Academic literature on the topic 'Monetary Macroeconomics'
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Journal articles on the topic "Monetary Macroeconomics":
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Moiseev, S. "The Formalization of Macroeconomics and Its Consequences for Monetary Policy." Voprosy Ekonomiki, no. 2 (February 20, 2007): 46–58. http://dx.doi.org/10.32609/0042-8736-2007-2-46-58.
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While early macroeconomists were engineers trying to solve practical problems, modern macroeconomists have focused on developing mathematic tools and establishing models. These analytic instruments, however, have been slow to find their way into practical applications. This paper reviews the influence of modern macroeconomics on realities of monetary policy. The author concludes that the effect of formalization of macroeconomic theory on central banking is close to zero.
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Ade Khadijatul Z. HRP, M. Shabri Abd. Majid, and Rahmat. "Islamic Macro Economy: A New Paradigm." International Journal of Economics (IJEC) 2, no. 1 (June 10, 2023): 33–44. http://dx.doi.org/10.55299/ijec.v2i1.101.
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This study seeks to explore Islamic macroeconomics as a new paradigm and its application in controlling inflation, monetary and fiscal in conventional and Islamic macroeconomics. Then explore some points about the development of macroeconomics at the time of the Prophet Muhammad. The approach method used in this study is descriptive qualitative analysis, with library research data collection techniques using secondary data in accordance with a number of relevant literature. Then the data analysis technique was carried out by inductive deductive techniques. The results show that monetary policy is an important instrument of political policy in the economic system, both conventional and Islamic and this policy has existed and began to develop since the time of the Prophet Muhammad. The fundamental difference between Islamic and conventional macroeconomics lies in the purpose and prohibition of interest in Islam, the condition for achieving and ensuring the proper functioning of the monetary system is that the monetary authority must supervise the entire system. Monetary policy and fiscal policy are macroeconomic policies that are very important in relation to achieving inflation targets and economic growth. Therefore, in an effort to overcome inflation, monetary and fiscal policies, the government can carry out various macroeconomic policies to achieve inflation targets and economic growth.
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Costabile, Lilia. "Istitutions for Social Well-Being: alcune risposte." QA Rivista dell'Associazione Rossi-Doria, no. 3 (August 2009): 103–11. http://dx.doi.org/10.3280/qu2009-003005.
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- Answering the round table participants, the author illustrates the project of this book and its main findings. While the book implies a focus on social policy, the contributors have brought to it their expertise not only in welfare economics but also in macroeconomic and monetary policy. This article outlines how social policy relates to these economic issues, and adopts an international political economy approach both in explaining hierarchies among countries, and in calling into question the "efficiency/equality trade off" as a useful instrument in comparing the economic performance of Europe and the US. Finally, the article discusses the issue of a possible convergence between the social models of Europe towards those of the best performing countries.EconLit Classification: D600, E120, F300, F400, F500Keywords: Welfare Economic, Growth, Globalization, Open Economy Macroeconomics, European Monetary UnionParole chiave: Welfare state, Crescita, Globalizzazione, Macroeconomia delle economie aperte, Unione monetaria europea
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Karim, Zulkefly Abdul, and Bakri Abdul Karim. "Interest Rates Targeting of Monetary Policy: An Open Economy SVAR Study of Malaysia." Gadjah Mada International Journal of Business 16, no. 1 (February 28, 2014): 1. http://dx.doi.org/10.22146/gamaijb.5464.
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This paper examines the implementation of monetary policy during the interest rates targeting in a small-open economy (i.e. Malaysia) by using an open-economy structural VAR (SVAR) study. It tests the effect of foreign shocks upon domestic macroeconomic fluctuations and monetary policy, and examines how effective monetary policy is in influencing macroeconomic variables. The results show that during interest rates targeting, monetary policy plays a significant role in affecting macroeconomics variables. This finding suggests that monetary policy has an important role as a stabilization policy in a small-open economy.
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Muzib, Md Moniruzzaman, Muhammad Rabiul Islam Liton, Md Nazmus Sadekin, and Md Abdul Latif Mahmud. "The Target and Achievements of Private Sector Credit in Bangladesh: A Monetary Policy Analysis." Global Disclosure of Economics and Business 3, no. 2 (December 31, 2014): 175–84. http://dx.doi.org/10.18034/gdeb.v3i2.162.
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This paper tries to assess the monetary policy on macroeconomic indicators in Bangladesh. The central bank declares monetary policy statement twice in every year to pursue its macroeconomic goals. The assessment provides that during the sample period, monetary policy is not strong enough to control the inflation rate. In addition, policies did not appear itself as ignition to the investment process as well as the growth rate of GDP. This assessment leaves an interesting outcome: monetary policy is not independent and strong enough to pursue its macroeconomics goals.
JEL Classification Code: M51, M52
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Arestis, Philip. "Fiscal policy is still an effective instrument of macroeconomic policy." Panoeconomicus 58, no. 2 (2011): 143–56. http://dx.doi.org/10.2298/pan1102143a.
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Recent developments in macroeconomics and macroeconomic policy, what has come to be known as ?New Consensus in Macroeconomics?, downgrades the role of fiscal policy and upgrades that of monetary policy. This contribution aims to consider this particular contention by focusing on fiscal policy. We consider fiscal policy within the current ?new consensus? theoretical framework, which views fiscal policy as ineffective, and argue that it deserves a great deal more attention paid to it than it has been recently. We review and appraise recent and not so recent theoretical and empirical developments on the fiscal policy front. The possibility of fiscal and monetary policy coordination is proposed and discussed to conclude that it deserves a great deal more attention and careful consideration than it has been given to in the past. Our overall conclusion is that discretionary application of fiscal and monetary policy in a coordinated and focused manner as a tool of macroeconomic policy deserves serious attention paid to it than hitherto.
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Duménil, Gérard, and Dominique Lévy. "MODELING MONETARY MACROECONOMICS: KALECKI RECONSIDERED." Metroeconomica 63, no. 1 (August 29, 2011): 170–99. http://dx.doi.org/10.1111/j.1467-999x.2011.04134.x.
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Levando, Dmitry. "A survey of strategic market games." Ekonomski anali 57, no. 194 (2012): 63–106. http://dx.doi.org/10.2298/eka1294063l.
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The Strategic Market Game (SMG) is the general equilibrium mechanism of strategic reallocation of resources. It was suggested by Shapley and Shubik in a series of papers in the 70s and it is one of the fundamentals of contemporary monetary macroeconomics with endogenous demand for money. This survey highlights features of the SMG and some of the most important current applications of SMGs, especially for monetary macroeconomic analysis.
