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Displaying results 51 to 57 of 57.

  1. The New Keynesian approach to dynamic general equilibrium modeling
    models, methods, and macroeconomic policy evaluation
    Author: Schmidt, Sebastian; Wieland, Volker
    Published: 2012
    Publisher:  Johann Wolfgang Goethe-Univ., Frankfurt am Main

    This chapter aims to provide a hands-on approach to New Keynesian models and their uses for macroeconomic policy analysis. It starts by reviewing the origins of the New Keynesian approach, the key model ingredients and representative models. Building... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 464 (52)
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    No inter-library loan

     

    This chapter aims to provide a hands-on approach to New Keynesian models and their uses for macroeconomic policy analysis. It starts by reviewing the origins of the New Keynesian approach, the key model ingredients and representative models. Building blocks of current-generation dynamic stochastic general equilibrium (DSGE) models are discussed in detail. These models address the famous Lucas critique by deriving behavioral equations systematically from the optimizing and forward-looking decision-making of households and firms subject to well-defined constraints. State-of-the-art methods for solving and estimating such models are reviewed and presented in examples. The chapter goes beyond the mere presentation of the most popular benchmark model by providing a framework for model comparison along with a database that includes a wide variety of macroeconomic models. Thus, it offers a convenient approach for comparing new models to available benchmarks and for investigating whether particular policy recommendations are robust to model uncertainty. Such robustness analysis is illustrated by evaluating the performance of simple monetary policy rules across a range of recently-estimated models including some with financial market imperfections and by reviewing recent comparative findings regarding the magnitude of government spending multipliers. The chapter concludes with a discussion of important objectives for on-going and future research using the New Keynesian framework.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/97764
    Series: Working paper series / Institute for Monetary and Financial Stability ; 52
    Subjects: Monetary macroeconomics; Keynesian models; New Keynesian models; dynamic stochastic general equilibrium models; New Neoclassical synthesis; model comparison; rational expectations; policy evaluation; policy robustness; monetary and fiscal policy
    Scope: Online-Resource ([4], 107 S.), graph. Darst.
  2. Unexpected consequences of Ricardian expectations
    Erratum
    Author: Schlicht, Ekkehard
    Published: 2013
    Publisher:  Univ., Volkswirtschaftl. Fak., München

    This note identifies a severe mistake in my article “Unexpected Consequences of Ricardian Expectations” that appeard in this journal in the July 2013 issue. more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 483 (2013,15)
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    No inter-library loan

    Location:
    Universitätsbibliothek Mannheim
    Inter-library loan:
    No inter-library loan

     

    This note identifies a severe mistake in my article “Unexpected Consequences of Ricardian Expectations” that appeard in this journal in the July 2013 issue.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/104399
    Series: Munich discussion paper ; 2013-15
    Subjects: Barro-Ricardo equivalence; Ricardian equivalence; fiscal policy; debt; taxation; rational expectations; Ricardian expectations; Barro expectations; tax neutrality
    Scope: Online-Ressource (5 S.)
  3. Evaluating German business cycle forecasts under an asymmetric loss function
    Author: Döpke, Jörg; Fritsche, Ulrich; Siliverstovs, Boriss
    Published: 2009
    Publisher:  Dep. Economics and Politics, Univ., Hamburg

    Based on annual data for growth and inflation forecasts for Germany covering the time span from 1970 to 2007 and up to 17 different forecasts per year, we test for a possible asymmetry of the forecasters' loss function and estimate the degree of... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 482 (2009,5)
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    Location:
    Hochschule Merseburg, Bibliothek
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    Based on annual data for growth and inflation forecasts for Germany covering the time span from 1970 to 2007 and up to 17 different forecasts per year, we test for a possible asymmetry of the forecasters' loss function and estimate the degree of asymmetry for each forecasting institution using the approach of Elliot et al. (2005). Furthermore, we test for the rationality of the forecasts under the assumption of a possibly asymmetric loss function and for the features of an optimal forecast under the assumption of a generalized loss function. We find only limited evidence for the existence of an asymmetric loss functions of German forecasters. As regards the rationality of the forecasts the results depend on the underlying assumption of the test. The rationality of inflation forecasts is more doubtful than those of growth forecasts.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/103167
    Series: DEP discussion papers ; 5/2009
    Subjects: Business cycle forecast evaluation; asymmetric loss function; rational expectations
    Scope: Online-Ressource ([1], 43 S.), graph. Darst.
  4. The zero-interest-rate and the role of the exchange rate for monetary policy in Japan
    Author: Coenen, Günter; Wieland, Volker
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    In this paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,9)
    Inter-library loan:
    No inter-library loan

