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Using additional information in estimating output gap in Peru: a multivariate unobserved component approach
Llosa, Gonzalo; Miller, Shirley - Econometric Society - 2004
One of the key inputs for inflation targeting regime is the right identification of inflationary or disinflationary … gap an inflation rate (Phillips Curve) and structural restrictions over output stochastic dynamics. The estimation is … problems and exhibits more relation with the Peruvian inflation process than other estimates, calculated with the Hodrick …
Persistent link: https://www.econbiz.de/10005699611
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Inflation Dynamics’ Micro Foundations: How Important is Imperfect Competition Really?
Murillo, Jose A.; Castellanos, Sara G. - Econometric Society - 2004
sub indexes’ inflation dynamics indicate that the exchange rate pass-through in the perfectly competitive sector is … sector. Also, that inflation inertia is lower in the former than in the latter; adding up in more volatility of the perfectly … competitive inflation rate. For policy makers an interesting feature of the perfectly competitive price index is that the evidence …
Persistent link: https://www.econbiz.de/10005328869
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Estimation of the Volatility Structure of the Fixed Income Market
To, Thuy Duong; Chiarella, Carl - Econometric Society - 2004
This paper considers the dynamics for interest rate processes within the Heath, Jarrow and Morton (1992) specification. It is well known that one of the difficulties in using this specification for estimation is the non-Markovian nature of the dynamics. The paper focuses on a fairly broad family...
Persistent link: https://www.econbiz.de/10005130170
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Dynamics of Interest Rate Curve by Functional Auto-regression
Onatski, Alexei; Kargin, Slava - Econometric Society - 2004
The paper applies methods of functional data analysis – functional auto-regression, principal components and canonical correlations – to the study of the dynamics of interest rate curve. In addition, it introduces a novel statistical tool based on the singular value decomposition...
Persistent link: https://www.econbiz.de/10005342237
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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
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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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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 Empirical Relationship Between Exchange Rates and Interest Rates in Post-Crisis Asia
CHOW, Hwee Kwan; KIM, Yoonbai - Econometric Society - 2004
policy framework to the explicit adoption of inflation targeting that uses interest rates as the key monetary policy …
Persistent link: https://www.econbiz.de/10005702773
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Monetary Magic? How the Fed Improved the Supply Side of the Economy
Sgherri, Silvia; Bayoumi, Tamim - Econometric Society - 2004
Extending recent theoretical contributions on sources of inflation inertia, we argue that monetary uncertainty accounts …
Persistent link: https://www.econbiz.de/10005702768
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Asset Prices and Exchange Rates
Rigobon, Roberto; Pavlova, Anna - Econometric Society - 2004
This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and bond prices are jointly determined. The model predicts that stock market prices are correlated internationally even though their dividend processes are independent, providing a theoretical...
Persistent link: https://www.econbiz.de/10005329015