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Bidabad, Bijan. "Macroeconomics Needs Fresh Methodology of Theorization." Asian Finance & Banking Review 3, no. 2 (July 1, 2019): 1–6. http://dx.doi.org/10.46281/asfbr.v3i2.337.
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In this paper, we try to analyze the macroeconomic reasoning in different methodological issues. Subsequently, we try to touch some current macroeconomic debates on aggregations, relations, monetary and real sectors analyses. We assess that what we know about the behavior of macroeconomic variables is just our understanding from empiricism, and we have rarely found the laws of linkages among macroeconomic variables. We also conclude that successive theories have an intuitional foundation. It seems that to improve macroeconomic theories and policies, we need to be redirected to basic philosophical thinking about the macroeconomic theoretical foundation and try to rebuild a new concrete base for macroeconomics.
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Caraiani, Petre. "Monetary Policy Shocks and Input–Output Characteristics of Production Networks." Journal of Risk and Financial Management 16, no. 3 (March 2, 2023): 168. http://dx.doi.org/10.3390/jrfm16030168.
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This paper revisits the production network’s role in transmitting monetary policy shocks. The study uses macroeconomic data for multiple OECD economies, for which it estimates the time-varying impulse response functions of GDP to monetary shocks. In contrast to recent macroeconomics papers focusing on upstreamness or downstreamness, the paper studies measures from the input–output literature, like average propagation length or fields of influence. When looking at the relationship between the production network measures and the impact of monetary policy shocks on GDP, measures like average propagation length or rows’ fields of influence, amplify the negative impact of the monetary policy shocks, while the forward linkage dampens them.
Dissertations / Theses on the topic "Monetary Macroeconomics":
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Almosova, Anna. "Essays on monetary macroeconomics." Doctoral thesis, Humboldt-Universität zu Berlin, 2019. http://dx.doi.org/10.18452/19978.
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Diese Dissertation beschäftigt sich mit drei relevanten Aufgabebereichen einer Zentralbank und untersucht die makroökonomische Prognose, die Analyse der Geldpolitik in einem makroökonomischen Modell und die Analyse des Währungssystems. Jedes dieser Phänomene wird mit Hilfe des passenden Modells nach Nichtlinearitäten untersucht. Der erste Teil der Dissertation zeigt, dass nichtlineare rekurrente neuronale Netze, eine Methode aus dem Bereich Maschinelles Lernen, die Standard-Methoden übertreffen können und präzise Vorhersagen der Inflation in 1 bis 12 Monaten liefern können. Der zweiter Teil analysiert eine nichtlineare Formulierung der monetären Taylor-Regel. Anhand der Schätzung eines nichtlinearen DSGE Modells wird gezeigt, dass die Taylor-Regel in den USA asymmetrisch ist. Die Zentralbank ergreift stärkere Maßnahmen, wenn die Inflation höher ist als die Zielinflation, und reagiert weniger wenn die Inflation niedriger als die Zielinflation ist. Gleicherweise ist die Reaktion der monetären Politik stärker bei zu geringem Produktionswachstum als bei zu hohem. Der dritte Teil der Dissertation formuliert ein theoretisches Modell, das für eine Analyse der digitalen dezentralen Währungen verwendet werden kann. Es werden die Bedingungen bestimmt, unter denen der Wettbewerb zwischen der Währung der Zentralbank und den digitalen Währungen einige Beschränkungen für die Geldpolitik darstellt.This thesis addresses three topics that are relevant for the central bank policy design. It analyzes forecasting of the macroeconomic time series, accurate monetary policy formulation in a general equilibrium macroeconomic model and monitoring of the novel developments in the monetary system. All these issues are analyzed in a nonlinear framework with the help of a macroeconomic model. The first part of the thesis shows that nonlinear recurrent neural networks – a method from the machine learning literature – outperforms the usual benchmark forecasting models and delivers accurate inflation predictions for 1 to 12 months ahead. The second part of the thesis analyzes a nonlinear formulation of the Taylor rule. With the help of the nonlinear Bayesian estimation of a DSGE model it shows that the Taylor rule in the US is asymmetric. The central bank reacts stronger to inflation when it is above the target than when it is below the target. Similarly, the reaction to the output growth rate is stronger when the output growth is too weak than when it is too strong. The last part of the thesis develops a theoretical model that is suitable for the analysis of decentralized digital currencies. The model is used to derive the conditions, under which the competition between digital and fiat currencies imposes restrictions on the monetary policy design.
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CASTRO, PEDRO HENRIQUE DA SILVA. "ESSAYS ON MACROECONOMICS AND MONETARY POLICY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2018. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34852@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROEsta tese é composta de três ensaios. Os dois primeiros investigam a relação entre a potência da política monetária e a prevalência do crédito direcionado (concedido à taxas de juros insensíveis ao ciclo monetário) na economia. O primeiro mostra que a evidência microeconométrica disponível não é necessariamente informativa sobre o fenômeno macroeconômico de interessee ilustra esse resultado com um modelo Novo-Keynesiano simples com financiamento de capital de giro. Dando sequência, o segundo ensaio estende a análise usando um modelo DSGE de médio porte no qual crédito direcionado é utilizado pelas firmas para financiar a aquisição de capital. O modelo é estimado para o Brasil usando técnicas Bayesianas. Sob a distribuição priori mostra-se que a presença de crédito direcionado não reduz necessariamente a potência da política monetária sobre a inflação. Sob a distribuição posteriori mostra-se que a redução de potência é provável, mas pequena. Finalmente, o terceiro ensaio estuda em que medida o efeito de fluxos de capitais sobre o ciclo de negócios depende do tipo do influxo (e.g., se para títulos ou para ações, se um fluxo de ativo ou de passivo), construindo para tanto um modelo Novo-Keynesiano de economia aberta com fricções financeiras. Identifica-se mecanismos diretos através dos quais o influxo pode ter efeito diferenciado dependendo do seu tipo. Conclui-se, usando uma versão calibrada do modelo, que as diferenças são provavelmente pouco significativas.
