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Estimates of Uncertainty Around the RBA's Forecasts 对澳大利亚央行预测不确定性的估计
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2012-11-12 DOI: 10.2139/ssrn.2174220
P. Tulip, S. Wallace
{"title":"Estimates of Uncertainty Around the RBA's Forecasts","authors":"P. Tulip, S. Wallace","doi":"10.2139/ssrn.2174220","DOIUrl":"https://doi.org/10.2139/ssrn.2174220","url":null,"abstract":"We use past forecast errors to construct confidence intervals and other estimates of uncertainty around the Reserve Bank of Australia's forecasts of key macroeconomic variables. Our estimates suggest that uncertainty about forecasts is high. We find that the RBA's forecasts have substantial explanatory power for the inflation rate but not for GDP growth.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124443817","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: 24
Game Over: Simulating Unsustainable Fiscal Policy 游戏结束:模拟不可持续的财政政策
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2012-03-01 DOI: 10.3386/W17917
Richard W. Evans, L. Kotlikoff, Kerk L. Phillips
{"title":"Game Over: Simulating Unsustainable Fiscal Policy","authors":"Richard W. Evans, L. Kotlikoff, Kerk L. Phillips","doi":"10.3386/W17917","DOIUrl":"https://doi.org/10.3386/W17917","url":null,"abstract":"Fiscal sustainability is one of the most pressing policy issues of our time. Yet it remains difficult to quantify. Official debt is plagued with a number of measurement difficulties since its measurement reflects the choice of words, not policies. And forming the fiscal gap-the imbalance in the government's intertemporal budget-requires strong discount rate assumptions. An alternative approach, taken here, is specifying a stochastic general equilibrium model and determining via simulation how long it takes for the economy to reach game over-the point where current policy can no longer be maintained. Our simulations, based on an OLG model calibrated to the U.S. economy, produce an average duration to game over of roughly one century, with a 35 percent chance of reaching the fiscal limit in roughly 30 years. The prospect of man-made economic collapse produces large equity premia, like those observed in the data. Our simulations show that both the fiscal gap and the equity premium rise as the economy gets closer to hitting its fiscal limit, suggesting that the fiscal gap and the equity premium may be good indicators of unsustainable policy.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114646277","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: 24
Bubbles in Exchange Rates and Monetary Policy 汇率泡沫与货币政策
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2011-02-01 DOI: 10.1111/j.1467-9485.2010.00539.x
Fernando Alexandre, Pedro Bao, J. Driffíll
{"title":"Bubbles in Exchange Rates and Monetary Policy","authors":"Fernando Alexandre, Pedro Bao, J. Driffíll","doi":"10.1111/j.1467-9485.2010.00539.x","DOIUrl":"https://doi.org/10.1111/j.1467-9485.2010.00539.x","url":null,"abstract":"We evaluate the macroeconomic performance of different monetary policy rules when there are bubbles in the exchange rate. We do this in the context of a non-linear rational expectations model. The exchange rate is allowed to deviate from its fundamental value and the persistence of the deviation is modeled as a Markov switching process. Our results suggest that reacting to exchange rate movements does not significantly improve welfare. However, taking into account the switching nature of the economy may be more beneficial.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133769844","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: 2
Downward Wage Rigidities and Optimal Monetary Policy in a Monetary Union 货币联盟下工资刚性与最优货币政策
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2010-11-15 DOI: 10.1111/j.1467-9442.2010.01627.x
S. Fahr, F. Smets
{"title":"Downward Wage Rigidities and Optimal Monetary Policy in a Monetary Union","authors":"S. Fahr, F. Smets","doi":"10.1111/j.1467-9442.2010.01627.x","DOIUrl":"https://doi.org/10.1111/j.1467-9442.2010.01627.x","url":null,"abstract":"This paper analyses the implications of heterogeneity in the type of downward wage rigidity (nominal or real) for optimal monetary policy in a monetary union with asymmetric wage adjustment costs. Indexation in one region of the union reduces optimal grease inflation in the presence of common productivity shocks. Large common shocks may have sizeable and persistent effects on the intra-union terms of trade, whereby the region characterized by downward real wage rigidity adjusts with a persistent loss of competitiveness. In response to asymmetric productivity shocks, there is no role for grease inflation because relative price changes facilitating the real wage changes dominate the adjustment mechanism.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129889716","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: 78
