Creator: Uhlig, Harald, 1961- Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 342 Abstract:
[Please note that the following Greek lettering is improperly transcribed.] If [0,1] is a measure space of agents and X---- a collection of pairwise uncorrelated random variables with common finite mean U and variance a , one would like to establish a law of large numbers () Xdl = U. In this paper we propose to interpret () as a Pettis integral. Using the corresponding Riemann-type version of this integral, we establish (*) and interpret it as an L2-law of large numbers. Intuitively, the main idea is to integrate before drawing an W, thus avoiding well-know measurability problems. We discuss distributional properties of i.i.d. random shocks across the population. We given examples for the economic interpretability of our definition. Finally, we establish a vector-valued version of the law of large numbers for economies.
Keyword: L2 law of large numbers, Pettis integral, Khinchines law of large numbers, Large numbers, Riemann integral, and Random variable Subject (JEL): C10 - Econometric and Statistical Methods and Methodology: General
The Conference Proceedings collection houses papers and ephemera from twenty eight conferences hosted by the Federal Reserve Bank of Minneapolis Research Department between 1994 and 2003. Additional papers from other Minneapolis Research Department conferences can be found at the Minneapolis Fed conferences and programs website.
Creator: Kehoe, Patrick J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 392 Keyword: Discounted repeated game, Game theory, Aps example, and Repeated game Subject (JEL): C73 - Game theory and bargaining theory - Stochastic and dynamic games ; Evolutionary games ; Repeated games
Creator: Smith, Bruce D., d. 2002. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 234 Abstract:
Current approaches to monetary theory and policy owe much to the "quantity theory of money." However, recent theoretical developments suggest that the manner in which money is introduced is more important, even for price level movements, than the quantity of money. Colonial American experience provides a laboratory for discriminating between these views. It is shown here that the nature of backing, rather than the quantity of money, determined its value. Large secular inflations were ended by changing the nature of backing despite the continuance of large note issues (and despite the absence of a metallic standard). Extremely large note issues and note withdrawals are shown not to have produced inflation (currency depreciation) or deflation (currency appreciation).
Keyword: Quantity theory, Colonial America, Fiat money, and Currency Subject (JEL): 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 N11 - Macroeconomics and monetary economics ; Growth and fluctuations - United States ; Canada : Pre-1913
Creator: Backus, David. and Kehoe, Patrick J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 359 Abstract:
We show that some classes of sterilized interventions have no effect on equilibrium prices or quantities. The proof does not depend on complete markets, infinitely-lived agents, Ricardian equivalence, monetary neutrality, or the law of one price. Moreover, regressions of exchange rates or interest differentials on variables measuring the currency composition of the debt may contain no information, in our theoretical economy, about the effectiveness of such interventions. Another class of interventions requires simultaneous changes in monetary and fiscal policy; their effects depend, generally, on the influence of tax distortions, government spending, and money supplies on economic behavior. We suggest that in applying the portfolio balance approach to the study of intervention, lack 01 explicit modeling of these features is a serious flaw.
Keyword: Debts, external and Foreign exchange law and legislation Subject (JEL): F41 - Macroeconomic aspects of international trade and finance - Open economy macroeconomics, F31 - International finance - Foreign exchange, and H30 - Fiscal policies and behavior of economic agents - General
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: Roberds, William. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 298 Abstract:
The consequences of a straightforward monetary targeting scheme are examined for a simple dynamic macro model. The notion of "targeting" used below is the strategic one introduced by Rogoff (1985). Numerical simulations are used to demonstrate that for the model under consideration, monetary targeting is likely to lead to a deterioration of policy performance. These examples cast doubt upon the general efficacy of simple targeting schemes in dynamic rational expectations models.
Keyword: Monetary policy, Macroeconomic model, Monetary targeting, and Rational expectations Subject (JEL): C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis and E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy