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Monetary policy in the presence of random wage indexation
Attey, Jonathan A.; Vries, Casper G. de - 2016
Empirical estimations suggest heavy-tailed unconditional distributions for inflation, the output gap and the interest … propose a model which replicates the above mentioned empirical features of inflation,the output gap and the interest rate and … distributions of inflation, the output gap and the interest rates exhibit heavy-tailed characteristics. Secondly, under an …
Persistent link: https://www.econbiz.de/10011556191
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Time-varying degree of wage indexation and the New Keynesian Wage Phillips Curve
Attey, Jonathan A. - 2016
is subsequently shown that variations in trend inflation significantly explain variations in the degree of wage …
Persistent link: https://www.econbiz.de/10011563079
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Defending against speculative attacks : a hybrid model of exchange market pressure and crises
Danie͏̈ls, Tijmen R.; Jager, Henk; Klaassen, Franc - 2008
Persistent link: https://www.econbiz.de/10003774461
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On the formation and structure of international exchanges
Clayton, Matthew J.; Jorgensen, Bjorn N.; Kavajecz, … - 1999
Persistent link: https://www.econbiz.de/10011302130
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Interest rate rules, exchange market pressure, and successful exchange rate management
Klaassen, Franc; Mavromatis, Kostas - 2016
Central banks with an exchange rate objective set the interest rate in response to what they call "pressure." Instead, existing interest rate rules rely on the exchange rate minus its target. To stay closer to actual policy, we introduce a rule that uses exchange market pressure (EMP), the...
Persistent link: https://www.econbiz.de/10011479735
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Identifying the weights in exchange market pressure
Klaassen, Franc - 2011
Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...
Persistent link: https://www.econbiz.de/10011383023
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Exchange rate policy under sovereign default risk
Schabert, Andreas - 2011
We examine monetary policy options for a small open economy where sovereign default might occur due to intertemporal insolvency. Under interest rate policy and floating exchange rates the equilibrium is indetermined. Under a fixed exchange rate the equilibrium is uniquely determined and...
Persistent link: https://www.econbiz.de/10011383088
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Identifying the weights in exchange market pressure
Klaassen, Franc - 2011
Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....
Persistent link: https://www.econbiz.de/10011383120
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Model-free measurement of exchange market pressure
Klaassen, Franc; Jager, Henk - 2006
If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....
Persistent link: https://www.econbiz.de/10011350376
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Inflation, endogenous market segmentation and the term structure of interest rates
Vries, Casper G. de; Wang, Xuedong - 2015
consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …
Persistent link: https://www.econbiz.de/10010532587