Creator: Edge, Rochelle Mary, 1971- and Rudd, Jeremy Bay, 1970- Series: Joint commitee on business and financial analysis Abstract:
We add a nominal tax system to a sticky-price monetary business cycle model. When nominal interest income is taxed, the coefficient on inflation in a Taylor-type monetary policy rule must be significantly larger than one in order for the model economy to have a determinate rational expectations equilibrium. When depreciation is treated as a charge against taxable income, an even larger weight on inflation is required in the Taylor rule in order to obtain a determinate and stable equilibrium. These results have obvious implications for assessing the historical conduct of monetary policy.
关键词: Monetary policy, Business cycle, Cycle, Interest, Inflation, Policy, Prices, Monetary, Rational expectation, and Tax 学科: E43 - Money and interest rates - Determination of interest rates ; Term structure of interest rates, E31 - Prices, business fluctuations, and cycles - Price level ; Inflation ; Deflation, E12 - General aggregative models - Keynes ; Keynesian ; Post-Keynesian, and E32 - Prices, business fluctuations, and cycles - Business fluctuations ; Cycles
Creator: Rich, Robert W., 1958- and Tracy, Joseph S., 1956- Series: Joint committee on business and financial analysis Abstract:
This paper examines data on point and probabilistic forecasts of inflation from the Survey of Professional Forecasters. We use this data to evaluate current strategies for the empirical modeling of forecast behavior. In particular, the analysis principally focuses on the relationship between ex post forecast errors and ex ante measures of uncertainty in order to assess the reliability of using proxies based on predictive accuracy to describe changes in predictive confidence. After we adjust the data to account for certain features in the conduct and construct of the survey, we find a significant and robust correlation between observed heteroskedasticity in the consensus forecast errors and forecast uncertainty. We also document that significant compositional effects are present in the data that are economically important in the case of forecast uncertainty, and may be related to differences in respondents' access to information.
关键词: Forecasting, Inflation, Uncertainty, Disagreement, and Conditional heteroskedasticity 学科: C12 - Econometric and statistical methods : General - Hypothesis testing, C22 - Single equation models ; Single variables - Time-series models ; Dynamic quantile regressions, and E37 - Prices, business fluctuations, and cycles - Forecasting and simulation
Creator: Rotemberg, Julio. Series: Lucas expectations anniversary conference Abstract:
I show that a simple sticky price model based on Rotemberg (1982) is consistent with a variety of facts concerning the correlation of prices, hours and output. In particular, I show that it is consistent with a negative correlation between the detrended levels of output and prices when the Beveridge-Nelson method is used to detrend both the price and output data. Such a correlation, i.e.,a negative correlation between the predictable movements in output and the predictable movements in prices is present (and very strong) in U.S. data. Consistent with the model, this correlation is stronger than correlations between prices and hours of work. I also study the size of the predictable price movements that are associated with predictable output movements as well as the degree to which there are predictable movements in monetary aggregates associated with predictable movements in output. These facts are used to shed light on the degree to which the Federal Reserve has pursued a policy designed to stabilize expected inflation.
关键词: Monetary policy, Output, Inflation, Federal Reserve, and Prices 学科: E31 - Prices, business fluctuations, and cycles - Price level ; Inflation ; Deflation, E24 - Macroeconomics : Consumption, saving, production, employment, and investment - Employment ; Unemployment ; Wages ; Intergenerational income distribution ; Aggregate human capital, E23 - Macroeconomics : Consumption, saving, production, employment, and investment - Production, and E50 - Monetary policy, central banking, and the supply of money and credit - General
Creator: Levine, David K. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 386 Abstract:
In a monetary model, it is shown that if there is a unique Pareto inefficient barter equilibrium, then a monetary equilibrium exists when traders are sufficiently patient.
关键词: Consumers, Monetary equilbria, Money, Barter equilibria, and Inflation 学科: E42 - Money and interest rates - Monetary systems ; Standards ; Regimes ; Government and the monetary system ; Payment systems and D51 - General equilibrium and disequilibrium - Exchange and production economies
Creator: Miller, Preston J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 220 描述:
WP 220 was presented at The Economic Consequences of Government Deficits : an Economic Policy Conference, cosponsored by the Center for the Study of American Business and the Institute of Banking and Financial Markets at Washington University, St. Louis, Missouri, October 29-30, 1982.
关键词: Tax policy, Federal debt, Deficit, Inflation, and Budget policy 学科: H63 - National budget, deficit, and debt - Debt ; Debt management, E42 - Money and interest rates - Monetary systems ; Standards ; Regimes ; Government and the monetary system ; Payment systems, E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy, and H62 - National budget, deficit, and debt - Deficit ; Surplus
Creator: Litterman, Robert B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 200 Abstract:
Using optimal control theory and a vector autoregressive representation of the relationship between money and interest rates one can derive a feedback control procedure which defines the best possible tradeoff between interest rate volatility and money supply fluctuations and which could be used to reduce both from their current levels.
关键词: Federal Reserve Bank, Control theory, Time series analysis, Optimal control theory, and Inflation 学科: E51 - Monetary policy, central banking, and the supply of money and credit - Money supply ; Credit ; Money multipliers, E58 - Monetary policy, central banking, and the supply of money and credit - Central banks and their policies, and E40 - Money and interest rates - General