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A Preliminary Evaluation of Monetary Policy Rules for Russia

Souza, Lucio Vinhas de - EconWPA - 2004

The paper reviews the recent conduct of monetary policy and the central bank’s rule-based behavior in Russia. Using … different policy rules, we test whether the central bank in Russia reacts to changes in inflation, output gap and the exchange … rate in a consistent and predictable manner. Our results indicate that during the period of 1993-2002 the Bank of Russia …

Persistent link: https://www.econbiz.de/10005076844

FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS

Weron, Rafal; Misiorek, Adam - EconWPA - 2005

In this paper we study simple time series models and assess their forecasting performance. In particular we calibrate ARMA and ARMAX (where the exogenous variable is the system load) processes. Models are tested on a time series of California power market system prices and loads from the period...

Persistent link: https://www.econbiz.de/10005556334

Modeling and forecasting electricity loads: A comparison

Weron, Rafal; Misiorek, Adam - EconWPA - 2005

In this paper we study two statistical approaches to load forecasting. Both of them model electricity load as a sum of two components – a deterministic (representing seasonalities) and a stochastic (representing noise). They differ in the choice of the seasonality reduction method. Model A...

Persistent link: https://www.econbiz.de/10005119116

Scaling transformation and probability distributions for financial time series

BRACHET, Marc-Etienne; TAFLIN, Erik; TCHEOU, Jean Marcel - EconWPA - 1999

The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has been reported in several works. In this letter we...

Persistent link: https://www.econbiz.de/10005408269

Limited Commitment, Inaction and Optimal Monetary Policy

Mirzoev, Tokhir - EconWPA - 2004

This paper examines the optimal frequency of monetary policy meetings when their schedule is pre-announced. Our contribution is twofold. First, we show that in the standard New Keynesian framework infrequent but periodic revision of monetary policy may be desirable even when there are no...

Persistent link: https://www.econbiz.de/10005076774

Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case.

Neagu, Florian - EconWPA - 2003

EU accession requires, inter alia, free movements of capital. If a massive capital outflow occurs, the central banks from the accession or acceding countries may carry two types of intervention: on money market, and introducing restrictions on capital account. The paper explains when is...

Persistent link: https://www.econbiz.de/10005125534

Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case

Neagu, Florian - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005134760

Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case

Neagu, Florian - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005407807

A better way to account for fiat money at the Central Bank

Colignatus, Thomas - EconWPA - 2005

Proper monetary accounting rules are: (1) Central Banks should conform to the practice of the US Federal Reserve to distinguish its Balance Sheet from its Statement of Conditions. (2) Fiat money should not appear as a liability in a Balance Sheet. (3) The Central Bank should not record more...

Persistent link: https://www.econbiz.de/10005408128

Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case

Neagu, Florian - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005412587