nep-cba New Economics Papers
on Central Banking
Issue of 2006‒07‒15
seventy papers chosen by
Alexander Mihailov
University of Essex
  1. Caution or Activism? Monetary Policy Strategies in an Open Economy By Lucio Sarno; Martin Ellison; University of Warwick
  2. Relative Price Distortion and Optimal Monetary Policy in Open Economies By Jinill Kim
  3. New Evidence on the Puzzles: Monetary Policy and Exchange Rates By Almuth Scholl; ; Harald Uhlig
  4. Optimal Monetary Policy in a Small Open Economy with Home Bias By Ester Faia
  5. Linear-Quadratic Approximation, Efficiency and Target-Implementability By Paul Levine
  6. Optimising Microfoundations for Inflation Persistence By Richard Mash
  7. Euro area inflation persistence in an estimated nonlinear By Gianni Amisanoa
  8. Optimal Monetary Policy under Adaptive Learning By Vitor Gaspar
  9. Optimal Monetary Policy when Agents are Learning By Krisztina Molnar
  10. Three Lectures on Monetary Theory and Policy: Speaking Notes and Background Papers By David Laidler
  11. The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules By Ramón Maria-Dolores; Jesus Vazquez
  12. Monetary Policy and the Distribution of Money and Capital By Miguel Molico
  13. Optimal Monetary Policy Response to Distortionary Tax Changes By Michael Krause
  14. Monetary Policy with Heterogeneous Agents and Credit Constraints By Xavier Ragot; Yann Algan
  15. Monetary Policy and the Illusionary Exchange Rate Puzzle By Hilde C. Bjørnland; University of Oslo
  16. Wicksell at the Bank of Canada By Kevin Clinton
  17. Monetary Policy and the Term Structure of Interest Rates By Federico Ravenna
  18. Multi-Sectoral Cascading and Price Dynamics - A Bayesian Econometric Evaluation By Alejandro Justiniano
  19. Monetary Policy under Balance Sheet Uncertainty By Saki Bigio; Marco Vega
  20. The Independent Monetary Policy under the Fixed Exchange Regime By Gang Gong; William Goffe
  21. Oil Price Shocks, Monetary Policy Rules and Welfare. By Fiorella de Fiore
  22. Monetary Policy Switch, the Taylor Curve, and the Great Moderation By Efrem Castelnuovo
  23. Sticky Prices vs. Limited Participation:What Do We Learn From the Data? By Niki Papadopoulou
  24. Regional Inflation Dynamics within and across Euro Area and a Comparison with the US By Guenter Beck; Kirstin Hubrich
  25. The discounted economic stock of money with VAR forecasting By William A. Barnett; U. of Kansas
  26. Distortionary Taxation, Debt, and the Price Level By A. Schabert; University of Amsterdam
  27. Inflation Globalization and the Fall of Country Specific Fluctuations By Haroon Mumtaz
  28. The term structure of inflation risk premia and macroeconomic dynamics By Peter Hördahl
  29. Time-Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve By Kevin J. Lansing
  30. The Great Moderation and the ‘Bernanke Conjecture’ By Luca Benati; Bank of England
  31. The Coordination Channel of Foreign Exchange Intervention By Stefan Reitz; M.P Taylor
  32. Exploring the International Linkages of the Euro Area: a Global VAR Analysis By Stephane Dees; European Central Bank
  33. Forecasting Inflation: the Relevance of Higher Moments By Jane M. Binner
  34. Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies By Jose Eduardo de A. Ferreira
  35. Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time? By Yunus Aksoy; ; Kurmas Akdogan
  36. The Triple-Parity Law By Jean-Christian Lambelet
  37. Learning to Forecast the Exchange Rate: Two Competing Approaches. By Paul De Grauwe
  38. Learning, structural instability and present value calculations By M. Hashem Pesaran
  39. Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model By Pau Rabanal
  40. Assessing the structural VAR approach to exchange rate pass-through By Ida Wolden Bache
  41. Nominal Rigidities in an Estimated Two Country By Riccardo Cristadoro
  42. Macroeconomic Dynamics under Rational Inattention By Bartosz Mackowiak