     

    In this paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United States and the euro area with rational expectations and nominal rigidities. First, we provide a quantitative analysis of the impact of the zero bound on the effectiveness of interest rate policy in Japan in terms of stabilizing output and inflation. Then we evaluate three concrete proposals that focus on depreciation of the currency as a way to ameliorate the effect of the zero bound and evade a potential liquidity trap. Finally, we investigate the international consequences of these proposals.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72634
    Series: CFS Working Paper ; 2003/09
    Subjects: monetary policy rules; zero interest rate bound; liquidity trap; rational expectations; nominal rigidities; exchange rates; monetary transmission.
    Scope: Online-Ressource (41 S.), graph. Darst.
  5. A small estimated euro area model with rational expectations and nominal rigidities
    Author: Coenen, Günter; Wieland, Volker
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    In this paper we estimate a small model of the euro area to be used as a laboratory for evaluating the performance of alternative monetary policy strategies. We start with the relationship between output and inflation and investigate the fit of the... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,8)
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    In this paper we estimate a small model of the euro area to be used as a laboratory for evaluating the performance of alternative monetary policy strategies. We start with the relationship between output and inflation and investigate the fit of the nominal wage contracting model due to Taylor (1980)and three different versions of the relative real wage contracting model proposed by Buiter and Jewitt (1981)and estimated by Fuhrer and Moore (1995a) for the United States. While Fuhrer and Moore reject the nominal contracting model in favor of the relative contracting model which induces more inflation persistence, we find that both models fit euro area data reasonably well. When considering France, Germany and Italy separately, however, we find that the nominal contracting model fits German data better, while the relative contracting model does quite well in countries which transitioned out of a high inflation regime such as France and Italy. We close the model by estimating an aggregate demand relationship and investigate the consequences of the different wage contracting specifications for the inflation-output variability tradeoff, when interest rates are set according to Taylor s rule.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72639
    Series: CFS Working Paper ; 2003/08
    Subjects: European Monetary Union; euro area; macroeconomic modelling; rational expectations; nominal rigidities; overlapping wage contracts; inflation persistence; monetary policy rules
    Scope: Online-Ressource (30 S.), graph. Darst.
  6. Data uncertainty and the role of money as an information variable for monetary policy
    Author: Coenen, Günter; Levin, Andrew T.; Wieland, Volker
    Published: 2003
    Publisher:  Center for Financial Studies, Frankfurt, Main

    In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108 (2003,7)
    Inter-library loan:
    No inter-library loan

     

    In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary aggregates have a potentially significant role in providing information about current real output. We then proceed to analyze the information content of money in a forward-looking model in which monetary policy is optimally determined subject to incomplete information about the true state of the economy. We show that monetary aggregates may have substantial information content in an environment with high variability of output measurement errors, low variability of money demand shocks, and a strong contemporaneous linkage between money demand and real output. As a practical matter, however, we conclude that money has fairly limited information content as an indicator of contemporaneous aggregate demand in the euro area.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/72628
    Series: CFS Working Paper ; 2003/07
    Subjects: euro area; Kalman filter; macroeconomic modelling; measurement error; monetary policy rules; rational expectations
    Scope: Online-Ressource (43 S.), graph. Darst.
  7. Looking backward and looking forward
    Author: Gao, Zhengyuan; Hafner, Christian M.
    Published: May 11, 2016
    Publisher:  Centre for Operations Research and Econometrics, Louvain-la-Neuve

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 203 (2016,14)
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2078.1/173946
    Series: CORE discussion papers ; 2016, 14
    Subjects: Perception; filter; rational expectations; estimation
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen