This paper discusses the role of money market operations by the Chinese central bank in a transition period of the monetary policy framework. We argue that in recent years, especially before and after the change in the foreign exchange rate regime in July 2005, money market operations have been...

In recent years, an increasing number of central banks use macro stress-testing as a main tool to assess the robustness of the financial system against severe stresses to the economy, such as deep recessions and sharp rises in interest rates. This paper describes a framework for macro...

We empirically analyze the effects of uncertainty on investment, by types of uncertainty and by properties of stochastic processes; that is, permanent and transitory components separated from economic variables. According to our results, based on Japanese economic data, we find significant...

We construct a local Asian model, including the United States. We obtain structural parameters by estimation or calibration. We examine transmission of demand and exchange rate shocks over Asia and the United States. We also simulate the depreciation of Asian currencies beginning in 1997.

The endogenous creation of bank credit and of deposit money is modeled. If banks have a limited ability to commit to making interbank loans, then, in order for bank deposits to be accepted as liquid assets, an upper bound is placed upon the size of each bank's asset portfolio, where the bound is...

The development of Asian foreign exchange markets has progressed appreciably in recent years. Data from the BIS Triennial Central Bank Survey indicate that the turnover of Asian currencies rose sharply between 2004 and 2007, financial institutions became more important customers, and the...

Despite the widespread belief that technology shocks are the main source of business fluctuations, recent empirical studies find that an investment efficiency shock mainly drives such fluctuations and reflects financial conditions for investment. This poses the question as to what is the major...

A new technique to estimate simultaneously the potential output and Phillips curve is demonstrated. Here we define the potential output as the non-accelerating-inflation level of output (NLO). The NLO is not a mere trend of the actual output, but rather is a critical level of output with the...

This paper shows how purchasing power parity (PPP) can be used to construct a measure for inflation expectations and discusses the properties of this measure from both a theoretical and an empirical perspective. Under the PPP hypothesis, inflation expectations in one country are equal to...