  43. Back to square one: identification issues in DSGE models By Luca Sala; Fabio Canova; UPF
  44. How the ECB and the US Fed Set Interest Rates By Ansgar Belke; Thorsten Polleit
  45. Macroeconomic Models and the Yield Curve By Sean Holly; Jagjit Chadha
  46. A Search Model of Unemployment and Inflation By Etienne Lehmann
  47. The money-age distribution: Empirical facts and economic modelling By Burkhard Heer
  48. Exchange-Rate-Based Stabilization, Durables Consumption, and Stylized Facts By Manoj Atolia
  49. Inflation Premium and Oil Price Volatility By Paul Castillo; Carlos Montoro
  50. Fiscal Policy in an estimated open-economy model for the EURO area. By Ratto Marco; European Commission
  51. Fiscal Rules and Fiscal Performance in the EU and Japan By Jürgen von Hagen
  52. The cyclicality of interest rate spreads in Austria: Evidence for a financial decelerator? By Johann Burgstaller
  53. “To Deficit or Not to Deficit”: Should European Fiscal Rules Differ Among Countries? By Óscar Afonso; Rui Henrique Alves
  54. What Do We Know About the Effects of Fiscal Policy Shocks? A Comparative Analysis By Christophe Kamps; Dario Caldara
  55. Political Economy of Fiscal Institutions By Jürgen von Hagen
  56. The design of fiscal rules and forms of governance in European Union countries By Mark Hallerberg; Rolf Strauch; Jürgen von Hagen
  57. A State-Level Analysis of the Great Moderation By Michael T. Owyang
  58. The Time Varying Volatility of Macroeconomic Fluctuations By Alejandro Justiniano
  59. Learning Hyperinflations By Atanas Christev
  60. Speculative Hyperinflations: When Can We Rule Them Out? By Oscar J. Arce
  61. The Spectre of Deflation: A Review of Empirical Evidence By Gregor W. Smith
  62. Impact of oil prices in an estimated EU12 open economy model By M. Ratto
  63. Monetary regime choice in the accession countries - a theoretical analysis By Anna Lipinska
  64. Money and Swedish Inflation Reconsidered By Ansgar Belke; Thorsten Polleit
  65. Skewed policy responses and IT in Latin America By Marco Vega
  66. Recursive Thick Modeling and the Choice of Monetary Policy in Mexico By Arnulfo Rodriguez; Banco de México
  67. The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building By Jesús Ferreyra; Jorge Salas
  68. Business cycle transmission from the euro area to CEECs By Joerg Breitung; Sandra Eickmeier
  69. Robust Econometrics By Pavel Cizek; Wolfgang Härdle
  70. New OECD Methods for Supply-side and Medium-term Assessments: A Capital Services Approach By Pierre-Olivier Beffy; Patrice Ollivaud; Pete Richardson; Franck Sédillot
  1. By: Lucio Sarno (Universty of Warwick); Martin Ellison; University of Warwick
    Keywords: open economy; learning; monetary policy
    JEL: D83 E52 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:214&r=cba
  2. By: Jinill Kim (Federal Reserve Board)
    Keywords: Cost-Push Shocks; Relative Price Distortion; Interdependence; Open Economy; Optimal Policy
    JEL: E52 F33 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:211&r=cba
  3. By: Almuth Scholl; ; Harald Uhlig
    Keywords: vector autoregressions, agnostic identification, forward discount bias puzzle, exchange rate puzzle, monetary policy
    JEL: C32 E58 F31
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:5&r=cba
  4. By: Ester Faia (Pompeu-Fabra University)
    Keywords: Optimal Monetary Policy, Ramsey Planner, Home Bias, Sticky Prices
    JEL: E52 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:521&r=cba
  5. By: Paul Levine (University of Surrey)
    Keywords: Linear-quadratic approximation, dynamic stochastic general equilibrium models, utility-based loss function
    JEL: E52 E37 E58
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:441&r=cba
  6. By: Richard Mash (Oxford University)
    Keywords: Monetary policy, Phillips curve, Inflation Persistence, Microfoundations
    JEL: E52 E58 E22
