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Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...

Persistent link: https://www.econbiz.de/10012477190

Lost in Transit : Product Replacement Bias and Pricing to Market

Nakamura, Emi - 2009

The microdata underlying U.S. import and export price indexes exhibit frequent product turnover and highly rigid prices … "product replacement bias" and quantify its importance using U.S. microdata on import and export prices. We show that …, accounting for product replacement bias, long-run exchange rate "pass-through" into U.S. import and export price indexes is …

Persistent link: https://www.econbiz.de/10012463291

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Cheung, Yin-Wong - 1997

, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …

Persistent link: https://www.econbiz.de/10012472881

Central Bank Credibility : An Historical and Quantitative Exploration

Bordo, Michael D. - 2015

In this paper we provide empirical measures of central bank credibility and augment these with historical narratives from eleven countries. To the extent we are able to apply reliable institutional information we can also indirectly assess their role in influencing the credibility of the...

Persistent link: https://www.econbiz.de/10012457842

Central Bank Credibility, Reputation and Inflation Targeting in Historical Perspective

Bordo, Michael - 2014

This paper examines the historical evolution of central bank credibility using both historical narrative and empirics for a group of 16 countries, both advanced and emerging. It shows how the evolution of credibility has gone through a pendulum where credibility was high under the classical gold...

Persistent link: https://www.econbiz.de/10012457973

Central Banks : Evolution and Innovation in Historical Perspective

Bordo, Michael D. - 2017

Central banks have evolved for close to four centuries. This paper argues that for two centuries central banks caught up to the strategies followed by the leading central banks of the era; the Bank of England in the eighteenth and nineteenth centuries and the Federal Reserve in the twentieth...

Persistent link: https://www.econbiz.de/10012453864

The Nobel Memorial Prize for Robert F. Engle

Diebold, Francis X. - 2004

I review and interpret two of Robert Engle's most important contributions: the theory and application of cointegration …, and the theory and application of dynamic volatility models. I treat the latter much more extensively, de …

Persistent link: https://www.econbiz.de/10012468270

Exchange Rates and Prices : Evidence from the 2015 Swiss Franc Appreciation

Auer, Raphael A.; Burstein, Ariel T.; Lein, Sarah - National Bureau of Economic Research - 2021

We dissect the impact of a large and sudden exchange rate appreciation on Swiss border import prices, retail prices, and consumer expenditures on domestic and imported non-durable goods, following the removal of the EUR/CHF floor in January 2015. Cross-sectional variation in border price changes...

Persistent link: https://www.econbiz.de/10012482622

Inflation Targeting in Transition Countries : Experience and Prospects

Jonas, Jiri - 2003

This paper examines the inflation targeting experience in three transition countries: the Czech Republic, Poland and … Hungary. While the examined countries have missed inflation targets often by a large margin, they nevertheless progressed well …

Persistent link: https://www.econbiz.de/10012469031

COVID-19 and SME Failures

Gourinchas, Pierre-Olivier - 2020

We estimate the impact of the COVID-19 crisis on business failures among small and medium size enterprises (SMEs) in seventeen countries using a large representative firm-level database. We use a simple model of firm cost-minimization and measure each firm's liquidity shortfall during and after...

Persistent link: https://www.econbiz.de/10012481180