : 517 pages
Book Rating : 4.2/5 (622 download)

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Book Synopsis Understanding Inflation and the Implications for Monetary Policy by : Jeff Fuhrer

Download or read book Understanding Inflation and the Implications for Monetary Policy written by Jeff Fuhrer and published by MIT Press. This book was released on 2009-09-11 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current perspectives on the Phillips curve, a core macroeconomic concept that treats the relationship between inflation and unemployment. In 1958, economist A. W. Phillips published an article describing what he observed to be the inverse relationship between inflation and unemployment; subsequently, the “Phillips curve” became a central concept in macroeconomic analysis and policymaking. But today's Phillips curve is not the same as the original one from fifty years ago; the economy, our understanding of price setting behavior, the determinants of inflation, and the role of monetary policy have evolved significantly since then. In this book, some of the top economists working today reexamine the theoretical and empirical validity of the Phillips curve in its more recent specifications. The contributors consider such questions as what economists have learned about price and wage setting and inflation expectations that would improve the way we use and formulate the Phillips curve, what the Phillips curve approach can teach us about inflation dynamics, and how these lessons can be applied to improving the conduct of monetary policy. Contributors Lawrence Ball, Ben Bernanke, Oliver Blanchard, V. V. Chari, William T. Dickens, Stanley Fischer, Jeff Fuhrer, Jordi Gali, Michael T. Kiley, Robert G. King, Donald L. Kohn, Yolanda K. Kodrzycki, Jane Sneddon Little, Bartisz Mackowiak, N. Gregory Mankiw, Virgiliu Midrigan, Giovanni P. Olivei, Athanasios Orphanides, Adrian R. Pagan, Christopher A. Pissarides, Lucrezia Reichlin, Paul A. Samuelson, Christopher A. Sims, Frank R. Smets, Robert M. Solow, Jürgen Stark, James H. Stock, Lars E. O. Svensson, John B. Taylor, Mark W. Watson

The Inflation-Targeting Debate

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Author :
Publisher : University of Chicago Press
ISBN 13 : 0226044734
Total Pages : 469 pages
Book Rating : 4.2/5 (26 download)

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Book Synopsis The Inflation-Targeting Debate by : Ben S. Bernanke

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.

Dynamic Factor Models

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Author :
Publisher : Emerald Group Publishing
ISBN 13 : 1785603523
Total Pages : 685 pages
Book Rating : 4.7/5 (856 download)

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Book Synopsis Dynamic Factor Models by : Siem Jan Koopman

Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

The Effects of Inflation on Economic Growth

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Author :
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Effects of Inflation on Economic Growth by : Jose De Gregorio

Download or read book The Effects of Inflation on Economic Growth written by Jose De Gregorio and published by . This book was released on 1991 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Determinants of Emerging Market Sovereign Bond Spreads

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1455252859
Total Pages : 28 pages
Book Rating : 4.4/5 (552 download)

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Book Synopsis Determinants of Emerging Market Sovereign Bond Spreads by : Iva Petrova

Download or read book Determinants of Emerging Market Sovereign Bond Spreads written by Iva Petrova and published by International Monetary Fund. This book was released on 2010-12-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.

International Convergence of Capital Measurement and Capital Standards

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Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Corporate Bond Risk and Real Activity

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Author :
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Corporate Bond Risk and Real Activity by : Jorge A. Chan-Lau

Download or read book Corporate Bond Risk and Real Activity written by Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2001 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Portfolio Selection and Asset Pricing

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 3642559344
Total Pages : 260 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Portfolio Selection and Asset Pricing by : Shouyang Wang

Download or read book Portfolio Selection and Asset Pricing written by Shouyang Wang and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.

The Chicago Plan Revisited

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1475505523
Total Pages : 71 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis The Chicago Plan Revisited by : Mr.Jaromir Benes

Download or read book The Chicago Plan Revisited written by Mr.Jaromir Benes and published by International Monetary Fund. This book was released on 2012-08-01 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: At the height of the Great Depression a number of leading U.S. economists advanced a proposal for monetary reform that became known as the Chicago Plan. It envisaged the separation of the monetary and credit functions of the banking system, by requiring 100% reserve backing for deposits. Irving Fisher (1936) claimed the following advantages for this plan: (1) Much better control of a major source of business cycle fluctuations, sudden increases and contractions of bank credit and of the supply of bank-created money. (2) Complete elimination of bank runs. (3) Dramatic reduction of the (net) public debt. (4) Dramatic reduction of private debt, as money creation no longer requires simultaneous debt creation. We study these claims by embedding a comprehensive and carefully calibrated model of the banking system in a DSGE model of the U.S. economy. We find support for all four of Fisher's claims. Furthermore, output gains approach 10 percent, and steady state inflation can drop to zero without posing problems for the conduct of monetary policy.

