nep-cba New Economics Papers
on Central Banking
Issue of 2020‒11‒16
23 papers chosen by
Sergey E. Pekarski
Higher School of Economics

  1. Disentangling the effects of multidimensional monetary policy on inflation and inflation expectations in the euro area By Martínez-Hernández, Catalina
  2. Euro-US Dollar Exchange Rate Dynamics at the Effective Lower Bound By Eric McCoy
  3. A simple model of liquidity By Emanuele Franceschi
  4. Taylor Rules and liquidity in financial markets By Emanuele Franceschi
  5. More Stories of Unconventional Monetary Policy By Evan Karson; Christopher J. Neely
  6. The German Federal Constitutional Court ruling and the European Central Bank's strategy By Feld, Lars P.; Wieland, Volker
  7. Shadow Banking, Capital Requirements and Monetary Policy By Fatih Tuluk
  8. The Slope of the Phillips Curve: Evidence from U.S. States By Jonathon Hazell; Juan Herreño; Emi Nakamura; Jón Steinsson
  9. Better off without the Euro? A Structural VAR Assessment of European Monetary Policy By Jan Philipp Fritsche; Patrick Christian Harms
  10. Monetary-fiscal interactions under price level targeting By Guido Ascari; Anna Florio; Alessandro Gobbi
  11. Pass-through from short-horizon to long-horizon inflation expectations, and the anchoring of inflation expectations By James Yetman
  12. Shadow of the Colossus: Euro Area Spillovers and Monetary Policy in Central and Eastern Europe By Makram El-Shagi; Kiril Tochkov
  13. Cojump anchoring By Winkelmann, Lars; Yao, Wenying
  14. Milton Friedman and Exchange Rates in Developing Countries By Sebastian Edwards
  15. The Single Supervisory Mechanism and its implications for the profitability of European Banks By Ioanna Avgeri; Yiannis Dendramis; Helen Louri
  16. Have the driving forces of inflation changed in advanced and emerging market economies? By Güneş Kamber; Madhusudan Mohanty; James Morley
  17. Stock market spillovers via the global production network: Transmission of U.S. monetary policy By Julian di Giovanni; Galina Hale
  18. Hysteresis Effects and Macroeconomics Gains from Unconventional Monetary Policies Stabilization By Abdoulaye Millogo
  19. Understanding Trend Inflation Through the Lens of the Goods and Services Sectors By Yunjong Eo; Luis Uzeda; Benjamin Wong
  20. Fiscal Dominance By Fernando M. Martin
  21. Communication at the Zero Lower Bound: The Case for Forward Guidance By Viktor Marinkov
  22. Not an ordinary bank but a great engine of state: The Bank of England and the British economy, 1694-1844 By O'Brien, Patrick Karl; Palma, Nuno
  23. Trend inflation meets macro-finance: the puzzling behavior of price dispersion By Kaszab, Lorant; Marsal, Ales; Rabitsch, Katrin

  1. By: Martínez-Hernández, Catalina
    Abstract: The European Central Bank (ECB) has adopted a mixture of conventional and unconventional tools in order to achieve its mandate of price stability in the current low-inflation, low-interest-rate scenario. This paper contributes to the existing literature by providing a taxonomy of the ECB's policy toolkit and by evaluating its implications on price stability and the anchoring of inflation expectations. I carry out my analysis based on a high-frequency identification and the estimation of a large Bayesian Vector Autoregression. I find evidence of re-anchored expectations as response to quantitative easing and forward guidance, i.e. forecasters revise their long-run expectations upwards. Consequently, inflation increases, which stresses the crucial role of expectations for the transmission of monetary policy.
