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Identifying the Interdependence between US Monetary Policy and the Stock Market

Bjørnland, Hilde C.; Leitemo, Kai - 2010

shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute …

Persistent link: https://www.econbiz.de/10014223768

How Have Inflation Dynamics Changed over Time? Evidence from the Euro Area and USA

Oinonen, Sami - 2013

This paper analyzes euro area and U.S. inflation dynamics since the beginning of the 1990s by estimating New Keynesian hybrid Phillips curves with time-varying parameters. We measure inflation expectations by subjective forecasts from Consensus Economics survey and so do not assume rational...

Persistent link: https://www.econbiz.de/10013081651

Hasan, Iftekhar; Lee, Haekwon; Qiu, Buhui; Saunders, Anthony - 2023

Using lenders becoming members of the Task Force on Climate-Related Financial Disclosures (TCFD) as a plausible exogeneous shock, we examine whether and how lenders’ commitment to transparent climate-related disclosures affects borrower firms’ environmental performance. We find that client...

Persistent link: https://www.econbiz.de/10014355208

Adaptive Learning in an Expectational Difference Equation with Several Lags : Selecting among Learnable REE

Bask, Mikael - 2013

It is demonstrated in this paper that adaptive learning in least squares sense may be incapable to reduce, in a satisfactory way, the number of attainable equilibria in a rational expectations model. The model investigated, as an illustration, is the monetary approach to exchange rate...

Persistent link: https://www.econbiz.de/10012711341

Central Bank Independence and Wage Bargaining Structure - Empirical Evidence

Kilponen, Juha - 2009

This paper studies the relationship between central bank independence, wage bargaining structure and macroeconomic performance in OECD countries. A cross-sectional time-series (TSCS) model for inflation, nominal wage growth and unemployment for the period 1973-1996 is estimated using different...

Persistent link: https://www.econbiz.de/10012721115

Unemployment in a Small Open Economy : Finland and New Zealand

Mayes, David G. - 2009

Unemployment is now the key issue for economic policy in the OECD and Europe in particular. By examining data from the period 1962-1996 for two highly different small open OECD economies, Finland and New Zealand, in a VEC model this paper seeks to cast light on three questions: the degree to...

Persistent link: https://www.econbiz.de/10012721116

Firm Turnover in the Export Market and the Case for Fixed Exchange Rate Regime

Hamano, Masashige - 2020

This paper revisits the case for exible vs. fixed exchange rate regime in a two-country model with firm heterogeneity and nominal wage rigidity under incomplete financial markets. Dampening nominal exchange rate fluctuations simultaneously stabilizes the firm turnover in the export market. When...

Persistent link: https://www.econbiz.de/10012842809

Frequency-Domain Information for Active Portfolio Management

Faria, Gonçalo - 2020

We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the … asset classes. When used in the context of active portfolio management, the forecasts based on frequency-domain information … information ratio (0.57 vs 0.45), higher CER gains (1.12% vs 0.81%), and lower maximum drawdown (19.1% vs 19.6%) …

Persistent link: https://www.econbiz.de/10012842810

Optimal Monetary Policy Under Bounded Rationality

Benchimol, Jonathan - 2018

Optimal monetary policy under discretion, commitment, and optimal simple rules regimes is analyzed through a behavioral New Keynesian model. Flexible price level targeting dominates under discretion; flexible inflation targeting dominates under commitment; and strict price level targeting...

Persistent link: https://www.econbiz.de/10012921091

Price Level Targeting with Evolving Credibility

Honkapohja, Seppo - 2018

We examine global dynamics under learning in a nonlinear New Keynesian model when monetary policy uses price-level targeting and compare it to inflation targeting. Domain of attraction of the targeted steady state gives a robustness criterion for policy regimes. Robustness of price-level...

Persistent link: https://www.econbiz.de/10012926679