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1.
The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and changes
in policy regimes. Two empirical methodologies, univariate autoregressive (AR) modelling and second-generation random coefficient
(RC) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest that
inflation persistence was high till 1996, while it started to decline after 1997, when inflationary expectations seem to have
been stabilised, and thus, monetary policy was effective at reducing inflation. Empirical findings also detect a sluggish
response of inflation to changes in monetary policy. This observed delay seems to have changed little over time.
相似文献
Sophia LazaretouEmail: |
2.
Metin Özdemir 《Applied economics》2020,52(29):3138-3152
ABSTRACT The role of the exchange rates in emerging market economies that have adopted inflation targeting (IT) is a critical and contentious issue in the relevant literature. This article investigates whether an exchange rate-augmented Taylor rule describes the Central Bank of Republic of Turkey’s (CBRT) monetary policy. Covering the period from 2002:1 to 2017:8 it also explores possible nonlinearities in the reaction function of the CBRT by employing a Threshold Vector Autoregressive (TVAR) model. The linear estimation of the model highlighted the importance of the exchange rate in monetary policy under IT. The results of the nonlinear model indicate that the stance of monetary policy was asymmetric with respect to exchange rate movements during the conventional IT period. However, the asymmetric monetary policy stance disappeared in the aftermath of the Global Financial Crisis. Increasing considerations of financial stability undermined the asymmetric policy stance of the CBRT in the post-crisis period. 相似文献
3.
We analyze the link between macroeconomic fundamentals and exchange rate dynamics in two new and two potential EU member states:
Bulgaria, Romania, Croatia, and Turkey. Given the different institutional settings of the exchange rate market in the countries
of interest, we follow two different modelling strategies. For Romania and Turkey, we evaluate possible exchange rate misalignments
based on a monetary model of exchange rate determination. In the case of Bulgaria and Croatia, with currency board and narrow-band
peg arrangements against the euro, we discuss possible exit strategies and quantitatively assess the effects of the peg arrangements
by means of simulation.
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Maria Antoinette SilgonerEmail: |
4.
This paper compares the European Central Bank’s (ECB) conduct of monetary policy with that of the Bundesbank. Estimated monetary policy reaction functions show that the ECB reacts similarly to expected inflation but significantly stronger to the output gap than the Bundesbank did. Theoretical considerations suggest that this stronger response to the output gap may rather be due to a higher interest rate sensitivity of the German output gap than to a higher weight given to output stabilisation in the objective function of the ECB. Counterfactual simulations based on the estimated interest rate reaction functions reveal that German interest rates would not have been lower under a hypothetical Bundesbank regime after 1999. However, this conclusion crucially depends on the assumption of an unchanged long-run real interest rate for the EMU period and is reversed when the Bundesbank reaction function is adjusted for the lower long-run real interest rate estimated for the ECB regime.
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Bernd HayoEmail: |
5.
Antonio Ribba 《Empirical Economics》2006,31(2):497-511
In this paper, by using a combination of long-run and short-run restrictions, we identify a small structural VECM which includes inflation, unemployment and the federal funds rate and study the dynamic interactions at different frequencies among these variables. Our results show that: (a) in accordance with the traditional view of economic fluctuations, aggregate demand shocks and monetary policy shocks push inflation and unemployment in opposite directions in the short run; (b) the permanent supply shock explains the long-run movement of inflation and unemployment. These conclusions are at odds with the prediction of “natural-rate” models but are consistent with the idea of a propagation mechanism which links productivity shocks to inflation and unemployment at medium and low frequencies. Thus, with respect to some recent studies (e.g. Beyer and Farmer, ECB Working Paper 121, 2002, and Ireland, J Monet Econ 44:279–291, 1999), we offer a different interpretation of the low-frequency comovements between inflation and unemployment characterizing the US economy in the last decades.
相似文献
Antonio RibbaEmail: |
6.
