This paper considers the costs and benefits of Sweden joining the European Economic and Monetary Union (EMU).  We pay particular attention to the costs of abandoning the krona in terms of a loss of monetary policy independence.  For this purpose, we apply a cointegrated VAR framework to...

In this paper, the monetary policy independence of European nations in the years before European Monetary Union (EMU) is investigated using cointegration techniques.  Daily data is used to assess pairwise relationships between individual EMU nations and 'lead' nation Germany, to assess the...

In this paper we modify the method of Blanchard and Quah (1989) in order to estimate a structural VAR model appropriate for a small open economy. In this way we identify shocks to output and prices in the members of the two monetary unions that make up the African CFA Franc Zone. The costs of...

We analyze the international transmission of interest rates under pegged and non-pegged exchange rate regimes, demonstrating that transmission depends upon the informational properties of a base country`s interest rate change. We differentiate between interest rate movements which are...

Inflation is a far from homogeneous phenomenon, a fact often neglected in modeling consumer price inflation.  Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates), are modeled separately and forecast,...

Unrestricted reduced form vector autoregressive (VAR) models have become a dominant research strategy in empirical macroeconomics since Sims (1980) critique of traditional macroeconometric modeling. They are however subjected to the curse of dimensionality. In this paper we propose...

Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates, or CPIX) for South Africa are modeled separately...

Structural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics, but suffer from the large number of parameters employed and the resulting estimation uncertainty associated with their impulse responses. In this paper we propose...

We build a 4-equation model of the inflation process in South Africa (which has recently adopted inflation targeting), including the exchange rate, consumer prices, producer price, and import prices. This provides useful information on the speed and extent of exchange rate pass-through, and...

There is an implicit consensus that 1930s exchange-rate regimes can be characterised as some variant of 'floating'.  This paper applies an adaptation of modern methodologies of exchange-rate regime classification to a panel of 47 countries in weekly observations between January 1919 and August...