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Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

Zero lower bound

Coenen, Günter - 2003

This paper presents the results of a quantitative study of the implications of the zero lower bound on nominal interest rates which was undertaken in the context of the review of the ECBu0092s monetary policy strategy in Spring 2003. Focusing on the euro area, the paper provides an assessment of...

Persistent link: https://www.econbiz.de/10009635906

Describing the Fed's conduct with Taylor rules

Castelnuovo, Efrem - 2003

In this paper we estimate simple Taylor rules paying particular attention to interest rate smoothing. Following English, Nelson, and Sack (2002), we employ a model in first differences to gain some insights into the presence and signifcance of the degree of partial adjustment as opposed to a...

Persistent link: https://www.econbiz.de/10009635982

Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero

Coenen, Günter; Orphanides, Athanasios; Wieland, Volker - 2003

This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound on nominal interest rates. We ﬁnd that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the...

Persistent link: https://www.econbiz.de/10009635983

Maintaining price stability under free-floating

Detken, Carsten; Gaspar, Vítor - 2003

The behaviour of the exchange rate under a floating exchange rate regime for a small open economy with perfect capital mobility may appear like a managed float or even a firmer peg. We present a canonical new neo-classical synthesis open economy model where the central bank follows a strategy...

Persistent link: https://www.econbiz.de/10009635960

Optimal dynamic risk sharing when enforcement is a decision variable

Koeppl, Thorsten V. - 2003

decision problem of using self-governance for risk sharing or governance through enforcement provided by these institutions … prevent ﬁrst-best risk sharing, but never optimal to provide incentives exclusively via this technology. Commitment problems …

Persistent link: https://www.econbiz.de/10009635888

Growth expectations, capital flows and international risk sharing

Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003

international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …

Persistent link: https://www.econbiz.de/10009635970

Risk sharing through financial markets with endogenous enforcement of trades

Köppl, Thorsten V. - 2004

When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are … an integral part of financial marketsu0092 organization. We assess the degree of risk sharing that can be achieved … allow for optimal risk sharing as long as markets are complete, default is prevented in equilibrium and intermediaries …

Persistent link: https://www.econbiz.de/10009636542

Information acquisition and decision making in committees

Gerling, Kerstin; Grüner, Hans Peter; Kiel, Alexandra; … - 2003

This is a survey on the recent game theoretic literature on committee decision making. We consider theoretical work on the role of (i) strategic voting, (ii) costly information acquisition, (iii) conflicting interests, and (iv) communication in committees. Moreover, we review recent experimental...

Persistent link: https://www.econbiz.de/10009635876

Implementing optimal control in cointegrated I(1) structural VAR models

Monti, Francesca V. - 2003

This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...

Persistent link: https://www.econbiz.de/10009635883

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