New Methods For Macro Financial Model Comparison And Policy Analysis

Author : Mr.Scott Roger,Mr.Jan Vlcek
Publisher : International Monetary Fund
Page : 39 pages
File Size : 51,8 Mb
Release : 2012-01-01
Category : Business & Economics
ISBN : 9781463947552

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Macrofinancial Modeling At Central Banks by Mr.Scott Roger,Mr.Jan Vlcek Pdf

This paper surveys dynamic stochastic general equilibrium models with financial frictions in use by central banks and discusses priorities for future development of such models for the purpose of monetary and financial stability analysis. It highlights the need to develop macrofinancial models which allow analysis of the macroeconomic effects of macroprudential policy tools and to evaluate elements of the Basel III reforms as a priority. The paper also reviews the main approaches to introducing financial frictions into general equilibrium models.

Author : John B. Taylor,Harald Uhlig
Publisher : Elsevier
Page : 1370 pages
File Size : 45,6 Mb
Release : 2016-12-01
Category : Business & Economics
ISBN : 9780444594778

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Handbook of Macroeconomics by John B. Taylor,Harald Uhlig Pdf

Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade

Author : David G. Mayes,Pierre L. Siklos,Jan-Egbert Sturm
Publisher : Oxford Handbooks
Page : 809 pages
File Size : 47,9 Mb
Release : 2019-03-15
Category : Business & Economics
ISBN : 9780190626198

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The Oxford Handbook of the Economics of Central Banking by David G. Mayes,Pierre L. Siklos,Jan-Egbert Sturm Pdf

"The Handbook reflects the state of the art in the theory and practice of central banking. It covers all the essential areas that have come under scrutiny since the global financial crisis of 2007-9"--

Author : United Nations. Statistical Division
Publisher : United Nations Publications
Page : 350 pages
File Size : 46,5 Mb
Release : 2002
Category : Business & Economics
ISBN : UOM:39015051813221

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Use of Macro Accounts in Policy Analysis by United Nations. Statistical Division Pdf

This publication is based on the 1993 Standard National Accounts (SNA) system and provides guidance on the role of macro accounting as an instrument of policy analysis rather than a data set. It considers the interaction of three themes: the scope of macro accounting, the compilation of macro accounts, and scope of analysis, both in terms of indicator and modelling analysis.

Author : Malte Dold,Tim Krieger
Publisher : Routledge
Page : 513 pages
File Size : 54,9 Mb
Release : 2019-09-18
Category : Business & Economics
ISBN : 9780429514128

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Ordoliberalism and European Economic Policy by Malte Dold,Tim Krieger Pdf

This volume takes a broad perspective on the recent debate on the role of German ordoliberalism in shaping European economic policy before and after the eurozone crisis. It shows how ordoliberal scholars explain the institutional origins of the eurozone crisis, and presents creative policy proposals for the future of the European economy. Ordoliberal discourse both attempts to offer political solutions to socioeconomic challenges, and to find an ideal market order that fosters individual freedom and social cohesion. This tension between realpolitik and economic utopia reflects the wider debate on how far economic theory shapes, and is shaped by, historical contingencies and institutions. The volume will be of interest to policymakers as well as research scholars, and graduate students from various disciplines ranging from economics to political science, history, and philosophy.

Author : John B. Taylor
Publisher : MIT Press
Page : 153 pages
File Size : 45,6 Mb
Release : 2019-04-09
Category : Business & Economics
ISBN : 9780262352680

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Reform of the International Monetary System by John B. Taylor Pdf

An argument that a rules-based reform of the international monetary system, achieved by applying basic economic theory, would improve economic performance. In this book, the economist John Taylor argues that the apparent correlation of monetary policy decisions among different countries—largely the result of countries' concerns about the exchange rate—causes monetary policy to deviate from effective policies that stabilize inflation and the economy. He argues that a rules-based reform of the international monetary system, achieved by applying basic economic theory, would improve economic performance. Taylor shows that monetary polices in recent years have been deployed either defensively, as central banks counteract forces from abroad that affect the exchange rate, or offensively, as central banks attempt to move the exchange rate to gain a competitive advantage. Focusing on the years from 2005 to 2017, he develops an empirical framework to examine two monetary policy instruments: the policy interest rate (the more conventional of the two) and the size of the balance sheet. He finds that an international contagion in central bank decisions about the policy interest rate has accentuated the deviation from standard interest rate rules that have worked in the past. He finds a similar contagion in decisions about the size of the balance sheet. By considering a counterfactual policy in the estimated model, Taylor is able to estimate by how much the policy of recent years has increased exchange rate volatility. After several rounds of monetary actions and reactions aimed at exchange rates, Taylor finds, the international monetary system is left with roughly the same interest rate configuration, but much larger balance sheets to unwind.

