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-scale VAR estimated over 1959-2007. Our results point to significant cross-sector heterogeneity in the behavior of PFI prices …
Persistent link: https://www.econbiz.de/10011124289
A standard two-sector sticky price model with flexibly priced durables depicts negative co-movement between durables and non-durables after a monetary policy shock, which is at odds with the empirical evidence. This paper proposes a new channel, non-separable preferences with a small wealth...
Persistent link: https://www.econbiz.de/10011108630
This paper re-examines the out-of-sample predictive power of interest rate spreads when the short-term nominal rates have been stuck at the zero lower bound and the Fed has used unconventional monetary policy. Our results suggest that the predictive power of some interest rate spreads have...
Persistent link: https://www.econbiz.de/10011108827
This paper develops an open economy dynamic stochastic general equilibrium (DSGE) model based on New-Keynesian micro-foundations. Alongside standard features of emerging economies, such as a combination of producer and local currency pricing for exporters, foreign capital inflow in terms of...
Persistent link: https://www.econbiz.de/10011109585
This paper investigates the possibility of conducting an unconventional monetary policy of Quantitative easing (QE) at high interest rates using the example and experience of Russia. The Central Bank of the Russian Federation has raised the key interest rate on six occasions during the 12 months...
Persistent link: https://www.econbiz.de/10011110135
This paper examines the macroprudential roles of bank capital regulation and monetary policy in a Dynamic Stochastic General Equilibrium model with endogenous financial frictions and a borrowing cost channel. We identify various transmission channels through which credit risk, commercial bank...
Persistent link: https://www.econbiz.de/10011111145
In the paper we propose an assessment of the role of financial innovation in shaping US macroeconomic dynamics. We extend an existing model by Christiano, Eichenbaum and Evans which studied the transmission of monetary policy impulses to business and corporate sector financing variables just...
Persistent link: https://www.econbiz.de/10011111777
Keynes’ original intention in introducing the concept of a liquidity trap was to explain the reason why persistent large amounts of unutilized resources were generated during the Great Depression. This paper shows that this type of phenomenon cannot be explained in the framework of a...
Persistent link: https://www.econbiz.de/10011258943
various econometric adaptive learning tools: Auto ARIMA, VAR and AR(2) models. In all simulations, output and other economic … obtained in simulations with Auto ARIMA models, while the VAR learning tool leads to diverging fluctuations in the majority of …
Persistent link: https://www.econbiz.de/10011259238
In this paper we develop a closed economy DSGE model of Pakistan with informality both in the labor and product markets. We try to remain consistent with the micro-foundations of Pakistan’s economy for the purpose of estimation of the model parameters. However a couple of them have been...
Persistent link: https://www.econbiz.de/10011260073