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Activist stabilization policy and inflation: The Taylor rule in the 1970s
Orphanides, Athanasios - Center for Financial Studies - 2002
A number of recent studies have suggested that activist stabilization policy rules responding to inflation and the … output gap can attain simultaneously a low and stable rate of inflation as well as a high degree of economic stability. The …
Persistent link: https://www.econbiz.de/10010958738
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Opting out of the great inflation: German monetary policy after the break down of Bretton Woods
Beyer, Andreas; Gaspar, Vítor; Gerberding, Christina; … - Center for Financial Studies - 2008
interpreted, first and foremost, as a commitment device. In our setting, a monetary target helps anchoring inflation and inflation … well as a strong response to deviations of inflation from target and to the activity growth gap. In contrast, the response …
Persistent link: https://www.econbiz.de/10010986410
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Opting out of the Great Inflation: German Monetary Policy after the Break Down of Bretton Woods
Beyer, Andreas; Gaspar, Vítor; Gerberding, Christina; … - Center for Financial Studies - 2009
interpreted, first and foremost, as a commitment device. In our setting, a monetary target helps anchoring inflation and inflation … well as a strong response to deviations of inflation from target and to the activity growth gap. In contrast, the response …
Persistent link: https://www.econbiz.de/10005007633
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Multivariate normal mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
We present a multivariate generalization of the mixed normal GARCH model proposed in Haas, Mittnik, and Paolella (2004a). Issues of parametrization and estimation are discussed. We derive conditions for covariance stationarity and the existence of the fourth moment, and provide expressions for...
Persistent link: https://www.econbiz.de/10010958777
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008
We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...
Persistent link: https://www.econbiz.de/10010986398
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Asymmetric multivariate normal mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2008
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...
Persistent link: https://www.econbiz.de/10010986460
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Asymmetric Multivariate Normal Mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Mark S. - Center for Financial Studies - 2008
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...
Persistent link: https://www.econbiz.de/10005007626
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Multivariate Normal Mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
We present a multivariate generalization of the mixed normal GARCH model proposed in Haas, Mittnik, and Paolella (2004a). Issues of parametrization and estimation are discussed. We derive conditions for covariance stationarity and the existence of the fourth moment, and provide expressions for...
Persistent link: https://www.econbiz.de/10005138847
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Multivariate Regime–Switching GARCH with an Application to International Stock Markets
Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008
We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...
Persistent link: https://www.econbiz.de/10005176449
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Learning, endogenous indexation and disinflation in the New-Keynesian model
Wieland, Volker - Center for Financial Studies - 2008
disinflation under inflation targeting policies. The analysis is motivated by the disinflation performance of many inflation … episode price-setting firms' expect inflation to be highly persistent and opt for backward-looking indexation. As the central … bank acts to bring inflation under control, price-setting firms revise their estimates of the degree of persistence. Such …
Persistent link: https://www.econbiz.de/10011200313