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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