Suche nach Schlagworten '19573-0'
8 entries found on 1 pages. starting on record 1 ending on 8Sort by: Title, Year, Author (Corp. Body),
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Title: Implementing optimal control in cointegrated I(1) structural VAR models |
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Abstract This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots in the system on the policymaker's ability to control it, partially or thoroughly. Different control techniques are proposed according to the extent to which the policymaker can exercise his control on the overall dynamics of the economy, i.e. depending on whether he/she can stabilize the whole system, only part of it or none of it. The second issue involves the structural form of the model. It will be shown in this paper that, in general, a system's features will change when implementing a new control rule. In particular, a controlled system will generally not retain features that should be intrinsecally invariant to policy changes (e.g., neutrality of money in the long-run). [Francesca V. Monti] |
Author: Monti, Francesca V. |
Series Title: Working paper series / European Central Bank ; 288 |
Publisher: European Central Bank |
Year: 2003 |
Language: en |
Ressource: Einzelne Arbeitspapiere, Preprints |
Keyword: Monetary PolicyCointegrationControl theoryTheoryVAR model |
Subject: Economic and growth policies |
Online Ressource: vorübergehend nicht erreichbar! |
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int) |
Title: Forecasting real GDP |
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Title (other): what role for narrow money? |
Abstract This paper analyses the information content of M1 for euro area real GDP since the beginning of the 1980s and reviews theoretical arguments on why real narrow money should help predict real GDP. We find that, unlike in the U.S., in the euro area, M1 has better and more robust forecasting properties for real GDP than yield spreads. This property persists when one controls for a number of other influences. We also evaluate the out-of-sample forecasting performance of different classes of VAR models comprising real M1, GDP and other indicators, using as benchmark a simple univariate model. As a result, only VARs in first differences are able to outperform the benchmark. [Claus Brand ; Hans-Eggert Reimers ; Franz Seitz] |
Author: Brand, Claus | Reimers, Hans-Eggert | Seitz, Franz |
Series Title: Working paper series / European Central Bank ; 254 |
Publisher: European Central Bank |
Year: 2003 |
Language: en |
Ressource: Einzelne Arbeitspapiere, Preprints |
Keyword: EU countriesMoney stockBusiness CycleForecasting techniqueUnited StatesVAR modelNational Accounts |
Subject: Economic and growth policies |
Countries Scheme: USA |
Online Ressource: vorübergehend nicht erreichbar! |
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int) |
Title: Identifying fiscal shocks and policy regimes in OECD countries |
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Abstract The aim of this paper is twofold. First, for West Germany, France, Italy and US, we econometrically select within a SVAR model some fiscal policy regimes, i.e. a 'set of rules' for the implementation of fiscal policies. Second, we identify the fiscal policy shocks related to different categories of expenditure and taxation, and simulate their ex0Bects on economic activity. Empirical evidence shows that in the selected European countries fiscal decisions mainly target government expenditure while a clear-cut distinction between spending and taxation regimes is not found in the US. Both shocks on government spending and taxation generate keynesian responses of output, although fiscal multipliers are quite low (output reacts by 0.1 percent quarterly on average at most to a 1 percentage change in the expenditure or revenue ratio). In Italy, the US and France, the strongest ex0Bect on output is produced by shocks on government expenditure on wages and transfers. [Giuseppe de Arcangelis and Serena Lamartina] |
Author: Arcangelis, Giuseppe de | Lamartina, Serena |
Series Title: Working paper series / European Central Bank ; 281 |
Publisher: European Central Bank |
Year: 2003 |
Language: en |
Ressource: Einzelne Arbeitspapiere, Preprints |
Keyword: GermanyFiscal PolicyFranceItalyShockUnited StatesVAR model |
Subject: Taxation. Fiscal policy |
Online Ressource: vorübergehend nicht erreichbar! |
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int) |
Title: Identifying the monetary transmission mechanism using structural breaks |
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Abstract We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our method we estimate the parameters of a model of the USA monetary transmission mechanism. We estimate a vector autoregression and find that its parameters are unstable. However, using our proposed identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the policy rule. We recover parameter estimate of the recoverable structure and we demonstrate the these parameters are invariant to changes in policy. Since the recoverable structure includes future expectations as explanatory variables our parameter estimates are not subject to the Lucas [24] critique of econometric policy evaluation. [Andreas Beyer ; Roger E. A. Farmer] |
Author: Beyer, Andreas | Farmer, Roger E. A. |
Series Title: Working paper series / European Central Bank ; 275 |
Publisher: European Central Bank |
Year: 2003 |
Language: en |