This thesis is comprised of three essays. The first two investigate the relationship between monetary policy power and the prevalence of earmarked credit (featuring interest rates that are insensitive to the monetary cycle) in the economy. The first shows that the available microeconometric evidence is not necessarily informative about the macroeconomic phenomenon of interest, and illustrates this result with a simples New-Keynesian model with working capital credit. Giving sequence, the second essay extends the analysis with a medium-sized DSGE model where earmarked credit is used to finance the acquisition of physical capital by firms. The model is estimated to Brazil using Bayesian techniques. Under the prior distribution it is shown that the presence of earmarked credit does not necessarily reduces monetary policy power over inflation. Under the posterior it is shown that a reduction of power is likely, but small. Finally, the third essay studies to what extent the effects of capital flows on a small open economy s business cycle depend on the type of the inflow (e.g., whether a bond or a stock inflow, a liability or an asset flow), and for such it build an open economy New-Keynesian model with financial frictions. Direct mechanisms through which inflows may have differentiated effects depending or their type are identified. Using a calibrated version of the model it concludes that the differences are probably of little significance.
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MARINKOV, Viktor. "Essays in macroeconomics." Doctoral thesis, European University Institute, 2019. http://hdl.handle.net/1814/64747.
Abstract:
Defence date: 23 October 2019Examining Board: Prof. Ramon Marimon, European University Institute, (Supervisor); Prof. Juan Dolado, Universidad Carlos III; Prof. Gaetano Gaballo, HEC, Paris; Prof. Thomas Sampson, LSE
This thesis contains three chapters. The first two consider deviations from rational expectations for understanding the unprecedentedly long period of a binding zero lower bound (ZLB) since the Great Recession. There I show that if agents are adaptively learning, Central Banks can use forward guidance to guide them through the novel economic environment. In the third chapter I take a more long-run structural outlook to study the interplay of skills, technologies and complementarities for understanding differences in labour market outcomes across OECD countries. The first chapter studies the effects of forward guidance (FG) from a novel perspective. Instead of considering FG as a promise for future actions or providing better forecasting, the Central Bank (CB) in the model is giving a signal about its own reaction function. The CB uses FG as a communication device to signal a policy change. The main findings are that clear communication increases welfare compared to no communication, yet vague messages prove ineffective. The second chapter considers the ZLB as an informational curtain for adaptively learning agents as they cannot observe the path of the interest rate. In a model I show that this results in expectations disagreement between the agents and the CB, consistent with the data. The disagreement coupled with the learning of the agents results in explosive dynamics. Forward guidance is shown to restore stability at the ZLB by preventing spurious expectational drift. The third chapter studies the relationship between returns to skill and assortative matching. Using the PIAAC cognitive skills dataset I show that: returns to skill are systematically related to industrial sorting; high-skilled industries have more assortative matching of workers from all occupations; and more developed countries have less mismatch. I further build a model to illuminate the mechanism. I find that rich countries experience a trade-off of lower overall mismatch but higher crosssectoral mismatch, yet due to higher search frictions poorer ones end up being more mismatched overall.
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De, Leo Pierre. "Essays in Macroeconomics:." Thesis, Boston College, 2019. http://hdl.handle.net/2345/bc-ir:108480.
Abstract:
Thesis advisor: Susanto BasuThesis advisor: Ryan Chahrour
This dissertation consists of three independent chapters analyzing the sources of business cycles and the role of monetary policy. Taking both closed- and open-economy perspectives, I study the importance of expectations for the empirical identification of economic and policy shocks, the nature of business cycle fluctuations, and the optimal conduct of monetary policy. The first chapter is titled ``International Spillovers and the Exchange Rate Channel of Monetary Policy,'' and is joint work with Vito Cormun. Motivated by the observation that exchange rate fluctuations largely influence small open economies, we propose a novel approach to separately identify the effects of domestic and external shocks on exchange rates and other macroeconomic variables, thereby uncovering a set of new empirical findings. A first finding is that external shocks account for most of exchange rate fluctuations. Relatedly, the bulk of external shocks is strongly correlated with measures of global risk aversion and uncertainty (e.g. the VIX), and a country’s net foreign asset position largely explains the exposure of its exchange rate to external disturbances. A second finding is that domestic and external disturbances generate very different comovement patterns between interest rates and exchange rates. In particular, unlike domestic shocks, external shocks are associated with large and significant deviations from uncovered interest parity. As a result, an econometrician that fails to properly distinguish between sources of exchange rate fluctuations is bound to obtain puzzling estimates of the exchange rate effects of domestic monetary policy shocks. These empirical findings have profound implications for models of small open economy and exchange rate determination. In particular, they favor theories in which exchange rates are jointly determined by the risk-bearing capacity in financial markets as well as the extent of a country’s financial imbalances. For this reason, we develop a model of the international financial sector that satisfies these features, and embed it in an otherwise standard general equilibrium two-country small open economy model. The key mechanism of the model consists of risk averse traders in the foreign exchange markets that require a premium to hold the currency risk of the small open economy. We show that the proposed model is able to reproduce all the empirical findings documented in the empirical analysis, including the cross-country differences in exposure to external shocks, the role of a country’s net foreign asset position, the different responses of interest rates, exchange rates, and currency excess returns across different shocks, as well as the emergence and resolution of the so-called exchange rate response puzzle across different identification approaches. The second chapter is titled ``Should Central Banks Target Investment Prices?'' and is joint work with Susanto Basu. The question posed in the title is motivated by the observation that central banks nearly always state explicit or implicit inflation targets in terms of consumer price inflation. To address the question, we develop an otherwise standard dynamic general equilibrium model with two production sectors. One sector produces consumption goods, while the other produces investment goods. In this context, we show that if there are nominal rigidities in the pricing of both consumption and investment goods and if the shocks to the two sectors are not identical, then monetary policy faces a tradeoff between targeting consumption price inflation and investment price inflation. In a model calibrated to replicate the estimated processes of sectoral total factor productivities as well as a set of unconditional business cycle moments, ignoring investment prices typically leads to substantial welfare losses because the intertemporal elasticity of substitution in investment is much higher than in consumption. Based on the model's predictions, we argue that a shift in monetary policy to targeting a weighted average of consumer and investment price inflation may produce significant welfare gains, although this would constitute a major change in current central banking practice. The third chapter is titled ``Information Acquisition and Self-Fulfilling Business Cycles,'' and is sole-authored work. To study the implications of imperfect information on economic fluctuations, I develop an otherwise standard Real Business Cycle model with endogenous information acquisition, which generates countecyclical firm-level uncertainty and endogenously procyclical productivity, as empirically documented in the literature. The main contribution of this chapter is the observation that this model displays aggregate increasing returns to scale and, potentially, an indeterminate dynamic equilibrium. In fact, an aggregate representation of the model is observationally equivalent to earlier theories of endogenous fluctuations based on increasing returns to scale, but its microeconomic foundations are consistent with empirically observed firm-level returns to scale. In a model calibrated to replicate a set of moments of the empirical distribution of firm-level productivity, self-fulfilling fluctuations are possible. In addition, a Bayesian estimation of the model suggests that non-fundamental shocks explain a significant fraction of aggregate fluctuations
Thesis (PhD) — Boston College, 2019
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Zhang, Donghai. "Essays on monetary economics and applied macroeconomics." Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/662937.
