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48 entries found on 3 pages. starting on record 1 ending on 20

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Title: Government deficits, wealth effects and the price level in an optimizing model
Abstract
This paper investigates the in inflationary effects of fscal policy in an optimizing general equilibrium monetary model with capital accumulation, exible prices and wealth effects. The model is calibrated to Euro Area quarterly data. Simulation results show that government defcits, high debt level and slow fiscal adjustment adversely affect price stability in the presence of an independent monetary authority adopting a monetary targeting regime. The mechanism through which fiscal policy affects the dynamics of the price level presents monetarist properties, since the price level is determined in the monetary market. The effects produced by fiscal expansions on price dynamics are due to the behavior of consumers, facing a positive probability of death and sharing the burden of fiscal adjustment with future generations. Fiscal variables are shown to influence the consumption plan of individuals and the demand for real money balances, thus affecting the equilibrium conditions in the money market where the price level is determined. [Barbara Annicchiarico]
Author: Annicchiarico, Barbara
Series Title: Working paper series / European Central Bank ; 285
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesFiscal PolicyPrice stabilityTheoryWealth effectPublic Debt
Subject: Economic and growth policiesTaxation. Fiscal policy
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Title: Information acquisition and decision making in committees
Title (other): A survey
Abstract
This is a survey on the recent game theoretic literature on committee decision making. We consider theoretical work on the role of (i) strategic voting, (ii) costly information acquisition, (iii) conflicting interests, and (iv) communication in committees. Moreover, we review recent experimental evidence on these issues. Our analysis focuses on the optimal size, composition, and decision rules of committees. We discuss implications for the design of monetary policy committees. [Kerstin Gerling, Hans Peter Grüner, Alexandra Kiel and Elisabeth Schulte]
Table of Contents
Abstract
Non-technical summary
1 Introduction
2 Strategic voting versus naive voting
2.1 Sincere voting
2.2 Abstention
2.3 Unanimity
3 Incentives for information acquisition
3.1 Large committees
3.2 The case for small committees
3.3 Relation to the delegating authority
4 Conflicting interests
4.1 Caring differently about mistakes
4.2 Binary decisions and continuous information
4.3 Committee size with conflicting preferences
4.4 Decision rules with interdependent preferences
5 Communication
5.1 Irrelevance of voting rules
5.2 Imperfect aggregation and incentives
5.3 Communication and conflicting interests
6 Decision skills
7 Experimental results
8 Summary of theoretical results
8.1 How large should a committee be?
8.2 Who should be in a committee?
8.3 What is the optimal decision rule?
9 Implications for Monetary Policy Committees
9.1 Why monetary policy committees?
9.2 The optimal size of a committee
9.3 The voting rule
9.4 Who should be in a committee?
9.5 Relation to the outside
References
Author: Gerling, Kerstin | Grüner, Hans Peter | Kiel, Alexandra | Schulte, Elisabeth
Series Title: Working paper series / European Central Bank ; 256
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Voting ruleMonetary PolicyGroup decisionTheory
Subject: Currency. Monetary policy
Countries Scheme: No country specification
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Title: Implementing optimal control in cointegrated I(1) structural VAR models
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
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Title: Monetary and fiscal interactions in open economies
Abstract
A two-country sticky-price model is used to analyse the interactions between fiscal and monetary policy. The role of an 'activist' fiscal policy as a stabilisation tool is considered and a measure of the welfare gains from international fiscal policy cooperation is derived. It is found that welfare gains from fiscal cooperation do exist provided monetary policy is set cooperatively. There are also welfare gains from fiscal policy cooperation in a monetary union. However, it is found that a 'non-activist' fiscal policy can be better than non-cooperative fiscal policy when the international correlation of shocks is strongly negative. And non-cooperative fiscal policy can be better than cooperative fiscal policy if monetary policy is not set cooperatively. [Giovanni Lombardo ; Alan Sutherland]
Author: Lombardo, Giovanni | Sutherland, Alan
Series Title: Working paper series / European Central Bank ; 289
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Fiscal PolicyMonetary PolicyOpen economyTheoryEconomic policy target
Subject: Currency. Monetary policyFinancing. Private finance. Financial policy
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Title: Inflation persistence and robust monetary policy design
Abstract
This paper investigates the performance of optimised interest rate rules when there is uncertainty about a key determinant of the monetary transmission mechanism, namely the degree of persistence characterising the inflation process. The paper focuses on the euro area and utilises two variants of an estimated small-scale macroeconomic model featuring distinct types of staggered contracts specifications which induce quite different degrees of inflation persistence. The paper shows that a cautious monetary policy-maker is welladvised to design and implement interest rate policies under the assumption that inflation persistence is high when uncertainty about the prevailing degree of inflation persistence is pervasive. [Günter Coenen]
Author: Coenen, Günter
Series Title: Working paper series / European Central Bank ; 290
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionMonetary PolicyAnti-inflation policyRobust methodTheoryMonetary transmissionInterest rate policy
Subject: Currency. Monetary policy
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Title: Inflation, factor substitution and growth
Abstract
