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Exchange Rate Pass-through and Monetary Policy in South Africa
Aron, Janine; Farrell, Greg; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2010
Understanding how import prices adjust to exchange rates helps anticipate inflation effects and monetary policy … inflation targeting when account is taken of temporary shifts to foreign currency invoicing or increased hedging after large …
Persistent link: https://www.econbiz.de/10008784768
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Non-stationary Hours in a DSGE Model
Chang, Yongsung; Doh, Taeyoung; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2005
The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Relaxing these restrictions can close the gap between DSGE models and vector autoregressions. This paper modifies a simple...
Persistent link: https://www.econbiz.de/10005497949
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Is Monetary Policy in an Open Economy Fundamentally Different?
Monacelli, Tommaso - C.E.P.R. Discussion Papers - 2012
Openness per se requires optimal monetary policy to deviate from the canonical closed-economy principle of domestic price stability, even if domestic prices are the only ones to be sticky. I review this argument using a simple partial equilibrium analysis in an economy that trades in final...
Persistent link: https://www.econbiz.de/10011083335
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Globalization and Monetary Control
Woodford, Michael - C.E.P.R. Discussion Papers - 2007
central banks to control inflation within their borders, at least in the absence of coordination of policy with other central … the ability of monetary policy to control inflation: by making liquidity premia a function of 'global liquidity' rather … to control the dynamics of inflation. …
Persistent link: https://www.econbiz.de/10005662247
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Counter-Inflationary Policy in the Framework of the EMS
Artis, Michael J - C.E.P.R. Discussion Papers - 1992
narrowed ahead of inflation divergence. Cross-country real interest rankings would then assume a negative correlation with the … corresponding inflation rankings. The paper argues that on theoretical grounds, a perverse correlation between real interest rates … and inflation can be predicted for `old EMS' conditions. Empirical evidence supports this prediction while failing to …
Persistent link: https://www.econbiz.de/10005662333
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Monetary Policy in an Estimated Open-Economy Model with Imperfect Pass-Through
Lindé, Jesper; Nessen, Marianne; Söderström, Ulf - C.E.P.R. Discussion Papers - 2004
inflation and output. We then estimate the model by matching the implied impulse responses with those obtained from a VAR model … imported inflation, the interest rate, and the real exchange rate. In order to account for the observed persistence in the real …
Persistent link: https://www.econbiz.de/10005123761
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The Empirical Implications of the Interest-Rate Lower Bound
Gust, Christopher; López-Salido, J David; Smith, Matthew E - C.E.P.R. Discussion Papers - 2012
Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate lower bound is occasionally binding. We quantify the size and nature of disturbances that pushed the U.S. economy to the lower bound in late 2008 as well as the contribution of the lower bound constraint to the...
Persistent link: https://www.econbiz.de/10011084119
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Methods for Measuring Expectations and Uncertainty in Markov-Switching Models
Bianchi, Francesco - C.E.P.R. Discussion Papers - 2013
generalize Campbell's VAR implementation of Campbell and Shiller's present value decomposition to allow for parameter instability … suitable for structural estimation. …
Persistent link: https://www.econbiz.de/10011083330
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Market Structure and Exchange Rate Pass-Through
Auer, Raphael; Schoenle, Raphael - C.E.P.R. Discussion Papers - 2015
We study firm-level pricing behavior through the lens of exchange rate pass-through and provide new evidence on how firm-level market shares and price complementarities affect pass-through decisions. Using micro-data from U.S. import prices, we identify two facts: First, exactly the firms that...
Persistent link: https://www.econbiz.de/10011276376
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Endogenous Exchange Rate Pass-Through When Nominal Prices Are Set in Advance
Devereux, Michael B; Engel, Charles M; Storgaard, Peter … - C.E.P.R. Discussion Papers - 2002
This Paper develops a model of endogenous exchange rate pass-through within an open economy macroeconomic framework, where both pass-through and the exchange rate are simultaneously determined, and interact with one another. Pass-through is endogenous because firms choose the currency in which...
Persistent link: https://www.econbiz.de/10005124428