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Estimating New Zealand’s Output Gap Using a Small Macro Model

Szeto, Kam Leong - Treasury, Government of New Zealand - 2013

The Treasury has been testing the assumptions on the potential growth rate of the New Zealand economy. In this paper, we estimate a small macro model using Bayesian techniques, which allows us to assess the level of uncertainty of the estimates of the output gap. The model is based on the work...

Persistent link: https://www.econbiz.de/10010678053

Applying the Hirose-Kamada filter to Swiss data: Output gap and exchange rate pass-through estimates

Bignasca, Franziska; Rossi, Enzo - Schweizerische Nationalbank (SNB) - 2007

Multivariate filters based on the Hodrick-Prescott filter are appealing because they combine the advantages of the Hodrick-Prescott filter with economic relationships. Recently, a new multivariate filter has been put forward by Hirose and Kamada (2003). In this article we apply this new filter...

Persistent link: https://www.econbiz.de/10008925003

Estimación del producto potencial y la brecha de producto para Uruguay: un Modelo de Vectores Autorregresivos Estructural (SVAR) y otras medidas alternativas

Cáceres, Luis - Departamento de Economía, Facultad de Ciencias Sociales - 2012

the correlation for the entire period between each of the estimated gaps and three measures of inflation: headline … inflation, nontradables inflation and underlying inflation. The results show that the relationship between the output gap and … the inflation measures is quite weak, which questions its use as a signal of the situation of the economic activity …

Persistent link: https://www.econbiz.de/10010699053

Monetary Policy, Price Setting, and Credit Constraints

Balleer, Almut - 2019

We estimate the effects of monetary policy on price-setting behavior in administrative micro data underlying the German producer price index. We find a strong degree of monetary non-neutrality. After expansionary monetary policy, the mass of additional price adjustments is economically small and...

Persistent link: https://www.econbiz.de/10012857905

The impacts of credit standards on aggregate fluctuations in a small open economy : the role of monetary policy

Le, Hai - In: Economies : open access journal 9 (2021) 4, pp. 1-26

Empirical evidence demonstrates that credit standards, including lending margins and collateral requirements, move in a countercyclical direction. In this study, we construct a small open economy model with financial frictions to generate the countercyclical movement in credit standards. Our...

Persistent link: https://www.econbiz.de/10012800343

Monetary policy, price setting, and credit constraints

Balleer, Almut; Zorn, Peter - 2019

We estimate the effects of monetary policy on price-setting behavior in administrative micro data underlying the German producer price index. We find a strong degree of monetary nonneutrality. After expansionary monetary policy, the mass of additional price adjustments is economically small and...

Persistent link: https://www.econbiz.de/10012138873

Amplifying Business Cycles Through Credit Constraints

Chakraborty, Suparna - 2007

Theory suggests that endogenous borrowing constraints amplify the impact of external shocks on the economy. How big is the amplification? In this paper, we quantitatively investigate this question in the context of a dynamic, general equilibrium model with borrowing constraints under two...

Persistent link: https://www.econbiz.de/10014052739

Labor market institutions and macroeconomic volatility in a panel of OECD countries

Rumler, Fabio; Scharler, Johann - 2009

coordinated wage bargaining systems have a dampening impact on inflation volatility. …

Persistent link: https://www.econbiz.de/10011605051

Monetary policy shocks in open economies and the inflation unemployment trade-off : the case of the Euro Area

Ribba, Antonio - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-12

, inflation and unemployment, we detect a wrong sign in the response of inflation to contractionary monetary policy shocks … 1999-2019, when the Federal Funds Rate and the Euro-Dollar exchange rate are added to the VAR model inflation shows … significant unemployment inflation trade-off emerges. These conclusions are confirmed by using industrial production instead of …

Persistent link: https://www.econbiz.de/10013168711

How should central banks react to household inflation heterogeneity?

Neyer, Ulrike; Stempel, Daniel - 2022

Empirical evidence suggests that considerable differentials in inflation rates exist across households. This paper … investigates how central banks should react to household inflation heterogeneity in a tractable New Keynesian model. We include two … households that differ in their consumer price inflation rates after adverse shocks. The central bank reacts to either an average …

Persistent link: https://www.econbiz.de/10012803661