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Financial Frictions and Credit Spreads
Pang, Ke; Siklos, Pierre L. - College of Business and Economics, Australian National … - 2010
This paper uses the credit-friction model developed by C´urdia and Woodford, in a series of papers, as the basis for attempting to mimic the behavior of credit spreads in moderate as well as in times of crisis. We are able to generate movements in representative credit spreads that are, at...
Persistent link: https://www.econbiz.de/10008672013
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Financial Frictions and Credit Spreads
Pang, Ke; Siklos, Pierre L. - Česká Národní Banka - 2010
This paper uses the credit-friction model developed by Curdia and Woodford, in a series of papers, as the basis for attempting to mimic the behavior of credit spreads in moderate as well as crisis times. We are able to generate movements in representative credit spreads that are, at times, both...
Persistent link: https://www.econbiz.de/10009645621
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Financial Frictions and Credit Spreads
Pang, Ke; Siklos, Pierre L. - Crawford School of Public Policy, Australian National … - 2010
This paper uses the credit-friction model developed by C´urdia and Woodford, in a series of papers, as the basis for attempting to mimic the behavior of credit spreads in moderate as well as in times of crisis. We are able to generate movements in representative credit spreads that are, at...
Persistent link: https://www.econbiz.de/10010607765
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Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle
Castelnuovo, Efrem - Dipartimento di Scienze Economiche "Marco Fanno", … - 2009
We assess the time-varying money's role in the post-WWII U.S. business cycle by estimating a new-Keynesian framework … policymakers to money growth. Rolling-window Bayesian estimations a la Canova (2009) are contrasted to a full sample fixed …-coefficient investigation. Our results suggest that the assumption of stable parameters is unwarranted. The omission of money may induce biased …
Persistent link: https://www.econbiz.de/10008533554
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Monetary aggregates as indicators of economic activity in Canada: empirical evidence
Siklos, Pierre L.; Barton, Andrew G. - In: Canadian Journal of Economics 34 (2001) 1, pp. 1-17
Empirical evidence linking monetary aggregates to variables such as inflation and economic growth has weakened over the past two decades. In this study we re-examine these relationships by creating composite monetary aggregates that switch among existing monetary aggregates, using quarterly data...
Persistent link: https://www.econbiz.de/10005111455
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Macroeconomic consequences of the real-financial nexus: Imbalances and spillovers between China and the U.S.
Pang, Ke; Siklos, Pierre L. - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2015
Relying on quarterly data since 1998 we estimate, for China and the U.S., small scale econometric models that economize on the number of variables employed and yet are rich enough to provide useful insights about spillover effects between the two countries under different maintained assumptions...
Persistent link: https://www.econbiz.de/10011145558
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Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation
Siklos, Pierre L. - Institute for Monetary and Economic Studies, Bank of Japan - 2010
Central to the conduct of monetary policy is the preparation and evaluation of inflation forecasts. Inflation forecast are, however, not unique. Central banks, professional organizations, international institutions, households and firms also generate forecasts of inflation, among other...
Persistent link: https://www.econbiz.de/10008725884
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What's in a Second Opinion? Shadowing the ECB and the Bank of England
Neuenkirch, Matthias; Siklos, Pierre L. - Crawford School of Public Policy, Australian National … - 2013
One way of evaluating how well monetary authorities perform is to provide the public with a regular and independent second opinion. The European Central Bank (ECB) and the Bank of England (BoE) are shadowed by professional and academic economists who provide a separate policy rate recommendation...
Persistent link: https://www.econbiz.de/10010693088
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How Monetary Policy is made: Two Canadian Tales
Siklos, Pierre L.; Neuenkirch, Matthias - Crawford School of Public Policy, Australian National … - 2014
We examine policy rate recommendations of the Bank of Canada’s Governing Council (GC) and its shadow, the C.D. Howe Institute’s Monetary Policy Council (MPC). Individual recommendations of the MPC are observed but not those of the GC. Differences in the two committee’s recommendations are...
Persistent link: https://www.econbiz.de/10010860362
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Sources of disagreement in inflation forecasts: An international empirical investigation
Siklos, Pierre L. - In: Journal of International Economics 90 (2013) 1, pp. 218-231
Central to the conduct of monetary policy are inflation forecasts. Inflation forecasts are not unique. Central banks and professional organizations generate inflation forecasts while households are surveyed about their inflation outlook. This paper estimates inflation forecast disagreement for...
Persistent link: https://www.econbiz.de/10010664765