Academic literature on the topic 'Monetary policy Australia Econometric models'
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Journal articles on the topic "Monetary policy Australia Econometric models"
Reifschneider, David L., David J. Stockton, and David W. Wilcox. "Econometric models and the monetary policy process." Carnegie-Rochester Conference Series on Public Policy 47 (December 1997): 1–37. http://dx.doi.org/10.1016/s0167-2231(98)00002-5.
Full textTaylor, John B. "Econometric models and the monetary policy process." Carnegie-Rochester Conference Series on Public Policy 47 (December 1997): 39–42. http://dx.doi.org/10.1016/s0167-2231(98)00003-7.
Full textBaranovskyi, O. I., M. O. Kuzheliev, D. M. Zherlitsyn, O. S. Sokyrko, and A. V. Nechyporenko. "ECONOMETRIC MODELS OF MONETARY POLICY EFFECTIVENESS IN UKRAINE." Financial and credit activity: problems of theory and practice 3, no. 30 (September 30, 2019): 226–35. http://dx.doi.org/10.18371/fcaptp.v3i30.179546.
Full textDobronravova, E. P. "Industry effects of monetary policy in Russia: Econometric analysis." Journal of the New Economic Association 55, no. 3 (2022): 45–60. http://dx.doi.org/10.31737/2221-2264-2022-55-3-3.
Full textNikolaychuk, Sergiy, and Yurii Sholomytskyi. "Using Macroeconomic Models for Monetary Policy in Ukraine." Visnyk of the National Bank of Ukraine, no. 233 (September 29, 2015): 54–64. http://dx.doi.org/10.26531/vnbu2015.233.054.
Full textKartaev, Filipp, and Natalia Kozlova. "Econometric Assessment of Monetary Policy Impact on the Dynamics of the Russian Stock Market." Moscow University Economics Bulletin 2016, no. 1 (February 28, 2016): 22–43. http://dx.doi.org/10.38050/01300105201612.
Full textFabris, Nikola. "Challenges for Modern Monetary Policy." Journal of Central Banking Theory and Practice 7, no. 2 (May 1, 2018): 5–24. http://dx.doi.org/10.2478/jcbtp-2018-0010.
Full textPažický, Martin. "The consequences of unconventional monetary policy in euro area in times of monetary easing." Oeconomia Copernicana 9, no. 4 (December 31, 2018): 581–615. http://dx.doi.org/10.24136/oc.2018.029.
Full textNaeem Nawaz, Shahzada M., and Ather Maqsood Ahmed. "New Keynesian Macroeconomic Model and Monetary Policy in Pakistan." Pakistan Development Review 54, no. 1 (March 1, 2015): 55–71. http://dx.doi.org/10.30541/v54i1pp.55-71.
Full textCreel, Jérôme, and Paul Hubert. "HAS INFLATION TARGETING CHANGED THE CONDUCT OF MONETARY POLICY?" Macroeconomic Dynamics 19, no. 1 (July 25, 2013): 1–21. http://dx.doi.org/10.1017/s1365100513000199.
Full textDissertations / Theses on the topic "Monetary policy Australia Econometric models"
Paul, Pascal. "Essays on financial stability and monetary policy." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:49999782-6173-4e2b-8645-cab0b1561595.
Full textShelley, Gary L. "A switching analysis of United States monetary policy." Diss., Virginia Tech, 1991. http://hdl.handle.net/10919/39969.
Full textBoumediene, Farid Jimmy. "Determinacy and learning stability of economic policy in asymmetric monetary union models." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/972.
Full textBokan, Nikola. "On taxes, labour market distortions and product imperfections." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/3053.
Full textLenza, Michèle. "Essays on monetary policy, saving and investment." Doctoral thesis, Universite Libre de Bruxelles, 2007. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210659.
Full textCentral Banks behave so cautiously compared to optimal theoretical
benchmarks, (ii) do monetary variables add information about
future Euro Area inflation to a large amount of non monetary
variables and (iii) why national saving and investment are so
correlated in OECD countries in spite of the high degree of
integration of international financial markets.
The process of innovation in the elaboration of economic theory
and statistical analysis of the data witnessed in the last thirty
years has greatly enriched the toolbox available to
macroeconomists. Two aspects of such a process are particularly
noteworthy for addressing the issues in this thesis: the
development of macroeconomic dynamic stochastic general
equilibrium models (see Woodford, 1999b for an historical
perspective) and of techniques that enable to handle large data
sets in a parsimonious and flexible manner (see Reichlin, 2002 for
an historical perspective).