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This thesis consists three chapters on topics in monetary economics and applied macroeconomics. In the first chapter, I consider a framework where the central bank has private information about future economic conditions. Agents update their beliefs according to Bayes’ theorem. Policy actions play a signaling role, and may therefore have an impact on both short and long-term interest rates. I discuss the implications of information frictions for the design of optimal simple rule. In the second chapter, I explore the role of market power for the optimal choice of infla-tion index for a central bank to stabilize In a framework with cross-sector heterogeneities in both nominal rigidity and market power. The optimal weight attached to inflation in a sector is increasing in this sector’s: i)price stickiness (stickiness channel) and ii) degree of market competition (competition channel). Moreover, if firms in a more competitive sector adjust their price more frequently as predicted by costly price adjustment models, the competition channel offsets the stickiness channel. In the third chapter, I show that for short horizon exchange rate predictability, the simple random walk model outperforms professional forecasts. A new puzzle arises: why do professional forecasters not adopt the simple random walk model to provide a more accurate estimate? I provide an explanation based on ambiguity averse forecasters.Aquesta tesi està compresa per tres capítols que tracten temes en economia monetària i macroeconomia aplicada. En el primer capítol considero un marc teòric en el qual el banc central té informació privada respecte les condicions econòmiques futures. Els agents econòmics actualitzen les seves creences en base al teorema de Bayes. Les accions del banc tenen un paper senyalador, i poden tenir un impacte en els tipus d’interès a curt i llarg termini. En aquest marc, discuteixo el paper de les friccions de la informació a l’hora de dissenyar una regla monetària simple. En el segon capitol exploro el paper del poder de mercat en l’elecció òptima de l’índex de preus a ser estabilitzat. En aquest cas considero un marc teòric en el qual les rigideses nominals i el poder de mercat difereixen entre sectors. El pes òptim assignat a la inflació d’un sector és creixent en la rigidesa dels preus (efecte rigidesa) i en el nivell de competició (efecte competició) d’aquest sector. Si les empreses en un sector competitiu ajusten els preus més freqüentment, tal com prediuen els models que consideren un ajust de preus costós, l’efecte competició contrarestarà` l’efecte rigidesa. Finalment, en el tercer capítol , demostro que per a predir els tipus de canvi a curt termini, un simple model random walk supera les prediccions professionals. D’aquesta observació sorgeix una nova incògnita: per què els professionals no adopten un model random walk per oferir unes prediccions mées encertades? En aquest capítol mostro com tal incògnita es pot explicar en base a l’aversió a l’ambigïitat dels professionals.
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Orjasniemi, S. (Seppo). "Studies on the macroeconomics of monetary union." Doctoral thesis, Oulun yliopisto, 2012. http://urn.fi/urn:isbn:9789514298110.
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Abstract The euro area consists of several small open, fairly heterogeneous economies. The establishment of this common currency area greatly changed the macroeconomic interdependency between its member countries. This thesis examines the fundamental macroeconomic linkages and spillover effects between the monetary union member countries with the focus on the phenomena associated with the countries’ openness to international trade. This doctoral thesis consists of three essays. The first essay examines the impact of the implementation of a monetary union on international economic fluctuations. The essay finds that the implementation reverses the expenditure-switching effects between goods produced inside the monetary union, and helps to stabilize economic fluctuations. The second essay examines the effects of openness to international trade on a small monetary union. The essay shows howmovements in the monetary union’s exchange rate stabilize output fluctuations inside the monetary union and reduce the need for fiscal stabilization. The third essay argues that, under a non-coordinated optimal fiscal policy, government spending should focus on the stabilization of a local output gap and inflation, while union-wide aggregate fluctuations should be stabilized by a common independent monetary policy. The essay also shows how a suboptimal monetary policy increases the spillover effects of countryspecific shocksTiivistelmä Tässä väitöskirjassa tutkitaan rahaliiton maiden välisiä makrotaloudellisia riippuvuussuhteita. Tutkimuksessa keskitytään erityisesti kansainvälisen kaupan ilmiöihin. Väitöskirja koostuu kolmesta erillisestä esseestä. Ensimmäisessä esseessä käsitellään rahaliiton perustamisen vaikutuksia kansainvälisen talouden dynamiikkaan. Tulosten mukaan rahaliiton perustaminen muuttaa vaihtosuhteen dynamiikkaa rahaliiton sisällä. Lisäksi rahaliiton muodostaminen vaimentaa jäsenmaiden makrotaloudellisia heilahteluita. Toisessa esseessä tutkitaan kansainvälisen kaupan merkitystä pienen rahaliiton tapauksessa. Havaitaan, että yhteisvaluutan kurssimuutokset tasapainottavat rahaliiton sisäisiä reaalitalouden muutoksia ja vähentävät tarvetta tasapainottaa taloutta finanssipolitiikan avulla. Kolmannessa esseessä osoitetaan, että rahaliiton jäsenvaltioiden harjoittaman itsenäisen finanssipolitiikan tulisi keskittyä kotimaisen inflaation ja tuotannon tasapainottamiseen. Yhteisen rahapolitiikan tulisi puolestaan tasapainottaa rahaliiton keskimääräisiä muutoksia. Tulosten mukaan epäoptimaalinen rahapolitiikka voimistaa maakohtaisten reaalitaloudellisten muutosten välittymistä muihin rahaliiton maihin
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Grjebine, Thomas. "Essays in international macroeconomics and monetary theory." Thesis, Paris, Institut d'études politiques, 2013. http://www.theses.fr/2013IEPP0065/document.
