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A closed form multivariate linear filter
Boadway, Robin W.; Vitek, Francis - 2018
This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...
Persistent link: https://www.econbiz.de/10011978601
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Empirical Modeling of Contagion : A Review of Methodologies
Dungey, Mardi - 2004
The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...
Persistent link: https://www.econbiz.de/10014401432
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Debt Stabilization Bias and the Taylor Principle : Optimal Policy in a New Keynesian Model with Government Debt and Inflation Persistence
Vines, David - 2007
We analyse optimal monetary and fiscal policy in a New-Keynesian model with public debt and inflation persistence … striking result is not true with high degrees of inflation persistence. Secondly, we show that optimal fiscal policy is more … active under discretion than commitment at all degrees of inflation persistence and all levels of debt …
Persistent link: https://www.econbiz.de/10014399841
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Reading the stars
Williams, Peter; Abdih, Yasser; Kopp, Emanuel - 2020
where inflation converges to the FOMC's two percent target. It is applicable to any country with an inflation targeting …
Persistent link: https://www.econbiz.de/10012299370
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Inflation Targeting Under Potential Output Uncertainty
Gaiduch, Victor - 2000
examine the output gap’s usefulness. The results suggest that although output gap uncertainty leads to more inflation and … policy based only on observable inflation and output growth …
Persistent link: https://www.econbiz.de/10014403496
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Trade Policy and Market Structure Interactions in Developing Countries
International Monetary Fund - 1989
This paper shows that the presence of quotas on imported inputs that are based on installed capacity can lead to capacity underutilization in manufacturing industries of developing countries. A replacement of such quotas, by tariffs leads to full capacity utilization under assumptions of both...
Persistent link: https://www.econbiz.de/10014396017
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Structural Balance Targeting and Output Gap Uncertainty
Tereanu, Eugen - 2014
Potential output estimation plays a crucial role in conducting fiscal policy based on structural balances. Difficulties in estimating potential output could lead to an erroneous policy stance with a consequent impact on growth. This paper analyzes historical data on revisions of actual and...
Persistent link: https://www.econbiz.de/10014411391
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Risky bank lending and optimal capital adequacy regulation
Benes, Jaromir; Kumhof, Michael - 2011
Persistent link: https://www.econbiz.de/10009425667
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Fiscal rules in a volatile world : a welfare-based approach
García, Carlos José; Restrepo L., Jorge Enrique; … - 2011
Persistent link: https://www.econbiz.de/10009486197
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The costs of macroprudential deleveraging in a liquidity trap
Chen, Jiaqian; Finocchiaro, Daria; Lindé, Jesper; … - 2020
We examine the effects of various borrower-based macroprudential tools in a New Keynesian environment where both real and nominal interest rates are low. Our model features long-term debt, housing transaction costs and a zero-lower bound constraint on policy rates. We find that the long-term...
Persistent link: https://www.econbiz.de/10012251966