Dynamic stochastic general equilibrium models (DSGE) provide the
appropriate tools to evaluate the macroeconomic consequences of
policy changes. These models, by exploiting modern intertemporal
general equilibrium theory, aggregate the optimal responses of
individual as consumers and firms in order to identify the
aggregate shocks and their propagation mechanisms by the
restrictions imposed by optimizing individual behavior. Such a
modelling strategy, uncovering economic relationships invariant to
a change in policy regimes, provides a framework to analyze the
effects of economic policy that is robust to the Lucas'critique
(see Lucas, 1976). The early attempts of explaining business
cycles by starting from microeconomic behavior suggested that
economic policy should play no role since business cycles
reflected the efficient response of economic agents to exogenous
sources of fluctuations (see the seminal paper by Kydland and Prescott, 1982}
and, more recently, King and Rebelo, 1999). This view was challenged by
several empirical studies showing that the adjustment mechanisms
of variables at the heart of macroeconomic propagation mechanisms
like prices and wages are not well represented by efficient
responses of individual agents in frictionless economies (see, for
example, Kashyap, 1999; Cecchetti, 1986; Bils and Klenow, 2004 and Dhyne et al. 2004). Hence, macroeconomic models currently incorporate
some sources of nominal and real rigidities in the DSGE framework
and allow the study of the optimal policy reactions to inefficient
fluctuations stemming from frictions in macroeconomic propagation
mechanisms.
Against this background, the first chapter of this thesis sets up
a DSGE model in order to analyze optimal monetary policy in an
economy with sectorial heterogeneity in the frequency of price
adjustments. Price setters are divided in two groups: those
subject to Calvo type nominal rigidities and those able to change
their prices at each period. Sectorial heterogeneity in price
setting behavior is a relevant feature in real economies (see, for
example, Bils and Klenow, 2004 for the US and Dhyne, 2004 for the Euro
Area). Hence, neglecting it would lead to an understatement of the
heterogeneity in the transmission mechanisms of economy wide
shocks. In this framework, Aoki (2001) shows that a Central
Bank maximizing social welfare should stabilize only inflation in
the sector where prices are sticky (hereafter, core inflation).
Since complete stabilization is the only true objective of the
policymaker in Aoki (2001) and, hence, is not only desirable
but also implementable, the equilibrium real interest rate in the
economy is equal to the natural interest rate irrespective of the
degree of heterogeneity that is assumed. This would lead to
conclude that stabilizing core inflation rather than overall
inflation does not imply any observable difference in the
aggressiveness of the policy behavior. While maintaining the
assumption of sectorial heterogeneity in the frequency of price
adjustments, this chapter adds non negligible transaction
frictions to the model economy in Aoki (2001). As a
consequence, the social welfare maximizing monetary policymaker
faces a trade-off among the stabilization of core inflation,
economy wide output gap and the nominal interest rate. This
feature reflects the trade-offs between conflicting objectives
faced by actual policymakers. The chapter shows that the existence
of this trade-off makes the aggressiveness of the monetary policy
reaction dependent on the degree of sectorial heterogeneity in the
economy. In particular, in presence of sectorial heterogeneity in
price adjustments, Central Banks are much more likely to behave
less aggressively than in an economy where all firms face nominal
rigidities. Hence, the chapter concludes that the excessive
caution in the conduct of monetary policy shown by actual Central
Banks (see, for example, Rudebusch and Svennsson, 1999 and Sack, 2000) might not
represent a sub-optimal behavior but, on the contrary, might be
the optimal monetary policy response in presence of a relevant
sectorial dispersion in the frequency of price adjustments.
DSGE models are proving useful also in empirical applications and
recently efforts have been made to incorporate large amounts of
information in their framework (see Boivin and Giannoni, 2006). However, the
typical DSGE model still relies on a handful of variables. Partly,
this reflects the fact that, increasing the number of variables,
the specification of a plausible set of theoretical restrictions
identifying aggregate shocks and their propagation mechanisms
becomes cumbersome. On the other hand, several questions in
macroeconomics require the study of a large amount of variables.
Among others, two examples related to the second and third chapter
of this thesis can help to understand why. First, policymakers
analyze a large quantity of information to assess the current and
future stance of their economies and, because of model
uncertainty, do not rely on a single modelling framework.
