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Estimation of NAIRU with inflation expectation data
Cui, Wei; Härdle, Wolfgang Karl; Wang, Weining - 2015
Estimating natural rate of unemployment (NAIRU) is important for understanding the joint dynamics of unemployment … with NAIRU in a model consistent way. We develop and estimate a structural model with forward and backward looking Phillips … out that the estimated NAIRU using our methodology tracks the unemployment process closely except for the high inflation …
Persistent link: https://www.econbiz.de/10010491450
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Economic integration and the foreign exchange
Weber, Enzo - 2007
This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...
Persistent link: https://www.econbiz.de/10010263691
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Unemployment benefits extensions at the zero lower bound on nominal interest rate
Albertini, Julien; Poirier, Arthur - 2014
In this paper we investigate the impact of the recent US unemployment benefits extension on the labor market dynamic when the nominal interest rate is held at the zero lower bound (ZLB). Using a New Keynesian model, our quantitative experiments suggest that, in contrast to the existing...
Persistent link: https://www.econbiz.de/10010333210
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Discussion of The source of historical economic fluctuations: an analysis using long-run restrictions by Neville Francis and Valerie A. Ramey
Uhlig, Harald - 2006
This paper discusses the paper The Source of Historical Economic Fluctuations: An Analysis using Long-Run Restrictions by Neville Francis and Valerie A. Ramey. It argues that these authors have made great progress both in the precise measurement of labor input as well as determining the effect...
Persistent link: https://www.econbiz.de/10010263638
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Monetary policy, determinacy, and the natural rate hypothesis
Meyer-Gohde, Alexander - 2011
Imposing the natural rate hypothesis (NRH) can dramatically alter the determinacy bounds on monetary policy by closing the output gap in the long run. I show that the hypothesis eliminates any role for the output gap in determinacy and renders the conditions for determinacy identical for all...
Persistent link: https://www.econbiz.de/10010333041
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Disinflation and the Phillips Curve: Israel 1986-2015
Melnick, Rafi; Strohsal, Till - 2016
A Phillips Curve (PC) framework is utilized to study the challenging post-1985 disinflation process in Israel. The estimated PC is stable and has forecasting power. Based on endogenous structural break tests we find that actual and expected inflation are co-breaking. We argue that the step-like...
Persistent link: https://www.econbiz.de/10011580437
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Are Eastern European countries catching up?: Time series evidence for Czech Republic, Hungary, and Poland
Brüggemann, Ralf; Trenkler, Carsten - 2005
The catching up process in Czech Republic, Hungary, and Poland is analyzed by investigating the integration properties of log-differences in per-capita GDP versus the EU15 and a Mediterranean country group. We account for structural changes by using unit root tests that allow for two endogenous...
Persistent link: https://www.econbiz.de/10010263582
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Uncertainty and employment dynamics in the euro area and the US
Netésunajev, Aleksei; Glass, Katharina - 2016
In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to unemployment in two largest economic regions in the world - the United States (US) and the Euro area (EA). For this purpose we deploy Bayesian Markov-switching structural vector...
Persistent link: https://www.econbiz.de/10011531878
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New evidence on the puzzles: results from agnostic identification on monetary policy and exchange rates
Scholl, Almuth; Uhlig, Harald - 2005
Past empirical research on monetary policy in open economies has found evidence of the 'delayed overshooting', the 'forward discount' and the 'exchange rate' puzzles. We revisit the effects of monetary policy on exchange rates by applying Uhlig's (2005) identification procedure that involves...
Persistent link: https://www.econbiz.de/10010263593
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What happened to the transatlantic capital market relations?
Weber, Enzo - 2007
This paper investigates the capital market relations between Euroland and the USA from 1990 until 2006. Formally based on the uncovered interest rate parity (UIP), backward recursive estimations establish a long-run equilibrium between European and US government bond yields. Since the mid-1990s...
Persistent link: https://www.econbiz.de/10010263680