Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected...

The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime, commonly commitment or discretion. In this paper, we propose a new procedure for testing optimal monetary policy, relying on moment inequalities that nest commitment and discretion...

Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected...

This paper provides evidence that, since the sign of Maastricht Treaty, euro-area monetary authorities mainly follow a strong anti-inflationary policy. This policy can be described by a threshold monetary policy rule model which allows for distinct inflation policy regimes: a low and high. The...

The objective of this study is to identify the impact of the recent period of international integration of bond markets on interest rates in a small open economy. The empirical methodology captures a financial globalization regime with a nonlinear, structural vector autoregression (SVAR) and a...

We study whether the institutional adoption of inflation targeting (IT) has constituted both a policy and a macroeconomic switch in Sweden using the nonlinear MSVAR technique. We assess the relative weight put on inflation in the monetary reaction function and the capacity of IT to reduce...

In this paper we discuss a number of challenges for structural macroeconomic models in the light of the Great Recession and its aftermath. It shows that a benchmark DSGE model that shares many features with models currently used by central banks and large international institutions has...

In this paper we discuss a number of challenges for structural macroeconomic models in the light of the Great Recession and its aftermath. It shows that a benchmark DSGE model that shares many features with models currently used by central banks and large international institutions has...