Creator: Miller, Preston J. and Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 494 Abstract:
This paper investigates the macroeconomic and welfare effects of a particular public finance decision. That decision was to use debt rather than current taxation to finance deposit insurance payments related to the savings and loan debacle. We find that this decision could have significantly raised real interest rates and affected welfare. The analysis is conducted in a dynamic, open-economy, monetary general equilibrium model in which parameters are set based on empirical observations.
Keyword: Real interest rates, Deposit insurance, Public finance, Savings and loan, Taxation, Welfare, Government debt, and S & L Subject (JEL): H63 - National budget, deficit, and debt - Debt ; Debt management and G21 - Financial institutions and services - Banks ; Other depository institutions ; Micro finance institutions ; Mortgages
Creator: Miller, Preston J. and Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 481 Abstract:
This paper investigates the effects of changes in a country's monetary policies on its economy and the welfare of its citizens and those of other countries. Each country is populated by two-period lived overlapping agents who reside in either a home service sector or a world-traded good sector. Policy effects are transmitted through changes in the real interest rate, relative prices, and price levels. Welfare effects are sometimes dominated by relative price movements and can thus be opposite of those found in one-good models. Simulation of dynamic paths also reveals that welfare effects for some types of agents reverse between those born in immediate post-shock periods and those born later.
Keyword: Real interest rates, Relative prices, Exchange rates, Prices, and Monetary policy Subject (JEL): E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy, F31 - International finance - Foreign exchange, and E31 - Prices, business fluctuations, and cycles - Price level ; Inflation ; Deflation
Creator: Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 407 Abstract:
Doan, Litterman, and Sims have described a method for estimating Bayesian vector autoregressive (BVAR) forecasting models. The method has been successfully applied to the U.S. macroeconomic dataset, which is relatively long and stable. Despite the brevity and volatility of the post-1976 Chilean macroeconomic dataset, this paper shows that a straightforward application of the DLS method to this dataset, with simple modifications to allow for delays in the release of data, also appears to satisfy at least one criterion of relative forecasting accuracy suggested by Doan, Litterman, and Sims. However, the forecast errors of the Chilean BVARs are still large in absolute terms. Also, the model's coefficients change sharply in periods marked by policy shifts, such as the floating of the peso in 1982.
Keyword: Chile and Bayesian autoregressive vector forecasting models Subject (JEL): O54 - Economywide country studies - Latin America ; Caribbean
Creator: Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 355 Abstract:
Forecasts are routinely revised, and these revisions are often the subject of informal analysis and discussion. This paper argues 1) that forecast revisions are analyzed because they help forecasters and forecast users to evaluate forecasts and forecasting procedures, and 2) that these analyses can be sharpened by using the forecasting model to systematically express its forecast revision as the sum of components identified with specific data revisions and forecast errors. An algorithm for this purpose is explained and illustrated.
Keyword: Forecasting, Forecast revisions, Innovation, and Data revisions Subject (JEL): E17 - General aggregative models - Forecasting and simulation
Creator: Todd, Richard M. Series: Business analysis committee meeting Description:
Version without Software Appendix appears on the Federal Reserve Bank of Minneapolis Web site at http://www.minneapolisfed.org/publications_papers/pub_display.cfm?id=571
Keyword: BVAR, Vector autoregression, and Bayesian analysis Subject (JEL): C53 - Econometric modeling - Forecasting and other model applications
Creator: Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 330 Keyword: Seasonality, Seasonal fluctuations, Economic time series, and Linear-quadratic model Subject (JEL): C22 - Single equation models ; Single variables - Time-series models ; Dynamic quantile regressions
Creator: Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 270 Keyword: Federal grain programs , Agriculture, Feed grains, Crops, Livestock, and Feed prices Subject (JEL): Q18 - Agriculture - Agricultural policy ; Food policy and H81 - Miscellaneous issues - Governmental loans, loan guarantees, credits, and grants
Creator: Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 207 Keyword: Convergence theorem, Time-invariant system, and Time-varying system Subject (JEL): C10 - Econometric and statistical methods : General - General