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What Explains the Varying Monetary Response to Technology SHocks in G7-Countries
Theodorou, Athena T.; Francis, Neville R.; Owyang, … - Econometric Society - 2004
-monetary shocks. One exogenous shock that many economists believe contributes to the business cycle fluctuations that feed into the … Taylor rule is the technology shock. In an effort to identify the empirical effects of technology shocks, Gali (1999 … technology shock was a key first step in developing a unified reduced-form framework with which to examine the role that monetary …
Persistent link: https://www.econbiz.de/10005342196
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Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions
Jang, Kyungho - Econometric Society - 2004
This paper presents a generalized two-step maximum likelihood estimation method for partially identified vector autoregressive models. We suggest a likelihood ratio test for over-identification in a sub-system and derive the asymptotics for impulse responses and forecast-error variance...
Persistent link: https://www.econbiz.de/10005702745
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The Effects of Heterogeneity in Price Setting on Price and Inflation Inertia
Carvalho, Carlos Viana de - Econometric Society - 2004
This paper analyzes the implications of heterogeneity in price setting for both price and inflation inertia. Standard models based on Taylor- or Calvo-style price setting usually assume ex-ante identical firms, while Calvo's approach implies only ex-post heterogeneity. While it is known that...
Persistent link: https://www.econbiz.de/10005328863
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International Evidence on Monetary Neutrality Under Broken Trend Stationary Models
Velazquez, R.; Noriega, A.E.; Soria, L.M. - Econometric Society - 2004
We analyze the issue of the impact of multiple breaks on monetary neutrality results, using annual data on real output and monetary aggregates for Argentina (1884-1996), Australia (1870-1997), Brazil (1912-1995), Canada (1870-2001), Italy (1870-1997), Mexico (1932-2000), Sweeden (1871-1988), and...
Persistent link: https://www.econbiz.de/10005699639
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Advances in economics and econometrics ; Vol. 3
Dewatripont, Mathias (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10001742594
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The Changing Malaysian Financial Environment and the Effects on Its Monetary Policy Transmission Mechanism
Raghavan, Mala Valliammai - Econometric Society - 2004
In recent times, economists concur that economy's response to monetary policy is somewhat weaker then they were in the past. However, the cause of such change remains an open issue. One plausible reason for this change could be attributed to the financial reform processes that have brought...
Persistent link: https://www.econbiz.de/10005342178
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The exchange rate - how should we respond? A new-Keynesian modelling exercise
Stephens, Dominick - Econometric Society - 2004
Preliminary research at the Reserve Bank of New Zealand has suggested that including exchange rate stabilisation within the goals of monetary policy significantly increases the volatility of inflation, output and interest rates. The benefits of exchange rate stabilisation therefore do not...
Persistent link: https://www.econbiz.de/10005342184
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Japan's Monetary Policy Transition, 1955-2004
Yoshino, Naoyuki; Rhodes, James R. - Econometric Society - 2004
This paper surveys the postwar evolution of Bank of Japan (BOJ) monetary policy. Using both qualitative and quantitative data, we describe the changes in the money supply process in response to changing institutional constraints. We focus on the transition from quantitative to qualitative...
Persistent link: https://www.econbiz.de/10005342362
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Asymmetric Information, Stock Returns and Monetary Policy: A Theoretical and Empirical Analysis
Tas, Bedri Kamil Onur - Econometric Society - 2004
It is known that stock returns are affected by monetary policy. This paper theoretically and empirically investigates whether asymmetric information between the Federal Reserve and the public causes the relation between stock returns and monetary policy actions. The paper concludes that...
Persistent link: https://www.econbiz.de/10005130171
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Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model
Ichiue, Hibiki - Econometric Society - 2004
The literature gives evidence that term spreads help predict output growth, inflation, and interest rates. This paper integrates and explains these predictability results by using an affine term structure model with observable macroeconomic factors. The results suggest that consumers are willing...
Persistent link: https://www.econbiz.de/10005130246