Macroeconomic Propagation Under Different Regulatory Regimes: Evidence From an Estimated DSGE Model For the Euro Area 不同监管制度下的宏观经济传播:来自欧元区估计DSGE模型的证据
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2010-09-24 DOI: 10.2139/ssrn.1682085
Matthieu Darracq Pariès, Christoffer Kok, Diego Rodríguez-Palenzuela
{"title":"Macroeconomic Propagation Under Different Regulatory Regimes: Evidence From an Estimated DSGE Model For the Euro Area","authors":"Matthieu Darracq Pariès, Christoffer Kok, Diego Rodríguez-Palenzuela","doi":"10.2139/ssrn.1682085","DOIUrl":"https://doi.org/10.2139/ssrn.1682085","url":null,"abstract":"The financial crisis clearly illuminated the potential amplifying role of financial factors on macroeconomic developments. Indeed, the heavy impairments of banks’ balance sheets brought to the fore the banking sector’s ability to provide a smooth flow of credit to the real economy. However, most existing structural macroeconomic models fail to take into account the crucial role of banks’ balance sheet adjustment in the propagation of shocks to the economy. This paper contributes to fill this gap, analyzing the role of credit market frictions in business cycle fluctuations and in the transmission of monetary policy. We estimate a closed-economy dynamic stochastic general equilibrium (DSGE) model for the euro area with financially-constrained households and firms and embedding an oligopolistic banking sector facing capital constraints. Using this setup we examine the macroeconomic implications of various financial frictions on the supply and demand of credit, and in particular we assess the effects of introducing risk-sensitive and more stringent capital requirements. Finally, we explore the scope for counter-cyclical bank capital rules and the strategic complementarities between macro-prudential tools and monetary policy. JEL Classification: E4, E5, F4","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128762487","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: 171
Does the Development of Non-Cash Payments Affect Bank Lending? 非现金支付的发展会影响银行贷款吗?
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2010-09-01 DOI: 10.1111/j.1467-9957.2010.02202.x
Santiago Carbó Valverde, Rafael López del Paso
{"title":"Does the Development of Non-Cash Payments Affect Bank Lending?","authors":"Santiago Carbó Valverde, Rafael López del Paso","doi":"10.1111/j.1467-9957.2010.02202.x","DOIUrl":"https://doi.org/10.1111/j.1467-9957.2010.02202.x","url":null,"abstract":"Previous studies show that the impact of an exogenous monetary policy shock on bank lending is different across bank sizes and across various levels of capitalization and liquidity. However, there is little evidence on the impact of other exogenous influences such as the shift from cash to non-cash payment instruments on bank lending. In this paper we explore the effects of the increasing use of non-cash payment instruments on bank lending in Spain during 1992–2000. The results show that banks appear to have taken advantage of the non-cash instruments to adjust their loan supply when interest rates increase.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114340797","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: 2
A Monetary Policy Model Without Money for India 印度没有钱的货币政策模式
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2010-08-01 DOI: 10.5089/9781455202171.001.A001
M. Patra, Muneesh Kapur
{"title":"A Monetary Policy Model Without Money for India","authors":"M. Patra, Muneesh Kapur","doi":"10.5089/9781455202171.001.A001","DOIUrl":"https://doi.org/10.5089/9781455202171.001.A001","url":null,"abstract":"A New Keynesian model estimated for India yields valuable insights. Aggregate demand reacts to interest rate changes with a lag of at least three quarters, with inflation taking seven quarters to respond. Inflation is inertial and persistent when it sets in, irrespective of the source. Exchange rate pass-through to domestic inflation is low. Inflation turns out to be the dominant focus of monetary policy, accompanied by a strong commitment to the stabilization of output. Recent policy actions have raised the effective policy rate, but the estimated neutral policy rate suggests some further tightening to normalize the policy stance.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115086242","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: 40
