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Monetary Policy and Model Uncertainty in a Small Open Economy

Dennis, Richard; Leitemo, Kai; Söderström, Ulf - Society for Computational Economics - SCE - 2006

We study the effects of optimized monetary policy in a semi-structural, estimated small open economy in situations where the policymaker has either complete or less than complete confidence in the model being free from misspecification errors. We use the robust control techniques developed by...

Persistent link: https://www.econbiz.de/10005537402

From Money Aggregates to Interest Rate Rules in a Small Open Economy: A Second Order Approach

Montoro, Carlos; Castillo, Paul; Tuesta, Vicente - Society for Computational Economics - SCE - 2006

We evaluate the second order solution of a general equilibrium model for a small open economy in the line of the "new open economy macroeconomics". We use this framework to explain some recent regularities observed in economies in which central banks move from using a money aggregate as the...

Persistent link: https://www.econbiz.de/10005537427

Estimation of Precautionary Demand by Financial Anxieties

Morita, Y.; Rahman, Md. J.; Miyagawa, S. - Society for Computational Economics - SCE - 2006

Pioneering work of modelling financial anxieties was given by Kimura et al (1999) as psychological change of people due to financial shocks. Since they regressed financial position (easy or tight) by nonstationary interest rate, their results exhibit high peaks not only in financial crisis...

Persistent link: https://www.econbiz.de/10005706203

Inflation Premium and Oil Price Volatility

Castillo, Paul; Montoro, Carlos - Society for Computational Economics - SCE - 2006

In this paper we establish a link between the volatility of oil price shocks and a positive expected value of inflation in equilibrium (inflation premium). In doing so, we implement the perturbation method to solve up to second order a benchmark New Keynesian model with oil price shocks. In...

Persistent link: https://www.econbiz.de/10005706212

An Interpretation of Fluctuating Macro Policies

Leeper, Eric; Davig, Troy - Society for Computational Economics - SCE - 2005

This paper estimates simple regime-switching rules for monetary policy and tax policy over the post-war period in the United States and imposes the estimated policy process on a standard dynamic stochastic general equilibrium model with nominal rigidities. The estimated joint policy process...

Persistent link: https://www.econbiz.de/10005706282

Aiming for the Bull's Eye: Uncertainty and Inertia in Monetary Policy

Demertzis, Maria; Viegi, Nicola - Society for Computational Economics - SCE - 2006

We study the implications of uncertainty for inflation targeting. We apply multiplicative uncertainty to a standard forward looking model and demonstrate Brainard's attenuation effect. But the result as monetary authorities become naturally more cautious at the same time monetary objectives are...

Persistent link: https://www.econbiz.de/10005342902

The Costs of EMU for Transition Countries

Lopes, Alexandra - Society for Computational Economics - SCE - 2006

Czech Republic, Hungary and Poland will have to join the European and Monetary Union. Surprisingly, there is very little work on the welfare consequences of the loss of monetary policy flexibility for these countries. This paper fills this void by providing a framework to evaluate quantitatively...

Persistent link: https://www.econbiz.de/10005537413

Income Inequality, Monetary Policy, and the Business Cycle

Fowler, Stuart J. - Society for Computational Economics - SCE - 2005

The effects of changes in monetary policy are studied in a general equilibrium model where money facilitates transactions. Because there are two types of agents, workers and capitalists, different elasticities of money demand exist, implying that monetary policy influences the distribution of...

Persistent link: https://www.econbiz.de/10005537508

Monetary Policy, Taxes, and the Business Cycle

Pakko, Michael R.; Gavin, William T.; Kydland, Finn E. - Society for Computational Economics - SCE - 2004

In this paper we model the contribution of monetary growth shocks to aggregate fluctuations. Our innovation is to combine persistent money growth shocks with taxes on nominal capital gains in a model in which the central bank operates policy using an interest rate rule. All three features are...

Persistent link: https://www.econbiz.de/10005537643

Heterogeneous Expectations, Currency Options and the euro/dollar exchange rate

Bronka, Rzepkowski - Society for Computational Economics - SCE - 2001

-term dynamics of the euro/dollar since January 1999. Information conveyed by over-the-counter currency options allows the time … deviations. The proportion of optimistic agents in the evolution of the euro and the proportion of confident agents in their … exchange rate anticipations induce portfolio reallocations, which generate euro/dollar forecasts. …

Persistent link: https://www.econbiz.de/10005537763