Ressource: Einzelne Arbeitspapiere, Preprints |
Keyword: Rational expectationsMonetary transmissionUnited StatesVAR model |
Subject: Investment returns. Financial market. Interest rates |
Countries Scheme: USA |
Online Ressource: vorübergehend nicht erreichbar! |
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int) |
Title: Macroeconomic modelling of monetary policy |
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Abstract This paper proposes a new paradigm for the analysis of monetary policy. From an econometric point of view this new approach is just as easy to implement as reduced form analysis, but is robust to the Lucas critique. It requires no explicit prior theory and yet it encompasses all standard DSGE models. After introducing this new paradigm I study US monetary policy and look at the nature and the effect of monetary policy, discuss the transmission mechanism and the policy rule implied by the data, and perform counterfactual policy analysis. [Matt Klaeffling] |
Author: Klaeffling, Matt |
Series Title: Working paper series / European Central Bank ; 257 |
Publisher: European Central Bank |
Year: 2003 |
Language: en |
Ressource: Einzelne Arbeitspapiere, Preprints |
Keyword: Monetary PolicyRational expectationsMonetary transmissionUnited StatesVAR modelTime series analysisEconometric Model |
Subject: Currency. Monetary policy |
Countries Scheme: USA |
Online Ressource: vorübergehend nicht erreichbar! |
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int) |
Title: Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs |
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Abstract Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A reference prior distribution with an optional small open economy effect is proposed and a Gibbs sampler is derived for a straightforward evaluation of the posterior distribution. The methods are used to analyze the effects of monetary policy in Sweden. [Mattias Villani, Anders Warne] |
Author: Villani, Mattias | Warne, Anders |
Series Title: Working paper series / European Central Bank ; 296 |
Publisher: European Central Bank |
Year: 2003 |
Language: en |
Ressource: Einzelne Arbeitspapiere, Preprints |
Keyword: Monetary PolicySmall open economyCointegrationSwedenTheoryVAR model |
Subject: Foreign trade. Trade relationsCurrency. Monetary policy |
Countries Scheme: Sweden |
Online Ressource: vorübergehend nicht erreichbar! |
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int) |
Title: Inflation and relative price asymmetry |
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Abstract By placing store-level price data into bivariate Structural VAR models of inflation and relative price asymmetry, this study evaluates the quantitative importance of idiosyncratic pricing shocks in short-run aggregate price change dynamics. Robustly to alternative definitions of the relative price, identification schemes dictated by two-sided (S,s) pricing theory and measures of asymmetry in the relative price distribution, idiosyncratic shocks explain about 25 to 30 percent of the forecast error variance in inflation at the 12-month horizon. While the contemporaneous correlation between inflation and relative price asymmetry is positive, idiosyncratic shocks lead to a substantial build-up in inflation only after two to five months following the initial disturbance. [Attila Ratfai] |
Author: Ratfai, Attila |
Series Title: Working paper series / European Central Bank ; 301 |
Publisher: European Central Bank |
Year: 2004 |
Language: en |
Ressource: Einzelne Arbeitspapiere, Preprints |
Keyword: InflationRelative pricesShockTheoryHungaryVAR model |
Subject: Economic development. Economic growth |
Countries Scheme: Hungary |
Online Ressource: vorübergehend nicht erreichbar! |
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int) |
Title: What are the spill-overs from fiscal shocks in Europe? |
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Title (other): An empirical analysis |
Abstract We use a Vector Auto Regression (VAR) analysis to explore the (spill-over) effects of fiscal policy shocks in Europe. To enhance comparability with the existing literature, we first analyse the effects of these shocks at the national level. Here, we employ identification based on Choleski decomposition and a structural VAR, both of which lead to the same results. Then, we turn to study the cross-border spill-overs of fiscal shocks via the trade channel. Fiscal expansions in Germany, France and Italy lead to significant increases in imports from a number of European countries. In order to mimic the case of monetary union, we also shut off the effects via the short-term interest rate and the nominal exchange rate and find a slight strengthening on average of the cross-country spill-overs from a fiscal expansion. These results suggest that it may be worthwhile to further investigate the possibility of enhanced fiscal coordination. [Massimo Giuliodori and Roel Beetsma] |
Author: Giuliodori, Massimo | Beetsma, Roel |
Series Title: Working paper series / European Central Bank ; 325 |
Publisher: European Central Bank |
Year: 2004 |
Language: en |
Ressource: Einzelne Arbeitspapiere, Preprints |
Keyword: EU countriesFiscal PolicyMonetary PolicyShockTheoryMonetary transmissionVAR model |
Subject: Taxation. Fiscal policyCurrency. Monetary policy |
Online Ressource: vorübergehend nicht erreichbar! |
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int) |
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