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Cette thèse comprend quatre essais en macroéconomie internationale et théorie monétaire. Elle est constituée de deux parties. Les deux premiers chapitres, coécrits avec François Geerolf, étudient les conséquences macroéconomiques des cycles immobiliers sur les comptes courants (chapitre 1) et sur les dynamiques de l'emploi (chapitre 2). La seconde partie de cette thèse s'intéresse aux conséquences des récentes transformations intervenues dans les systèmes bancaires sur les mécanismes de la création monétaire. Ces transformations semblent en effet conduire à une privatisation de la monnaie. Le chapitre 3 étudie empiriquement la réalité d'une telle privatisation. Je développe dans le chapitre 4 un modèle pour analyser les conséquences de ces transformations sur la création monétaire et sur les mécanismes de propagation du risqueThis thesis includes four essays in international macroeconomics and monetary theory. It is divided into two parts. The two first chapters, coauthored with François Geerolf, investigate the macroeconomic consequences of housing cycles on current accounts (chapter 1) and employment dynamics (chapter 2). The second part of this thesis studies the consequences of modern banking features on money creation mechanisms, notably with the development of private payment arrangements and the globalization of banking. Chapter 3 looks at the issue empirically. In chapter 4, I develop a model to investigate the consequences of these modern banking features for the provision of money and for risk propagation mechanisms
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Welz, Peter. "Quantitative New Keynesian Macroeconomics and Monetary Policy." Doctoral thesis, Uppsala : Department of Economics, Uppsala University, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-5978.
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Darku, Alexander Bilson. "Essays in monetary economics and international macroeconomics." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=100344.
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This thesis consists of three essays in monetary economics and international macroeconomics.Chapter one uses Canadian data to evaluate the performance of money growth targeting and inflation targeting policy rules, especially when they react to asset price changes. There are three important findings. First, estimates of the policy rules consistent with both regimes provide evidence that the Bank of Canada has systematically reacted to stock price bubbles and exchange rate changes. Second, a counterfactual experiment reveals that, the high inflation of the 1970s and early 1980s could have been avoided if the Bank of Canada had responded more strongly to inflation and growth in aggregate demand. Third, simulation experiments yielded two important results: For both the money growth targeting and inflation targeting policy rules, it is always desirable to react to changes in exchange rates and stock price bubbles: Contrary to established findings, the results indicate that the money growth targeting policy rules are more efficient than the inflation targeting policy rules.
Chapter two uses data on Ghana to test the validity of the intertemporal model of current account that allows for external shocks in the form of variable interest rates and exchange rates, and the existence of capital controls. We find that, irrespective of the degree of capital control, the basic model fails to predict the dynamics of the actual current account. However, we find that extending the model to capture variations in interest rates and exchange rates better explains the path of the actual current account balances only during the liberalized regime. When the model was adjusted to allow for credit constraints, there was some support for the proposition that the presence of capital controls prevented economic agents in Ghana to smooth their consumption path during the control regime.
Chapter three investigates the effect of trading block on Tanzania's bilateral trade. Using a fixed effects estimation technique, the results revealed that the East African Community (EAC) and the European Union (EU) have had significant positive effects on Tanzania's bilateral trade. We also find that there is a significant intra-trade relationship between Tanzania and its major trading partners in the manufacturing sector.
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Dufournaud-Labelle, Maxime. "Essays in Monetary Economics." Thesis, Université d'Ottawa / University of Ottawa, 2018. http://hdl.handle.net/10393/38408.
Abstract:
Chapter 1.—This chapter addresses model specification uncertainty using the Bayesian Generalized Method of Moments (GMM). Employing Canadian data, I estimate 64 hybrid New Keynesian models which differ in their lag specification, and use a modified GMM quadratic function to produce model posteriors. I compute optimal discretionary policies for each model and then derive a posterior-weighted policy and loss. My results show that i) policy should respond more to the output gap than inflation, ii) a more aggressive policy is prescribed for the period of stagflation in the 1970s and early 1980s and iii) a relatively light-touch policy is recommended during the Great Moderation, and produces better outcomes. This last result supports the hypothesis of ‘good luck’ over ‘good policy’.
Chapter 2.—In this chapter I develop an inverse control procedure to recover the under- lying preferences of a monetary authority engaged in discretionary policymaking. I adjoin the first-order condition (FOC) of the optimal interest rate rule-setting derived under discretion to the usual least squares moment conditions during the GMM procedure. Using Monte Carlo simulations, I show that the preferences on output gap stabilization and interest rate smoothing may be recovered. Robustness reveals that recovering the preference on the output gap is dependent upon policy actions having sufficient effect on the macroeconomy. Further testing indicates that the procedure functions for alternative starting values, may be adapted to different lag specifications of the underlying model, and is able to recover different sets of policy preferences.
Chapter 3.—This chapter tests the hypothesis that the monetary authorities of Canada, the United States and the United Kingdom have exhibited similar preferences over stabilizing the output gap and smoothing the interest rate, by way of an inverse control algorithm (FOC- based GMM) for a discretionary policymaker. For the sample period covering 1968:1-2006:4, the FOC-based provides comparable structural estimates to a benchmark specification using an instrument-based GMM. The data suggest no role for output stabilization in any country, but a large and significant concern for interest rate smoothing is observed in Canada. Measures of fit reject optimality in the United States for baseline specification sample, but do not preclude it in any country when sample periods are restricted to the current man- dates. Policymakers’ reaction functions are shown to be sensitive to the underlying policy preferences, though decreasingly so at high levels of interest rate smoothing. Robustness is seen with respect to starting values and fixed policy coefficients.
Books on the topic "Monetary Macroeconomics":
1
Pressman, Steven, and John Smithin, eds. Debates in Monetary Macroeconomics. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-11240-9.
2
Cencini, Alvaro. Monetary macroeconomics: A new approach. London: Routledge, 2001.
3
1954-, Asada Toichiro, ed. Monetary macrodynamics. Milton Park, Abingdon, Oxon: Routledge, 2010.
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Asada, Toichiro. Monetary macrodynamics. London: Routledge, 2010.
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Jonathan, Cohen Avi, Hagemann Harald, and Smithin John N, eds. Money, financial institutions, and macroeconomics. Boston: Kluwer Academic Publishers, 1997.
6
Arestis, Philip, and Gennaro Zezza, eds. Advances in Monetary Policy and Macroeconomics. London: Palgrave Macmillan UK, 2007. http://dx.doi.org/10.1057/9780230800762.
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Brems, Hans. Dynamic macroeconomics: Fiscal and monetary policy. [Urbana, Ill.]: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, 1990.
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1941-, Arestis Philip, and Zezza Gennaro, eds. Advances in monetary policy and macroeconomics. Basingstoke [England]: Palgrave Macmillan, 2007.
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Gramont, Carlos A. Végh. Open economy macroeconomics in developing countries. Cambridge, Massachusetts: MIT Press, 2013.
