| 1. |
- Adolfson, Malin, et al.
(author)
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Monetary policy trade-offs in an estimated open-economy DSGE model
- 2014
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In: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889 .- 1879-1743. ; 42, s. 33-49
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Journal article (peer-reviewed)abstract
- This paper studies the trade-offs between stabilizing CPI inflation and alternative measures of the output gap in Ramses, the Riksbank's estimated dynamic stochastic general equilibrium (DSGE) model of a small open economy. Our main finding is that the trade-off between stabilizing CPI inflation and the output gap strongly depends on which concept of potential output in the output gap between output and potential output is used in the loss function. If potential output is defined as a smooth trend this trade-off is much more pronounced compared to the case when potential output is defined as the output level that would prevail if prices and wages were flexible.
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| 2. |
- Adolfson, Malin, et al.
(author)
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Optimal Money Policy in an Operational Medium-Sized DSGE Model
- 2011
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In: Journal of Money, Credit and Banking. - : Wiley. - 0022-2879 .- 1538-4616. ; 43, s. 1287-1331
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Journal article (peer-reviewed)abstract
- We show how to construct optimal policy projections in Ramses, the Riksbank's open-economy medium-sized dynamic stochastic general equilibrium model for forecasting and policy analysis. Bayesian estimation of the parameters of the model indicates that they are relatively invariant to alternative policy assumptions and supports our view that the model parameters may be regarded as unaffected by the monetary policy specification. We discuss how monetary policy, and in particular the choice of output gap measure, affects the transmission of shocks. Finally, we use the model to assess the recent Great Recession in the world economy and how its impact on the economic development in Sweden depends on the conduct of monetary policy. This provides an illustration on how Rames incoporates large international spillover effects.
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| 3. |
- Bertola, Giuseppe, et al.
(author)
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Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models
- 1990
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Reports (other academic/artistic)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.
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| 4. |
- Dahlquist, Magnus, et al.
(author)
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Estimatinf the Term Structure of Interest Rates with Simple and Complex Functional Forms : Nelson & Siegel vs. Longstaff & Schwartz
- 1994
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Reports (other academic/artistic)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.
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| 5. |
- Dooley, Michael, et al.
(author)
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Policy Inconsistency and External Debt Service
- 1990
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Reports (other academic/artistic)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.
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| 6. |
- Dumas, Bernard, et al.
(author)
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How Long do Unilateral Target Zones Last?
- 1991
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Reports (other academic/artistic)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.
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| 7. |
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| 8. |
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| 9. |
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| 10. |
- Faust, Jon, et al.
(author)
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The Equilibrium Degree of Transparency and Control in Monetary Policy
- 1999
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Reports (other academic/artistic)abstract
- We examine a central bank's endogenous choice of degree of control and degree of transparency, under both commitment and discretion. Under commitment, we find that the deliberate choice of sloppy control is far less likely under a standard central-bank loss function than reported for a less standard loss function by Cukierman and Meltzer. Under discretoin, maximum degree of control is the only equilibrium. With regard to the degree of transparency, under commitment, a sufficiently patient bank with sufficiently low average and maximum transparency are equilibria. We argue that discretion is the more realistic transparency. A maximum feasible degree of control with a minimum degree of transparency is then a likely outcome. The Bundesbank and the Federal Reserve System are, arguably, examples of this outcome.
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