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Raising an inflation target : the Japanese experience with abenomics
De Michelis, Andrea; Iacoviello, Matteo - 2016
This paper draws from Japan's recent monetary experiment to examine the effects of an increase in the inflation target … identified inflation target shock. We apply these findings to calibrate the effect of a shock to the inflation target in a new …-Keynesian DSGE model of the Japanese economy. We argue that imperfect observability of the inflation target and a separate exchange …
Persistent link: https://www.econbiz.de/10011563011
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Monetary policy, housing rents, and inflation dynamics
Dias, Daniel; Duarte, João B. - 2019
Persistent link: https://www.econbiz.de/10012004722
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Taxonomy of global risk, uncertainty, and volatility measures
Datta, Deepa Dhume; Londono, Juan M.; Sun, Bo; Beltran, … - 2017
, currencies, oil prices, and inflation …
Persistent link: https://www.econbiz.de/10011780277
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Domestic debt and sovereign defaults
Mallucci, Enrico - 2015
This paper examines how domestic holdings of government debt affect sovereign default risk and government debt management. I develop a dynamic stochastic general equilibrium model with both external and domestic debt that endogenously generates output contraction upon default. Domestic holdings...
Persistent link: https://www.econbiz.de/10011459391
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Estimating dynamic macroeconomic models : how informative are the data?
Beltran, Daniel O.; Draper, David - 2016
Central banks have long used dynamic stochastic general equilibrium (DSGE) models, which are typically estimated using Bayesian techniques, to inform key policy decisions. This paper offers an empirical strategy that quantifies the information content of the data relative to that of the prior...
Persistent link: https://www.econbiz.de/10011563152
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Fewer but better : sudden stops, firm entry, and financial selection
Ates, Sina T.; Saffie, Felipe - 2016
We incorporate endogenous technical change into a real business cycle small open economy framework to study the productivity costs of sudden stops. In this economy, productivity growth is determined by the entry of new firms and the expansion decisions of incumbent firms. New firms are created...
Persistent link: https://www.econbiz.de/10011629848
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Capital controls and monetary policy autonomy in a small open economy
Davis, Scott; Presno, Ignacio - 2017
Is there a link between capital controls and monetary policy autonomy in a country with a floating currency? Shocks to capital flows into a small open economy lead to volatility in asset prices and credit supply. To lessen the impact of capital flows on financial instability, a central bank...
Persistent link: https://www.econbiz.de/10011629954
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Uncertainty, currency excess returns, and risk reversals
Husted, Lucas; Rogers, John H.; Sun, Bo - 2017
In this paper we provide strong evidence that heightened uncertainty in the U.S. real economy or financial markets significantly raises excess returns to the currency carry trade. We posit that this works through the influence of uncertainty on global investors' risk preferences. Macro and...
Persistent link: https://www.econbiz.de/10011633961
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Selective sovereign defaults
Erce, Aitor; Mallucci, Enrico - 2018
Governments issue debt both domestically and abroad. This heterogeneity introduces the possibility for governments to operate selective defaults that discriminate across investors. Using a novel dataset on the legal jurisdiction of sovereign defaults that distinguishes between defaults under...
Persistent link: https://www.econbiz.de/10011967366
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Structural change and global trade
Lewis, Logan T.; Monarch, Ryan; Sposi, Michael; Zhang, Jing - 2018
Services, which are less traded than goods, rose from 50 percent of world expenditure in 1970 to 80 percent in 2015. Such structural change restrained "openness"—the ratio of world trade to world GDP—over this period. We quantify this with a general equilibrium trade model...
Persistent link: https://www.econbiz.de/10011854702