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Calvo vs. Rotemberg in a trend inflation world: An empirical investigation
Ascari, Guido; Castelnuovo, Efrem; Rossi, Lorenza - In: Journal of Economic Dynamics and Control 35 (2011) 11, pp. 1852-1867
pricing schemes—Calvo (1983) and Rotemberg (1982)—under a positive trend inflation rate. Our empirical findings (i) support … statistical superiority of the Calvo setting; (iii) point to a substantially lower degree of price indexation under Calvo. We show … that the superiority of the Calvo model is due to the restrictions imposed by such a pricing scheme on the aggregate demand …
Persistent link: https://www.econbiz.de/10011051881
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Optimal discretionary monetary policy in a micro-founded model with a zero lower bound on nominal interest rate
Ngo, Phuong V. - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 44-65
This paper investigates optimal discretionary monetary policy under the zero lower bound on the nominal interest rate (ZLB) in the case of a distorted steady state due to monopoly and taxation. Solving a fully nonlinear micro-founded (FNL) model using a global method, I find that the central...
Persistent link: https://www.econbiz.de/10010906774
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Gasoline prices, transport costs, and the U.S. business cycles
Yilmazkuday, Hakan - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 165-179
The effects of gasoline prices on the U.S. business cycles are investigated. In order to distinguish between gasoline supply and gasoline demand shocks, the price of gasoline is endogenously determined through a transportation sector that uses gasoline as an input of production. The model is...
Persistent link: https://www.econbiz.de/10010906787
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The federal funds market, excess reserves, and unconventional monetary policy
Güntner, Jochen H.F. - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 225-250
Following the bankruptcy of Lehman Brothers, interbank borrowing and lending dropped, whereas reserve holdings of depository institutions skyrocketed, as the Fed injected liquidity into the U.S. banking sector. This paper introduces bank liquidity risk and limited market participation into a...
Persistent link: https://www.econbiz.de/10011209215
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Fiscal and monetary policies in complex evolving economies
Dosi, Giovanni; Fagiolo, Giorgio; Napoletano, Mauro; … - In: Journal of Economic Dynamics and Control 52 (2015) C, pp. 166-189
What is the most appropriate combination of fiscal and monetary policies in economies subject to banking crises and deep recessions? We study this issue using an agent-based model that is able to reproduce a wide array of macro- and micro-empirical regularities. Simulation results suggest that...
Persistent link: https://www.econbiz.de/10011209223
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Investment, matching and persistence in a modified cash-in-advance economy
Auray, Stéphane; de Blas, Beatriz - In: Journal of Economic Dynamics and Control 37 (2013) 3, pp. 591-610
We simulate and estimate a new Keynesian search and matching model with sticky wages in which capital has to be financed with cash, at least partially. Our objective is to assess the ability of this framework to account for the persistence of output and inflation observed in the data. We find...
Persistent link: https://www.econbiz.de/10010608455
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Evaluating monetary policy under preferences with zero wealth effect: A Bayesian approach
Dey, Jaya - In: Journal of Economic Dynamics and Control 38 (2014) C, pp. 209-234
Both real and monetary macro models have parallely exploited the potential for various preferences in accounting for empirical facts. This paper brings the two literatures together by estimating time non-separable preferences with habit formation in consumption that nests several commonly used...
Persistent link: https://www.econbiz.de/10010730085
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Input–output interactions and optimal monetary policy
Petrella, Ivan; Santoro, Emiliano - In: Journal of Economic Dynamics and Control 35 (2011) 11, pp. 1817-1830
the transmission of shocks and amplify the loss of social welfare under optimal monetary policy, compared to what is … context is of key importance to explore the welfare properties of the model economy. A flexible inflation targeting regime is … variability entails a substantial increase in the loss of welfare. …
Persistent link: https://www.econbiz.de/10010870989
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Leaning against boom–bust cycles in credit and housing prices
Lambertini, Luisa; Mendicino, Caterina; Teresa Punzi, Maria - In: Journal of Economic Dynamics and Control 37 (2013) 8, pp. 1500-1522
. When we allow for the implementation of both interest-rate and LTV policies, heterogeneity in the welfare implications is …
Persistent link: https://www.econbiz.de/10010679085
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Income distribution, credit and fiscal policies in an agent-based Keynesian model
Dosi, Giovanni; Fagiolo, Giorgio; Napoletano, Mauro; … - In: Journal of Economic Dynamics and Control 37 (2013) 8, pp. 1598-1625
This work studies the relations between income distribution and monetary/fiscal policies using an credit-augmented version of the agent-based Keynesian model in Dosi et al. (2010). We model a banking sector and a monetary authority setting interest rates and credit lending conditions in a...
Persistent link: https://www.econbiz.de/10010679092