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

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Author :
Publisher : Now Publishers Inc
ISBN 13 : 160198362X
Total Pages : 104 pages
Book Rating : 4.6/5 (19 download)

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Book Synopsis Bayesian Multivariate Time Series Methods for Empirical Macroeconomics by : Gary Koop

Download or read book Bayesian Multivariate Time Series Methods for Empirical Macroeconomics written by Gary Koop and published by Now Publishers Inc. This book was released on 2010 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.

The Cyclical Behavior of the Term Structure of Interest Rates

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Author :
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.3/5 (97 download)

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Book Synopsis The Cyclical Behavior of the Term Structure of Interest Rates by : Reuben A. Kessel

Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Global Financial Stability Report, April 2013

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1475589581
Total Pages : 160 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Global Financial Stability Report, April 2013 by : International Monetary Fund. Monetary and Capital Markets Department

Download or read book Global Financial Stability Report, April 2013 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2013-04-17 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Global Financial Stability Report examines current risks facing the global financial system and policy actions that may mitigate these. It analyzes the key challenges facing financial and nonfinancial firms as they continue to repair their balance sheets. Chapter 2 takes a closer look at whether sovereign credit default swaps markets are good indicators of sovereign credit risk. Chapter 3 examines unconventional monetary policy in some depth, including the policies pursued by the Federal Reserve, the Bank of England, the Bank of Japan, the European Central Bank, and the U.S. Federal Reserve.

Yield Curve Modeling and Forecasting

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Author :
Publisher : Princeton University Press
ISBN 13 : 0691146802
Total Pages : 223 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Yield Curve Modeling and Forecasting by : Francis X. Diebold

Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

Financial Crises Explanations, Types, and Implications

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Publisher : International Monetary Fund
ISBN 13 : 1475561008
Total Pages : 66 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Financial Crises Explanations, Types, and Implications by : Mr.Stijn Claessens

Download or read book Financial Crises Explanations, Types, and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.

Bayesian Inference and Decision Techniques

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Author :
Publisher : North Holland
ISBN 13 :
Total Pages : 512 pages
Book Rating : 4.:/5 (319 download)

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Book Synopsis Bayesian Inference and Decision Techniques by : P. K. Goel

Download or read book Bayesian Inference and Decision Techniques written by P. K. Goel and published by North Holland. This book was released on 1986 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective of this volume is to describe the impact of Professor Bruno de Finetti's contributions on statistical theory and practice, and to provide a selection of recent and applied research in Bayesian statistics and econometrics. Included are papers (all previously unpublished) from leading econometricians and statisticians from several countries. Part I of this book relates most directly to de Finetti's interests whilst Part II deals specifically with the implications of the assumption of finitely additive probability. Parts III & IV discuss applications of Bayesian methodology in econometrics and economic forecasting, and Part V examines assessment of prior parameters in specific parametric setting and foundational issues in probability assessment. The following section deals with state of the art for comparing probability functions and gives an assessment of prior distributions and utility functions. In Parts VII & VIII are a collection of papers on Bayesian methodology for general linear models and time series analysis (the most often used tools in economic modelling), and papers relevant to modelling and forecasting. The remaining two Parts examine, respectively, optimality considerations and the effectiveness of the Conditionality-Likelihood Principle as a vehicle to convince the non-Bayesians about the usefulness of the Bayesian paradigm.

Credit Default Swaps

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Author :
Publisher : Now Publishers
ISBN 13 : 9781601989000
Total Pages : 150 pages
Book Rating : 4.9/5 (89 download)

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Book Synopsis Credit Default Swaps by : Marti Subrahmanyam

Download or read book Credit Default Swaps written by Marti Subrahmanyam and published by Now Publishers. This book was released on 2014-12-19 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.

What Determines U.S. Swap Spreads?

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Author :
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis What Determines U.S. Swap Spreads? by : Ádám Kóbor

Download or read book What Determines U.S. Swap Spreads? written by Ádám Kóbor and published by World Bank Publications. This book was released on 2005 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: References p. 45-47.