    Keywords: Inflation Expectations,Monetary Policy,Large BVAR,High-frequency identification
    JEL: E52 C55 C11 C32 E31
    Date: 2020
  2. By: Eric McCoy
    Abstract: In the aftermath of the Global Financial Crisis (GFC), central bank policy rates edged closer to their effective lower bound – the point beyond which central banks cannot or do not want to lower rates further due to economic reasons or institutional constraints. Central banks therefore had to move beyond conventional policy instruments and instead resort to using unconventional tools such as large-scale asset purchase programs. With policy rates stuck at their effective lower bound for an extended period of time, central bankers and academics started to investigate the channels linking central bank unconventional monetary policy decisions to exchange rate movements. As will be discussed in this paper, extracting the expected policy rate and the term premium components of interest rates using a term structure model contributes to a better understanding of the channels through which the introduction of unconventional monetary policy measures have affected the dynamics of the euro – US dollar (EUR/USD) exchange rate. Empirical evidence is presented showing that the term premium component started to play a predominant role in anchoring EUR/USD developments to unconventional monetary policy, which first began in the US with the US Federal Reserve’s (Fed) QE1 in 2008 and which was later followed in the euro area by the onset of the ECB’s large-scale asset purchase program (APP) in 2015. The ECB’s APP, by compressing the term premium component, has likely triggered portfolio rebalancing and the ensuing cross-border capital flows have exerted a downwards pressure on the EUR/USD. Last but not least, the paper also presents empirical evidence demonstrating that incorporating non-monetary policy variables (relative stock market performance, a measure of domestic sovereign credit risk, as well as relative long-term inflation expectations and oil prices) into the analytical framework enhances significantly the understanding and analysis of EUR/USD developments.
    Keywords: Monetary Policy, Term Premia, Financial Markets, Exchange Rates, McCoy.
    JEL: E43 E44 E52 E58 F31
    Date: 2020–07
  3. By: Emanuele Franceschi (PSE - Paris School of Economics, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)
    Abstract: We introduce liquidity motives in an otherwise standard monetary model. The Central Bank's policy rule is adapted to target the interest rate on liquid bonds. These deviations are sufficient to relax the requirement for active monetary policy and warrant determi-nacy in both passive and active policy regimes. We compare this model of liquidity with workhorse models and find that it can substantially replicate usual dynamics. By means of stochastic simulations, we also study how monetary policy stance affect inflation dynamics and find evidence of increased persistence for passive monetary policy.
    Date: 2020–10–26
  4. By: Emanuele Franceschi (PSE - Paris School of Economics, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)
    Abstract: We study the parameter instability in the monetary policy rule followed by the US Federal Reserve Bank since WWII. We find evidence across a variety of econometric methods of fundamental instability, in particular on the parameter governing the reaction to inflation expectations-the Taylor Principle. We augment the monetary policy rule to account for liquidity conditions and find consistent violations of the Taylor Principle without sunspot inflation episodes. We study the presence of multiple regimes and find that when uncertainty and economic slowdown are looming the Fed reacts passively to expected inflation.
    Date: 2020–10
  5. By: Evan Karson; Christopher J. Neely
    Abstract: This article extends the work of Fawley and Neely (2013) to describe how major central banks have evolved unconventional monetary policies to encourage real activity and maintain stable inflation rates from 2013 through 2019. By 2013, central banks were moving from lump-sum asset purchase programs to continuing asset purchase programs, which are conditioned on economic conditions, careful communication strategies, bank lending programs with incentives and negative interest rates. This article reviews how central banks tailored their unconventional monetary methods to their various challenges and the structures of their respective economies.
    Keywords: monetary policy; quantitative easing; central bank; long-term yield
    JEL: E51 E58 E61 G12
    Date: 2020–10–29
  6. By: Feld, Lars P.; Wieland, Volker
    Abstract: The ruling of the German Federal Constitutional Court and its call for conducting and communicating proportionality assessments regarding monetary policy have been the subject of some controversy. However, it can also be understood as a way to strengthen the de-facto independence of the European Central Bank. The authors shows how a regular proportionality check could be integrated in the ECB's strategy that is currently undergoing a systematic review. In particular, they propose to include quantitative benchmarks for policy rates and the central bank balance sheet. Deviations from such benchmarks can have benefits in terms of the intended path for inflation while involving costs in terms of risks and side effects that need to be balanced. Practical applications to the euro area are provided
    Keywords: central bank independence,monetary law,monetary institutions,monetary policy strategy,proportionality,policy rules,quantitative easing
    JEL: E52 E58 K10
    Date: 2020
  7. By: Fatih Tuluk (Department of Economics, Washington University in St. Louis, USA & Department of Economics, Middle East Technical University Northern Cyprus Campus, Turkey)
    Abstract: I construct a model of the ABCP market to capture the trade-offs between traditional and shadow banks. While traditional banks are better equipped in collecting private information, shadow banks can finance more entrepreneurs’ projects since the capital requirements for loans to shadow banks are laxer than those for regular loans. First, the credit risk diminishes the lending capacity of shadow banks, yet it does not activate traditional loans. An increase in the monitoring cost of shadow banks might shift credit from shadow to traditional banks; however, traditional banks cannot restore credit to a level consistent with that initially achieved by shadow banks. Second, the central bank’s private asset purchases transfer credit from traditional to shadow banks and increase the size of funded projects when frictions are moderate in the shadow banking sector. Third, in the case of highly information-sensitive shadow loans, a decrease in the interest rate on reserves improves the lending capacity of shadow banks more than that of traditional banks.