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:457&r=cba
  7. By: Gianni Amisanoa
    Keywords: DSGE models, policy rules, inflation persistence, second order approximations,
    JEL: C11 E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:347&r=cba
  8. By: Vitor Gaspar (Banco de Portugal)
    Keywords: Optimal Policy, Adaptive Learning, Rational Expectations, Policy Rules
    JEL: E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:183&r=cba
  9. By: Krisztina Molnar
    Keywords: Optimal Monetary Policy, Learning, Rational Expectations
    JEL: C62 E0
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:40&r=cba
  10. By: David Laidler
    Abstract: In order to promote the exchange of ideas and to support its own research capacity, the Oesterreichische Nationalbank regularly invites internationally renowned economists for short guest professorships. This year, from June 12 -14 2006, David Laidler gave three public lectures on topics related to monetary theory and monetary policy. The first lecture was on “Monetary Policy and the Austrians”, the second on “The Rise and Fall of Monetarism” and the third has dealt with the question “Is there a Role for Money in Monetary Policy in the 21st Century?”. The lectures were based on three background papers, which are contained in this OeNB Working Paper that also includes the lecture notes that were prepared for the lecture series.
    Date: 2006–06–19
    URL: http://d.repec.org/n?u=RePEc:onb:oenbwp:128&r=cba
  11. By: Ramón Maria-Dolores; Jesus Vazquez
    Keywords: NKM model, term structure, monetary policy rule
    JEL: C32 E30 E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:6&r=cba
  12. By: Miguel Molico (Bank of Canada; University of Western Ontario)
    Keywords: search, money, capital, monetary policy, redistribution, wealth
    JEL: E40 E50
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:136&r=cba
  13. By: Michael Krause (Department of Economics Deutsche Bundesbank)
    Keywords: Nominal and real rigidities, distortionary taxation, optimal monetary policy
    JEL: E52 E63
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:306&r=cba
  14. By: Xavier Ragot; Yann Algan
    Keywords: monetary policy, Credit constraints, Welfare
    JEL: E2 E5
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:292&r=cba
  15. By: Hilde C. Bjørnland; University of Oslo
    Keywords: Dornbusch overshooting, VAR, monetary policy, exchange rate puzzle, identification.
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:45&r=cba
  16. By: Kevin Clinton (Queen's University)
    Abstract: Wicksell, writing around the start of the 20th century, outlined an approach to monetary policy strikingly similar to the modern approach, of which the Bank of Canada has been a pioneer. Its features include: the overriding objective of price stability (or low inflation); an interest rate instrument controlled by the rates on settlement balances at the central bank; and a policy rule under which the instrument varies in response to deviations from the objective. Wicksell’s natural rate of interest has resurfaced as the neutral rate in mainstream macroeconomic models; and his description of the inflation process has parallels in the modern Phillips curve. Moreover, in a mandate for price stability, one can find a logical basis for the independence and accountability of central banks. The paper tries to explain why Wicksell’s ideas fell by the wayside for a century, and describes how the Bank of Canada, by pragmatic steps in the 1990s, helped reinvent Wicksell, and install a neo-Wicksellian monetary policy.
    Keywords: Wicksell, central bank, monetary policy, Bank of Canada
    JEL: E42 E52 E58
    Date: 2006–06
    URL: http://d.repec.org/n?u=RePEc:qed:wpaper:1087&r=cba
  17. By: Federico Ravenna (University of California)
    Keywords: Term Structure of Interest Rates, Monetary Policy, Sticky Prices, Habit Persistence, Expectations Hypothesis.