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N, Subramaniam S., ed. Macroeconomic and monetary developments in India. Mumbai: Palak Publications, 2004.
Book chapters on the topic "Monetary Macroeconomics":
1
Evans-Pritchard, John. "Monetary policy." In Macroeconomics, 171–202. London: Palgrave Macmillan UK, 1985. http://dx.doi.org/10.1007/978-1-349-17926-8_9.
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Gottfries, Nils. "Monetary Policy." In Macroeconomics, 257–87. London: Macmillan Education UK, 2013. http://dx.doi.org/10.1007/978-1-137-32180-0_10.
3
Sandelin, Bo, and Hans-Michael Trautwein. "Monetary macroeconomics." In A Short History of Economic Thought, 77–98. 4th ed. London: Routledge, 2023. http://dx.doi.org/10.4324/9781003402763-6.
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Barro, Robert, and Vittorio Grilli. "International Monetary Linkages." In European Macroeconomics, 199–228. London: Macmillan Education UK, 1994. http://dx.doi.org/10.1007/978-1-349-27904-3_11.
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McDonald, John F. "Modern Monetary Theory." In Rethinking Macroeconomics, 103–10. 2nd ed. London: Routledge, 2021. http://dx.doi.org/10.4324/9781003166627-7.
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Gottfries, Nils. "Exchange Rate Systems and Monetary Union." In Macroeconomics, 404–44. London: Macmillan Education UK, 2013. http://dx.doi.org/10.1007/978-1-137-32180-0_15.
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Klein, Lawrence R. "What is Macroeconomics?" In Monetary Theory and Thought, 35–54. London: Palgrave Macmillan UK, 1993. http://dx.doi.org/10.1007/978-1-349-12535-7_3.
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Sherman, Howard J., Michael A. Meeropol, and Paul D. Sherman. "Debates over Monetary Policy." In Principles of Macroeconomics, 281–98. Second edition. | Abingdon, Oxon; NewYork, NY: Routledge, 2019.: Routledge, 2018. http://dx.doi.org/10.4324/9781351232111-23.
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Barro, Robert, and Vittorio Grilli. "Monetary Policies, Credibility and International Coordination." In European Macroeconomics, 439–56. London: Macmillan Education UK, 1994. http://dx.doi.org/10.1007/978-1-349-27904-3_22.
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Feenstra, Robert C., and Alan M. Taylor. "Fixed Versus Floating: International Monetary Experience." In International Macroeconomics, 269–306. New York: Macmillan Learning, 2017. http://dx.doi.org/10.1007/978-1-319-17919-9_8.
Conference papers on the topic "Monetary Macroeconomics":
1
Kasih, Annisa Sekar, and Viverita. "The Impact of U.S Monetary Policy and Macroeconomics Factors on Asia Emerging Islamic Stock Market During Covid-19." In 18th International Symposium on Management (INSYMA 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210628.011.
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Tufaner, Mustafa Batuhan, Kamil Uslu, and İlyas Sözen. "The Effect of the Interest Rate Corridor Implementation to Central Bank Policies." In International Conference on Eurasian Economies. Eurasian Economists Association, 2016. http://dx.doi.org/10.36880/c07.01666.
Abstract:
Central banks fulfill missions like financing governments, contributing the improvement of the financial market and implement monetary policy. Because of these important functions, instruments of the central bank has become a subject of ongoing debate over the years. The Central Bank's monetary policies instruments are important in terms of achieving the set macroeconomics targets. In recent years to become a major focus of attention of the interest rate corridor instrument has led to examine the structure of the central banks. The interest rate corridor primarily, provides flexibility advantages through interest rate to the central banks. The opinion that the central banks which have a flexible structure are more successful on ensuring the price stability and implementing macro policies with evading the political effects became stronger. In this context, in this study to examine the contributions of a flexible central bank to price stability and financial stability. In this bulletin different policy instruments of central banks are compared and critically assessed various determinants of central bank flexibility. In addition, comparing of the legislation of major central banks and various interest rate corridor implementations are examined.
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Lin, Zhongzhen, Chien-Hsiung Chen, and Shasha Li. "The User Interface Interaction Design of Central Bank Digital Currency: An Empirical Study." In AHFE 2023 Hawaii Edition. AHFE International, 2023. http://dx.doi.org/10.54941/ahfe1004223.
Abstract:
It is certain that the Central Bank Digital Currency (CBDC) as the future direction of monetary development has become a general consensus among central banks around the world. Many studies have been conducted on the technical and macroeconomic implications of CBDC at the level of technology and macroeconomics. Nonetheless, there is a lack of research on the user interface design of CBDC. The purpose of this study focuses on evaluating the relationship between the font size layout of CBDC interfaces and user age. A 3 (font size) X 2 (user age) mixed factorial design was used to assess the impact of the relevant research variables on users' subjective evaluations. The experimental results showed that, firstly, younger users preferred CBDC interface designs with medium-sized fonts and older users preferred large-sized fonts. Secondly, this study also found that both older and younger users were biased towards disliking CBDC interface designs with small font sizes. In addition, this study found that CBDC user interfaces with large fonts had the strongest sense of security, while CBDC user interfaces with small fonts did not. It is worth noting that younger users feel that CBDC is a secure payment method more than older users. Finally, young users have the highest NPS net recommendation index for medium-sized fonts, and older users have a higher NPS net recommendation index for large-sized fonts. The above findings can be used as design guidelines for the issuance and design of CBDC for the relevant countries in the future, and have high academic and theoretical value as well.
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Uslu, Kamil. "The Effects of COVID-19 Global Crisis on Production, Employment, Trade and Tourism Revenues in the Macro Economy." In International Conference on Eurasian Economies. Eurasian Economists Association, 2021. http://dx.doi.org/10.36880/c13.02516.
Abstract:
The world, very different from the 1929 Economic Crisis, the global economy faced a new epidemic health crisis with Covid-19 in China's Wuhan Province in December 2019.This crisis, unlike any other, still continues. The epidemic was originally detected in those found in the seafood and animal market in this region. Later, it threatens the whole world by transmitting from person to person. Countries were quick to stop the economic life with the great global lockdown in order to overcome the Health Emergency. Great uncertainty has overshadowed the future of the global economy as international financial institutions (such as the WB and IMF) are moving fast to help people and countries. Governments have been able to hold back some of the free fall of global growth with exceptional monetary and financial support to individuals and firms. This financial support reached a global level of $ 11.5 trillion as of September 2020. The purpose of our study; Covid-19 Global Crisis; Its Effects on Macroeconomics on Production, Employment, Trade and Tourism Incomes will be investigated. In addition, WHO and countries have been accelerated in search of a solution to the epidemic.
