Risultati della ricerca
Creator: Auerbach, Kay J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 062 Parola chiave: Electronic funds transfer system, Government policy, and Financial services Soggetto: G28 - Financial Institutions and Services: Government Policy and Regulation
Creator: Croushore, Dean Darrell, 1956- and Evans, Charles, 1958- Series: Joint committee on business and financial analysis Abstract:
Monetary policy research using time series methods has been criticized for using more information than the Federal Reserve had available in setting policy. To quantify the role of this criticism, we propose a method to estimate a VAR with real-time data while accounting for the latent nature of many economic variables, such as output. Our estimated monetary policy shocks are closely correlated with a typically estimated measure. The impulse response functions are broadly similar across the methods. Our evidence suggests that the use of revised data in VAR analyses of monetary policy shocks may not be a serious limitation.
Parola chiave: Monetary policy, Identification, VARs, Data revisions, Real-time data, and Shocks Soggetto: C82 - Data collection and data estimation methodology ; Computer programs - Methodology for collecting, estimating, and organizing macroeconomic data, C32 - Multiple or simultaneous equation models - Time-series models ; Dynamic quantile regressions, and E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy
Creator: Erceg, Christopher J. and Levin, Andrew T. (Andrew Theo) Series: Joint commitee on business and financial analysis Abstract:
The durable goods sector is much more interest sensitive than the non-durables sector, and these sectoral differences have important implications for monetary policy. In this paper, we perform VAR analysis of quarterly US data and find that a monetary policy innovation has a peak impact on durable expenditures that is roughly five times as large as its impact on non-durable expenditures. We then proceed to formulate and calibrate a two-sector dynamic general equilibrium model that roughly matches the impulse response functions of the data. We derive the social welfare function and show that the optimal monetary policy rule responds to sector-specific inflation rates and output gaps. We show that some commonlyprescribed policy rules perform poorly in terms of social welfare, especially rules that put a higher weight on inflation stabilization than on output gap stabilization. By contrast, it is interesting that certain rules that react only to aggregate variables, including aggregate output gap targeting and rules that respond to a weighted average of price and wage inflation, may yield a welfare level close to the optimum given a typical distribution of shocks.
Parola chiave: Monetary policy, Consumer, Business cycles, Durable goods, and Social welfare Soggetto: E31 - Prices, business fluctuations, and cycles - Price level ; Inflation ; Deflation, E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy, and E32 - Prices, business fluctuations, and cycles - Business fluctuations ; Cycles
Creator: Prati, Alessandro, 1961- Series: Monetary theory and financial intermediation Abstract:
The data and press commentaries studied in this paper call for a reinterpretation of the French inflationary crisis and its stabilization in 1926. In contrast with T. J. Sargent's (1984) interpretation, there is evidence that the budgetary situation was well in hand and that only fear of a capital levy made the public unwilling to buy government bonds. As a result, the government had to repay the bonds coming to maturity with monetary financing. Only when Poincare introduced a bill to shift the tax burden off bondholders did the demand for government bonds recover and inflation stop.
Soggetto: E31 - Prices, business fluctuations, and cycles - Price level ; Inflation ; Deflation, E65 - Macroeconomic policy, macroeconomic aspects of public finance, and general outlook - Studies of particular policy episodes, E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy, and N24 - Economic History: Financial Markets and Institutions: Europe: 1913-
Creator: Lacker, Jeffrey Malcolm. and Schreft, Stacey Lee Series: Monetary theory and financial intermediation Abstract:
We describe a stochastic economic environment in which the mix of money and trade credit used as means of payment is endogenous. The economy has an infinite horizon, spatial separation and a credit-related transaction cost, but no capital. We find that the equilibrium prices of arbitrary contingent claims to future currency differ from those from one-good cash-in-advance models. This anomaly is directly related to the endogeneity of the mix of media of exchange used. In particular, nominal interest rates affect the risk-free real rate of return. The model also has implications for some long-standing issues in monetary policy and for time series analysis using money and trade credit.
Soggetto: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates and E42 - Money and interest rates - Monetary systems ; Standards ; Regimes ; Government and the monetary system ; Payment systems
Creator: Jessup, Paul F. and Stolz, Richard W. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 040 Parola chiave: Technology, Minnesota, Banks, Financial services, and Legislative and regulatory policy Soggetto: G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Creator: Altig, David, 1956-, Christiano, Lawrence J., Eichenbaum, Martin S., and Lindé, Jesper. Series: Joint commitee on business and financial analysis Abstract:
We report estimates of the dynamic effects of a technology shock, and then use these to estimate the parameters of a dynamic general equilibrium model with money. We find: (i) a positive technology shock drives up hours worked, consumption, investment and output; (ii) the positive response of hours worked reflects that the Fed has in practice accommodated technology shocks; (iii) model parameter values and functional forms that match the response of macroeconomic variables to monetary policy shocks also work well for technology shocks; (iv) while technology shocks account for a large fraction of the lower frequency component of economic fluctuations, they account for only a small part of the business cycle component of fluctuations.
Preliminary and incomplete
Parola chiave: Consumption, Technology, General equilibrium model, Shocks, and Fluctuations Soggetto: D58 - General equilibrium and disequilibrium - Computable and other applied general equilibrium models and E32 - Prices, business fluctuations, and cycles - Business fluctuations ; Cycles