We study the loss function of 15 European governments as implied by their budget balance forecasts. Results suggest that the shape of the loss function varies across countries. The loss function becomes more asymmetric as the forecast horizon increases and in advance of parliamentary election....

Economic theory predicts that, in a small open economy, the dynamics of the real price of gold should be linked to real interest rates and the rate of change of the real exchange rate. Using data for Australia, we use a real-time forecasting approach to analyze whether real interest rates and...

In diesem Beitrag wird aufgezeigt, dass sich die Geldpolitik der Deutschen Bundesbank im Zeitraum 1991 bis 1998 gut mit Hilfe einer so genannten vorausschauenden Taylor-Regel beschreiben lässt. Die Deutsche Bundesbank stabilisierte in den 90er Jahren sowohl die Inflation als auch die...

This paper studies the relative performance of alternative monetary policy rules in the presence of oil price shocks in a small open economy optimizing model. Our analysis shows that it is important to distinguish between alternative price indices (CPI, core CPI, and GDP deflator) when modeling...

This paper uses a dynamic general equilibrium optimizing two-country model to analyze how the formation of exchange rate expectations shapes the effects of monetary policy shocks in open economies. The model implies that the short-run output effects of permanent monetary policy shocks diminish...

This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods produced in different countries plays a central...

This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility depends on the nature of the underlying shock....

This paper uses a dynamic general equilibrium two-country optimizing sticky-price model to analyze the consequences of international financial market integration for the propagation of asymmetric productivity shocks in a monetary union. The model implies that business cycle volatility is higher...

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the...