Similar Search Results

Who killed the Japanese money multiplier? A micro-data analysis of banks

Shioji, Etsuro - Econometric Society - 2004

This paper investigates causes of the recent sharp decline in the money multiplier in Japan from the bank side. Two candidates for the cause are examined: the first is the worsening of the banksâ€™ financial soundness, and the second is the zero interest rate policy. Using panel data of...

Persistent link: https://www.econbiz.de/10005342358

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

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

Estimating Monetary Policy Effects When Interest Rates are Bounded at Zero

Wu, Shu; Iwata, Shigeru - Econometric Society - 2004

Using a nonlinear structural VAR approach, we estimate the effects of exogenous monetary policy shocks in the presence …

Persistent link: https://www.econbiz.de/10005063754

Testing Weak Exogeneity in Cointegrated System

Chiying, Hsiao; Pu, Chen - Econometric Society - 2004

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Persistent link: https://www.econbiz.de/10005086413

Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach

Choy, Keen Meng; Chow, Hwee Kwan - Econometric Society - 2004

constructing a VAR model that captures the economic interactions between leading indicators representing expectations, investments … causality tests. The VAR model is also used to derive the dynamic paths of adjustment of global chip sales in response to shocks … leading quality of the selected indicators. Finally, out-of-sample forecasts of global chip sales are generated from the VAR …

Persistent link: https://www.econbiz.de/10005063677

What moves GNP?

Uhlig, Harald - Econometric Society - 2004

shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances in real GNP …

Persistent link: https://www.econbiz.de/10005699655

A VECM Model of Stockmarket Returns

Sreedharan, Nagaratnam J - Econometric Society - 2004

Observations of security prices and other financial time series usually include not only the close (C), but also an open, a high and a low (O,H,L) price for a specified interval. The multivariate vector of values (H,L,O,C) is obviously more informative than just the open or close (O, C) for...

Persistent link: https://www.econbiz.de/10005702551

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

Alternative Central Bank Credit Policies for Liquidity Provision in a Model of Payments

Mills, David C. - Econometric Society - 2004

I explore alternative central bank credit policies in a theoretical model where (i) money is necessary as a means of payment, (ii) there is a shortage of liquidity that a central bank addresses through the extension of credit, (iii) money is necessary to repay debts, and (iv) the incentives to...

Persistent link: https://www.econbiz.de/10005342194

1
2
3
4
5
6
7
8
9
10
Next
Last