Consequently, macroeconomic policy can be better understood if the
econometrician relies on large set of variables without imposing
too much a priori structure on the relationships governing their
evolution (see, for example, Giannone et al. 2004 and Bernanke et al. 2005).
Moreover, the process of integration of good and financial markets
implies that the source of aggregate shocks is increasingly global
requiring, in turn, the study of their propagation through cross
country links (see, among others, Forni and Reichlin, 2001 and Kose et al. 2003). A
priori, country specific behavior cannot be ruled out and many of
the homogeneity assumptions that are typically embodied in open
macroeconomic models for keeping them tractable are rejected by
the data. Summing up, in order to deal with such issues, we need
modelling frameworks able to treat a large amount of variables in
a flexible manner, i.e. without pre-committing on too many
a-priori restrictions more likely to be rejected by the data. The
large extent of comovement among wide cross sections of economic
variables suggests the existence of few common sources of
fluctuations (Forni et al. 2000 and Stock and Watson, 2002) around which
individual variables may display specific features: a shock to the
world price of oil, for example, hits oil exporters and importers
with different sign and intensity or global technological advances
can affect some countries before others (Giannone and Reichlin, 2004). Factor
models mainly rely on the identification assumption that the
dynamics of each variable can be decomposed into two orthogonal
components - common and idiosyncratic - and provide a parsimonious
tool allowing the analysis of the aggregate shocks and their
propagation mechanisms in a large cross section of variables. In
fact, while the idiosyncratic components are poorly
cross-sectionally correlated, driven by shocks specific of a
variable or a group of variables or measurement error, the common
components capture the bulk of cross-sectional correlation, and
are driven by few shocks that affect, through variable specific
factor loadings, all items in a panel of economic time series.
Focusing on the latter components allows useful insights on the
identity and propagation mechanisms of aggregate shocks underlying
a large amount of variables. The second and third chapter of this
thesis exploit this idea.
The second chapter deals with the issue whether monetary variables
help to forecast inflation in the Euro Area harmonized index of
consumer prices (HICP). Policymakers form their views on the
economic outlook by drawing on large amounts of potentially
relevant information. Indeed, the monetary policy strategy of the
European Central Bank acknowledges that many variables and models
can be informative about future Euro Area inflation. A peculiarity
of such strategy is that it assigns to monetary information the
role of providing insights for the medium - long term evolution of
prices while a wide range of alternative non monetary variables
and models are employed in order to form a view on the short term
and to cross-check the inference based on monetary information.
However, both the academic literature and the practice of the
leading Central Banks other than the ECB do not assign such a
special role to monetary variables (see Gali et al. 2004 and
references therein). Hence, the debate whether money really
provides relevant information for the inflation outlook in the
Euro Area is still open. Specifically, this chapter addresses the
issue whether money provides useful information about future
inflation beyond what contained in a large amount of non monetary
variables. It shows that a few aggregates of the data explain a
large amount of the fluctuations in a large cross section of Euro
Area variables. This allows to postulate a factor structure for
the large panel of variables at hand and to aggregate it in few
synthetic indexes that still retain the salient features of the
large cross section. The database is split in two big blocks of
variables: non monetary (baseline) and monetary variables. Results
show that baseline variables provide a satisfactory predictive
performance improving on the best univariate benchmarks in the
period 1997 - 2005 at all horizons between 6 and 36 months.
Remarkably, monetary variables provide a sensible improvement on
the performance of baseline variables at horizons above two years.
However, the analysis of the evolution of the forecast errors
reveals that most of the gains obtained relative to univariate
benchmarks of non forecastability with baseline and monetary
variables are realized in the first part of the prediction sample
up to the end of 2002, which casts doubts on the current
forecastability of inflation in the Euro Area.
