A popular view is that the surge in the price of oil during 2003-08 cannot be explained by economic fundamentals, but was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major determinant of the spot price of oil. This interpretation...

<section xml:id="fut21674-sec-0001"> We assess the causes and implications of the greater financial participation in commodity markets post‐2003. Focusing on crude oil, we build a calibrated macro‐finance model of oil prices and quantities that also determines consumer welfare. We show that shifts in the preferences and...</section>

The main purpose of this paper is to review the evolution of OPEC models and to link this evolution to some key events in the oil market. Our main conclusion is that OPEC’s pricing power varies over time. In many instances, OPEC can lose power to limit oil price movements in either direction....

This paper is a case study of the real world monetary policy data uncertainty problem. The initial and the latest release for growth rates of the distribution, hotels and catering sector are combined with official data on household income and two surveys in a state-space model. Though important...

There is now an impetus to apply dynamic stochastic general equilibrium models to forecasting. But these models typically rely on purpose-built data, for example on tradable and nontradable sector outputs. How then do we know that the model will forecast well, in advance? We develop an early...

Over 80% of countries using explicit inflation targets in 2000 were doing so either as part of a disinflation strategy, or when inflation was neither low nor stable. Our illustrative theoretical model suggests annual revisions to short-run targets are endogenous to inflation outcomes during...

There is now an impetus to apply dynamic stochastic general equilibrium models to forecasting. But thesemodels typically rely on purpose-built data, for example on tradable and nontradable sector outputs.How then do we know that the model will forecast well, in advance? We develop an early...

Systemic risk among the network of international banking groups arises when financial stress threatens to crisscross many national boundaries and expose imperfect international coordination. To assess this risk, we use Rosvall and Bergstrom’s (PNAS, 2008, 1118-1123) information theoretic...

Systemic risk among the network of international banking groups arises when financial stress threatens to crisscross many national boundaries and expose imperfect international coordination. To assess this risk, we consider three decades of data on the cross-border interbank market. We use...

In this document we lay out the microeconomic foundations of a dynamic stochastic general equilibrium model, called Policy Analysis Tool Applied to Colombian Needs (PATACON), designed as a forecast tool and as a guide to advise monetarypolicy authorities in Colombia. In companion documents we...