发布求助
文献互助 智能选刊 最新文献

CESifo: Monetary Policy & International Finance (Topic)最新文献

筛选
英文 中文
Uncertainty and Monetary Policy During the Great Recession 大衰退时期的不确定性和货币政策
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2022-09-05 DOI: 10.2139/ssrn.3820286
Giovanni Pellegrino, Efrem Castelnuovo, Giovanni Caggiano
{"title":"Uncertainty and Monetary Policy During the Great Recession","authors":"Giovanni Pellegrino, Efrem Castelnuovo, Giovanni Caggiano","doi":"10.2139/ssrn.3820286","DOIUrl":"https://doi.org/10.2139/ssrn.3820286","url":null,"abstract":"We employ a nonlinear VAR framework and a state-of-the-art identification strategy to document the large response of real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this evidence with an estimated DSGE framework featuring a concept of uncertainty comparable to that in our VAR. We then use the estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role successfully played by the Federal Reserve in limiting the output loss that would otherwise have occurred had monetary policy been conducted as in normal times. Finally, we show that the rule estimated during the great recession is able to deliver an economic outcome closer to the flexible price one than the rule describing the Federal Reserve's conduct in normal times.","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124291402","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Airline Delay Propagation: A Simple Method for Measuring its Extent and Determinants 航空公司延误传播:一种测量其范围和决定因素的简单方法
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2022-08-01 DOI: 10.2139/ssrn.3950104
J. Brueckner, Achim I. Czerny, Alberto A. Gaggero
{"title":"Airline Delay Propagation: A Simple Method for Measuring its Extent and Determinants","authors":"J. Brueckner, Achim I. Czerny, Alberto A. Gaggero","doi":"10.2139/ssrn.3950104","DOIUrl":"https://doi.org/10.2139/ssrn.3950104","url":null,"abstract":"This paper offers a simple approach for identifying propagated departure delays and measuring their contribution to arrival delays. Under our approach, a propagated departure delay occurs when the arrival delay of the inbound flight exceeds the subsequent flight’s ground buffer. The size (or frequency) of such propagated delays relative to the size (or frequency) of arrival delays then measures the contribution of propagated delays to late arrivals. This approach differs from earlier attempts to quantify the contribution of delay propagation since it focuses on an individual flight and its immediate predecessor, without attempting to trace the sources of delay propagation back through the entire sequence of prior flights. The paper’s empirical results show that the contribution of propagated departure delays to arrival delays depends on several key determinants.","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125224554","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Measuring Market Expectations 衡量市场预期
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2021-09-01 DOI: 10.3386/w29232
C. Baumeister
{"title":"Measuring Market Expectations","authors":"C. Baumeister","doi":"10.3386/w29232","DOIUrl":"https://doi.org/10.3386/w29232","url":null,"abstract":"Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy developments. This paper reviews empirical approaches for recovering market-based expectations. It starts by laying out the two canonical modeling frameworks that form the backbone for estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium estimates and to identify the most accurate market-based expectation measure. The usefulness of this general approach is illustrated for price expectations in the global oil market. Then, the paper provides an overview of the body of empirical evidence for monetary policy and inflation expectations with a special emphasis on market-specific characteristics that complicate the quest for the best possible market-based expectation measure. Finally, it discusses a number of economic applications where market expectations play a key role for evaluating economic models, guiding policy analysis, and deriving shock measures.","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131747100","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Price Change Synchronization within and between Firms 企业内部和企业之间的价格变动同步
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2021-08-26 DOI: 10.2139/ssrn.3912042
Øivind A. Nilsen, Håvard Skuterud, Ingeborg Munthe-Kaas Webster
{"title":"Price Change Synchronization within and between Firms","authors":"Øivind A. Nilsen, Håvard Skuterud, Ingeborg Munthe-Kaas Webster","doi":"10.2139/ssrn.3912042","DOIUrl":"https://doi.org/10.2139/ssrn.3912042","url":null,"abstract":"Abstract This paper provides evidence on price rigidity at the product- and firm-level in Norway. A strong within-firm synchronization is found supporting the theory of economies of scope in menu costs. The industry synchronization effects are found to be small suggesting that firms either have some monopoly power, or that a firm’s costs of changing their own prices may be larger than the benefit of responding to their competitors’ price changes. These findings have potentially important implications for the micro-foundations of macroeconomic models, and thus the policy advice derived from such models.","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129144453","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Italy in the Eurozone 意大利在欧元区
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2020-07-01 DOI: 10.2139/ssrn.3653941
C. Keuschnigg, Linda Kirschner, M. Kogler, Hannah Winterberg
{"title":"Italy in the Eurozone","authors":"C. Keuschnigg, Linda Kirschner, M. Kogler, Hannah Winterberg","doi":"10.2139/ssrn.3653941","DOIUrl":"https://doi.org/10.2139/ssrn.3653941","url":null,"abstract":"Using a DSGE model with nominal wage rigidity, we investigate two scenarios for the Italian economy. The first considers sustained policy commitment to reform. The results indicate the possibility of `growing out of bad initial conditions', if fiscal consolidation is combined with a program for bank recovery and for competitiveness and growth. The second scenario involves a strong asymmetric recession. It is likely to be very severe under the restrictions of the currency union. A benign exit from the Eurozone with stable investor expectations could substantially dampen the short-run impact. Stabilization is achieved by monetary expansion, combined with exchange rate depreciation. However, investor panic may lead to escalation. Capital market reactions would offset the benefits of monetary autonomy and much delay the recovery.","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115607556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Regulator's Trade-Off: Bank Supervision vs. Minimum Capital 监管者的取舍:银行监管与最低资本