    Keywords: Shadow banking, asset-backed commercial paper, capital
    JEL: E
    Date: 2019
  8. By: Jonathon Hazell; Juan Herreño; Emi Nakamura; Jón Steinsson
    Abstract: We estimate the slope of the Phillips curve in the cross section of U.S. states using newly constructed state-level price indexes for non-tradeable goods back to 1978. Our estimates indicate that the Phillips curve is very flat and was very flat even during the early 1980s. We estimate only a modest decline in the slope of the Phillips curve since the 1980s. We use a multi-region model to infer the slope of the aggregate Phillips curve from our regional estimates. Applying our estimates to recent unemployment dynamics yields essentially no missing disinflation or missing reinflation over the past few business cycles. Our results imply that the sharp drop in core inflation in the early 1980s was mostly due to shifting expectations about long-run monetary policy as opposed to a steep Phillips curve, and the greater stability of inflation since the 1990s is mostly due to long-run inflationary expectations becoming more firmly anchored.
    JEL: E30
    Date: 2020–10
  9. By: Jan Philipp Fritsche; Patrick Christian Harms
    Abstract: Modern OCA theory has developed different conclusions on when forming a currency union is beneficial. An important pragmatic question in this context is: Did delegating monetary policy to the ECB increase stress in the individual euro area countries? An SVAR analysis reveals that monetary stress has declined more in the euro area than in the euro areas’ doppelganger. The synthetic doppelganger is composed of other OECD countries. This result is independent of the identification strategy (sign restrictions/heteroskedasticity/Cholesky). The results can be rationalized by more formalized central banking and the euro becoming a dominant currency.
    Keywords: Economic and Monetary Union, ECB, euro area, structural vector autoregressions, monetary policy stress, sign restrictions, heteroskedasticity, dominant currency
    JEL: C32 E42 E52 F45
    Date: 2020
  10. By: Guido Ascari; Anna Florio; Alessandro Gobbi
    Abstract: The adoption of a "makeup" strategy is one of the proposals in the ongoing review of the Fed's monetary policy framework. Another suggestion, to avoid the zero lower bound, is a more active role for fiscal policy. We put together these ideas to study monetary-fiscal interactions under price level targeting. Under price level targeting and a fiscally-led regime, we find that following a deflationary demand shock: (i) the central bank increases (rather than decreases) the policy rate; (ii) the central bank, thus, avoids the zero lower bound; (iii) price level targeting is generally welfare improving if compared to inflation targeting.
    Date: 2020–10
  11. By: James Yetman
    Abstract: We investigate pass-through from short-horizon to long-horizon inflation forecasts as a way to assess the anchoring of inflation expectations. We find an overall decline in the pass-through in our sample, with the share of economies having anchored expectations increasing over time. We then investigate what might explain the increase in anchoring. Inflation targeting plays an important role. Low policy rates and persistent deviations of inflation from target are correlated with a decline in expectations' pass-through. This suggests that longer-term expectations remain well anchored, despite recent low inflation out-turns in many economies.