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Bedir, Serap, and Arzu Tural Dikmen. "Fiscal Deficit and Inflation: New Evidences from Turkey Using a Bounds Testing Approach." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00915.
Abstract:
A well-established theory in macroeconomics is that governments running persistent deficits have sooner or later to finance those deficits with money creation, thus producing inflation. The fiscal view of inflation has been especially prominent in the developing country literature, which has long recognized that less efficient tax collection, political instability, and more limited access to external borrowing tend to lower the relative cost of seigniorage and increase dependence on the inflation tax. For this reason, the main factors which affecting inflation rate in developing countries are extremely important for policy makers as when the causes of inflation are correctly specified the appropriate policy change can be easily diagnosed and effectively implemented. The purpose of this study is to test the empirical relationship between inflation and the budget deficit for the Turkish economy by an autoregressive distributed lag model (ARDL) analysis for the period 1970–2010. The data is taken from Republic of Turkey Ministry of Development and World Bank’s Database. The empirical findings indicates that fiscal deficit is one of the important variables of the price level along with other variables like interest rates, exchange rate, per capita income, trade of GDP. The short-run analysis captured from error correction model (ECM). The results of the bounds test suggest that there is a long run relationship between fiscal deficit and inflation. These findings drive important inferences for implications of monetary and fiscal policies.
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Hiç, Özlen, and Ayşen Hiç Gencer. "Anti-Keynesian Views: Fiscal and Monetary Guidelines." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00849.
Abstract:
In this article, we will cover the main anti-Keynesian views and macroeconomic systems that arose in the post Keynes period as well as their fiscal and monetary policy guidelines. As is known, the early Classical economists introduced a macroeconomic system based on the Quantity Theory and Say’s Law resulting in automatic full-employment equilibrium; and finally after 1929-1934 Great World Depression, the Keynesian System was introduced as a “revolution” (Keynesian Revolution) in theory and practice. As a result of the Keynesian policies implemented, European countries and the United States not only got over the Great World Depression but also in the years following the World War II, they have observed a fast and stable growth for a long time. Moreover, cyclical fluctuations have been controlled to a great extent. Even so, at the stage when the Keynesian System was introduced, anti-Keynesian views and macroeconomic systems were immediately introduced. Intense academic discussions between advocates of these views and the Keynesian economists have continued up until today. Meanwhile, many economists such as J.R. Hicks, R.F. Harrod, N. Kaldor, M. Kalesci, A.W. Philips, A. Hansen, P.A. Samuelson, E. Domar, J. Tobin, R. Solow, A.M. Okun, W. Helier, G. Ackler, F. Modigliani, and R. Musgrave and many others have developed and defended the Keynesian System from different aspects. We can characterize significant anti-Keynesian views and macroeconomic systems as the “Counter-Revolution”.
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Davlatov, Elyor, and Judit Sági. "The Role of New Keynesian Semi-structural Macroeconomic Forecasting Model in Realisation of Sustainable Development Goals in Uzbekistan." In 7th FEB International Scientific Conference. University of Maribor, University Press, 2023. http://dx.doi.org/10.18690/um.epf.3.2023.7.
Abstract:
New reforms have been adopted in banking system of Uzbekistan since 2017 as monetary policy framework directed from monetary targeting to inflation targeting (IT). Liberalization of the national currency, reaching 5% inflation target on medium-term and operational independence of the Central Bank of Uzbekistan (CBU) have started progress of the reforms. The CBU has set policy rate as the primary tool of monetary policy in the context of inflation targeting regime. According to the experience of countries that implemented inflation targeting regime successfully, it is recommended to use the NewKeynesian semi-structural macroeconomic forecasting model to achieve price stability with the help of policy rate. This paper analyses efficiency of monetary policy by proposing to use NewKeynesian semi-structural macroeconomic forecasting model for Uzbekistan. The model includes 4 main blocks: Demand block (Output gap), Supply block (Philips curve), Exchange rate block (Uncovered Interest Rate Parity (UIP)), Interest rate block (Taylor rule). We expect that this model helps to forecast medium-term macroeconomic scenarios especially reaching inflation target and steady state of the economy.
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Visokavičienė, Birutė. "The impact of monetary policy actions for the macroeconomic stability." In The 6th International Scientific Conference "Business and Management 2010". Vilnius, Lithuania: Vilnius Gediminas Technical University Publishing House Technika, 2010. http://dx.doi.org/10.3846/bm.2010.098.
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Blueschke, Dmitri, Viktoria Blueschke-Nikolaeva, and Reinhard Neck. "Macroeconomic Policy Strategies In A Monetary Union: Simulations With A Dynamic-Game Model." In 37th ECMS International Conference on Modelling and Simulation. ECMS, 2023. http://dx.doi.org/10.7148/2023-0083.
Abstract:
We analyze alternative strategies of monetary and fiscal policies in a monetary union model with a small macroeconomic model by numerical simulations in the framework of a dynamic game. Several coalitions between governments of the member countries and the common central bank are investigated. We show that only a coalition between all governments and the central bank is efficient, while a fiscal union or other partial coalitions can be counterproductive.
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Lopotenco, Viorica. "Interacțiunea politicii monetare cu politica fiscală în țările mici cu economii deschise." In International Scientific-Practical Conference "Economic growth in the conditions of globalization". National Institute for Economic Research, 2023. http://dx.doi.org/10.36004/nier.cecg.iii.2023.17.1.
Abstract:
The consequences of the COVID-19 pandemic, intensified by Russia's aggression in Ukraine, determined that in both developed and emerging countries, the monetary and fiscal authorities could not ensure efficiency in achieving the objectives of financial policies. This study aims to identify the determinants of monetary and fiscal policies in a small open economy, in the example of the Republic of Moldova, which must not only ensure the stability of the financial system but also correspond to the trends of the "new normal," through the interconnection with innovation, which it drives the expansion of private digital currencies and FinTech. Both qualitative (phenomenological analysis) and quantitative (inferential statistics) methods were used in the research process. At the same time, the case study research strategy was applied (within determining the particularities of the interaction between fiscal and monetary policies in a small open economy, in the example of the Republic of Moldova). In the Republic of Moldova, the coordination mechanism of fiscal and monetary policy instruments differs by its specificity from countries with developed economies. The assessment of the short-term effects of fiscal and monetary policy instruments on macroeconomic indicators indicates that they are very approximate and, in many situations, contradictory. At the same time, the monetary policy in the Republic of Moldova has several notable characteristics, particularly a qualitative dependence on external economic factors and external economic shocks. Bibliographic sources that research the relationship between fiscal and monetary policies in the context of the significant changes in the world economy were used for this study. A deeper analysis requires the application of more complex econometric methods to determine the impact of the relationship between monetary policy and fiscal policy on several macroeconomic variables. At the same time, we note the usefulness of the study results for the authorities of the Republic of Moldova.
