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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
increases in G3 liquidity, and the difference increases over time. Over 1999-2012 BRIC liquidity is strongly linked with global … energy prices and global real activity whereas G3 liquidity is not. The impact of BRIC liquidity on mineral and metal prices … liquidity and commodity prices are cointegrated. BRIC and G3 liquidity and global output and global prices are cointegrated. We …
Persistent link: https://www.econbiz.de/10010904248
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An Estimated DSGE Model with a Deflation Steady State
Hirose, Yasuo - Crawford School of Public Policy, Australian National … - 2014
Benhabib, Schmitt-Grohé, and Uribe (2001) argue for the existence of a deflation steady state when the zero lower bound on the nominal interest rate is considered in a Taylor-type monetary policy rule. This paper estimates a medium-scale DSGE model with a deflation steady state for the Japanese...
Persistent link: https://www.econbiz.de/10010904320
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Understanding Financial Crises: Causes, Consequences, and Policy Responses
Claessens, Stijn; Kose, M. Ayhan; Laeven, Luc; … - Crawford School of Public Policy, Australian National … - 2013
The global financial crisis of 2007-09 has led to an intensive research program analyzing a wide range of issues …
Persistent link: https://www.econbiz.de/10011185997
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Financial Crises: Explanations, Types and Implications
Claessens, Stijn; Kose, M. Ayhan - Crawford School of Public Policy, Australian National … - 2013
This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper...
Persistent link: https://www.econbiz.de/10011186013
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Prudential Capital Controls or Bailouts? The Impact of Different Collateral Constraint Assumptions
Katagiri, Mitsuru; Kato, Ryo; Tsuruga, Takayuki - Crawford School of Public Policy, Australian National … - 2014
A fast growing literature on small open economy models with pecuniary externalities has provided the theoretical grounds for the policy analysis of macro prudential regulations. Using the framework of Jeanne and Korinek (2010), we investigate whether a subsidy on debt during crises as a form of...
Persistent link: https://www.econbiz.de/10010904304
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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
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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
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A PHILLIPS CURVE FOR CHINA
Scheibe, Joerg; Vines, David - Crawford School of Public Policy, Australian National … - 2005
This paper models Chinese inflation using an output gap Phillips curve. Inflation modelling for the world's sixth largest economy is a still under-researched topic. We estimate a partially forward-looking Phillips curve as well as traditional backward-looking Phillips curves. Using quarterly...
Persistent link: https://www.econbiz.de/10010860366
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Cyclical Changes in Firm Volatility
Veirman, Emmanuel De; Levin, Andrew T. - Crawford School of Public Policy, Australian National … - 2011
We estimate changes in the volatility of firm-level sales, earnings and employment growth of US firms. Our method differs from existing measures for firm-level sales and employment volatility in that it not only captures longer-run changes in volatility, but also measures cyclical changes in...
Persistent link: https://www.econbiz.de/10011186024
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OPEC and non-OPEC oil production and the global economy
Ratti, Ronald A.; Vespignani, Joaquin L. - Crawford School of Public Policy, Australian National … - 2014
OPEC” period. OPEC oil production responds significantly to positive innovations in global GDP throughout. Over 1997:Q1 … consistent with important changes in the global oil market. …
Persistent link: https://www.econbiz.de/10011031846