Author : Dale Gray,Samuel Malone
Publisher : John Wiley & Sons
Page : 362 pages
File Size : 43,8 Mb
Release : 2008-04-30
Category : Business & Economics
ISBN : 0470756322

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Macrofinancial Risk Analysis by Dale Gray,Samuel Malone Pdf

Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.

Author : United States. President (1945-1953 : Truman)
Publisher : Government Printing Office
Page : 566 pages
File Size : 44,7 Mb
Release : 2024-06-15
Category : Budget
ISBN : 0160944880

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Economic report of the President by United States. President (1945-1953 : Truman) Pdf

Author : United States. President
Publisher : Unknown
Page : 570 pages
File Size : 40,7 Mb
Release : 2018
Category : United States
ISBN : UCR:31210021820913

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Economic Report of the President Transmitted to the Congress by United States. President Pdf

Represents the annual report of the President's Council of Economic Advisers. Appendix B contains historical tables (from 1959 or earlier) on aspects of income (national, personal, and corporate), production, prices, employment, investment, taxes and transfers, and money and finance.

Author : Pierre-Richard Agenor
Publisher : MIT Press
Page : 601 pages
File Size : 51,8 Mb
Release : 2020-11-10
Category : Business & Economics
ISBN : 9780262359429

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Monetary Policy and Macroprudential Regulation with Financial Frictions by Pierre-Richard Agenor Pdf

An integrated analysis of how financial frictions can be accounted for in macroeconomic models built to study monetary policy and macroprudential regulation. Since the global financial crisis, there has been a renewed effort to emphasize financial frictions in designing closed- and open-economy macroeconomic models for monetary and macroprudential policy analysis. Drawing on the extensive literature of the past decade as well as his own contributions, in this book Pierre-Richard Age&́nor provides a unified set of theoretical and quantitative macroeconomic models with financial frictions to explore issues that have emerged in the wake of the crisis. These include the need to understand better how the financial system amplifies and propagates shocks originating elsewhere in the economy; how it can itself be a source of aggregate fluctuations; the extent to which central banks should account for financial stability considerations in the conduct of monetary policy; whether national central banks and regulators should coordinate their policies to promote macroeconomic and financial stability; and how much countercyclical macroprudential policies should be coordinated at the international level to mitigate financial spillovers across countries.

Author : Michael D. Bordo,John B. Taylor,John H. Cochrane
Publisher : Hoover Press
Page : 258 pages
File Size : 48,9 Mb
Release : 2023-03-01
Category : Business & Economics
ISBN : 9780817925666

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How Monetary Policy Got Behind the Curve—and How to Get Back by Michael D. Bordo,John B. Taylor,John H. Cochrane Pdf

With the inflation rate in the United States and many other countries on the rise for over a year and nearing double digits, the Hoover Institution hosted its 2022 conference on monetary policy. Policy makers, market participants, and academic researchers gathered to discuss the situation. Many agreed that low interest rates and high money growth were inappropriate given the high inflation rate and evidence that the United States has recovered from the deep recession induced by the pandemic and its policy response in 2020. The thoughtful papers and the thorough discussions in this volume of conference proceedings illustrate the debate about the reasons for this mismatch, as well as how to get back on track. They reflect a range of opinions and perspectives, including examination of the fiscal shock resulting from the COVID pandemic and the related borrowing and spending; emphasis on the value of adherence to rules versus discretion in setting Fed policy; lessons from history in the spikes in federal expenditures during times of war (including the pandemic) and in the timing of the Fed's use of its policy instruments; the role of central banks in the emerging inflation crisis; and strategies toward disinflation.

