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Is the Fiscal Theory of the Price Level Learnable?

McCallum, Bennett T. - 2010

This paper presents a prototype model for development of the fiscal theory of the price level.' In this simple setting, the fiscal theory's distinctiveness relies upon adoption of a bubble solution, rather than the rational-expectations fundamentals solution. The paper then shows that the fiscal...

Persistent link: https://www.econbiz.de/10013136352

Indeterminacy, Bubbles, and the Fiscal Theory of Price Level Determination

McCallum, Bennett T. - 2021

The recently-developed fiscal theory of price level determination contends that there is an important class of policy rules in which there exists a unique rational expectations solution that shows the price level to be dependent upon fiscal policy and independent of monetary variables. The...

Persistent link: https://www.econbiz.de/10013215355

Inflation Targeting and the Liquidity Trap

McCallum, Bennett T. - 2021

This paper considers whether 'liquidity trap' issues have important bearing on the desirability of inflation targeting … perspective, a quantitative open-economy model is developed and the likelihood of encountering a liquidity trap is explored for … several policy rules. Also, it is emphasized that, if the usual interest rate instrument is immobilized by a liquidity trap …

Persistent link: https://www.econbiz.de/10013222228

Monetary vs. Fiscal Policy Effects : a Review of the Debate

McCallum, Bennett T. - 2004

This paper reviews empirical findings, econometric issues,and theoretical results bearing upon the "monetary vs. fiscal policy" debate that began with the 1963 Friedrnan-Meiselman study.The main substantive conclusions are not very dramatic.The clearest is that an open-market increase in the...

Persistent link: https://www.econbiz.de/10014157284

Specification and Analysis of a Monetary Policy Rule for Japan

McCallum, Bennett T. - 2010

base control in Japan …

Persistent link: https://www.econbiz.de/10013138705

Alternative Monetary Policy Rules : A Comparison with Historical Settings for the United States, the United Kingdom, and Japan

McCallum, Bennett T. - 2021

instrument and target variables. The time spans examined are 1962-1998 for the U.S. and U.K., and 1972-1998 for Japan. In …

Persistent link: https://www.econbiz.de/10013216491

Liquidity and Expected Returns : Lessons from Emerging Markets

Bekaert, Geert - 2012

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting … to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion … of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future …

Persistent link: https://www.econbiz.de/10012755671

Flights to safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...

Persistent link: https://www.econbiz.de/10011590578

Forecasting with a Bayesian DSGE model : an application to the euro area

Smets, Frank; Wouters, Rafael - 2004

In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role. In this paper we illustrate how modern sticky-price dynamic stochastic general equilibrium (DSGE) models, estimated using Bayesian...

Persistent link: https://www.econbiz.de/10003285769

An estimated dynamic stochastic general equilibrium model of the euro area

Smets, Frank; Wouters, Rafael - 2002

This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is...

Persistent link: https://www.econbiz.de/10011623232