The third chapter is based on a joint work with Domenico Giannone
and gives empirical foundation to the general equilibrium
explanation of the Feldstein - Horioka puzzle. Feldstein and Horioka (1980) found
that domestic saving and investment in OECD countries strongly
comove, contrary to the idea that high capital mobility should
allow countries to seek the highest returns in global financial
markets and, hence, imply a correlation among national saving and
investment closer to zero than one. Moreover, capital mobility has
strongly increased since the publication of Feldstein - Horioka's
seminal paper while the association between saving and investment
does not seem to comparably decrease. Through general equilibrium
mechanisms, the presence of global shocks might rationalize the
correlation between saving and investment. In fact, global shocks,
affecting all countries, tend to create imbalance on global
capital markets causing offsetting movements in the global
interest rate and can generate the observed correlation across
national saving and investment rates. However, previous empirical
studies (see Ventura, 2003) that have controlled for the effects
of global shocks in the context of saving-investment regressions
failed to give empirical foundation to this explanation. We show
that previous studies have neglected the fact that global shocks
may propagate heterogeneously across countries, failing to
properly isolate components of saving and investment that are
affected by non pervasive shocks. We propose a novel factor
augmented panel regression methodology that allows to isolate
idiosyncratic sources of fluctuations under the assumption of
heterogenous transmission mechanisms of global shocks. Remarkably,
by applying our methodology, the association between domestic
saving and investment decreases considerably over time,
consistently with the observed increase in international capital
mobility. In particular, in the last 25 years the correlation
between saving and investment disappears.
Doctorat en sciences économiques, Orientation économie
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Enzinger, Sharn Emma 1973. "The economic impact of greenhouse policy upon the Australian electricity industry : an applied general equilibrium analysis." Monash University, Centre of Policy Studies, 2001. http://arrow.monash.edu.au/hdl/1959.1/8383.
Full textAdam, Christopher S. "The demand for money, asset substitution and the inflation tax in a liberalizing economy : an econometric analysis for Kenya." Thesis, University of Oxford, 1992. http://ora.ox.ac.uk/objects/uuid:037dcc1e-edff-4096-89cb-6d24a70742d8.
Full textWan, Lai Shan. "Macroeconomic modelling and policy simulation for the Chinese economy." HKBU Institutional Repository, 2002. http://repository.hkbu.edu.hk/etd_ra/335.
Full textCimadomo, Jacopo. "Essays on systematic and unsystematic monetary and fiscal policies." Doctoral thesis, Universite Libre de Bruxelles, 2008. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210474.
Full textconsequence, the stance that policymakers should adopt over the business cycle, remain
controversial issues in the economic literature.
In the light of the dramatic experience of the early 1930s’ Great Depression, Keynes (1936)
argued that the market mechanism could not be relied upon to spontaneously recover from
a slump, and advocated counter-cyclical public spending and monetary policy to stimulate
demand. Albeit the Keynesian doctrine had largely influenced policymaking during
the two decades following World War II, it began to be seriously challenged in several
directions since the start of the 1970s. The introduction of rational expectations within
macroeconomic models implied that aggregate demand management could not stabilize
the economy’s responses to shocks (see in particular Sargent and Wallace (1975)). According
to this view, in fact, rational agents foresee the effects of the implemented policies, and
wage and price expectations are revised upwards accordingly. Therefore, real wages and
money balances remain constant and so does output. Within such a conceptual framework,
only unexpected policy interventions would have some short-run effects upon the economy.
The "real business cycle (RBC) theory", pioneered by Kydland and Prescott (1982), offered
an alternative explanation on the nature of fluctuations in economic activity, viewed
as reflecting the efficient responses of optimizing agents to exogenous sources of fluctuations, outside the direct control of policymakers. The normative implication was that
there should be no role for economic policy activism: fiscal and monetary policy should be
acyclical. The latest generation of New Keynesian dynamic stochastic general equilibrium
(DSGE) models builds on rigorous foundations in intertemporal optimizing behavior by
consumers and firms inherited from the RBC literature, but incorporates some frictions
in the adjustment of nominal and real quantities in response to macroeconomic shocks
(see Woodford (2003)). In such a framework, not only policy "surprises" may have an
impact on the economic activity, but also the way policymakers "systematically" respond
to exogenous sources of fluctuation plays a fundamental role in affecting the economic
activity, thereby rekindling interest in the use of counter-cyclical stabilization policies to
fine tune the business cycle.
Yet, despite impressive advances in the economic theory and econometric techniques, there are no definitive answers on the systematic stance policymakers should follow, and on the
effects of macroeconomic policies upon the economy. Against this background, the present thesis attempts to inspect the interrelations between macroeconomic policies and the economic activity from novel angles. Three contributions
are proposed.
