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Persistent link: https://www.econbiz.de/10000955624
policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and …
Persistent link: https://www.econbiz.de/10001600038
Most of the literature on monetary policy delegation assumes that the government can credibly commit to the delegation contract, an assumption criticized by McCallum. This paper provides foundations for the assumption that renegotiating a delegation contract can be costly by illustrating how...
Persistent link: https://www.econbiz.de/10001600048
Few propositions in macroeconomics are less controversial than long-run money neutrality, yet clear and robust empirical support has not been found in time series studies. Bernanke and Mihov (1998) are comparatively successful in this hunt, but their output response to monetary policy shocks...
Persistent link: https://www.econbiz.de/10001600067
we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …
Persistent link: https://www.econbiz.de/10001664233
We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...
Persistent link: https://www.econbiz.de/10001664234
In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is...
Persistent link: https://www.econbiz.de/10001645586
Persistent link: https://www.econbiz.de/10001613659
New Keynesian models of monetary policy assign no role to monetary aggregates, in the sense that the level of output, prices, and interest rates can be determined without knowledge of the quantity of money. We evaluate the empirical validity of this prediction by studying the effects of shocks...
Persistent link: https://www.econbiz.de/10001714614
Persistent link: https://www.econbiz.de/10000921862