This article presents an algorithm that extends Ljungqvist and Sargent's (2012) dynamic Stackelberg game to the case of dynamic stochastic general equilibrium models including forcing variables. Its first step is the solution of the discounted augmented linear quadratic regulator as in Hansen...

With non-controllable auto-regressive shocks, the welfare of Ramsey optimal policy is the solution of a single Riccati equation of a linear quadratic regulator. The existing theory by Hansen and Sargent (2007) refers to an additional Sylvester equation but miss another equation for computing the...

The paper is concerned with the traditional "assignment" to be found in many textbooks that holds central bankers responsible for inflation – and inflation only – while government politicians are recommended to care for the short-term stabilisation of the economy (or not to interfere at all,...

The paper examines how the implicit coordination mechanisms between the policymakers could help in overcoming negative macroeconomic consequences which are provoked by the problem of zero lower bound (ZLB) on the nominal interest rates. For the long period of time, before the global recession...

This paper evaluates inflation forecasts made by Norges Bank which is a successful forecast targeting central bank. It is expected that Norges Bank produces inflation forecasts that are on average better than other forecasts, both naive forecasts, and forecasts from econometric models outside...

The paper investigates the impact of exchange rate depreciation on the balance of payments (BOP) in Nigeria over the period 1961 - 2012. The analysis is based on a multivariate vector error correction framework. A long-term equilibrium relationship was found between BOP, exchange rate and other...

Als Reaktion auf die Corona-Krise haben die Notenbanken des Eurosystems ihre Anleihekäufe im Rahmen des APP-Programms weiter aufgestockt und um das PEPP-Programm erweitert. Diese im Zusammenspiel mit weiteren Maßnahmen der "außergewöhnlichen Geldpolitik" geschaffene zusätzliche Liquidität...

This research paper aims to analyse some Early Warning Systems (EWS) for predicting financial crises. The importance of such a study is undeniable in the context of the current and future mix of policies applied by the monetary authority, in which financial stability and price stability play an...

Background: Modeling exchange rate volatility has remained crucially important because of its diverse implications. This study aimed to address the issue of error distribution assumption in modeling and forecasting exchange rate volatility between the Bangladeshi taka (BDT) and the US dollar...

This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT...