4期

最新文章

• Foreign exchange intervention: how to signal policy objectives and stabilise the economy AI翻译
  作者：Vitale, P
  作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
  摘要：Within a simple model of monetary policy for an open economy, we study how foreign exchange intervention may be used as a costly signal of the policy makers' objectives. Our analysis indicates that: (i) foreign exchange intervention typically stabilises the national economy, reducing the fluctuations of employment and output; (ii) this result is sensitive to the institutional structure of decision-making, in that a larger stability gain is obtained when foreign exchange intervention and moneta...
• Imperfect credibility and inflation persistence AI翻译
  作者：Erceg, CJ; Levin, AT
  作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
  摘要：In this paper, we formulate a dynamic general equilibrium model with staggered nominal contracts, in which households and firms use optimal filtering to disentangle persistent and transitory shifts in the monetary policy rule. The calibrated model accounts quite well for the dynamics of output and inflation during the Volcker disinflation, and implies a sacrifice ratio very close to the estimated value. Our approach indicates that inflation persistence and substantial costs of disinflation can...
• Why don't macroeconomic quantities respond to exchange rate variability? AI翻译
  作者：Duarte, M
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond
  摘要：Empirical studies comparing fixed and flexible exchange rate regimes document that countries moving from pegged to floating systems experience a systematic and dramatic rise in the variability of the real exchange rate. However, there is very little evidence that the behavior of other macroeconomic variables varies systematically with the exchange rate regime. This paper seeks to resolve this puzzle: We examine the effects of the exchange rate regime in a dynamic general equilibrium model with...
• Technology shocks and monetary policy:: assessing the Fed's performance AI翻译
  作者：Galí, J; López-Salido, JD; Vallés, J
  作者单位：Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Banco de Espana
  摘要：The purpose of the present paper is twofold. First, we characterize the Fed's systematic response to technology shocks and its implications for U.S. output, hours and inflation. Second, we evaluate the extent to which those responses can be accounted for by a simple monetary policy rule (including the optimal one) in the context of a standard business cycle model with sticky prices. Our main results can be described as follows: First, we detect significant differences across periods in the res...
• Does the federal reserve possess an exploitable informational advantage? AI翻译
  作者：Peek, J; Rosengren, ES; Tootell, GMB
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Boston; University of Kentucky
  摘要：This paper provides evidence that the Federal Reserve has an informational advantage over the public that can, be exploited to improve activist monetary policy. The informational superiority does not result from the Fed having earlier access to publicly released financial data. Instead, this advantage is generated by confidential supervisory knowledge about troubled, non-publicly traded institutions. As a result, this information can remain confidential for an extended period, since these bank...
• The optimal mix of taxes on money, consumption and income AI翻译
  作者：De Fiore, F; Teles, P
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; European Central Bank; Centre for Economic Policy Research - UK; Banco de Portugal; Universidade Catolica Portuguesa
  摘要：We determine the optimal combination of taxes on money, consumption and income in transactions technology models where exogenous government expenditures must be financed with distortionary taxes. We show that the optimal policy does not tax money, regardless of whether the government can use as alternative fiscal instruments an income tax, a consumption tax, or the two taxes jointly. These results are at odds with recent literature. We argue that the reason for this divergence is an inappropri...
• A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables AI翻译
  作者：Ang, A; Piazzesi, M
  作者单位：National Bureau of Economic Research; University of California System; University of California Los Angeles
  摘要：We describe the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying. restrictions are based on the absence of arbitrage. Using a term structure model with inflation and economic growth factors, together with latent variables, we investigate how macro variables affect bond prices and the dynamics of the yield curve. We find that the forecasting performance of a VAR improves when no-arbitrage restrictions are imposed and that models with macro ...
• Maximum likelihood in the frequency domain: the importance of time-to-plan AI翻译
  作者：Christiano, LJ; Vigfusson, RJ
  作者单位：Federal Reserve System - USA; Northwestern University
  摘要：We illustrate the use of various frequency-domain tools for estimating and testing dynamic, stochastic general equilibrium models. We show how to exploit the well-known fact that the log, Gaussian density function has a linear decomposition in the frequency domain. We also propose a new resolution to the problem that the phase angle between two variables is not uniquely determined. These methods are applied to the analysis of business cycles. Our substantive findings confirm existing results i...