Contagious Policies: An Analysis of Spatial Interactions Among Countries' Capital Account Policies 传染性政策:国家资本账户政策的空间互动分析
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2010-07-19 DOI: 10.1111/j.1468-0106.2010.00511.x
Andreas Steiner
{"title":"Contagious Policies: An Analysis of Spatial Interactions Among Countries' Capital Account Policies","authors":"Andreas Steiner","doi":"10.1111/j.1468-0106.2010.00511.x","DOIUrl":"https://doi.org/10.1111/j.1468-0106.2010.00511.x","url":null,"abstract":"Countries' capital account policies might be contagious in the sense that domestic policies are driven by other countries' policies. A model of strategic interactions is developed to show that countries' best response to policy changes elsewhere consists in imitating this policy. Using a spatial econometric model, the hypothesis of policy interactions is tested in a large panel data set. The evidence shows that capital account policies are contemporaneously correlated across countries. Concerning fundamentals, the move to a fixed exchange rate regime and an increase in real world interest rates are correlated with the imposition of capital account restrictions.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123846059","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
Central Bank’s Macroeconomic Projections and Learning 中央银行宏观经济预测与学习
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2010-07-01 DOI: 10.2139/ssrn.1744039
G. Ferrero, Alessandro Secchi
{"title":"Central Bank’s Macroeconomic Projections and Learning","authors":"G. Ferrero, Alessandro Secchi","doi":"10.2139/ssrn.1744039","DOIUrl":"https://doi.org/10.2139/ssrn.1744039","url":null,"abstract":"We study the impact of the publication of central bank’s macroeconomic projections on the dynamic properties of an economy where: (i) private agents have incomplete information and form their expectations using recursive learning algorithms, (ii) the short-term nominal interest rate is set as a linear function of the deviations of inflation and real output from their target level and (iii) the central bank, ignoring the exact mechanism used by private agents to form expectations, assumes that it can be reasonably approximated by perfect rationality and releases macroeconomic projections consistent with this assumption. Results in terms of stability of the equilibrium and speed of convergence of the learning process crucially depend on the set of macroeconomic projections released by the central bank. In particular, while the publication of inflation and output gap projections enlarges the set of interest rate rules associated with stable equilibria under learning and helps agents to learn faster, the announcement of the interest rate path exerts the opposite effect. In the latter case, in order to stabilize expectations and to speed up the learning process the response of the policy instrument to inflation should be stronger than under no announcement.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130380858","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
The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at how the Market Impounds New Information 美联储利率目标公告对股票价格的影响:市场如何捕捉新信息
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2010-03-15 DOI: 10.2139/ssrn.1571938
Justin Birru, Stephen Figlewski
{"title":"The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at how the Market Impounds New Information","authors":"Justin Birru, Stephen Figlewski","doi":"10.2139/ssrn.1571938","DOIUrl":"https://doi.org/10.2139/ssrn.1571938","url":null,"abstract":"The Federal Reserve announces its new interest rate target while the stock market is open, at precisely 2:15 P.M. eight times a year. In the Efficient Markets model, information is impounded in prices immediately and accurately as soon as it becomes public knowledge and only the unanticipated portion moves prices. Responding accurately to news requires investors to judge how much other investors have been surprised and how their investment decisions will be affected, so how the market responds to the news generates additional information to be digested and acted upon. This suggests that the full process of returning to equilibrium can not be instantaneous. In this paper, we combine a non-model dependent procedure for extracting the market's risk neutralized probability density over future stock prices from a set of option prices, with a newly available real time options data set, in order to examine the informational microstructure of the stock market around Fed funds target announcements.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131731222","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: 28
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