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The New Keynesian Phillips Curve: An empirical assessment
PELGRIN, Florian; GUAY, Alain; LUGER, Richard - Econometric Society - 2004
The recent works of Gali and Gertler (1999) and Gali, Gertler and Lopez-Salido (2001) provide evidence supporting the New Keynesian Phillips curve (NKPC). This model posits the dynamics of inflation as being forward-looking and related to real marginal costs. In this paper, we examine the...
Persistent link: https://www.econbiz.de/10005063737
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Persistence in Monetary Policy Models: Indexation, Habits and Learning with Long-Horizon Expectations
Milani, Fabio - Econometric Society - 2004
, habits are often brought into the analysis. This paper evaluates the potential for learning as a source of persistence in … the literature on learning, we do not start from the equations obtained under RE and introduce learning from that point … them using simple econometric models. Learning has important implications for aggregate dynamics: the standard Euler …
Persistent link: https://www.econbiz.de/10005342244
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Agency costs and asymmetric information in a small open economy: a dynamic general equilibrium model
Kim, Kunhong; Claus, Iris - Econometric Society - 2004
This paper assesses the effects of agency costs and asymmetric information in credit markets. Asymmetric information and agency costs occur whenever lenders delegate control over resources to borrowers, leading to adverse selection, moral hazard and monitoring costs because of the inability to...
Persistent link: https://www.econbiz.de/10005342290
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Dollarization Traps
Duffy, John; Nikitin, Maxim - Econometric Society - 2004
We study unofficial dollarization, i.e., the use of foreign money alongside the domestic currency, in an environment where spatial separation and limited communication create a role for currency and banks arise endogenously to provide insurance against liquidity preference shocks. Unofficial...
Persistent link: https://www.econbiz.de/10005129775
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Dollarization Traps
Duffy, John; Nikitin, Maxim - Econometric Society - 2004
We study unofficial dollarization, i.e., the use of foreign money alongside the domestic currency, in an environment where spatial separation and limited communication create a role for currency and banks arise endogenously to provide insurance against liquidity preference shocks. Unofficial...
Persistent link: https://www.econbiz.de/10005130227
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On the Friedman Rule with Heterogeneous Agents
Berentsen, A.; Strub, C. - Econometric Society - 2004
We consider a general equilibrium model where monetary policy has redistributive effects. Agents have stochastic preferences and face random buying and selling opportunities. We show that the Friedman rule is just the second best policy. However, the Friedman rule is Pareto optimal. It requires...
Persistent link: https://www.econbiz.de/10005130236
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Effects of Level Outliers on the Identification and Estimation of GARCH Models
Ruiz, E.; Carnero, M.A.; Pereira, D. - Econometric Society - 2004
In this paper, we study the effects caused by the presence of outliers on the identification and estimation of GARCH models. First, we derive the asymptotic biases of the sample autocorrelations of squared observations and their effects on some popular homoscedasticity tests when uncorrelated...
Persistent link: https://www.econbiz.de/10005342156
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Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications
Yang, Minxian - Econometric Society - 2004
The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN...
Persistent link: https://www.econbiz.de/10005063629
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Job Turnover and the Returns to Seniority
Dostie, Benoit - Econometric Society - 2004
In this paper, we match firm data to individual work history files in order to simultaneously estimate the wage and employment duration processes of a longitudinal sample of two million French workers employed in roughly one million firms and followed over twenty years. The particular structure...
Persistent link: https://www.econbiz.de/10005699664
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Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
Urga, Giovanni; Peretti, Christian de - Econometric Society - 2004
In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....
Persistent link: https://www.econbiz.de/10005328868