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Government Spending Shocks, Sovereign Risk and the Exchange Rate Regime

Bonam, Dennis; Lukkezen, Jasper - Tinbergen Instituut - 2013

Keynesian theory predicts output responses upon a fiscal expansion in a small open economy to be larger under fixed than floating exchange rates. We analyse the effects of fiscal expansions using a New Keynesian model and find that the reverse holds in the presence of sovereign default risk. By...

Persistent link: https://www.econbiz.de/10011257468

Modeling Monetary Policy

Reynard, Samuel; Schabert, Andreas - Tinbergen Instituut - 2009

We develop a macroeconomic framework where money issupplied against only few eligible securities in open marketoperations. The relationship between the policy rate,expected inflation and consumption growth is affected bymoney market conditions, i.e. the varying liquidity value ofeligible assets...

Persistent link: https://www.econbiz.de/10011256586

Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach

Willems, Tim - Tinbergen Instituut - 2009

As both the natural level of output and the New Keynesian output gap cannot be observed in practice, there is quite some debate on the question how these variables look like in practice. Rather than taking the standard approach of using a time trend or the HP-filter to obtain estimates of these...

Persistent link: https://www.econbiz.de/10011256869

Modelling and Simulation: An Overview

McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10011256964

Fiscal and Monetary Policy Coordination, Macroeconomic Stability, and Sovereign Risk

Bonam, Dennis; Lukkezen, Jasper - Tinbergen Instituut - 2014

In standard macroeconomic models, debt sustainability and price level determinacy are achieved when fiscal policy avoids explosive debt and monetary policy controls inflation, irrespective of the relative strengths of each policy stance. We examine how these policy requirements for equilibrium...

Persistent link: https://www.econbiz.de/10011272606

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10011256800

Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - Tinbergen Instituut - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10011257503

Individual Expectations and Aggregate Macro Behavior

Assenza, Tiziana; Heemeijer, Peter; Hommes, Cars; … - Tinbergen Instituut - 2013

heterogeneous expectations model with a performance-based evolutionary selection among heterogeneous forecasting heuristics to the …The way in which individual expectations shape aggregate macroeconomic variables is crucial for the transmission and … effectiveness of monetary policy. We study the individual expectations formation process and the interaction with monetary policy …

Persistent link: https://www.econbiz.de/10011257145

Basic Exchange Rate Theories

Marrewijk, Charles van - Tinbergen Instituut - 2005

expectations. We provide ample anecdotal, historical, and heuristic information on the goodness-of-fit of the various exchange rate …

Persistent link: https://www.econbiz.de/10011257400

Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Instituut - 2006

, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Persistent link: https://www.econbiz.de/10011256849