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Uncovering Central Bank Monetary Policy Objectives: Going Beyond Fear of Floating

Moron, Eduardo; Castro, Juan F. - EconWPA - 2002

Highly volatile exchange rates don't come cheap in economies with large liability dollarization ratios. Therefore, central banks do not follow a unique objective of price stability but its preferences include an implicit exchange rate objective. This gives us reasons to believe that the Peruvian...

Persistent link: https://www.econbiz.de/10005126281

Firm Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years

Hall, Bronwyn H.; Mairesse, Jacques; Mulkay, Benoit; … - EconWPA - 1999

correction, traditional between- and within-firm estimation versus GMM estimation, the investment behavior of French firms versus …

Persistent link: https://www.econbiz.de/10005408002

Design and Estimation of Quadratic Term Structure Models

Leippold, Markus; Wu, Liuren - EconWPA - 2002

We consider the design and estimation of quadratic term structure models. We start with a list of stylized facts on interest rates and interest rate derivatives, classified into three layers: (1) general statistical properties, (2) forecasting relations, and (3) conditional dynamics. We then...

Persistent link: https://www.econbiz.de/10005413240

GMM Estimation for Long Memory Latent Variable Volatility and Duration Models

Chen, Willa; Deo, Rohit - EconWPA - 2005

Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable … resulting GMM estimators will thus not be ãn consistent. We then provide an alternative set of moment conditions that are ãn … consistent and asymptotically normal under long memory in the latent variable, thus allowing for ãn consistent GMM estimation. …

Persistent link: https://www.econbiz.de/10005556285

Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments

Wang, Jiahui; Zivot, Eric - EconWPA - 1996

In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the endogenous explanatory variables. Adopting a local-to-zero assumption as in Staiger and Stock (1994) on the...

Persistent link: https://www.econbiz.de/10005556384

A note on Measurement Error and Euler Equations: an Alternative to Log-Linear Approximations

Ventura, Eva - EconWPA - 2003

Empirical research based on panel data has to pay special attention to measurement errors. Utility maximization often yields nonlinear decision rules in which measurement errors enter in a multiplicative way. The usual strategy to deal with them consists of taking log-linear approximations of...

Persistent link: https://www.econbiz.de/10005119368

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

Debt-Deflation: Concepts, and a Stylised Model

Peter, Goetz von - EconWPA - 2005

This paper proposes a model of how agents adjust their asset holdings in response to losses in general equilibrium. By emphasising the relation between deflation and financial distress, we capture some original features of the early debt-deflation literature, such as distress selling,...

Persistent link: https://www.econbiz.de/10005126279

Optimal Convergence Trading

KArgin, Vladislav - EconWPA - 2004

This article examines arbitrage investment in a mispriced asset when the mispricing follows the Ornstein-Uhlenbeck process and a credit- constrained investor maximizes a generalization of the Kelly criterion. The optimal differentiable and threshold policies are derived. The optimal...

Persistent link: https://www.econbiz.de/10005134713

The dynamics of capital structure in transition economies

Nivorozhkin, Eugene - EconWPA - 2003

’ target financial leverage and the speed of adjustment to it in two transition economies, the Czech Republic and Bulgaria. We … explicitly model the adjustment of companies’ leverage to a target leverage, and this target leverage is itself explained by a … under investigation. Bulgarian companies adjusted much faster to the target leverage than Czech firms. The speed of …

Persistent link: https://www.econbiz.de/10005412747