In the first Chapter, I show that relying on the information actually available to policymakers when budgetary decisions are taken is of fundamental importance for the assessment of the cyclical stance of governments. In the second, I explore whether the effectiveness of fiscal shocks in spurring the economic activity has declined since the beginning of the 1970s. In the third, the impact of systematic monetary policies over U.S. industrial sectors is investigated. In the existing literature, empirical assessments of the historical stance of policymakers over the economic cycle have been mainly drawn from the estimation of "reduced-form" policy reaction functions (see in particular Taylor (1993) and Galì and Perotti (2003)). Such rules typically relate a policy instrument (a reference short-term interest rate or an indicator of discretionary fiscal policy) to a set of explanatory variables (notably inflation, the output gap and the debt-GDP ratio, as long as fiscal policy is concerned). Although these policy rules can be seen as simple approximations of what derived from an explicit optimization problem solved by social planners (see Kollmann (2007)), they received considerable attention since they proved to track the behavior of central banks and fiscal
policymakers relatively well. Typically, revised data, i.e. observations available to the
econometrician when the study is carried out, are used in the estimation of such policy
reaction functions. However, data available in "real-time" to policymakers may end up
to be remarkably different from what it is observed ex-post. Orphanides (2001), in an
innovative and thought-provoking paper on the U.S. monetary policy, challenged the way
policy evaluation was conducted that far by showing that unrealistic assumptions about
the timeliness of data availability may yield misleading descriptions of historical policy.
In the spirit of Orphanides (2001), in the first Chapter of this thesis I reconsider how
the intentional cyclical stance of fiscal authorities should be assessed. Importantly, in
the framework of fiscal policy rules, not only variables such as potential output and the
output gap are subject to measurement errors, but also the main discretionary "operating
instrument" in the hands of governments: the structural budget balance, i.e. the headline
government balance net of the effects due to automatic stabilizers. In fact, the actual
realization of planned fiscal measures may depend on several factors (such as the growth
rate of GDP, the implementation lags that often follow the adoption of many policy
measures, and others more) outside the direct and full control of fiscal authorities. Hence,
there might be sizeable differences between discretionary fiscal measures as planned in the
past and what it is observed ex-post. To be noted, this does not apply to monetary policy
since central bankers can control their operating interest rates with great accuracy.
When the historical behavior of fiscal authorities is analyzed from a real-time perspective, it emerges that the intentional stance has been counter-cyclical, especially during expansions, in the main OECD countries throughout the last thirteen years. This is at
odds with findings based on revised data, generally pointing to pro-cyclicality (see for example Gavin and Perotti (1997)). It is shown that empirical correlations among revision
errors and other second-order moments allow to predict the size and the sign of the bias
incurred in estimating the intentional stance of the policy when revised data are (mistakenly)
used. It addition, formal tests, based on a refinement of Hansen (1999), do not reject
the hypothesis that the intentional reaction of fiscal policy to the cycle is characterized by
two regimes: one counter-cyclical, when output is above its potential level, and the other
acyclical, in the opposite case. On the contrary, the use of revised data does not allow to identify any threshold effect.
The second and third Chapters of this thesis are devoted to the exploration of the impact
of fiscal and monetary policies upon the economy.
Over the last years, two approaches have been mainly followed by practitioners for the
estimation of the effects of macroeconomic policies on the real activity. On the one hand,
calibrated and estimated DSGE models allow to trace out the economy’s responses to
policy disturbances within an analytical framework derived from solid microeconomic
foundations. On the other, vector autoregressive (VAR) models continue to be largely
used since they have proved to fit macro data particularly well, albeit they cannot fully
serve to inspect structural interrelations among economic variables.
Yet, the typical DSGE and VAR models are designed to handle a limited number of variables
and are not suitable to address economic questions potentially involving a large
amount of information. In a DSGE framework, in fact, identifying aggregate shocks and
their propagation mechanism under a plausible set of theoretical restrictions becomes a
thorny issue when many variables are considered. As for VARs, estimation problems may
arise when models are specified in a large number of indicators (although latest contributions suggest that large-scale Bayesian VARs perform surprisingly well in forecasting.
See in particular Banbura, Giannone and Reichlin (2007)). As a consequence, the growing
popularity of factor models as effective econometric tools allowing to summarize in
a parsimonious and flexible manner large amounts of information may be explained not
only by their usefulness in deriving business cycle indicators and forecasting (see for example
Reichlin (2002) and D’Agostino and Giannone (2006)), but also, due to recent
developments, by their ability in evaluating the response of economic systems to identified
structural shocks (see Giannone, Reichlin and Sala (2002) and Forni, Giannone, Lippi
and Reichlin (2007)). Parallelly, some attempts have been made to combine the rigor of
DSGE models and the tractability of VAR ones, with the advantages of factor analysis
(see Boivin and Giannoni (2006) and Bernanke, Boivin and Eliasz (2005)).