Recent empirical studies on the inflation-growth-relationship underline that inflation has negative growth effects already under relatively modest rates. Most contributions to monetary growth theory, however, have difficulties in explaining such a pattern. It is shown in this paper that this problem can be overcome by establishing a link between monetary instability and the aggregate elasticity of factor substitution. Several microeconomic justifications can be found for a negative influence of inflation on factor substitution. It turns out that already in a simple neoclassical monetary growth model this effect is usually strong enough to question the superneutrality benchmark result in the steady state and to dominate all potential positive effects of inflation along the convergence path. In a more general perspective the paper contributes to a better integration of institutional change in aggregate models of economic growth. [Rainer Klump]
Author: Klump, Rainer
Series Title: Working paper series / European Central Bank ; 280
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: CES production functionEconomic convergenceInflationNeoclassical economicsTheory
Subject: Economic and growth policies
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Title: Optimal dynamic risk sharing when enforcement is a decision variable
Abstract
Societies provide institutions that are costly to use, but able to enforce long-run relationships. We study the optimal decision problem of using self-governance for risk sharing or governance through enforcement provided by these institutions. Third-party enforcement is modelled as a costly technology that consumes resources, but permits the punishment of agents who deviate from ex ante speci?ed allocations. We show that it is optimal to employ the technology whenever commitment problems prevent ?rst-best risk sharing, but never optimal to provide incentives exclusively via this technology. Commitment problems then persist and the optimal incentive structure changes dynamically over time with third-party enforcement monotonically increasing in the relative inequality between agents. [Thorsten V. Koeppl]
Author: Koeppl, Thorsten V.
Series Title: Working paper series / European Central Bank ; 282
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Decision under riskInstitutional infrastructureRiskArbitrationVoluntary agreementTheoryContract theory
Subject: Macro- and micro-economics
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Title: The credibility of the monetary policy "free lunch"
Abstract
Price level targeting has been proposed as an alternative to in?ation targeting that may confer bene?ts if a central bank sets policy under discretion, even if society's loss function is speci?ed in terms of in?ation (instead of price level) volatility. This paper demonstrates the sensitivity of this argument. If even a small portion of agents use a rule-of-thumb to form in?ation expectations, or does not fully understand the nature of the target, price level targeting may in fact impose costs on society rather than bene?ts. While rational expectations and perfect credibility are generally bene?cial with either a price level or an in?ation target, an in?ation target is more robust to alternative assumptions. These results suggest that caution should be exercised in considering a price level target as the basis for monetary policy, unless society has preferences speci?ed in terms of price level, rather than in?ation, volatility. [James Yetman]
Author: Yetman, James
Series Title: Working paper series / European Central Bank ; 284
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Monetary PolicyCredibilityInflation targetingPrice stabilityRational expectationsTheoryCentral Bank
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Title: Bank mergers, competition and liquidity
Abstract
We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete in a differentiated loan market, hold reserves against liquidity shocks, and refinance in the interbank market. A merger creates an internal money market that induces financial cost advantages and may increase reserve holdings. We assess changes in liquidity risk and expected liquidity needs for each bank and for the banking system. Large mergers tend to increase expected aggregate liquidity needs, and thus the liquidity provision by the central bank. Comparative statics suggest that a more competitive environment moderates this effect. [Elena Carletti ; Philipp Hartmann ; Giancarlo Spagnolo ]
Author: Carletti, Elena | Hartmann, Philipp | Spagnolo, Giancarlo
Series Title: Working paper series / European Central Bank ; 292
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: BankBank liquidityIndustrialized countriesCredit marketTheoryCompetitionEconomic concentration
Subject: Currency. Monetary policyInternational investments. Capital movements
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Title: Committees and special interests
Abstract
Some committees convene behind closed doors while others publicly discuss issues and make their decisions. This paper studies the role of open and closed committee decision making in presence of external influence. We show that restricting the information of interest groups may reduce the bias towards special interest politics. Moreover, there are cases where benefits from increasing the number of decision makers can only be reaped if the committee's sessions are not public. In open committees benefits from voting insincerely accrue not only when a decision maker's vote is pivotal. As the number of voters increases, the cost of voting insincerely declines in an open committee because the probability of being pivotal declines. This is not the case in a closed committee where costs and benefits of insincere voting only arise when a voter is pivotal. [Mike Felgenhauer ; Hans-Peter Grüner]
Author: Felgenhauer, Mike | Grüner, Hans Peter
Series Title: Working paper series / European Central Bank ; 293
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: VotingInterest groupTheory
Subject: European Community institutionsEconomic and growth policies
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Title: On the indeterminacy of determinacy and indeterminacy
Abstract
A number of authors have attemted to test whether the U.S. economy is in a determinate or an indeterminate equilibrium. We argue that to answer this question, one must be impose a priori restrictions on lag length that cannot be tested. We provide examples of two economic models. Model 1 displays an indeterminate equilibrium, driven by sunspots. Model 2 displays a determinate equilibrium driven by fundamentals. Given assumptions about the shock distribution of model 2, it is possible to find a distribution of sunspot shocks that drive model 1 such that the two model are observationally equivalent. [Andreas Beyer ; Roger E. A. Farmer]
Author: Beyer, Andreas | Farmer, Roger E. A.