    JEL: E43 E52 G12
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:197&r=cba
  18. By: Alejandro Justiniano (Federal Reserve Board)
    Keywords: Inflation Inertia; Monetary Policy; Bayesian Estimation; Multisectoral Cascading
    JEL: E31 E32 E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:422&r=cba
  19. By: Saki Bigio (Econometric Modelling Unit Central Bank of Peru); Marco Vega (LSE)
    JEL: C11 C61 E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:157&r=cba
  20. By: Gang Gong (Tsinghua University); William Goffe (Economics SUNY Oswego)
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:517&r=cba
  21. By: Fiorella de Fiore
    Keywords: oil price shocks; montary policy; fiscal policy; DSGE
    JEL: E32 E52 E63 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:402&r=cba
  22. By: Efrem Castelnuovo (Economics University of Padua)
    Keywords: Taylor principle, Taylor curve, new Keynesian model, indeterminacy, persistence
    JEL: E30 E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:59&r=cba
  23. By: Niki Papadopoulou (Central Bank of Cyprus; University of Cyprus)
    Keywords: Estimating DSGE, Sticky Prices, Limited Participation, Monetary Policy
    JEL: C5 E3 E4 E5
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:418&r=cba
  24. By: Guenter Beck (Goethe University Frankfurt); Kirstin Hubrich
    Keywords: regional inflation dynamics, euro area and US, common factor models
    JEL: E31 E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:338&r=cba
  25. By: William A. Barnett; U. of Kansas
    Keywords: Monetary aggregation, discounted economic capital stock, VAR, robustness, capital asset pricing
    JEL: E41 G12 C43 C22
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:51&r=cba
  26. By: A. Schabert; University of Amsterdam
    Keywords: Monetary and fiscal policy, Distortionary taxes, Price level determination, Balanced budget policy
    JEL: E E
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:75&r=cba
  27. By: Haroon Mumtaz (monetary assessment and strategy Bank of England)
    Keywords: international inflation, world and country factors,great moderation
    JEL: E30 E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:166&r=cba
  28. By: Peter Hördahl (European Central Bank)
    Keywords: Term structure of interest rates, risk premia, policy rules
    JEL: E43 E44
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:203&r=cba
  29. By: Kevin J. Lansing (Federal Reserve Bank of San Francisco)
    Keywords: Inflation Expectations, Phillips Curve, Time-Varying Persistence and Volatility
    JEL: E31 E37
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:488&r=cba
  30. By: Luca Benati; Bank of England
    Keywords: Great Inflation, indeterminacy, structural break tests; frequency domain, VARs.
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:158&r=cba
  31. By: Stefan Reitz (Economics Deutsche Bundesbank); M.P Taylor
    Keywords: foreign exchange intervention; market microstructure; nonlinear mean reversion
    JEL: C10 F31 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:16&r=cba
  32. By: Stephane Dees; European Central Bank
    Keywords: Global VAR (GVAR), Global interdependencies, global macroeconomic modeling, impulse responses
    JEL: C32 E17 F47
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:47&r=cba
  33. By: Jane M. Binner (Aston University)
    Keywords: relative price distribution, higher moments, out-of-sample inflation forecasting
    JEL: C22 C43 E27
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:407&r=cba
  34. By: Jose Eduardo de A. Ferreira
    Abstract: This paper tests the traditional monetary model of exchange rates for a sample of industrialized and emerging market economies by making use of panel techniques that allow for a high degree of heterogeneity across countries. The results demonstrated partial support for the monetary model for industrialised market economies but not for emerging ones. This constitutes a puzzle as it would expect countries with greater monetary instability to show a stronger association between exchange rates and monetary fundamentals.