    Keywords: consensus forecasts, inflation expectations anchoring
    JEL: E31 E58
    Date: 2020–10
  12. By: Makram El-Shagi (Center for Financial Development and Stability at Henan University, and School of Economics at Henan University, Kaifeng, Henan); Kiril Tochkov (Texas Christian University, Fort Worth, TX, US)
    Abstract: Closer integration between Central and Eastern Europe (CEE) and the EUCloser integration between Central and Eastern Europe (CEE) and the EU has opened up channels facilitating the propagation of economic shocks from the core to the eastern periphery. This paper examines the effects of such shocks to economic activity and monetary conditions originating in the Euro area (EA) on output, prices, money, and interest rates in 10 CEE countries over the period 2005-2018 using a bilateral restricted VAR framework. In contrast to previous studies, we use Divisia monetary aggregates and compare the effects of EA spillovers to domestic shocks. The results indicate that EA shocks explain the majority of variation across all macroeconomic indicators, with money supply shocks playing the most prominent role. Despite some heterogeneity, the impulse response of monetary aggregates to domestic andEA monetary shocks is almost identical across countries. The impact of the EA shock increases over time and persists, while the domestic shock dies out relatively quickly. Accordingly, we find no meaningful monetary independence in the majority of CEE countries. This is likely to prove detrimental to the effectiveness of monetary policies in CEE.
    Keywords: Monetary policy, spillover, Divisia, Central and Eastern Europe
    JEL: E52 E43 E58
    Date: 2020–11
  13. By: Winkelmann, Lars; Yao, Wenying
    Abstract: This paper develops a two-step inference procedure to test for a local one-for-one relation of contemporaneous jumps in high-frequency financial data corrupted by market microstructure noise. The first step develops a new bivariate Lee-Mykland jump test for pre-averaged, intra-day returns. If a jump is detected in at least one of the two assets, then the second step tests for equal jump sizes. We apply the test procedure to pairs of nominal and inflationindexed government bond yields at monetary policy announcements in the U.S., U.K., and Euro Area. The analysis provides new high-frequency evidence about the anchoring of inflation expectations and central banks' ability to push a measure of inflation expectations towards their inflation target.
    Keywords: high-frequency statistics,pre-averaging,jump test,break-even inflation,anchoring of inflation expectations
    JEL: C58 C12 C32 E58
    Date: 2020
  14. By: Sebastian Edwards
    Abstract: Milton Friedman’s famous 1953 essay, “The case for flexible exchange rates,” deals entirely with advanced nations. An interesting question is what Friedman thought about exchange rate and monetary regimes in emerging economies. In this paper I investigate how his views on the subject evolved through time. I analyze speeches, articles, and interviews. I examine his archives for correspondence and unpublished manuscripts. I show that for him flexible rates were a second best solution for middle income and poor nations. I also analyze Friedman’s role in Chile’s failed attempt, during the Pinochet regime, at using a fixed exchange rate to stabilize the economy and eliminate inflation.
    JEL: B2 B22 B3 F31 F32
    Date: 2020–10
  15. By: Ioanna Avgeri (Athens University of Economics and Business); Yiannis Dendramis (Athens University of Economics and Business); Helen Louri (Athens University of Economics and Business and London School of Economics)
    Abstract: The scope of this paper is to examine if and how the establishment of the Single Supervisory Mechanism (SSM) influenced the profitability of European banks. To do so, we employ the returns on assets and equity as alternative indicators for profitability. Using data for 344 European banks in 2011-2017 we apply the difference-in-differences methodology combined with matching techniques. Our main findings indicate a statistically significant and positive effect on profitability for the directly supervised banks, especially banks located in the periphery of the euro area, implying that institutional improvements introduced by the SSM were beneficial not only for strengthening stability and increasing credibility but also for improving performance and enhancing integration.
    Keywords: European Banking Union; SSM; Bank profitability; policy evaluation
    JEL: C23 C51 G21
    Date: 2020–11
  16. By: Güneş Kamber; Madhusudan Mohanty; James Morley
    Abstract: We construct a balanced panel dataset for 47 advanced and emerging market economies over a sample period from 1996 to 2018 to empirically investigate possible changes in the driving forces of inflation. Using an open economy hybrid Phillips curve model of inflation and formally testing for structural breaks, we find relatively little significant change in the underlying driving forces or their quantitative effects for most economies, even after the Great Financial Crisis. However, one notable change has been an increase in the average weight on expected future inflation, measured using professional forecasts, for both advanced and emerging market economies. We find very heterogeneous but significant effects of inflation expectations, domestic and foreign output gaps, exchange rate passthrough, and oil prices, with generally higher sensitivities to external driving forces for emerging market economies. Consistent with the model, the behavior of the various inflation drivers, especially what appear to be better anchored inflation expectations, can explain patterns of changes in the level and volatility of inflation across different economies.
