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Multi-assets real options
Smeers, Yves; Gahungu, Joachim - Center for Operations Research and Econometrics … - 2009
Real options present a wide topic in investment litterature nowadays. However, despite bigadvances in the single asset investment pricing, the theory is miser of informations aboutproblems involving more than one asset. We show in this paper that using dynamic programming,one can find an...
Persistent link: https://www.econbiz.de/10005868504
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International Policy Coordination and Simple Monetary Policy Rules
Berger, Wolfram; Wagner, Helmut - Fernuniversität <Hagen> / Fakultät für … - 2008
This paper studies the optimal design of monetary policy in an optimizing two-country sticky price model. We suppose that the production sequence of final consumption goods stretches across both contries and is associated with vertical trade. Prices of final consumption goods are sticky in the...
Persistent link: https://www.econbiz.de/10009022098
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Globalization and Asset Prices: Which Trade-Offs Do Central Banks Face in Small Open Economies?
Knütter, Rolf; Wagner, Helmut - Fernuniversität <Hagen> / Fakultät für … - 2008
How can globalization affect the optimal choice of monetary policy strategy during asset price booms in a small open economy? Globalization can have an impact on both the supply and the demand side of the economy. Focusing on the supply side of globalization, it has been shown that a flattening...
Persistent link: https://www.econbiz.de/10005867565
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Zentralbank-Kommunikation und Finanzstabilität –Eine Bestandsaufnahme
Knütter, Rolf; Mohr, Benjamin - Fernuniversität <Hagen> / Fakultät für … - 2008
Die Studie geht der Frage nach, welche Auswirkungen Zentralbank-Kommunikation auf Finanzstabilität haben kann. Wir … legen die grundlegendenKonzepte der Finanzstabilität sowie der Zentralbank-Kommunikation dar, indem wireinen Überblick über … diskutieren und Schlussfolgerungenim Hinblick auf die Fragestellung zu ziehen, ob Zentralbank-Kommunikation dieFinanzmärkte …
Persistent link: https://www.econbiz.de/10005867591
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Forecasting the direction of policy rate changes:The importance of ECB words
Rosa, Carlo - Center for Operations Research and Econometrics … - 2009
This paper evaluates the predictive power of different information sets for the European Central Bank(ECB) interest rate setting behavior. We employ an ordered probit model, i.e. a limited dependent variableframework, to take into account the discreteness displayed by policy rate changes. The...
Persistent link: https://www.econbiz.de/10005868657
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Assessing Changes in the Monetary Transmission Mechanism: A VAR Approach
Boivin, Jean; Giannoni, Marc Paolo - Columbia University <New York, NY> / Department of Economics; …
Several authors have documented a reduced variability ofoutput and inflation in the United States since the beginningof the 1980s.1 In fact, a comparison of the 1980:1-2001:2 periodwith the two preceding decades shows that the standarddeviation of quarterly output growth has fallen 30...
Persistent link: https://www.econbiz.de/10005869377