    Keywords: Foreign Exchange; Fundamentals; Panel Data; Unit Roots; Assets
    JEL: F31 F37 F41
    Date: 2006–07
    URL: http://d.repec.org/n?u=RePEc:ukc:ukcedp:0603&r=cba
  35. By: Yunus Aksoy; ; Kurmas Akdogan
    Keywords: monetary model, exchange rates, nonlinear adjustment, real time, unit roots, forecasting
    JEL: F31 F37
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:12&r=cba
  36. By: Jean-Christian Lambelet
    Keywords: nominal uncovered interest rate parity, relative purchasing power parity, real interest rate parity, international arbitrage, economic laws, OECD countries
    JEL: C21 C31 E44 E41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:33&r=cba
  37. By: Paul De Grauwe (KULeuven)
    Keywords: Exchange Rate Economics, Adaptive Learning, Behavioral Finance
    JEL: F31 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:367&r=cba
  38. By: M. Hashem Pesaran (University of Cambridge)
    Keywords: present value, stock prices, structural breaks, Bayesian learning
    JEL: C11 G12 G22
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:529&r=cba
  39. By: Pau Rabanal (IMF)
    Keywords: Real Exchange Rates, Bayesian Estimation, Model Comparison.
    JEL: F41 C11
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:87&r=cba
  40. By: Ida Wolden Bache (Research Department Norges Bank (Central Bank of Norway))
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:309&r=cba
  41. By: Riccardo Cristadoro (Bank of Italy)
    Keywords: Macroeconomic simulation; Bayesian Estimation; Non-traded goods; Distribution costs
    JEL: C32 E00
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:162&r=cba
  42. By: Bartosz Mackowiak (Humboldt University Berlin)
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:443&r=cba
  43. By: Luca Sala (Università Bocconi, IGIER); Fabio Canova; UPF
    Keywords: identification, dsge models
    JEL: C13 C51 C52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:196&r=cba
  44. By: Ansgar Belke; Thorsten Polleit
    Date: 2006
    URL: http://d.repec.org/n?u=RePEc:hoh:hohdip:269&r=cba
  45. By: Sean Holly (Cambridge University); Jagjit Chadha (University of St Andrews; Brunel University)
    Keywords: macroeconomic models, yield curve
    JEL: E43 E44 E47
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:105&r=cba
  46. By: Etienne Lehmann (ERMES (CNRS and University of Paris 2 Panthéon Assas) and IZA Bonn)
    Abstract: In this paper, I introduce money in the standard labor-matching model (Mortensen and Pissarides 1999, Pissarides 2000). A double coincidence problem makes Fiat Money necessary as a medium of exchange. In the long-run, a rise in the rate of money growth leads to higher inflation and higher unemployment, so the long-run Phillips curve is not vertical. The optimal monetary growth rate decreases with the workers’ bargaining power, the level of unemployment benefits and the payroll tax rate.
    Keywords: inflation, unemployment, search-matching, Friedman rule
    JEL: E24 E52 J64
    Date: 2006–06
    URL: http://d.repec.org/n?u=RePEc:iza:izadps:dp2194&r=cba
  47. By: Burkhard Heer (Free University of Bolzano)
    Keywords: Money-age distribution, money demand
    JEL: E41 E31 D30
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:191&r=cba
  48. By: Manoj Atolia (Florida State University)
    Keywords: Inflation, Exchange-Rate-Based-Stabilization, Durables
    JEL: E3 E63 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:416&r=cba
  49. By: Paul Castillo (London School of Economics London School of Economics); Carlos Montoro
    Keywords: Phillips Curve, Second Order Solution, Oil Price Shocks, Endogenous Trade-off
    JEL: E52 E42 E12 C63
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:18&r=cba
  50. By: Ratto Marco; European Commission
    Keywords: DSGE Models, Fiscal Policy
    JEL: E12 E62 C13
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:43&r=cba
  51. By: Jürgen von Hagen (Institut für Internationale Wirtschaftspolitik, University of Bonn, Indiana University, and CEPR)
    Abstract: Fiscal rules specify quantitative targets for key budgetary aggregates. In this paper, we review the experience with such rules in Japan and in the EU. Comparing the performance of fiscal policy in the 1980s and 1990s until 2003, we find that the fiscal rule of the 1980s exerted some but not much disciplinary influence on Japanese fiscal policy. The fiscal rule of the Maastricht Treaty had a significant impact on political budget cycles in the EU, but did little to constrain fiscal policy in the large member states. Since the start of the European Monetary Union, the disciplinary effect of the fiscal rule in the EU has vanished. Next, we discuss the importance of budgetary institutions for the effectiveness of fiscal rules. In Europe, a number of countries adopted strong fiscal rules, i.e., a fiscal rule combined with a design of the budget process enabling governments to commit to the rule. We find that strong fiscal rules have been effective. We conclude with some suggestions for the design of a strong fiscal rule in Japan.