Series Title: Working paper series / European Central Bank ; 277
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Business CycleRational expectationsTheoryUnited States
Subject: Economic development. Economic growth
Countries Scheme: USA
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Title: Relevant economic issues concerning the optimal rate of inflation
Abstract
This paper reviews the key economic issues concerning the welfare costs of inflation and deflation, with a view to shedding light on the desirable properties of the inflation process. Our review of the evidence on the overall costs of inflation and deflation indicates that such costs could be even higher than previously thought, also at moderate rates of inflation, thereby strengthening the case for price stability. We also review two of the arguments usually invoked for maintaining a small positive rate of inflation: the potential alleviation of poor economic performance arising from downward nominal rigidities and the role of sustained inflation differentials within the euro area. Recent evidence suggests that the macroeconomic relevance of these two factors is minor, even when considered in combination, although this assessment remains surrounded by high uncertainty. [Diego Rodriguez-Palenzuela ; Gonzalo Camba-Mendez ; Juan Angel Garcia]
Author: Rodriguez-Palenzuela, Diego | Camba-Mendez, Gonzalo | Angel Garcia, Juan
Series Title: Working paper series / European Central Bank ; 278
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionOptimal rate of inflationTheoryEconomic loss
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Title: Designing targeting rules for international monetary policy cooperation
Abstract
This study analyzes international monetary policy cooperation in a twocountry dynamic general equilibrium model with nominal rigidities, monopolistic competition and producer currency pricing. A quadratic approximation to the utility of the consumers is derived and assumed as the policy objective function of the policymakers. It is shown that only under special conditions there are no gains from cooperation and moreover that the paths of the exchange rate and prices in the constrained-e±cient solution depend on the kind of disturbance that affects the economy. It might be the case either fixed or floating exchange rates. Despite this result, simple targeting rules that involve only targets for the growth of output and for both domestic GDP and CPI in°ation rates can replicate the cooperative allocation. [Gianluca Benigno ; Pierpaolo Benigno]
Author: Benigno, Gianluca | Benigno, Pierpaolo
Series Title: Working paper series / European Central Bank ; 279
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Inflation targetingCurrency agreementEconomic policy coordinationTheory
Subject: Currency. Monetary policy
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Title: Downward nominal wage rigidity and the long-run Philips Curve
Title (other): simulation-based evidence for the euro area
Abstract
This paper summarises the results of a quantitative study of the possible impact of downward nominal wage rigidity on the determination of inflation and output in the euro area and the existence of a non-vertical long-run Phillips curve. The study was undertaken in the context of the review of the ECB's monetary policy strategy in Spring 2003 and complements an investigation of the consequences of the zerointerest- rate bound for monetary policy-making in the euro area, the results of which are summarised in Coenen (2003). [Günter Coenen]
Author: Coenen, Günter
Series Title: Working paper series / European Central Bank ; 270
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionAggregate ProductionInflation expectationsWage rigidityPhillips curveTheory
Subject: Currency. Monetary policy
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Title: Indeterminacy and search theory
Abstract
This paper investigates a dynamic general equilibrium model with search. In particular, search externalities are reßected by an increasing returns to scale matching function, which may imply an indeterminate equilibrium. Hence, the model is capable to generate business ßuctuations, driven by self-fulÞlling belief, characterised by unemployment persistence. A numerical simulation shows that the degree of externalities needed for indeterminacy is not too far from existing empirical estimates and the implied dynamics of employment is richer then that of standard RBC models with search. [Nicola Giammarioli]
Author: Giammarioli, Nicola
Series Title: Working paper series / European Central Bank ; 271
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Dynamic equilibriumMacroeconomicsSearch theoryTheory
Subject: Employment and unemployment
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Title: Inflation targets and the liquidity trap
Abstract
The presence of a lower bound of zero on nominal interest rates has important implications for the conduct of optimal monetary policy. Standard rational expectations models can have alternative steady states as well as non-unique laws of motion, i.e. there can be possible sunspot equilibria. Such complications can be ruled out under a number of alternative assumptions. In this paper we analyse the relevance of the zero lower bound for alternative levels of inßation in a stan- dard Neo-Keynesian model, where stability is assured by assuming that Þscal policy turns expansionary at the zero lower bound. [Matt Klaeffling ; Victor Lopez Perez]
