Estimation of forward-looking interest rate rules is ubiquitous in the context of developed economy central banks. This paper considers the five countries in Latin America that have adopted the Inflation Targeting framework and performs estimations of forward-looking rules via i) standard...

Using a macro-econometric model that is specified for the current Chinese economy, we investigate the performance of monetary policy in China with the assumption (which anyway will occur in the near future) that capital market was opened. Our purpose is to find how the monetary authority should...

This paper sets out first, to quantify the stabilization gains from commitment in terms of household welfare and second, to examine how commitment to an optimal or approximately optimal rule can be sustained as an equilibrium in which reneging hardly ever occurs. We utilize an influential...

This paper integrates the literature of Mortgage Design with that of Rotating Savings and Credit Associations (ROSCAs) to present a novel way of mortgage financing (with a zero interest rate) using cooperatives. This mode of financing dissipates credit (default) risk better than the normal mode...

The last couple of decades has witnessed a growing interest in hedge funds. Academics and practitioners are intrigued by the distinct characteristics of these investment vehicles: hedge funds are flexible with respect to the types of securities they hold and the type of positions they take; they...

Understanding the value a customer has to a business is a fundamental problem. Accurate valuations are critical for setting appropriate levels of investment for targeted marketing and for the setting of individual customer service levels. Traditionally semi-qualitative methods using results from...

We consider one-period maximin portfolios to hedge the interest-rate risk of default-free and option-free bond portfolios. Our framework allows for general changes on the interest rates, and neither requires the specification of the yield curve dynamic nor the estimation of a model. We make...

We use parametric power ARCH models of the conditional variance of inflation and monthly data in Germany, the Netherlands and Sweden for the period 1962-2004 to examine the relationship between inflation and inflation uncertainty. In two out of the three countries inflation significantly raises...

This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian:...

This paper aims at contributing to the research agenda on the sources of price stickiness, showing that the adoption of nominal price rigidity may be an optimal firms' reaction to the consumers' behavior, even if firms have no adjustment costs. With regular broadly accepted assumptions on...