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Modelling International Bond Markets with Affine Term Structure Models
Mosburger, Georg; Schneider, Paul - EconWPA - 2005
This paper investigates the performance of international affine term structure models (ATSMs) that are driven by a mutual set of global state variables. We discuss which mixture of Gaussian and square root processes is best suited for modelling international bond markets. We derive necessary...
Persistent link: https://www.econbiz.de/10005134688
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Monetary Union in West Africa and Asymmetric Shocks: A Dynamic Structural Factor Model Approach
Houssa, Romain - EconWPA - 2004
We analyse the costs of a monetary union in West Africa by means of asymmetric aggregate demand and aggregate supply shocks. Previous studies have estimated the shocks with the VAR model.We discuss the limits of this approach and apply a new technique based on the dynamic factor model.The...
Persistent link: https://www.econbiz.de/10005062399
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Monetary Transmission in the Euro Area: A Factor Model Approach
Sala, Luca - EconWPA - 2002
This paper studies the transmission of common monetary shocks across European countries by using a dynamic factor model (Forni-Reichlin (1998)). This technique allows to extract the common European monetary shock and to compute country-specific responses. Our identification employs rotations of...
Persistent link: https://www.econbiz.de/10005076808
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Liquidity Trap Prevention and Escape: A Simple Proposition
Cai, Junning - EconWPA - 2004
Liquidity traps occur when the natural nominal interest rate becomes negative. In a model with capital price dynamics explicitly considered, we find that shocks in the future can cause current and lasting liquidity traps. We propose that the central bank can prevent or fix liquidity traps by...
Persistent link: https://www.econbiz.de/10005561118
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Interest Rate Rules and the Response to the Output Gap
Paez-Farrell, Juan - EconWPA - 2005
Modern monetary policy analysis is built around the concept of an interest rate rule that responds to both inflation and output. This paper evaluates the quantitative implications of having a policy rule target different definitions of the output gap in a New Keynesian model with endogenous...
Persistent link: https://www.econbiz.de/10005561337
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Expectations, Bond Yields and Monetary Policy
Chun, Albert Lee - EconWPA - 2005
Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage- free model of the yield curve, this paper proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that...
Persistent link: https://www.econbiz.de/10005076986
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The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy
Schnabl, Gunther; Danne, Christian - EconWPA - 2005
This paper studies the role of the yen/dollar exchange rate in the Bank of Japan’s monetary policy reaction function. In contrast to prior estimations of reaction functions based on the Taylor-rule, we allow for regime shifts by estimating rolling coefficients from January 1974 to March 1999....
Persistent link: https://www.econbiz.de/10005119427
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Money as an indicator variable for monetary policy when money demand is forward looking
Kajanoja, Lauri - EconWPA - 2004
This paper studies the gain from using money as an indicator when monetary policy in made under data uncertainty. We use a forward and backward looking model, calibrated for the euro area. The policymaker cannot completely observe the state of the economy. Money reveals some of the private...
Persistent link: https://www.econbiz.de/10005126466
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Wage and Productivity Differentials in Private and Public
Ozmucur, Suleyman - EconWPA - 2003
A model is used to study the impact of ownership on productivity and wages. Data on private and public manufacturing in Turkey during the 1950-1998 period indicate that productivity is higher in the private sector.There is a close relationship between wages and productivity in the private...
Persistent link: https://www.econbiz.de/10005561408
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The Empirics of the Solow Growth Model: Long-Term Evidence
Barossi-Filho, Milton; Silva, Ricardo Gonçalves; … - EconWPA - 2004
The purpose of this paper is to reassess the standard Solow growth model,using a dynamic panel data approach. A new … methodology is chosen to deal with this problem. First, unit root tests for individual country time series were run. Second, panel … data unit root and cointegration tests were performed. Finally, the panel cointegration dynamics is estimated by DOLS …
Persistent link: https://www.econbiz.de/10005556713