Reports on the topic "Monetary Macroeconomics":
1
Gavin, William T. Recent Developments in Monetary Macroeconomics and U.S. Dollar Policy. Federal Reserve Bank of St. Louis, 2005. http://dx.doi.org/10.20955/wp.2005.062.
2
Storm, Servaas. Tilting at Windmills: Bernanke and Blanchard’s Obsession with the Wage-Price Spiral. Institute for New Economic Thinking Working Paper Series, April 2024. http://dx.doi.org/10.36687/inetwp220.
Abstract:
Bernanke and Blanchard (2023) use a simple dynamic New Keynesian model of wage-price determination to explain the sharp acceleration in U.S. inflation during 2021-2023. They claim their model closely tracks the pandemic-era inflation and they confidently conclude that “… we don’t think that the recent experience justifies throwing out existing models of wage-price dynamics.” This paper argues that this confidence is misplaced. The Bernanke and Blanchard is another failed attempt to salvage establishment macroeconomics after the massive onslaught of adverse inflationary circumstances with which it could evidently not contend. It misrepresents American economic reality, hides distributional issues from view, de-politicizes (monetary and fiscal) policy-making, and sets monetary policymakers up to deliver significantly more monetary tightening than can be justified on the basis of more realistic model analyses
3
Knotek, Edward S., James Mitchell, Mathieu O. Pedemonte, and Taylor Shiroff. The Effects of Interest Rate Increases on Consumers' Inflation Expectations: The Roles of Informedness and Compliance. Federal Reserve Bank of Cleveland, January 2024. http://dx.doi.org/10.26509/frbc-wp-202401.
Abstract:
We study how monetary policy communications associated with increasing the federal funds rate causally affect consumers' inflation expectations. In a large-scale, multi-wave randomized controlled trial (RCT), we find weak evidence on average that communicating policy changes lowers consumers' medium-term inflation expectations. However, information differs systematically across demographic groups, in terms of ex ante informedness about monetary policy and ex post compliance with the information treatment. Monetary policy communications have a much stronger effect on people who had not previously heard news about monetary policy and who take sufficient time to read the treatment, implying scope to increase the impact of communications by targeting specific groups of the general public. Our findings show that, in an inflationary environment, consumers expect that raising interest rates will lower inflation. More generally, our results emphasize the importance of measuring both respondents' information sets and their compliance with treatment when using RCTs in empirical macroeconomics, to better understand the well-documented evidence of heterogeneous treatment effects.
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Cabrera-Rodríguez, Wilmar Alexander, Daniela Rodríguez-Novoa, and Camilo Eduardo Sánchez-Quinto. A robust model for the term structure of interest rates: some applications in Colombia. Banco de la República, October 2023. http://dx.doi.org/10.32468/be.1255.
Abstract:
This document presents a Gaussian Affine Term Structure Model (GATSM) of the zero-coupon public debt curve issued locally by the Colombian Government, adopting the methodological approach of Hamilton and Wu (2012) to solve the problems of identification and instability in the estimation of this family of models. Two empirical exercises are presented to highlight the relevance of this methodological approach. The first combines the GATSM structure with a Bayesian Averaging of Classical Estimates (BACE) approach to forecast the yield curve given a set of macroeconomic variables, thus offering a practical way to link a macroeconomic scenario to financial prices in a stress testing exercise. In particular, the document presents the connection with the Systemic Stress Model (SYSMO) of the Financial Stability Department of the Central Bank of Colombia. The second evaluates the effect of monetary policy surprises on sovereign bond yields on a comprehensive set of maturities in a parsimonious way allowed by the GATSM structure. We found an almost immediate, complete, and significant pass-through on the short end of the yield curve. These empirical applications reflect the flexibility of this approach as a tool to address studies that deepen the understanding of the dynamics of yield curves and macroeconomics, the valuation of financial instruments, and financial stability.
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Pompeu, Gustavo, and José Luiz Rossi. Real/Dollar Exchange Rate Prediction Combining Machine Learning and Fundamental Models. Inter-American Development Bank, September 2022. http://dx.doi.org/10.18235/0004491.
Abstract:
The study of the predictability of exchange rates has been a very recurring theme on the economics literature for decades, and very often is not possible to beat a random walk prediction, particularly when trying to forecast short time periods. Although there are several studies about exchange rate forecasting in general, predictions of specifically Brazilian real (BRL) to United States dollar (USD) exchange rates are very hard to find in the literature. The objective of this work is to predict the specific BRL to USD exchange rates by applying machine learning models combined with fundamental theories from macroeconomics, such as monetary and Taylor rule models, and compare the results to those of a random walk model by using the root mean squared error (RMSE) and the Diebold-Mariano (DM) test. We show that it is possible to beat the random walk by these metrics.
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Galí, Jordi, and Mark Gertler. Macroeconomic Modeling for Monetary Policy Evaluation. Cambridge, MA: National Bureau of Economic Research, October 2007. http://dx.doi.org/10.3386/w13542.
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Mishkin, Frederic. Globalization, Macroeconomic Performance, and Monetary Policy. Cambridge, MA: National Bureau of Economic Research, April 2008. http://dx.doi.org/10.3386/w13948.
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Bullard, James, and Aarti Singh. Worldwide Macroeconomic Stability and Monetary Policy Rules. Federal Reserve Bank of St. Louis, 2006. http://dx.doi.org/10.20955/wp.2006.040.
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Pollard, Patricia S. Macroeconomic Policy Effects in a Monetary Union. Federal Reserve Bank of St. Louis, 1993. http://dx.doi.org/10.20955/wp.1993.001.
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Cecchetti, Stephen, and Stefan Krause. Financial Structure, Macroeconomic Stability and Monetary Policy. Cambridge, MA: National Bureau of Economic Research, July 2001. http://dx.doi.org/10.3386/w8354.