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Inflation targeting and monetary analysis in Chile and Mexico

Sanchez-Fung, Jose R - Royal Economic Society - RES - 2003

This paper studies the role of monetary and open economy indicators in inflation targeting (IT) economies through the analysis of a nested Phillips curve/ P-star model for Chile and Mexico. For Chile a real money gap and a money growth indicator are found to be relevant in predicting deviations...

Persistent link: https://www.econbiz.de/10005577133

The price-price Phillips curve in small open economies and monetary unions: Theory and empirics

Vaona, Andrea - 2014

This paper extends the efficiency wages/partially adaptive expectations Phillips curve, otherwise known as the price-price Phillips curve, from a closed economy context to an open economy one with both commodity trade and capital mobility. We also consider the case of a monetary union (a...

Persistent link: https://www.econbiz.de/10010332011

The discretization filter : a simple way to estimate nonlinear state space models

Farmer, Leland E. - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 41-76

Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of...

Persistent link: https://www.econbiz.de/10012432773

On the Temporal Causal Relationship between Macroeconomic Variables: Empirical Evidence from India

P., Srinivasan; M., Kalaivani - Volkswirtschaftliche Fakultät, … - 2013

bounds test for cointegration, Johansen and Juselius (1990) multivariate cointegration test, Granger causality …

Persistent link: https://www.econbiz.de/10011112036

Bank-lending standards, the cost channel and inflation dynamics

Kaufmann, Sylvia; Scharler, Johann - 2009

If firms borrow working capital to finance production, then nominal interest rates have a direct influence on inflation dynamics, which appears to be the case empirically. However, interest rates may only partly mirror the cost of working capital. In this paper we explore the role of bank...

Persistent link: https://www.econbiz.de/10009239701

Bank-lending standards, loan growth and the business cycle in the Euro area

Kaufmann, Sylvia; Scharler, Johann - 2013

We study the relationship between bank lending standards, loan growth and the business cycle in the euro area and the US within a vector error correciton model using Bayesian estimation methods. To deal with the short data series available for the euro area, we exploit information from the...

Persistent link: https://www.econbiz.de/10010197600

A new model for money demand in Denmark: money demand in a negative interest rate environment

Hensch, Jonas Ladegaard - 2019

Within a cointegrated VAR framework I show that the traditional money-demand relation, determined by a transaction effect and the opportunity cost of holding money, can no longer explain the recent development of monetary aggregates in Denmark. Instead, I argue that the introduction of housing...

Persistent link: https://www.econbiz.de/10011986409

The quantity theory of money, 1870-2020

Jung, Alexander - 2024

cointegration tests show that the long-run relationship between excess money growth and inflation holds if longer runs of data are …

Persistent link: https://www.econbiz.de/10014558771

A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators

Panopoulou, E. - Department of Economics, National University of Ireland - 2005

This paper attempts a resolution of the Fisher effect puzzle in terms of estimator choice. Using both short-term and long-term interest rates for 14 OECD countries, we find ample evidence supporting the existence of a long-run Fisher effect in which interest rates move oneto- one with inflation....

Persistent link: https://www.econbiz.de/10005656667

residual-Based Tests for Cointegration in Models with Regime Shifts

w. Gregory, Allan; Hansen, Bruce E. - 1992

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented … Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of … cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope …

Persistent link: https://www.econbiz.de/10011940524