Philipp Engler Terhi Jokipii Christian Merkl Pablo Rovira Kaltwasser Lúcio Vinhas de Souza 《Empirica》2007,34(5):411-425
This paper analyzes the role of banks’ regulatory capitalization in the transmission of monetary policy. We use a confidential
dataset for Austrian banks spanning from the first quarter of 1997 to the fourth quarter of 2003. We find evidence that Austrian
banks react in an asymmetric way to monetary policy depending on their regulatory excess capitalization, i.e. low capitalized
banks react more restrictively to a monetary tightening than their highly capitalized peers.
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Lúcio Vinhas de SouzaEmail: |
7.
This paper studies the disequilibrium transition process engaged by increased openness to trade, and the effect of institutions,
market behaviors and economic policies on that transition. The issue is analyzed with a simple two country (north and south),
two goods model, amended in order to take into account the time dimension of both the production and the decision processes.
Investigating the consequences of a tariff decrease by means of numerical simulations, we show to what extent wage and price
setting, and the degree of tightness of monetary policy affect the outcome of the disequilibrium process. The main result
is that capturing the gains associated with international trade requires market behaviors and economic policies, which are
rather different from what is usually prescribed.
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Francesco SaracenoEmail: |
8.
The study aims to examine the impact of changes in policy variables namely, monetary aggregate (M1), exchange rate and interest
rate on two monetary goal variables, namely output and price level in Fiji from 1970 to 2006 by applying the procedures of
variance decomposition and impulse response functions. We conclude that the money channel is the most effective channel of
transmission mechanism among the three channels.
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Chee-Keong Choong (Corresponding author)Email: |
9.
Schmitt-Grohé and Uribe (NBER wp 10724, 2004b) analyzes the optimal, simple and implementable monetary policy rules in a medium-scale macromodel, as the one proposed by
Christiano et al. (J Polit Econ 113:1–45, 2005). In doing so, they use a sensible, but somewhat arbitrary constraint to account for the lower bound condition on the nominal
interest rate. In this work, we check the robustness of their main results to such a criteria. We find that the optimal policies
are actually absolutely robust to the easing of this criterion for all the different cases considered.
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Guido AscariEmail: |
10.
In this article we propose a two step procedure for modeling the propagation of financial shocks. The first step consists
in the estimation, by means of SWARCH models, of the conditional probability of being in a period of high volatility, while
in the second step such indicators are included in a structural simultaneous equations models for interdependences among different
countries. The results show that episodes of financial crisis effectively happened during periods of high volatility and that
such measures of instability are important in explaining the propagation of devaluation expectations between six European
Countries during the ERM period.
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Marta BevilacquaEmail: |
11.
Monthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration, corresponding to the
monthly but also to the quarterly and to the long-run or trending components of the series. In this paper we use a procedure
which is suitable to test simultaneously for the order of integration of each of these components and apply it to several
US monetary aggregates.
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Guglielmo Maria CaporaleEmail: |
12.
This paper estimates a cointegrated vector autoregressive (VAR) model for UK data on consumer prices, unit labour costs, import prices and real consumption growth. The estimated VAR indicates that the nominal variables are characterised by I(2) trends, and that a linear combination of these processes cointegrate to I(1). This supports an analysis in which I(1) and I(2) restrictions are imposed. A key finding is that an increase in real import prices reduces productivity adjusted real wages, such that the change in domestic inflation is moderated. This may explain why the depreciation of sterling in 1992 left inflation unchanged.
相似文献
Christopher BowdlerEmail: |
13.
Toshihiro Uchida 《International Advances in Economic Research》2007,13(1):47-64
There has been a growing interest among policy makers on the use of information disclosure policies for pollution control.