    Keywords: Fiscal policy, political budget cycles, government budgeting
    JEL: H11 H61 H62
    Date: 2006–06
    URL: http://d.repec.org/n?u=RePEc:trf:wpaper:147&r=cba
  52. By: Johann Burgstaller (Department of Economics, Johannes Kepler University Linz, Austria)
    Abstract: This study explores an important aspect of how the Austrian banking sector contributes to the propagation of aggregate shocks. Time series data for the 1995-2003 period are applied to examine the cyclical variations in interest rate spreads. Differentials between interest rates on loans and savings are not found to shrink in economic upturns, so there is no financial mechanism emanating from bank markups that would entail an amplification of macroeconomic fluctuations. But also the evidence for Austrian banks dampening the business cycle (a financial de-celerator) is not striking as the increases of interest rate spreads after shocks in the growth rate of real GDP are practically small.
    Keywords: Interest rate spreads; business cycles; financial accelerator; impulse response analysis
    JEL: E32 G21
    Date: 2006–07
    URL: http://d.repec.org/n?u=RePEc:jku:econwp:2006_02&r=cba
  53. By: Óscar Afonso (CEMPRE, Faculdade de Economia do Porto, Universidade do Porto); Rui Henrique Alves (Faculdade de Economia do Porto, Universidade do Porto)
    Abstract: The creation of the European Monetary Union has led to a substantial increase in the discussion of the importance of fiscal discipline and adequate fiscal rules in such a monetary union. The “European” solution has been challenged by many authors and politicians: among the main questions discussed in recent years, we find the use of the same rules for different situations in Member-Countries, particularly in terms of economic dimension and economic level of development. We develop a model of a monetary union between two countries that may differ in economic dimension and in the level of development. By solving transitional dynamics towards the steady state through numerical computation, the model allows us to examine the impact of fiscal shocks that may lead to excessive deficits. Our results suggest that the implications of such deficits depend on whether they occur in the small and less developed country or in the big and more developed one. In this context, we argue that an excessive deficit should be temporarily allowed in the case of the small and less developed country, in order to improve economic convergence and wages within the union.
    Keywords: Monetary Union; SGP; Excessive Deficits; Technological-Knowledge Gap; Numerical Computation.
    JEL: C61 E62 H6 O3
    Date: 2006–07
    URL: http://d.repec.org/n?u=RePEc:por:fepwps:219&r=cba
  54. By: Christophe Kamps (European Central Bank); Dario Caldara (Economics IIES)
    Keywords: Fiscal Policy Shocks, VAR analysis
    JEL: C32 E20 E60
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:257&r=cba
  55. By: Jürgen von Hagen (ZEI, University of Bonn, Indiana University, and CEPR)
    Abstract: We discuss two essential problems of the political economy of public finances: The principal agent problem between voters and elected politicians and the common pool problem arising from the fact that money drawn from a general tax fund is used to pay for policies targeting more or less narrow groups in society. Three institutional mechanisms exist to deal with these problems, ex-ante rules controlling the behavior of elected policy makers, electoral rules creating accountability of and competition among policy makers, and budgeting processes internalizing the common pool externality. We review recent theoretical and empirical research and discuss its implications for research and institutional design.