The second Chapter of this thesis, based on a joint work with Agnès Bénassy-Quéré, presents an original study combining factor and VAR analysis in an encompassing framework,
to investigate how "unexpected" and "unsystematic" variations in taxes and government
spending feed through the economy in the home country and abroad. The domestic
impact of fiscal shocks in Germany, the U.K. and the U.S. and cross-border fiscal spillovers
from Germany to seven European economies is analyzed. In addition, the time evolution of domestic and cross-border tax and spending multipliers is explored. In fact, the way fiscal policy impacts on domestic and foreign economies
depends on several factors, possibly changing over time. In particular, the presence of excess
capacity, accommodating monetary policy, distortionary taxation and liquidity constrained
consumers, plays a prominent role in affecting how fiscal policies stimulate the
economic activity in the home country. The impact on foreign output crucially depends
on the importance of trade links, on real exchange rates and, in a monetary union, on
the sensitiveness of foreign economies to the common interest rate. It is well documented
that the last thirty years have witnessed frequent changes in the economic environment.
For instance, in most OECD countries, the monetary policy stance became less accommodating
in the 1980s compared to the 1970s, and more accommodating again in the
late 1990s and early 2000s. Moreover, financial markets have been heavily deregulated.
Hence, fiscal policy might have lost (or gained) power as a stimulating tool in the hands
of policymakers. Importantly, the issue of cross-border transmission of fiscal policy decisions is of the utmost relevance in the framework of the European Monetary Union and this explains why the debate on fiscal policy coordination has received so much attention since the adoption
of the single currency (see Ahearne, Sapir and Véron (2006) and European Commission
(2006)). It is found that over the period 1971 to 2004 tax shocks have generally been more effective in spurring domestic output than government spending shocks. Interestingly, the inclusion of common factors representing global economic phenomena yields to smaller multipliers
reconciling, at least for the U.K. the evidence from large-scale macroeconomic models,
generally finding feeble multipliers (see e.g. European Commission’s QUEST model), with
the one from a prototypical structural VAR pointing to stronger effects of fiscal policy.
When the estimation is performed recursively over samples of seventeen years of data, it
emerges that GDP multipliers have dropped drastically from early 1990s on, especially
in Germany (tax shocks) and in the U.S. (both tax and government spending shocks).
Moreover, the conduct of fiscal policy seems to have become less erratic, as documented
by a lower variance of fiscal shocks over time, and this might contribute to explain why
business cycles have shown less volatility in the countries under examination.
Expansionary fiscal policies in Germany do not generally have beggar-thy-neighbor effects
on other European countries. In particular, our results suggest that tax multipliers have
been positive but vanishing for neighboring countries (France, Italy, the Netherlands, Belgium and Austria), weak and mostly not significant for more remote ones (the U.K.
and Spain). Cross-border government spending multipliers are found to be monotonically
weak for all the subsamples considered.
Overall these findings suggest that fiscal "surprises", in the form of unexpected reductions in taxation and expansions in government consumption and investment, have become progressively less successful in stimulating the economic activity at the domestic level, indicating that, in the framework of the European Monetary Union, policymakers can only marginally rely on this discretionary instrument as a substitute for national monetary policies.
The objective of the third chapter is to inspect the role of monetary policy in the U.S. business cycle. In particular, the effects of "systematic" monetary policies upon several industrial sectors is investigated. The focus is on the systematic, or endogenous, component of monetary policy (i.e. the one which is related to the economic activity in a stable and predictable way), for three main reasons. First, endogenous monetary policies are likely to have sizeable real effects, if agents’ expectations are not perfectly rational and if there are some nominal and real frictions in a market. Second, as widely documented, the variability of the monetary instrument and of the main macro variables is only marginally explained by monetary "shocks", defined as unexpected and exogenous variations in monetary conditions. Third, monetary shocks can be simply interpreted as measurement errors (see Christiano, Eichenbaum
and Evans (1998)). Hence, the systematic component of monetary policy is likely to have played a fundamental role in affecting business cycle fluctuations. The strategy to isolate the impact of systematic policies relies on a counterfactual experiment, within a (calibrated or estimated) macroeconomic model. As a first step, a macroeconomic shock to which monetary policy is likely to respond should be selected,
and its effects upon the economy simulated. Then, the impact of such shock should be
evaluated under a “policy-inactive” scenario, assuming that the central bank does not respond
to it. Finally, by comparing the responses of the variables of interest under these
two scenarios, some evidence on the sensitivity of the economic system to the endogenous
component of the policy can be drawn (see Bernanke, Gertler and Watson (1997)).
