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1.
Summary. Economists have long argued that loan contracts should be indexed to remove the risks arising from fluctuations in the purchasing
power of money: indexation however while eliminating one risk, substitutes another, arising from fluctuations in relative
prices of goods. We present a theoretical framework which permits the relative merits of a nominal versus an indexed bond
to be assessed in a general equilibrium setting.
Received: July 31, 1995; revised version August 7, 1996 相似文献
2.
As the Spanish economy gets more integrated in international markets, the real exchange rate becomes a key determinant of the monetary transmission. In this paper we trace out the dynamic response of prices, output and the exchange rate following a monetary policy shock. We estimate a structural VAR model whose identification scheme is based on the long run properties common to a large class of models. The results suggest that a small model with efficient asset markets plus nominal inertia and long run monetary neutrality, captures the essential features of the monetary transmission mechanism in Spain. The interest rate shock is well identified and the exchange rate overshoots its long run value. There are no signs of liquidity puzzle nor of price puzzle or exchange rate puzzle either. 相似文献
3.
Kenneth J. Matheny 《Economic Theory》1998,11(2):379-402
Summary. To a greater extent than is often stressed in existing literature, preference assumptions affect responses to money shocks in equilibrium monetary models. Temporary money shocks can have persistent real effects if the marginal utility of leisure is a decreasing function of consumption, where leisure is measured as time endowment less market labor effort, and consumption refers to market produced goods. This condition is an empirically supported implication of home production models. Though not theoretically necessary for supporting the existence of short run real effects, the presence of distortionary taxes and endogenous productivity can have significant quantitative effects on responses to temporary money supply shocks. Received: August 21, 1996; revised version: February 3, 1997 相似文献
4.
M. Murat Arslan 《Bulletin of economic research》2013,65(Z1):s106-s129
I investigate the optimal monetary policy in a New Keynesian macroeconomic framework with the sticky information model of price adjustment. The model is solved for optimal policy, and welfare implications of three alternative monetary policy regimes under this optimal policy are compared when there is a cost‐push shock to the economy. These monetary policy regimes are the unconstrained policy, price‐level targeting and inflation targeting regimes. The results illustrate that optimal policy depends on the degree of price stickiness and the persistence of the shock. Inflation targeting emerges as the optimal policy if prices are flexible enough or the shock is persistent enough. However, the unconstrained policy or price‐level targeting might be preferable to inflation targeting if prices are not very flexible and the shock is not very persistent. The results also show that as prices become more flexible, the welfare loss usually gets bigger. 相似文献
5.
PIERRE‐RICHARD AGéNOR 《Journal of Economic Policy Reform》2013,16(2):083-108
This paper examines the exit process from adjustable pegs and exchange rate bands, and the role of capital flows in these exits. It dwells on the experience of various countries, including Chile, Colombia, Egypt, Israel, India, Poland, and Yemen. It begins by identifying conditions under which exits are sought. Next, it discusses the prerequisites for a successful exit, factors affecting the pace of exit, and the nature of the post‐exit regime. It then examines the behavior of private capital flows, interest rates, and official reserves before and after three successful exits (Chile, India, and Poland), and draws broad policy lessons. 相似文献
6.
This paper presents a comparison of alternative indicators of underlying or “core” inflation in the French case. Four broad
measures are considered and implemented. The first two are inflation excluding food and energy, and the trimmed inflation
indicator. We then implement two methods relying on time-series models: the Dynamic Factor Index and the structural VAR approach.
Each indicator stresses on a particular type of shock on the inflation rate, so that no simple ranking of the measures emerges.
Combining the various indicators conveys valuable information for appraising short term inflation developments. As regards
theoretical interpretation, no indicator is fully satisfactory, lacking an explicit representation of monetary policy. However,
comparing forecast performance with respect to inflation provides some specific support in favor of trimmed mean indicators.
First version received: January 2000/Final version received: March 2001 相似文献
7.
8.
Julio Dávila 《Economic Theory》1998,12(1):213-223
Summary. It is shown in this note that in an incomplete markets economy with uncountably many states of the world there may be uncountably many isolated equilibria as well as uncountably many non-isolated equilibria. Moreover, both subsets can be simultaneously of second category. Therefore, none of the subsets can be considered negligible with respect to the other, neither from a cardinality point of view nor from a topological one. Unfortunately, this fact prevents from claiming that these economies may have “typically” determinate equilibria – even though uncountably many of them – as would have been desirable for comparative statics exercises. Received: May 19, 1995; revised version: March 24, 1997 相似文献
9.
Summary. We show that when bankruptcy, subject to penalties, is allowed, it is possible to prove the existence of equilibrium in a model with a continuum of states without imposing any assumptions on ex-post endowments.Received: November 20, 1995; revised version: September 16, 1996This revised version was published online in February 2005 with corrections to the cover date. 相似文献
10.
This paper examines the consequences of introducing a cash-in-advance constraint into a small open economy business cycle
model for the Spanish case. A business cycle model is built extending Correia, Neves and Rebelo's (1995) small open economy
framework and Cooley and Hansen's (1995) monetary economy. Money is introduced through a cash-in-advance constraint. The stochastic
simulation of the model and its comparison to Spanish data show that the model is able to mimic i) the Dolado et al. puzzle,
that is, the high volatility of private consumption for this economy; ii) the Dunlop-Tarshis observation, i.e., the negative
correlation between real wages and hours worked; and iii) some cyclical features of the nominal dimension. 相似文献
11.