    Keywords: open economy Phillips curve, structural breaks, inflation expectations, exchange rate passthrough, inflation volatility
    JEL: E31 F31 F41
    Date: 2020–10
  17. By: Julian di Giovanni; Galina Hale
    Abstract: We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns of 54 sectors in 26 countries. We first present a conceptual framework based on a standard open-economy production network model that delivers a spillover pattern consistent with a spatial autoregression (SAR) process. We then use the SAR model to decompose the overall impact of U.S. monetary policy on stock returns into a direct and a network effect. We find that up to 80% of the total impact of U.S. monetary policy shocks on average country-sector stock returns are due to the network effect of global production linkages. We further show that U.S. monetary policy shocks have a direct impact predominantly on U.S. sectors and then propagate to the rest of the world through the global production network. Our results are robust to controlling for correlates of the global financial cycle, foreign monetary policy shocks, and to changes in variable definitions and empirical specifications.
    Keywords: Global production network, asset prices, monetary policy shocks
    JEL: G15 F10 F36
    Date: 2020–10
  18. By: Abdoulaye Millogo (Université de Sherbrooke)
    Abstract: Based on the Great Recession, this paper investigates the slow recovery-following recessions and the ability of unconventional monetary policies to dampen the adverse effects of shocks. The purpose is to elucidate one of the paradoxes of the business cycle—the slow pace of recovery of macroeconomic indicators and to evaluate the gains from monetary policies initiated by central banks following the financial crisis of 2008. Therefore, the article develops a model by integrating hysteresis mechanisms, modelled by the segmentation of the labour market between insiders and outsiders in the structure of a model with financial frictions to explain the paradox related to production and employment. Financial frictions are incorporated into the model by using a moral hazard problem between financial institutions and households. Calibrated on the U.S. economy, the simulations of the model show that the pace of recovery of output and employment takes more than 6 years to get back to the trend after the shocks. The cost in terms of the welfare of this slow recovery ranges between 0.30% to 5.82% according to the importance of the insiders-outsiders phenomenon. According to the baseline calibration of the model, the simulations also show that credit easing helps to strongly limit the effects and the costs in terms of welfare induced by these hysteresis mechanisms. Output and unemployment begin to converge towards their pre-shock simulations respectively 2.5 years, and 3 years when the central bank intervenes with credit easing. Welfare gains vary from 3.55% to 4.30%.
    Keywords: Great Recession, production, unemployment, financial frictions, hysteresis, insiders, outsiders, unconventional monetary policies, credit easing.
    JEL: E23 E24 E32 E58 G01
    Date: 2020–11
  19. By: Yunjong Eo; Luis Uzeda; Benjamin Wong
    Abstract: Monetary policy is largely concerned with managing the part of inflation that is persistent (or permanent), a quantity often referred to as trend inflation. For example, a casual reading of any monetary policy report from the Federal Reserve Board will make it clear that, in addition to total (or headline) inflation, the Federal Reserve also focuses on underlying (or core) measures of inflation that exclude more volatile components such as food and energy prices. This strategy is based on the belief that fluctuations in components such as food and energy prices are ultimately temporary and, consequently, should be excluded from monetary policy considerations about the long-run path of inflation. Trend inflation is thus closely related to the concept of core inflation, since both measures provide a reading on inflation without the transient “noise†that is expected to fade in the short run. A more recent development is that goods and services—the two main sectors used to measure inflation—have been experiencing considerably different dynamics over the past three decades. Our goal in this paper is to understand how such contrasting behaviors at the sectoral level affect the aggregate level of trend inflation dynamics. To do so, we develop an empirical framework that accounts for historical changes in the volatility and comovement of trend inflation in the goods and services sectors for the US. Our main finding is that, while both sectors used to contribute to the overall variation in aggregate trend inflation, since the 1990s variations in trend inflation have been almost entirely dominated by the services sector. Two changes in sector-specific inflation dynamics drive our key result: (i) a large fall in the variance of trend inflation in the goods sector; and (ii) the disappearance of comovement between the two sectors. We document similar findings when extending our analysis to Australia and Canada, suggesting our results are not US-specific.
