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Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …

Persistent link: https://www.econbiz.de/10009636551

Macroeconomic modelling of monetary policy

Klaeffling, Matt - 2003

prior theory and yet it encompasses all standard DSGE models. After introducing this new paradigm I study US monetary policy …

Persistent link: https://www.econbiz.de/10009635920

Estimating the rank of the spectral density matrix

Camba-Mendez, Gonzalo; Kapetanios, George - 2004

The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive deﬁnite matrix estimate...

Persistent link: https://www.econbiz.de/10009639403

Forecasting inflation with thick models and neural networks

McNelis, Paul; McAdam, Peter - 2004

This paper applies linear and neural network-based “thick” models for forecasting inflation based on Phillips–curve formulations in the USA, Japan and the euro area. Thick models represent “trimmed mean” forecasts from several neural network models. They outperform the best performing...

Persistent link: https://www.econbiz.de/10009639406

Inflation persistence in the European Union, the euro area, and the United States

Gadzinski, Gregory; Orlandi, Fabrice - 2004

In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence across the board. In particular we find euro area...

Persistent link: https://www.econbiz.de/10009639474

Monetary policy shocks

Klaeffling, Matt - 2003

VAR studies of the effects of monetary policy on output suggest that a contractionary impulse results in a drawn-out, hump-shaped response of output. Standard structural economic models are generally not able to reproduce such a response. In this paper I look at nonfundamental representations...

Persistent link: https://www.econbiz.de/10009639839

Asymmetric dynamics in the correlations of global equity and bond returns

Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - 2003

Persistent link: https://www.econbiz.de/10009639863

Financial factors in economic fluctuations

Christiano, Lawrence; Motto, Roberto; Rostagno, Massimo - 2010

We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...

Persistent link: https://www.econbiz.de/10009640348

Monetary policy shocks and portfolio choice

Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - 2009

The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...

Persistent link: https://www.econbiz.de/10009640457

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying inﬂation to formulate monetary policy and assist in forecasting observed inﬂation. Recent work has concentrated on modelling large datasets using...

Persistent link: https://www.econbiz.de/10009639462