This paper is dedicated to analysing the conditions for weak exogeneity in partially nonstationary models. After adopting a particular identification regime which is based on a triangularization of the parameters of the cointegration relations, we show that the conditions for weak exogeneity developed in the literature can be stated in terms of the parameters of the so-called structural form. This alternative presentation of the conditions permits new interpretations and provides fresh insights on how to test the exogeneity hypothesis. 相似文献
12.
Pavel Kapinos 《Journal of Macroeconomics》2011,(4):620-633
This paper extends a standard New Keynesian model to describe the effects of anticipated shocks to inflation and forward-looking monetary policy. Using the data generated from this modified model suggests that overlooking these two factors in the standard Cholesky structural vector autoregressive identification scheme will generate a price puzzle. Furthermore, this paper demonstrates that failing to account for these two factors may result in significant estimates of two other explanations of the price puzzle—the cost channel of transmission of monetary policy and indeterminacy due to violation of the Taylor principle—even though neither features in the data generating process. 相似文献
13.
The research led by Gali (AER 1999) and Basu et al. (AER 2006) raises two important questions regarding the validity of the RBC theory: (i) How important are technology shocks in explaining the business cycle? (ii) Do impulse responses to technology shocks found in the data reject the assumption of flexible prices? Using an RBC model, this paper argues that the conditional impulse responses of the U.S. economy to technology shocks are not grounds to reject the notion that technology shocks are the main driving force of the business cycle and the assumption of flexible prices, in contrast with the conclusions reached by the literature. 相似文献
14.
We examine inflation and uncertainty in the UK with a version of the Markov Switching model, which allows for changes in the variance as well as in the mean and persistence of a series. We find that the UK’s attempts at exchange rate pegs in the form of shadowing the deutschmark and entering the ERM were ineffective, and in the latter case counterproductive in lowering inflation uncertainty. The 1981 budget, however, greatly lowered uncertainty, and the adoption of a formal inflation target also had a palpable, negative impact on inflation uncertainty. As a suggestive exercise, we examine inflation uncertainty in the US, and find that, over 2005–2008, in the absence of an inflation target, uncertainty rose in the US, while uncertainty remained low in the UK over this period of rising commodity prices and financial turmoil. 相似文献
15.
Summary. This paper formulates a model of commodity money that circulates by tale, and applies it to a variety of situations, some
of which seem to confirm, and others to contradict, `Gresham's Law'. We analyze how debasements could prompt decisions of
citizens voluntarily to participate in recoinages that subjected them to seigniorage taxes.
Received: December 19, 1994; revised version August 1, 1996 相似文献
16.
In this paper we analyze whether inflation targeting is feasible in Poland. There are at least three prerequisites for successful inflation targeting: 1) central bank independence, 2) a high degree of central bank accountability, transparency, and communication to the public, and 3) a predictable and stable relationship between inflation and the instruments of monetary policy. While the first two prerequisites are relatively easy to analyze, the third criterion requires formal statistical analysis, which we undertake in this paper. The first two prerequisites for targeting are found to be met in Poland, and the empirical analysis shows some evidence of significant relationships between inflation and monetary instruments in Poland. Hence inflation targeting appears feasible in Poland. 相似文献
17.
Horst Entorf 《Economics of Innovation and New Technology》2013,22(2-4):165-198
We study the impact on New Technologies (NT) on wages using a panel that matches data on individuals and on their firms. In his article on the same topic, Krueger (1993) did not give a definitive answer to the following question: if workers who use NT are better paid, is it because they are abler or because NT increases their productivity. We try to provide an answer to this question. Comparing cross-section estimates and individual fixed-effect estimates, we show that computer-based new technologies are used by abler workers. These workers learn and become more productive when they get more experienced with these NT. In terns of wage differentials, the introduction of computer-based NT contributes to a small increase. The use of firm-level data does not modify these conclusions. 相似文献
18.
Summary. We study sunspot immunity in a dynamic monetary economy in which consumers are allowed to trade put and call option contracts on the general price level. We define the concept of strong sunspot immunity to characterize economies that have no sunspot equilibria regardless of the number of extrinsic states and their probabilities of occurrence. We show that a small number of option contracts can make an economy strongly sunspot immune. In addition, we demonstrate how asset re-trading opportunities, and the associated capital gains and losses, reduce the number of options needed for this result to obtain. Received: August 13, 1996; revised version: January 20, 1997 相似文献
19.
Abstract. Existing literature has studied the growth effects of fiscal policy in models with full-employment. The aim of this paper
is to study these growth effects in an endogenous growth model with unemployment and compare them with the effects obtained
when there is full-employment. To this end, we assume that unemployment arises due to the existence of unions. We also assume
that the government finances, by means of income taxes, both public capital and an unemployment benefit. Public capital increases
total factor productivity and modifies the elasticity of the labor demand. We show that the effects of fiscal policy on both
employment and growth crucially depend on the relation between this elasticity and public capital.
We would like to thank Jordi Caballé, Fernando Sánchez, Manuel Santos and an anonymous referee for their helpful comments.
Sorolla is grateful for financial support to Spanish Ministry of Education through DGICYT grant SEC2000-0684 and to Generalitat
de Catalunya through grant SGR2001-164. Raurich is grateful to Universitat de Girona for financial support through grant 9100075. 相似文献
20.
Summary. This paper reports on the use of laboratory experimental techniques to create relatively complete economic systems. The creation of these market systems reflects a first attempt to explore the nature of inherently interdependent environments and to assess the ability of simultaneous equations equilibrium models like the classical static general competitive equilibrium model, to predict aspects of system behaviors. In addition, the impact of the quantity of a fiat money was studied. The economies were successfully created. Classical models capture much of what was observed. Received: May 21, 1996; revised version: May 21, 1997 相似文献