Showing 1 - 10 of 12
In this paper we assess the stability of open economy backward looking Phillips curves estimated across two different exchange rate regimes. The time series we deal with come from the simulation of a New-Keynesian hybrid model suited for performing monetary policy analysis. The statistical...
Persistent link: https://www.econbiz.de/10005345284
"Despite the common view that exchange rate volatility will inevitably depress the volume of international trade by increasing the riskiness of trading activity, empirical researchers have not found clear support for this relationship, with results being characterised as insignificant or where...
Persistent link: https://www.econbiz.de/10005345565
We examine the forward premium anomaly at horizons of 1 month to 10 years. To overcome the data overlap problem, the estimation procedure used is a heteroscedastic and autocorrelation consistent bootstrap estimation procedure. Our point estimates and bootstrap p-values show that the anomaly...
Persistent link: https://www.econbiz.de/10005706187
In this paper, we study the effectiveness of monetary policy in a severe recession and deflation when nominal interest rates are bounded at zero. We compare two alternative proposals for ameliorating the effect of the zero bound: an exchange-rate peg and price-level targeting. We conduct this...
Persistent link: https://www.econbiz.de/10005706496
Persistent link: https://www.econbiz.de/10005706600
Persistent link: https://www.econbiz.de/10005706641
Persistent link: https://www.econbiz.de/10005706650
Persistent link: https://www.econbiz.de/10005706772
The assessment of models of financial market behaviour requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent based microsimulation models or multifractal models, simulation based estimators might provide an alternative. In order to apply such...
Persistent link: https://www.econbiz.de/10005132583
Persistent link: https://www.econbiz.de/10005132913