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Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach

Ratti, Ronald A.; Vespignani, Joaquin L. - Crawford School of Public Policy, Australian National … - 2014

This paper investigates the influence of liquidity in the major developed and major developing economies on commodity … prices. Liquidity is taken to be M2. A novel finding is that unanticipated increases in the BRIC countries’ liquidity is … increases in G3 liquidity, and the difference increases over time. Over 1999-2012 BRIC liquidity is strongly linked with global …

Persistent link: https://www.econbiz.de/10010904248

Understanding the Deviations of the Taylor Rule: A New Methodology with an Application to Australia

Hudson, Kerry B.; Vespignani, Joaquin L. - Crawford School of Public Policy, Australian National … - 2014

This investigation aims to explain and quantify the deviations of the Taylor Rule. A novel three-step econometric procedure designed to reflect the data-rich environment in which central banks operate is proposed using information for 229 macroeconomic series. This procedure can be applied to...

Persistent link: https://www.econbiz.de/10011099009

Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks

Nason, James M.; Tallman, Ellis W. - Crawford School of Public Policy, Australian National … - 2012

This paper explores the hypothesis that the sources of economic and financial crises differ from non-crisis business cycle fluctuations. We employ Markov-switching Bayesian vector autoregressions (MS-BVARs) to gather evidence about the hypothesis on a long annual U.S. sample running from 1890 to...

Persistent link: https://www.econbiz.de/10011201582

Financial Frictions and Credit Spreads

Pang, Ke; Siklos, Pierre L. - Crawford School of Public Policy, Australian National … - 2010

This paper uses the credit-friction model developed by C´urdia and Woodford, in a series of papers, as the basis for attempting to mimic the behavior of credit spreads in moderate as well as in times of crisis. We are able to generate movements in representative credit spreads that are, at...

Persistent link: https://www.econbiz.de/10010607765

Inflation Volatility and the Inflation-Growth Tradeoff in India

Jha, Raghbendra; Kulkarni, Varsha S. - Crawford School of Public Policy, Australian National … - 2012

This paper amends the New Keynesian Phillips curve model to include inflation volatility and tests the determinants of such volatility for India. It provides results on the determinants of inflation volatility and expected inflation volatility for OLS and ARDL (1,1) models and for change in...

Persistent link: https://www.econbiz.de/10011201603

Deep Habits in the New Keynesian Phillips Curve

Lubik, Thomas A.; Teo, Wing Leong - Crawford School of Public Policy, Australian National … - 2012

We derive and estimate a New Keynesian Phillips curve (NKPC) in a model where consumers are assumed to have deep habits. Habits are deep in the sense that they apply to individual consumption goods instead of aggregate consumption. This alters the NKPC in a fundamental manner as it introduces...

Persistent link: https://www.econbiz.de/10011201631

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

Mertens, Elmar; Nason, James M - Crawford School of Public Policy, Australian National … - 2015

This paper studies the joint dynamics of U.S. inflation and the average inflation predictions of the Survey of Professional Forecasters (SPF) on a sample running from 1968Q4 to 2014Q2. The joint data generating process (DGP) of these data consists of the unobserved components (UC) model of Stock...

Persistent link: https://www.econbiz.de/10011203192

The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling

Chan, Joshua C.C. - Crawford School of Public Policy, Australian National … - 2015

This paper generalizes the popular stochastic volatility in mean model of Koopman and Hol Uspensky (2002) to allow for time-varying parameters in the conditional mean. The estimation of this extension is nontrival since the volatility appears in both the conditional mean and the conditional...

Persistent link: https://www.econbiz.de/10011203194

Inflation, Macroeconomic Policy and Hunger: A Variation on a Theme by C. Rangarajan

Jha, Raghbendra - Crawford School of Public Policy, Australian National … - 2010

This paper re-emphasizes the importance of price stability as a tool for macroeconomic policy and make it more specific by considering a typically (unanticipated) advantage of stabilizing the Consumer Price Index (CPI). I briefly review the recent economic growth performance of the Indian...

Persistent link: https://www.econbiz.de/10008861942

Inflation variability and the relationship between inflation and growth

Jha, Raghbendra; Dang, Tu - Crawford School of Public Policy, Australian National … - 2011

We examine the effect of inflation variability and economic growth using annual historical data on both developing and developed countries. The data cover 182 developing countries and 31 developed countries for the period 1961-2009. Proxying inflation variability by the five-year coefficient of...

Persistent link: https://www.econbiz.de/10009274828