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In Pursuit of a Stable Stabilization Policy in Sweden. From the Gold Standard to Inflation Targeting and Beyond

Jonung, Lars - 2019

In a historical perspective, the stabilization policy regime in Sweden is in a state of constant change, affected by economic crises, international impulses, domestic politics, and developments in macroeconomic theory. Economists have been deeply involved in this process. The current framework...

Persistent link: https://www.econbiz.de/10013208861

Simulation-based valuation of project finance: does model complexity really matter?

Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …

Persistent link: https://www.econbiz.de/10010305715

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …

Persistent link: https://www.econbiz.de/10010263216

Discussion of Cogley and Sargent's "Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S."

Del Negro, Marco - 2003

Cogley and Sargent provide us with a very useful tool for empirical macroeconomics: a Gibbs sampler for the estimation of VARs with drifting coefficients and volatilities. The authors apply the tool to a VAR with three variables-inflation, unemployment, and the nominal interest rate-and two...

Persistent link: https://www.econbiz.de/10010397377

Learning and monetary policy shifts

Schorfheide, Frank - 2003

This paper estimates a dynamic stochastic equilibrium model in which agents use a Bayesian rule to learn about the state of monetary policy. Monetary policy follows a nominal interest rate rule that is subject to regime shifts. The following results are obtained. First, the author's policy...

Persistent link: https://www.econbiz.de/10010397384

Assessing simple policy rules: a view from a complete macro model

Leeper, Eric M.; Zha, Tao - 2000

We explore two popular approaches to empirical analysis of monetary policy: the New Keynesian and the identified vector autoregression approaches. Stylized models of private behavior coupled with simple rules describing policy behavior characterize New Keynesian work. Vector autoregressions...

Persistent link: https://www.econbiz.de/10010397386

Inflation scares and forecast-based monetary policy

Orphanides, Athanasios; Williams, John C. - 2003

Central banks pay close attention to inflation expectations. In standard models, however, inflation expectations are tied down by the assumption of rational expectations and should be of little independent interest to policy makers. In this paper, the authors relax the assumption of rational...

Persistent link: https://www.econbiz.de/10010397398

Drifts and volatilities: monetary policies and outcomes in the post WWII U.S.

Cogley, Timothy; Sargent, Thomas J. - 2003

For a VAR with drifting coefficients and stochastic volatilities, the authors present posterior densities for several objects that are of interest for designing and evaluating monetary policy. These include measures of inflation persistence, the natural rate of unemployment, a core rate of...

Persistent link: https://www.econbiz.de/10010397409

Irrational expectations and econometric practice: discussion of Orphanides and Williams, "Inflation scares and forecast-based monetary policy"

Ireland, Peter N. - 2003

Athanasios Orphanides and John C. Williams' excellent conference paper, "Inflation Scares and Forecast-Based Monetary Policy," contributes importantly to the new and rapidly growing branch of the literature on bounded rationality and learning in macroeconomics. Their paper, like many others,...

Persistent link: https://www.econbiz.de/10010397411

Modest policy interventions

Leeper, Eric M.; Zha, Tao - 1999

This paper brings together identification and forecasting in a positive econometric analysis of policy. We contend that …

Persistent link: https://www.econbiz.de/10010397515