| 1. |
- Bertola, Giuseppe, et al.
(författare)
-
Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models
- 1990
-
Rapport (övrigt vetenskapligt/konstnärligt)abstract
- In the model of this paper, an exchange rate fluctuates between given boundaries for random lengths of time and jumps discretely when devaluation occur. We provide explicit solutions for the stochastic processes followed by the exchange rate and by the expected rate of depreciation when the likelihood and the size of devaluations vary stochastically over time. The model produces realistic patterns of covariation between exchange rates and interest rate differentials, and provides interesting interpretations of available empirical evidence. We also specify how to infer devaluation risk from target zone data.
|
|
| 2. |
- Dahlquist, Magnus, et al.
(författare)
-
Estimatinf the Term Structure of Interest Rates with Simple and Complex Functional Forms : Nelson & Siegel vs. Longstaff & Schwartz
- 1994
-
Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The paper compares estimation of spot (zero-coupon) interest rates and implicit forward interest rates from Swedish Treasury bill rates and Government coupon bond yields with two functional forms for the discount function, the simple form of Nelson & Siegel (NS) and the complex form of Longstaff & Schwartz (LS). NS is much easier to use and has much better convergence properties, whereas LS is more flexible. For the data used, estimates with NS and LS are close, with only marginally better fit for LS. The fit of NS seems satisfactory for monetary policy purposes.
|
|
| 3. |
- Dooley, Michael, et al.
(författare)
-
Policy Inconsistency and External Debt Service
- 1990
-
Rapport (övrigt vetenskapligt/konstnärligt)abstract
- In this paper it is argued that the willingness of debtors to make external debt-service payments reflects, in part, their inability to credibly and permanently suspend debt service. The benefits of a credible debt-service suspension would include increased private investment. Buth this would, in turn, tend to create conditions in which it would then be optimal for the government to resume payments. Thus, debt reamins a threat even after the announcement of suspension of debt service. It follows that the expected benefits of such a suspension are limited and may be offset by penalties imposed by creditors.
|
|
| 4. |
- Dumas, Bernard, et al.
(författare)
-
How Long do Unilateral Target Zones Last?
- 1991
-
Rapport (övrigt vetenskapligt/konstnärligt)abstract
- We examine the expected survival time of a unilateral exchange rate target zone, when constraints on monetary policy prevent the central bank from exclusively focusing on defending the target zone. Generally the width of the target zone has a negligible effect on the expected survival time, and the dominant determinants are reserve levels and the degree of real and monetary divergence between the country in question and the rest of the world. For seemingly realistic parameters, the expected survivial time is fairly long: a few decades rather than a few years.
|
|
| 5. |
|
|
| 6. |
|
|
| 7. |
|
|
| 8. |
- Flam, Harry, et al.
(författare)
-
Optimal Subsidies to Declining Industries : Efficiency and Equity Considerations
- 1982
-
Rapport (övrigt vetenskapligt/konstnärligt)abstract
- This paper consider equity vs. efficiency in a small economy that subsidizes an industry facing falling world market prices. Subsidies keep up output in the short run when wages and factors are rigid. But once introduced subsidies become permanent, because of pressures from vested interests. This creates misallocation of resources in the long run. An optimal efficiency subsidy balances the short-run gains and long-run losses. It should be raised when prices fall if there is full employment initially and lowered if there is unemployment. An optimal distribution subsidy, which aims at maintaining the sxisting income distribution, should always be raised.
|
|
| 9. |
|
|
| 10. |
|
|