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2012-08-31 DOI: 10.1016/J.JBANKFIN.2013.04.012
Florian C. Buck, E. Schliephake
{"title":"The Regulator's Trade-Off: Bank Supervision vs. Minimum Capital","authors":"Florian C. Buck, E. Schliephake","doi":"10.1016/J.JBANKFIN.2013.04.012","DOIUrl":"https://doi.org/10.1016/J.JBANKFIN.2013.04.012","url":null,"abstract":"","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"119813026","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
Capital Importers Pay More for Their Imports 资本进口国为进口商品支付更多费用
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2012-01-31 DOI: 10.2139/ssrn.1998053
Antonis Adam, Thomas Moutos
{"title":"Capital Importers Pay More for Their Imports","authors":"Antonis Adam, Thomas Moutos","doi":"10.2139/ssrn.1998053","DOIUrl":"https://doi.org/10.2139/ssrn.1998053","url":null,"abstract":"We examine the effects that a country’s net capital flows have on the (border) prices that a country pays for its imports of goods. Using data from 2000 to 2009 for 11 euro area countries we utilize a pricing-to-market specification to study exporters’ pricing behavior to the rest of the countries in the sample, at the industry level, for 900 goods disseminated at the 4- digit Standard International Trade Classification (SITC- revision 3) level. This allows us to construct a panel dataset which contains observations across exporters, importers, industries and time, ending up with a total of 594,327 observations. We find a strong influence of the importing country’s net capital inflows on the border prices of its imports of goods. This result is robust across different specifications of the underlying model, as well to different sample dis-aggregations across types of capital flows, product categories, and exporters.","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122848651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries 股票和住房收益是互补还是替代?来自经合组织国家的证据
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2011-09-01 DOI: 10.2139/ssrn.1940415
G. Caporale, Ricardo M. Sousa
{"title":"Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries","authors":"G. Caporale, Ricardo M. Sousa","doi":"10.2139/ssrn.1940415","DOIUrl":"https://doi.org/10.2139/ssrn.1940415","url":null,"abstract":"In this paper we use a representative consumer model to analyse the equilibrium relation between the transitory deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for both stock returns and housing returns. The evidence based on data for 15 OECD countries shows that when agents expect future stock returns to be higher, they will temporarily allow consumption to rise. Regarding housing returns, if housing assets are seen as complements to stocks, then investors react in the same way, but if they are instead treated as substitutes consumption will be temporarily reduced.","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123256606","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
Bank of England Interest Rate Announcements and the Foreign Exchange Market 英格兰银行利率公告和外汇市场
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2009-04-01 DOI: 10.2139/ssrn.1392156
Michael Melvin, Christian Saborowski, Michael Sager, Mark P. Taylor
{"title":"Bank of England Interest Rate Announcements and the Foreign Exchange Market","authors":"Michael Melvin, Christian Saborowski, Michael Sager, Mark P. Taylor","doi":"10.2139/ssrn.1392156","DOIUrl":"https://doi.org/10.2139/ssrn.1392156","url":null,"abstract":"Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We examine evidence of systematic patterns in exchange rate movements on MPC days over the first decade of operation of the MPC. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate announcement surprises the market. Intraday, five-minute return data are then used to provide a microscopic view. We use a Markov-switching framework that incorporates endogenous transition probabilities, which allows for an interesting alternative characterization of macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to affect the probability that the market enters and remains within the informed trading regime, with some limited market positioning just prior to the announcement.","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123757331","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 83
The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area 模型不确定性下货币政策对失业动态的影响——来自美国和欧元区的证据
CESifo: Monetary Policy & International Finance (Topic) Pub Date : 2009-03-01 DOI: 10.2139/ssrn.1357245
Carlo Altavilla, Matteo Ciccarelli
{"title":"The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area","authors":"Carlo Altavilla, Matteo Ciccarelli","doi":"10.2139/ssrn.1357245","DOIUrl":"https://doi.org/10.2139/ssrn.1357245","url":null,"abstract":"This paper explores the role that the imperfect knowledge of the structure of the economy plays in the uncertainty surrounding the effects of rule-based monetary policy on unemployment dynamics in the euro area and the US. We employ a Bayesian model averaging procedure on a wide range of models which differ in several dimensions to account for the uncertainty that the policymaker faces when setting the monetary policy and evaluating its effect on real economy. We find evidence of a high degree of dispersion across models in both policy rule parameters and impulse response functions. Moreover, monetary policy shocks have very similar recessionary effects on the two economies with a different role played by the participation rate in the transmission mechanism. Finally, we show that a policy maker who does not take model uncertainty into account and selects the results on the basis of a single model may come to misleading conclusions not only about the transmission mechanism, but also about the differences between the euro area and the US, which are on average essentially small.","PeriodicalId":179699,"journal":{"name":"CESifo: Monetary Policy & International Finance (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123088464","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 123
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信