    Keywords: electoral systems, fiscal rules, budgeting processes
    JEL: H11 H61 H62
    Date: 2005–11
    URL: http://d.repec.org/n?u=RePEc:trf:wpaper:149&r=cba
  56. By: Mark Hallerberg (Department of Political Science, Emory University, 1555 Dickey Drive Atlanta, GA 30322, USA); Rolf Strauch (b) European Central Bank, Kaiserstr. 29, 60311 Frankfurt a.M., Germany); Jürgen von Hagen (Institut für Internationale Wirtschaftspolitik, University of Bonn, CEPR, and Indiana University, Walter-Flex-Str. 3, 53113 Bonn, Germany, Tel: +49 228 73 9199, vonhagen@uni-bonn.de)
    Abstract: This paper uses a new data set on budgetary institutions in Europe to examine the impact of fiscal rules and budget procedures in EU countries on public finances. It briefly describes the main pattern of budgetary institutions and their determinants across the EU 15 member states. Empirical evidence for the time period 1985-2004 suggests that the centralisation of budgeting procedures restrains public debt. In countries with one-party governments or coalition governments where parties are closely aligned and where political competition among them is low, this is achieved by the delegation of decision-making power to the minister of finance. Fiscal contracts that require countries to set multi-year targets and that reinforce those targets increase fiscal discipline in countries with ideologically dispersed coalitions and where parties regularly compete against each other.
    Keywords: public indebtedness, budgetary procedures, fiscal rules, European public finances
    JEL: H11 H61 H62
    Date: 2006–06
    URL: http://d.repec.org/n?u=RePEc:trf:wpaper:150&r=cba
  57. By: Michael T. Owyang (Research Department Federal Reserve Bank of St Louis)
    Keywords: disaggregation, volatility reduction, Markov-switching
    JEL: C22 E24 E32
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:131&r=cba
  58. By: Alejandro Justiniano (Board of Governors of the Federal Reserve)
    Keywords: Great Moderation, Stochastic Volatility, Investment Specific Technology Shock, Relative Price of Investment, DSGE Models
    JEL: C32 E32
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:219&r=cba
  59. By: Atanas Christev
    JEL: C62 E63 E65
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:475&r=cba
  60. By: Oscar J. Arce (Resarch Banco de España)
    Keywords: price level indeterminacy, fiscal and monetary interactions, fiscal theory of the price level
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:376&r=cba
  61. By: Gregor W. Smith (Queen's University)
    Abstract: What explains the widespread fear of deflation? This paper reviews the history of thought, economic history, and empirical evidence on deflation, with a view to answering this question. It also outlines informally the main effects of deflation in applied monetary models. The main finding is that -- for both historical and contemporary deflations -- there are many open, empirical questions that could be answered using the tools economists use to study inflation and monetary policy more generally.
    Keywords: deflation
    JEL: E31
    Date: 2006–07
    URL: http://d.repec.org/n?u=RePEc:qed:wpaper:1086&r=cba
  62. By: M. Ratto (European Commission DG JRC)
    Keywords: DSGE, estimation, oil prices
    JEL: E37 C11 C52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:386&r=cba
  63. By: Anna Lipinska (IDEA Universitat Autonoma de Barcelona)
    Keywords: monetary regime choice, real exchange rate dynamics, accession economies
    JEL: F41 E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:243&r=cba
  64. By: Ansgar Belke; Thorsten Polleit
    Date: 2006
    URL: http://d.repec.org/n?u=RePEc:hoh:hohdip:270&r=cba
  65. By: Marco Vega (Economics LSE and Central Bank of Peru)
    JEL: E52 E47
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:61&r=cba
  66. By: Arnulfo Rodriguez (Economic Studies Division Bank of Mexico); Banco de México
    Keywords: model uncertainty, optimal control, out-of-bag, thin modeling and thick modeling
    JEL: C61 E61
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:30&r=cba
  67. By: Jesús Ferreyra (Central Bank of Peru); Jorge Salas (Central Bank of Peru)
    Abstract: This paper uses the "Behavioral Equilibrium Exchange Rate" (BEER) approach to estimate the equilibrium real exchange rate (RER) for Peru. A bootstrap technique is then employed to build confidence bands for the equilibrium path, so that it is possible to determine whether exchange rate misalignments are statistically significant. Additionally, structural breaks are modeled in the long-run relationship between the RER and its fundamentals. Using quarterly data for 1980.I-2005.III, the authors find that the long-run behavior of the Peruvian RER is explained by the following fundamentals: net foreign liabilities, terms of trade, and, less conclusively, government expenditure and openness. Moreover, the ratio of tradable to non-tradable sector productivities, both in domestic terms and relative to trading partners, appears as an additional RER fundamental only since the 1990s. Finally, there is evidence of some statistically significant RER misalignment episodes over the analyzed period.
