Three Essays On The Taylor Curve
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Three Essays On The Taylor Curve
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Author : Eric David Olson
language : en
Publisher:
Release Date : 2010
Three Essays On The Taylor Curve written by Eric David Olson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Electronic dissertations categories.
This dissertation contains three essays regarding the Taylor curve. Taylor (1979) posited a permanent tradeoff between the volatility of output gap and the volatility of inflation. The first essay explores the empirical relationship between the volatility of inflation and the output gap. The last two essays implement optimal control techniques to construct Taylor curves for the United States and countries in the European Union. In the first essay, The Taylor curve necessitates that the correlation between the volatilities of inflation and the output gap be non-positive for optimal monetary policy. In essay one, the correlation between the second moments of inflation and the output gap are investigated using time-varying correlations, variance impulse response functions, and a time-varying parameter model. We find that macroeconomic performance is substantially better during time periods in which the correlation is negative as the Taylor curve suggests. In the second essay, we use data from 1875 examine the efficiency of U.S. monetary policy by measuring the orthogonal distance between the observed volatilities of the output gap and inflation from the Taylor curve. In addition, we identify time periods in which the variability of the U.S. economy changed by observing shifts in this efficiency frontier. We find that since 1940 the Taylor curve has trended towards the origin. Moreover, the cost of stabilizing inflation in terms of output gap volatility has steadily decreased through time. The Taylor curve also necessitates that the correlation between the volatilities of inflation and the output gap be non-positive for optimal monetary policy. In essay three, the efficiency a historical analysis of the European Monetary System and the monetary policy of European Central Bank (ECB) is conducted. Using data from European Union countries I measure the orthogonal distance between the observed volatilities of the output gap and inflation from their optimal levels. In addition, I identify time periods in which the variability of the E.U. economies changed by observing shifts in this efficiency frontier. I find in most EU countries, the Taylor curve has shifted towards the origin. In addition, stage II of the Maastricht Treaty was more instrumental in macroeconomic stabilization for EU countries than the beginning of ECB monetary policy. Policy by the ECB appears to be more conducive for France than any other countries in our sample.
Three Essays In International Macroeconomics
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Author : Mahir Binici
language : en
Publisher:
Release Date : 2010
Three Essays In International Macroeconomics written by Mahir Binici and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Three Essays On Business Cycle And Monetary Policy
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Author : Yongjae Choi
language : en
Publisher:
Release Date : 2006
Three Essays On Business Cycle And Monetary Policy written by Yongjae Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Durable goods, Consumer categories.
Three Essays On The Term Structure Of Interest Rates
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Author : Hyoung-Seok Lim
language : en
Publisher:
Release Date : 2004
Three Essays On The Term Structure Of Interest Rates written by Hyoung-Seok Lim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Interest rates categories.
Abstract: Three chapters focus on the term structure of interest rates. Most Central Banks have recently employed the short term interest rate as a monetary policy instrument in the form of either a Taylor rule or Inflation Targeting. Under this framework, the term structure of interest rates play an important role in determining the effectiveness of monetary policy because economic decisions are based on long-term interest rates. The first two chapters discuss the role of the term structure of interest rates in explaining the behavior of exchange rates. Chapter 1 constructs a theoretical model and Chapter 2 provides an empirical result to supporting this theoretical prediction. Chapter 3 directly estimates the term structure of interest rates from Korean data. The estimated yield curves are used to extract market expectations about the future interest rates path which is essential for forward-looking monetary policy.
Three Essays On Incomplete Exchange Rate Pass Through Monetary Policy And Province Border Effects
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Author : Wei Chen
language : en
Publisher:
Release Date : 2004
Three Essays On Incomplete Exchange Rate Pass Through Monetary Policy And Province Border Effects written by Wei Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Three Essays On Monetary Economics
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Author : Shiu-Sheng Chen
language : en
Publisher:
Release Date : 2004
Three Essays On Monetary Economics written by Shiu-Sheng Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Three Essays On Financial Markets And Monetary Policy
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Author : Conglin Xu
language : en
Publisher:
Release Date : 2011
Three Essays On Financial Markets And Monetary Policy written by Conglin Xu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Three Essays In Applied Time Series Econometrics
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Author : Taylor Collins
language : en
Publisher:
Release Date : 2017
Three Essays In Applied Time Series Econometrics written by Taylor Collins and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Econometrics categories.
This dissertation is composed of four chapters. Chapter 1 provides an introduction to the paper by highlighting some of the key economic questions, econometric methods, and conclusions that this paper chronicles. In Chapter 2, I conduct a range of unit root tests on the unemployment rates of 30 OECD countries. The objective of these tests are to use modern data and methods to update an old line of research that endeavors to uncover the most appropriate way to model unemployment. I find less evidence supporting Structural theories of unemployment than have prior studies in this field. In Chapter 3, I turn my attention to US monetary policy. Specifically, I utilize a new estimation technique called the Beverage-Nelson Filter to construct output gaps for use in an introductory Taylor Rule study. I revisit a marquee paper from John Taylor, conduct a structural change test of Bai and Perron, and utilize a wide modeling of monetary policy rules. I find that the Federal Funds Rate displayed as strong an adherence to baseline Taylor Rules through the 1960s as in any other era. Chapter 4 then turns the focus to New Zealand monetary policy and their role as the world's first inflation targeting country. In this chapter, I study the effects of the inflation rate and it's forecasted value for the following two years on New Zealand's Official Cash Rate and the country's Industrial Production Index. Using a set of Threshold Regressions and VAR Regressions, I find that New Zealand's interest rate responds much more strongly to the medium-run projected inflation than it does to inflation that is realized or projected to occur in the short run. I also find evidence that production in New Zealand is more responsive to changes in projected inflation than to changers in the interest rate.
Three Essays On Time Series Inference And Forecasting
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Author : Jason J. Wu
language : en
Publisher:
Release Date : 2007
Three Essays On Time Series Inference And Forecasting written by Jason J. Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Essays On The Taylor Rule
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Author : Rodrigo De-Losso
language : en
Publisher:
Release Date : 2008
Essays On The Taylor Rule written by Rodrigo De-Losso and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.