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Comparing the delegation of monetary and fiscal policy

Wren-Lewis, Simon - Department of Economics, Oxford University - 2011

The apparent success of independent central banks in conducting monetary policy has led many to argue that some form of policy delegation should also be applied to the macroeconomic aspects of fiscal policy. A number of countries have recently established Fiscal Councils, although their role...

Persistent link: https://www.econbiz.de/10008852053

Electoral Uncertainty, the Deficit Bias and the Electoral Cycle in a New Keynesian Economy

Wren-Lewis, Simon; Leith, Campbell - Department of Economics, Oxford University - 2009

Recent attempts to incorporate optimal fiscal policy into New Keynesian models subject to nominal inertia, have tended to assume that policy makers are benevolent and have access to a commitment technology. A separate literature, on the New Political Economy, has focused on real economies...

Persistent link: https://www.econbiz.de/10008495880

Fiscal Sustainability in a New Keynesian Model

Wren-Lewis, Simon; Leith, Campbell - Department of Economics, Oxford University - 2007

Most recent work deriving optimal monetary policy utilising New Neo-Classical Synthesis (NNCS) models abstract from the impact of monetary policy on the government`s finances, by assuming that any change in the government`s budget can be financed through lump sum taxes. In this paper, we assume...

Persistent link: https://www.econbiz.de/10005047814

A wavelet approach to multiple cointegration testing

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables. Small sample quantiles for these wavelet statistics are obtained …

Persistent link: https://www.econbiz.de/10011004134

A Test for the Null of Multiple Cointegrating Vectors

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables. Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …

Persistent link: https://www.econbiz.de/10011004208

The role of income in money demand during hyper-inflation: the case of Yugoslavia

Nielsen, Bent; Mladenovic, Zorica - Department of Economics, Oxford University - 2009

During extreme hyper-inflations productivity tends to fall dramatically. Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role. In this paper we use an empirical...

Persistent link: https://www.econbiz.de/10011004302

Identification and forecasting in the Lee-Carter model

Nielsen, Bent; Nielsen, J.P. - Department of Economics, Oxford University - 2010

We consider the identification problem for the model of Lee and Carter (1992). The parameters of this model are known only to be identified up to certain transformations. Forecasts from the model may therefore depend on the arbitrarily chosen identification scheme. A condition for...

Persistent link: https://www.econbiz.de/10011004332

Testing for rational bubbles in a co-explosive vector autoregression

Nielsen, Bent; Engsted, Tom - Department of Economics, Oxford University - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable,...

Persistent link: https://www.econbiz.de/10011004458

Modelling UK Inflation over the Long Run

Hendry, David - Department of Economics, Oxford University - 2000

UK inflation varied greatly over 1865-1990, in response to many policy and exchange-rate regimes, two world wars and oil crises, and major legislative, and technological changes. It is modelled as responding to excess demands from all sectors of the economy: goods and services, factors of...

Persistent link: https://www.econbiz.de/10011133073

Autoregressive conditional root model

Shephard, Neil; Rahbek, Anders - Department of Economics, Oxford University - 2002

In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

Persistent link: https://www.econbiz.de/10010604833