Such kind of exercise is first proposed within a stylized DSGE model, where the analytical
solution of the model can be derived. However, as argued, large-scale multi-sector DSGE
models can be solved only numerically, thus implying that the proposed experiment cannot
be carried out. Moreover, the estimation of DSGE models becomes a thorny issue when many variables are incorporated (see Canova and Sala (2007)). For these arguments, a less “structural”, but more tractable, approach is followed, where a minimal amount of
identifying restrictions is imposed. In particular, a factor model econometric approach
is adopted (see in particular Giannone, Reichlin and Sala (2002) and Forni, Giannone,
Lippi and Reichlin (2007)). In this framework, I develop a technique to perform the counterfactual experiment needed to assess the impact of systematic monetary policies.
It is found that 2 and 3-digit SIC U.S. industries are characterized by very heterogeneous degrees of sensitivity to the endogenous component of the policy. Notably, the industries showing the strongest sensitivities are the ones producing durable goods and metallic
materials. Non-durable good producers, food, textile and lumber producing industries are
the least affected. In addition, it is highlighted that industrial sectors adjusting prices relatively infrequently are the most "vulnerable" ones. In fact, firms in this group are likely to increase quantities, rather than prices, following a shock positively hitting the economy. Finally, it emerges that sectors characterized by a higher recourse to external sources to finance investments, and sectors investing relatively more in new plants and machineries, are the most affected by endogenous monetary actions.
Doctorat en sciences économiques, Orientation économie
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Horvath, Michal. "Optimal monetary and fiscal policy in economies with multiple distortions." Thesis, St Andrews, 2008. http://hdl.handle.net/10023/438.
Full textBooks on the topic "Monetary policy Australia Econometric models"
Karagedikli, Özer. Do inflation targeting central banks behave asymmetrically?: Evidence from Australia and New Zealand. Wellington, N.Z: Economics Dept., Reserve Bank of New Zealand, 2004.
Find full textKhan, Aubhik. Optimal monetary policy. Cambridge, Mass: National Bureau of Economic Research, 2002.
Find full textFlood, Robert P. Monetary policy strategies. Cambridge, MA: National Bureau of Economic Research, 1988.
Find full textB, Taylor John, and National Bureau of Economic Research Conference on Research in Business Cycles (1998 : Stanford University), eds. Monetary policy rules. Chicago: University of Chicago Press, 2001.
Find full textKashyap, A. K. Monetary policy and bank lending. Cambridge, MA: National Bureau of Economic Research, 1993.
Find full textDavig, Troy. Endogenous monetary policy regime change. Cambridge, Mass: National Bureau of Economic Research, 2006.
Find full textDavig, Troy. Endogenous monetary policy regime change. Kansas City [Mo.]: Research Division, Federal Reserve Bank of Kansas City, 2006.
Find full textMichael, Woodford. Optimal monetary policy inertia. Cambridge, MA: National Bureau of Economic Research, 1999.
Find full textMishkin, Frederic S. The channels of monetary transmissions: Lessons for monetary policy. Cambridge, Mass: National Bureau of Economic Research, 1996.
Find full textPatrick, Artus, Barroux Y. 1945-, and Applied Econometric Association, eds. Monetary policy: A theoretical and econometric approach. Dordrecht: Kluwer Academic Publishers, 1990.
Find full textBook chapters on the topic "Monetary policy Australia Econometric models"
"US monetary policy and econometric modeling: tales from the FOMC transcripts 1984–1991." In Empirical Models and Policy Making, 205–9. Routledge, 2003. http://dx.doi.org/10.4324/9780203130490-40.
Full textConference papers on the topic "Monetary policy Australia Econometric models"
Lleshaj, Llesh. "Volatility Estimation of Euribor and Equilibrium Forecasting." In 7th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/eraz.2021.171.
Full textReports on the topic "Monetary policy Australia Econometric models"
Blackman, Allen, Jorge Bonilla, and Laura Villalobos. Quantifying COVID-19’s Silver Lining: Avoided Deaths from Air Quality Improvements in Bogotá. Inter-American Development Bank, November 2021. http://dx.doi.org/10.18235/0003787.
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