    Keywords: Econometric and statistical methods; Inflation and prices; Monetary policy: transmission of
    JEL: C32 E52
    Date: 2020–11
  20. By: Fernando M. Martin
    Abstract: Who prevails when fiscal and monetary authorities disagree about the value of public expenditure and how much to discount the future? When the fiscal authority sets debt as its main policy instrument it achieves fiscal dominance, rendering the preferences of the central bank, and thus its independence, irrelevant. When the central bank sets the nominal interest rate it renders fiscal impatience (its debt bias) irrelevant, but still faces its expenditure bias. I find that the expenditure bias is about an order of magnitude more severe than the debt bias and has a major impact on welfare through higher public spending, while the effect on other policies is relatively minor. I also find that the central bank can do little to overcome the negative impact of the fiscal authority's expenditure bias, though there are still gains from properly designing the central bank.
    Keywords: discretion; time-consistency; government debt; deficit; inflation; institutional design; political frictions
    JEL: E52 E58 E61 E62
    Date: 2020–10–29
  21. By: Viktor Marinkov
    Abstract: The zero lower bound (ZLB) acts as an informational curtain for adaptively learning agents as they cannot observe the path of the interest rate. In a canonical New Keynesian model with no policy change it is shown that this results in a disagreement between the Central Bank and the agents about the lift-off date from the ZLB. Consistent with data from the Swedish Riksbank, the agents expect an earlier lift-off than the Central Bank when the ZLB is binding. The disagreement coupled with the learning of the agents results in explosive dynamics. Forward guidance is shown to restore stability at the ZLB by pre­venting spurious expectational drift. The paper calls for a necessary increase in transparency and communication by the Central Bank when constrained by the ZLB. Although such communication is welfare improving, the gains are modest and no forward guidance puzzle is present.
    Keywords: Forward Guidance; Adaptive Learning; Central Bank Communication; Zero Lower Bound
    JEL: E43 E52 E58 E61
    Date: 2020–11–03
  22. By: O'Brien, Patrick Karl; Palma, Nuno
    Abstract: From its foundation as a private corporation in 1694 the Bank of England extended large amounts of credit to support the British private economy and to support an increasingly centralized British state. The Bank helped the British state reach a position of geopolitical and economic hegemony in the international economic order. In this paper, we deploy recalibrated financial data to analyse an evolving trajectory of connections between the British economy, the state, and the Bank of England. We show how these connections contributed to form an effective and efficient fiscal-naval state and promoted the development of a system of financial intermediation for the economy. This symbiotic relationship became stronger after 1793. The evidence that we consider here shows that although the Bank was nominally a private institution and profits were paid to its shareholders, it was playing a public role well before Bagehot's doctrine.
    Keywords: Bank of England,State-building institutions,National defence
    JEL: H41 N13 N23 N43
    Date: 2020
  23. By: Kaszab, Lorant; Marsal, Ales; Rabitsch, Katrin
    Abstract: Motivated by recent empirical findings that emphasize low-frequency movements in inflation as a key determinant of term structure, we introduce trend inflation into the workhorse macro-finance model. We show that this compromises the earlier model success and delivers implausible business cycle and bond price dynamics. We document that this result applies more generally to non-linearly solved models with Calvo pricing and trend inflation and is driven by the behavior of price dispersion, which is i) counterfactually high and ii) highly inaccurately approximated. We highlight the channels behind the undesired performance under trend inflation and propose several remedies.
    Keywords: trend inflation, Calvo pricing, price dispersion, macro-finance, non-linear solution methods
    Date: 2020–10

This nep-cba issue is ©2020 by Sergey E. Pekarski. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.