This paper theoretically assesses the consequences of information disclosure policies and identifies the conditions under
which such policies are likely to bring environmental improvements. Based on a dynamic game framework, the paper shows that
both eco-labeling and more general full information disclosure policies may not always result in pollution reduction. Full
information disclosure policies are likely to be effective if the product is not heavily polluting and if the minimum quality
standard is set quite low. The paper also identifies the conditions under which all consumers are strictly better off with
information disclosure policies.
相似文献
Toshihiro UchidaEmail: |
14.
It is well-known that endogenous cycles can occur in Ramsey models with heterogeneous households and borrowing constraints.
In this note, we address the issue of robustness in the more general case of endogenous labor supply and we explain the occurrence
of local indeterminacy under progressive taxation.
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Thomas Seegmuller (Corresponding author)Email: |
15.
Domenico D’Amico 《Constitutional Political Economy》2007,18(4):301-318
Buchanan’s reflections on monetary issues have been mostly neglected, despite their great interest both per se and for a deeper
understanding of his general constitutional endeavour. We will thus propose a comprehensive assessment of Buchanan’s writings
on this topic, focusing in particular on the different political models that have been developed to argue in favour of constitutional
constraints on the governmental power to create money and on the implications that one can draw from our author’s monetary
papers for the structure and the objectives of his constitutional discourse more generally.
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Domenico D’AmicoEmail: |
16.
Naa Anyeley Akofio-Sowah 《International Advances in Economic Research》2009,15(3):296-309
This paper investigates the relationship between the monetary regime: pegged, currency board, dollarization, and the exchange
rate pass-through for a sample consisting of 15 Sub-Saharan Africa countries and 12 Latin American countries. The research
findings about pass-through rates will shed light on the feasibility of a monetary union for Sub-Saharan Africa. The inclusion
of the latter country group was deemed desirable to explore pass-through behavior in several monetary regime options not often
used in Sub-Saharan Africa.
相似文献
Naa Anyeley Akofio-SowahEmail: |
17.
This study examines the impact of a stamp tax rate increase on market behavior, using data from two stock exchanges in China. We find that when the tax rate increases from 0.3 to 0.5% (which implies that the transaction cost increases by about 1/3) trading volume decreases by 1/3. This implies an elasticity of turnover with respect to a stamp tax of −50% and an elasticity of turnover with respect to transaction cost of −100%. The markets’ volatility significantly increases after the increase in the tax rate. Furthermore, the change in the volatility structure indicates that the markets become less efficient in the sense that shocks are less quickly assimilated in the markets.
相似文献
Badi H. Baltagi (Corresponding author)Email: |
Dong LiEmail: |
Qi LiEmail: |
18.
Dimitris K. Christopoulos 《Empirical Economics》2006,31(3):601-611
This paper uses non-linear models to investigate non-stationarity of real GDP per capita for seven OECD countries over the period 1900–2000. Unit root tests based on non-linear models are more powerful than traditional ADF statistics in rejecting the null unit root hypothesis. Empirical results show that, contrary to what the linear ADF statistics suggest, stationarity characterizes five out of the seven countries. This finding stands at variance with other recent studies which conclude that movements in real GDP per capita can be characterized as a non-stationary process.
相似文献
Dimitris K. ChristopoulosEmail: |
19.
It is quite often claimed by politicians that a common currency makes it beneficial to be also endowed with a common fiscal
policy. However, if fiscal policy can reasonably be considered to be a source of shocks, national fiscal policies which are
steered independently from each other are generally preferable because they allow the possibility to diversify macroeconomic
risks. Abstracting from automatic stabilizers, this view is valid independent on whether the ECB targets money growth or interest
rates.
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Daniel GrosEmail: |
20.
The remoteness and geography of Alaska create service access rigidities that are difficult to overcome. The delivery of basic
services like healthcare, police protection, and justice are often inadequate in rural places. The continued employment of
neoclassical assumptions in policy making is a primary reason policies fail to overcome the barriers. A broader scope of analysis
can inform the issues faced by rural residents and provide insight into alternate solutions.
相似文献
Tara NatarajanEmail: |