Showing 1 - 10 of 51
The New Keynesian Phillips Curve is at the centre of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...
Persistent link: https://www.econbiz.de/10005662190
This chapter highlights the problems that structural methods and SVAR approaches have when estimating DSGE models and examining their ability to capture important features of the data. We show that structural methods are subject to severe identification problems due, in large part, to the nature...
Persistent link: https://www.econbiz.de/10005662393
A smooth progression from Stage Two to Stage Three of EMU requires that the type of policy planned for Stage Three should be foreshadowed in Stage Two. Two possibilities for that policy are monetary targeting or an interest rate policy feeding back on a nominal variable. The paper re-examines...
Persistent link: https://www.econbiz.de/10005666415
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods period, consistent with a theoretical literature on transaction costs in international arbitrage. The half lives of real exchange rate shocks, calculated through Monte Carlo integration, imply...
Persistent link: https://www.econbiz.de/10005666576
In this Paper we assess the progress made by the profession in understanding whether and how exchange rate intervention works. To this end, we review the theory and evidence on official intervention, concentrating primarily on work published within the last decade or so. Our reading of the...
Persistent link: https://www.econbiz.de/10005666659
Data sharing is common practice in forecasting experiments in situations where fresh data samples are difficult or expensive to generate. This means that forecasters often analyze the same data set using a host of different models and sets of explanatory variables. This practice introduces...
Persistent link: https://www.econbiz.de/10005666706
We investigate identification issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model-based impulse responses. Observational equivalence, partial and weak identification problems are...
Persistent link: https://www.econbiz.de/10004990850
I examine the effectiveness of exchange rate intervention within the context of a Markov-switching model for the real exchange rate. The probability of switching between stable and unstable regimes depends non-linearly upon the amount of intervention, the degree of misalignment and the duration...
Persistent link: https://www.econbiz.de/10005789130
Recent tests for the convergence hypothesis derive from regressing average growth rates on initial levels: a negative initial level coefficient is interpreted as convergence. These tests turn out to be plagued by Francis Galton's classical fallacy of regression towards the mean. Using a dynamic...
Persistent link: https://www.econbiz.de/10005791236
This Paper asks the question of the impact of institutions on trade and tries to estimate the potential for trade increase between CIS, Central Eastern European countries and the EU. The latter is computed using the gravity equation and the procedure introduced by Hausman and Taylor (1981). It...
Persistent link: https://www.econbiz.de/10005791826