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Estimating the Optimal Inflation Target from Trends in Relative Prices
Adam, Klaus - 2020
inflation target. Constructing a sticky-price model featuring a product life cycle and heterogeneous relative-price trends, we … derive closed-form expressions for the optimal inflation target under Calvo and menu-cost frictions. We show how the optimal …
Persistent link: https://www.econbiz.de/10012842440
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Intermediate Inputs, External Rebalancing and Relative Price Adjustment
Bems, Rudolfs - 2014
This paper proposes a methodology for tracing out the effect of intermediate inputs, including ‘processing trade', on the link between external rebalancing and relative price adjustment. We find that neglect of inputs distorts parameterization of the traditional multi-sector macro model....
Persistent link: https://www.econbiz.de/10013051600
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Inflation and relative price asymmetry
Ratfai, Attila - 2004
By placing store-level price data into bivariate Structural VAR models of inflation and relative price asymmetry, this … forecast error variance in inflation at the 12-month horizon. While the contemporaneous correlation between inflation and … relative price asymmetry is positive, idiosyncratic shocks lead to a substantial build-up in inflation only after two to five …
Persistent link: https://www.econbiz.de/10011604347
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Bank Capital and Liquidity Creation : Granger-Causality Evidence
Horvath, Roman - 2012
We examine the relation between capital and liquidity creation. This issue is interesting because of the potential impact on liquidity creation from tighter capital requirements such as those in Basel III. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an...
Persistent link: https://www.econbiz.de/10013097759
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The Euro Plus Pact : Cost Competitiveness and External Capital Flows in the EU Countries
Gabrisch, Hubert - 2014
The Euro Plus Pact was approved by 23 EU countries in March 2011 and came into force shortly afterwards. The Pact stipulates a range of quantitative targets meant to strengthen cost competitiveness with the aim of preventing the accumulation of external financial imbalances. This paper uses...
Persistent link: https://www.econbiz.de/10013058551
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Granger Causality and Regime Inference in Bayesian Markov-Switching VARs
Droumaguet, Matthieu - 2015
We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the hypotheses, the computational tools for...
Persistent link: https://www.econbiz.de/10013020665
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Reverse Causality in Global Current Accounts
Schnabl, Gunther - 2010
The paper discusses global imbalances under the aspect of an asymmetric world monetary system. It identifies the US and Germany as center countries with rising/high current account deficits (US) and surpluses (Germany). These are matched by current account surpluses of countries stabilizing...
Persistent link: https://www.econbiz.de/10013142986
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International financial linkages of Latin American banks: the effects of political risk and deposit dollarisation
Ramon-Ballester, Francisco; Wezel, Torsten - 2007
This paper empirically investigates the extent to which the financial linkages of Latin American banks with the exterior are influenced by political risk and deposit dollarisation. We find that the sum of banks’ foreign assets and liabilities is a function of risk-return considerations and...
Persistent link: https://www.econbiz.de/10011604790
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Optimal Reserve Composition in the Presence of Sudden Stops : The Euro and the Dollar as Safe Haven Currencies
Beck, Roland - 2008
We analytically derive optimal central bank portfolios in a minimum variance framework with two assets and quot;transaction demandsquot; caused by sudden stops in capital inflows. In this model, the transaction demands become less important relative to traditional portfolio objectives as debt to...
Persistent link: https://www.econbiz.de/10012771394
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Money and prices in models of bounded rationality in high inflation economies
Marcet, Albert; Nicolini, Juan Pablo - 2005
This paper studies the short run correlation of inflation and money growth. We study whether a model of learning does … better or worse than a model of rational expectations, and we focus our study on countries of high inflation. We take the …
Persistent link: https://www.econbiz.de/10011604515