    Keywords: Equilibrium Real Exchange Rate, BEER Models, Cointegration, Structural Break, Bootstrap
    JEL: F31 F41 C15 C22
    Date: 2006–06
    URL: http://d.repec.org/n?u=RePEc:rbp:wpaper:2006-006&r=cba
  68. By: Joerg Breitung (Unviersity of Bonn); Sandra Eickmeier (Deutsche Bundesbank)
    Keywords: Dynamic factor models, international business cycles, EMU enlargement, sign restrictions
    JEL: F02 E32 C3
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:229&r=cba
  69. By: Pavel Cizek; Wolfgang Härdle
    Abstract: Econometrics often deals with data under, from the statistical point of view, non-standard conditions such as heteroscedasticity or measurement errors and the estimation methods need thus be either adopted to such conditions or be at least insensitive to them. The methods insensitive to violation of certain assumptions, for example insensitive to the presence of heteroscedasticity, are in a broad sense referred to as robust (e.g., to heteroscedasticity). On the other hand, there is also a more specific meaning of the word `robust`, which stems from the field of robust statistics. This latter notion defines robustness rigorously in terms of behavior of an estimator both at the assumed (parametric) model and in its neighborhood in the space of probability distributions. Even though the methods of robust statistics have been used only in the simplest setting such as estimation of location, scale, or linear regression for a long time, they motivated a range of new econometric methods recently, which we focus on in this chapter.
    Date: 2006–06
    URL: http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2006-050&r=cba
  70. By: Pierre-Olivier Beffy; Patrice Ollivaud; Pete Richardson; Franck Sédillot
    Abstract: The OECD makes frequent use of the supply-side framework and associated measures of factor productivity, productive potential and associated output gaps in the assessment of the short-term conjunctural situation, comparative economic performance and longer-term growth determinants. This paper describes a number of recent changes and improvements in the methods used in estimating potential output for OECD countries and the systems in which they are used, notably for the production of mediumterm economic scenarios. By and large, these reflect important changes and improvements in available statistical data sets, notably for measuring productive capital, as well as the development of more efficient model-based methods for making medium-term projections on a consistent international basis. <P>Révisions des méthods pour élaborer les potentiels de croissance et le scénario de moyen terms de l'OCDE <BR>L’OCDE utilise de façon régulière son cadre analytique de dérivation du bloc d’offre et ses mesures dérivées de productivité globale des facteurs, de potentiel de croissance et d’écart de production dans son évaluation de la situation conjoncturelle, des performances économiques relatives des différents pays et des déterminants de la croissance de long terme. Ce papier décrit les changements et améliorations récents apportés, d’une part, à la méthode d’estimation des potentiels de croissance des pays de l’OCDE et, d’autre part, aux systèmes dans lesquels ces potentiels sont utilisés, notamment ceux assurant la production de scénario de moyen terme. Globalement, ces changements reflètent la meilleure qualité des statistiques disponibles, notamment celles relatives à la mesure du stock de capital productif, mais aussi la mise en place de méthodes plus efficaces pour produire un ensemble cohérent de projections internationales de moyen terme.
    Keywords: OECD, OCDE, production function, potential output, capital services, medium-term projections, macroeconomic modelling, modélisation macroéconomique, fonction de production, production potentielle, stock de capital productif, projections de moyen terme
    JEL: C53 E22 E23 E27 E32 F17 F47
    Date: 2006–07–06
    URL: http://d.repec.org/n?u=RePEc:oec:ecoaaa:482-en&r=cba
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