Author : Houston H. Stokes,Hugh Neuburger
Publisher : Praeger
Page : 0 pages
File Size : 44,6 Mb
Release : 1998-02-18
Category : Business & Economics
ISBN : 9781567201253

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New Methods in Financial Modeling by Houston H. Stokes,Hugh Neuburger Pdf

The authors present a number of financial market studies that have as their general theme, the econometric testing of the underlying econometric assumptions of a number of financial models. More than 30 years of financial market research has convinced the authors that not enough attention has been paid to whether the estimated model is appropriate or, most importantly, whether the estimation technique is suitable for the problem under study. For many years linear models have been assumed with little or no testing of alternative specification. The result has been models that force linearity assumptions on what clearly are nonlinear processes. Another major assumption of much financial research constrains the coefficients to be stable over time. This critical assumption has been attacked by Lucas (1976) on the grounds that when economic policy changes, the coefficients of macroeconomics models change. If this occurs, any policy forecasts of these models will be flawed. In financial modeling, omitted (possibly non-quantifiable) variables will bias coefficients. While it may be possible to model some financial variables for extended periods, in other periods the underlying models may either exhibit nonlinearity or show changes in linear models. The authors research indicates that tests for changes in linear models, such as recursive residual analysis, or tests for episodic nonlinearity can be used to signal changes in the underlying structure of the market. The book begins with a brief review of basic linear time series techniques that include autoregressive integrated moving average models (ARIMA), vector autoregressive models (VAR), and models form the ARCH/GARCH class. While the ARIMA and VAR approach models the first moment of a series, models of the ARCH/GARCH class model both the first moment and second moment which is interpreted as conditional or explained volatility of a series. Recent work on nonlinearity detection has questioned the appropriateness of these essentially linear approaches. A number of such tests are shown and applied for the complete series and a subsets of the series. A major finding is that the structure of the series may change over time. Within the time frame of a study, there may be periods of episodic nonlinearity, episodic ARCH and episodic nonstationarity. Measures are developed to measure and relate these events both geographically and with mathematical models. This book will be of interest to applied finance researchers and to market participants.

Author : Iris Geva-May,B. Guy Peters,Joselyn Muhleisen
Publisher : Routledge
Page : 420 pages
File Size : 48,7 Mb
Release : 2020-06-09
Category : Political Science
ISBN : 9780429806643

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Theory and Methods in Comparative Policy Analysis Studies by Iris Geva-May,B. Guy Peters,Joselyn Muhleisen Pdf

Volume One of the Classics of Comparative Policy Analysis, "Theory and Methods in Comparative Policy Analysis Studies" includes chapters that apply or further theory and methodology in the comparative study of public policy, in general, and policy analysis, in particular. Throughout the volume the chapters engage in theory building by assessing the relevance of theoretical approaches drawn from the social sciences, as well as some which are distinctive to policy analysis. Other chapters focus on various comparative approaches based on developments and challenges in the methodology of policy analysis. Together, this collection provides a comprehensive scholastic foundation to comparative policy analysis and comparative policy studies. "Theory and Methods in Comparative Policy Analysis Studies" will be of great interest to scholars and learners of public policy and social sciences, as well as to practitioners considering what can be learned or facilitated through methodologically and theoretically sound approaches. The chapters were originally published as articles in the Journal of Comparative Policy Analysis which in the last two decades has pioneered the development of comparative public policy. The volume is part of a four-volume series, the Classics of Comparative Policy Analysis including Theories and Methods, Institutions and Governance, Regional Comparisons, and Policy Sectors. Each volume showcases a different new chapter comparing domains of study interrelated with comparative public policy: political science, public administration, governance and policy design, authored by the JCPA co-editors Giliberto Capano, Iris Geva-May, Michael Howlett, Leslie A. Pal and B. Guy Peters.

Author : John B. Taylor,Michael Woodford
Publisher : Unknown
Page : 596 pages
File Size : 55,9 Mb
Release : 1999
Category : Macroeconomics
ISBN : UOM:49015002498757

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Handbook of Macroeconomics by John B. Taylor,Michael Woodford Pdf

Author : Mr.Dale F. Gray
Publisher : International Monetary Fund
Page : 62 pages
File Size : 54,5 Mb
Release : 2013-10-23
Category : Business & Economics
ISBN : 9781484387207

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Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR by Mr.Dale F. Gray Pdf

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward-looking contingent claims analysis (CCA) risk indicators for the banking systems in each country, forward-looking CCA risk indicators for sovereigns, and a GVAR model to combine the banking, the sovereign, and the macro sphere. The CCA indicators capture the nonlinearity of changes in bank assets, equity capital, credit spreads, and default probabilities. They capture the expected losses, spreads and default probability for sovereigns. Key to the framework is that sovereign credit spreads, banking system credit risk, corporate sector credit risk, economic growth, and credit variables are combined in a fully endogenous setting. Upon estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank and sovereign risk. The goal is to use this framework to analyze the impact and spillover of shocks and to help identify policies that would mitigate banking system, sovereign credit risk and recession risk—policies including bank capital increases, purchase of sovereign debt, and guarantees.