Author: Klaeffling, Matt | Perez, Victor Lopez
Series Title: Working paper series / European Central Bank ; 272
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Fiscal PolicyMonetary PolicyInflation targetingTheory
Subject: Taxation. Fiscal policyCurrency. Monetary policy
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Title: Interpreting implied risk-neutral densities
Title (other): the role of risk premia
Abstract
This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of investors. We employ a multi-factor essentially affine modeling framework apllied to German time-series and cross-section term structure data in order to identify both the risk-neutral and the objective term structure dynamics. We find important differences beetween risk-neutral and objective distributions due to risk premia in bond prices. Moreover, the estimated premia vary over time in a quantitatively significant way, which implies that the differences between the objective and the risk neutral distributions also vary over time. We conclude that one should be cautions in interpreting RNDs as representing the true expectations of market participants. The method used in this paper provides an alternative approach to identifying objective probabilities of future interest rates. [Peter Hördahl ; David Vestin]
Author: Hördahl, Peter | Vestin, David
Series Title: Working paper series / European Central Bank ; 274
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: GermanyRisk neutralityRisk premiumFutures contractTheoryTerm structure of interest rates
Subject: Investment returns. Financial market. Interest rates
Countries Scheme: Germany. General Resources
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Title: Measuring contagion with a Bayesian, time-varying coefficient model
Abstract
To measure contagion empirically, we propose using a Bayesian time-varying coefficient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from structural breaks. It can be used to investigate positive as well as negative contagion. The proposed measure appears to work well using both simulated and actual data. [Matteo Ciccarelli ; Alessandro Rebucci]
Author: Ciccarelli, Matteo | Rebucci, Alessandro
Series Title: Working paper series / European Central Bank ; 263
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: HeteroscedasticityBusiness cycle transmissionMarkov processShockTheory
Subject: Economic development. Economic growth
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Title: Indeterminacy of rational expectations equilibria in sequential financial markets
Abstract
We provide a general characterization of the structure of rational expectations equilibria of any degree of revelation for pure exchange, sequential economies, with deffinitely many states of private information, an incomplete financial market and nominal assets. We estimate the dimension of the rational expectations equilibria for any degree of revelation. Then, we show how a central bank, by deciding on the money supply, may affect the revelation of information at equilibrium. [Paola Donati]
Author: Donati, Paola
Series Title: Working paper series / European Central Bank ; 262
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Asymmetric informationFinancial marketMonetary PolicyRational expectationsTheoryIncomplete marketCentral Bank
Subject: Currency. Monetary policyInvestment returns. Financial market. Interest rates
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Title: Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous
Abstract
We derive fundamental new theory for measuring monetary service flows aggregated over countries within the European Monetary Union (EMU). We develop three increasingly restrictive approaches: (1) the heterogeneous agents approach, (2) the multilateral representative agent approach, and (3) the unilateral representative agent approach. Our heterogeneous agents approach contains our multilateral representative agent approach as a special case. In our most general approach, we assume the existence of a representative consumer within each country to aggregate within each country. We use a stochastic approach to aggregation across countries over the heterogeneous representative agents, and we derive the resulting formulas for stochastic aggregation over countries. Our theory permits monitoring the effects of policy at the aggregate level over the euro area, while also monitoring the distribution effects of policy among the countries of the euro area. Our approach requires the simultaneous use of two inflation indexes over the euro area. [William A. Barnett]
Author: Barnett, William A.
Series Title: Working paper series / European Central Bank ; 260
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: AggregationEU countriesEuropean Economic and Monetary UnionMoney stockMonetary TheoryTheory
Subject: Currency. Monetary policy
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