Risultati della ricerca
Creator: Todd, Richard M. Series: Business analysis committee meeting Descrizione:
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
Parola chiave: BVAR, Vector autoregression, and Bayesian analysis Soggetto: C53 - Econometric modeling - Forecasting and other model applications
Creator: Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) 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.
Parola chiave: Chile and Bayesian autoregressive vector forecasting models Soggetto: O54 - Economywide Country Studies: Latin America; Caribbean
Creator: Miller, Preston J. and Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) 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.
Parola chiave: Real interest rates, Relative prices, Prices, Exchange rates, and Monetary policy Soggetto: F31 - Foreign Exchange, E52 - Monetary Policy, and E31 - Price Level; Inflation; Deflation
Creator: Miller, Preston J. and Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) 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.
Parola chiave: S & L, Public finance, Real interest rates, Welfare, Deposit insurance, Taxation, Government debt, and Savings and loan Soggetto: G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages and H63 - National Debt; Debt Management; Sovereign Debt